Hundreds of quant papers from #QuantLinkADay in 2022

If you follow me on Twitter (@saeedamenfx), you’ll notice that I post a lot of stuff about burgers (yes, I do like them). In an effort to make sure that I at least regularly post quant content (as opposed to burger based tweets), I started posting a daily link under the #QuantLinkADay hashtag. Usually these are papers, sometimes they might also be code libraries, essentially anything that seems to be useful from a quant point of view. Of course, I’ll admit I don’t read the full contents of every single paper I post, however, I do read through the abstract to see whether the subject would be useful.


In order to make the links easier to navigate through, at the end of each year, I collect them together into one post, and for 2022, I’m doing exactly that again. Below you’ll find all the #QuantLinkADay links collected together. I’ve also tried to classify each paper under the topic (although admittedly, many of these papers could be under multiple comments).


If you’re interested in the list from 2016, click here or from 2017 here and also the list from 2018, 2019, 2020 and 2021. I’d also hope readers had a very Merry Christmas and best of luck for 2023! 2022 has at least seen the pandemic easing and a return to normalcy in most parts of the world.


2022 #QuantLinkADay papers

01-Jan / Economics / Main Street’s Pain, Wall Street’s Gain

02-Jan / Trading / On Hawkes Processes with Infinite Mean Intensity

03-Jan / Economics / Monetary Policy Communication: Perspectives from Former Policy Makers at the ECB

04-Jan / Trading / Dynamic Portfolio Optimization with Inverse Covariance Clustering

05-Jan / FX / Global Risk and the Dollar

06-Jan / Equities / Exact Post-selection Inference For Tracking S&P500

07-Jan / Cryptocurrencies / Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure

08-Jan / Machine Learning / Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

09-Jan / Economics / Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements

10-Jan / Economics / Assessing Macroeconomic Tail Risk

11-Jan / Trading / Market Impact of Small Orders

12-Jan / FX / Fiscal regimes and the exchange rate

13-Jan / Cryptocurrencies / Bitcoin Price Predictive Modeling Using Expert Correction

14-Jan / Credit / The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return

15-Jan / FX / Sparse and Stable International Portfolio Optimization and Currency Risk Management

16-Jan / Equities / ESG features explain one bit of idiosyncratic price returns

17-Jan / Economics / ECB communication with the wider public

18-Jan / Equities / Strategic mean-variance investing under mean-reverting stock returns

19-Jan / Cryptocurrencies / The Recurrent Reinforcement Learning Crypto Agent

20-Jan / Trading / Optimal trend following portfolios

21-Jan / Machine Learning / Data2vec: A General Framework for Self-supervised Learning in Speech, Vision and Language

22-Jan / Equities / Lead-lag detection and network clustering for multivariate time series with an application to the US equity market

23-Jan / Machine Learning / Long Short-Term Memory Neural Network for Financial Time Series

24-Jan / FX / Currency Denomination and Borrowing Cost: Evidence from Global Bonds

25-Jan / Equities / Option Volume Imbalance as a predictor for equity market returns

26-Jan / Trading / Regime recovery using implied volatility in Markov modulated market model

27-Jan / Trading / Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

28-Jan / Economics / Shifts in ECB Communication: A Textual Analysis of the Press Conferences

29-Jan / Economics / Sectoral Volatility and the Investment Channel of Monetary Policy

30-Jan / Economics / The Macroeconomic Effects of Falling Long-term Inflation Expectations?

31-Jan / Economics / How Does the Phillips Curve Slope Vary with Repricing Rates?

01-Feb / Cryptocurrencies / Cryptocurrency Valuation: An Explainable AI Approach

02-Feb / Equities / Predicting The Stock Trend Using News Sentiment Analysis and Technical Indicators in Spark

03-Feb / Machine Learning / Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff

04-Feb / Commodities / Tail Risk of Electricity Futures

05-Feb / Cryptocurrencies / Stablecoins: Growth Potential and Impact on Banking

06-Feb / Economics / Exchange Rate Pass-Through in Brazil: A Markov Switching DSGE Estimation for the Inflation Targeting Period

07-Feb / Economics / Inflation Narratives

08-Feb / FX / Technical Trading Rule Profitability in Currencies: It’s All About Momentum

09-Feb / FX / Macroeconomic News Announcements and Order Flow Effects on Foreign Exchange Rates: A Review of Theoretical Literature

10-Feb / Machine Learning / Dual-CLVSA: a Novel Deep Learning Approach to Predict Financial Markets with Sentiment Measurements

11-Feb / Trading / Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks

12-Feb / Trading / Are all Credit Default Swap Databases equal?

13-Feb / Machine Learning / Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects

14-Feb / Economics / A New Database for Financial Crises in European Countries

15-Feb / Economics / The Calculus of Dissent: Bias and Diversity in FOMC Projections

16-Feb / FX / Individual Forecasts of Exchange Rates

17-Feb / Fixed Income / Foreign Institutional Investors, Monetary Policy, and Reaching for Yield

18-Feb / Fixed Income / Evolution of Bilateral Swap Lines

19-Feb / FX / Can swap basis predict foreign exchange rate? Evidence from Korea

20-Feb / Economics / The Financial Accelerator Mechanism: Does Frequency Matter?

21-Feb / Cryptocurrencies / Stablecoins and Central Bank Digital Currencies: Policy and Regulatory Challenges

22-Feb / Cryptocurrencies / A Short Survey on Business Models of Decentralized Finance (DeFi) Protocols

23-Feb / FX / Cross-Border M&A Flows, Economic Growth, and Foreign Exchange Rates

24-Feb / FX / Analyzing Capital Flow Drivers Using the ‘At-Risk’ Framework: South Africa’s Case

25-Feb / Trading / Exploring Classic Quantitative Strategies

26-Feb / Trading / Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia

27-Feb / Machine Learning / Can LSTM outperform volatility-econometric models?

28-Feb / Economics / Measuring Shocks to Central Bank Independence using Legal Rulings

01-Mar / Trading / Price formation in financial markets: a game-theoretic perspective

02-Mar / Equities / Sequential Asset Ranking within Nonstationary Time Series

03-Mar / Machine Learning / Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation

04-Mar / Fixed Income / U.S. Dollar Currency Premium in Corporate Bonds

05-Mar / Commodities / Performance of Gold as a Financial Asset During Different Phases of Financial Cycles

06-Mar / Economics / What Do the Data Tell Us About Inflation Expectations?

07-Mar / Equities / Machine Forecast Disagreement and Equity Returns

08-Mar / Economics / Like Playing a Fiddle to a Cow? Identifying the Effect of Chinese Monetary Policy Announcements

09-Mar / Machine Learning / Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series

10-Mar / Machine Learning / Detecting data-driven robust statistical arbitrage strategies with deep neural networks

11-Mar / Economics / The Term Structure of Monetary Policy Uncertainty

12-Mar / Machine Learning / Multi-Objective reward generalization: Improving performance of Deep Reinforcement Learning for selected applications in stock and cryptocurrency trading

13-Mar / FX / Real Exchange Rate Misalignment and Business Cycle Fluctuations in Asia and the Pacific

14-Mar / Economics / Wages, Compositional Effects and the Business Cycle

15-Mar / Economics / A Comparative Study on Forecasting of Retail Sales

16-Mar / Economics / Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model

17-Mar / Cryptocurrencies / Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests

18-Mar / FX / An Unintended Consequence of Holding Dollar Assets

19-Mar / Economics / Reality Check: How People Form Inflation Expectations and Why You Should Care

20-Mar / Economics / What Do They Mean? An Application of Latent Semantic Analysis to the Bank of England MPC Minutes

21-Mar / Economics / Making Money (pre-Civil War U.S. private banknotes and modern stablecoins)

22-Mar / Economics / Aggregate and Disaggregate Trend Inflation: Case of Korea

23-Mar / FX / An application of deep learning for exchange rate forecasting

24-Mar / Machine Learning / Neural Network and Order Flow, Technical Analysis: Predicting short-term direction of futures contract

25-Mar / Trading / A mean-field game of market-making against strategic traders

26-Mar / FX / An application of deep learning for exchange rate forecasting

27-Mar / FX / Global History of Currencies

28-Mar / Equities / An Exploratory Study of Stock Price Movements from Earnings Calls

29-Mar / Equities / The echo chamber effect resounds on financial markets: a social media alert system for meme stocks

30-Mar / Trading / Straightening skewed markets with an index tracking optimizationless portfolio

31-Mar / Trading / Rough volatility: fact or artefact?

01-Apr / FX / Application of Quantum Computers in Foreign Exchange Reserves Management

02-Apr / FX / FX Liquidity Risk and Carry Trade Premia

03-Apr / Machine Learning / Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management

04-Apr / Cryptocurrencies / Vulnerability-CoVaR: Investigating the Crypto-market

05-Apr / Commodities / Electricity Price Forecasting: The Dawn of Machine Learning

06-Apr / Trading / Robust Portfolio Design and Stock Price Prediction Using an Optimized LSTM Model

07-Apr / Trading / Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data

08-Apr / Economics / Emerging Markets: Prospects and Challenges

09-Apr / Machine Learning / Does non-linear factorization of financial returns help build better and stabler portfolios?

10-Apr / Machine Learning / Extraction of deterministic components for high frequency stochastic process — an application from CSI 300 index

11-Apr / Economics / Learning About Fed Policy from Macro Announcements: A Tale of Two FOMC Days

12-Apr / Fixed Income / Inflation-Adjusted Bonds, Swaps, and Derivatives

13-Apr / FX / Forecasting Exchange Rate Realized Volatility; An Amalgamation Approach

14-Apr / Machine Learning / Learning Probability Distributions in Macroeconomics and Finance

15-Apr / Cryptocurrencies / Cryptocurrency Return Prediction Using Investor Sentiment Extracted by BERT-Based Classifiers from News Articles, Reddit Posts and Tweets

16-Apr / Machine Learning / Reinforcement Learning Policy Recommendation for Interbank Network Stability

17-Apr / FX / Dynamic Allocations for Currency Investment Strategies

18-Apr / Equities / Stock Price Prediction using Sentiment Analysis and Deep Learning for Indian Markets

19-Apr / Equities / The Announcement Effects of a Change in the Bank of Japan’s ETF Purchase Program: An Event Study

20-Apr / Economics / Monetary Policy Frameworks: An Index and New Evidence

21-Apr / Machine Learning / On Parametric Optimal Execution and Machine Learning Surrogates

22-Apr / Commodities / Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting

23-Apr / Cryptocurrencies / Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

24-Apr / FX / The U.S. Dollar and Variance Risk Premia Imbalances

25-Apr / Economics / Economic Policy Uncertainty and Institutional Investment Returns: The Case of New Zealand

26-Apr / Cryptocurrencies / International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects

27-Apr / Cryptocurrencies / Prediction of Cryptocurrency Price Based on Multiscale Analysis and Deep Learning

28-Apr / Machine Learning / Explainable Artificial Intelligence: Interpreting Default Forecasting Models Based on Machine Learning

29-Apr / Cryptocurrencies / Application of Machine Learning Models and Interpretability Techniques to Identify the Determinants of the Price of Bitcoin

30-Apr / Machine Learning / Deep Learning Mutual Fund Disclosure: Risk Sentiment, Risk Taking, and Performance

01-May / Machine Learning / Does non-linear factorization of financial returns help build better and stabler portfolios?

02-May / Economics / What Drives Mortgage Default Risk in Europe and the U.S.?

03-May / Economics / From Low to High Inflation: Implications for Emerging Market and Developing Economies

04-May / Machine Learning / Excess Out-of-Sample Risk and Fleeting Modes

05-May / Machine Learning / Dynamic and Context-Dependent Stock Price Prediction Using Attention Modules and News Sentiment

06-May / Machine Learning / A Word is Worth A Thousand Dollars: Adversarial Attack on Tweets Fools Stock Prediction

07-May / Cryptocurrencies / Cross Cryptocurrency Relationship Mining for Bitcoin Price Prediction

08-May / Economics / A basic macroeconomic agent-based model for analyzing monetary regime shifts

09-May / Equities / Randomized geometric tools for anomaly detection in stock markets

10-May / Economics / What Should the Inflation Target Be? Views from 600 Economists

11-May / Economics / Central Bank Communication with the General Public: Promise or False Hope?

12-May / Trading / Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

13-May / Machine Learning / Deep learning based Chinese text sentiment mining and stock market correlation research

14-May / Economics / A Tale of Two Global Monetary Policies

15-May / Economics / Shocks to Inflation Expectations

16-May / Trading / AI driven liquidity provision in OTC financial markets

17-May / Trading / Market Impact: Empirical Evidence, Theory and Practice

18-May / Economics / Central Bank Swap Lines: Micro-level Evidence

19-May / Economics / Do Yield Curve Inversions Predict Recessions in the Euro Area?

20-May / FX / Russia’s Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention

21-May / Cryptocurrencies / Central Bank Digital Currency and Banks

22-May / FX / A Macroprudential Theory of Foreign Reserve Accumulation

23-May / FX / Exchange Rate and Inflation under Weak Monetary Policy: Turkey Verifies Theory

24-May / Options / On the skew and curvature of implied and local volatilities

25-May / Machine Learning / Deep Learning vs. Gradient Boosting: Benchmarking state-of-the-art machine learning algorithms for credit scoring

26-May / Trading / Portfolio Diversification Revisited

27-May / Trading / Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models

28-May / Trading / Do price trajectory data increase the efficiency of market impact estimation?

29-May / Economics / Quantifying ‘Quantitative Tightening’ (QT): How Many Rate Hikes Is QT Equivalent To?

30-May / Machine Learning / Deep Generators on Commodity Markets; application to Deep Hedging

31-May / Economics / Deciphering Monetary Policy Shocks

01-Jun / Economics / Benchmarking Econometric and Machine Learning Methodologies in Nowcasting

02-Jun / Economics / Macroeconomic Expectations, Central Bank Communication, and Background Uncertainty: A COVID-19 Laboratory Experiment

03-Jun / Economics / Inflation Past, Present and Future: Fiscal Shocks, Fed Response, and Fiscal Limits

04-Jun / Machine Learning / A Machine Learning Projection Method for Macro-Finance Models

05-Jun / FX / Dollar Funding Stresses in China

06-Jun / Trading / Hedging option books using neural-SDE market models

07-Jun / Cryptocurrencies / Dependency structures in cryptocurrency market from high to low frequency

08-Jun / Machine Learning / Portfolio Transformer for Attention-Based Asset Allocation

09-Jun / FX / Corporate Basis and the International Role of The U.S. Dollar

10-Jun / Economics / The influence of color on prices of abstract paintings

11-Jun / Cryptocurrencies / The Economics of Automated Market Makers

12-Jun / FX / Weather Shocks and Exchange Rate Flexibility

13-Jun / FX / A New Approach to the Estimation of Equilibrium Real Exchange Rates among East-Asian Economies

14-Jun / Trading / Transaction cost analytics for corporate bonds

15-Jun / Cryptocurrencies / Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models

16-Jun / Cryptocurrencies / Analysis of inter-transaction time fluctuations in the cryptocurrency market

17-Jun / Economics / The Determinants of Inflation

18-Jun / Economics / Tracking Economic and Financial Policies During COVID-19: An Announcement-Level Database

19-Jun / Economics / Sovereign Debt Holding and Bank Sensitivity Toward Market Risk: An Alternative View of the Bank-Sovereign Problem

20-Jun / FX / Asymmetric Risk Spillovers between the Currency and Stock Markets

21-Jun / Economics / Catching up on the TOP News: Text-mining for Food Inflation Outlook in India

22-Jun / Economics / Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements

23-Jun / FX / The Foreign Exchange Market

24-Jun / Trading / Decentralised Finance and Automated Market Making: Execution and Speculation

25-Jun / Cryptocurrencies / An Investor’s Guide to Crypto

26-Jun / Economics / Gaining Insights on U.S. Senate Speeches Using a Time Varying Text Based Ideal Point Model

27-Jun / Economics / Inflation in the Time of Corona and War

28-Jun / Economics / SVAR Identification with High-Frequency Macroeconomic Data

29-Jun / FX / Estimating the Currency Composition of Foreign Exchange Reserves

30-Jun / Economics / Relative Price Shocks and Inflation

01-Jul / Cryptocurrencies / A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics

02-Jul / Economics / Dynamic Co-Quantile Regression

03-Jul / Machine Learning / On the universality of the volatility formation process: when machine learning and rough volatility agree

04-Jul / Economics / The Subjective Inflation Expectations of Households and Firms: Measurement, Determinants, and Implications

05-Jul / FX / Cross-Country Relative Price Volatility: Effects of Market Structure

06-Jul / Trading / Deep Bellman Hedging

07-Jul / Machine Learning / Distributional neural networks for electricity price forecasting

08-Jul / Machine Learning / Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

09-Jul / Economics / Fed Implied Market Prices and Risk Premia

10-Jul / Credit / Credit Market Fluidity

11-Jul / Trading / Investing in Deflation, Inflation, and Stagflation Regimes

12-Jul / Equities / StockBot: Using LSTMs to Predict Stock Prices

13-Jul / Machine Learning / Learning Mutual Fund Categorization using Natural Language Processing

14-Jul / Machine Learning / Autoencoding Conditional GAN for Portfolio Allocation Diversification

15-Jul / FX / The Conditional Dollar-Carry FX Pricing Model

16-Jul / Economics / Inflation Forecasts and the New Keynesian Phillips Curve

17-Jul / FX / Technology Diffusion and Currency Risk Premia

18-Jul / Cryptocurrencies / Price Discovery in Bitcoin: The Role of Limit Orders

19-Jul / Trading / Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

20-Jul / Cryptocurrencies / Pattern Analysis of Money Flow in the Bitcoin Blockchain

21-Jul / Economics / Evaluating Inflation Pass-Through from Disaggregated US Producer Price Indices

22-Jul / Trading / Forward start volatility swaps in rough volatility models

23-Jul / Trading / Estimating value at risk: LSTM vs. GARCH

24-Jul / Economics / Monetary Policy, Inflation Outlook, and Recession Probabilities

25-Jul / Economics / The Macroeconomic Effects of Temperature Surprise Shocks

26-Jul / Cryptocurrencies / A Luna-tic Stablecoin Crash

27-Jul / Economics / How Robust are Robust Measures of PCE Inflation?

28-Jul / Economics / Monetary Policy & Anchored Expectations: An Endogenous Gain Learning Model

29-Jul / Economics / Capital Flows and Monetary Policy Trade-offs in Emerging Market Economies

30-Jul / Risk / Should Bank Stress Tests Be Fair?

31-Jul / FX / Global Fixed Income Prices and Funding Currency

01-Aug / Fixed Income / The Term Structure of Interest Rates in a Heterogeneous Monetary Union

02-Aug / Equities / How Covid mobility restrictions modified the population of investors in Italian stock markets

03-Aug / Equities / The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds

04-Aug / FX / Political Economic Drivers of Real Exchange Rate Levels

05-Aug / Economics / The Effect of Macroeconomic Uncertainty on Firm Decisions

06-Aug / Economics / The Role of Financial and Macroeoconomic Conditions in Forecasting Recession

07-Aug / FX / Exchange-Rate Swings and Foreign Currency Intervention

08-Aug / Economics / Does the European Central Bank Speak Differently When in Parliament?

09-Aug / Economics / Uncertainty spill-overs: when policy and financial realms overlap

10-Aug / FX / International Spillover of US Policy Uncertainty Shock and the Role of Exchange Rate Regime

11-Aug / Economics / Learning Financial Networks with High-frequency Trade Data

12-Aug / FX / Risk and Return in the Foreign Exchange Market: Measurement without VARs

13-Aug / Economics / Sources of Fluctuations in Short-Term Yields and Recession Probabilities

14-Aug / Economics / House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data

15-Aug / Trading / Forecasting Stock Excess Returns With SEC 8-K Filings

16-Aug / Fixed Income / Shrinking the Term Structure

17-Aug / Equities / New drugs and stock market: how to predict pharma market reaction to clinical trial announcements

18-Aug / Machine Learning / AI for trading strategies

19-Aug / Machine Learning / Asset Allocation: From Markowitz to Deep Reinforcement Learning

20-Aug / Machine Learning / A Hybrid Approach on Conditional GAN for Portfolio Analysis

21-Aug / Machine Learning / Deep Reinforcement Learning Approach for Trading Automation in The Stock Market

22-Aug / FX / Multiple Testing of the Forward Rate Unbiasedness Hypothesis Across Currencies

23-Aug / Machine Learning / Machine Learning and the Implementable Efficient Frontier

24-Aug / Commodities / Transformgraph: A Novel Short-Term Electricity Net Load Forecasting Model

25-Aug / Equities / Pricing Stocks with Trading Volumes

26-Aug / Machine Learning / Next-Year Bankruptcy Prediction from Textual Data: Benchmark and Baselines

27-Aug / Cryptocurrencies / Exploring Price Accuracy on Uniswap V3 in Times of Distress

28-Aug / Economics / Asymmetric Information and the Liquidity Role of Assets

29-Aug / Economics / Responses of Swiss bond yields and stock prices to ECB policy surprises

30-Aug / FX / Foreign Exchange Interventions and Their Impact on Expectations: Evidence from the Usd/Ils Options Market

31-Aug / FX / The Dollar Exchange Rate and Interest Parity: Letting Different Views Compete

01-Sep / Economics / The Effects of Federal Reserve’s Quantitative Easing and Balance Sheet Normalization Policies on Long-Term Interest Rates

02-Sep / Machine Learning / High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach

03-Sep / Machine Learning / Stock Market Prediction using Natural Language Processing — A Survey

04-Sep / Economics / Policy Rules and Large Crises in Emerging Markets

05-Sep / Machine Learning / Improving Option Price Forecasts Using Machine Learning Algorithms with Investor Sentiment: Evidence from the Taiwan Options Market

06-Sep / Machine Learning / Machine Learning Based on Functional Principal Component Analysis to Identify Major Influential Factors of Wheat Yield

07-Sep / Machine Learning / When Positive Sentiment is Not so Positive: Textual Analytics and Bank Failures

08-Sep / Economics / Inflation as a Fiscal Limit

09-Sep / Commodities / Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices

10-Sep / Equities / Identifying Dominant Industrial Sectors in Market States of the S&P 500 Financial Data

11-Sep / Equities / Panel Data Nowcasting in a Data-Rich Environment: The Case of Price-Earnings Ratios

12-Sep / Fixed Income / Machine Learning and Trade Direction Classification: Insights From the Corporate Bond Market

13-Sep / FX / The Dollar Exchange Rate and Interest Parity: Letting Different Views Compete

14-Sep / Economics / The Risk Premium in New Keynesian DSGE Models: The Cost of Inflation Channel

15-Sep / Economics / The Impact of Weight Shifts on Inflation: Evidence for the Euro Area HICP

16-Sep / Cryptocurrencies / Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfitting

17-Sep / Risk / Learning Value-at-Risk and Expected Shortfall

18-Sep / Economics / An Inflation Primer

19-Sep / Equities / Do Subjective Growth Expectations Matter for Asset Prices?

20-Sep / FX / Foreign exchange intervention: A new database

21-Sep / Machine Learning / Model-based gym environments for limit order book trading

22-Sep / Economics / Breaking Bad: A Disaggregated Analysis of Inflation Inertia

23-Sep / FX / Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition

24-Sep / Economics / Rising Food Commodity Prices and Their Pass-through to Euro Area Consumer Prices

25-Sep / FX / Do Macroeconomic Variables Drive Exchange Rates Independently?

26-Sep / Cryptocurrencies / Bitcoin Investors’ Style, Skill, Sentiment, Seasonal Trading, and Anchoring Bias

27-Sep / Economics / The Transmission of US Monetary Policy Shocks: The Role of Investment & Financial Heterogeneity

28-Sep / Economics / Quantifying “Quantitative Tightening” (QT): How Many Rate Hikes Is QT Equivalent To?

29-Sep / Economics / Inflation and Attention Thresholds

30-Sep / Economics / Working With Convex Responses: Antifragility From Finance to Oncology

01-Oct / FX / Boosting Carry with Equilibrium Exchange Rate Estimates

02-Oct / Trading / When Bayes-Stein Meets Machine Learning: A Generalized Approach for Portfolio Optimization

03-Oct / Machine Learning / Interpretable Supervised Portfolios

04-Oct / Cryptocurrencies / Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach

05-Oct / Machine Learning / Detecting asset price bubbles using deep learning

06-Oct / Trading / Statistical inference for rough volatility: Central limit theorems

07-Oct / FX / Exchange Rate Dynamics With Crash Risk and Interventions

08-Oct / Economics / Carbon Pricing and Inflation Volatility

09-Oct / Economics / Firming up price inflation

10-Oct / Economics / Effects of Precipitation on Food Consumer Price Inflation

11-Oct / FX / Commodity Price Effects on Currencies

12-Oct / FX / FX Resilience around the World: Fighting Volatile Cross-Border Capital Flows

13-Oct / Machine Learning / DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions

14-Oct / Economics / Liquidity Dependence: Why Shrinking Central Bank Balance Sheets is an Uphill Task

15-Oct / Economics / The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting

16-Oct / FX / Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

17-Oct / Machine Learning / Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations

18-Oct / Machine Learning / Monte-Carlo Estimation of CoVaR

19-Oct / Economics / Do the Voting Rights of Federal Reserve Bank Presidents Matter?

20-Oct / FX / Non-Fundamental Flows and Foreign Exchange Rates

21-Oct / Machine Learning / Do You Really Need to Pay 2/20? Hedge Fund Strategy Replication via Machine Learning

22-Oct / FX / In Search of Dominant Drivers of the Real Exchange Rate

23-Oct / Economics / Are US Monetary Surprises Surprising? Evidence from Global Markets

24-Oct / Economics / Benchmarking Machine Learning Models to Predict Corporate Bankruptcy

25-Oct / Economics / The ECB Press Conference: A Textual Analysis

26-Oct / Economics / Why Do Inflation Rates Vary Across Countries?

27-Oct / Commodities / The Effect of Performance Metrics and Sentiment Scores on Selecting Oil Price Prediction Models

28-Oct / Cryptocurrencies / Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes

29-Oct / Economics / The Curious Case of the Rise in Deflation Expectations

30-Oct / Trading / What is the Value of Financial News?

31-Oct / FX / Estimating the Currency Composition of Foreign Exchange Reserves

01-Nov / Economics / Measuring Real-time Economic Condition with Economic Narratives

02-Nov / FX / The U.S. Dollar and Variance Risk Premia Imbalances

03-Nov / FX / Macroprudential FX Regulations: Sacrificing Small Firms for Stability?

04-Nov / Machine Learning / Monitoring the Dynamic Networks of Stock Returns

05-Nov / Economics / Incorporating High-Frequency Weather Data into Consumption Expenditure Predictions

06-Nov / Trading / Integrating multiple sources of ordinal information in portfolio optimization

07-Nov / Trading / Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns

08-Nov / Economics / Learning more by aggregating less

09-Nov / Economics / Demand Segmentation in the Federal Funds Market

10-Nov / Economics / Central Bank Communication and Social Media: From Silence to Twitter

11-Nov / FX / How Can Asset Prices Value Exchange Rate Wedges?

12-Nov / Economics / The Heterogeneous Response of Real Estate Asset Prices to a Global Shock

13-Nov / FX / Exchange Rate Predictability Based on Market Sentiments

14-Nov / Trading / Gambling on Momentum

15-Nov / FX / Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

16-Nov / Economics / Price Setting Before and During the Pandemic: Evidence from Swiss Consumer Prices

17-Nov / FX / Protectionism, Bilateral Integration, and The Cross Section of Exchange Rate Returns In Us Presidential Debates

18-Nov / Commodities / Changing Electricity Markets: Quantifying the Price Effects of Greening the Energy Matrix

19-Nov / Cryptocurrencies / Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models

20-Nov / FX / Currency Concentration in Sovereign Debt, Exchange Rate Cyclicality, and Volatility in Consumption

21-Nov / Machine Learning / Short- to Long-Term Realized Volatility Forecasting using Extreme Gradient Boosting

22-Nov / Machine Learning / Nowcasting GDP using machine learning methods

23-Nov / Economics / Constructing Fan Charts from the Ragged Edge of SPF Forecasts

24-Nov / Economics / Is the Time Ripe for Helicopter Money? Growth Impact and Financial Stability Risks of Outright Monetary Transfers

25-Nov / Economics / Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

26-Nov / Economics / Inflation, Net Nominal Positions, and Consumption

27-Nov / Trading / Realized Illiquidity

28-Nov / Machine Learning / On the Empirical Association between Trade Network Complexity and Global Gross Domestic Product

29-Nov / Economics / Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

30-Nov / Trading / On a Moving Average with Internal Degrees of Freedom

01-Dec / Trading / The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective

02-Dec / Trading / ESG In Corporate Filings: An AI Perspective

03-Dec / Economics / The economic impact of conflict-related and policy uncertainty shocks: the case of Russia

04-Dec / Economics / Stock Market Liquidity, Monetary Policy and the Business Cycle

05-Dec / FX / The ICP, PPP and Household Expenditure Patterns

06-Dec / Fixed Income / Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows

07-Dec / Economics / “Making Text Talk”: The Minutes of the Central Bank of Brazil and the Real Econom

08-Dec / Trading / Machine Learning and The Cross-Section of Emerging Market Stock Returns

09-Dec / Economics / Data outliers and Bayesian VARs in the Euro Area

10-Dec / Economics / The role of central bank communication in inflation-targeting Eastern European emerging economies

11-Dec / Economics / An analysis of objective inflation expectations and inflation risk premia

12-Dec / Economics / Euro Area Inflation and a New Measure of Core Inflation

13-Dec / Economics / The Effect of Monetary Policies on Inflation: A Fiscal Perspective

14-Dec / Fixed Income / Portfolio Trading in Corporate Bond Markets

15-Dec / Economics / Central Bank Communication About Climate Change

16-Dec / Fixed Income / Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News

17-Dec / FX / Arbitrage Bounds on Cross Currency Options

18-Dec / Economics / Do Local Forecasters Have Better Information?

19-Dec / Economics / Flattening of the Phillips Curve and the Mandate of the Central Bank

20-Dec / Economics / Do Actions Speak Louder than Words? Assessing the Effects of Inflation Targeting Track Records on Macroeconomic Performance

21-Dec / Economics / Understanding the food component of inflation

22-Dec / Economics / Monetary Communication Rules

23-Dec / Trading / ESG Factors and Firms’ Credit Risk

24-Dec / Machine Learning / Volatility Timing: Why Risk-Based Rules Outperform Naïve Diversification

25-Dec / Economics / Show Me the Money: Tracking Consumer Spending with Daily Card Transaction Data During the Pandemic

26-Dec / Machine Learning / InstanceSHAP: An Instance-Based Estimation Approach for Shapley Values

27-Dec / Machine Learning / Benchmarking Machine Learning Models to Predict Corporate Bankruptcy

28-Dec / Trading / Measuring price impact and information content of trades in a time-varying setting

29-Dec / Equities / Equity Machine Factor Models