Hundreds of quant papers from #QuantLinkADay in 2019

I probably tweet too much. Some tweets are on burgers (well, they are pretty important I suppose). Other tweets will constitute puns, which I find mildly amusing, but most term as “dad jokes”. Among all of these tweets, there is also stuff about Python and quant more generally. In particular, I tweet out #QuantLinkADay, which largely consists of links to recent quant papers on financial markets. I’ll also sometimes tweet about interesting Python libraries I’ve seen for data science/quants. Ok, I admit I haven’t read every single paper, but I do try to read the abstracts at the very least to see if they could be relevant for folks like me looking at markets from a quant perspective (so no, I can’t guarantee that every single paper will necessarily be useful for you!)


It’s nearly the end of the year. Christmas has gone (and I hope you all had a great time over the festive season). Ahead of us is the new year, and indeed, the new decade. I would love to make lavish predictions about what the next year holds and perhaps even the decade. Instead, I’ve decided to aggregate all the #QuantLinkADay papers I’ve tweeted throughout the year, below in a single article! Hopefully, this will make it easier to browse through.


If you’re interested in the list from 2016, click here or from 2017 here and also the list from 2018. I’d also like to wish you a very merry Christmas and best of luck for 2020!


January 2019

01-Jan / Economics / Quantitative Easing, Collateral Constraints, and Financial Spillovers

02-Jan / FX / What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies

03-Jan / FX / Online Appendix to “Heterogeneous Information Content of Global FX Trading”

04-Jan / Trading / 151 Trading Strategies

05-Jan / Economics / The Effect of the Federal Reserve’s Securities Holdings on Longer-term Interest Rates

06-Jan / Economics / Mortgage Debt, Hand-to-Mouth Households, and Monetary Policy Transmission

07-Jan / Fixed income / Can the Us Interbank Market Be Revived?

08-Jan / Economics / The Paradox of Global Thrift

09-Jan / FX / Price Discovery and Liquidity for Competing Exchange Rates

10-Jan / FX / Competition-Adjusted Measures of Real Exchange Rates

11-Jan / FX / Exchange Rate Solutions With Currency Crashes

12-Jan / Trading / How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades

13-Jan / Equities / Emergence of stylized facts during the opening of stock markets

14-Jan / Trading / Calibrating rough volatility models: a convolutional neural network approach

15-Jan / Cryptocurrencies / The Price of BitCoin: GARCH Evidence from High Frequency Data

16-Jan / Equities / Multimodal deep learning for short-term stock volatility prediction

17-Jan / Commodities / Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies

18-Jan / FX / Foreign Currency Borrowing, Balance Sheet Shocks and Real Outcomes

19-Jan / FX / Higher Moments and Exchange Rate Behavior

20-Jan / FX / A Simple Explanation of Biased Movements of Renminbi Exchange Rate

21-Jan / Economics / Deciphering Monetary Policy Board Minutes Through Text Mining Approach: The Case of Korea

22-Jan / Economics / A Large Central Bank Balance Sheet? Floor vs Corridor Systems in a New Keynesian Environment

23-Jan / Economics / Non-Monetary News in Central Bank Communication

24-Jan / Economics / Measuring Financial Cycle Time

25-Jan / Economics / The Passthrough of Treasury Supply to Bank Deposit Funding

26-Jan / FX / Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies

27-Jan / Fixed income / Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads

28-Jan / Economics / More Is Different … and Complex!: The Case for Agent-Based Macroeconomics

29-Jan / Economics / The Tone of the Beige Book and the Pre-FOMC Announcement Drift

30-Jan / FX / Exchange Rate vs Foreign Price Passthrough Gap: Evidence From the European Gasoline Market

31-Jan / FX / A Multi Strategy Approach to Trading Foreign Exchange Futures


February 2019

01-Feb / Cryptocurrencies / Currency Substitution under Transaction Costs

02-Feb / FX / Currency Returns in Different Time Zones

03-Feb / Economics / Central Bank Independence in New Zealand: Public Knowledge About and Attitude Towards the Policy Target Agreement

04-Feb / Economics / Medium Term Treatment and Side Effects of Quantitative Easing: International Evidence

05-Feb / Economics / On Processing Central Bank Communications: Can We Account for Fed Watching?

06-Feb / Economics / Macroeconomic Effects of China’s Financial Policies

07-Feb / Economics / Measuring Financial Cycle Time

08-Feb / Economics / Together or Apart? Monetary Policy Divergences in the G4

09-Feb / Economics / Has the ECB’s Monetary Policy Prompted Companies to Invest or Pay Dividends?

10-Feb / Economics / The Natural Rate of Interest: Estimates, Drivers, and Challenges to Monetary Policy

11-Feb / FX / Dealer information and macro fundamentals – New evidence from hybrid exchange rate models

12-Feb / FX / Dollar Safety and the Global Financial Cycle

13-Feb / FX / Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning

14-Feb / Economics / Monetary Policy and Bank Profitability, 1870 – 2015

15-Feb / Cryptocurrencies / Beyond the Doomsday Economics of ‘Proof-of-Work’ in Cryptocurrencies

16-Feb / Trading / Market Impact: A Systematic Study of the High Frequency Options Market

17-Feb / Economics / On Money, Debt, Trust and Central Banking

18-Feb / Economics / Outlier Detection in TARGET2 Risk Indicators

19-Feb / Cryptocurrencies / Central Bank Digital Currency and Banking

20-Feb / FX / Currency mispricing and dealer balance sheets

21-Feb / Economics / Identification of Interbank Loans and Interest Rates from Interbank Payments – A Reliability Assessment

22-Feb / Economics / Leaning Against the Wind’, Macroprudential Policy and the Financial Cycle

23-Feb / Economics / ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies

24-Feb / Economics / China’s Monetary Policy Communication: Frameworks, Impact, and Recommendations

25-Feb / Cryptocurrencies / Central Bank Digital Currencies: Preliminary Legal Observations

26-Feb / FX / Correlation Patterns in Foreign Exchange Markets

27-Feb / Trading / Market fragmentation and market consolidation

28-Feb / Risk / Risk management with machine-learning-based algorithms


March 2019

01-Mar / Trading / The Illusion of Success and the Nature of Reward

02-Mar / Cryptocurrencies / Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance

03-Mar / Equities / Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities

04-Mar / Cryptocurrencies / Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network

05-Mar / Trading / Optimal VWAP execution under transient price impact

06-Mar / Fixed income / Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds

07-Mar / FX / Oil Prices, Exchange Rates and Interest Rates

08-Mar / FX / Political Risk and Real Exchange Rate: What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?

09-Mar / Economics / What Do Central Bankers Do? Evidence from the European Central Banks’ Executive Board

10-Mar / Economics / 57 Channels (and Nothin on) – Does Tv-News on the Eurozone Affect Government Bond Yield Spreads?

11-Mar / FX / New Evidence on the Portfolio Balance Approach to Currency Returns

12-Mar / Economics / Safe Assets: Made, Not Just Born

13-Mar / FX / Connectedness between G10 Currencies: Searching for the Causal Structure

14-Mar / Economics / Measuring Monetary Policy Surprises Using Text Mining: The Case of Korea

15-Mar / FX / From carry trades to trade credit: financial intermediation by non-financial corporations

16-Mar / FX / Currency Regimes and the Carry Trade

17-Mar / Economics / Economic Slowdown and Housing Dynamics in China: A Tale of Two Investments by Firms

18-Mar / Economics / On the Global Impact of Risk-off Shocks and Policy-put Frameworks

19-Mar / Economics / The Zero Lower Bound, Forward Guidance and How Markets Respond to News

20-Mar / FX / Prudential Regulation, Currency Mismatches and Exchange Rates in Latin America and the Caribbean

21-Mar / FX / Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

22-Mar / Economics / The Impact of Size, Composition and Duration of the Central Bank Balance Sheet on Inflation Expectations and Market Prices

23-Mar / Economics / The Cost of Banking Crises: Does the Policy Framework Matter?

24-Mar / Economics / Forecasting daily electricity prices with monthly macroeconomic variables

25-Mar / FX / FX Intervention and Domestic Credit: Evidence from High-Frequency Micro Data

26-Mar / Economics / Government Ideology and Monetary Policy in OECD Countries

27-Mar / Economics / Is the Market Swayed by Press Releases on Corporate Governance? Event Study on the Eurostoxx Banks

28-Mar / FX / An Empirical Analysis of Corporate Currency Risk Management Policies and Practices

29-Mar / Economics / Whatever It Takes: What’s the Impact of a Major Nonconventional Monetary Policy Intervention?

30-Mar / FX / An Examination of Trade-Weighted Real Exchange Rates Based on Fractional Integration

31-Mar / Commodities / The impact of renewable energy forecasts on intraday electricity prices


April 2019

01-Apr / Fixed income / Stylized Facts on Price Formation on Corporate Bonds and Best Execution Analysis

02-Apr / FX / Foreign Exchange Reserves as a Tool for Capital Account Management

03-Apr / Economics / Does Price Regulation Affect Competition? Evidence from Credit Card Solicitations

04-Apr / Economics / Duration Dependence, Monetary Policy Asymmetries, and the Business Cycle

05-Apr / Economics / Exploring Trend Inflation Dynamics in Euro Area Countries

06-Apr / Economics / Optimal Monetary Policy for the Masses

07-Apr / FX / Strength of Words: Donald Trump’s Tweets and Russia’s Ruble

08-Apr / Cryptocurrencies / Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance

09-Apr / Trading / Deep Learning in Asset Pricing

10-Apr / FX / Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning

11-Apr / Commodities / Expectations for Statistical Arbitrage in Energy Futures Markets

12-Apr / Trading / Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time h/t @bmlltech

13-Apr / FX / U.S. Presidential Cycles and the Foreign Exchange Market

14-Apr / FX / China’s Evolving Exchange Rate Regime

15-Apr / FX / Real Exchange Rates and Sectoral Productivity in the Eurozone

16-Apr / Economics / News Shocks and the Effects of Monetary Policy

17-Apr / FX / What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies

18-Apr / Economics / Vague Talk in ECB Press Conference: News or Noise?

19-Apr / Economics / Information Effects of Euro Area Monetary Policy: New Evidence from High-Frequency Futures Data

20-Apr / Economics / How Does the Strength of Monetary Policy Transmission Depend on Real Economic Activity?

21-Apr / Trading / Microstructure in the Machine Age

22-Apr / Trading / Enhancing Time Series Momentum Strategies Using Deep Neural Networks

23-Apr / Trading / A stochastic PDE model for limit order book dynamics

24-Apr / Cryptocurrencies / Momentum and liquidity in cryptocurrencies

25-Apr / Trading / Bayesian Trading Cost Analysis and Ranking of Broker Algorithms

26-Apr / Trading / Blindfolded monkeys or financial analysts: who is worth your money?

27-Apr / Trading / Quintet Volume Projection

28-Apr / Trading / Deep Learning in Asset Pricing

29-Apr / Equities / Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modeling

30-Apr / FX / The market nanostructure origin of asset price time reversal asymmetry


May 2019

01-May / Equities / Slow decay of impact in equity markets: insights from the ANcerno database

02-May / FX / Correlation Patterns in Foreign Exchange Markets

03-May / Cryptocurrencies / Theory of Cryptocurrency Interest Rates

04-May / NLP / DocBERT: BERT for Document Classification

05-May / FX / Jawboning on the Exchange Rate: Evidence from Australia

06-May / FX / Institutional Investors, the Dollar, and U.S. Credit Conditions

07-May / FX / The Global Factor in Neutral Policy Rates: Some Implications for Exchange Rates, Monetary Policy, and Policy Coordination

08-May / FX / The Two-Pillar Policy for the RMB

09-May / Economics / Monetary Policy in Real Time: The Role of Simple Rules

10-May / Economics / Interpreting Survey-Based Federal Funds Rate Forecasts: How Accurate Are They in Reflecting Market Expectations?

11-May / FX / Housing Cycle and Exchange Rates

12-May / Economics / Official Demand for US Debt: Implications for US Real Rates

13-May / FX / What Flows Around Comes Around: Mean Reversion and Portfolio Flows

14-May / FX / How Can Financial Constraints Force a Central Bank to Exit a Currency Peg? An Application to the Swiss Franc Peg

15-May / FX / The Cross-Section of Currency Appreciation Rates

16-May / Economics / Targeting Financial Stability: Macroprudential or Monetary Policy?

17-May / Economics / The FOMC and the Mortgage Market

18-May / Economics / Market Power and Monetary Policy

19-May / Cryptocurrencies / Cryptocurrency, Delivery Lag, and Double Spending History

20-May / FX / Housing Cycle and Exchange Rates

21-May / Commodities / How Many Commodity Sectors Are There, and How Do They Behave?

22-May / FX / The Global Capital Flows Cycle: Structural Drivers and Transmission Channels

23-May / Cryptocurrencies / Introducing the BITIX: The Bitcoin Fear Gauge

24-May / Cryptocurrencies / Price Discovery and Efficiency in Bitcoin Markets

25-May / Economics / Liquidity Risk and Funding Cost

26-May / FX / Equilibrium Real Exchange Rate Estimates Across Time and Space

27-May / FX / Tolerance of Flexibility: Foreign Exchange Intervention and Managed Floating Redux

28-May / FX / Exchange Rate Pass-Through & Management of Inflation Expectation in a Small Open Inflation Targeting Economy

29-May / Trading / Impact is not just volatility

30-May / FX / Local Currency Bond Returns in Emerging Market Economies and the Role of Foreign Investors

31-May / FX / Dominant Currency Debt


June 2019

01-Jun / FX / Demographics and the Real Exchange Rate

02-Jun / Economics / Multiperiod Loans, Occasionally Binding Constraints, and Monetary Policy: A Quantitative Evaluation

03-Jun / Economics / Variation in the Phillips Curve Relation across Three Phases of the Business Cycle

04-Jun / FX / The Effect of Exchange Rate Uncertainty on International Trade: The Role of Financial Frictions

05-Jun / FX / Local Currency Bond Returns in Emerging Economies and the Role of Foreign Investors

06-Jun / Economics / Analysing Monetary Policy Statements of the Reserve Bank of India

07-Jun / Economics / Capital Flows: The Role of Bank and Nonbank Balance Sheets

08-Jun / Economics / Why Did Inflation Targeting Fail in Argentina?

09-Jun / Economics / Spillovers of US Unconventional Monetary Policy to Emerging and Advanced Countries

10-Jun / FX / Carry Trades and Commodity Risk Factors

11-Jun / FX / The Relationship of Economic Fundamentals and Real Exchange Rate between Korea and China

12-Jun / Trading / Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference

13-Jun / Venture Capital / The temporal evolution of venture investment strategies in sector space

14-Jun / Trading / Optimal auction duration: A price formation viewpoint

15-Jun / Trading / Optimal Dynamic Strategies on Gaussian Returns

16-Jun / Economics / The emerging sectoral diversity of startup ecosystems

17-Jun / Economics / Unemployment and the Demand for Money

18-Jun / Economics / An Analysis of the Eurosystem/ECB Projections

19-Jun / Economics / Is there a Zero Lower Bound? The Effects of Negative Policy Rates on Banks and Firms

20-Jun / FX / A ‘Bad Beta, Good Beta’ Anatomy of Currency Risk Premiums and Trading Strategies

21-Jun / FX / Equilibrium Real Exchange Rate Estimates Across Time and Space

22-Jun / Trading / From asymptotic properties of general point processes to the ranking of financial agents

23-Jun / Equities / Neural Network Models for Stock Selection Based on Fundamental Analysis

24-Jun / Trading / The Case for Long-Only Agnostic Allocation Portfolios

25-Jun / FX / Exchange Rates and Asset Prices in a Global Demand System

26-Jun / FX / US Equity Tail Risk and Currency Risk Premia

27-Jun / FX / Estimating the Effect of Exchange Rate Changes on Total Exports

28-Jun / FX / Hedging Demand in Long-Term Asset Allocation With an Application to Carry Trade Strategies

29-Jun / Credit / Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk

30-Jun / Economics / Push vs. Pull Factors of Capital Flows Revisited: A Cross-country Analysis


July 2019

01-Jul / FX / Exchange Rate Risk in the U.S. Stock Market: A Pooled Panel Data Regression Approach

02-Jul / Trading / Dynamic time series clustering via volatility change-points

03-Jul / Cryptocurrencies / Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts

04-Jul / Commodities / Machine Learning on EPEX Order Books: Insights and Forecasts

05-Jul / Trading / How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?

06-Jul / FX / Lead-lag Relationships in Foreign Exchange Markets

07-Jul / FX / Central Bank Reserves and Currency Volatility

08-Jul / FX / Forward-Looking Policy Rules and Currency Premia

09-Jul / Economics / Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects

10-Jul / FX / A Credit-Based Theory of the Currency Risk Premium

11-Jul / FX / Monetary Policy Frameworks and the Effective Lower Bound on Interest Rates

12-Jul / Trading / Forecasting security’s volatility using low-frequency historical data, high-frequency historical data and option-implied volatility

13-Jul / Economics / Macroeconomic Effects of an Open-ended Asset Purchase Programme

14-Jul / FX / Exchange Rates and Asset Prices in a Global Demand System

15-Jul / Economics / A global economic policy uncertainty index from principal component analysis

16-Jul / Economics / Distributions of Historic Market Data — Relaxation and Correlations

17-Jul / Equities / Nonlinear price dynamics of S&P 100 stocks

18-Jul / Trading / Artificial Intelligence Alter Egos: Who benefits from Robo-investing?

19-Jul / Cryptocurrencies / The evolving liaisons between the transaction networks of Bitcoin and its price dynamics

20-Jul / Economics / Federal Reserve Structure, Economic Ideas, and Monetary and Financial Policy

21-Jul / Economics / Monetary Policy and Macroeconomic Stability Revisited

22-Jul / FX / Factor Investing in Currency Markets: Does it Make Sense?

23-Jul / Economics / Rules vs. Discretion Revisited: A Proposal to Make the Strategy of Monetary Policy Transparent

24-Jul / FX / Who Is Successful in FX Margin Trading? New Survey Evidence from Japan

25-Jul / Cryptocurrencies / Cryptocurrencies, Currency Competition and the Impossible Trinity

26-Jul / FX / Let the Parametric Phoenix Fly

27-Jul / Economics / The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an EM

28-Jul / Economics / A Unified Measure of Fed Monetary Policy Shocks

29-Jul / Economics / Monetary Policy, Macroprudential Policy, and Financial Stability

30-Jul / Economics / A Tale of Two Surplus Countries: China and Germany

31-Jul / Trading / Optimal make take fees in a multi market maker environment


August 2019

01-Aug / Trading / Evaluating the Effectiveness of Common Technical Trading Models

02-Aug / Equities / Accelerated Share Repurchase and other buyback programs: what neural networks can bring

03-Aug / Trading / Trading via Image Classification

04-Aug / Commodities / Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility

05-Aug / Trading / The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold

06-Aug / Cryptocurrencies / A Model of the Optimal Selection of Crypto Assets

07-Aug / FX / Anatomy of Sudden Yen Appreciations

08-Aug / FX / Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market

09-Aug / FX / Forward-Looking Policy Rules and Currency Premia

10-Aug / FX / Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

11-Aug / Cryptocurrencies / Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

12-Aug / Economics / Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect

13-Aug / Trading / Hedging Non-Tradable Risks with Transaction Costs and Price Impact

14-Aug / Trading / AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks

15-Aug / Economics / Complexity of ECB Communication and Financial Market Trading

16-Aug / Economics / Role of Cross Currency Swap Markets in Funding and Investment Decisions

17-Aug / FX / Unique Fundamental Dynamics of Target-zone Exchange Rates

18-Aug / Economics / Estimating the FOMC’s Interest Rate Rule with Variable Selection and Partial Regime Switching

19-Aug / FX / Dominant-Currency Pricing and the Global Output Spillovers from Us Dollar Appreciation

20-Aug / Economics / Exposure to Daily Price Changes and Inflation Expectations

21-Aug / Economics / Effects of QE on Sovereign Bond Spreads Through the Safe Asset Channel

22-Aug / Economics / Improving U.S. Monetary Policy Communications

23-Aug / Trading / The Forecasting Power of the Multi-Language Narrative of Sell-Side Research. A Machine Learning Evaluation

24-Aug / Trading / The Real-Time Impact of ECB Press Conferences on Financial Markets

25-Aug / FX / Going Unconventional in Foreign-Exchange Interventions

26-Aug / Economics / Cost-Benefit Analysis of Leaning Against the Wind

27-Aug / Economics / Improving U.S. Monetary Policy Communications

28-Aug / FX / What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia

29-Aug / Cryptocurrencies / Cryptocurrencies, Currency Competition, and the Impossible Trinity

30-Aug / FX / Macroeconomic Determinants of Foreign Exchange Rate Exposure

31-Aug / FX / Long Run and Short Run Risk Premium in Currency Market


September 2019

01-Sep / Economics / Public Sentiments and Monetary Surprises

02-Sep / Economics / Do Old Habits Die Hard? Central Banks and the Bretton Woods Gold Puzzle

03-Sep / FX / The Impact of the U.S. Employment Report on Exchange Rates

04-Sep / Economics / Towards a New Monetary Theory of Exchange Rate Determination

05-Sep / Economics / Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities

06-Sep / Code library / Natural Language Processing Best Practices & Examples (from Microsoft)

07-Sep / FX / Exchange Rate Puzzles: Evidence from Rigidly Fixed Nominal Exchange Rate Systems

08-Sep / Cryptocurrencies / iCurrency?

09-Sep / Cryptocurrencies / Does Bitcoin Behave As a Currency?: A Standard Monetary Model Approach

10-Sep / FX / The Yen Exchange Rate and the Hollowing Out of the Japanese Industry

11-Sep / FX / Foreign Exchange Rate Exposure of Companies under Dynamic Regret

12-Sep / Economics / (Un)Conventional Policy and the Effective Lower Bound

13-Sep / Economics / Monetary Policy Surprises and Employment: Evidence from Matched Bank-Firm Loan Data on the Bank Lending-Channel

14-Sep / Commodities / Machine Learning on EPEX Order Books: Insights and Forecasts

15-Sep / Trading / Latency and Liquidity Risk

16-Sep / Cryptocurrencies / iCurrency?

17-Sep / FX / Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

18-Sep / FX / Geographic Spread of Currency Trading: The Renminbi and Other EM Currencies

19-Sep / FX / The Determinants of Real Exchange Rates in Transition Economies

20-Sep / FX / Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks

21-Sep / Cryptocurrencies / A Crypto Safe Haven Against Bitcoin

22-Sep / FX / The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

23-Sep / FX / Covered Interest Rate Parity Deviations In External Emerging Market Sovereign Debt

24-Sep / Economics / Do Credit Booms Predict U.S. Recessions?

25-Sep / Economics / Economics with Market Liquidity Risk

26-Sep / Economics / Do Monetary Policy Announcements Shift Household Expectations?

27-Sep / Economics / Inflation Expectations Anchoring: New Insights from Micro Evidence of a Survey at High-Frequency and of Distributions

28-Sep / Economics / Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

29-Sep / Economics / Threats to Central Bank Independence: High-Frequency Evidence with Twitter

30-Sep / Trading / Lifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty


October 2019

01-Oct / Code library / Transformers: state-of-the-art NLP

02-Oct / Economics / Employment and the Collateral Channel of Monetary Policy

03-Oct / Economics / Secured and Unsecured Interbank Markets: Monetary Policy, Substitution and the Cost of Collateral

04-Oct / Cryptocurrencies / Libra: Fair Order-Matching for Electronic Financial Exchanges

05-Oct / Economics / Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison

06-Oct / FX / Determinants of Real Exchange Rate Movements in 15 Emerging Market Economies

07-Oct / Cryptocurrencies / A Crypto Safe Haven Against Bitcoin

08-Oct / Economics / Modelling Yields at the Lower Bound Through Regime Shifts

09-Oct / FX / Introducing Dominant Currency Pricing in the ECB’s Global Macroeconomic Model

10-Oct / Economics / Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact

11-Oct / Economics / Threats to Central Bank Independence: High-Frequency Identification with Twitter

12-Oct / FX / The Dollar During the Great Recession: Us Monetary Policy Signaling and the Flight to Safety

13-Oct / Economics / Monetary Policy for Commodity Booms and Busts

14-Oct / Economics / When the U.S. Catches a Cold, Canada Sneezes: A Lower-Bound Tale Told by Deep Learning

15-Oct / Economics / Can More Public Information Raise Uncertainty? The International Evidence on Forward Guidance

16-Oct / Economics / Monetary Policy Hysteresis and the Financial Cycle

17-Oct / Economics / Extreme Dependencies in the European Banking Sector

18-Oct / Economics / Access to Safe Assets and Financial Stability

19-Oct / Economics / Monetary Policy Hysteresis and the Financial Cycle

20-Oct / Economics / The Importance of Being Special: Repo Markets During the Crisis

21-Oct / Economics / How to Improve Inflation Forecasting in Canada

22-Oct / Cryptocurrencies / Central Bank Digital Currency: One, Two or None?

23-Oct / FX / Sector Sensitivity to Exchange Rates Fluctuations

24-Oct / Economics / Financial Conditions and Purchasing Managers’ Indices: Exploring the Links

25-Oct / Economics / Green Bonds: The Reserve Management Perspective

26-Oct / FX / Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model

27-Oct / Economics / CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks

28-Oct / Economics / Beating the House: Identifying Inefficiencies in Sports Betting Markets

29-Oct / Economics / Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities

30-Oct / FX / Foreign Exchange Dealer Asset Pricing

31-Oct / Economics / When Old Meets Young? Germany’s Population Ageing and the Current Account


November 2019

01-Nov / Cryptocurrencies / On the Equivalence of Private and Public Money

02-Nov / FX / Dominant-Currency Pricing and the Global Output Spillovers from U.S. Dollar Appreciation

03-Nov / Fixed Income / Time‐Varying Price Discovery in Sovereign Credit Markets

04-Nov / Economics / The Language of Rules: Textual Complexity in Banking Reforms

05-Nov / Equities / Stock Market’s Assessment of Monetary Policy Transmission: The Cash Flow Effect

06-Nov / Economics / Do Monetary Policy Announcements Shift Household Expectations?

07-Nov / Economics / Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities

08-Nov / Economics / Beyond the Black Box: An Intuitive Approach to Investment Prediction with Machine Learning

09-Nov / Economics / Household Debt, Consumption, and Monetary Policy in Australia

10-Nov / Economics / Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk

11-Nov / Economics / The Impact of Central Bank Liquidity Support on Banks’ Balance Sheets

12-Nov / FX / How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

13-Nov / FX / External Adjustment with a Common Currency: The Case of the Euro Area

14-Nov / FX / US Equity Tail Risk and Currency Risk Premia

15-Nov / Economics / When Old Meets Young? Germany’s Population Ageing and the Current Account

16-Nov / Trading / Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

17-Nov / Trading / Deep Hedging: Learning to Simulate Equity Option Markets

18-Nov / Equities / Quantitative earnings enhancement from share buybacks

19-Nov / Equities / Robo-advising: Learning Investor’s Risk Preferences via Portfolio Choices

20-Nov / Commodities / Oil and Risk Premia in Equity Markets

21-Nov / Economics / Unconventional Monetary Policy and Corporate Bond Issuance

22-Nov / Economics / Forward Guidance under Imperfect Information: Instrument Based or State Contingent?

23-Nov / Trading / Reinforcement Learning for Market Making in a Multi-agent Dealer Market

24-Nov / Trading / Making Good on LSTMs Unfulfilled Promise

25-Nov / Economics / Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention

26-Nov / FX / Financial Stability Effects of Foreign-Exchange Risk Migration

27-Nov / Economics / Unconventional Monetary Policy, (A)Synchronicity and the Yield Curve

28-Nov / Economics / The ECB after the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision

29-Nov / Economics / Inflation Targets in Latin America

30-Nov / Economics / International Bank Lending Channel of Monetary Policy


December 2019

01-Dec / Trading / Deep Reinforcement Learning for Trading

02-Dec / Trading / Investigating bankruptcy prediction models in the presence of extreme class imbalance and multiple stages of economy

03-Dec / Cryptocurrencies / Deep Reinforcement Learning in Cryptocurrency Market Making

04-Dec / Economics / The Drivers, Implications and Outlook for China’s Shrinking Current Account Surplus

05-Dec / Economics / German Bond Yields and Debt Supply: Is There a ‘Bund Premium’?

06-Dec / Commodities / Granger Predictability of Oil Prices after the Great Recession

07-Dec / Commodities / Oil Prices, Exchange Rates and Interest Rates

08-Dec / Economics / Financial Cycles, Credit Bubbles and Stabilization Policies

09-Dec / Economics / Gauging Market Responses to Monetary Policy Communication

10-Dec / Economics / Double Overreaction in Beauty-Contests With Information Acquisition: Theory and Experiment

11-Dec / Economics / International Trade Openness and Monetary Policy: Evidence from Cross-Country Data

12-Dec / Cryptocurrencies / BitMEX Funding Correlation with Bitcoin Exchange Rate

13-Dec / Trading / Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach

14-Dec / Trading / Endogenous Liquidity Crises

15-Dec / Economics / The international effects of central bank information shocks

16-Dec / FX / FX Intervention: Goals, Strategies and Tactics

17-Dec / Economics / Spread the Word: International Spillovers from Central Bank Communication

18-Dec / Fixed Income / Monetary Policy and the Corporate Bond Market: Reaching for Yield or Information Effects?

19-Dec / Economics / The ECB After the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision

20-Dec / FX / FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data

21-Dec / FX / The Size of Foreign Exchange Reserves

22-Dec / FX / The Currency Composition of Foreign Exchange Reserves

23-Dec / FX / FX Trade Execution: Complex and Highly Fragmented

24-Dec / FX / Offshore Markets Drive Trading of Emerging Market Currencies

25-Dec / Economics / Central Banking in Challenging Times

26-Dec / Economics / A Crisis Early Warning Model for Euro Area Countries

27-Dec / Trading / Cross asset skew

28-Dec / Trading / Predicting intraday jumps in stock prices using liquidity measures and technical indicators