Hundreds of quant papers from #QuantLinkADay in 2021

Over the past few years I’ve been tweeting a daily quant paper (or quant related library or similar) every day with the #QuantLinkADay tag. The initial objective was to make sure that my Twitter account @saeedamenfx posted at least some useful quant link of information (and to prevent Twitter followers being overrun by burger tweets, which I admittedly do tweet about and yes, I do like burgers if you’re asking).


It takes me quite a bit of time to collect together the #QuantLinkADay, because of the number of papers I look through to post (I really wish I could read every paper entirely, but time is the enemy here), typically at least looking at the abstract and having a quick flick through the rest of the paper and picking out nice charts to post. Hence, I do hope I hope readers find the material useful. 


In 2021, just like other years, I continued this tradition! Given that we’ve come to end of the year, I’ve collected together several hundred #QuantLinkADay tweets referring to quant paper and more into a single blog post. I hope it’s easier to navigate, rather than having to scroll through endless tweets! Of course some papers are going to be more relevant than others, and I do tend to post much more about FX then any other asset class, given that’s where most of my research is concentrated.


If you’re interested in the list from 2016, click here or from 2017 here and also the list from 2018, 2019 and 2020. I’d also hope readers had a very Merry Christmas and best of luck for 2022! 2021 has been, well, a bit like 2020, and let’s hope we move on in 2022 to more normal times (I can see them just ahead!)



2021 #QuantLinkADay papers

01-Jan / FX / High-Frequency News Sentiment and Its Application to Forex Market Prediction

02-Jan / Cryptocurrencies / Managing Stablecoins: Optimal Strategies, Regulation, and Transaction Data as Productive Capital

03-Jan / Economics / Redrawing the Map of Global Capital Flows: The Role of Cross-Border Financing and Tax Havens

04-Jan / Equities / Investable and Interpretable Machine Learning for Equities

05-Jan / Trading / Predicting Future Implied Volatility Surface Using TDBP-Learning

06-Jan / Economics / Monetary-fiscal interactions under price level targeting

07-Jan / Economics / Start Spreading the News: News Sentiment and Economic Activity in Australia h/t @macro_srsv

08-Jan / FX / Global Value Chains and the transmission of exchange rate shocks to consumer prices

09-Jan / Economics / Monetary Policy Surprises and Inflation Expectation Dispersion

10-Jan / Economics / Inflation Expectations in the U.S.: Linking Markets, Households, and Businesses

11-Jan / Economics / How Much Information Do Monetary Policy Committees Disclose? Evidence from the FOMC’s Minutes and Transcripts

12-Jan / FX / Return Spillovers Between Currency Factors

13-Jan / Economics / An Apocalypse Foretold: Climate Shocks and Sovereign Defaults

14-Jan / Fintech / Fintech: What’s Old, What’s New?

15-Jan / Economics / Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts

16-Jan / Economics / Reading between the Lines – Using Text Analysis to Estimate the Loss Function of the ECB

17-Jan / Economics / Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters

18-Jan / FX / Bonds, Currencies and Expectational Errors

19-Jan / FX / Dollar Carry Timing

20-Jan / Equities / Intraday Market Predictability: A Machine Learning Approach

21-Jan / Machine Learning / Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium

22-Jan / FX / Forex Carry, Value, & Momentum Factors Boosted by Sentiment @RavenPack

23-Jan / Economics / Understanding Trend Inflation Through the Lens of the Goods and Services Sectors

24-Jan / Trading / Measuring Corporate Bond Market Dislocations

25-Jan / Economics / The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases

26-Jan / Equities / Enhancing Stock Market Anomalies with Machine Learning

27-Jan / Equities / Predicting Earnings Management from Qualitative Disclosures

28-Jan / FX / Corporate Investment and the Exchange Rate: The Financial Channel

29-Jan / FX / Price Discovery via Limit Order in FX Market

30-Jan / FX / Debt Buildup and Currency Vulnerability: Evidence from Global Markets

31-Jan / Fixed Income / Informed Trading in Government Bond Markets

01-Feb / FX / Reconnecting Exchange Rates with Gravitas

02-Feb / Economics / Predicting Recession Probabilities Using Term Spreads: New Evidence from a Machine Learning Approach

03-Feb / FX / Do Equities Spill Over to Currencies?

04-Feb / Fixed Income / Bond Pricing and Business Cycles with Central Bank Asset Purchases

05-Feb / Cryptocurrencies / Crypto Carry

06-Feb / Cryptocurrencies / Cryptocurrency Shocks

07-Feb / Equities / Forecasting Realized Stock-Market Volatility: Do Industry Returns Have Predictive Value?

08-Feb / Trading / A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models

09-Feb / Trading / Cross impact in derivative markets

10-Feb / Equities / Using Data Science to Identify ETF Model Followers

11-Feb / Economics / Unconventional Monetary Policy and the Search for Yield

12-Feb / Economics / Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

13-Feb / Economics / Managing External Volatility: Policy Frameworks in Non-Reserve Issuing Economies

14-Feb / Fixed Income / Concealed Carry

15-Feb / Economics / Models, Markets, and the Forecasting of Elections

16-Feb / Economics / Central Bank Communication Choices: Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders

17-Feb / Economics / Covid-19 and Employment in South Korea: Trends and Comparison with the 2008 Financial Crisis

18-Feb / Economics / Mispricing and Uncertainty in International Markets

19-Feb / Economics / Network-centric indicators for fragility in global financial indices

20-Feb / Cryptocurrencies / On Technical Trading and Social Media Indicators in Cryptocurrencies’ Price Classification Through Deep Learning

21-Feb / Trading / Deep Learning for Market by Order Data

22-Feb / Trading / Integrating prediction in mean-variance portfolio optimization

23-Feb / Equities / Forecasting Earnings Using k-Nearest Neighbor Matching

24-Feb / Economics / Answering the Queen: Machine learning and financial crise

25-Feb / FX / Selective Attention in Exchange Rate Forecasting

26-Feb / Economics / Macroeconomic Expectations and Credit Card Spending

27-Feb / FX / Foreign Exchange Intervention: A Dataset of Public Data and Proxies

28-Feb / Trading / Deep Hedging under Rough Volatility

01-Mar / FX / Analyst Forecasts and Currency Markets

02-Mar / Economics / Global Uncertainty

03-Mar / Cryptocurrencies / Reducing the Volatility of Cryptocurrencies — A Survey of Stablecoins

04-Mar / Trading / The VIX index under scrutiny of machine learning techniques & neural networks

05-Mar / FX / News and Intraday Retail Investor Order Flow in Foreign Exchange Markets

06-Mar / Economics / Measuring Central Banks’ Sentiment and its Spillover Effects with a Network Approach

07-Mar / Economics / The Complementarity Between Man and Machine in Forecasting

08-Mar / Economics / Global Impacts of US Monetary Policy Uncertainty Shocks

09-Mar / Commodities / Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

10-Mar / FX / Currency Carry Trades and Global Funding Risk

11-Mar / Equities / Stock Option Predictability for the Cross-Section

12-Mar / Economics / Text-Based Recession Probabilities

13-Mar / Trading / Phase Transitions in Kyle’s Model with Market Maker Profit Incentives

14-Mar / Machine Learning / The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study

15-Mar / Machine Learning / Machine Learning Predictions of Credit and Equity Risk Premia

16-Mar / Economics / Inflation at risk in advanced and emerging market economies

17-Mar / FX / Currency Risk Premia Redux

18-Mar / Cryptocurrencies / Cryptocurrency Exchanges: Predicting Which Markets Will Remain Active

19-Mar / Trading / Can Machine Learning Help to Select Portfolios of Mutual Funds?

20-Mar / Trading / Adaptive Seriational Risk Parity’ and other Extensions for Heuristic Portfolio Construction using Machine Learning and Graph Theory

21-Mar / FX / The Dollar and its Discontents

22-Mar / Trading / Why Is Systematic Investing Important?

23-Mar / Trading / Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

24-Mar / Economics / Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico

25-Mar / Economics / Building Probabilistic Causal Models using Collective Intelligence

26-Mar / Trading / Feature Selection in Jump Models

27-Mar / Trading / Semicovariances and Machine Learning Methods in Oil and Gold Futures Markets

28-Mar / Fixed Income / Sovereign Debt Crisis in the 21st Century

29-Mar / FX / Remittances and The Myth of the Exchange Rate’s Power: The Case of Mexico

30-Mar / Fixed Income / Global Sales, International Currencies and the Currency Denomination of Debt

31-Mar / Economics / UK inflation forecasts since the thirteenth century

01-Apr / Economics / Sectoral Slowdowns in the UK: Evidence from Transmission Probabilities and Economic Linkages

02-Apr / Commodities / Clustering Commodity Markets in Space and Time: Clarifying Returns, Volatility, and Trading Regimes Through Unsupervised Machine Learning

03-Apr / Machine Learning / Market Reaction to CEOs’ Dynamic Hemifacial Asymmetry of Expressions — A Machine-Learning Approach

04-Apr / FX / New Insights on the Forward Premium Regression through a Portfolio-based Approach

05-Apr / Economics / Toothless Tiger with Claws? Financial Stability Communication, Expectations, and Risk-Taking

06-Apr / Economics / A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors

07-Apr / Economics / New Determinants of Sovereign Risk Premia: Identification through Asset Price Shocks, Credit Premia, and Financial Cycle Synchronization

08-Apr / Economics / Forecasting UK inflation bottom up

09-Apr / Equities / Overlapping Narrative Risk Disclosures and Return Predictability

10-Apr / Economics / News Entropy

11-Apr / Economics / Forecasting with Shadow-Rate VARs

12-Apr / Cryptocurrencies / A Big Data Analysis of the Ethereum Network: from Blockchain to Google Trends

13-Apr / Trading / Optimal Fees for Geometric Mean Market Makers

14-Apr / Economics / Monetary policy, Twitter and financial markets: evidence from social media traffic

15-Apr / FX / A behavioral explanation for the puzzling persistence of the aggregate real exchange rate

16-Apr / Economics / Alternative Measures of Underlying Inflation in the Euro Area

17-Apr / Economics / Capital Flows During the Pandemic: Lessons for a More Resilient International Financial Architecture

18-Apr / Equities / Predictive Regressions for Aggregate Stock Market Volatility with Machine Learning

19-Apr / Economics / Can We Measure Inflation Expectations Using Twitter?

20-Apr / Equities / Squeezing Shorts Through Social News Platforms

21-Apr / Economics / Does Wall Street Understand Fed Speak? Monetary Policy Communication and Corporate Conference Calls

22-Apr / FX / Uncertainty Network Risk and Currency Returns

23-Apr / Economics / Semantic Analysis of the Central Bank of the Republic of Turkey Communication Reports and Forecasting Model with LSTM

24-Apr / Cryptocurrencies / Global Stablecoins: Monetary Policy Implementation Considerations from the U.S. Perspective

25-Apr / Trading / TradeR: Practical Deep Hierarchical Reinforcement Learning for Trade Execution

26-Apr / Economics / Host type and pricing on Airbnb: Seasonality and perceived market power

27-Apr / Economics / Economic Support during the COVID Crisis. Quantitative Easing and Lending Support Schemes in the UK

28-Apr / Economics / Tracking Global Economic Uncertainty: Implications for the Euro Area

29-Apr / Commodities / Wheat Price Volatility Over 140 Years: An Analysis of Daily Price Ranges

30-Apr / Economics / Reconstruction of the Spanish Money Supply, 1492-1810

01-May / Economics / Back to the Present: Learning about the Euro Area through a Now-casting Model

02-May / Economics / The Bias and Efficiency of the ECB Inflation Projections: A State Dependent Analysis

03-May / Trading / Deep Reinforcement Trading with Predictable Returns

04-May / Cryptocurrencies / What triggers consumer adoption of CBDC?

05-May / Equities / Monetary Policy and the Equity Term Structure

06-May / FX / The Influence of US Dollar Funding Conditions on Asian Financial Markets

07-May / Economics / A Prudential trade-off? Leakages and Interactions with Monetary Policy

08-May / Trading / Should You Take Investment Advice From WallStreetBets? A Data-Driven Approach

09-May / Trading / Why and how systematic strategies decay

10-May / Equities / A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news

11-May / Trading / Hedging under rough volatility

12-May / Economics / Can Central Bank Communication Help to Stabilise Inflation Expectations?

13-May / Economics / Do Exchange Rates Absorb Demand Shocks at the ZLB?

14-May / FX / Foreign Exchange Risk in Public Firms

15-May / Equities / Long-run expected stock returns

16-May / Bonds / Heterogeneity in corporate debt structures and the transmission of monetary policy

17-May / FX / Foreign Exchange Volume

18-May / Economics / The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model

19-May / Equities / ESG, Risk, and (tail) dependence

20-May / Cryptocurrencies / Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices

21-May / Commodities / Using four different online media sources to forecast the crude oil price

22-May / Economics / Monetary Famine, Paper Money, and International Constraints on Economic Growth: The Case of Colonial Quebec

23-May / Economics / The Inflation Expectations of U.S. Firms: Evidence from a New Survey

24-May / Commodities / Forecasting Base Metal Prices with an International Stock Index

25-May / Trading / Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning

26-May / Economics / The Power of Text-based Indicators in Forecasting the Italian Economic Activity

27-May / FX / Foreign Exchange Intervention: A Dataset of Public Data and Proxies

28-May / Equities / Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading

29-May / Economics / The COVID-19 Shock and Challenges for Time Series Models

30-May / Cryptocurrencies / Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market

31-May / Economics / The relationship between economic growth and environment. Testing the EKC hypothesis for Latin American countries

01-Jun / FX / Constraint-Based Inference of Heuristics for Foreign Exchange Trade Model Optimization

02-Jun / Economics / Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs

03-Jun / Commodities / A Shot in the Arm: The Effect of COVID-19 Vaccine News on Financial and Commodity Markets

04-Jun / Economics / A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

05-Jun / Economics / Mobility and Economic Impact of COVID-19 Restrictions in Italy using Mobile Network Operator Data

06-Jun / Economics / Macroeconomic Forecasting in India: Does Machine Learning Hold the Key to Better Forecasts?

07-Jun / Economics / Dating the Euro Area Business Cycle: An Evaluation

08-Jun / Fixed Income / Enhancing the BIS government bond statistics

09-Jun / FX / Online Trading Models in the Forex Market Considering Transaction Costs

10-Jun / Economics / A Century of Economic Policy Uncertainty Through the French-Canadian Lens

11-Jun / Equities / How does stock market co-move with domestic economic policy uncertainty? New evidence from symmetric thermal optimal path method

12-Jun / Trading / Deep Learning Statistical Arbitrage

13-Jun / Equities / On the “mementum” of Meme Stocks

14-Jun / Machine Learning / Generative Adversarial Networks in finance: an overview

15-Jun / Risk Management / Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation

16-Jun / Economics / The Relationship between Foreign Direct Investment and Economic Growth: A Case of Turkey

17-Jun / Economics / Anchoring of Consumers’ Long-Term Euro Area Inflation Expectations During the Pandemic

18-Jun / Economics / The Global Transmission of Real Economic Uncertainty

19-Jun / Trading / Explainable AI (XAI) Models Applied to Planning in Financial Markets

20-Jun / Trading / Cross-Section of Option Returns and the Volatility Risk Premium

21-Jun / Economics / COVID-19, Urban Transportation, and Air Pollution

22-Jun / Commodities / The smile of the volatility risk premia by @IliaBouchouev

23-Jun / Trading / Robust deep hedging

24-Jun / Trading / Diversified reward-risk parity in portfolio construction

25-Jun / Economics / Politicians’ Willingness to Agree: Evidence from the interactions in Twitter of Chilean Deputies

26-Jun / Code library / Facebook Kats, a kit to analyze time series data, a lightweight, easy-to-use, generalizable, and extendable framework to perform time series analysis

27-Jun / Economics / Interest Rate Skewness and Biased Beliefs

28-Jun / Economics / Voting Right Rotation, Behavior of Committee Members and Financial Market Reactions: Evidence from the U.S. Federal Open Market Committee

29-Jun / Economics / Sentiment Analysis of COVID-19 Vaccine Tweets Using Machine Learning

30-Jun / Economics / The SOFR and the Fed’s Influence Over Market Interest Rates

01-Jul / Cryptocurrencies / Bitcoin, Currencies, and Bubbles

02-Jul / Trading / Market regime classification with signatures by @bilokon

03-Jul / Cryptocurrencies / The Role of Binance in Bitcoin Volatility Transmission

04-Jul / Equities / Social Media Sentiment and IPO Pricing

05-Jul / Fixed Income / Predicting Individual Corporate Bond Returns

06-Jul / Economics / Container Trade and the U.S. Recovery

07-Jul / Economics / Temporal Analysis of Worldwide War

08-Jul / Equities / An Empirical Investigation of Bias in the Multimodal Analysis of Financial Earnings Calls

09-Jul / Economics / Tracking weekly state-level economic conditions

10-Jul / FX / The Impacts of Foreign Portfolio Flows and Monetary Policy Responses on Stock Markets by Considering COVID-19 Pandemic: Evidence from Turkey

11-Jul / Economics / One-stop Source: A Global Database of Inflation

12-Jul / Economics / Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey

13-Jul / Economics / Revisiting the macroeconomic effects of monetary policy shocks

14-Jul / FX / Currency Hedging in Emerging Markets: Managing Cash Flow Exposure

15-Jul / Economics / The Inflation Expectations of U.S. Firms: Evidence from a new survey

16-Jul / FX / Global uncertainty and the dollar

17-Jul / Economics / US Inflation and Global Asset Returns

18-Jul / Economics / Inflation Thresholds and Inattention

19-Jul / FX / A Fundamental Connection: Exchange Rates and Macroeconomic Expectations

20-Jul / Economics / The Long Shadows of the Great Inflation: Evidence from Residential Mortgages

21-Jul / Trading / A characterisation of cross-impact kernels

22-Jul / Trading / Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques

23-Jul / FX / Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

24-Jul / Trading / Correlation scenarios and correlation stress testing

25-Jul / Economics / Inflation expectations and the ECB’s perceived inflation objective: novel evidence from firm-level data

26-Jul / Equities / Stock Movement Prediction with Financial News using Contextualized Embedding from BERT

27-Jul / Cryptocurrencies / Crypto Premium and Jump Risk

28-Jul / Economics / Inflation Persistence, Monetary Regimes and Credibility: A Long-term Perspective

29-Jul / Trading / Stock price prediction using BERT and GAN

30-Jul / Trading / Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

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

01-Aug / FX / Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces

02-Aug / Economics / International Trade Network: Country centrality and COVID-19 pandemic

03-Aug / Economics / Text Semantics Capture Political and Economic Narratives

04-Aug / Trading / Machine Learning and Factor-Based Portfolio Optimization

05-Aug / Commodities / The COVID-19 Effects on Agricultural Commodity Markets

06-Aug / Economics / From Deviations to Shortfalls: The Effects of the FOMC’s New Employment Objective

07-Aug / Economics / Monetary policy and the cross-section of stock returns in a market with distortions

08-Aug / Commodities / What Microeconomic Fundamentals Drive Global Oil Prices During 1986-2020?

09-Aug / FX / Dollar Dominance in FX Trading

10-Aug / FX / What Drives Dollar Funding Stress in Distress?

11-Aug / Trading / Approximating Optimal Asset Allocations using Simulated Bifurcation

12-Aug / Economics / Uncertainty and Business Cycle Asymmetry

13-Aug / Trading / A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets

14-Aug / Equities / Forecasting Earnings with Predicted, Conditional Probability Density Functions

15-Aug / Machine Learning / How to avoid machine learning pitfalls: a guide for academic researchers h/t @firoozye

16-Aug / Economics / Fifty Shades of QE: Comparing Findings of Central Bankers and Academics

17-Aug / FX / Fundamentals vs. Policies: Can the US Dollar’s Dominance in Global Trade Be Dented?

18-Aug / Economics / Generalized Nowcast Revision Analysis

19-Aug / Economics / Impacts of Sovereign Risk Premium on Bank Profitability: Evidence from Euro Area

20-Aug / Credit / From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

21-Aug / Economics / A Large Bayesian VAR of the United States Economy

22-Aug / Economics / Macroeconomic Predictions using Payments Data and Machine Learning

23-Aug / Economics / Household Inflation Expectations and Consumer Spending: Evidence from Panel Data

24-Aug / FX / Dynamic Currency Hedging with Ambiguity

25-Aug / FX / The currency that came in from the cold: Capital controls and the information content of order flow

26-Aug / Economics / Financial Crises: A Survey

27-Aug / Trading / Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

28-Aug / Cryptocurrencies / A Time-Varying Network for Cryptocurrencies

29-Aug / Trading / Synthetic Data: A New Regulatory Tool

30-Aug / Economics / Macroeconomic and Financial Risks: A Tale of Mean and Volatility

31-Aug / Economics / The Impact of Heterogeneous Unconventional Monetary Policies on the Expectations of Market Crashes

01-Sep / Machine Learning / FinBERT—A Deep Learning Approach to Extracting Textual Information

02-Sep / Economics / Macroeconomic Predictions using Payments Data and Machine Learning

03-Sep / Cryptocurrencies / Crypto Wash Trading

04-Sep / Cryptocurrencies / Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets

05-Sep / Trading / The Inelastic Market Hypothesis: A Microstructural Interpretation

06-Sep / Economics / Realised Volatility Forecasting: Machine Learning via Financial Word Embedding

07-Sep / Economics / Iterated and exponentially weighted moving principal component analysis by @bilokon et al

08-Sep / Economics / Narratives in economics

09-Sep / Trading / Model-free Portfolio Theory: A Rough Path Approach

10-Sep / Machine Learning / Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs

11-Sep / Machine Learning / Auctions and Prediction Markets for Scientific Peer Review

12-Sep / Machine Learning / What drives bitcoin? An approach from continuous local transfer entropy and deep learning classification models

13-Sep / Cryptocurrencies / Evaluation of the importance of criteria for the selection of cryptocurrencies

14-Sep / Equities / Equity Premium Predictability Over the Business Cycle

15-Sep / Economics / A Hitchhiker’s Guide to Empirical Macro Models

16-Sep / Economics / Macroeconomic stabilisation and monetary policy effectiveness in a low-interest-rate environment

17-Sep / Economics / Impacts of Authoritarian Policies on Central Banks’ Credibility and Functionality: Evidence from Turkey

18-Sep / FX / Understanding the Pricing of Currency Risk in Global Equity Markets

19-Sep / Economics / Let’s Speak More? How the ECB Responds to Public Contestation

20-Sep / Economics / A Monetary-Fiscal Theory of Sudden Inflations and Currency Crises

21-Sep / Economics / The Market Events of Mid-September 2019

22-Sep / Trading / Measuring information in analyst reports: A machine learning approach

23-Sep / Economics / Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin

24-Sep / Economics / Asymmetric Monetary Policy Rules for the Euro Area and the US

25-Sep / Economics / Evolution of topics in central bank speech communication

26-Sep / Cryptocurrencies / Net Buying Pressure and the Information in Bitcoin Option Trades

27-Sep / Economics / Information frictions in inflation expectations among five types of economic agents

28-Sep / Trading / Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets

29-Sep / Economics / Monetary Policy in Times of Structural Reallocation

30-Sep / Machine Learning / Witscript: A System for Generating Improvised Jokes in a Conversation

01-Oct / Economics / Low Inflation Bends the Phillips Curve Around the World: Extended Results

02-Oct / Economics / Why Do We Think that Inflation Expectations Matter for Inflation? (And Should We?)

03-Oct / FX / Imperfect Exchange Rate Expectations

04-Oct / Machine Learning / Estimating Security Betas via Machine Learning

05-Oct / Economics / Understanding Low Inflation in the Euro Area from 2013 to 2019: Cyclical and Structural Drivers

06-Oct / FX / Implications of Infrequent Portfolio Adjustment for International Portfolio Choices

07-Oct / Trading / Non-average price impact in order-driven markets

08-Oct / Trading / Concentrated Liquidity in Automated Market Makers

09-Oct / Economics / The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data

10-Oct / Economics / Capital Demand Driven Business Cycles: Mechanism and Effects

11-Oct / FX / Exchange Rate Disconnect and the General Equilibrium Puzzle

12-Oct / Economics / Global Models for a Global Pandemic: The Impact of Covid-19 on Small Euro Area Economies

13-Oct / Economics / Policymakers’ Uncertainty

14-Oct / Economics / A Parametric Estimation of the Policy Stance from the Central Bank Minutes

15-Oct / Economics / How Do Central Banks Identify Risks? A Survey of Indicators

16-Oct / Trading / Uncertainty, volatility and the persistence norms of financial time series

17-Oct / Economics / Universal Database for Economic Complexity

18-Oct / FX / Reinforcement Learning for Systematic FX Trading

19-Oct / Trading / Protecting Retail Investors from Order Book Spoofing using a GRU-based Detection Model

20-Oct / FX / Benchmark Currency Stochastic Discount Factors

21-Oct / Cryptocurrencies / Understanding jumps in high frequency digital asset markets

22-Oct / Economics / Central Bank Communication with Non-Experts: A Road to Nowhere?

23-Oct / Commodities / Measuring Market Expectations

24-Oct / Economics / Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk

25-Oct / Trading / How informative is the Order Book Beyond the BestLevels? Machine Learning Perspective

26-Oct / Cryptocurrencies / Monetary policy shocks and Bitcoin prices

27-Oct / Cryptocurrencies / Cryptocurrencies in Emerging Markets: a Stablecoin Solution?

28-Oct / Economics / Monetary Policy and Stock Market Valuation

29-Oct / Economics / The macroeconomic effects of forward communication

30-Oct / Trading / Costly Trading

31-Oct / Trading / Self-organised criticality in high frequency finance: the case of flash crashes

01-Nov / Cryptocurrencies / Ask “Who”, Not “What”: Bitcoin Volatility Forecasting with Twitter Data

02-Nov / Economics / Boosting Tax Revenues with Mixed-Frequency Data in the Aftermath of COVID-19: The Case of New York

03-Nov / Economics / Inflation: A New Hypothesis and Accurate 100 Year Regression Model

04-Nov / Trading / Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Models

05-Nov / FX / What Determines the Long-Term Volatility of Offshore RMB Exchange Rate?

06-Nov / Economics / Network analysis regarding international trade network

07-Nov / Economics / Mark my Words: The Transmission of Central Bank Communication to the General Public via the Print Media

08-Nov / Machine Learning / Data-driven Hedging of Stock Index Options via Deep Learning

09-Nov / Trading / Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

10-Nov / FX / Constrained Dealers and Market Efficiency

11-Nov / Machine Learning / FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance

12-Nov / Economics / Mapping the Federal Reserve’s Reaction Function with Directed Acyclic Graphs

13-Nov / Cryptocurrencies / Dynamic Volatility Connectedness between Thermal Coal Futures and Major Cryptocurrencies: Evidence from China

14-Nov / Economics / It’s not always about the money, sometimes it’s about sending a message: Evidence of Informational Content in Monetary Policy Announcements

15-Nov / Trading / A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection

16-Nov / Trading / Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures

17-Nov / Economics / Spillovers of US Interest Rates: Monetary Policy & Information Effects

18-Nov / Cryptocurrencies / Information dynamics of price and liquidity around the 2017 Bitcoin markets crash

19-Nov / Trading / FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance

20-Nov / Economics / Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective

21-Nov / Trading / Mean-Variance-VaR portfolios: MIQP formulation and performance analysis

22-Nov / Credit / A transformer-based model for default prediction in mid-cap corporate markets

23-Nov / Cryptocurrencies / The Equilibrium Value of Bitcoin

24-Nov / Economics / International Transmission of Chinese Monetary Policy Shocks to Asian Countries

25-Nov / Trading / Portfolio optimization with idiosyncratic and systemic risks for financial networks

26-Nov / Trading / Portfolio optimisation with options

27-Nov / Cryptocurrencies / The Effect of Central Bank Digital Currencies News on Financial Markets

28-Nov / Economics / What Goes Around Comes Around: How Large are Spillbacks from US Monetary Policy?

29-Nov / Trading / Deep Learning Based Dynamic Implied Volatility Surface

30-Nov / Economics / Nowcasting Euro Area GDP with News Sentiment: A Tale of Two Crises

01-Dec / FX / An Investigation of the Impact of COVID-19 Non-Pharmaceutical Interventions and Economic Support Policies on Foreign Exchange Markets with Explainable AI Techniques

02-Dec / Economics / Impact of Uncertainty Created by the Us Post-Qe Monetary Policy on Emerging Economies

03-Dec / Economics / Geo-political conflicts, economic sanctions and international knowledge flows

04-Dec / Economics / Expert Aggregation for Financial Forecasting

05-Dec / Economics / An Improved Reinforcement Learning Model Based on Sentiment Analysis

06-Dec / Cryptocurrencies / Is Bitcoin really a currency? A viewpoint of a stochastic volatility model

07-Dec / Equities / EmTract: Investor Emotions and Market Behavior

08-Dec / Equities / The Price Impact of Generalized Order Flow Imbalance

09-Dec / FX / Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control

10-Dec / Economics / Estimating Hysteresis Effects

11-Dec / Economics / Feeling the Heat: Extreme Temperatures and Price Stability

12-Dec / Economics / Fan Charts 2.0: Flexible Forecast Distributions with Expert Judgement

13-Dec / Economics / The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

14-Dec / FX / FX Swap Valuation As a Cost of Filling Dollar Funding Gap: A Hierarchical and Dealer-Centric Perspective

15-Dec / FX / FX Option Volume

16-Dec / Machine Learning / Multi-Asset Spot and Option Market Simulation

17-Dec / Economics / Global Spillovers of the Fed Information Effect

18-Dec / Cryptocurrencies / Stablecoins: Risks, Potential and Regulation

19-Dec / FX / The Term Structure of Currency Futures’ Risk Premia

20-Dec / Trading / Multivariate Realized Volatility Forecasting with Graph Neural Network

21-Dec / Cryptocurrencies / On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges

22-Dec / FX / The Exchange Rate Insulation Puzzle

23-Dec / Trading / Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture

24-Dec / Trading / Optimal Portfolio Choice and Stock Centrality for Tail Risk Events

25-Dec / Economics / Asymmetries in risk premia, macroeconomic uncertainty and business cycles

26-Dec / Machine Learning / Stationarity analysis of the stock market data and its application to mechanical trading

27-Dec / FX / The Valuation Effects of Trade

28-Dec / Economics / Idiosyncrasy as a Leading Indicator

29-Dec / Trading / Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting

30-Dec / FX / Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market