Hundreds of quant papers from #QuantLinkADay in 2020

This has been a challenging year by pretty much any other standard. I remember when I was kid, and heard the year 2020, it sounded very exciting. It’d be like Back to the Future, with hoverboards and flying cars. Instead, 2020 has been all about the coronavirus. Whilst I’ve been lucky enough to be safe during this year, many have suffered tremendously. It is somewhat cliched, but at least for me I certainly appreciate the very simple things a bit more. 


Throughout this year, perhaps more than ever social media has been a key part of our lives, when it has been difficult to meet. As in previous years, I’ve been tweeting from @saeedamenfx, about finance, Python (and perhaps too much about burgers). As part of that I’ve continued to post #QuantLinkADay featuring papers (or code libraries) on topics relevant to my job, in areas ranging from FX to economics to machine learning. I’ve collected together all the links I’ve posted in the list below. I hope you find (at least) some of them useful. 


If you’re interested in the list from 2016, click here or from 2017 here and also the list from 2018 and 2019. I’d also like to wish you a very merry Christmas and best of luck for 2021!


January 2020

01-Jan / Trading / Design of High-Frequency Trading Algorithm Based on Machine Learning

02-Jan / FX / Anatomy of Sudden Yen Appreciations

03-Jan / Economics / Unconventional Monetary Policy and Funding Liquidity Risk

04-Jan / Fixed Income / The Contribution of Foreign Holdings of U.S. Treasury Securities to the U.S. Long-Term Interest Rate

05-Jan / Economics / Monetary Policy and Systemic Risk

06-Jan / Economics / Private News and Monetary Policy – Forward Guidance As Bayesian Persuasion

07-Jan / Economics / Drift Begone! Release Policies and Preannouncement Informed Trading

08-Jan / FX / Jump-Only Momentum and Reversal in Currency Markets

09-Jan / Economics / Effects of State-Dependent Forward Guidance, Large-Scale Asset Purchases and Fiscal Stimulus in a Low-Interest-Rate Environment

10-Jan / FX / The Predictive Power of Equilibrium Exchange Rate Models

11-Jan / Economics / The Fundamentals of Safe Assets

12-Jan / Economics / Evolution of Monetary Policy Frameworks in the Post-crisis Environment

13-Jan / Economics / Policy Announcement Design

14-Jan / Economics / Sovereign Debt Crisis in Portugal and in Spain

15-Jan / Trading / Path-dependent volatility models

16-Jan / Trading / A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

17-Jan / Equities / Zooming In on Equity Factor Crowding

18-Jan / Trading / Exponential moving average versus moving exponential average

19-Jan / Economics / Text as Data: Real-time Measurement of Economic Welfare

20-Jan / Cryptocurrencies / Using Networks and Partial Differential Equations to Predict Bitcoin Price

21-Jan / Economics / The 3 E’s of Central Bank Communication with the Public

22-Jan / Economics / Changing Supply Elasticities and Regional Housing Booms

23-Jan / Economics / Public Liquidity Demand and Central Bank Independence

24-Jan / Economics / The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: A Spatial Panel Data Model Approach

25-Jan / Economics / The Long-Run Information Effect of Central Bank Communication

26-Jan / FX / Exchange Rates and Consumer Prices: Evidence from Brexit

27-Jan / Trading / Trading on the Floor after Sweeping the Book

28-Jan / Trading / Corporate Governance, Noise Trading and Liquidity of Stocks

29-Jan / FX / Exchange Rate Volatility and Pass-Through to Inflation in South Africa

30-Jan / Economics / Is Digitalization Driving Domestic Inflation?

31-Jan / FX / Cross-Border Currency Exposures


February 2020

01-Feb / FX / Capital Flows at Risk: Taming the Ebbs and Flows

02-Feb / Economics / Monetary Policy and Inflation Compensation

03-Feb / Cryptocurrencies / Central Bank Digital Currency: Central Banking For All?

04-Feb / Economics / Monetary Policy Implementation with an Ample Supply of Reserves

05-Feb / Economics / The Effects of Conventional and Unconventional Monetary Policy: Identification through the Yield Curve

06-Feb / FX / Catching Up by Deglobalization: Capital Account Policy and Economic Growth

07-Feb / Economics / The Effects of Conventional and Unconventional Monetary Policy: Identification through the Yield Curve

08-Feb / Economics / Le Pont de Londres: Interactions Between Monetary and Prudential Policies in Cross-Border Lending

09-Feb / Trading / PCA for Implied Volatility Surfaces

10-Feb / Fixed Income / A random forest based approach for predicting spreads in the primary catastrophe bond market

11-Feb / Trading / NAPLES;Mining the lead-lag Relationship from Non-synchronous and High-frequency Data

12-Feb / Fixed Income / How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models

13-Feb / FX / To What Extent Are Tariffs Offset by Exchange Rates?

14-Feb / Economics / Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve

15-Feb / Cryptocurrencies / Money Creation in Fiat and Digital Currency Systems

16-Feb / Economics / Natural Rate Chimera and Bond Pricing Reality

17-Feb / Economics / Corporates’ Dependence on Banks: The Impact of ECB Corporate Sector Purchases

18-Feb / FX / Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

19-Feb / FX / Shock-Dependent Exchange Rate Pass-Through: Evidence Based on a Narrative Sign Approach

20-Feb / FX / FX Spot and Swap Market Liquidity Spillovers

21-Feb / Economics / The Economic Forces Driving Fintech Adoption Across Countries

22-Feb / FX / Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate

23-Feb / FX / Shock-Dependent Exchange Rate Pass-Through: Evidence Based on a Narrative Sign Approach

24-Feb / Economics / Quantifying the Fed’s Objective

25-Feb / Economics / Monetary Policy When Preferences Are Quasi-Hyperbolic

26-Feb / Economics / Monetary Policy and Bank Stability: The Analytical Toolbox Reviewed

27-Feb / Economics / Trust in the Central Bank and Inflation Expectation

28-Feb / Economics / A Primer on the Financial Crisis in Lebanon: A Historical and Cross-Country Perspective

29-Feb / FX / Cross-Border Portfolio Flows and News Media Coverage


March 2020

01-Mar / Cryptocurrencies / Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges

02-Mar / Trading / SHIFT: A Highly Realistic Financial Market Simulation Platform

03-Mar / Trading / G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning

04-Mar / Trading / Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning

05-Mar / FX / Forecasting FX: A Multivariate Comparative Analysis between Traditional Econometric, Contemporary Machine Learning & Deep Learning Techniques

06-Mar / Trading / Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact

07-Mar / Economics / Should Central Banks Communicate Uncertainty in Their Projections?

08-Mar / Economics / The Long-Run Effects of Monetary Policy

09-Mar / Economics / One Shock, Many Policy Responses

10-Mar / Economics / The Benefits Are at the Tail: Uncovering the Impact of Macroprudential Policy on Growth-At-Risk

11-Mar / Economics / Coronavirus Fears and Macroeconomic Expectations

12-Mar / Economics / The Fed’s Response to Economic News Explains the “Fed Information Effect”

13-Mar / FX / Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

14-Mar / Commodities / Oil Price Dynamics and Currency-Hedging Behavior

15-Mar / FX / Exchange Rates and Political Uncertainty: The Brexit Case

16-Mar / Equities / What Happens When Equity Investors Disagree with the FOMC?

17-Mar / Economics / Tweeting on Monetary Policy and Market Sentiments:The Central Bank Surprise Index

18-Mar / Trading / Optimal market making with persistent order flow

19-Mar / Economics / Machine Learning Treasury Yields

20-Mar / Cryptocurrencies / KryptoOracle: A Real-Time Cryptocurrency Price Prediction Platform Using Twitter Sentiments

21-Mar / Trading / Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics

22-Mar / Trading / Application of Deep Q-Network in Portfolio Management

23-Mar / Economics / Do COVID-19 and crude oil prices drive the US economic policy uncertainty?

24-Mar / Economics / Old Problems, Classical Methods, New Solutions

25-Mar / FX / Interest Rate Differentials and the Dynamic Asymmetry of Exchange Rates

26-Mar / Cryptocurrencies / How Crisis Affects Crypto: Coronavirus As a Test Case

27-Mar / Economics / The Power of Forward Guidance in a Quantitative TANK Model

28-Mar / Economics / Central Bank Policy Sets the Lower Bound on Bond Yields

29-Mar / FX / Interest Rate Differentials and the Dynamic Asymmetry of Exchange Rates

30-Mar / FX / Global and Local Currency Effects on Euro Area Investment in Emerging Market Bonds

31-Mar / Economics / Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers


April 2020

01-Apr / Trading / Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning

02-Apr / Economics / Exploring the Effect of 2019-nCoV Containment Policies on Crime: The Case of Los Angeles

03-Apr / Trading / Market structure dynamics during COVID-19 outbreak

04-Apr / Equities / Equity Factors: To Short Or Not To Short, That Is The Question

05-Apr / Economics / Reinforcement Learning in Economics and Finance

06-Apr / Cryptocurrencies / The Technology of Retail Central Bank Digital Currency

07-Apr / Code library / Uber/fibre – Python library – Distributed Computing for AI Made Simple

08-Apr / Economics / What do online listings tell us about the housing market?

09-Apr / Economics / Predicting Labor Shortages from Labor Demand and Labor Supply Data: A Machine Learning Approach

10-Apr / Equities / Inside the Mind of a Stock Market Crash

11-Apr / Equities / Spanning analysis of stock market anomalies under Prospect Stochastic Dominance

12-Apr / Trading / How to build a cross-impact model from first principles: Theoretical requirements and empirical results

13-Apr / Trading / Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

14-Apr / Trading / Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

15-Apr / Equities / Institutional Consensus After Earnings Announcements: Information or Crowding?

16-Apr / Trading / Effects of MiFID II on Stock Price Formation

17-Apr / Equities / What Do We Learn from SARS-CoV-1 to SARS-CoV-2: Evidence from Global Stock Markets

18-Apr / Trading / Financial Markets and News about the Coronavirus

19-Apr / Cryptocurrencies / Safe Haven or Risky Hazard? Bitcoin during the COVID-19 Bear Market

20-Apr / Economics / Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)

21-Apr / Economics / Pandemics Depress the Economy, Public Health Interventions Do Not: Evidence from the 1918 Flu

22-Apr / Economics / A Model of Asset Price Spirals and Aggregate Demand Amplification of a ‘COVID-19’ Shock

23-Apr / Economics / Macroeconomic Dynamics and Reallocation in an Epidemic

24-Apr / Economics / Sectoral Effects of Social Distancing

25-Apr / Economics / Labor Markets During the COVID-19 Crisis: A Preliminary View

26-Apr / FX / Macro Announcements and Volatilities of the Renminbi Onshore and Offshore Exchange Rates

27-Apr / FX / Media Tone Goes Viral: Global Evidence from the Currency Market

28-Apr / FX / Commonality in FX Liquidity: High-Frequency Evidence

29-Apr / Cryptocurrencies / Cryptocurrency Market Reactions to Regulatory News

30-Apr / FX / Foreign Exchange Interventions Under a One-sided Target Zone Regime and the Swiss franc


May 2020

01-May / Economics / Growth-and-Risk Trade-Off

02-May / FX / Central Bank Information Shocks and Exchange Rates

03-May / Coding / Springer has released 65 Machine Learning and Data books for free

04-May / Economics / Non-Pharamaceutical Interventions & Mortality In U.S. Cities During The Great Influenza Pandemic, 1918-1919 (h/t @_econostat)

05-May / Economics / Market Reactions to the Arrival and Containment of COVID-19: An Event Study

06-May / Economics / Scarring Body and Mind: The Long-Term Belief-Scarring Effects of Covid-19

07-May / Economics / What Happened to the Us Economy During the 1918 Influenza Pandemic? A View Through High-Frequency Data

08-May / Trading / Investment Factor Timing: Harvesting The Low-Risk Anomaly Using Artificial Neural Networks

09-May / Economics / Monetary Policy, Financial Regulation and Financial Stability: A Comparison between the Fed and the ECB

10-May / Economics / The Cost of the COVID-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending

11-May / Economics / Quantifying the Economic Impact of COVID-19 in Mainland China Using Human Mobility Data

12-May / FX / Uncovering the hierarchical structure of the international FOREX market by using similarity metric between the fluctuation distributions of currencies

13-May / Economics / Global Financial Markets and Oil Price Shocks in Real Time

14-May / FX / Liquidity Yield and Exchange Rate Predictability

15-May / Equities / Bank of Japan as a Contrarian Stock Investor: Large-Scale ETF Purchases

16-May / Economics / Nowcasting Tail Risks to Economic Activity with Many Indicators

17-May / Economics / The Cost of the Covid-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending

18-May / Economics / Does Monetary Policy Impact International Market Co-Movements?

19-May / Economics / The Power of Narratives in Economic Forecasts

20-May / Economics / Inflation at Risk

21-May / Economics / Is There News in Inventories?

22-May / Economics / Disasters Everywhere: The Costs of Business Cycles Reconsidered

23-May / Economics / Monetary Policy Uncertainty and Monetary Policy Surprises

24-May / Economics / Detecting and explaining changes in various assets’ relationships in financial markets

25-May / Economics / Application of Facebook’s Prophet Algorithm for Successful Sales Forecasting Based on Real-world Data

26-May / Economics / Monetary Policy with Judgment

27-May / Cryptocurrencies / Price Discovery in Bitcoin: The Impact of Unregulated Markets

28-May / FX / Currency Portfolio of External Debt, Exchange Rate Cyclicality, and Consumption Volatility

29-May / Credit / Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX

30-May / Economics / Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle

31-May / FX / Cross-Border Currency Exposures: New Evidence Based on an Enhanced and Updated Dataset


June 2020

01-Jun / Economics / Monetary Policy Gradualism and the Nonlinear Effects of Monetary Shocks

02-Jun / Economics / Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin

03-Jun / Cryptocurrencies / Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets

04-Jun / Economics / Central Bank Communication that Works: Lessons from Lab Experiment

05-Jun / FX / Asymmetric Information Risk in FX Markets

06-Jun / Economics / Central Bank Communication that Works: Lessons from Lab Experiments

07-Jun / Economics / Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

08-Jun / Economics / Real-time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis

09-Jun / Economics / Monetary Policy, Productivity, and Market Concentration

10-Jun / Economics / The Role of Sentiment in the Economy of the 1920s

11-Jun / Economics / The Global Effects of COVID-19-Induced Uncertainty

12-Jun / FX / Deep Reinforcement Learning for Foreign Exchange Trading

13-Jun / Economics / Unconventional Monetary Policy Surprises: Delphic or Odyssean?

14-Jun / Economics / Model-Based Globally-Consistent Risk Assessment

15-Jun / Economics / Machine Learning, the Treasury Yield Curve and Recession Forecasting

16-Jun / Economics / Fiscal Multipliers with Financial Fragmentation Risk and Interactions with Monetary Policy

17-Jun / FX / The Hedging Channel of Exchange Rate Determination

18-Jun / Economics / V -, U -, L – or W-shaped recovery after COVID? Insights from an Agent Based Model

19-Jun / Economics / When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets

20-Jun / Trading / Learning a functional control for high-frequency finance

21-Jun / Economics / Monetary Policy and the Management of Uncertainty: A Narrative Approach

22-Jun / FX / Monetary Policies and Destabilizing Carry Trades Under Adaptive Learning

23-Jun / FX / Non-Linearities, Asymmetries and Dollar Currency Pricing in Exchange Rate Pass-through: Evidence from the Sectoral Level

24-Jun / FX / Exchange Rate Risk and Business Cycles

25-Jun / FX / Measuring Exchange Rate Risks During Periods of Uncertainty

26-Jun / Economics / The Effect of the Central Bank Liquidity Support During Pandemics: Evidence from the 1918 Spanish Influenza Pandemic

27-Jun / Economics / Disciplining Expectations and the Forward Guidance Puzzle

28-Jun / FX / The Evolution of Price Discovery in an Electronic Market

29-Jun / Economics / The Benefits of Coronavirus Suppression: A Cost-Benefit Analysis of the Response to the First Wave of COVID-19

30-Jun / Economics / Does Covered Interest Parity Hold in Long-Dated Securities?


July 2020

01-Jul / Economics / The Performance of Business and Consumer Sentiment for Early Estimates of GDP Growth: Old Turning Points and New Challenges of the Corona Crisis

02-Jul / FX / The Hedging Channel of Exchange Rate Determination

03-Jul / FX / Examining the Effect of COVID-19 on Foreign Exchange Rate and Stock Market — An Applied Insight into the Variable Effects of Lockdown on Indian Economy

04-Jul / Equities / Investor Emotions and Earnings Announcements

05-Jul / Economics / Impact of COVID-19 Behavioral Inertia on Reopening Strategies for New York City Transit

06-Jul / Economics / Identifying Indicators of Systemic Risk

07-Jul / Economics / Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession

08-Jul / Economics / Forecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions

09-Jul / Economics / Elasticity of Attention and Optimal Monetary Policy

10-Jul / Economics / Patterns of Foreign Exchange Intervention Under Inflation Targeting

11-Jul / Economics / Tracking Inattention

12-Jul / FX / FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability

13-Jul / Economics / Central Banks in Parliaments: A Text Analysis of the Parliamentary Hearings of the Bank of England, the European Central Bank and the Federal Reserve

14-Jul / FX / Prospect Theory and Currency Returns: Empirical Evidence

15-Jul / Economics / Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms’ Forecasts

16-Jul / Economics / Financial uncertainty and real activity: The good, the bad, and the ugly

17-Jul / Economics / Constructing A Financial Conditions Index for the United Kingdom: A Comparative Analysis

18-Jul / Cryptocurrencies / More on Money Mining and Price Dynamics: Competing and Divisible Currencies

19-Jul / Trading / Price Discovery in Two-Tier Markets

20-Jul / Trading / Transaction Costs in Execution Trading

21-Jul / Trading / Deep Learning modeling of Limit Order Book: a comparative perspective

22-Jul / Economics / Interest Rate Setting and Communication at the ECB

23-Jul / Machine Learning / Language Models are Few-Shot Learners (GPT-3 paper)

24-Jul / FX / Dollar Shortages and Central Bank Swap Lines

25-Jul / Economics / Nominal Wage Adjustments and the Composition of Pay: New Evidence from Payroll Data

26-Jul / Economics / Keeping Track of Global Trade in Real Time

27-Jul / Economics / Inflation Expectations and the Pass-through of Oil Prices

28-Jul / FX / Positioning Risk

29-Jul / Economics / ECB Language and Stock Returns – A Textual Analysis of ECB Press Conferences

30-Jul / FX / Global Banks’ Dollar Funding: A Source of Financial Vulnerability

31-Jul / Economics / The Non-linear Effects of the Fed’s Asset Purchases


August 2020

01-Aug / Economics / Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers

02-Aug / Economics / Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly

03-Aug / Economics / Tracking Spillovers During the Taper Tantrum: Evidence from Institutional Investor Transactions in Emerging Markets

04-Aug / Economics / The Network of Firms Implied by the News

05-Aug / Trading / Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading

06-Aug / Economics / On Single Point Forecasts for Fat-Tailed Variables

07-Aug / Cryptocurrencies / Editorial: Understanding Cryptocurrencies

08-Aug / Trading / Insider Trading with Temporary Price Impact

09-Aug / Trading / Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models

10-Aug / Cryptocurrencies / Coronavirus: Case for Digital Money?

11-Aug / Economics / Sectoral Digital Intensity and GDP Growth After a Large Employment Shock: A Simple Extrapolation Exercise

12-Aug / Economics / The Simpler the Better: Measuring Financial Conditions for Monetary Policy and Financial Stability

13-Aug / Economics / Demand or Supply? Price Adjustment During the Covid-19 Pandemic

14-Aug / Economics / Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

15-Aug / Economics / A Structural Investigation of Quantitative Easing

16-Aug / Economics / Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect

17-Aug / Economics / Nowcasting with Large Bayesian Vector Autoregressions

18-Aug / Economics / Accounting for Cloud Computing in the National Accounts

19-Aug / Economics / Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data

20-Aug / Economics / Gold, the Golden Constant, COVID-19, ‘Massive Passives’ and Déjà Vu

21-Aug / Code library / STUMPY Python library for computing a Matrix Profile for a variety of time series data mining tasks

22-Aug / FX / Patterns in Invoicing Currency in Global Trade

23-Aug / FX / How Does the Daily Volatility of Foreign Exchange Rates Depend on the Time of Day at Which the Daily Returns Are Calculated?

24-Aug / Trading / Integrating Alternative Data (Also Known as ESG Data) in Investment Decision Making

25-Aug / Economics / Modelling the Differing Impacts of COVID-19 in the UK Labour Market

26-Aug / Economics / How Did U.S. Consumers Use Their Stimulus Payments?

27-Aug / Economics / A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954

28-Aug / Equities / Stock Buybacks: Value Creation or Destruction?

29-Aug / Economics / Modelling COVID-19 contagion: risk assessment and targeted mitigation policies

30-Aug / Economics / How to Estimate a VAR after March 2020

31-Aug / Economics / The Economic Drivers of Volatility and Uncertainty


September 2020

01-Sep / FX / Financial Spillovers to Emerging Economies: the Role of Exchange Rates and Domestic Fundamentals

02-Sep / Economics / The behavior of stock market prices throughout the episodes of capital inflows

03-Sep / Trading / Market-making with reinforcement-learning (SAC)

04-Sep / Trading / DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data

05-Sep / Economics / Monetary Policy Strategies and Tools: Financial Stability Considerations

06-Sep / Economics / Strengthening the Fomc’s Framework in View of the Effective Lower Bound and Some Considerations Related to Time-Inconsistent Strategies

07-Sep / FX / Ambiguity and the Home Currency Bias

08-Sep / Economics / Uncertainty and Monetary Policy During Extreme Events

09-Sep / Economics / Monetary Policy Tradeoffs and the Federal Reserve’s Dual Mandate

10-Sep / Economics / Macroeconomic and Financial Market Analyses and Predictions Through Deep Learning

11-Sep / Economics / Measuring Information Effects of Monetary Policy: New Evidence from the VIX Futures Market

12-Sep / Cryptocurrencies / Benefits of Sectoral Cryptocurrency Portfolio Optimization

13-Sep / Economics / Evolution of Business and Consumer Uncertainty in the Midst of the COVID-19 Pandemic. a Sector Analysis in 32 European Countries

14-Sep / Economics / The Impact of the COVID-19 Pandemic on Business Expectations

15-Sep / FX / The Effectiveness of FX Interventions: A Meta-Analysis

16-Sep / Fixed Income / Overnight Indexed Swap-Implied Interest Rate Expectations

17-Sep / Economics / Macroeconomic Risks Across the Globe Due to the Spanish Flu

18-Sep / Economics / Fearing the Fed: How Wall Street Reads Main Street

19-Sep / Economics / Banking Sector Performance During the COVID-19 Crisis

20-Sep / Economics / Forecasting Low Frequency Macroeconomic Events with High Frequency Data

21-Sep / Trading / How to build a cross-impact model from first principles: Theoretical requirements and empirical results

22-Sep / Trading / Machine Learning for Temporal Data in Finance: Challenges and Opportunities

23-Sep / Economics / Fed Communication on Financial Stability Concerns and Monetary Policy Decisions: Revelations from Speeches

24-Sep / Trading / Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories

25-Sep / Economics / Real-time tracking of the economic impact of COVID-19: insights from the first wave of the pandemic across Europe

26-Sep / Cryptocurrencies / Eggs in One Basket: Security and Convenience of Digital Currencies

27-Sep / Economics / Cash as a Perpetual Option

28-Sep / FX / Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

29-Sep / Trading / CoVaR with volatility clustering, heavy tails and non-linear dependence

30-Sep / Economics / A note on the impact of news on US household inflation expectations


October 2020

01-Oct / Code library / PyTorch Forcasting – Python library for time series forecasting

02-Oct / Code library / FinancePy – Python based option pricing library (inc FX options)

03-Oct / FX / Foreign exchange intervention and financial stability

04-Oct / Economics / Prices and Global Inequality: New Evidence from Worldwide Scanner Data

05-Oct / Economics / Interest Rate Pegs and the Reversal Puzzle: On the Role of Anticipation

06-Oct / Economics / Does Unemployment Risk Affect Business Cycle Dynamics?

07-Oct / Economics / Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis

08-Oct / FX / Trade Imbalance Network and Currency Risk Premia

09-Oct / Cryptocurrencies / Knowledge Discovery in Cryptocurrency Transactions: A Survey

10-Oct / Trading / On Detecting Spoofing Strategies in High Frequency Trading

11-Oct / Cryptocurrencies / Are cryptocurrencies becoming more interconnected?

12-Oct / Trading / Qlib: An AI-oriented Quantitative Investment Platform

13-Oct / Trading / Tail-risk protection: Machine Learning meets modern Econometrics

14-Oct / Fixed Income / The Fed in the Corporate Bond Market in 2020

15-Oct / Trading / Hierarchical PCA and Modeling Asset Correlations

16-Oct / Economics / Forecasting US Recessions: The Role of Economic Uncertainty

17-Oct / Economics / Anticipation Effects of Protectionist U.S. Trade Policies

18-Oct / Economics / Alternative Measures of Price Inflation and the Perception of Real Income in Germany

19-Oct / FX / Real Effects of Foreign Exchange Risk Migration: Evidence from Matched Firm-Bank Microdata

20-Oct / FX / Long-Term Foreign Exchange Risk Premia and Inflation Risk

21-Oct / FX / To Hedge or Not to Hedge: A Framework for Currency Hedging Decisions in Global Equity & Fixed Income Portfolios

22-Oct / Economics / Monetary Policy and Economic Performance Since the Financial Crisis

23-Oct / Economics / Risk Exposure and Acquisition of Macroeconomic Information

24-Oct / Economics / Effective Policy Communication: Targets versus Instruments

25-Oct / Alt data / Alternative Data in Investment Management: Usage, Challenges and Valuation

26-Oct / FX / Volatility Transmission and Volatility Impulse Response Functions in the Main and the Satellite Renminbi Exchange Rate Markets

27-Oct / Economics / Effective Policy Communication: Targets versus Instruments

28-Oct / FX / How Shocks Affect International Reserves? A Quasi-Experiment of Earthquakes

29-Oct / Trading / Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis

30-Oct / Trading / Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity

31-Oct / Trading / On the impact of publicly available news and information transfer to financial markets


November 2020

01-Nov / Economics / Raiders of the Lost High-Frequency Forecasts: New Data and Evidence on the Efficiency of the Fed’s Forecasting

02-Nov / Economics / Media Sentiment on Monetary Policy: Determinants and Relevance for Inflation Expectations

03-Nov / Trading / Machine Learning Treasury Yields

04-Nov / FX / Cross-Border M&A and Currency Returns

05-Nov / Cryptocurrencies / Fear and Volatility in Digital Assets

06-Nov / FX / Do FX Interventions Lead to Higher FX Debt? Evidence from Firm-Level Data

07-Nov / Trading / Excursion Risk

08-Nov / Economics / Synthetic Data Generation for Economists

09-Nov / Economics / High-Frequency Expectations from Asset Prices: A Machine Learning Approach

10-Nov / Economics / Monetary Policy and Stock Market Valuation

11-Nov / FX / U.S. Monetary Policy Uncertainty and RMB Deviations From Covered Interest Parity

12-Nov / FX / A Machine Learning Approach to Forecasting Carry Trade Returns

13-Nov / Cryptocurrencies / Rise of the Central Bank Digital Currencies: Drivers, Approaches and Technologies

14-Nov / Trading / Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

15-Nov / Economics / Monetary Policy Surprises and Exchange Rate Behavior

16-Nov / FX / Sudden Stops and Optimal Foreign Exchange Intervention

17-Nov / Economics / Does Communication Influence Executives’ Opinion of Central Bank Policy?

18-Nov / FX / Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India

19-Nov / Economics / Persistence and Long Memory in Monetary Policy Spreads

20-Nov / Economics / The Federal Reserve’s Response to the COVID-19 Contraction: An Initial Appraisal

21-Nov / Trading / Gamma Fragility

22-Nov / Fixed Income / Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers

23-Nov / Cryptocurrencies / Central Bank Digital Currency in an Open Economy

24-Nov / Economics / Time-Varying Trend Models for Forecasting Inflation in Australia

25-Nov / Trading / Price Impact on Term Structure

26-Nov / Trading / FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance

27-Nov / FX / Foreign Exchange Intervention: A New Database

28-Nov / Equities / Equity Returns, Unemployment, and Monetary Policy

29-Nov / Trading / Tail Risk and Expectations

30-Nov / FX / Will the Secular Decline in Exchange Rate and Inflation Volatility Survive COVID-19?


December 2020

01-Dec / Trading / A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection

02-Dec / FX / Currency Management by International Fixed Income Mutual Funds

03-Dec / Equities / Deep Learning for Equity Time Series Prediction

04-Dec / Trading / Information and the Arrival Rate of Option Trading Volume

05-Dec / Trading / A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

06-Dec / Equities / Do You Hear the People’s Saying? – The Voice of Individual Investors

07-Dec / NLP / When Sentiment Is News: The Polarity Pattern Approach

08-Dec / FX / The Hedging Channel of Exchange Rate Determination

09-Dec / FX / The Causal Effect of the Dollar on Trade

10-Dec / Trading / Learning (Not) to Trade: Lindy’s Law in Retail Traders

11-Dec / Trading / News Shocks Under Financial Frictions

12-Dec / Trading / The Impact of Trustees’ Age and Representation on Strategic Asset Allocations

13-Dec / Fixed Income / Informed Trading and the Dynamics of Client-dealer Connections in Corporate Bond Markets

14-Dec / Equities / Principal Eigenportfolios for U.S. Equities

15-Dec / Equities / The 283 Days of Stock Returns after the 2016 Election

16-Dec / Trading / Deep Portfolio Optimization via Distributional Prediction of Residual Factors

17-Dec / Trading / Building Cross-Sectional Systematic Strategies By Learning to Rank

18-Dec / Economics / Risk & returns around FOMC press conferences: a novel perspective from computer vision

19-Dec / Economics / Levelling Down and the COVID-19 Lockdowns: Uneven Regional Recovery in UK Consumer Spending

20-Dec / Economics / Towards robust and speculation-reduction real estate pricing models based on a data-driven strategy

21-Dec / FX / Common Idiosyncratic Volatility and Carry Trade Returns

22-Dec / Cryptocurrencies / Dry As the Desert? On the Liquidity of a Bitcoin Exchange

23-Dec / FX / What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020

24-Dec / Economics / Effects of Emerging Market Asset Purchase Program Announcements on Financial Markets During the COVID-19 Pandemic

25-Dec / FX / Multiple Monetary Policy Instruments, Foreign Exchange Intervention, and Exchange Rate in China

26-Dec / Commodities / Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches