Report NEP-FMK-2023-11-06

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:

• Raquel M. Gaspar & Xu Jiaming, 2023. "Consumer Confidence and Stock Markets' Returns," Working Papers REM 2023/0292, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Zach Y. Brown & Mark L. Egan & Jihye Jeon & Chuqing Jin & Alex A. Wu, 2023. "Why Do Index Funds Have Market Power? Quantifying Frictions in the Index Fund Market," NBER Working Papers 31778, National Bureau of Economic Research, Inc.
• A. H. Nzokem, 2023. "Bitcoin versus S&P 500 Index: Return and Risk Analysis," Papers 2310.02436, arXiv.org.
• Hsiang-Hui Liu & Han-Jay Shu & Wei-Ning Chiu, 2023. "NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading," Papers 2310.00747, arXiv.org, revised Oct 2023.
• Vaibhav Sherkar & Rituparna Sen, 2023. "Study of Stylized Facts in Stock Market Data," Papers 2310.00753, arXiv.org.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023. "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Working Papers 2023-25, Faculty of Economic Sciences, University of Warsaw.
• Zhengyong Jiang & Jeyan Thiayagalingam & Jionglong Su & Jinjun Liang, 2023. "CAD: Clustering And Deep Reinforcement Learning Based Multi-Period Portfolio Management Strategy," Papers 2310.01319, arXiv.org.