Report NEP-FMK-2025-01-27

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.

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Other reports in NEP-FMK

The following items were announced in this report:

• Shasha Yu & Qinchen Zhang & Yuwei Zhao, 2024. "S&P 500 Trend Prediction," Papers 2412.11462, arXiv.org.
• Jiajun Gu & Zichen Yang & Xintong Lin & Sixun Chen & YuTing Lu, 2024. "AI-Enhanced Factor Analysis for Predicting S&P 500 Stock Dynamics," Papers 2412.12438, arXiv.org.
• Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024. "Systemic Risk Measures: Taking Stock from 1927 to 2023," NBER Working Papers 33211, National Bureau of Economic Research, Inc.
• Maria Teresa Medeiros Garcia & Carolina e Silva Correia de Carvalho, 2025. "Measuring Sentiment: The Impact on Financial Markets Volatility," Working Papers REM 2025/0365, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Gang Huang & Xiaohua Zhou & Qingyang Song, 2024. "Dynamic Optimization of Portfolio Allocation Using Deep Reinforcement Learning," Papers 2412.18563, arXiv.org, revised Jan 2025.
• Akash Deep & Chris Monico & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2024. "Assessing the Impact of Technical Indicators on Machine Learning Models for Stock Price Prediction," Papers 2412.15448, arXiv.org.
• Adair Morse & Parinitha R. Sastry, 2024. "The Economics of Net Zero Banking," NBER Working Papers 33148, National Bureau of Economic Research, Inc.
• Yilie Huang & Yanwei Jia & Xun Yu Zhou, 2024. "Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study," Papers 2412.16175, arXiv.org.
• Olamilekan Shobayo & Sidikat Adeyemi-Longe & Olusogo Popoola & Bayode Ogunleye, 2024. "Innovative Sentiment Analysis and Prediction of Stock Price Using FinBERT, GPT-4 and Logistic Regression: A Data-Driven Approach," Papers 2412.06837, arXiv.org.
• Lin William Cong & Ke Tang & Danxia Xie & Weiyi Zhao, 2024. "FinTech Platforms and Asymmetric Network Effects: Theory and Evidence from Marketplace Lending," NBER Working Papers 33173, National Bureau of Economic Research, Inc.
• Yixuan Liang & Yuncong Liu & Boyu Zhang & Christina Dan Wang & Hongyang Yang, 2024. "FinGPT: Enhancing Sentiment-Based Stock Movement Prediction with Dissemination-Aware and Context-Enriched LLMs," Papers 2412.10823, arXiv.org.
• Laura Chioda & Paul Gertler & Sean Higgins & Paolina C. Medina, 2024. "FinTech Lending to Borrowers with No Credit History," NBER Working Papers 33208, National Bureau of Economic Research, Inc.
• Siqiao Zhao & Dan Wang & Raphael Douady, 2024. "PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning," Papers 2412.11019, arXiv.org.
• Zong Ke & Yuchen Yin, 2024. "Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms," Papers 2412.06193, arXiv.org.