Report NEP-FMK-2023-03-27

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-FMK

The following items were announced in this report:

• Sebastian Doerr & Egemen Eren & Semyon Malamud, 2023. "Money Market Funds and the Pricing of Near-Money Assets," Swiss Finance Institute Research Paper Series 23-04, Swiss Finance Institute.
• Manuel Adelino & Sophia Chiyoung Cheong & Jaewon Choi & Ji Yeol Jimmy Oh, 2023. "Mutual Fund Flows and the Supply of Capital in Municipal Financing," NBER Working Papers 30980, National Bureau of Economic Research, Inc.
• Victor Olkhov, 2023. "Market-Based Probability of Stock Returns," Papers 2302.07935, arXiv.org, revised Dec 2024.
• Paweł Sakowski & Rafał Sieradzki & Robert Ślepaczuk, 2023. "The systemic risk approach based on implied and realized volatility," Working Papers 2023-07, Faculty of Economic Sciences, University of Warsaw.
• Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives," Papers 2302.13426, arXiv.org, revised Jan 2025.
• Alexander Lipton & Adil Reghai, 2023. "SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}," Papers 2302.08819, arXiv.org.
• Lin William Cong & Nathan Darden George & Guojun Wang, 2023. "RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence," NBER Working Papers 30967, National Bureau of Economic Research, Inc.
• Martin Vesely, 2023. "Finding the Optimal Currency Composition of Foreign Exchange Reserves with a Quantum Computer," Working Papers 2023/1, Czech National Bank.
• Naresh Kumar Devulapally & Tulasi Narendra Das Tripurana, 2023. "Physical Momentum in the Indian Stock Market," Papers 2302.13245, arXiv.org.