Report NEP-FMK-2023-01-16

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:

• Weilin Fu & Zhuoran Li & Yupeng Zhang & Xingyou Zhou, 2022. "Time Series Analysis in American Stock Market Recovering in Post COVID-19 Pandemic Period," Papers 2212.05369, arXiv.org.
• Robin Greenwood & Marco C. Sammon, 2022. "The Disappearing Index Effect," NBER Working Papers 30748, National Bureau of Economic Research, Inc.
• Alapan Chaudhuri & Zeeshan Ahmed & Ashwin Rao & Shivansh Subramanian & Shreyas Pradhan & Abhishek Mittal, 2022. "Nostradamus: Weathering Worth," Papers 2212.05933, arXiv.org, revised Jan 2023.
• Igor Makarov & Antoinette Schoar, 2022. "Cryptocurrencies and Decentralised Finance," BIS Working Papers 1061, Bank for International Settlements.
• Cici, Gjergji & Gibson, Scott & Qin, Nan & Zhang, Alex, 2022. "The performance of corporate bond mutual funds and the allocation of underpriced new issues," CFR Working Papers 22-11, University of Cologne, Centre for Financial Research (CFR).
• Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
• Marco Di Francesco & Kevin Kamm, 2022. "CDO calibration via Magnus Expansion and Deep Learning," Papers 2212.12318, arXiv.org.
• Emmanuel Alanis & Sudheer Chava & Agam Shah, 2022. "Benchmarking Machine Learning Models to Predict Corporate Bankruptcy," Papers 2212.12051, arXiv.org.
• Nam, Rachel J., 2022. "Open banking and customer data sharing: Implications for FinTech borrowers," SAFE Working Paper Series 364, Leibniz Institute for Financial Research SAFE.
• Pouriya Khalilian & Sara Azizi & Mohammad Hossein Amiri & Javad T. Firouzjaee, 2022. "Design interpretable experience of dynamical feed forward machine learning model for forecasting NASDAQ," Papers 2212.12044, arXiv.org.
• Joost Bats & Giovanna Bua & Daniel Kapp, 2023. "Physical and transition risk premiums in euro area corporate bond markets," Working Papers 761, DNB.
• Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.