I probably tweet too much. Some tweets are on burgers (well, they are pretty important I suppose). Other tweets will constitute puns, which I find mildly amusing, but most term as “dad jokes”. Among all of these tweets, there is also stuff about Python and quant more generally. In particular, I tweet out #QuantLinkADay, which largely consists of links to recent quant papers on financial markets. I’ll also sometimes tweet about interesting Python libraries I’ve seen for data science/quants. Ok, I admit I haven’t read every single paper, but I do try to read the abstracts at the very least to see if they could be relevant for folks like me looking at markets from a quant perspective (so no, I can’t guarantee that every single paper will necessarily be useful for you!)
It’s nearly the end of the year. Christmas has gone (and I hope you all had a great time over the festive season). Ahead of us is the new year, and indeed, the new decade. I would love to make lavish predictions about what the next year holds and perhaps even the decade. Instead, I’ve decided to aggregate all the #QuantLinkADay papers I’ve tweeted throughout the year, below in a single article! Hopefully, this will make it easier to browse through.
If you’re interested in the list from 2016, click here or from 2017 here and also the list from 2018. I’d also like to wish you a very merry Christmas and best of luck for 2020!
January 2019
01-Jan / Economics / Quantitative Easing, Collateral Constraints, and Financial Spillovers
02-Jan / FX / What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
03-Jan / FX / Online Appendix to “Heterogeneous Information Content of Global FX Trading”
04-Jan / Trading / 151 Trading Strategies
05-Jan / Economics / The Effect of the Federal Reserve’s Securities Holdings on Longer-term Interest Rates
06-Jan / Economics / Mortgage Debt, Hand-to-Mouth Households, and Monetary Policy Transmission
07-Jan / Fixed income / Can the Us Interbank Market Be Revived?
08-Jan / Economics / The Paradox of Global Thrift
09-Jan / FX / Price Discovery and Liquidity for Competing Exchange Rates
10-Jan / FX / Competition-Adjusted Measures of Real Exchange Rates
11-Jan / FX / Exchange Rate Solutions With Currency Crashes
12-Jan / Trading / How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades
13-Jan / Equities / Emergence of stylized facts during the opening of stock markets
14-Jan / Trading / Calibrating rough volatility models: a convolutional neural network approach
15-Jan / Cryptocurrencies / The Price of BitCoin: GARCH Evidence from High Frequency Data
16-Jan / Equities / Multimodal deep learning for short-term stock volatility prediction
17-Jan / Commodities / Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies
18-Jan / FX / Foreign Currency Borrowing, Balance Sheet Shocks and Real Outcomes
19-Jan / FX / Higher Moments and Exchange Rate Behavior
20-Jan / FX / A Simple Explanation of Biased Movements of Renminbi Exchange Rate
21-Jan / Economics / Deciphering Monetary Policy Board Minutes Through Text Mining Approach: The Case of Korea
22-Jan / Economics / A Large Central Bank Balance Sheet? Floor vs Corridor Systems in a New Keynesian Environment
23-Jan / Economics / Non-Monetary News in Central Bank Communication
24-Jan / Economics / Measuring Financial Cycle Time
25-Jan / Economics / The Passthrough of Treasury Supply to Bank Deposit Funding
26-Jan / FX / Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies
27-Jan / Fixed income / Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads
28-Jan / Economics / More Is Different … and Complex!: The Case for Agent-Based Macroeconomics
29-Jan / Economics / The Tone of the Beige Book and the Pre-FOMC Announcement Drift
30-Jan / FX / Exchange Rate vs Foreign Price Passthrough Gap: Evidence From the European Gasoline Market
31-Jan / FX / A Multi Strategy Approach to Trading Foreign Exchange Futures
February 2019
01-Feb / Cryptocurrencies / Currency Substitution under Transaction Costs
02-Feb / FX / Currency Returns in Different Time Zones
03-Feb / Economics / Central Bank Independence in New Zealand: Public Knowledge About and Attitude Towards the Policy Target Agreement
04-Feb / Economics / Medium Term Treatment and Side Effects of Quantitative Easing: International Evidence
05-Feb / Economics / On Processing Central Bank Communications: Can We Account for Fed Watching?
06-Feb / Economics / Macroeconomic Effects of China’s Financial Policies
07-Feb / Economics / Measuring Financial Cycle Time
08-Feb / Economics / Together or Apart? Monetary Policy Divergences in the G4
09-Feb / Economics / Has the ECB’s Monetary Policy Prompted Companies to Invest or Pay Dividends?
10-Feb / Economics / The Natural Rate of Interest: Estimates, Drivers, and Challenges to Monetary Policy
11-Feb / FX / Dealer information and macro fundamentals – New evidence from hybrid exchange rate models
12-Feb / FX / Dollar Safety and the Global Financial Cycle
13-Feb / FX / Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning
14-Feb / Economics / Monetary Policy and Bank Profitability, 1870 – 2015
15-Feb / Cryptocurrencies / Beyond the Doomsday Economics of ‘Proof-of-Work’ in Cryptocurrencies
16-Feb / Trading / Market Impact: A Systematic Study of the High Frequency Options Market
17-Feb / Economics / On Money, Debt, Trust and Central Banking
18-Feb / Economics / Outlier Detection in TARGET2 Risk Indicators
19-Feb / Cryptocurrencies / Central Bank Digital Currency and Banking
20-Feb / FX / Currency mispricing and dealer balance sheets
21-Feb / Economics / Identification of Interbank Loans and Interest Rates from Interbank Payments – A Reliability Assessment
22-Feb / Economics / Leaning Against the Wind’, Macroprudential Policy and the Financial Cycle
23-Feb / Economics / ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies
24-Feb / Economics / China’s Monetary Policy Communication: Frameworks, Impact, and Recommendations
25-Feb / Cryptocurrencies / Central Bank Digital Currencies: Preliminary Legal Observations
26-Feb / FX / Correlation Patterns in Foreign Exchange Markets
27-Feb / Trading / Market fragmentation and market consolidation
28-Feb / Risk / Risk management with machine-learning-based algorithms
March 2019
01-Mar / Trading / The Illusion of Success and the Nature of Reward
02-Mar / Cryptocurrencies / Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance
03-Mar / Equities / Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities
04-Mar / Cryptocurrencies / Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network
05-Mar / Trading / Optimal VWAP execution under transient price impact
06-Mar / Fixed income / Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
07-Mar / FX / Oil Prices, Exchange Rates and Interest Rates
09-Mar / Economics / What Do Central Bankers Do? Evidence from the European Central Banks’ Executive Board
10-Mar / Economics / 57 Channels (and Nothin on) – Does Tv-News on the Eurozone Affect Government Bond Yield Spreads?
11-Mar / FX / New Evidence on the Portfolio Balance Approach to Currency Returns
12-Mar / Economics / Safe Assets: Made, Not Just Born
13-Mar / FX / Connectedness between G10 Currencies: Searching for the Causal Structure
14-Mar / Economics / Measuring Monetary Policy Surprises Using Text Mining: The Case of Korea
15-Mar / FX / From carry trades to trade credit: financial intermediation by non-financial corporations
16-Mar / FX / Currency Regimes and the Carry Trade
17-Mar / Economics / Economic Slowdown and Housing Dynamics in China: A Tale of Two Investments by Firms
18-Mar / Economics / On the Global Impact of Risk-off Shocks and Policy-put Frameworks
19-Mar / Economics / The Zero Lower Bound, Forward Guidance and How Markets Respond to News
20-Mar / FX / Prudential Regulation, Currency Mismatches and Exchange Rates in Latin America and the Caribbean
21-Mar / FX / Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes
22-Mar / Economics / The Impact of Size, Composition and Duration of the Central Bank Balance Sheet on Inflation Expectations and Market Prices
23-Mar / Economics / The Cost of Banking Crises: Does the Policy Framework Matter?
24-Mar / Economics / Forecasting daily electricity prices with monthly macroeconomic variables
25-Mar / FX / FX Intervention and Domestic Credit: Evidence from High-Frequency Micro Data
26-Mar / Economics / Government Ideology and Monetary Policy in OECD Countries
27-Mar / Economics / Is the Market Swayed by Press Releases on Corporate Governance? Event Study on the Eurostoxx Banks
28-Mar / FX / An Empirical Analysis of Corporate Currency Risk Management Policies and Practices
29-Mar / Economics / Whatever It Takes: What’s the Impact of a Major Nonconventional Monetary Policy Intervention?
30-Mar / FX / An Examination of Trade-Weighted Real Exchange Rates Based on Fractional Integration
31-Mar / Commodities / The impact of renewable energy forecasts on intraday electricity prices
April 2019
01-Apr / Fixed income / Stylized Facts on Price Formation on Corporate Bonds and Best Execution Analysis
02-Apr / FX / Foreign Exchange Reserves as a Tool for Capital Account Management
03-Apr / Economics / Does Price Regulation Affect Competition? Evidence from Credit Card Solicitations
04-Apr / Economics / Duration Dependence, Monetary Policy Asymmetries, and the Business Cycle
05-Apr / Economics / Exploring Trend Inflation Dynamics in Euro Area Countries
06-Apr / Economics / Optimal Monetary Policy for the Masses
07-Apr / FX / Strength of Words: Donald Trump’s Tweets and Russia’s Ruble
08-Apr / Cryptocurrencies / Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance
09-Apr / Trading / Deep Learning in Asset Pricing
10-Apr / FX / Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning
11-Apr / Commodities / Expectations for Statistical Arbitrage in Energy Futures Markets
12-Apr / Trading / Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time h/t @bmlltech
13-Apr / FX / U.S. Presidential Cycles and the Foreign Exchange Market
14-Apr / FX / China’s Evolving Exchange Rate Regime
15-Apr / FX / Real Exchange Rates and Sectoral Productivity in the Eurozone
16-Apr / Economics / News Shocks and the Effects of Monetary Policy
17-Apr / FX / What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
18-Apr / Economics / Vague Talk in ECB Press Conference: News or Noise?
19-Apr / Economics / Information Effects of Euro Area Monetary Policy: New Evidence from High-Frequency Futures Data
20-Apr / Economics / How Does the Strength of Monetary Policy Transmission Depend on Real Economic Activity?
21-Apr / Trading / Microstructure in the Machine Age
22-Apr / Trading / Enhancing Time Series Momentum Strategies Using Deep Neural Networks
23-Apr / Trading / A stochastic PDE model for limit order book dynamics
24-Apr / Cryptocurrencies / Momentum and liquidity in cryptocurrencies
25-Apr / Trading / Bayesian Trading Cost Analysis and Ranking of Broker Algorithms
26-Apr / Trading / Blindfolded monkeys or financial analysts: who is worth your money?
27-Apr / Trading / Quintet Volume Projection
28-Apr / Trading / Deep Learning in Asset Pricing
29-Apr / Equities / Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modeling
30-Apr / FX / The market nanostructure origin of asset price time reversal asymmetry
May 2019
01-May / Equities / Slow decay of impact in equity markets: insights from the ANcerno database
02-May / FX / Correlation Patterns in Foreign Exchange Markets
03-May / Cryptocurrencies / Theory of Cryptocurrency Interest Rates
04-May / NLP / DocBERT: BERT for Document Classification
05-May / FX / Jawboning on the Exchange Rate: Evidence from Australia
06-May / FX / Institutional Investors, the Dollar, and U.S. Credit Conditions
07-May / FX / The Global Factor in Neutral Policy Rates: Some Implications for Exchange Rates, Monetary Policy, and Policy Coordination
08-May / FX / The Two-Pillar Policy for the RMB
09-May / Economics / Monetary Policy in Real Time: The Role of Simple Rules
10-May / Economics / Interpreting Survey-Based Federal Funds Rate Forecasts: How Accurate Are They in Reflecting Market Expectations?
11-May / FX / Housing Cycle and Exchange Rates
12-May / Economics / Official Demand for US Debt: Implications for US Real Rates
13-May / FX / What Flows Around Comes Around: Mean Reversion and Portfolio Flows
14-May / FX / How Can Financial Constraints Force a Central Bank to Exit a Currency Peg? An Application to the Swiss Franc Peg
15-May / FX / The Cross-Section of Currency Appreciation Rates
16-May / Economics / Targeting Financial Stability: Macroprudential or Monetary Policy?
17-May / Economics / The FOMC and the Mortgage Market
18-May / Economics / Market Power and Monetary Policy
19-May / Cryptocurrencies / Cryptocurrency, Delivery Lag, and Double Spending History
20-May / FX / Housing Cycle and Exchange Rates
21-May / Commodities / How Many Commodity Sectors Are There, and How Do They Behave?
22-May / FX / The Global Capital Flows Cycle: Structural Drivers and Transmission Channels
23-May / Cryptocurrencies / Introducing the BITIX: The Bitcoin Fear Gauge
24-May / Cryptocurrencies / Price Discovery and Efficiency in Bitcoin Markets
25-May / Economics / Liquidity Risk and Funding Cost
26-May / FX / Equilibrium Real Exchange Rate Estimates Across Time and Space
27-May / FX / Tolerance of Flexibility: Foreign Exchange Intervention and Managed Floating Redux
28-May / FX / Exchange Rate Pass-Through & Management of Inflation Expectation in a Small Open Inflation Targeting Economy
29-May / Trading / Impact is not just volatility
30-May / FX / Local Currency Bond Returns in Emerging Market Economies and the Role of Foreign Investors
31-May / FX / Dominant Currency Debt
June 2019
01-Jun / FX / Demographics and the Real Exchange Rate
02-Jun / Economics / Multiperiod Loans, Occasionally Binding Constraints, and Monetary Policy: A Quantitative Evaluation
03-Jun / Economics / Variation in the Phillips Curve Relation across Three Phases of the Business Cycle
04-Jun / FX / The Effect of Exchange Rate Uncertainty on International Trade: The Role of Financial Frictions
05-Jun / FX / Local Currency Bond Returns in Emerging Economies and the Role of Foreign Investors
06-Jun / Economics / Analysing Monetary Policy Statements of the Reserve Bank of India
07-Jun / Economics / Capital Flows: The Role of Bank and Nonbank Balance Sheets
08-Jun / Economics / Why Did Inflation Targeting Fail in Argentina?
09-Jun / Economics / Spillovers of US Unconventional Monetary Policy to Emerging and Advanced Countries
10-Jun / FX / Carry Trades and Commodity Risk Factors
11-Jun / FX / The Relationship of Economic Fundamentals and Real Exchange Rate between Korea and China
12-Jun / Trading / Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
13-Jun / Venture Capital / The temporal evolution of venture investment strategies in sector space
14-Jun / Trading / Optimal auction duration: A price formation viewpoint
15-Jun / Trading / Optimal Dynamic Strategies on Gaussian Returns
16-Jun / Economics / The emerging sectoral diversity of startup ecosystems
17-Jun / Economics / Unemployment and the Demand for Money
18-Jun / Economics / An Analysis of the Eurosystem/ECB Projections
19-Jun / Economics / Is there a Zero Lower Bound? The Effects of Negative Policy Rates on Banks and Firms
20-Jun / FX / A ‘Bad Beta, Good Beta’ Anatomy of Currency Risk Premiums and Trading Strategies
21-Jun / FX / Equilibrium Real Exchange Rate Estimates Across Time and Space
22-Jun / Trading / From asymptotic properties of general point processes to the ranking of financial agents
23-Jun / Equities / Neural Network Models for Stock Selection Based on Fundamental Analysis
24-Jun / Trading / The Case for Long-Only Agnostic Allocation Portfolios
25-Jun / FX / Exchange Rates and Asset Prices in a Global Demand System
26-Jun / FX / US Equity Tail Risk and Currency Risk Premia
27-Jun / FX / Estimating the Effect of Exchange Rate Changes on Total Exports
28-Jun / FX / Hedging Demand in Long-Term Asset Allocation With an Application to Carry Trade Strategies
29-Jun / Credit / Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk
30-Jun / Economics / Push vs. Pull Factors of Capital Flows Revisited: A Cross-country Analysis
July 2019
01-Jul / FX / Exchange Rate Risk in the U.S. Stock Market: A Pooled Panel Data Regression Approach
02-Jul / Trading / Dynamic time series clustering via volatility change-points
03-Jul / Cryptocurrencies / Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts
04-Jul / Commodities / Machine Learning on EPEX Order Books: Insights and Forecasts
05-Jul / Trading / How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
06-Jul / FX / Lead-lag Relationships in Foreign Exchange Markets
07-Jul / FX / Central Bank Reserves and Currency Volatility
08-Jul / FX / Forward-Looking Policy Rules and Currency Premia
09-Jul / Economics / Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects
10-Jul / FX / A Credit-Based Theory of the Currency Risk Premium
11-Jul / FX / Monetary Policy Frameworks and the Effective Lower Bound on Interest Rates
12-Jul / Trading / Forecasting security’s volatility using low-frequency historical data, high-frequency historical data and option-implied volatility
13-Jul / Economics / Macroeconomic Effects of an Open-ended Asset Purchase Programme
14-Jul / FX / Exchange Rates and Asset Prices in a Global Demand System
15-Jul / Economics / A global economic policy uncertainty index from principal component analysis
16-Jul / Economics / Distributions of Historic Market Data — Relaxation and Correlations
17-Jul / Equities / Nonlinear price dynamics of S&P 100 stocks
18-Jul / Trading / Artificial Intelligence Alter Egos: Who benefits from Robo-investing?
19-Jul / Cryptocurrencies / The evolving liaisons between the transaction networks of Bitcoin and its price dynamics
20-Jul / Economics / Federal Reserve Structure, Economic Ideas, and Monetary and Financial Policy
21-Jul / Economics / Monetary Policy and Macroeconomic Stability Revisited
22-Jul / FX / Factor Investing in Currency Markets: Does it Make Sense?
23-Jul / Economics / Rules vs. Discretion Revisited: A Proposal to Make the Strategy of Monetary Policy Transparent
24-Jul / FX / Who Is Successful in FX Margin Trading? New Survey Evidence from Japan
25-Jul / Cryptocurrencies / Cryptocurrencies, Currency Competition and the Impossible Trinity
26-Jul / FX / Let the Parametric Phoenix Fly
27-Jul / Economics / The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an EM
28-Jul / Economics / A Unified Measure of Fed Monetary Policy Shocks
29-Jul / Economics / Monetary Policy, Macroprudential Policy, and Financial Stability
30-Jul / Economics / A Tale of Two Surplus Countries: China and Germany
31-Jul / Trading / Optimal make take fees in a multi market maker environment
August 2019
01-Aug / Trading / Evaluating the Effectiveness of Common Technical Trading Models
02-Aug / Equities / Accelerated Share Repurchase and other buyback programs: what neural networks can bring
03-Aug / Trading / Trading via Image Classification
04-Aug / Commodities / Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility
05-Aug / Trading / The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
06-Aug / Cryptocurrencies / A Model of the Optimal Selection of Crypto Assets
07-Aug / FX / Anatomy of Sudden Yen Appreciations
08-Aug / FX / Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market
09-Aug / FX / Forward-Looking Policy Rules and Currency Premia
10-Aug / FX / Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
11-Aug / Cryptocurrencies / Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities
12-Aug / Economics / Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect
13-Aug / Trading / Hedging Non-Tradable Risks with Transaction Costs and Price Impact
14-Aug / Trading / AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks
15-Aug / Economics / Complexity of ECB Communication and Financial Market Trading
16-Aug / Economics / Role of Cross Currency Swap Markets in Funding and Investment Decisions
17-Aug / FX / Unique Fundamental Dynamics of Target-zone Exchange Rates
18-Aug / Economics / Estimating the FOMC’s Interest Rate Rule with Variable Selection and Partial Regime Switching
19-Aug / FX / Dominant-Currency Pricing and the Global Output Spillovers from Us Dollar Appreciation
20-Aug / Economics / Exposure to Daily Price Changes and Inflation Expectations
21-Aug / Economics / Effects of QE on Sovereign Bond Spreads Through the Safe Asset Channel
22-Aug / Economics / Improving U.S. Monetary Policy Communications
23-Aug / Trading / The Forecasting Power of the Multi-Language Narrative of Sell-Side Research. A Machine Learning Evaluation
24-Aug / Trading / The Real-Time Impact of ECB Press Conferences on Financial Markets
25-Aug / FX / Going Unconventional in Foreign-Exchange Interventions
26-Aug / Economics / Cost-Benefit Analysis of Leaning Against the Wind
27-Aug / Economics / Improving U.S. Monetary Policy Communications
28-Aug / FX / What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia
29-Aug / Cryptocurrencies / Cryptocurrencies, Currency Competition, and the Impossible Trinity
30-Aug / FX / Macroeconomic Determinants of Foreign Exchange Rate Exposure
31-Aug / FX / Long Run and Short Run Risk Premium in Currency Market
September 2019
01-Sep / Economics / Public Sentiments and Monetary Surprises
02-Sep / Economics / Do Old Habits Die Hard? Central Banks and the Bretton Woods Gold Puzzle
03-Sep / FX / The Impact of the U.S. Employment Report on Exchange Rates
04-Sep / Economics / Towards a New Monetary Theory of Exchange Rate Determination
05-Sep / Economics / Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities
06-Sep / Code library / Natural Language Processing Best Practices & Examples (from Microsoft)
07-Sep / FX / Exchange Rate Puzzles: Evidence from Rigidly Fixed Nominal Exchange Rate Systems
08-Sep / Cryptocurrencies / iCurrency?
09-Sep / Cryptocurrencies / Does Bitcoin Behave As a Currency?: A Standard Monetary Model Approach
10-Sep / FX / The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
11-Sep / FX / Foreign Exchange Rate Exposure of Companies under Dynamic Regret
12-Sep / Economics / (Un)Conventional Policy and the Effective Lower Bound
13-Sep / Economics / Monetary Policy Surprises and Employment: Evidence from Matched Bank-Firm Loan Data on the Bank Lending-Channel
14-Sep / Commodities / Machine Learning on EPEX Order Books: Insights and Forecasts
15-Sep / Trading / Latency and Liquidity Risk
16-Sep / Cryptocurrencies / iCurrency?
17-Sep / FX / Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor
18-Sep / FX / Geographic Spread of Currency Trading: The Renminbi and Other EM Currencies
19-Sep / FX / The Determinants of Real Exchange Rates in Transition Economies
20-Sep / FX / Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks
21-Sep / Cryptocurrencies / A Crypto Safe Haven Against Bitcoin
22-Sep / FX / The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability
23-Sep / FX / Covered Interest Rate Parity Deviations In External Emerging Market Sovereign Debt
24-Sep / Economics / Do Credit Booms Predict U.S. Recessions?
25-Sep / Economics / Economics with Market Liquidity Risk
26-Sep / Economics / Do Monetary Policy Announcements Shift Household Expectations?
27-Sep / Economics / Inflation Expectations Anchoring: New Insights from Micro Evidence of a Survey at High-Frequency and of Distributions
28-Sep / Economics / Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs
29-Sep / Economics / Threats to Central Bank Independence: High-Frequency Evidence with Twitter
30-Sep / Trading / Lifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty
October 2019
01-Oct / Code library / Transformers: state-of-the-art NLP
02-Oct / Economics / Employment and the Collateral Channel of Monetary Policy
03-Oct / Economics / Secured and Unsecured Interbank Markets: Monetary Policy, Substitution and the Cost of Collateral
04-Oct / Cryptocurrencies / Libra: Fair Order-Matching for Electronic Financial Exchanges
05-Oct / Economics / Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison
06-Oct / FX / Determinants of Real Exchange Rate Movements in 15 Emerging Market Economies
07-Oct / Cryptocurrencies / A Crypto Safe Haven Against Bitcoin
08-Oct / Economics / Modelling Yields at the Lower Bound Through Regime Shifts
09-Oct / FX / Introducing Dominant Currency Pricing in the ECB’s Global Macroeconomic Model
10-Oct / Economics / Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
11-Oct / Economics / Threats to Central Bank Independence: High-Frequency Identification with Twitter
12-Oct / FX / The Dollar During the Great Recession: Us Monetary Policy Signaling and the Flight to Safety
13-Oct / Economics / Monetary Policy for Commodity Booms and Busts
14-Oct / Economics / When the U.S. Catches a Cold, Canada Sneezes: A Lower-Bound Tale Told by Deep Learning
15-Oct / Economics / Can More Public Information Raise Uncertainty? The International Evidence on Forward Guidance
16-Oct / Economics / Monetary Policy Hysteresis and the Financial Cycle
17-Oct / Economics / Extreme Dependencies in the European Banking Sector
18-Oct / Economics / Access to Safe Assets and Financial Stability
19-Oct / Economics / Monetary Policy Hysteresis and the Financial Cycle
20-Oct / Economics / The Importance of Being Special: Repo Markets During the Crisis
21-Oct / Economics / How to Improve Inflation Forecasting in Canada
22-Oct / Cryptocurrencies / Central Bank Digital Currency: One, Two or None?
23-Oct / FX / Sector Sensitivity to Exchange Rates Fluctuations
24-Oct / Economics / Financial Conditions and Purchasing Managers’ Indices: Exploring the Links
25-Oct / Economics / Green Bonds: The Reserve Management Perspective
26-Oct / FX / Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
27-Oct / Economics / CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks
28-Oct / Economics / Beating the House: Identifying Inefficiencies in Sports Betting Markets
29-Oct / Economics / Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities
30-Oct / FX / Foreign Exchange Dealer Asset Pricing
31-Oct / Economics / When Old Meets Young? Germany’s Population Ageing and the Current Account
November 2019
01-Nov / Cryptocurrencies / On the Equivalence of Private and Public Money
02-Nov / FX / Dominant-Currency Pricing and the Global Output Spillovers from U.S. Dollar Appreciation
03-Nov / Fixed Income / Time‐Varying Price Discovery in Sovereign Credit Markets
04-Nov / Economics / The Language of Rules: Textual Complexity in Banking Reforms
05-Nov / Equities / Stock Market’s Assessment of Monetary Policy Transmission: The Cash Flow Effect
06-Nov / Economics / Do Monetary Policy Announcements Shift Household Expectations?
07-Nov / Economics / Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities
08-Nov / Economics / Beyond the Black Box: An Intuitive Approach to Investment Prediction with Machine Learning
09-Nov / Economics / Household Debt, Consumption, and Monetary Policy in Australia
10-Nov / Economics / Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk
11-Nov / Economics / The Impact of Central Bank Liquidity Support on Banks’ Balance Sheets
12-Nov / FX / How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?
13-Nov / FX / External Adjustment with a Common Currency: The Case of the Euro Area
14-Nov / FX / US Equity Tail Risk and Currency Risk Premia
15-Nov / Economics / When Old Meets Young? Germany’s Population Ageing and the Current Account
16-Nov / Trading / Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction
17-Nov / Trading / Deep Hedging: Learning to Simulate Equity Option Markets
18-Nov / Equities / Quantitative earnings enhancement from share buybacks
19-Nov / Equities / Robo-advising: Learning Investor’s Risk Preferences via Portfolio Choices
20-Nov / Commodities / Oil and Risk Premia in Equity Markets
21-Nov / Economics / Unconventional Monetary Policy and Corporate Bond Issuance
22-Nov / Economics / Forward Guidance under Imperfect Information: Instrument Based or State Contingent?
23-Nov / Trading / Reinforcement Learning for Market Making in a Multi-agent Dealer Market
24-Nov / Trading / Making Good on LSTMs Unfulfilled Promise
25-Nov / Economics / Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention
26-Nov / FX / Financial Stability Effects of Foreign-Exchange Risk Migration
27-Nov / Economics / Unconventional Monetary Policy, (A)Synchronicity and the Yield Curve
28-Nov / Economics / The ECB after the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision
29-Nov / Economics / Inflation Targets in Latin America
30-Nov / Economics / International Bank Lending Channel of Monetary Policy
December 2019
01-Dec / Trading / Deep Reinforcement Learning for Trading
02-Dec / Trading / Investigating bankruptcy prediction models in the presence of extreme class imbalance and multiple stages of economy
03-Dec / Cryptocurrencies / Deep Reinforcement Learning in Cryptocurrency Market Making
04-Dec / Economics / The Drivers, Implications and Outlook for China’s Shrinking Current Account Surplus
05-Dec / Economics / German Bond Yields and Debt Supply: Is There a ‘Bund Premium’?
06-Dec / Commodities / Granger Predictability of Oil Prices after the Great Recession
07-Dec / Commodities / Oil Prices, Exchange Rates and Interest Rates
08-Dec / Economics / Financial Cycles, Credit Bubbles and Stabilization Policies
09-Dec / Economics / Gauging Market Responses to Monetary Policy Communication
10-Dec / Economics / Double Overreaction in Beauty-Contests With Information Acquisition: Theory and Experiment
11-Dec / Economics / International Trade Openness and Monetary Policy: Evidence from Cross-Country Data
12-Dec / Cryptocurrencies / BitMEX Funding Correlation with Bitcoin Exchange Rate
13-Dec / Trading / Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
14-Dec / Trading / Endogenous Liquidity Crises
15-Dec / Economics / The international effects of central bank information shocks
16-Dec / FX / FX Intervention: Goals, Strategies and Tactics
17-Dec / Economics / Spread the Word: International Spillovers from Central Bank Communication
18-Dec / Fixed Income / Monetary Policy and the Corporate Bond Market: Reaching for Yield or Information Effects?
19-Dec / Economics / The ECB After the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision
20-Dec / FX / FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data
21-Dec / FX / The Size of Foreign Exchange Reserves
22-Dec / FX / The Currency Composition of Foreign Exchange Reserves
23-Dec / FX / FX Trade Execution: Complex and Highly Fragmented
24-Dec / FX / Offshore Markets Drive Trading of Emerging Market Currencies
25-Dec / Economics / Central Banking in Challenging Times
26-Dec / Economics / A Crisis Early Warning Model for Euro Area Countries
27-Dec / Trading / Cross asset skew
28-Dec / Trading / Predicting intraday jumps in stock prices using liquidity measures and technical indicators