Hundreds of quant papers from #QuantLinkADay in 2020

This has been a challenging year by pretty much any other standard. I remember when I was kid, and heard the year 2020, it sounded very exciting. It'd be like Back to the Future, with hoverboards and flying cars. Instead, 2020 has been all about the coronavirus. Whilst I've been lucky enough to be safe during this year, many have suffered tremendously. It is somewhat cliched, but at least for me I certainly appreciate the very simple things a bit more. 

Throughout this year, perhaps more than ever social media has been a key part of our lives, when it has been difficult to meet. As in previous years, I've been tweeting from @saeedamenfx, about finance, Python (and perhaps too much about burgers). As part of that I've continued to post #QuantLinkADay featuring papers (or code libraries) on topics relevant to my job, in areas ranging from FX to economics to machine learning. I've collected together all the links I've posted in the list below. I hope you find (at least) some of them useful. 

If you're interested in the list from 2016, click here or from 2017 here and also the list from 2018 and 2019. I'd also like to wish you a very merry Christmas and best of luck for 2021!

January 2020

01-Jan / Trading / Design of High-Frequency Trading Algorithm Based on Machine Learning

02-Jan / FX / Anatomy of Sudden Yen Appreciations

03-Jan / Economics / Unconventional Monetary Policy and Funding Liquidity Risk

04-Jan / Fixed Income / The Contribution of Foreign Holdings of U.S. Treasury Securities to the U.S. Long-Term Interest Rate

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To read the rest of article on the Cuemacro website, please click here!