I tweet a lot (from @saeedamenfx and at BlueSky at @saeedamenfx.bsky.social)! 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 2024, I’m doing exactly that again. Below you’ll find all the #QuantLinkADay links collected together for 2024. 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, 2022 and 2023. I’d also hope readers had a very Merry Christmas and best of luck for 2025!
01-Jan / FX / Exotic Currencies and the Frontier Premium in Foreign Exchange Markets
02-Jan / Machine Learning / Causal Discovery in Financial Markets: A Framework for Nonstationary Time-Series Data
03-Jan / Economics / European Football Player Valuation: Integrating Financial Models and Network Theory
04-Jan / Trading / Intraday Trading Algorithm for Predicting Cryptocurrency Price Movements Using Twitter Big Data Analysis
05-Jan / Economics / The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI
06-Jan / Economics / The Effects of Interest Rate Increases on Consumers’ Inflation Expectations: The Roles of Informedness and Compliance
07-Jan / Economics / Inflation Indexation: Current International Practices
08-Jan / Cryptocurrencies / The Risk and Return of Cryptocurrency Carry Trade
09-Jan / Economics / The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI
10-Jan / Economics / Supply chain disruption and energy supply shocks: impact on euro area output and prices
11-Jan / Machine Learning / Can Large Language Models Beat Wall Street? Unveiling the Potential of AI in Stock Selection
12-Jan / Economics / Quantifying Forward Guidance and Yield Curve Control
13-Jan / Economics / (Almost) 200 years of News Based Economic Sentiment
14-Jan / Machine Learning / Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin
15-Jan / Economics / What Explains Global Inflation
16-Jan / FX / An Intermediation-Based Model of Exchange Rates
17-Jan / Machine Learning / SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
18-Jan / Economics / The New York Fed DSGE Model: A Post-Covid Assessment
19-Jan / Cryptocurrencies / Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets
20-Jan / Cryptocurrencies / Central Bank Digital Currency: when price and bank stability collide
21-Jan / Economics / Is Post-Pandemic Wage Growth Fueling Inflation?
22-Jan / Economics / Quantitative easing and the functioning of the gilt repo market
23-Jan / Machine Learning / Towards Automating Causal Discovery in Financial Markets and Beyond
24-Jan / Economics / Getting through: communicating complex information
25-Jan / Machine Learning / Nowcasting Madagascar’s real GDP using machine learning algorithms
26-Jan / Machine Learning / Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review
27-Jan / Economics / Inflation heterogeneity across Austrian households. Evidence from household scanner data
28-Jan / Economics / Monetary Policy Pass-Through to Interest Rates: Stylized Facts from 30 European Countries
29-Jan / Economics / Do Granular Shocks Generate Sizeable Aggregate Volatility?
30-Jan / Economics / Satellites turn “concrete”: tracking cement with satellite data and neural networks
31-Jan / FX / On the Effectiveness of Foreign Exchange Intervention: The Role of Domestic Fundamentals
01-Feb / Machine Learning / Sentiment Trading with Large Language Models
02-Feb / Commodities / The role of comovement and time-varying dynamics in forecasting commodity prices
03-Feb / Commodities / Reasons Behind Words: OPEC Narratives and the Oil Market
04-Feb / Economics / Asymmetric expectations of monetary policy
05-Feb / Economics / The Informational Centrality of Banks
06-Feb / Machine Learning / Machine Learning for Continuous-Time Finance
07-Feb / Machine Learning / Air Quality Forecasting Using Machine Learning: A Global Perspective with Relevance to Low-Resource Settings
08-Feb / FX / Political uncertainty and currency markets
09-Feb / Economics / The Rise of Inflation Targeting
10-Feb / FX / Forecasting Bid-Ask Spreads in Foreign Exchange: Analysis and Machine Learning Prediction
11-Feb / Machine Learning / CNN-DRL with Shuffled Features in Finance
12-Feb / Machine Learning / Inflation Forecasting in India: Are Machine Learning Techniques Useful?
13-Feb / Economics / The macroeconomic effects of global supply chain reorientation
14-Feb / Economics / The role of coincident information in real-time business cycle forecasting
15-Feb / Economics / Global value chains and the dynamics of UK inflation
16-Feb / Machine Learning / Alpha-GPT 2.0: Human-in-the-Loop AI for Quantitative Investment
17-Feb / Economics / Spillover Effects of US Monetary Policy on Emerging Markets Amidst Uncertainty
18-Feb / Fixed Income / Course 2023-2024 in Portfolio Allocation and Asset Management
19-Feb / Machine Learning / Multi-Factor Timing with Deep Learning
20-Feb / Machine Learning / LLM-driven Imitation of Subrational Behavior : Illusion or Reality?
21-Feb / Economics / Gas price shocks and euro area inflation
22-Feb / Economics / Re-assessing International Effects of U.S. Monetary Policy Shocks
23-Feb / FX / Beyond Carry: The Prospective Interest Rate Differential and Currency Excess Returns
24-Feb / Economics / Carbon Prices and Inflation in the Euro Area
25-Feb / Economics / Global versus Domestic Supply Chain Disruptions: Implications for Inflation and Economic Confidence
26-Feb / Economics / The seasonality of air ticket prices before and after the pandemic
27-Feb / Machine Learning / Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying
28-Feb / FX / Managing Expectations with Exchange Rate Policy
29-Feb / Economics / What caused the euro area post-pandemic inflation?
01-Mar / Trading / Limit Order Book Simulations: A Review
02-Mar / Economics / Monetary Policy Shocks: Data or Methods?
03-Mar / Economics / Beyond the average: patterns in UK price data at the micro level
04-Mar / Economics / Monetary Policy Shocks: Data or Methods?
05-Mar / Economics / The Anatomy of Out-of-Sample Forecasting Accuracy
06-Mar / Economics / Regional inflation analysis using social network data
07-Mar / Economics / Why Survey-Based Subjective Expectations are Meaningful and Important
08-Mar / Economics / Battle of the markups: conflict inflation and the aspirational channel of monetary policy transmission
09-Mar / Economics / Global value chains and the dynamics of UK inflation
10-Mar / Fixed Income / “Whatever it Takes!” How Tonality of TV-News Affected Government Bond Yield Spreads During the European Debt Crisis
11-Mar / Economics / The Changing Drivers of Food Inflation – Macroeconomics, Inflation, and War
12-Mar / FX / Drivers of Dollar Share in Foreign Exchange Reserves
13-Mar / Economics / The Price of Money: The Reserves Convertibility Premium over the Term Structure
14-Mar / Economics / Tell Me Something I Don’t Already Know: Learning in Low and High-Inflation Settings
15-Mar / Machine Learning / Deep Limit Order Book Forecasting
16-Mar / Economics / Understanding Inflation Dynamics: The Role of Global Shocks in CEMAC
17-Mar / Economics / Monetary Policy Shocks: Data or Methods?
18-Mar / FX / Dealer Risk Limits and Currency Returns
19-Mar / Economics / ECB Macroeconometric Models for Forecasting and Policy Analysis
20-Mar / FX / Currency Risk Under Capital Controls
21-Mar / Economics / Nowcasting Macroeconomic Variables with a Sparse Mixed Frequency Dynamic Factor Model
22-Mar / Economics / Can Fiscal Consolidation Announcements Help Anchor Inflation Expectations?
23-Mar / Machine Learning / FinLlama: Financial Sentiment Classification for Algorithmic Trading Applications
24-Mar / Economics / US Monetary Policy is More Powerful in Low Economic Growth Regimes
25-Mar / Economics / Why a central bank’s bottom line doesn’t matter (that much)
26-Mar / Economics / What if China Manufactures a Sugar High?
27-Mar / Machine Learning / Two Layers Are All You Need
28-Mar / Economics / Detecting turning points in the inflation cycle
29-Mar / FX / The Causal Effects of Expected Depreciations
30-Mar / Economics / Seeing and Hearing is Believing: The Role of Audiovisual Communication in Shaping Inflation Expectations
31-Mar / Machine Learning / Technical Analysis with Machine Learning Classification Algorithms: Can it Still ‘Beat’ the Buy-and-Hold Strategy?
01-Apr / Economics / Monetary Policy Transmission in Emerging Markets: Proverbial Concerns, Novel Evidence
02-Apr / FX / Relative Monetary Policy and Exchange Rates
03-Apr / Economics / In the Driver’s Seat: Pandemic Fiscal Stimulus and Light Vehicles
04-Apr / Machine Learning / Supervised Autoencoder MLP for Financial Time Series Forecasting
05-Apr / FX / Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations
06-Apr / FX / An unconventional FX tail risk story
07-Apr / Economics / As interest rates surge: flighty deposits and lending
08-Apr / Economics / The inflationary spike in Spain between 2021 and 2023: evidence from micro data
09-Apr / Machine Learning / Regularization for electricity price forecasting
10-Apr / Economics / The Causal Effects of Expected Depreciations
11-Apr / Economics / Central Bank Exit Strategies Domestic Transmission and International Spillovers
12-Apr / Economics / Macroeconomic Expectations and Expected Returns
13-Apr / Economics / Can Energy Subsidies Help Slay Inflation?
14-Apr / Equities / Is home bias biased? New evidence from the investment fund sector
15-Apr / Machine Learning / RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data
16-Apr / Economics / Inflation Expectations, Liquidity Premia and Global Spillovers in Japanese Bond Markets
17-Apr / Economics / Twitter Market Uncertainty and Risk-Neutral Tails
18-Apr / FX / Presidential Cycles and Exchange Rates
19-Apr / Trading / Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
20-Apr / Economics / Monetary asmmetries without (and with) price stickiness
21-Apr / Machine Learning / Analysis and Mitigation of ChatGPT’s Dovish Bias on Classifying Fedspeak
22-Apr / Economics / Information in Central Bank Sentiment: An Analysis of Fed and ECB Communication
23-Apr / Economics / Four Facts about International Central Bank Communication
24-Apr / Economics / Good Inflation, Bad Inflation: Implications for Risky Asset Prices
25-Apr / FX / An Anatomy of Currency Strategies: the Role of Emerging Markets
26-Apr / Economics / Monetary Asymmetries Without (and with) Price Stickiness
27-Apr / Economics / Riding Wavelets: A Method to Discover New Classes of Price Jumps
28-Apr / Economics / Monetary policy strategies to navigate post-pandemic inflation: an assessment using the ECB’s New Area-Wide Model
29-Apr / FX / Dominant Currency Pricing in International Trade of Services
30-Apr / Economics / Long-term forecasts of statewide travel demand patterns using large-scale mobile phone GPS data: A case study of Indiana
01-May / Machine Learning / Airbnb Pricing in Sydney: Predictive Modelling and Explainable AI
02-May / Machine Learning / Trading Volume Alpha
03-May / Machine Learning / What Drives the Ambiguity about Stock Market Volatility in Europe? Insights from the V-VSTOXX
04-May / Economics / Macroeconomic Shocks and Business Inflation Expectations
05-May / Cryptocurrencies / Quantifying Price Improvement in Order Flow Auctions
06-May / FX / Time-Varying Betas in Foreign Exchange Returns: An IPCA Approach
07-May / Economics / Is There Still a Golden Dilemma?
08-May / Economics / Owner-occupied Housing Costs, Policy Communication, and Inflation Expectations
09-May / FX / Inflation and Trading
10-May / Economics / Labor Market Shocks and Monetary Policy
11-May / Economics / Investor heterogeneity and large-scale asset purchases
12-May / Economics / Tale About Inflation Tails
13-May / Economics / The Nonlinear Case Against Leaning Against the Wind
14-May / Cryptocurrencies / Microstructure and Market Dynamics in Crypto Markets
15-May / Economics / The quantity theory of money, 1870-2020
16-May / Machine Learning / Can machine learning unlock new insights into high-frequency trading?
17-May / Equities / Stock-Bond Correlation: Theory & Empirical Results
18-May / Trading / Risk-averse Dealers in a Risk-free Market – The Role of Internal Risk Limits
19-May / Economics / Finding the Goldilocks Data Collection Frequency for the Consumer Price Index
20-May / Machine Learning / The Behavioural Dynamics of Social Retail Traders
21-May / Trading / “Microstructure Modes” — Disentangling the Joint Dynamics of Prices & Order Flow
22-May / Trading / Ponzi Funds
23-May / Economics / An Analysis of Pandemic-Era Inflation in 11 Economies
24-May / Trading / Price Manipulation and Collusion around the London 4pm Fix
25-May / Economics / Is There an Information Channel of Monetary Policy?
26-May / FX / Short-Horizon Currency Expectations
27-May / Machine Learning / FinRobot: An Open-Source AI Agent Platform for Financial Applications using Large Language Models
28-May / Machine Learning / BERT vs GPT for financial engineering
29-May / Economics / First-Order and Higher-Order Inflation Expectations: Evidence about Households and Firms
30-May / Machine Learning / Modeling and Forecasting Intraday Spot Volatility
31-May / Trading / Bayesian methods for solving estimation and forecasting problems in the high-frequency trading environment
01-Jun / Trading / Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
02-Jun / Machine Learning / Predict Mini Flash Crashes from High-Frequency Data by Machine Learning
03-Jun / Trading / Constructing high-frequency monetary policy surprises from SOFR futures
04-Jun / Economics / Oil Price Fluctuations and US Banks
05-Jun / Economics / The Drivers of Market-based Inflation Expectations in the Euro Area and in the US
06-Jun / Trading / “Microstructure Modes”Disentangling the Joint Dynamics of Prices & Order Flow
07-Jun / Economics / The performance of emerging markets during the Fed’s easing and tightening cycles: a cross-country resilience analysis
08-Jun / Machine Learning / Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
09-Jun / Machine Learning / Advancing Anomaly Detection: Non-Semantic Financial Data Encoding with LLMs
10-Jun / Economics / Energy Price Shocks, Unemployment, and Monetary Policy
11-Jun / Economics / Do Renewables Shield Inflation from Fossil Fuel-Price Fluctuations?
12-Jun / Trading / Can market volumes reveal traders’ rationality and a new risk premium?
13-Jun / Economics / Framing Effects in Consumer Expectations Surveys
14-Jun / Economics / Monetary Policy Strategies to Foster Price Stability and a Strong Labor Market
15-Jun / Cryptocurrencies / PreBit — A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin
16-Jun / Trading / Information Friction in OTC Interdealer Markets
17-Jun / FX / The Green Sin: How Exchange Rate Volatility and Financial Openness Affect Green Premia
18-Jun / Economics / Newswire: A Large-Scale Structured Database of a Century of Historical News
19-Jun / Trading / Dynamic Asset Allocation with Asset-Specific Regime Forecasts
20-Jun / Economics / The Bias of the ECB Inflation Projections: a State-Dependent Analysis
21-Jun / Machine Learning / A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges
22-Jun / Commodities / Sudden Stop: Supply and Demand Shocks in the German Natural Gas Market
23-Jun / FX / Exchange Rate Overshooting: Unraveling the Puzzles
24-Jun / Fixed Income / Reinforcement Learning for Corporate Bond Trading: A Sell Side Perspective
25-Jun / Machine Learning / Learning from news, information flow, and financial markets
26-Jun / Economics / SAFE to update inflation expectations? New survey evidence on euro area firms
27-Jun / Economics / Can Earnings Calls Be Used to Gauge Labor Market Tightness?
28-Jun / Economics / The Pass-through of Gaps between Market Rent and the Price of Shelter
29-Jun / Economics / Economic Policy Uncertainty in Election Years
30-Jun / FX / Preparing for FX intervention
01-Jul / Machine Learning / LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies
02-Jul / Economics / The Slope of the Phillips Curve
03-Jul / Economics / Deciphering the Disinflation Process
04-Jul / Machine Learning / Predicting public market behavior from private equity deals
05-Jul / Economics / Forecasting Inflation Rates: A Large Panel Micro Data Approach
06-Jul / Economics / Uneven Effects of Monetary Policy: Sectoral Disparities in Credit Card Spending
07-Jul / Machine Learning / Air Quality Prediction Using Machine Learning
08-Jul / Machine Learning / Unwinding Toxic Flow with Partial Information
09-Jul / Trading / Monetary Policy Transmission Through Cross-Selling Banks*
10-Jul / Economics / Inflation Distorts Relative Prices: Theory and Evidence
11-Jul / Economics / On the Distributional Consequences of Responding Aggressively to Inflation
12-Jul / Economics / Inflation Narratives and Expectations
13-Jul / FX / Debtors, creditors, and the carry trade
14-Jul / FX / Forecasting Usd/Try Exchange Rates: A Comparative Analysis of Machine Learning and Deep Learning Models
15-Jul / Cryptocurrencies / Crypto as a Marketplace for Capital Flight
16-Jul / FX / Escaping the Financial Dollarization Trap: The Role of Foreign Exchange Intervention
17-Jul / Economics / Forecast accuracy and efficiency at the Bank of England – and how errors can be leveraged to do better
18-Jul / Economics / Friend, Not Foe – Energy Prices and European Monetary Policy
19-Jul / Economics / Futures under stress: how did gilt futures behave in the LDI crisis?
20-Jul / Economics / Analysing the VAT cut pass-through in Spain using web-scraped supermarket data and machine learning
21-Jul / Economics / The Pass‐through of Gaps between Market Rent and the Price of Shelter
22-Jul / Economics / Targeted financial conditions indices and growth-at-risk
23-Jul / Economics / Order Flow Impact and Price Formation in Centralized Crypto Exchanges
24-Jul / FX / Debtors, creditors, and the carry trade
25-Jul / Economics / Does CPI disaggregation improve inflation forecast accuracy?
26-Jul / Economics / Deciphering Delphic Guidance: The Bank of England and Brexit
27-Jul / Economics / Business Cycle Turning Points and Local Labour Markets
28-Jul / Machine Learning / Fine-Tuning Large Language Models for Stock Return Prediction Using Newsflow
29-Jul / Economics / Inflation Preferences
30-Jul / Economics / Monetary Policy Without Moving Interest Rates: The Fed Non-Yield Shock
31-Jul / Machine Learning / Traditional Methods Outperform Generative LLMs at Forecasting Credit Ratings
01-Aug / Economics / (Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves
02-Aug / Machine Learning / Optimizing transformer neural network for real-time outlier detection on FPGAs
03-Aug / Machine Learning / Deep Learning for Options Trading: An End-To-End Approach
04-Aug / Machine Learning / An Augmented Financial Intelligence Multi-Factor Model
05-Aug / Economics / Inflation (de-)anchoring in the euro area
06-Aug / Machine Learning / NeuralBeta: Estimating Beta Using Deep Learning
07-Aug / Economics / Energy Price Shocks, Monetary Policy and Inequality
08-Aug / Machine Learning / Comparative analysis of stationarity for Bitcoin and the S&P500
09-Aug / Economics / What shapes spillovers from monetary policy shocks in the United States to emerging market economies?
10-Aug / Economics / On the Mechanics of Fiscal Inflations
11-Aug / Economics / The Pass-Through to Inflation of Gas Price Shocks
12-Aug / Economics / Geopolitical risk shocks: when the size matters
13-Aug / Economics / Disinflation Progress: A Comparison of Advanced Economies
14-Aug / FX / Managing Foreign Exchange Rate Risk: Capacity Development for Public Debt Managers in Emerging Market and Low-Income Countries
15-Aug / FX / Explaining the Great Moderation Exchange Rate Volatility Puzzle
16-Aug / Machine Learning / Large Language Model Agent in Financial Trading: A Survey
17-Aug / Fixed Income / The Global Cross-Section of Corporate Bonds: Market, Maturity and Liquidity
18-Aug / Economics / What Caused the Post-Pandemic Inflation in Italy? An Application of Bernanke and Blanchard (2023)
19-Aug / Economics / Inflation Expectations with Finite Horizon Planning
20-Aug / Machine Learning / Predicting the distributions of stock returns around the globe in the era of big data and learning
21-Aug / Economics / Measurement and Theory of Core Inflation
22-Aug / Machine Learning / Causality-Inspired Models for Financial Time Series Forecasting
23-Aug / Cryptocurrencies / On Bubbles in Cryptocurrency Prices
24-Aug / Machine Learning / Open-FinLLMs: Open Multimodal Large Language Models for Financial Applications
25-Aug / Economics / ECB Spillovers to Emerging Europe: The Past and Current Experience
26-Aug / FX / EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods
27-Aug / Economics / Limited (Energy) Supply, Monetary Policy, and Sunspots
28-Aug / Economics / The Euro Area Business Cycle and its Drivers
29-Aug / Machine Learning / Inefficient Forecast Narratives: A BERT-based Approach
30-Aug / Machine Learning / Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning
31-Aug / Economics / Shock transmission, global supply chains, and development: assessing responses to trade shocks
01-Sep / Economics / Macroeconomic modelling of CBDC: a critical review
02-Sep / Economics / Inflation Tail Risk
03-Sep / Economics / The Costless Disinflation of 2022-24
04-Sep / Cryptocurrencies / Early Warning Systems for Cryptocurrency Markets: Predicting ‘Zombie’ Assets Using Machine Learning
05-Sep / Economics / Understanding Firm Dynamics with Daily Data
06-Sep / Economics / Are Professional Forecasters Overconfident?
07-Sep / Economics / When Is Shelter Services Inflation Coming Down?
08-Sep / Machine Learning / Deep Learning for Multi-Country GDP Prediction: A Study of Model Performance and Data Impact
09-Sep / Economics / Media Tone: The Role of News and Social Media on Heterogeneous Inflation Expectations
10-Sep / Economics / Narratives about the Macroeconomy
11-Sep / Machine Learning / A Two-Stage Machine Learning Method To Estimate Stock-Bond Correlation
12-Sep / Machine Learning / Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets
13-Sep / Machine Learning / The Mismeasure of Weather: Using Remotely Sensed Earth Observation Data in Economic Context
14-Sep / FX / Currencies in Turbulence: Exploring the Impact of Natural Disasters on Exchange Rates
15-Sep / Machine Learning / Regime-Switching Factor Models and Nowcasting with Big Data
16-Sep / Economics / Economic impacts of a drastic gas supply shock and short-term mitigation strategies
17-Sep / Economics / Using Density Forecast for Growth-at-Risk to Improve Mean Forecast of GDP Growth in Korea
18-Sep / Economics / Tackling the volatility paradox: spillover persistence and systemic risk
19-Sep / FX / Managing Remittances Inflows with Foreign Exchange Intervention
20-Sep / FX / The Effectiveness of Japanese FX Intervention in 2024
21-Sep / Economics / Constructing Fan Charts from the Ragged Edge of SPF Forecasts
22-Sep / FX / An Unconventional FX Tail Risk Story
23-Sep / Fixed Income / Interest Rate Uncertainty and Firm Decisions
24-Sep / Economics / An Investigation into the Uncertainty Revision Process of Professional Forecasters
25-Sep / Economics / Geopolitical Risk Perceptions
26-Sep / Machine Learning / Trading through Earnings Seasons using Self-Supervised Contrastive Representation Learning
27-Sep / Machine Learning / ChatGPT and Corporate Policies
28-Sep / FX / Monetary Policy Transmission through the Exchange Rate Factor Structure
29-Sep / Economics / What the Transcripts Reveal About the FOMC’s Pre-Emptive Easing in July 1995
30-Sep / Economics / Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model
01-Oct / Machine Learning / Explaining Machine Learning by Bootstrapping Partial Marginal Effects and Shapley Values
02-Oct / Machine Learning / Financial Sentiment Analysis on News and Reports Using Large Language Models and FinBERT
03-Oct / Economics / The Inflation Accelerator
04-Oct / FX / Dealer Risk Limits and Currency Returns
05-Oct / Economics / Do Supply Chain Disruptions Matter for Global Economic Conditions?
06-Oct / FX / The Network Drivers of Trade Currency Invoicing
07-Oct / FX / The Central Bank’s Balance Sheet in the Long Run: A Macro Perspective
08-Oct / Economics / How Income Expectations Adjust to Inflation – a Consumers’ Expectations-Revealed Pass-Through
09-Oct / Cryptocurrencies / Stablecoins, money market funds and monetary policy
10-Oct / Economics / Measuring Soft Power: A New Global Index
11-Oct / Machine Learning / Computing Systemic Risk Measures with Graph Neural Networks
12-Oct / Economics / Monetary and Fiscal Policy Interactions: Risks to Price Stability in Times of High Government Debt
13-Oct / Economics / Shockwaves of Corporate Bond Spreads: How Rising Yields Shape the Economy, Currency, and Markets
14-Oct / Economics / News Selection and Household Inflation Expectations
15-Oct / Economics / Forecasting the Price of Shelter: The Importance of the Market-Shelter Gap
16-Oct / Economics / Using the Press to Construct a New Indicator of Inflation Perceptions in France
17-Oct / Machine Learning / Volatility Forecasting in Global Financial Markets Using TimeMixer
18-Oct / Machine Learning / Modeling News Interactions and Influence for Financial Market Prediction
19-Oct / Economics / Tracking Reserve Ampleness in Real Time Using Reserve Demand Elasticity
20-Oct / Economics / Disagreement About the Term Structure of Inflation Expectations
21-Oct / Economics / Stochastic Simulation of the FR-BDF Model and an Assessment of Uncertainty around Conditional Forecasts
22-Oct / Economics / China’s Financial Spillovers to Emerging Markets
23-Oct / Economics / A statistical approach to identifying ECB monetary policy
24-Oct / Machine Learning / Conformal Predictive Portfolio Selection
25-Oct / Machine Learning / Should Central Banks Care About Text Mining? A Literature Review
26-Oct / FX / FX Interventions in a Small Open Economy: The Case of Domestic Non-Deliverable Forwards
27-Oct / Economics / Disagreement About the Term Structure of Inflation Expectations
28-Oct / Economics / Inflation and Wage Expectations of Firms and Employees
29-Oct / Economics / Monetary Base and Seigniorage in a Digital Era
30-Oct / Machine Learning / Extracting Alpha from Financial Analyst Networks
31-Oct / Economics / Do Professional Forecasters Follow Uncovered Interest Rate Parity?
01-Nov / Economics / Inflation (De-)Anchoring in the Euro Area
02-Nov / Economics / Beyond Energy: Inflationary Effects of Metals Price Shocks in Production Networks
03-Nov / Machine Learning / Exploiting Risk-Aversion and Size-dependent fees in FX Trading with Fitted Natural Actor-Critic
04-Nov / FX / Relative Monetary Policy and Exchange Rates
05-Nov / Economics / How food prices shape inflation expectations and the monetary policy response
06-Nov / Machine Learning / Evaluating Company-specific Biases in Financial Sentiment Analysis using Large Language Models
07-Nov / Economics / The Effects of Inflation Uncertainty on Firms and the Macroeconomy
08-Nov / Economics / Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
09-Nov / Economics / Resolving Puzzles of Monetary Policy Transmission in Emerging Markets
10-Nov / Machine Learning / Time-Causal VAE: Robust Financial Time Series Generator
11-Nov / Machine Learning / Enhancing literature review with LLM and NLP methods. Algorithmic trading case
12-Nov / Machine Learning / Reinforcement Learning Framework for Quantitative Trading
13-Nov / Economics / An Empirical Implementation of the Shadow Riskless Rate
14-Nov / Trading / Automated Market Making: the case of Pegged Assets
15-Nov / Machine Learning / Quantifying Qualitative Insights: Leveraging LLMs to Market Predict
16-Nov / Cryptocurrencies / How Wash Traders Exploit Market Conditions in Cryptocurrency Markets
17-Nov / Economics / New Evidence on the US Excess Return on Foreign Portfolios
18-Nov / Economics / Financial returns, sentiment and market volatility. A dynamic assessment.
19-Nov / Machine Learning / Harnessing Generative AI for Economic Insights
20-Nov / Machine Learning / Chat Bankman-Fried: an Exploration of LLM Alignment in Finance
21-Nov / FX / Foreign Exchange Interventions and Intermediary Constraints
22-Nov / Economics / Green asset pricing
23-Nov / Trading / Multiscale Markowitz
24-Nov / Economics / Inflation and Deflationary Biases in the Distribution of Inflation Expectations: Theory and Empirical Evidence from Nine Countries
25-Nov / Machine Learning / A Random Forest approach to detect and identify Unlawful Insider Trading
26-Nov / Machine Learning / MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series
27-Nov / FX / What events matter for exchange rate volatility ?
28-Nov / FX / Fund-Level FX Hedging Redux
29-Nov / FX / Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates
30-Nov / Economics / DFROG: A Nowcasting Model for GDP Growth
01-Dec / Economics / Macroeconomic Effects of Investor Superstition
02-Dec / Equities / Foreign economic policy uncertainty and U.S. equity returns
03-Dec / Machine Learning / The Promise and Peril of Generative AI: Evidence from GPT-4 as Sell-Side Analysts
04-Dec / Economics / Monetary policy pass-through to consumer prices: evidence from granular price data
05-Dec / Economics / The Inflation Accelerator
06-Dec / Economics / Zooming the Lens: Calculating the Heatflation -The Case of Turkey
07-Dec / Machine Learning / LLMForecaster: Improving Seasonal Event Forecasts with Unstructured Textual Data
08-Dec / Economics / MIDAS Meets Fisher & Friedman: Assessing QTM as a Short-Term Forecasting Device
09-Dec / Cryptocurrencies / Correlation without Factors in Retail Cryptocurrency Markets
10-Dec / Economics / Corporate Debt Maturity Matters for Monetary Policy
11-Dec / Machine Learning / Hype-Adjusted Probability Measure for NLP Volatility Forecasting
12-Dec / Machine Learning / Understanding the Impact of News Articles on the Movement of Market Index: A Case on Nifty 50
13-Dec / Machine Learning / Geometric Deep Learning for Realized Covariance Matrix Forecasting
14-Dec / Trading / A theory of passive market impact
15-Dec / Commodities / Estimating the Macroeconomic Effects of Oil Supply News
16-Dec / Machine Learning / LLMs for Time Series: an Application for Single Stocks and Statistical Arbitrage
17-Dec / Machine Learning / Financial Fine-tuning a Large Time Series Model
18-Dec / Economics / MIDAS Meets Fisher & Friedman: Assessing QTM as a Short-Term Forecasting Device
19-Dec / Economics / Inflation Disagreement Weakens the Power of Monetary Policy
20-Dec / FX / Global foreign exchange volatility, ambiguity, and currency carry trades
21-Dec / Machine Learning / Enhanced Momentum with Momentum Transformers
22-Dec / FX / The Best Strategies for FX Hedging
23-Dec / Economics / Nowcasting Made Easier: a toolbox for economists
24-Dec / Economics / Trust in Central Banks
25-Dec / Economics / Rate Cycles
26-Dec / Cryptocurrencies / Developing Cryptocurrency Trading Strategy Based on Autoencoder-CNN-GANs Algorithms
27-Dec / Cryptocurrencies / Regime Dependent Dynamics of Parallel and Official Exchange Markets in China: Evidence from Cryptocurrency
28-Dec / Economics / Financial Stability and Nominal GDP Targeting
29-Dec / Economics / Chinese Housing Market Sentiment Index
30-Dec / Economics / G3MOD: A Multi-Country Global Forecasting Model
31-Dec / Economics / Navigating a Fragmenting Global Trading System: Insights for Central Banks