RePEc
RePEc
Economics working papers from RePEc's NEP field reports. 808 featured so far, newest first.
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- Since
- 24 May 2023
- 9 Oct 20264fanfare
Risk Appetite and Monetary Transmission
The research shows Fed policy affects risk asset prices primarily through risk appetite shifts, not interest rates; transmission via risk appetite dwarfs rate-channel effects.
- 9 Oct 20263fanfare
Estimating Yield Impacts of Treasury Demand and Supply Changes
A demand-system framework quantifies that $100 billion in Treasury supply raises five-year yields by roughly 3 basis points, with effects driven by changing foreign and hedge-fund participation.
- 9 Oct 20263fanfare
Collateral Advantage: Exchange Rates, Capital Flows, and Global Cycles
A model shows U.S. Treasury collateral advantage drives dollar appreciation during stress and reconciles exorbitant privilege, financial intermediation, and convenience yield perspectives.
- 9 Oct 20263fanfare
Monetary Policy and the Wealth Distribution
Rate cuts initially reduce wealth inequality but increase it medium-term; housing drives effects at the bottom while equities drive them at the top.
- 9 Oct 20263fanfare
Beyond Financial Conditions: Measuring Structural Vulnerabilities in the U.S. Financial System
An index capturing structural financial weaknesses displays gradual buildup before crises, predicts shock amplification, and reveals delayed monetary policy transmission effects.
- 9 Oct 20263fanfare
The Equilibrium Impact of Credit Frictions: Evidence from Default Risk Using Firm-Level Data
UK firm-level data shows relaxing credit frictions raises output by 25% and wages by 23%, with most gains from capital accumulation rather than reallocation.
- 9 Oct 20263fanfare
AI Intensity and Financial Market Responses to Economic Shocks: Evidence from US Industries
Industries with higher AI intensity show significantly higher returns and valuations when hit by supply and technology shocks but not demand shocks.
RePEcML & AI Methods
- 9 Oct 20263fanfare
A Currency Premium Puzzle
The paper proves that asset pricing models solving equity and risk-free rate puzzles fail to generate observed interest-rate differentials between risky and safe currencies.
- 9 Oct 20263fanfare
The Implied Equity Term Structure
Inferring expected returns from stock prices and cash flows reveals an upward-sloping equity term structure, but value and speculative-grade firms show flat or downward slopes.
- 9 Oct 20263fanfare
Volatility Disagreement in the Options Market
Cross-sectional dispersion in volatility forecasts predicts delta-hedged straddle losses of 5.14% per month, consistent with mispricing rather than risk compensation.
- 9 Oct 20263fanfare
What is the Impact of a Major Unconventional Monetary Policy Intervention?
The ECB's "whatever it takes" announcement reversed euro area banks' risk appetite, reducing loan growth and credit risk, showing capitalization can curb lending during crises.
- 9 Oct 20263fanfare
A Model of Global Firms and Capital Markets
A quantified general-equilibrium model of 23,000 firms across 48 countries shows financial and trade liberalization concentrate activity in largest firms with larger gains for emerging economies.
- 9 Oct 20263fanfare
Bankers’ Outside Options and Financial Risk
Improved job opportunities for bankers increase non-investment-grade lending and borrower risk without compensating spreads, raising systemic risk through weakened workplace discipline.
- 9 Oct 20263fanfare
Beliefs That Predict Returns and Beliefs That Attract Flows: Policy Insights and Sentiment Catering in Mutual Funds
The study shows that mutual fund managers' policy beliefs predict market returns and explain positive alphas, while sentiment beliefs attract flows but lack predictive power.
- 9 Oct 20263fanfare
Drivers of Exchange Rates in EMDEs: Implications for Foreign Exchange Intervention
A framework using deviations from interest-rate parity identifies when exchange-rate movements stem from financial shocks rather than fundamentals, aiding intervention decisions.
- 9 Oct 20263fanfare
From Tone to Trajectory: Continuous Sentiment and the Shape of Monetary Policy Communication (Martin Feldkircher, Márton Kardos, Kristoffer Laigaard Nielbo)
The sequencing and emphasis of sentiment within central bank statements predict rate decisions and inflation expectations beyond average tone alone.
- 9 Oct 20263fanfare
Anatomy of a run: the Terra Luna Crash
Granular blockchain data reveals the Terra crash resulted from subsidized money creation, real-time transaction visibility, and investor concentration amplifying financial fragility.
RePEcCrypto & DeFi
- 9 Oct 20262fanfare
Beyond the HAR: A New Benchmark for Volatility Forecasting
Fractional processes outperform discrete models like HAR for forecasting realized volatility at longer horizons by better balancing recent levels against long-run persistence.
- 9 Oct 20262fanfare
The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy
A model with time-varying skewness in cost-push shocks generates persistent stagflationary effects; optimal policy leans against the balance of inflation risks.
- 9 Oct 20262fanfare
Energy and Monetary Policy in the Euro Area
A DSGE model reveals energy and exchange-rate shocks drive euro inflation volatility, and optimal policy can exploit the exchange-rate channel rather than looking through energy shocks.
- 9 Oct 20262fanfare
Macro News in Market Moves: Classifying News through Asset Co-movements
CLONE decomposes daily price moves into demand, productivity, inflation, and policy news using stocks, bonds, and inflation swaps; aggregate demand dominated until 2021.
- 9 Oct 20262fanfare
Term Spread Volatility as a Leading Indicator of Economic Activity
Treasury yield curve slope volatility forecasts industrial production and employment growth at medium and long horizons, outperforming term spread alone after the 2008 crisis.
- 9 Oct 20262fanfare
Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs
A Bayesian spike-and-slab method improves high-dimensional panel VAR forecasting and reveals heterogeneous spillover structures in sovereign bonds and macro data.
- 9 Oct 20262fanfare
Where It All Begins: Eurodollars and International Monetary Policy Transmission under Bretton Woods
US monetary tightening attracted capital through Eurodollar borrowing but did not transmit to foreign output, revealing continued financial segmentation despite offshore growth.
- 9 Oct 20262fanfare
Interest Rate Transmission in Decentralized Finance: Evidence from Aave Lending Protocol
The study finds that US risk-free rates predict stablecoin lending rates in decentralized finance, though transmission operates mainly through crypto-native factors like utilization.
RePEcCrypto & DeFi
- 9 Oct 20262fanfare
Optimal Currency Strategies Under Deviations From Interest Parity
Extending Campbell et al., the analysis shows empirically measured deviations from interest parity reverse optimal currency demands for emerging-market investors.
- 9 Oct 20262fanfare
Disappearing Dollar Convenience?
Dollar safe asset convenience yields remain stable domestically since 2019 but decline globally relative to other currencies, with repo markets leading.
- 9 Oct 20262fanfare
Housing Network Connectedness and Policy Spillovers: Evidence from a Time-Varying Parameter VAR Approach
A time-varying VAR network reveals supply-inelastic coastal markets absorb largest regulatory shocks and spillovers persist to monetary conditions and inflation expectations.
- 9 Oct 20262fanfare
What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times
Volatility and kurtosis reveal that dollar depreciation and rising Treasury yields reflect multiple distinct shocks rather than a single tariff announcement shock.
- 9 Oct 20262fanfare
Perceived Monetary Policy Rules: Evidence from Professional Forecasters in Australia
Time-varying beliefs about the central bank's reaction function collapsed at the zero bound and rose only after observed tightening, not from guidance alone.
- 2 Oct 20264fanfare
Corporate bond pricing in the AI era
Using ChatGPT's launch as a natural experiment, the paper finds that hyperscalers saw borrowing costs decline while software firms faced worse terms as debt markets repriced AI winners and losers.
- 2 Oct 20264fanfare
The macroeconomic effects of AI technology shocks
AI-intensive patents generate delayed productivity and employment gains alongside falling consumer prices, with substantially larger aggregate effects than broader ICT shocks but reducing labor share and increasing wealth inequality.
- 2 Oct 20263fanfare
The Fed Put and Bank Risk-Taking: Evidence from the Loan Book
The paper shows that monetary policy reduces perceived tail risk for bank equity, encouraging banks to originate riskier loans to commercial and industrial borrowers.
- 2 Oct 20263fanfare
Transformer-based CoVaR: Systemic Risk in Textual Information
Integrating financial news embeddings from large language models with market data, the study improves systemic risk forecasts using conditional value-at-risk without requiring large datasets.
RePEcLLMs & Text
- 2 Oct 20263fanfare
A SPOT in the dark: using AI to assess financial stability risks
Large Language Models extract signals about potential trigger events from financial news, improving forward-looking estimates of downside risks and helping monitor financial stability threats ahead of major events.
RePEcML & AI Methods
- 2 Oct 20263fanfare
The Uncertainty Channel of Monetary Policy Communication
The study shows that increased Federal Reserve communication lowers monetary policy uncertainty and generates substantial real effects: industrial production rises 0.3 percent and unemployment falls 0.2 percentage points within two months.
- 2 Oct 20263fanfare
Bank Dollarization, Lending Behavior and Real Effects
The study shows that banks with high foreign exchange risk reduce lending to both exposed and unexposed firms after exchange rate shocks, with measurable real effects on small and medium enterprises.
- 2 Oct 20263fanfare
Testing Whether Volatility Model Gains Persist: A Prespecified Holdout in Tail Risk Forecasting
Testing eight volatility models on equity indices with prespecified holdout periods, the research finds that gains from more complex models often do not persist across markets or time.
- 2 Oct 20263fanfare
The implications of AI for monetary policy: a first assessment
The paper assesses how artificial intelligence affects monetary policy transmission and central bank reactions, finding AI could improve risk assessment and communication but may also amplify systemic vulnerabilities and herding dynamics.
- 2 Oct 20263fanfare
Artificial Intelligence and the Indian Sovereign Yield Curve: Empirical Evidence in Times of Macroeconomic Turmoil.
Post-AI adoption, longer-maturity Indian bond yields show reduced sensitivity to expected inflation and money supply growth, while short-term yields exhibit heightened inflation sensitivity, suggesting structural transmission changes.
- 2 Oct 20263fanfare
Green is the new black
U.S. green bond share declined from 1.7 to 0.6 percent after Trump's re-election and Paris Agreement withdrawal, with the greenium turning positive.
- 2 Oct 20263fanfare
The Labor Market Effects of AI Automation and Augmentation
AI automation reduces occupational employment by 21 percent with little wage effect, while AI augmentation raises wages by 8 percent, revealing that AI's labor impact depends on the balance between these opposing channels.
RePEcML & AI Methods
- 2 Oct 20262fanfare
One dollar, many prices: dealer-specific pricing of synthetic dollar funding
Comparing FX forwards in identical currency pairs and maturities, the study finds large pricing variation across dealers reflecting clientele and pricing power rather than funding costs.
- 2 Oct 20262fanfare
The implied volatility surface (also) is path-dependent
The research shows that past asset price trajectories predict implied volatility movements up to two years forward, with a parsimonious SSVI model capturing this path-dependent behavior.
- 2 Oct 20262fanfare
A New Approach to Estimating Portfolio-Balance Models of the Yield Curve
Proposes a two-step estimator to recover portfolio-balance model parameters from Gaussian term structure models, identifying shocks to hedging risk premiums and risk-bearing capacity.
- 2 Oct 20262fanfare
Repo Markets and the Fed's Balance Sheet: Implications for Monetary Policy Implementation
The paper examines how Federal Reserve balance sheet changes affect overnight Treasury repo markets and the transmission of monetary policy through money markets.
- 2 Oct 20262fanfare
Diagnosing and Stabilizing Dynamic Correlations in Multivariate Stochastic Volatility Models
Decomposing forecasting losses into correlation versus scale components, the paper shows how to diagnose and stabilize dynamic-correlation volatility models using realized-volatility inputs.
- 2 Oct 20262fanfare
One advisor for the whole world? Cross-country evidence on financial advice from large language models
Large language models provide nearly identical portfolio advice across twenty-one countries despite local differences, following retail finance conventions rather than academic prescriptions and ignoring household balance sheets.
RePEcLLMs & Text
- 2 Oct 20262fanfare
Learn the measure, estimate the moment: machine-learned drivers in dynamic conditional correlation models
Combining machine-learned forecasts of realized measures with dynamic conditional correlation models improves correlation matrix forecasts, producing valid predictions and beating realized-driver baselines across multiple horizons.
- 2 Oct 20262fanfare
Financial frictions and firms’ capital composition: a structural estimation of firms’ borrowing constraints for the UK
UK firm-level analysis shows that interest rate spreads are less sensitive to capital-to-debt ratios for firms with higher intangible intensity, suggesting intangibles are less effective collateral than tangible assets.
- 2 Oct 20262fanfare
Solvency and systemic risk of European life insurers
The research distinguishes solvency risk from systemic risk in European life insurers, finding growing systemic risk exposure since 2007 and evidence of interconnectedness with banks that intensifies during financial stress.
- 2 Oct 20262fanfare
Financial Crisis Cycles
A theoretical model shows that debt accumulation during booms delays post-crash recovery through debt overhang and coordination failures, with debt restructuring conditional on recapitalization being more efficient than unconditional subsidies.
- 2 Oct 20262fanfare
What makes Monetary Policy More Powerful? A Big Data Approach
Analysis of a large macro-financial dataset ranks non-linear monetary transmission channels, finding transmission to long-term rates weakens at high interest rates and high credit growth, with sovereign risk mattering in the euro area.
- 2 Oct 20262fanfare
Price Conflict and US Stock Return Volatility Forecasting: Insights from over 150 Years with a Mixed-Frequency Framework
The GARCH-MIDAS model incorporating a quarterly news-based Price Conflict Index outperforms benchmarks for forecasting US stock volatility over 150 years of monthly and daily data.
- 2 Oct 20262fanfare
The Cov-lite Liquidity Advantage, Regulatory Pressures, and the Evolution of the Leveraged Loan Market
Post-GFC, banks facing stricter regulation increased cov-lite loan issuances due to liquidity advantages that lower credit spreads, particularly for private firms seeking easier asset sales.
- 2 Oct 20262fanfare
Locking in the rate or staying flexible? Mortgage refinancing around an interest rate shock
The study finds that UK borrowers shifted toward two-year fixed mortgages despite higher pricing after the 2022 rate shock, seeking flexibility and rate protection rather than minimizing immediate costs.
- 2 Oct 20262fanfare
Measuring the Effects of US Unconventional Monetary Policy Surprises on Exchange Rates across Monetary Conditions
The research shows that both large-scale asset purchases and forward guidance appreciate foreign currencies against the dollar, with guidance having larger effects, especially during zero lower bound periods.
- 2 Oct 20262fanfare
Geopolitical risk and emerging market sovereign risk premia
The study finds that geopolitical risk raises sovereign credit spreads in emerging markets, with threats having larger effects than acts, and responses shifting substantially after the Ukraine invasion.
- 2 Oct 20262fanfare
The Innovator's Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction
The research shows that firms' hurdle rates exceed their financial cost of capital due to innovation risk and imperfect pledgeability, explaining weak productivity growth and declining business dynamism.
- 2 Oct 20262fanfare
Zero-Shot Conditional Forecasting and the Information Content of Central Bank Paths
A pre-trained time-series model reading central bank published paths cuts forecast errors better than the banks themselves and hard-conditioned VARs, revealing exploitable institutional differences.
- 25 Sep 20264fanfare
Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing
Optimized AI systems analyzing earnings call transcripts double explained variation in stock returns versus standard benchmarks while improving interpretability through human-readable decision rules.
RePEcML & AI Methods
- 25 Sep 20264fanfare
Stablecoins Meet the Mundell–Fleming Trilemma
Wallet-level stablecoin data shows crisis countries experience inflows during banking restrictions; this endogenizes capital mobility and tightens monetary policy constraints.
RePEcCrypto & DeFi
- 25 Sep 20263fanfare
Skewness Risk Premia and the Cross-Section of Currency Returns
Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.
- 25 Sep 20263fanfare
The Global Credit Cycle
A nonlinear factor constructed from credit spreads and equity volatility prices global corporate bond returns, explaining up to 13% of three-month-ahead return variation across markets.
- 25 Sep 20263fanfare
Asset Embeddings
The paper shows that portfolio holdings contain all information needed for asset pricing and develops asset embeddings analogous to word embeddings to represent firms and predict valuations.
- 25 Sep 20263fanfare
Pricing Risk Globally: Intermediary Constraints, the Dollar, and the Global Financial Cycle
A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally.
- 25 Sep 20263fanfare
Carry Trade and Currency Crash Risk
Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition.
- 25 Sep 20263fanfare
Predicting Financial Market Stress with Machine Learning
Tree-based machine learning models predict the full distribution of financial market stress 27% better than traditional time-series methods, with macro uncertainty and monetary policy expectations as key drivers.
RePEcML & AI Methods
- 25 Sep 20263fanfare
The credit channel of monetary policy: direct survey evidence from UK firms
UK firm survey data validates that external borrowers face larger cost-of-capital increases and cut investment more than internal funders when rates rise, accounting for a quarter of monetary policy's total effect.
- 25 Sep 20263fanfare
Innovation, financial frictions, and persistent effects of monetary policy
Monetary tightening reduces R&D more sharply among firms lacking cash-flow-based borrowing, generating persistent 0.12% output loss that younger, high-patent firms bear disproportionately.
- 25 Sep 20263fanfare
Ex Machina: Financial Stability in the Age of Artificial Intelligence
Q-learning and large language model investors generate systematically different behaviors in fund redemption settings, with Q-learning showing excessive coordination and amplified fragility under default risk.
RePEcML & AI Methods
- 25 Sep 20263fanfare
Elastic in cash, inelastic in repo: Hedge funds in the treasury and repo markets
Using German sovereign bond repo data, the research shows hedge funds are price-elastic in cash markets but highly inelastic in repo, inheriting elasticity from their cash-market counterparties.
- 25 Sep 20263fanfare
HKC05 - Household Portfolios, Corporate Leverage, and the Supply Side of Monetary Policy
Corporate leverage affects how monetary tightening transmits to the real economy: equity holders lose wealth while safe-asset holders are cushioned, raising the sacrifice ratio.
- 25 Sep 20263fanfare
Prices and Monetary Policy: The Role of Financial Constraints
Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes.
- 25 Sep 20263fanfare
Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting
Tree-based models partition the option surface by moneyness and maturity to forecast volatility, reducing one-month-ahead errors by 13 percent versus benchmark models.
- 25 Sep 20263fanfare
Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis
In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation.
- 25 Sep 20263fanfare
Rate Risk and Rate Insurance
Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.
- 25 Sep 20262fanfare
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux
The research identifies common risk factors spanning stocks, corporate bonds, and options linked to economic indicators, revealing significant market segmentation and cross-asset hedging opportunities.
- 25 Sep 20263fanfare
Credit Card Banking
Analysis of 550 million US credit card accounts shows that despite high charge-off rates, card lenders earn 1.5% alpha and 6.8% return on assets through pricing power and non-interest income.
- 25 Sep 20263fanfare
Bank Runs With and Without Bank Failure
A database of 3,984 historical US bank runs shows runs are more likely in weak banks but often occur in strong banks; failures concentrate in fundamentally weak institutions.
- 25 Sep 20262fanfare
Taming Volatility, Feeding Crashes: Evidence from Algorithmic Trading in China's Agricultural Futures Markets
The study finds that algorithmic trading lowers realized volatility but increases tail co-movement and asymmetry in China's corn and soybean futures markets.
- 25 Sep 20262fanfare
LASH Risk and Interest Rates
The study measures liquidity risk from solvency hedging in sterling repo and swaps, finding that pre-crisis LASH risk predicted pension fund bond sales during the 2022 UK market stress.
- 25 Sep 20262fanfare
Sovereign vs. Corporate Debt and Default: More Similar Than You Think
Analysis of 20 years of US junk bonds and emerging market sovereign debt reveals surprisingly similar average returns, Sharpe ratios, default frequencies, and haircuts across the two asset classes.
- 25 Sep 20262fanfare
How Economic News Drives Implied Volatility in Agricultural Commodity Markets
Financial and macroeconomic news topics systematically predict implied volatility in corn and soybean markets, with program trading and 2008 crisis topics most robust at short horizons.
- 25 Sep 20262fanfare
Exogenous Risk, Hedging Pressure, and Risk Premia in Agricultural Commodity Markets
Traders place 15% weight on USDA crop reports relative to private priors when forming price expectations, with this anchoring weight rising when private analyst disagreement increases.
- 25 Sep 20262fanfare
Collateral policy surprises
Expansionary central bank collateral policy surprises reduce bank default risk and volatility while compressing government bond spreads, transmitting effects distinctly from asset purchases.
- 25 Sep 20262fanfare
Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting
Introducing coefficient-specific penalization into multivariate GARCH equations reduces complexity and improves out-of-sample covariance forecasts across bonds, equities, and commodities.
- 25 Sep 20262fanfare
Pension Liquidity Risk
Dutch pension funds use interest rate swaps more aggressively when underfunded, exposing themselves to margin calls exceeding 6% of assets and forcing procyclical sales of government bonds.
- 25 Sep 20262fanfare
A theory of bank liquidity requirements
The study develops a general equilibrium model of financial intermediation showing that liquidity regulation alone cannot achieve efficient allocations and requires complementary policies like bank size limits.
- 25 Sep 20262fanfare
Systemic at Home: the Persistence of a Too-Big-to-Fail Premium in Europe
European banks with assets exceeding half of home GDP enjoy at least 30 percent lower credit spreads, and this implicit subsidy persists and depends on sovereign fiscal strength.
- 27 Oct 20255shares
Forecast Disagreement & Risk Premia
Disagreement in macro forecasts raises risk premia: consumption disagreement hurts overall stock returns, while productivity disagreement particularly damages small, low-profit firms.
RePEcAsset Pricing & FactorsFeatured 14×
- 27 Oct 20255shares
Target-Benefit Pension Optimization with Jumps
Provides closed-form rules for the best benefit payouts and investment choices for a target‑benefit pension fund facing continuous and jump risks to maximize expected utility.
RePEcOtherFeatured 9×
- 27 Oct 20254shares
Early Exercise and Put Risk Premia
Accounting for optimal early exercise, American puts show less negative raw returns but more negative delta‑hedged returns than European puts, changing which option anomalies look profitable.
RePEcAsset Pricing & FactorsFeatured 8×
- 27 Oct 20254shares
Sustainable Returns and Long-Horizon Metrics
Defines a “sustainable return” (a withdrawal rate that preserves real capital) and shows that return-sequence risk and reinvesting interim cashflows are key for long-term outcomes beyond simple short-period averages.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Gamified Emotion Crowdsourcing
The J-Plus gamified app collects emotional speech to train better emotion-recognition systems while teaching and motivating users.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Abstract Classification: SVM vs BERT vs GPT-3.5
SVM vs BERT vs GPT-3.5: Compares SVM, SPECTER, BERT, and GPT-3.5 for classifying abstracts: BERT performs best, while GPT-3.5 is inconsistent with limited training data.
RePEcLLMs & TextFeatured 8×
- 27 Oct 20254shares
Spanish Anti-Abortion Networks on Twitter
Spanish anti-abortion Twitter groups are male-led, show hateful content, and coordinate around religion and right-wing politics.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Demand Forecasting for New Fashion
Fashion product demand is hard to predict, but machine learning—especially deep learning and ensembles—can make forecasts more accurate.
RePEcEconometrics & ForecastingFeatured 8×
- 24 Oct 202591shares
Reinforcement Learning for Hedging
The article introduces a novel application of reinforcement learning for efficiently managing a portfolio of over-the-counter derivatives, independent of any model.
- 24 Oct 202590shares
HighFrequency Trading Impact
The paper discusses the effects of high-frequency trading on market factors like volatility, transaction costs, and liquidity, indicating varied opinions in the financial sector.