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