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
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08-Jul / Equities / An Empirical Investigation of Bias in the Multimodal Analysis of Financial Earnings Calls
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09-Jul / Economics / Tracking weekly state-level economic conditions
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
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