I’ve been tweeting regularly over the past few years, usually around quant finance, coding and also a bit on burgers. Last December I decided to regularly start tweeting a quant link every day, for which I used the imaginative hashtag #QuantLinkADay (yes, that hashtag took a lot of thought…!), to flag interesting quant papers (generally focusing on newly published material), quant tutorials, quant books and code libraries.
I was expecting the endeavor to last at most one week. However, over a year later, and I’m still going. It does take me a bit of time to curate to find appropriate papers and libraries, but at the same time I find it’s a good opportunity for me to keep up with the latest research ideas out there. To celebrate I’ve collected all the links I’ve tweeted over the past year from my Twitter account @saeedamenfx. I’ve also (very broadly) tried to classify each link (admittedly, most links can fall under a number of different topics). Perhaps unsurprisingly, the vast majority of links related to foreign exchange papers, but there’s also a lot on monetary policy, Python libraries and so on. At times, I’ve also reposted links, but most are new links. I hope you enjoy the list and you discover papers and libraries you find useful! Please feel free to share this if you find it useful!
December 2015
21-Dec / FX / Ex Rates & Mon Policy Uncertainty: USD patterns on FOMC days
22-Dec / FX / Risk appetite & ex rates: links between bank bal sheet & USD
23-Dec / Economics / Eliciting GDP Forecasts from FOMC’s Min Around Financial Crisis: using text analysis
24-Dec / Economics / What are They Meeting for? Tale of Two FOMC Announce: comparing price action with/wo press conf
25-Dec / Trading / Dissecting Investment Strategies in the Cross Section and Time Series (@ManAHLTech)
26-Dec / Code library / pysystemtrade: backtest trading strategies (by @investingidiocy)
27-Dec / Trading / Equity Trading: The Trouble with Value (@ManAHLTech)
28-Dec / Code library / Cufflinks: plot pandas dataframes directly to Plotly interactive plots (@jorgesantos)
29-Dec / Code library / VisPy: interactive visualisation with Python (leveraging GPU)
30-Dec / Code library / PyFolio: Portfolio and risk analytics in Python (@twiecki / @quantopian)
31-Dec / Trading / Technology Diffusion & Currency Carry Trades
January 2016
01-Jan / FX / If You’re So Smart: John Maynard Keynes & Currency Speculation in Interwar Years
02-Jan / FX / Commodity Currency Puzzle: why commod export have high interest rates & FX rets
03-Jan / FX / Intraday Momentum in USD/RUB: Disentangling Informed Trading from Liquidity Provision
04-Jan / FX / Dissecting Volatility Risks in Currency Markets
05-Jan / FX / Is Hedging Foreign Currency Bids with Options Desirable? An Applied Analysis for Small Firms
06-Jan / Economics / The Effectiveness of Nonstandard Monetary Policy Measures: Evidence from Survey Data
07-Jan / Economics / US Monetary Expectations and Emerging Market Debt Flows
08-Jan / Equities / Stock Returns Over the FOMC Cycle
09-Jan / Trading / Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi
10-Jan / Trading / Trading Volume and Momentum: The International Evidence
11-Jan / Code library / Awesome Python: curated list of Python framework/libs
12-Jan / Economics / Nowcasting GDP with payments data
13-Jan / Code library / Pattern: Python web mining module, scraping, NLP, ML etc
14-Jan / FX / FX Predictability During the Financial Crisis: Implications for Carry Trade Profitability
15-Jan / Code library / DX Analytics library for modelling derivatives @dyjh
16-Jan / Trading / Cross-Sectional Factor Dynamics and Momentum Returns
17-Jan / Equities / News Momentum: for trading stocks
18-Jan / Trading / Trend-Following, Risk-Parity and the Influence of Correlations (@nbaltas)
19-Jan / Trading / Learning to Play Offense & Defense: Combining Val and Momentum from Bottom Up & Top Down (@MebFaber)
20-Jan / Trading / Why Do Short Sellers Like Qualitative News?
21-Jan / Economics / Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps
22-Jan / Code library / Open source NoSQL databases (inc MongoDB)
23-Jan / Economics / Bank networks from text – Interrelations, centrality and determinants (@ecb)
24-Jan / FX / When is FX Intervention Effective? Evidence from 33 Countries
25-Jan / FX / The Impact of FX Rates on International Travel: The Case of South Korea
26-Jan / Economics / Forecaster Heterogeneity, Surprises & Financial Markets
27-Jan / FX / Development and Functioning of FX Markets in Asia and the Pacific
28-Jan / FX / Do Retail FX Traders Learn? (spoiler: not really)
29-Jan / FX / Noisy Information and Expectation Formation in the BRL FX Market
30-Jan / Economics / Effects of US Quantitative Easing on Emerging Market Economies
31-Jan / Trading / Systematic Trading: Unique new method for designing trading & investing systems (by @investingidiocy)
February 2016
01-Feb / Commodities / News Shocks in Open Economies: Evidence from Giant Oil Discoveries
02-Feb / Technical analysis / Intermarket Analysis: Profiting from Global Market Relationships (John Murphy) – nice book!
03-Feb / FX / A Darwinian Perspective on ‘Exchange Rate Undervaluation’
04-Feb / FX / Foreign Currency Denominated Assets and International Shock Absorption in Switzerland and Japan
05-Feb / Code library / Quantitative Economics Python/Julia library
06-Feb / Code library / UKPowerTrading Python library to scrape web power data
07-Feb / Code library / ciso8601 ultra fast C date parser for Python
08-Feb / FX / FX Market Returns and Their Relationship to Investor Fear
09-Feb / FX / Forecasting Covariance for Optimal Carry Trade Portfolio Allocations
10-Feb / FX / The Retail FX Trader: Random Trading and the Negative Sum Game
11-Feb / Trading / Best books I’ve read on CTAs (by @investingidiocy)
12-Feb / FX / Exchange Rates and Monetary Spillovers
13-Feb / FX / War News and Exchange Rates During World War I: The Eastern versus the Western Front
14-Feb / FX / Unofficial Ex Rates in Managed & Mkt Regimes with Differing Cap Controls: An Analysis Using Bitcoin
15-Feb / Economics / Did Quantitative Easing Affect Interest Rates Outside the US?
16-Feb / Economics / The Dynamic Effects of Forward Guidance Shocks
17-Feb / Economics / Monetary Policy and Exchange Rate Dynamics
18-Feb / Economics / Self-Oriented Monetary Policy, Global Fin Mkts and Excess Vol of International Capital Flows
19-Feb / Economics / Effects of US QE on Emerging Market Economies
20-Feb / FX / The Effects of a Stronger Dollar on U.S. Prices
21-Feb / FX / FX Market Returns and Their Relationship to Investor Fear
22-Feb / Book / Python for Finance: Analyze Big Financial Data (@dyjh)
23-Feb / Book / Derivatives Analytics with Python (@dyjh)
24-Feb / Code library / QuantLib: open source option pricing library
25-Feb / FX / The Implications of Liquidity Expansion in China for the US Dollar
26-Feb / Economics / What Drives Inflation Expectations in Brazil? Public Versus Private Information
27-Feb / Code library / Awesome Machine Learning: curated list of ML resources
28-Feb / Code library / Scrapy: fast high-level web crawling & scraping framework for Python
29-Feb / Code library / Keras: Deep Learning library for Theano and TensorFlow
March 2016
01-Mar / Economics / Phili Fed research page (inc nice realtime activity indicator data)
02-Mar / Economics / Global Engagement and Returns Volatility
03-Mar / FX / The Effect of Political Risk on Currency Carry Trades
04-Mar / FX / The Skewness Risk Premium in Currency Markets
05-Mar / Equities / Global Equity Market Volatility Spillovers: A Broader Role for the United States
06-Mar / FX / Non-Linear Exchange Rate Pass-Through in Emerging Markets
07-Mar / Equities / Financial Hedging and Firm Performance: Evidence from Cross-Border M&A
08-Mar / Code library / Multiprocessing on Dill (parallel computation for Python 3)
09-Mar / Code library / Blaze: Python high-level interface for databases & array computing sys
10-Mar / Code library / NLTK: Building Python programs to work with human language data.
11-Mar / FX / When the Walk is Not Random: Commodity Prices and Exchange Rates
12-Mar / Economics / What You Don’t Know Can Hurt You: Knowledge Problems in Monetary Policy
13-Mar / Economics / Economic Fundamentals and Monetary Policy Autonomy
14-Mar / Economics / Five New Data Series on Consumer Expectations
15-Mar / Economics / Liquidity Traps, Capital Flows
16-Mar / Economics / Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis
17-Mar / Economics / Text mining for central banks
18-Mar / Economics / How the Fed Moves Markets (text analysis)
19-Mar / Economics / Predicting impact of central bank comm on fin mkt investors’ interest rate exp
20-Mar / Economics / Does central bank tone move asset prices?
21-Mar / Commodities / Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
22-Mar / Fixed income / Hanging Up the Phone – Electronic Trading in Fixed Income Markets and its Implications
23-Mar / FX / A Market-Based Indicator of Currency Risk: Evidence from American Depositary Receipts
24-Mar / FX / When Pegging Ties Your Hands
25-Mar / Tutorial / Analyzing Reddit Comments with Dask and Castra (cool approach for dealing with Big Data in Python)
26-Mar / Tutorial / Doing remote debugging of Python with PyCharm (eg. On AWS)
27-Mar / Tutorial / Intro to Dask for parallel computations (has parallel version of pandas)
28-Mar / Code library / Blaze: Python high-level access to efficient computation on large data
29-Mar / Market microstructure / Price Impact of Aggressive Liquidity Provision
30-Mar / Equities / Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets
31-Mar / Markets / Do News Improve Liquidity Through Improved Information or Visibility? Evidence from EM
April 2016
01-Apr / Market microstructure / Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
02-Apr / Market microstructure / Optimal Liquidation in Dark Pools
03-Apr / Trading / Intraday Trading Invariance in the E-Mini S&P 500 Futures Market
04-Apr / Equities / Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds
05-Apr / Economics / Monetary Policy and Risk-Based Asset Allocation
06-Apr / Economics / How Effective is Central Bank Forward Guidance?
07-Apr / Economics / Show Me the Money: The Monetary Policy Risk Premium
08-Apr / Code library / Caravel – visual data exploration platform
09-Apr / Code library / you-get – downloader that scrapes the web
10-Apr / Code library / Derivatives Analytics with Python (@dyjh) – GitHub source
11-Apr / FX / Can Currency Competition Work? (Bitcoin vs Etherium)
12-Apr / Equities / Macroeconomic Factors and Equity Premium Predictability
13-Apr / Economics / Monetary Policy and Stock Prices: Does the ‘Fed Put’ Work When It Is Most Needed?
14-Apr / Economics / How Have Central Banks Implemented Negative Policy Rates?
15-Apr / Trading / Stock Portfolio Design and Backtest Overfitting
16-Apr / FX / New Assessment of the Japanese Foreign Exchange Intervention: A Stopping Time Approach
17-Apr / FX / Determinants of the Movements in the EURUSD Exchange Rate During the Sovereign Debt Crisis
18-Apr / FX / Floating with a Load of FX Debt?
19-Apr / FX / Risk and Return Spillovers Among the G10 Currencies
20-Apr / Economics / Strategic CB Communication: Discourse & Game -Theoretic Analyses of BoJs Monthly Report
21-Apr / Commodities / Option-Implied Expectations in Commodity Markets and Monetary Policy
22-Apr / Code library / TFLearn: Deep learning library featuring a higher-level API for TensorFlow.
23-Apr / Equities / Could Emotional Markers in Twitter Posts Add Information to Stock Mkt ARMAX-GARCH Model
24-Apr / Market microstructure / The Informational Content of Limit Order Distributions During Market Auctions
25-Apr / Equities / Do Bright-Line Earnings Surprises Really Affect Stock Price Reactions?
26-Apr / Equities / Getting the Most out of Macroeconomic Information for Predicting Stock Returns
27-Apr / Markets / Short-Termism of Long-Term Investors? Investment Behaviour of Dutch Insurance Comp & Pension Funds
28-Apr / Markets / Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules
29-Apr / Economics / Economic Links and Predictable Returns Appendix
30-Apr / Market microstructure / The Market Structure Crisis: Electronic Stock Markets, High Frequency Trading, and Dark Pools
May 2016
01-May / Statistics / Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
02-May / Code library / Parallel Processing in Python (h/t @ManAHLTech) – great summary!
03-May / Economics / Price drift before U.S. macroeco news: private information about public (from @ecb) announcements?
04-May / Code library / NLTK: Building Python programs to work with human language data.
05-May / Economics / Uncertainty and International Capital Flows
06-May / FX / Unveiling the Effects of Foreign Exchange Intervention : A Panel Approach
07-May / Commodities / Driven By Fear? The Tail Risk Premium in the Crude Oil Futures Market
08-May / Markets / Risk Everywhere: Modeling and Managing Volatility
09-May / Code library / gensim topic modelling for humans in Python
10-May / Code library / Apache Tika library for extracting metadata
11-May / Code library / pyjnius library for accessing Java classes in Python
12-May / Code library / pomegranate probabilistic modelling in Python
13-May / Code library / luigi: Python module for workflow management
14-May / Code library / bqplot: plotting library for Jupyter notebooks
15-May / Code library / wiki2vec: Generating Vectors for DBpedia Entities via Word2Vec & Wikipedia Dumps
16-May / FX / FX Intervention Under Policy Uncertainty
17-May / FX / Deviations from Covered Interest Rate Parity
18-May / FX / On the Value of Virtual Currencies
19-May / FX / Technical Trading: Is it Still Beating the Foreign Exchange Market?
20-May / Markets / Tail Protection for Long Investors: Convexity at Work
21-May / FX / Large Depreciations: Recent Experience in Historical Perspective
22-May / FX / System-Wide Volatility Connectedness and Carry Trades
23-May / FX / The Carry Trade and Implied Moment Risk
24-May / FX / Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management
25-May / Code library / Pattern – web mining module for the Python
26-May / FX / Intra-Safe Haven Currency Behavior During the Global Financial Crisis
27-May / FX / The ‘Real’ Explanation of the PPP Puzzle
28-May / FX / Currency Premia and Global Imbalances
29-May / Credit / The credit risk premium
30-May / Credit / Does Fundamental Volatility Help Explain Credit Risk?
31-May / Trading / Measuring Factor Exposures: Uses and Abuses
June 2016
01-Jun / Trading / DC Solutions Series: Trend Following Strategies in Target-Date Funds
02-Jun / Code library / sklearn-evaluation – presenting scikit-learn models, plots, tables, markdown
03-Jun / Code library / Machine learning models implemented in TensorFlow
04-Jun / Code library / Stanford CoreNLP: A Java suite of core NLP tools
05-Jun / Code library / SparklingPandas – use the distributed computing power of PySpark with pandas
08-Jun / FX / On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates
09-Jun / Commodities / Are Oil Price Forecasters Finally Right? Regressive Exp Toward More Fundamental Values of Oil Price
10-Jun / Economics / Raising an Inflation Target: The Japanese Experience with Abenomics
11-Jun / FX / The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
12-Jun / FX / PPP: A Disaggregated View
13-Jun / FX / International Reserves for Emerging Economies: A Liquidity Approach
14-Jun / Trading / The Art of Backtesting
15-Jun / Equities / Are US-Dollar-Hedged-ETF Investors Aggressive on Exchange Rates? A Panel VAR Approach
16-Jun / Code library / bqplot: plotting library for Jupyter notebooks
17-Jun / Code library / VisPy – fast Python library for interactive scientific visualization
18-Jun / FX / Retail FX Trader Survey Results
19-Jun / FX / The Timing and Magnitude of Exchange Rate Overshooting
20-Jun / Economics / When Preferences for a Stable Interest Rate Become Self-Defeating
21-Jun / Economics / Monetary Facts Revisited
22-Jun / Economics / Life Below Zero: Negative Policy Rates and Bank Risk Taking
23-Jun / Economics / Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy
24-Jun / Economics / Let’s Talk About the Weather: The Impact of Climate Change on Central Banks
25-Jun / Fixed income / The Interest Rate Effects of Government Bond Purchases Away from the Lower Bound
26-Jun / Code library / pandas – Python Data Analysis Library
27-Jun / FX / Do Speculative Traders Anticipate or Follow USD/EUR Exchange Rate Movements?
28-Jun / Economics / Optimal Monetary Policy in an Open Emerging Market Economy
29-Jun / FX / Optimal Factor Strategy in FX Markets
30-Jun / FX / End-User Order Flow and Exchange Rate Dynamics
July 2016
04-Jul / FX / Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models
05-Jul / FX / Carry Funding and Safe Haven Currencies: A Threshold Regression Approach
06-Jul / FX / The Value of Millisecond Expiry Options in Spot Foreign Exchange Markets
07-Jul / FX / The Real Exchange Rate and Economic Growth: Revisiting the Case Using External Instruments
08-Jul / FX / An Empirical Examination of Factors Driving the Offshore Renminbi Market
09-Jul / Economics / International Shocks and Domestic Prices: How Large are Strategic Complementarities?
10-Jul / FX / Real Financial Market Exchange Rates and Capital Flows
11-Jul / FX / Exchange Rate Forecasting with DSGE Models
12-Jul / FX / Monetary Disequilibria and the Euro/Dollar Exchange Rate
15-Jul / FX / Bitcoin’s Roller Coaster: Systemic Risk and Market Sentiment
16-Jul / FX / Expected Currency Returns and Volatility Risk Premia
17-Jul / FX / Exchange Rate Dynamics, Expectations, and Monetary Policy
18-Jul / FX / Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns
19-Jul / Economics / Dutch Disease, Real Effective Exchange Rate Misalignments and Their Effect on GDP Growth in the EU
20-Jul / FX / Foreign Exchange Intervention Under Policy Uncertainty
21-Jul / Credit / Trends in Credit Market Arbitrage
22-Jul / Economics / Newer Need Not Be Better: Evaluating Penn World Tables & World Development Ind Using Nighttime Lights
23-Jul / Economics / The Science of Monetary Policy: An Imperfect Knowledge Perspective
24-Jul / FX / A Possible Explanation of the ‘Exchange Rate Disconnect Puzzle’
25-Jul / Code library / Awesome Machine Learning: curated list of ML resources
26-Jul / Code library / Plotly: open source plotting
27-Jul / FX / What is market beta in FX?
28-Jul / Markets / On the Transactions Costs of Quantitative Easing
29-Jul / Economics / News and Noise in the Housing Market
30-Jul / Economics / Economic Policy Uncertainty and the Credit Channel
31-Jul / Equities / Relief Rallies after FOMC Announcements
August 2016
01-Aug / Economics / FOMC Members’ Incentives to Disagree
02-Aug / Economics / Have Monetary Data Releases Helped Markets to Predict the Interest Rate Decisions of ECB?
03-Aug / FX / Asymmetric Volatility Connectedness on Forex Markets
04-Aug / FX / Tales of Tails: Jumps in Currency Markets
05-Aug / Economics / Watering a Lemon Tree: Heterogeneous Risk Taking and Monetary Policy Transmission
06-Aug / Economics / Do Fed Forecast Errors Matter?
07-Aug / FX / Determinants of Emerging Market Crises: The Role of U.S. Monetary Policy
08-Aug / FX / The Macroeconomics of Central Bank Issued Digital Currencies
09-Aug / Economics / The Signalling Content of Asset Prices for Inflation: Implications for Quantitative Easing
10-Aug / Economics / Low Interest Rates and Risk Taking: Evidence from Individual Investment Decisions
11-Aug / Economics / Negative Nominal Interest Rates on Loans: The Newly-Established Normal Practice?
12-Aug / Fixed income / How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
13-Aug / FX / Exchange Rates, Carry Trade Returns and Political Risks
14-Aug / FX / Transmission of Nominal FX Changes to Export Prices & Trade Flows and Implications for FX Policy
15-Aug / Economics / How the Rise of East Asian Sovereign Wealth Funds Affected the European Union?
16-Aug / Economics / The IMF Conditionality: Theory and Application in India
17-Aug / FX / Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
18-Aug / Economics / Are Nonlinear Methods Necessary at the Zero Lower Bound?
19-Aug / Economics / Low Long-Term Interest Rates as a Global Phenomenon
20-Aug / Economics / Risk Shocks Close to the Zero Lower Bound
21-Aug / Economics / Optimal Monetary Policy Regime Switches
22-Aug / Economics / The Changing Transmission Mechanism of U.S. Monetary Policy
23-Aug / FX / Tales of Tails: Jumps in Currency Markets
24-Aug / Code library / finmarketpy: Python backtest trading library
25-Aug / Economics / Monetary V Macropru Policies Causal Impacts of Int Rates & Credit Controls in Era of Radcliffe Report
26-Aug / Economics / Measuring the ECB’s Monetary Policy Stance: A ‘Media-Based’ Automated Approach
27-Aug / Economics / Returns Predictability in Emerging Housing Markets
28-Aug / Economics / Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?
29-Aug / Economics / Near-Money Premiums, Monetary Policy, and the Integration of Money Markets: Lessons from Deregulation
30-Aug / Economics / Low Interest Rates and Risk Taking: Evidence from Individual Investment Decisions
31-Aug / Economics / The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data
September 2016
01-Sep / Economics / Negative Interest Rate Policies: Sources and Implications
02-Sep / Fixed income / Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News
03-Sep / FX / Settlement Risk in the Global FX Market: How Much Remains?
04-Sep / FX / The Share of Systematic Risk in Foreign Exchange and Stock Markets
05-Sep / FX / Is the Renminbi a Safe Haven?
06-Sep / FX / Modeling FX market activity around macroeconomic news: a Hawkes process approach
07-Sep / Market microstructure / Tick Size Reduction and Price Clustering in a FX Order Book
08-Sep / Market microstructure / Do co-jumps impact correlations in currency markets?
09-Sep / Economics / Modern Monetary Circuit Theory
10-Sep / Code library / finmarketpy: Python backtest trading library
11-Sep / FX / Foreign exchange risk premia: from traditional to state-space analyses
12-Sep / Market microstructure / The Long Memory of Order Flow in the Foreign Exchange Spot Market
13-Sep / FX / Monetary Shocks at High-Frequency and Their Changing FX Transmission Around the Globe
14-Sep / Economics / QE in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices
15-Sep / Economics / The Effects of Monetary Policy Announcements at the Zero Lower Bound
16-Sep / Economics / Federal Reserve Communication and the Media
17-Sep / Economics / Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom
18-Sep / Economics / Monetary Policy, Volatility Risk, and Return Predictability
19-Sep / Equities / Monetary Policy and Mispricing in Stock Markets
20-Sep / Economics / Measuring the Natural Rate of Interest: International Trends and Determinants
21-Sep / Commodities / Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
22-Sep / FX / The Speed of Exchange Rate Pass-Through
23-Sep / Economics / A Short-Term Export Forecasting Model Using Input-Output Tables
24-Sep / Economics / The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises
26-Sep / FX / Surprise from the Central Bank: A Model to Understand Currency Revaluation Decisions
27-Sep / Market microstructure / The microstructural foundations of leverage effect and rough volatility
28-Sep / Market microstructure / Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions
29-Sep / Market microstructure / The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets
30-Sep / Market microstructure / Price impact without order book: A study of the OTC credit index market
October 2016
01-Oct / Market microstructure / Trader lead-lag networks and order flow prediction
02-Oct / Market microstructure / Deep Learning for Limit Order Books
03-Oct / Trading / Speculative Futures Trading under Mean Reversion
04-Oct / Market microstructure / The Excess Returns of “Quality” Stocks: A Behavioral Anomaly
05-Oct / Market microstructure / Limit-order book resiliency after effective mkt orders: Empirical facts and applications to HFT
06-Oct / Equities / Tail Risk Premia for Long-Term Equity Investors
07-Oct / FX / Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
08-Oct / FX / Can Oil Prices Forecast Exchange Rates?
09-Oct / FX / Investment Returns & FX Hedge for Foreign Investments: Evidence from Japanese Life Insurance Companies
10-Oct / FX / A Theory of Foreign Exchange Interventions
11-Oct / Fixed income / Covered Interest Parity Lost: Understanding the Cross-Currency Basis
12-Oct / Economics / Bubbles and Crashes in the Australian Residential Property Market
13-Oct / Fixed income / Below the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area
14-Oct / Economics / Central Bank Communications: A Case Study
15-Oct / Economics / Have FOMC Minutes Helped Markets to Predict FED Funds Rate Changes?
16-Oct / FX / Volatility Transmission between Stock and Exchange-Rate Markets: A Connectedness Analysis
17-Oct / FX / Using Option-Implied Information to Improve Currency Carry Trade Profits
18-Oct / FX / “Is Foreign FX Denominated Debt Performance Enhancing? Evidence From French Non-Financial Firms
19-Oct / FX / Dynamic Interactions between Government Bonds and Exchange Rate Expectations in Currency Options
20-Oct / FX / Carry Trades and Monetary Conditions
21-Oct / Market microstructure / Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
22-Oct / Market microstructure / Trading against disorderly liquidation of a large position under asymmetric information & mkt impact
23-Oct / Market microstructure / Are Order Anticipation Strategies Harmful? A Theoretical Approach
24-Oct / Equities / Entropy and efficiency of the ETF market
25-Oct / Market microstructure / Trader lead-lag networks and order flow prediction
26-Oct / FX / Surprise from the Central Bank: A Model to Understand Currency Revaluation Decisions
27-Oct / FX / Are Currency Returns Really Predictable?: Unforeseeable Structural Change and the Forward Rate Anomaly
28-Oct / Economics / Housing and Mortgage Dynamics: Evidence from Household Surveys
29-Oct / Code library / PyMC3: Probabilistic Programming in Python
30-Oct / Code library / word_cloud: A little word cloud generator in Python
31-Oct / Code library / Man-AHL arctic: High performance datastore for time series and tick data
November 2016
01-Nov / FX / Is Leverage Use a Better Indication of Overconfidence? Evidence from the Retail Forex Market
02-Nov / FX / The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets
03-Nov / FX / Macroprudential Policies, the Long-Term Interest Rate and the Exchange Rate
04-Nov / Economics / QE: The Story so Far
05-Nov / Economics / The Interplay between Financial Conditions and Monetary Policy Shocks
06-Nov / Economics / A Survey of the Empirical Literature on U.S. Unconventional Monetary Policy
07-Nov / Economics / Spillover Effects of Credit Default Risk in Euro Area & Effects on the Euro: A GVAR Approach
08-Nov / FX / International Trade and Exchange Rate
09-Nov / Economics / Monetary Indep in Financially Int World: What Do Measures of Interest Rate Co-Movement Tell Us?
10-Nov / Economics / Connecting the Dots: Mkt Reactions to Forecasts of Policy Rates & Forward Guidance Provided by Fed
11-Nov / Economics / Financial Performance & Macroeconomic Fundamentals EM Economies Over the Global Financial Cycle
12-Nov / Economics / Price Dispersion and Inflation Persistence
13-Nov / Economics / Necessity As the Mother of Invention Monetary Policy after the Crisis
14-Nov / Economics / Gimme a Break! Identification & Estimation of Macroeconomic Effects of Monetary Policy Shocks in US
15-Nov / Economics / The Response of Asset Prices to Monetary Policy Shocks: Stronger than Thought
16-Nov / FX / The Share of Systematic Risk in Foreign Exchange and Stock Markets
17-Nov / FX / Currency Strategies and Sovereign Ratings
18-Nov / FX / Currency Co-Movements in Asia-Pacific: The Regional Role of the Renminbi
20-Nov / FX / Are Currency Returns Really Predictable? Unforeseeable Structural Change and the Forward Rate Anomaly
21-Nov / FX / The Statistics of Bitcoin and Cryptocurrencies
22-Nov / Economics / Trust in the Central Bank and Inflation Expectations
23-Nov / Markets / A Model of Fickle Capital Flows & Retrenchment: Global Liquidity Creation & Reach for Safety and Yield
24-Nov / Economics / Monetary Policy and the Stock Market: Time-Series Evidence
25-Nov / Credit / The Transmission of Euro Area Sovereign Risk Contagion: Evidence from Intraday CDS and Bond Markets
26-Nov / Economics / Macroeconomic Effectiveness of Non-Standard Monetary Policy and Early Exit. A Model-Based Evaluation
27-Nov / Equities / Event Study on the Reaction of Stock Returns to Acquisition News
28-Nov / Economics / A Theoretical Framework for Law and Macroeconomics
29-Nov / Economics / Information Contamination
30-Nov / FX / Option-Implied Libor Rate Expectations Across Currencies
December 2016
01-Dec / Economics / Mathematics & Economics: A Reality Check (Presentation Slides)
02-Dec / Market microstructure / Informativeness of trade size in foreign exchange markets
03-Dec / Economics / Economic Costs of Alternative Monetary Policy Responses During Speculative Currency Attacks
04-Dec / FX / Volatility, Intermediaries and Exchange Rates
05-Dec / Economics / Central Bank Communication and the Yield Curve
06-Dec / Economics / Signaling Effects of Monetary Policy
07-Dec / Trading / Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design
08-Dec / FX / Event-Related FX Forecasts Combining Betting Quotes & Risk-Neutral Densities from Option Prices
09-Dec / FX / Common Information in Carry Trade Risk Factors
10-Dec / Economics / The Inflation Process
11-Dec / FX / Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?
12-Dec / FX / U.S. Dollar Dynamics: How Important are Policy Divergence and FX Risk Premiums?
13-Dec / Fixed income / Segmented Money Markets and Covered Interest Parity Arbitrage
14-Dec / Trading / Leveraging ANN for Hedging Foreign Investments in EM: A Large-Scale Empirical Study
15-Dec / FX / The Cost of Foreign Exchange Intervention: Concepts and Measurement
16-Dec / Economics / Sterilized Intervention and Optimal Chinese Monetary Policy
17-Dec / Market microstructure / Wavelet-based methods for high-frequency lead-lag analysis
18-Dec / Market microstructure / How many market makers does a market need?
19-Dec / FX / The Missing Risk Premium in Exchange Rates
20-Dec / Economics / Chinese Imports: What’s Behind the Slowdown?
21-Dec / Economics / Global Trade Flows: Revisiting the Exchange Rate Elasticities
22-Dec / Economics / Monetary Policy and Regional House-Price Appreciation
23-Dec / Economics / Time-Varying Volatility, Financial Intermediation and Monetary Policy
24-Dec / Economics / Implied Volatility Duration and the Early Resolution Premium
25-Dec / Economics / U.S. Monetary Policy Normalization and Global Interest Rates
26-Dec / Economics / Uncertainty Shocks and the UK Economy from 1762 to 2015
27-Dec / Trading / Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance
28-Dec / FX / Downsized FX Markets: Causes and Implications
29-Dec / Trading / Emerging Derivatives Markets?
30-Dec / FX / Expectation Errors in the Foreign Exchange Market
Best of luck for 2017!