I tweet quite a bit! It can involve random subjects such as burgers. However, the main objective of my Twitter account is to tweet about all thinks quant related, whether it’s trading strategies or the market or coding (in particular Python). To make sure I actually did this, several years ago, I started my #QuantLinkADay daily tweets, where I post at least one daily link to something quant related. After nearly 3 years, I’ve posted over a 1000 #QuantLinkADay resources, and I’m hoping to continue the tradition for the coming years too.
Typically, this involves tweeting papers which look particularly interesting. I try to focus on newer papers which have been published. Generally the papers are skewed towards FX, which is where I’ve been focused for my whole career. However, I do try to also include more general economics papers and from other related areas. I’d really like to read every paper I post, but given the sheer quantity of links I post, this is somewhat difficult. I do however, read the abstracts at the very least (well, at least until I can work out some machine learning algorithm to do this!!). There’s also a large number of other links, related to code libraries, particularly in Python, which I think are worth a look if you are a quant.
Below, I’ve collected all the #QuantLinkADay papers/libraries from 2018 to make it easier to browse, which I hope you’ll find useful. If you’re interested in the list from 2016, click here or from 2017 here! I’d also like to wish you a very merry Christmas and best of luck for 2019!
January 2018
01-Jan / Cryptocurrencies / Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity
02-Jan / Equities / An Artificial Neural Network-based Stock Trading System Using Technical Analysis and Big Data Framework
03-Jan / Equities / The relationship between trading volumes, number of transactions, and stock volatility in GARCH models
04-Jan / Quant / A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
05-Jan / Code library / ruptures: change point detection in Python
06-Jan / Economics / Inflation Targeting as a Shock Absorber
07-Jan / Economics / A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices
08-Jan / Equities / Monetary Policy Through Production Networks: Evidence from the Stock Market
09-Jan / Economics / Fearing the Fed: How Wall Street Reads Main Street
10-Jan / Cryptocurrencies / Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses
11-Jan / Cryptocurrencies / The Impact of Futures Trading on Intraday Spot Volatility and Liquidity: Evidence from Bitcoin Market
12-Jan / Cryptocurrencies / The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound?
13-Jan / Cryptocurrencies / Conditional Heteroskedasticity in Crypto-Asset Returns
14-Jan / Cryptocurrencies / Modelling Crypto-Currencies Financial Time-Series
15-Jan / FX / Modelling FX Realized Volatility Using High Frequency Data: Long Memory Versus Structural Breaks
16-Jan / FX / Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on the Demand for Money in Korea?
17-Jan / Cryptocurrencies / Periodic Table of Cryptocurrencies: Blockchain Categorization
18-Jan / Economics / Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization
19-Jan / Economics / Financial Variables and Macroeconomic Forecast Errors
20-Jan / Economics / Monetary Policy Transmission and Trade-Offs in the United States: Old and New
21-Jan / FX / Currency Risk Factors in a Recursive Multicountry Economy
22-Jan / FX / Do Stock Markets Have Predictive Content for Exchange Rate Movements?
23-Jan / FX / Modelling Volatility Transmission in the Forex Market Using High-Frequency Data
24-Jan / FX / Currency Mismatches and Vulnerability to Exchange Rate Shocks: Nonfinancial Firms in Colombia
25-Jan / Fixed income / Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan
26-Jan / Economics / Macroeconomic Effects of High Interest Rate Policy: Mexico’s Experience
27-Jan / Economics / Quantitative Easing and the “New Normal” in Monetary Policy
28-Jan / Economics / Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective
29-Jan / Economics / Intermediation Markups and Monetary Policy Pass-Through
30-Jan / Economics / The Effects of a Low Interest Rate Environment on Life Insurers
31-Jan / FX / Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets
February 2018
01-Feb / FX / Nonlinear State and Shock Dependence of Exchange Rate Pass Through on Prices
02-Feb / Economics / Interest Rate Autonomy in Presence of FX Stability: Evidence from 13 Selected Asia Pacific Countries
03-Feb / Economics / A Trendy Approach to UK Inflation Dynamics
04-Feb / Economics / Forward Guidance and Heterogeneous Beliefs
05-Feb / Economics / Systemic Risk: A New Trade-Off for Monetary Policy?
06-Feb / Fixed income / ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
07-Feb / Economics / Central Bank Forward Guidance and the Signal Value of Market Prices
08-Feb / FX / Boom and Bust Cycles in Emerging Markets: How Important is the Exchange Rate?
09-Feb / Economics / Household Debt and Monetary Policy: Revealing the Cash-Flow Channel
10-Feb / Economics / Should Monetary Policy Pay Attention to House Prices? The Czech National Bank’s Approach
11-Feb / FX / Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes
12-Feb / FX / Solvency Risk Premia and the Carry Trades
13-Feb / FX / Global Trade and the Dollar
14-Feb / FX / The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment
15-Feb / NLP / VADER: A Parsimonious Rule-based Model forSentiment Analysis of Social Media Text
16-Feb / Economics / Monetary Policy and the Asset Risk-Taking Channel
17-Feb / Economics / Central Bank Independence Revisited
18-Feb / Economics / Monetary vs. Non-Monetary Macro News: Announcement Equity Premium in China
19-Feb / FX / Judgement Day: algorithmic trading around the Swiss franc cap removal
20-Feb / Cryptocurrencies / Predicting short-term Bitcoin price fluctuations from buy and sell orders
21-Feb / FX / The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging
22-Feb / FX / Systematic Intervention and Currency Risk Premia
23-Feb / FX / Onshore and Offshore Renminbi Price Differential: Impact of Market Sentiment and Policy Reforms
24-Feb / FX / Carry Trade Returns and Segmented Risk Pricing
25-Feb / FX / Currency Hedging of International Bond Portfolios: Effects of Unconventional Monetary Policy Regimes
26-Feb / FX / Exchange Rate Movements, Firm-Level Exports and Heterogeneity
27-Feb / FX / Reserve Currency Blocs: A Changing International Monetary System?
28-Feb / Economics / A Model of the Federal Funds Market: Yesterday, Today, and Tomorrow
March 2018
01-Mar / Economics / Asymmetric Effects of Monetary Policy in Regional Housing Markets
02-Mar / Credit / The Effect of Macroeconomic Announcements on Credit Markets: An Autometric General-to-Specific Analysis of the Greenspan Era
03-Mar / FX / Understanding the Volatility of the Canadian Exchange Rate
04-Mar / FX / Money in Spain. New Historical Statistics. 1830-1998
05-Mar / Economics / The Changing Fortunes of Central Banking
06-Mar / Fixed income / US Monetary Policy and International Bond Markets
07-Mar / FX / Leaving a Mark on the Euro
08-Mar / FX / Implementation of an Adjusted RSI Model in FX and Energy Markets of EM/DM
09-Mar / Commodities / Oil prices and inflation expectations
10-Mar / FX / An Intermediation-Based Model of Exchange Rates
11-Mar / FX / Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation
12-Mar / FX / Carry Trades Based on Option-Implied Information: Evidence from a Cross-Section of Funding FX
13-Mar / FX / Monetary Policy Spillovers Through Invoicing Currencies
14-Mar / Cryptocurrencies / Cryptomarket Discounts
15-Mar / FX / Intraday Patterns in Foreign Exchange Returns and Realized Volatility
16-Mar / Cryptocurrencies / Excess Volatility as an Impediment for a Digital Currency
17-Mar / Economics / Effects of US Quantitative Easing on Emerging Market Economies
18-Mar / Cryptocurrencies / The Case for a 21 Million Bitcoin Conspiracy
19-Mar / Equities / Volatility in Equity Markets and Monetary Policy Rate Uncertainty
20-Mar / Economics / Overnight Index Swap Market-Based Measures of Monetary Policy Expectations
21-Mar / Fixed income / Underpricing, Volatility and Demand in U.S. Treasury Auctions
22-Mar / Fixed income / Long-Term Interest Rates and Bank Loan Supply: Evidence from Firm-Bank Loan-Level Data
23-Mar / FX / Fiscal Policy in a Currency Union at the Zero Lower Bound
24-Mar / Economics / The Riksbank, Emergency Finance, Policy Experimentation, and Sweden’s Reversal of Fortune
25-Mar / FX / Foreign Safe Asset Demand and the Dollar Exchange Rate
26-Mar / Cryptocurrencies / Cryptocurrencies as a Financial Asset: A Systematic Analysis
27-Mar / FX / Breakdown of Covered Interest Parity: Mystery or Myth?
28-Mar / FX / Central Bank Reserve Management and International Financial Stability-Some Post-Crisis Reflections
29-Mar / Trading / Universal features of price formation in financial markets: perspectives from Deep Learning
30-Mar / Trading / Optimal liquidity-based trading tactics
31-Mar / Trading / Market Impact: A systematic study of limit orders
April 2018
01-Apr / Trading / Theoretical and empirical analysis of trading activity
02-Apr / FX / Importance of Transaction Costs for Asset Allocations in FX Markets
03-Apr / FX / Detecting Currency Manipulation: An Application Of State-Spacemodel with Markov Switching
04-Apr / Economics / Dealing with Time-Inconsistency: Inflation Targeting vs. Exchange Rate Targeting
05-Apr / FX / News Shocks, Monetary Policy, and Foreign Currency Positions
06-Apr / FX / Does Sovereign Risk in Local and Foreign Currency Differ?
07-Apr / Economics / From the World’s Factory to a World Creditor: China’s External Wealth and Excess Returns, 1997-2016
08-Apr / Economics / With Little Help from Friends: Survey-Based Der of Euro Area Short Rate Exp at Effective Lower Bound
09-Apr / Economics / The International Transmission of Monetary Policy
10-Apr / Economics / Financial Cycles in Euro Area Economies: A Cross-Country Perspective
11-Apr / FX / Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
12-Apr / Trading / Large large-trader activity weakens the long memory of limit order markets
13-Apr / Cryptocurrencies / Scaling properties of extreme price fluctuations in Bitcoin markets
14-Apr / FX / FX Hedging and Creditor Rights
15-Apr / FX / Revisiting Exchange Rate Puzzles
16-Apr / FX / US Monetary Policy Uncertainty and Currency Risk Premia
17-Apr / FX / Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach
18-Apr / Economics / Breakdown of Covered Interest Parity: Mystery or Myth?
19-Apr / Economics / Do Interest Rates Play a Major Role in Monetary Policy Transmission in China?
20-Apr / Economics / The Enduring Link between Demography and Inflation
21-Apr / Cryptocurrencies / Some Simple Bitcoin Economics
22-Apr / Economics / Detrending and Financial Cycle Facts Across G7 Countries: Mind a Spurious Medium Term!
23-Apr / Fixed income / The Impact of the Bank of England’s Corporate Bond Purchase Scheme on Yield Spreads
24-Apr / Equities / The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study
25-Apr / Trading / Market Making via Reinforcement Learning
26-Apr / Cryptocurrencies / Conditional Tail-Risk in Cryptocurrency Markets
27-Apr / FX / A Synergistic Forecasting Model for High-Frequency FX Data
28-Apr / Equities / Stock Market Effects of ECB’s Asset Purchase Programmes: Firm-Level Evidence
29-Apr / Economics / How Banks Respond to Negative Interest Rates: Evidence from the Swiss Exemption Threshold
30-Apr / Economics / A New Approach for Detecting Shifts in Forecast Accuracy
May 2018
01-May / Economics / Criteria for ‘Good’ Justifications
02-May / Economics / The Distributional Impact of Monetary Policy Easing in the UK between 2008 and 2014
03-May / Economics / Listening to the Buzz: Social Media Sentiment and Retail Depositors’ Trust
04-May / Economics / (Real-)Time is Money
05-May / Economics / The FOMC Versus the Staff, Revisited: When Do Policymakers Add Value?
06-May / Economics / How Hard is the Euro Area Core?: An Evaluation of Growth Cycles Using Wavelet Analysis
07-May / Economics / Analyzing the Impact of Monetary Policy on Financial Markets in Chile
08-May / FX / Multihorizon Currency Returns and Purchasing Power Parity
09-May / FX / The Profitability of Carry Trades: Reality or Illusion?
10-May / FX / Global Liquidity and Exchange Market Pressure in Emerging Market Economies
11-May / FX / Pricing Implications of Covariances and Spreads in Currency Markets
12-May / FX / Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
13-May / Economics / Revisiting the Current Account: Insights from Sectoral Balances
14-May / FX / Forward Volatility Dynamics in Stochastic Volatility Models Driven by a Gamma Process
15-May / FX / Consumer Arbitrage in Cross-Border E-Commerce
16-May / FX / Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach
17-May / Economics / Mexico’s Monetary Policy Communication and Money Markets
18-May / Economics / The Impact of Monetary Policy Interventions on the Insurance Industry
19-May / Economics / Central Banking Below Zero: The Implementation of Negative Interest Rate Policies in Europe and Japan
20-May / Economics / Who Benefits from the Corporate QE? A Regression Discontinuity Design Approach
21-May / Economics / Follow What I Do, and Also What I Say: Monetary Policy Impact on Brazil’s Financial Markets
22-May / Economics / Liquidity Regulation and Financial Intermediaries
23-May / Equities / Seasonal Effects and Other Anomalies
24-May / Equities / More than Just Noise? Examining the Information Content of Stock Microblogs on Financial Markets
25-May / Trading / Testing Futures Trading Strategy Assumptions
26-May / Trading / Risk Neutral Skewness and Momentum Crashes
27-May / FX / Currency Management with Style
28-May / FX / Systematic Currency Volatility Risk Premia
29-May / FX / ECB Monetary Policy and the Euro Exchange Rate
30-May / FX / Exchange-Rate Exposure in a ‘Rule of Three’ Model
31-May / Trading / Frictions in the Interbank Market: Evidence from Volumes
June 2018
01-Jun / Economics / The Effect of Regional Economic Conditions on U.S. Monetary Policy
02-Jun / FX / Estimating a Latent Risk Premium in Exchange Rate Futures
03-Jun / FX / Carry On
04-Jun / FX / Exchange-Rate Exposure in a ‘Rule of Three’ Model
05-Jun / FX / Exchange Rate Forecasting on a Napkin
06-Jun / Cryptocurrencies / Central Bank Digital Currencies – Design Principles and Balance Sheet Implications
07-Jun / Economics / A High-Frequency Assessment of the ECB Securities Markets Programme
08-Jun / FX / US Monetary Policy Uncertainty and Currency Risk Premia
09-Jun / Economics / The term structure of redenomination risk
10-Jun / Trading / Incorporating Signals into Optimal Trading
11-Jun / Trading / Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach
12-Jun / Equities / LSTM Networks for CSI300 Volatility Prediction with Baidu Search Volume
13-Jun / Equities / Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
14-Jun / FX / The Emergence of the RMB: A ‘New Normal’ for China’s Exchange Rate System?
15-Jun / Cryptocurrencies / Machine Learning the Cryptocurrency Market
16-Jun / Economics / The Risk-Taking Channel of Monetary Policy Transmission in the Euro-Area
17-Jun / Economics / Central Bank Communication and the Yield Curve
18-Jun / Economics / Foreign Effects of Higher U.S. Interest Rates
19-Jun / Economics / “Unconventional” Monetary Policy as Conventional Monetary Policy: A Perspective from US In 1920s
20-Jun / Cryptocurrencies / Broadening Narrow Money: Monetary Policy with a Central Bank Digital Currency
21-Jun / Economics / Economic Policy Uncertainty Spillovers in Booms and Busts
22-Jun / Economics / Targeting Financial Stability: Macroprudential or Monetary Policy?
23-Jun / Economics / Residential Investment and Economic Activity: Evidence from the Past Five Decades
24-Jun / Economics / A Macroeconomic Approach to the Term Premium
25-Jun / Trading / Electronic Market Making and Latency
26-Jun / FX / Foreign Exchange Markets with Last Look
27-Jun / FX / Order-book modelling and market making strategies
28-Jun / FX / Return-Volatility Linkages in the International Equity and Currency Markets
29-Jun / FX / Accumulation of Foreign Currency Reserves and Risk-Taking
30-Jun / FX / Predictability and Good Deals in Emerging and Developed Currency Markets: The Role of Spot vs. Forward Speculation
July 2018
01-Jul / FX / The Emergence of the RMB: A ‘New Normal’ for China’s Exchange Rate System?
02-Jul / FX / Recent RMB Policy and Currency Co-Movements
03-Jul / FX / Exchange Rate Regimes and the International Transmission of Business Cycles: Capital Account Openness Matters
04-Jul / Economics / Interest-Parity Conditions During the Era of the Classical Gold Standard (1880 -1914)
05-Jul / FX / What Drives Currency Market Returns?: A Present-Value Approach
06-Jul / Economics / Trade Agreements and Global Pacts, Trade Deals and Trade Incursions (Presentation Slides)
07-Jul / Economics / Does Monetary Policy Regime Determine the Nature of Money Supply?: 7 Countries in Asia-Pacific
08-Jul / Economics / The Money View Versus the Credit View
09-Jul / Economics / Network Effects of Monetary Policy: Evidence from Global Value Chains
10-Jul / Economics / The Fed and the Stock Market: A Tale of Sentiment States
11-Jul / Cryptocurrencies / The Holy Grail of Crypto Currencies: Ready to Replace Fiat Money?
12-Jul / Economics / The Likelihood of Effective Lower Bound Events
13-Jul / Economics / Central Banks Going Long
14-Jul / Economics / Optimal Fiscal Policy with Labor Selection
15-Jul / Cryptocurrencies / Regulation of Initial Coin Offerings: Reconciling US and EU Securities Laws
16-Jul / Economics / Asset Price Volatility in EU-6 Economies: How Large is the Role Played by the ECB?
17-Jul / Economics / The Natural Rate of Interest and the Financial Cycle
18-Jul / Trading / Trading Cointegrated Assets with Price Impact
19-Jul / Trading / Financial Trading as a Game: A Deep Reinforcement Learning Approach
20-Jul / Trading / The microstructure of high frequency markets
21-Jul / Trading / Testing if market microstructure noise is explained by informational content of variables from LOB
22-Jul / Trading / Uncovered Equity ‘Disparity’ in Emerging Markets
23-Jul / Economics / US Monetary Policy and its Impact on Managed Exchange Rates
24-Jul / Economics / The Global Factor in Neutral Policy Rates: Implications for FX, Monetary Policy, & Policy Coordination
25-Jul / Economics / Economic Policy Uncertainty Spillovers in Booms and Busts
26-Jul / Economics / Leaning Against Housing Prices as Robustly Optimal Monetary Policy
27-Jul / Economics / The Rise and Fall of the Natural Interest Rate
28-Jul / Cryptocurrencies / The Macroeconomic Policy Implications of Digital Fiat Currency
29-Jul / Cryptocurrencies / Regulation of Initial Coin Offerings: Reconciling US and EU Securities Laws
30-Jul / FX / Entropy Analysis of Financial Time Series
31-Jul / Trading / Liquidity in Competitive Dealer Markets
August 2018
01-Aug / Cryptocurrencies / Atomic Swaptions: Cryptocurrency Derivatives
02-Aug / FX / News-based trading strategies
03-Aug / Economics / On the Macroeconomic Performance of the Euro Area
04-Aug / Economics / Liquidity Traps and Large-Scale Financial Crisis
05-Aug / FX / The Dollar Ahead of FOMC Target Rate Changes
06-Aug / FX / An Interest-Rate-Spread-Based Measure of Turkish Monetary Policy
07-Aug / Economics / International Monetary Policy Spillovers
08-Aug / Economics / Real Exchange Rates, Economic Complexity, and Investment
09-Aug / Economics / The Parametrization of an International Equity Portfolio: A Decomposition of Global Momentum Returns
10-Aug / FX / Day of the Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey
11-Aug / FX / The Effects of Exchange Rate Fluctuations on Economic Activity in Turkey
12-Aug / FX / Detecting Persistent One-Sided Intervention in Foreign Exchange Markets: A Simple Test
13-Aug / FX / News Sentiment and Overshooting of Exchange Rates
14-Aug / Economics / An Early Warning System for Predicting Systemic Banking Crises in the Eurozone: A Logit Regression Approach
15-Aug / Cryptocurrencies / Everything You Always Wanted to Know About Bitcoin Modelling but Were Afraid to Ask. Part 2
16-Aug / Economics / Quantitative or Qualitative Forward Guidance: Does it Matter?
17-Aug / Economics / Central Bank Communication and Monetary Policy Surprises in Chile
18-Aug / Economics / Monetary Policy, External Instruments and Heteroskedasticity
19-Aug / Trading / Trading Costs
20-Aug / Equities / The Parametrization of an International Equity Portfolio: A Decomposition of Global Momentum Returns
21-Aug / FX / Currency Carry Trades and the Conditional Factor Model
22-Aug / Cryptocurrencies / Everything You Always Wanted to Know About Bitcoin Modeling But Were Afraid to Ask – Part 1
23-Aug / Economics / The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror
24-Aug / Economics / International Monetary Policy Spillovers Through the Bank Funding Channel
25-Aug / FX / Money, Sovereignty, and Optimal Currency Areas
26-Aug / Economics / Enhancing Central Bank Communications with Behavioural Insights
27-Aug / FX / Mean Reversion Properties in Real Effective Exchange Rates
28-Aug / FX / Do External Imbalances Matter in Explaining the Cross-Section of FX Excess Returns?
29-Aug / FX / The Relative Effectiveness of Spot and Derivatives Based Intervention
30-Aug / Cryptocurrencies / Trading Volume in Cryptocurrency Markets
31-Aug / Fixed income / Computer-Based Trading, Institutional Investors and Treasury Bond Returns
September 2018
01-Sep / Equities / How Much Does the Fed Care About Stock Prices?
02-Sep / Economics / Some Implications of Uncertainty and Misperception for Monetary Policy
03-Sep / Economics / Money-Financed Fiscal Stimulus: The Effects of Implementation Lag
04-Sep / Economics / Re-Evaluating the Effectiveness of Inflation Targeting
05-Sep / Economics / What to Expect From the Lower Bound on Interest Rates: Evidence from Derivatives Prices
06-Sep / Economics / Terms of Trade Externality, Sterilized Interventions and Optimal Chinese Monetary Policy
07-Sep / Economics / Trade and Currency Weapons
08-Sep / FX / Liquidity Provision in the Foreign Exchange Market
09-Sep / Economics / Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea
10-Sep / Economics / Quantitative or Qualitative Forward Guidance: Does it Matter?
11-Sep / Economics / The Macroeconomic Effects of Macroprudential Policy
12-Sep / Cryptocurrencies / Topological recognition of critical transitions in time series of cryptocurrencies
13-Sep / Economics / Identifying long-term precursors of financial market crashes using correlation patterns
14-Sep / Cryptocurrencies / Dissection of Bitcoin’s Multiscale Bubble History from January 2012 to February 2018
15-Sep / Economics / “Read My Lips”: Using Automatic Text Analysis to Classify Politicians by Party and Ideology
16-Sep / Economics / Multiplicative random cascades with additional stochastic process in financial markets
17-Sep / FX / Internalisation by electronic FX spot dealers
18-Sep / Economics / Oil, Equities, and the Zero Lower Bound
19-Sep / FX / An Intermediation-Based Model of Exchange Rates
20-Sep / Economics / The Role of Central Bank Knowledge and Trust for the Public’s Inflation Expectations
21-Sep / Trading / Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
22-Sep / Economics / The Other Way: A Narrative History of the Bank of France
23-Sep / Economics / The Real Effects of Fed Intervention: Revisiting the 1920-1921 Depression
24-Sep / Economics / The Macroeconomic Effects of Macroprudential Policy
25-Sep / Economics / Reserve Requirements and Capital Flows in Latin America
26-Sep / Economics / Banks, Money and the Zero Lower Bound
27-Sep / Economics / Trends in the Diffusion of Misinformation on Social Media
28-Sep / Trading / BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange
29-Sep / Trading / Mathematics of Market Microstructure under Asymmetric Information
30-Sep / Trading / Diversification, Volatility, and Surprising Alpha
October 2018
01-Oct / Trading / Dealing with the Dimensionality Curse in Dynamic Pricing Competition: Using Frequent Repricing to Compensate Imperfect Market Anticipations
02-Oct / Economics / Global Trends in Interest Rates
03-Oct / FX / Interrelations Among Cross-Currency Basis Swap Spreads: Pre-And Post-Crisis Analysis
04-Oct / Economics / Monetary Policy with Negative Interest Rates: Decoupling Cash from Electronic Money
05-Oct / Economics / Understanding Euro Area Inflation Dynamics: Why so Low for so Long?
06-Oct / FX / FX Intervention & Reserve Management in Switzerland & Israel Since Financial Crisis: Comparison & Policy Lessons
07-Oct / Cryptocurrencies / Cryptocurrencies: A Crash Course in Digital Monetary Economics
08-Oct / Economics / Monetary Policy and Long-Run Systemic Risk-Taking
09-Oct / Economics / Banking in a Steady State of Low Growth and Interest Rates
10-Oct / Economics / Ray Dalio: Big Debt Crisis (free version available from Dalio)
11-Oct / Economics / Asymmetry in Inflation Targeting
12-Oct / Economics / Monetary Policy Across Space and Time
13-Oct / Economics / Matlab, Python, Julia: What to Choose in Economics?
14-Oct / Economics / Understanding Lowflation
15-Oct / Cryptocurrencies / The Cross-Section of Cryptocurrency Returns
16-Oct / FX / Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks
17-Oct / FX / The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging
18-Oct / Economics / (Un)conventional policy and the effective lower bound
19-Oct / Economics / Macroeconomic Policies and Transmission Dynamics in India
20-Oct / Economics / Decomposing the Term Structure of Interests Rates: Evidence from a Small Open Economy
21-Oct / Economics / Understanding Lowflation
22-Oct / Equities / Time Connectedness of Fear
23-Oct / FX / Heterogeneous Information Content of Global FX Trading
24-Oct / FX / Currency Risk and Central Banks
25-Oct / FX / Cross-Currency Consistency, 3-Part SDF Factor & Imposs Theorem for Stationarity of FX in Inter Eco
26-Oct / FX / The Effect of Exchange Rate Shocks on Firm-Level Exports: Evidence from the Brexit Vote
27-Oct / FX / International Yield Curves and Currency Puzzles
28-Oct / Economics / Taylor Rule Estimation by OLS
29-Oct / Economics / Is the Cost of a Safer Banking System Lower Economic Activity?
30-Oct / FX / The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging
31-Oct / FX / Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark
November 2018
01-Nov / FX / Global Trends in Interest Rates
02-Nov / FX / Trading Events: Smiles, Frowns and Moustaches – the Many Faces of the Options Market
03-Nov / FX / Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis
04-Nov / FX / An Intermediation-Based Model of Exchange Rates
05-Nov / FX / The Yen Risk Premium: A Story of Regime Shifts in Bond Markets
06-Nov / Economics / Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
07-Nov / FX / Eurozone Exit: Political, Institutional, Monetary and Economic Issues. An Analysis of the Key Stress Points of the Single Currency and Their Interactions
08-Nov / Economics / Predictors of Bank Distress: The 1907 Crisis in Sweden
09-Nov / Economics / Spread the Word: International Spillovers from Central Bank Communication
10-Nov / Economics / Ctrl C Ctrl Pay: Do People Mirror Payment Behaviour of Their Peers?
11-Nov / Economics / Speed limit policy and liquidity traps
12-Nov / Economics / The Transformation of Economic Analysis at the Federal Reserve During the 1960s
13-Nov / Fixed income / Quanto CDS Spreads
14-Nov / FX / Conditional Exchange Rate Pass-Through: Evidence from Sweden
15-Nov / FX / Global Currency Hedging with Common Risk Factors
16-Nov / FX / Understanding the Aspects of Federal Reserve Forward Guidance
17-Nov / Cryptocurrencies / Should the Central Bank Issue E-Money?
18-Nov / Economics / Why Does the Yield-Curve Slope Predict Recessions?
19-Nov / Economics / Business Cycle with Bank Intermediation in Oil Economies
20-Nov / Economics / Estimating the Demand for Reserve Assets Across Diverse Groups
21-Nov / FX / Exchange Rate Predictability and Dynamic Bayesian Learning
22-Nov / FX / Economic Policy Uncertainty and Dollar-Pound Exchange Rate Return Volatility
23-Nov / Economics / Does a big bazooka matter? Central bank balance-sheet policies and exchange rates
24-Nov / Economics / Monetary policy and bank equity values in a time of low interest rates
25-Nov / Economics / Are the Minutes of the Bank of Korea Informative on the Policy Rate Decisions?
26-Nov / FX / Flight-to-Safety and the Credit Crunch: A New History of the Banking Crisis in France During the Great Depression
27-Nov / FX / Exchange Rate Predictability and Dynamic Bayesian Learning
28-Nov / FX / Trading Volume, Illiquidity and Commonalities in FX Markets
29-Nov / FX / Uncertainty and Exchange Rate Volatility: The Case of Mexico
30-Nov / Economics / The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy
December 2018
01-Dec / Economics / Global Inflation Dynamics and Inflation Expectations
02-Dec / Economics / Deep Learning for Assessing Banks’ Distress from News and Numerical Financial Data
03-Dec / Cryptocurrencies / Bitcoin: Quo Vadis? a Forecast Based on Estimated Production Costs and Investor Preferences
04-Dec / FX / Foreign Exchange Order Flow as a Risk Factor
05-Dec / FX / Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark
06-Dec / Cryptocurrencies / Regulating Cryptocurrencies: Assessing Market Reactions
07-Dec / FX / Spoofing and Pinging in Foreign Exchange Markets
08-Dec / Cryptocurrencies / The Anatomy of a Cryptocurrency Pump-and-Dump Scheme
09-Dec / Equities / Bull Bear Balance: A Cluster Analysis of Socially Informed Financial Volatility
10-Dec / Trading / BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
11-Dec / Trading / Static vs Adaptive Strategies for Optimal Execution with Signals
12-Dec / FX / Intermediary Leverage and Currency Risk Premium
13-Dec / FX / The Dollar During the Global Recession: Us Monetary Policy and the Exorbitant Duty
14-Dec / FX / Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model
15-Dec / Cryptocurrencies / Regulating Cryptocurrencies: Assessing Market Reactions
16-Dec / Economics / Central Banks’ Communication as Reputation Management: How the Fed Talks Under Uncertainty
17-Dec / Economics / Monetary Policy Communication Shocks and the Macroeconomy
18-Dec / Economics / Communication without Consensus: Forward Guidance, Central Bank Projections, and Private Sector Expectations
19-Dec / Economics / Cross-Border Bank Flows and Monetary Policy
20-Dec / Economics / Quantitative Easing and the UK Stock Market: Does the Bank of England Information Dissemination Strategy Matter?
21-Dec / Economics / Should the Fed Regularly Evaluate its Monetary Policy Framework?
22-Dec / Cryptocurrencies / 2ND GLOBAL CRYPTOASSET BENCHMARKING STUDY