I tweet a lot (from @saeedamenfx)! In amongst, the tweets about burgers, I tweet out a quant paper or link every day under the hashtag of #QuantLinkDay, mostly around FX, rates, economics, machine learning etc. Some are directly relevant to what we’re doing at Turnleaf Analytics forecasting inflation and other economic variables (and if you’re interested in getting a subscription of our forecasts let me know!), but many others are just stuff I find interesting, even if it’s not directly related to my job. Whilst I don’t have enough time to read every single paper I tweet out, I do check the abstract to make sure the subject it likely to be relevant.
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 2023, I’m doing exactly that again. Below you’ll find all the #QuantLinkADay links collected together for 2023. 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, 2021 and 2022. I’d also hope readers had a very Merry Christmas and best of luck for 2024!
2023 #QuantLinkADay papers
01-Jan / Economics / Tail Risk around FOMC Announcements
02-Jan / Economics / Information Acquisition ahead of Monetary Policy Announcements
03-Jan / Economics / Monetary Policy When the Central Bank Shapes Financial-Market Sentiment
04-Jan / Economics / Muth’s Hypothesis Under Knightian Uncertainty: A Novel Account of Inflation Forecasts
05-Jan / FX / Exchange Rate Pass-Through to Food and Energy Consumer Price Inflation
06-Jan / Equities / Nowcasting Stock Implied Volatility with Twitter
07-Jan / Equities / Democratization of Retail Trading: Can Reddit’s WallStreetBets Outperform Investment Bank Analysts?
08-Jan / Economics / House Prices and Rents in the 21st Century
09-Jan / Machine Learning / Reinforcement Learning for CVA hedging
10-Jan / Machine Learning / A Primer on Natural Language Processing for Finance (via ChatGPT3)
11-Jan / Trading / Long-Term Returns Estimation of Leveraged Indexes and ETFs
12-Jan / Economics / What Drives Inflation? Disentangling Demand and Supply Factors
13-Jan / Economics / Households’ Probabilistic Inflation Expectations in High-Inflation Regimes
14-Jan / FX / Macro News Effects on Exchange Rates: Difference between Carry Trade Target and Safe-haven Currencies
15-Jan / Economics / Aggregate Implications of Heterogeneous Inflation Expectations: The Role of Individual Experience
16-Jan / Machine Learning / Stock market forecasting using DRAGAN and feature matching
17-Jan / Economics / The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model
18-Jan / Economics / Post-COVID Inflation Dynamics: Higher for Longer
19-Jan / Machine Learning / The Impact of Macroeconomic Environment on Economic Preference: Evidence from Machine Learning and Cross-Country Comparison
20-Jan / Trading / Price impact in equity auctions: zero, then linear
21-Jan / Trading / Equilibrium Yield Curves with Imperfect Information
22-Jan / Economics / Job-to-Job Mobility and Inflation
23-Jan / FX / Dollar Bond, Foreign Discount and Exchange Rate Risk
24-Jan / FX / Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination
25-Jan / Fixed Income / Bond supply, price drifts and liquidity provision before central bank announcements
26-Jan / Economics / Recession Signals and Business Cycle Dynamics: Tying the Pieces Together
27-Jan / Economics / Bad News, Good News: Coverage and Response Asymmetries
28-Jan / FX / Understanding the Strength of the Dollar
29-Jan / Economics / The impact of risk cycles on business cycles: a historical view
30-Jan / Economics / The Probability Conflation: A Reply
31-Jan / Economics / DSGE Model Forecasting: Rational Expectations vs. Adaptive Learning
01-Feb / Equities / The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck
02-Feb / FX / Performance attribution with respect to interest rates, FX, carry, and residual market risks
03-Feb / Economics / Information Acquisition Ahead of Monetary Policy Announcements
04-Feb / Trading / A mathematical framework for modelling order book dynamics
05-Feb / Trading / Nowhere to Hide: Time-Varying Inflation Risk and Bond-Stock Correlation
06-Feb / Economics / Sparse Trend Estimation
07-Feb / Machine Learning / Modeling and Simulation of Financial Returns under Non-Gaussian Distributions
08-Feb / Trading / Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective
09-Feb / Economics / How Do Adaptive Learning Expectations Rationalize Stronger Monetary Policy Response in Brazil?
10-Feb / Machine Learning / Characterizing Financial Market Coverage using Artificial Intelligence
11-Feb / Machine Learning / Applying Machine Learning to SEC 13F Investment Manager Filings for Portfolio Construction and Rebalancing
12-Feb / Trading / Passive Ownership and Short Selling
13-Feb / Machine Learning / Machine Learning methods in climate finance: a systematic review
14-Feb / Economics / Macro Effects of Formal Adoption of Inflation Targeting
15-Feb / Economics / Assessing the pass-through of energy prices to inflation in the euro area
16-Feb / Cryptocurrencies / Silkswap: An asymmetric automated market maker model for stablecoins
17-Feb / Cryptocurrencies / Crypto Trading and Bitcoin Prices: Evidence from a New Database of Retail Adoption
18-Feb / Economics / How Costly Will Reining in Inflation Be? It Depends on How Rational We are
19-Feb / Fixed Income / Liquidity Prediction in the Corporate Bond Market
20-Feb / Economics / Do Professional Forecasters’ Phillips Curves Incorporate the Beliefs of Others?
21-Feb / Machine Learning / SPX, VIX and scale-invariant LSV
22-Feb / Economics / Credibility Gains from Communicating with the Public: Evidence from the ECB’s New Monetary Policy Strategy
23-Feb / Machine Learning / Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
24-Feb / Machine Learning / Creating Disasters: Recession Forecasting with GAN-Generated Synthetic Time Series Data
25-Feb / Machine Learning / Using Earth Observation Products to Predict Maize Prices in Southern Africa
26-Feb / Machine Learning / Co-Trading Networks for Modeling Dynamic Interdependency Structures and Estimating High-Dimensional Covariances in US Equity Markets
27-Feb / Trading / Factor-Based Portfolio Optimization
28-Feb / Economics / Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations
01-Mar / Economics / The US, Economic News, and the Global Financial Cycle
02-Mar / Economics / The 2020-2022 Inflation Surge Across Europe: A Phillips-Curve-Based Dissection
03-Mar / FX / Investor Attention to News on Financial Integration and Currency Returns
04-Mar / Economics / The euro area great inflation surge
05-Mar / Economics / Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press
06-Mar / Economics / Fiscal Policy in the Bundestag: Textual Analysis and Macroeconomic Effects
07-Mar / Economics / Mapping inflation dynamics
08-Mar / Economics / Weighted Median Inflation Around the World: A Measure of Core Inflation
09-Mar / Machine Learning / Feature Selection for Forecasting
10-Mar / Trading / Sector Level Equity Returns Predictability with Machine Learning and Market Contagion
11-Mar / Cryptocurrencies / NFT Bubbles
12-Mar / Cryptocurrencies / Forecasting the movements of Bitcoin prices: an application of machine learning algorithms
13-Mar / Machine Learning / Real Option Pricing using Quantum Computers
14-Mar / Machine Learning / Time Series Forecasting with Transformer Models and Application to Asset Management
15-Mar / Machine Learning / Probabilistic forecasting with Factor Quantile Regression: Application to electricity trading
16-Mar / Code / ArcticDB: time series database from @ManQuantTech
17-Mar / Economics / Inflation and Asset Returns
18-Mar / FX / Portfolio Capital Flows and the US Dollar Exchange Rate: Viewed from the Lens of Time and Frequency Dynamics of Connectedness
19-Mar / Machine Learning / Prediction of Financial Crisis Events Using Graph Neural Network Model: Based on Inter-Industry Spillover Information
20-Mar / Machine Learning / GPTs are GPTs: An Early Look at the Labor Market Impact Potential of Large Language Models
21-Mar / Machine Learning / Time-Varying Stock Return Correlation, News Shocks, and Business Cycles
22-Mar / Economics / Liquidity Dependence and the Waxing and Waning of Central Bank Balance Sheets
23-Mar / Trading / High-Frequency Volatility Estimation with Fast Multiple Change Points Detection
24-Mar / Trading / Caught by Surprise: How Markets Respond to Macroeconomic News
25-Mar / Trading / A Unified Framework for Fast Large-Scale Portfolio Optimization
26-Mar / Machine Learning / Style Miner: Find Significant and Stable Explanatory Factors in Time Series with Constrained Reinforcement Learning
27-Mar / Trading / Portfolio Optimization with Relative Tail Risk
28-Mar / Machine Learning / Accurate solution of the Index Tracking problem with a hybrid simulated annealing algorithm
29-Mar / Machine Learning / BloombergGPT: A Large Language Model for Finance
30-Mar / Trading / Dark Matter in (Volatility and) Equity Option Risk Premiums
31-Mar / FX / Foreign Exchange Swap Liquidity
01-Apr / Economics / Inflation, Monetary Policy, and Portfolio Decisions of U.S. Households
02-Apr / Machine Learning / Identifying Financial Crises Using Machine Learning on Textual Data
03-Apr / Trading / Asset Allocation and Risk Taking Under Different Interest Rate Regimes
04-Apr / Economics / How to Limit the Spillover from an Inflation Surge to Inflation Expectations?
05-Apr / Trading / Optimal Trading in Automatic Market Makers with Deep Learning
06-Apr / Cryptocurrencies / Statistical properties of volume in the Bitcoin/USD market
07-Apr / Cryptocurrencies / Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow
08-Apr / Economics / Drivers of the Global Financial Cycle
09-Apr / Trading / Rough volatility, path-dependent PDEs and weak rates of convergence
10-Apr / FX / Foreign Exchange Swap Liquidity
11-Apr / Cryptocurrencies / Forecasting Cryptocurrencies Volatility Using Statistical and Machine Learning Methods: A Comparative Study
12-Apr / Trading / Towards systematic intraday news screening: a liquidity-focused approach
13-Apr / Machine Learning / Financial Time Series Forecasting using CNN and Transformer
14-Apr / Machine Learning / Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach
15-Apr / Machine Learning / Machine Learning for Economics Research: When What and How?
16-Apr / Machine Learning / Investigating Long-Term Short Pairing Strategies for Leveraged Exchange-Traded Funds Using Machine Learning Techniques
17-Apr / Machine Learning / Can ChatGPT Decipher Fedspeak?
18-Apr / Trading / Spillover between Investor Sentiment and Volatility:The Role of Social Media
19-Apr / Cryptocurrencies / Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies
20-Apr / Machine Learning / Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
21-Apr / Machine Learning / Parameterized Neural Networks for Finance
22-Apr / Machine Learning / Leveraging Textual Information for Social Media News Categorization and Sentiment Analysis
23-Apr / Machine Learning / Managers’ Use of Humor on Public Earnings Conference Calls (it appears finance folks are the least funny.. see chart below..)
24-Apr / Trading / Monetary Transmission and Portfolio Rebalancing: A Cross-Sectional Approach
25-Apr / Economics / Monetary Policy Shocks and Inflation Inequality
26-Apr / Economics / What Does the CDS Market Imply for a U.S. Default?
27-Apr / Economics / Slaying the Beast: The Bank of Canada’s Ongoing Battle with Inflation
28-Apr / Machine Learning / Learning Volatility Surfaces using Generative Adversarial Networks
29-Apr / Machine Learning / Spillover between Investor Sentiment and Volatility: The Role of Social Media
30-Apr / Cryptocurrencies / Crypto Losses
01-May / FX / What is the Most Prominent Reserve Indicator that Forewarns Currency Crises?
02-May / Economics / Co2 Emissions and Corporate Performance: Japan’s Evidence with Double Machine Learning
03-May / Trading / Explainable Machine Learning for High Frequency Trading Dynamics Discovery
04-May / Economics / Nowcasting economic activity using transaction payments data
05-May / Cryptocurrencies / Predicting the Price Movement of Cryptocurrencies Using Linear Law-based Transformation
06-May / Machine Learning / The geometry of financial institutions — Wasserstein clustering of financial data
07-May / Options / Volatility of Volatility and Leverage Effect from Options
08-May / FX / Blowing against the Wind? a Narrative Approach to Central Bank Foreign Exchange Intervention
09-May / Economics / Jointly Estimating Macroeconomic News and Surprise Shocks
10-May / Economics / Carbon Pricing and Inflation Expectations: Evidence from France
11-May / Economics / The Role of Wages in Trend Inflation: Back to the 1980s?
12-May / Cryptocurrencies / What is mature and what is still emerging in the cryptocurrency market?
13-May / Equities / Why Students Trade? The Analysis of Young Investors behavior
14-May / Economics / Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model
15-May / Cryptocurrencies / Segmenting Bitcoin Transactions for Direction of Price Movement Prediction
16-May / Economics / How We Missed the Inflation Surge: An Anatomy of Post-2020 Inflation Forecast Errors
17-May / Machine Learning / Measuring Consistency in Text-based Financial Forecasting Models
18-May / Economics / Bad News, Good News: Coverage and Response Asymmetries
19-May / Economics / Excess Reserves and Monetary Policy Tightening
20-May / Economics / Recovery of 1933
21-May / Economics / How inflation varies across Spanish households
22-May / Machine Learning / Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation
23-May / FX / The Impacts of Global Risk and US Monetary Policy on US Dollar Exchange Rates and Excess Currency Returns
24-May / Cryptocurrencies / Stablecoins Versus Tokenised Deposits: Implications for the Singleness of Money
25-May / Economics / More than Words: Twitter Chatter and Financial Market Sentiment
26-May / Economics / What is Measured in National Accounts?
27-May / Economics / Fed Communication, News, Twitter, and Echo Chambers
28-May / Economics / Measuring Job Loss during the Pandemic Recession in Real Time with Twitter Data
29-May / Economics / What Caused the U.S. Pandemic-Era Inflation?
30-May / Economics / Monetary Policy Transmission Through Online Banks
31-May / Economics / Breaks in the Phillips Curve: Evidence from Panel Data
01-Jun / Trading / The Cost of Misspecifying Price Impact
02-Jun / Economics / Spillovers to Emerging Markets from US Economic News and Monetary Policy
03-Jun / Economics / It’s Never Different: Fiscal Policy Shocks and Inflation
04-Jun / Fixed Income / Trading the ECB: Anticipating the Conduct of Monetary Policy
05-Jun / Trading / A systematic literature review on solution approaches for the index tracking problem in the last decade
06-Jun / Economics / What is Measured in National Accounts?
07-Jun / Machine Learning / Forecasting Fiscal Crises in Emerging Markets and Low-income Countries with Machine Learning Models
08-Jun / Economics / Mind Your Language: Market Responses to Central Bank Speeches
09-Jun / Economics / International Spillovers of ECB Interest Rates: Monetary Policy & Information Effects
10-Jun / Cryptocurrencies / Inside the Mind of Bitcoin Investors: A Four-Factor Model
11-Jun / FX / Dollar Exchange Rate Volatility and Productivity Growth in Emerging Markets: Evidence from Firm Level Data
12-Jun / Economics / Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
13-Jun / FX / Quasi-Fiscal Implications of Central Bank Crisis Interventions
14-Jun / Economics / Central Bank Communication and Trust: An Experimental Study on the European Central Bank and the General Public
15-Jun / Economics / Unraveling Producer Price Inflation Pass-Through: Quantification, Structural Breaks, and Causal Direction
16-Jun / Machine Learning / FinGPT: Open-Source Financial Large Language Models
17-Jun / Machine Learning / Large Generative AI Models vs Smaller Parameter Models with More Data: A Comprehensive Literature Review
18-Jun / FX / The Financial Channel of the Exchange Rate and Global Trade
19-Jun / Economics / Anatomy of the Phillips Curve: Micro Evidence and Macro Implications
20-Jun / Economics / Estimates of Cost-Price Passthrough from Business Survey Data
21-Jun / Trading / FLAIR: A Metric for Liquidity Provider Competitiveness in Automated Market Makers
22-Jun / Machine Learning / Bloated Disclosures: Can ChatGPT Help Investors Process Financial Information?
23-Jun / Fixed Income / The “Hairy” Premium
24-Jun / Machine Learning / Instruct-FinGPT: Financial Sentiment Analysis by Instruction Tuning of General-Purpose Large Language Models
25-Jun / Equities / Stock Return Skewness and the Cross Section of Monetary Policy Announcement Premiums
26-Jun / Equities / Social Media Emotions and IPO Returns
27-Jun / Economics / Monetary policy and financial markets: evidence from Twitter traffic
28-Jun / FX / Currency Risk Premiums: A Multi-Horizon Perspective
29-Jun / Equities / The Price of Macroeconomic Uncertainty: Evidence from Daily Options
30-Jun / FX / Exchange Rates, US Monetary Policy and the Global Portfolio Flows
01-Jul / Economics / Monetary Policy Transmission Through Online Banks
02-Jul / Cryptocurrencies / Decomposing cryptocurrency dynamics into recurring and noisy components
03-Jul / Economics / Non-Response Bias in Household Inflation Expectations Surveys
04-Jul / Economics / Nonlinear Spillover Effects of US Financial Uncertainty
05-Jul / FX / External Shocks, Policies, and Tail-Shifts in Real Exchange Rates
06-Jul / Machine Learning / From Portfolio Optimization to Quantum Blockchain and Security: A Systematic Review of Quantum Computing in Finance
07-Jul / Economics / Inflation and Real Activity over the Business Cycle
08-Jul / Machine Learning / Predicting Equity Returns with Forecast Combinations of Deep Learning and Ensemble Methods
09-Jul / Equities / Decomposing Climate Risks in Stock Markets
10-Jul / Economics / Is High Debt Constraining Monetary Policy? Evidence from Inflation Expectations
11-Jul / Economics / Inflation Literacy, Inflation Expectations, and Trust in the Central Bank: A Survey Experiment
12-Jul / Economics / What caused the US pandemic-era inflation?
13-Jul / Machine Learning / Data-driven Methods for Simulation and Forecasting of Financial Time Series
14-Jul / FX / Capital Outflows, Foreign Exchange Intervention and Reserve Requirements
15-Jul / Commodities / Commodity Inflation Risk Premium and Stock Market Returns
16-Jul / Trading / Systemic risk indicator based on implied and realized volatility
17-Jul / Machine Learning / Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies
18-Jul / Economics / Commodity Price Pass-Through and Inflation in Japan: a Nonlinear Time Series Analysis
19-Jul / Economics / Density Forecasts of Inflation: A Quantile Regression Forest Approach
20-Jul / Trading / Fast and Furious: A High-Frequency Analysis of Robinhood Users’ Trading Behavior
21-Jul / Machine Learning / FinGPT: Democratizing Internet-scale Data for Financial Large Language Models
22-Jul / Machine Learning / Deep Reinforcement Learning for ESG financial portfolio management
23-Jul / Economics / Tell Me Something I Don’t Already Know: Learning in Low and High-Inflation Settings
24-Jul / Economics / Forward Looking Exporters
25-Jul / Economics / Monetary Policy and Mergers and Acquisitions
26-Jul / Economics / The Global Transmission of Real Economic Uncertainty
27-Jul / Machine Learning / Sports Betting: an application of neural networks and modern portfolio theory to the English Premier League
28-Jul / FX / Dealer Risk Premiums in FX Forecasts
29-Jul / Economics / Why Does the Yield Curve Predict GDP Growth? The Role of Banks
30-Jul / Economics / A Comment on Monetary Policy and Rational Asset Price Bubbles
31-Jul / Machine Learning / Expert Aggregation for Financial Forecasting
01-Aug / Economics / Inflation Expectations and Price Setting Behavior of Firms
02-Aug / Trading / Understanding the least well-kept secret of high-frequency trading
03-Aug / Economics / Your Friends, Your Credit: Social Capital Measures Derived from Social Media and the Credit Market
04-Aug / Economics / Keep it Simple: Central Bank Communication and Asset Prices
05-Aug / Economics / Predicting Financial Crises: The Role of Asset Prices
06-Aug / Trading / Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
07-Aug / Economics / Underlying Inflation and Asymmetric Risks
08-Aug / FX / Intervening Against the Fed
09-Aug / Economics / Tail Risks of Inflation in India
10-Aug / Commodities / How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises
11-Aug / FX / The Trade Imbalance Network and Currency Returns
12-Aug / Economics / Forecasting CPI Inflation Components With Hierarchical Recurrent Neural Networks
13-Aug / Machine Learning / “Generate” the Future of Work through AI: Empirical Evidence from Online Labor Markets
14-Aug / Economics / The Pass-Through from Inflation Perceptions to Inflation Expectations
15-Aug / Economics / Contagion Effects of the Silicon Valley Bank Run
16-Aug / FX / On the Empirical Relevance of the Exchange Rate as a Shock Absorber at the Zero Lower Bound
17-Aug / Economics / Options on Interbank Rates and Implied Disaster Risk
18-Aug / Machine Learning / Company Similarity using Large Language Models
19-Aug / Machine Learning / A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs
20-Aug / Economics / Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications
21-Aug / Economics / The Housing Supply Channel of Monetary Policy
22-Aug / Economics / The Inflation Attention Threshold and Inflation Surges
23-Aug / Economics / Stagflationary Stock Returns and the Role of Market Power
24-Aug / Trading / Network Momentum across Asset Classes
25-Aug / FX / The Dominant Currency Financing Channel of External Adjustment
26-Aug / Economics / Consumers’ Perspectives on the Recent Movements in Inflation
27-Aug / Economics / Agree to Disagree: Measuring Hidden Dissents in FOMC Meetings
28-Aug / Machine Learning / American Stories: A Large-Scale Structured Text Dataset of Historical U.S. Newspapers
29-Aug / Cryptocurrencies / The Crypto Cycle and US Monetary Policy
30-Aug / Economics / Panel Nowcasting for Countries Whose Quarterly GDPs are Unavailable
31-Aug / Machine Learning / Machine Learning and Deep Learning Forecasts of Electricity Imbalance Prices
01-Sep / Machine Learning / Geopolitical Risk Index for Nigeria
02-Sep / Machine Learning / Linking microblogging sentiments to stock price movement: An application of GPT-4
03-Sep / Machine Learning / Breaking the Bank with ChatGPT: Few-Shot Text Classification for Finance
04-Sep / Cryptocurrencies / Inflation Expectation and Cryptocurrency Investment
05-Sep / FX / Price Formation in the Foreign Exchange Market
06-Sep / Machine Learning / Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network
07-Sep / Machine Learning / Classification of RBA Monetary Policy Announcements Using ChatGPT
08-Sep / Machine Learning / Effects of the ECB’s Communication on Government Bond Spreads
09-Sep / Machine Learning / Econometrics of Machine Learning Methods in Economic Forecasting
10-Sep / Economics / How Large Are Inflation Revisions? The Difficulty of Monitoring Prices in Real Time
11-Sep / Economics / Are Real Assets Owners Less Averse to Inflation? Evidence from Consumer Sentiments and Inflation Expectations
12-Sep / Machine Learning / Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market
13-Sep / Machine Learning / The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?
14-Sep / Machine Learning / Decoding Financial Crises: Analyzing Predictors and Evolution
15-Sep / Machine Learning / Machine Learning Applied to Active Fixed-income Portfolio Management: A Lasso Logit Approach
16-Sep / Data / A compendium of data sources for data science, machine learning, and artificial intelligence
17-Sep / Trading / C++ Design Patterns for Low-latency Applications Including High-frequency Trading
18-Sep / Machine Learning / New News is Bad News
19-Sep / Economics / One Hundred Inflation Shocks: Seven Stylized Facts
20-Sep / Options / Derivatives Sensitivities Computation under Heston Model on GPU
21-Sep / FX / An Unconventional FX Tail Risk Story
22-Sep / Machine Learning / Transformers versus LSTMs for electronic trading
23-Sep / Machine Learning / Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies
24-Sep / Economics / What is Driving Inflation—Besides the Usual Culprits?
25-Sep / FX / Granular banking flows and exchange-rate dynamics
26-Sep / FX / Foreign exchange hedging using regime-switching models: the case of pound sterling
27-Sep / Fixed Income / A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market
28-Sep / Economics / The Accuracy of Job Seekers’ Wage Expectations
29-Sep / Trading / Implementing portfolio risk management and hedging in practice
30-Sep / Economics / Startup success prediction and VC portfolio simulation using CrunchBase data
01-Oct / Economics / Can ChatGPT Predict Future Interest Rate Decisions?
02-Oct / Economics / The Expectations of Others
03-Oct / Economics / Central Bank Communication by??? The Economics of Public Policy Leaks
04-Oct / Machine Learning / Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis
05-Oct / Economics / Does Monetary Policy Shape the Path to Carbon Neutrality?
06-Oct / Economics / Identifying News Shocks from Forecasts
07-Oct / Machine Learning / One Question at a Time! A Text Mining Analysis of the ECB Q&A Session
08-Oct / Economics / The Swaps Strike Back: Evaluating Expectations of One-Year Inflation
09-Oct / FX / US Interest Rate Surprises and Currency Returns
10-Oct / Machine Learning / FinGPT: Instruction Tuning Benchmark for Open-Source Large Language Models in Financial Datasets
11-Oct / Machine Learning / Extending Insights into ESG Ratings: A Combined Approach of Panel Data Regression and Machine Learning for Abnormal Returns and Volatility Analysis
12-Oct / Economics / Reassessing GDP Growth in Countries with Statistical Shortcomings – a Case Study on Turkmenistan
13-Oct / Economics / Price Setting on the Two Sides of the Atlantic: Evidence from Supermarket-Scanner Data
14-Oct / Economics / Financial Conditions in Europe: Dynamics, Drivers, and Macroeconomic Implications
15-Oct / Economics / Real-Time Uncertainty in Estimating Bias in Macroeconomic Forecasts
16-Oct / FX / Skewness Risk Premia and the Cross-Section of Currency Returns
17-Oct / Trading / Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies
18-Oct / FX / Global Flight to Safety, Business Cycles, and the Dollar
19-Oct / Economics / Narrative Monetary Policy Uncertainty
20-Oct / Machine Learning / Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
21-Oct / Machine Learning / A Deep Learning Analysis of Climate Change, Innovation, and Uncertainty
22-Oct / Economics / Inflation, Fiscal Policy and Inequality
23-Oct / Machine Learning / Learning from News
24-Oct / Economics / What Does the CDS Market Imply for a U.S. Default?
25-Oct / Machine Learning / Towards reducing hallucination in extracting information from financial reports using Large Language Models
26-Oct / Economics / Inflation (In)Attention, Media, and Central Bank Trust
27-Oct / Economics / Can You Improve Upon the GDP Forecasts of Professional Forecasters?
28-Oct / Machine Learning / From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI
29-Oct / Commodities / Monetary Policy Transmission Through Commodity Prices
30-Oct / Economics / Foreign economic policy uncertainty shocks and real activity in the Euro area
31-Oct / Cryptocurrencies / Reconciling Open Interest with Traded Volume in Perpetual Swaps
01-Nov / FX / Linkages among the Foreign Exchange, Stock, and Bond Markets in Japan and the United States
02-Nov / Equities / From the Top Down: Does Corruption Affect Performance?
03-Nov / Machine Learning / Maximizing Portfolio Predictability with Machine Learning
04-Nov / Economics / What is a Labor Market? Classifying Workers and Jobs Using Network Theory
05-Nov / Fixed Income / Relationship discounts in corporate bond trading
06-Nov / Economics / GDP revisions are not cool: the impact of statistical agencies’ trade-off
07-Nov / Economics / Monetary Policy Transmission Heterogeneity: Cross-Country Evidence
08-Nov / FX / Volatility Connectedness on the Central European Forex Markets
09-Nov / Economics / Euro Area Inflation and a New Measure of Core Inflation
10-Nov / Economics / Hawkish or Dovish Fed? Estimating a Time-Varying Reaction Function of the Federal Open Market Committee’s Median Participant
11-Nov / Machine Learning / Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
12-Nov / FX / Mispricing and Risk Premia in Currency Markets
13-Nov / Cryptocurrencies / Global and local drives of Bitcoin trading vis-a-vis fiat currencies
14-Nov / Economics / Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database
15-Nov / Economics / The Effects of the Federal Reserve Chair’s Testimony on Interest Rates and Stock Prices
16-Nov / Machine Learning / Quantum Computing for Financial Mathematics
17-Nov / Machine Learning / Natural Language Processing for Financial Regulation
18-Nov / Economics / Inflation Expectations and the Persistence of Unanticipated Inflation
19-Nov / Economics / Quantifying the Macroeconomic Impact of Credit Expansions,
20-Nov / Economics / Monetary/fiscal policy regimes in post-war Europe
21-Nov / Machine Learning / Earnings Prediction Using Recurrent Neural Networks
22-Nov / Machine Learning / Large Language Models in Finance: A Survey
23-Nov / Trading / Short-term Volatility Estimation for High Frequency Trades using Gaussian processes (GPs)
24-Nov / Machine Learning / Measure of Dependence for Financial Time-Series
25-Nov / Machine Learning / A simulated electronic market with speculative behaviour and bubble formation
26-Nov / Economics / Supply Chain Constraints and Inflation
27-Nov / Economics / Interest Rate Exposures of Non-Banks: Market Concentration and Monetary Policy Implications
28-Nov / Machine Learning / Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe
29-Nov / Machine Learning / Generative Machine Learning for Multivariate Equity Returns
30-Nov / Machine Learning / Credit Risk and Artificial Intelligence: On the Need for Convergent Regulation
01-Dec / Machine Learning / Benchmarking Large Language Model Volatility
02-Dec / Machine Learning / The Materiality of Risk Factor Disclosures through a Structural Topic Model
03-Dec / Trading / The two square root laws of market impact and the role of sophisticated market participants
04-Dec / Economics / The International Spillovers of Synchronous Monetary Tightening
05-Dec / Cryptocurrencies / Crypto Wash Trading: Direct vs. Indirect Estimation
06-Dec / Machine Learning / Leading-edge Artificial intelligence (AI)-powered financial forecasting for shaping the future of investment strategies
07-Dec / Machine Learning / Corporate Bankruptcy Prediction with Domain-Adapted BERT
08-Dec / Machine Learning / AI and Jobs: Has the Inflection Point Arrived? Evidence from an Online Labor Platform
09-Dec / Economics / Inflation and fiscal policy: is there a threshold effect in the fiscal reaction function?
10-Dec / Economics / Global spillovers from multi-dimensional US monetary policy
11-Dec / Trading / The High Frequency Effects of Dollar Swap Lines
12-Dec / Machine Learning / Deep Reinforcement Learning: Policy Gradients for US Equities Trading
13-Dec / Machine Learning / Detecting Toxic Flow
14-Dec / Economics / Do debt investors care about ESG ratings?
15-Dec / Economics / Do Household Inflation Expectations Respond to Macroeconomic Data Releases?
16-Dec / FX / Which Exchange Rate Matters to Global Investors?
17-Dec / FX / Exchange rate shocks and equity prices: the role of currency denomination
18-Dec / Economics / Lessons from Nowcasting GDP across the World
19-Dec / Economics / Financial contagion within the interbank network
20-Dec / Economics / The Impact of Credit Market Sentiment Shocks
21-Dec / Trading / Twitter Permeability to financial events: an experiment towards a model for sensing irregularities
22-Dec / FX / The green sin: how exchange rate volatility and financial openness affect green premia
23-Dec / Economics / Heterogeneous Expectations among Professional Forecasters
24-Dec / Economics / Forecasting Core Inflation and Its Goods, Housing, and Supercore Components
25-Dec / Economics / The Transmission of Supply Shocks in Different Inflation Regimes
26-Dec / Economics / Point and Risk Estimation Using an Ensemble of Models for Nowcasting: Prism-Now