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
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
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
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
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