Report NEP-FMK-2024-10-21

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:

• Miguel C. Herculano, 2024. "Betting Against (Bad) Beta," Papers 2409.00416, arXiv.org.
• Michael J. Fleming, 2024. "Has Treasury Market Liquidity Improved in 2024?," Liberty Street Economics 20240923, Federal Reserve Bank of New York.
• Fang Wang & Marko Gacesa, 2024. "Semi-strong Efficient Market of Bitcoin and Twitter: an Analysis of Semantic Vector Spaces of Extracted Keywords and Light Gradient Boosting Machine Models," Papers 2409.15988, arXiv.org.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Finance Without Exotic Risk," NBER Working Papers 33004, National Bureau of Economic Research, Inc.
• Henry Dyer & Michael J. Fleming & Or Shachar, 2024. "End‑of‑Month Liquidity in the Treasury Market," Liberty Street Economics 20240924, Federal Reserve Bank of New York.
• Junhyeong Lee & Inwoo Tae & Yongjae Lee, 2024. "Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization," Papers 2409.09684, arXiv.org.
• Elie Bouri & Oguzhan Cepni & Rangan Gupta & Ruipeng Liu, 2024. "Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility," Working Papers 202440, University of Pretoria, Department of Economics.
• Nicola Cetorelli & Saketh Prazad, 2024. "The Nonbank Footprint of Banks," Staff Reports 1118, Federal Reserve Bank of New York.