Report NEP-FMK-2022-11-07

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
• António Afonso & Krzysztof Beck & Karen Jackson, 2022. "Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting," CESifo Working Paper Series 9956, CESifo.
• Marshall R. McCraw, 2022. "Multiclass Sentiment Prediction for Stock Trading," Papers 2210.00870, arXiv.org.
• Mariia Kosar & Sergei Mikhalishchev, 2022. "Inattentive Price Discovery in ETFs," CERGE-EI Working Papers wp735, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: sovereign fragility and the corporate credit risk," Working Paper Series 2740, European Central Bank.
• Naseh Majidi & Mahdi Shamsi & Farokh Marvasti, 2022. "Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning," Papers 2210.03469, arXiv.org.
• Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022. "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers 2210.02126, arXiv.org.
• Ivan Letteri & Giuseppe Della Penna & Giovanni De Gasperis & Abeer Dyoub, 2022. "DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks," Papers 2210.11532, arXiv.org.
• Hui Niu & Siyuan Li & Jian Li, 2022. "MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization," Papers 2210.01774, arXiv.org.
• Miguel Sarmiento, 2022. "Sudden Yield Reversals and Financial Intermediation in Emerging Markets," Borradores de Economia 1210, Banco de la Republica de Colombia.
• Helena Chuliá & Jorge A. Muñoz-Mendoza & Jorge M. Uribe, 2022. ""Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities"," IREA Working Papers 202216, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
• Ozili, Peterson K, 2022. "Decentralised finance and cryptocurrency activity in Africa," MPRA Paper 114710, University Library of Munich, Germany.