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Content
2018
- 1809.07401 Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing
by Helder Rojas & David Dias
- 1809.07300 Pricing American Options by Exercise Rate Optimization
by Christian Bayer & Ra'ul Tempone & Soren Wolfers
- 1809.07203 Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM
by Junyan Liu & Sandeep Kumar & Daniel P. Palomar
- 1809.07195 Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation
by Jorge Faleiro
- 1809.07100 Complex market dynamics in the light of random matrix theory
by Hirdesh K. Pharasi & Kiran Sharma & Anirban Chakraborti & Thomas H. Seligman
- 1809.07040 Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{\"o}lder inequality
by Jessica Martin & Anthony R'eveillac
- 1809.06996 Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach
by Andres Ramirez-Hassan & Manuel Correa-Giraldo
- 1809.06824 Matching in Dynamic Imbalanced Markets
by Itai Ashlagi & Afshin Nikzad & Philipp Strack
- 1809.06770 Selling Information
by Weijie Zhong
- 1809.06766 Sorting and filtering as effective rational choice procedures
by Paulo Oliva & Philipp Zahn
- 1809.06736 On expansions for the Black-Scholes prices and hedge parameters
by Jean-Philippe Aguilar
- 1809.06728 Dynamical variety of shapes in financial multifractality
by Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski
- 1809.06643 A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
by Mesias Alfeus & Martino Grasselli & Erik Schlogl
- 1809.06592 The distortion principle for insurance pricing: properties, identification and robustness
by Daniela Escobar & Georg Pflug
- 1809.06505 Estimating grouped data models with a binary dependent variable and fixed effects: What are the issues
by Nathaniel Beck
- 1809.06471 A Language for Large-Scale Collaboration in Economics: A Streamlined Computational Representation of Financial Models
by Jorge Faleiro
- 1809.06421 A Flexible Design for Funding Public Goods
by Vitalik Buterin & Zoe Hitzig & E. Glen Weyl
- 1809.06153 Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
by Zorana Grbac & David Krief & Peter Tankov
- 1809.06077 Modeling Nelson-Siegel Yield Curve using Bayesian Approach
by Sourish Das
- 1809.06027 BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange
by Dave Cliff
- 1809.05961 Optimal Dynamic Basis Trading
by Bahman Angoshtari & Tim Leung
- 1809.05947 An incomplete equilibrium with a stochastic annuity
by Kim Weston & Gordan Zitkovic
- 1809.05901 Trends in the Diffusion of Misinformation on Social Media
by Hunt Allcott & Matthew Gentzkow & Chuan Yu
- 1809.05706 Control Variables, Discrete Instruments, and Identification of Structural Functions
by Whitney Newey & Sami Stouli
- 1809.05643 Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization
by Yuki Kinoshita & Yumiharu Nakano
- 1809.05503 On the Choice of Instruments in Mixed Frequency Specification Tests
by Yun Liu & Yeonwoo Rho
- 1809.05328 Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
- 1809.05243 Random Fixed Points, Limits and Systemic risk
by Veeraruna Kavitha & Indrajit Saha & Sandeep Juneja
- 1809.05224 Automatic Debiased Machine Learning of Causal and Structural Effects
by Victor Chernozhukov & Whitney K Newey & Rahul Singh
- 1809.05120 Time preference and information acquisition
by Weijie Zhong
- 1809.04951 Valid Simultaneous Inference in High-Dimensional Settings (with the hdm package for R)
by Philipp Bach & Victor Chernozhukov & Martin Spindler
- 1809.04925 Measuring Systematic Risk with Neural Network Factor Model
by Jeonggyu Huh
- 1809.04853 Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership
by Gregor Zens
- 1809.04775 Superstatistics with cut-off tails for financial time series
by Yusuke Uchiyama & Takanori Kadoya
- 1809.04436 A note on contests with a constrained choice set of effort
by Doron Klunover & John Morgan
- 1809.04401 Mean-Field Leader-Follower Games with Terminal State Constraint
by Guanxing Fu & Ulrich Horst
- 1809.04035 Hyperbolic normal stochastic volatility model
by Jaehyuk Choi & Chenru Liu & Byoung Ki Seo
- 1809.04016 Bootstrap Methods in Econometrics
by Joel L. Horowitz
- 1809.03977 An alternative quality of life ranking on the basis of remittances
by D'ora Gr'eta Petr'oczy
- 1809.03941 Fast calibration of two-factor models for energy option pricing
by Emanuele Fabbiani & Andrea Marziali & Giuseppe De Nicolao
- 1809.03904 Regression Discontinuity Designs Using Covariates
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell & Rocio Titiunik
- 1809.03885 Mathematics of Market Microstructure under Asymmetric Information
by Umut c{C}et{i}n
- 1809.03860 Nash Equilibria in the Response Strategy of Correlated Games
by A. D. Correia & H. T. C. Stoof
- 1809.03834 House Price Modeling with Digital Census
by Enwei Zhu & Stanislav Sobolevsky
- 1809.03769 Diversification, Volatility, and Surprising Alpha
by Adrian Banner & Robert Fernholz & Vassilios Papathanakos & Johannes Ruf & David Schofield
- 1809.03641 Model Risk Measurement under Wasserstein Distance
by Yu Feng & Erik Schlogl
- 1809.03600 Non-Asymptotic Inference in Instrumental Variables Estimation
by Joel L. Horowitz
- 1809.03584 Characteristic-Sorted Portfolios: Estimation and Inference
by Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg
- 1809.03459 A class of stochastic games and moving free boundary problems
by Xin Guo & Wenpin Tang & Renyuan Xu
- 1809.03442 The Ladder Theory of Behavioral Decision Making
by Xingguang Chen
- 1809.03425 Systemic Risk and the Dependence Structures
by Yu-Sin Chang
- 1809.03400 A Moral Framework for Understanding of Fair ML through Economic Models of Equality of Opportunity
by Hoda Heidari & Michele Loi & Krishna P. Gummadi & Andreas Krause
- 1809.03338 Pricing the Aunt Michaela Option with a Modified Black-Scholes Equation with a Maturity Condition of Gamma Type
by Juan Ospina
- 1809.03222 Colombian export capabilities: building the firms-products network
by Matteo Bruno & Fabio Saracco & Tiziano Squartini & Marco Due~nas
- 1809.03072 Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
by George Milunovich
- 1809.03031 Bayesian dynamic variable selection in high dimensions
by Gary Koop & Dimitris Korobilis
- 1809.02772 Order book model with herd behavior exhibiting long-range memory
by Aleksejus Kononovicius & Julius Ruseckas
- 1809.02769 Worldcoin: A Hypothetical Cryptocurrency for the People and its Government
by Sheikh Rabiul Islam
- 1809.02674 The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times
by Jaros{l}aw Klamut & Ryszard Kutner & Tomasz Gubiec & Zbigniew R. Struzik
- 1809.02466 Sion's mini-max theorem and Nash equilibrium in a five-players game with two groups which is zero-sum and symmetric in each group
by Atsuhiro Satoh & Yasuhito Tanaka
- 1809.02465 Nash equilibrium of partially asymmetric three-players zero-sum game with two strategic variables
by Atsuhiro Satoh & Yasuhito Tanaka
- 1809.02433 Dealing with the Dimensionality Curse in Dynamic Pricing Competition: Using Frequent Repricing to Compensate Imperfect Market Anticipations
by Rainer Schlosser & Martin Boissier
- 1809.02362 A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations
by Philipp Grohs & Fabian Hornung & Arnulf Jentzen & Philippe von Wurstemberger
- 1809.02303 Change-Point Testing for Risk Measures in Time Series
by Lin Fan & Peter W. Glynn & Markus Pelger
- 1809.02245 Generalizing Geometric Brownian Motion
by Peter Carr & Zhibai Zhang
- 1809.02233 Deeply Learning Derivatives
by Ryan Ferguson & Andrew Green
- 1809.02098 The Zumbach effect under rough Heston
by Omar El Euch & Jim Gatheral & Radov{s} Radoiv{c}i'c & Mathieu Rosenbaum
- 1809.01989 Diversity and Sparsity: A New Perspective on Index Tracking
by Yu Zheng & Timothy M. Hospedales & Yongxin Yang
- 1809.01987 The Impact of LIBOR Linked Borrowing to Cover Venture Bank Investment Loans Creates a New Systemic Risk
by Brian P. Hanley
- 1809.01983 Suboptimal Control of Dividends under Exponential Utility
by Julia Eisenberg & Paul Kruhner
- 1809.01972 Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
by Ulrich Horst & Xiaonyu Xia
- 1809.01643 Efficient Difference-in-Differences Estimation with High-Dimensional Common Trend Confounding
by Michael Zimmert
- 1809.01506 VLSTM: Very Long Short-Term Memory Networks for High-Frequency Trading
by Prakhar Ganesh & Puneet Rakheja
- 1809.01501 Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler
by Arthur T. Rego & Thiago R. dos Santos
- 1809.01489 A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach
by T. R. Santos
- 1809.01487 Resource and Competence (Internal) View vs. Environment and Market (External) View when defining a Business
by Yngve Dahle & Martin Steinert & Anh Nguyen Duc & Roman Chizhevskiy
- 1809.01470 The Core of an Economy with an Endogenous Social Division of Labour
by Robert P. Gilles
- 1809.01464 Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
by Huyen Pham & Xiaoli Wei & Chao Zhou
- 1809.01342 A model for stocks dynamics based on a non-Gaussian path integral
by Giovanni Paolinelli & Gianni Arioli
- 1809.01332 Multi-agent Economics and the Emergence of Critical Markets
by Michael S. Harr'e
- 1809.01038 Shape-Enforcing Operators for Point and Interval Estimators
by Xi Chen & Victor Chernozhukov & Iv'an Fern'andez-Val & Scott Kostyshak & Ye Luo
- 1809.00990 Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
by Michael Preischl & Stefan Thonhauser
- 1809.00964 Mathematical models for fake news
by Dorje C. Brody & David M. Meier
- 1809.00885 Identifying long-term precursors of financial market crashes using correlation patterns
by Hirdesh K. Pharasi & Kiran Sharma & Rakesh Chatterjee & Anirban Chakraborti & Francois Leyvraz & Thomas H. Seligman
- 1809.00820 Multiplicative random cascades with additional stochastic process in financial markets
by Jun-ichi Maskawa & Koji Kuroda & Joshin Murai
- 1809.00817 Model Risk in Real Option Valuation
by Carol Alexander & Xi Chen
- 1809.00741 "Read My Lips": Using Automatic Text Analysis to Classify Politicians by Party and Ideology
by Eitan Sapiro-Gheiler
- 1809.00697 The Indirect Cost of Information
by Weijie Zhong
- 1809.00695 Topological recognition of critical transitions in time series of cryptocurrencies
by Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo
- 1809.00306 Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data
by Xi Zhang & Yixuan Li & Senzhang Wang & Binxing Fang & Philip S. Yu
- 1809.00236 Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell
- 1809.00149 Model-free trading and hedging with continuous price paths
by Tigran Atoyan
- 1809.00128 Finding a promising venture capital project with todim under probabilistic hesitant fuzzy circumstance
by Weike Zhang & Jiang Du & Xiaoli Tian
- 1809.00082 NEU: A Meta-Algorithm for Universal UAP-Invariant Feature Representation
by Anastasis Kratsios & Cody Hyndman
- 1809.00051 Repeated Coordination with Private Learning
by Pathikrit Basu & Kalyan Chatterjee & Tetsuya Hoshino & Omer Tamuz
- 1808.10651 Identifying the Discount Factor in Dynamic Discrete Choice Models
by Jaap H. Abbring & {O}ystein Daljord
- 1808.10543 A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management
by Leander Low & Martin Spindler & Eike Brechmann
- 1808.10532 Uniform Inference in High-Dimensional Gaussian Graphical Models
by Sven Klaassen & Jannis Kuck & Martin Spindler & Victor Chernozhukov
- 1808.10428 The role of complex analysis in modeling economic growth
by Angelica Sbardella & Emanuele Pugliese & Andrea Zaccaria & Pasquale Scaramozzino
- 1808.10355 An Exponential Cox-Ingersoll-Ross Process as Discounting Factor
by Julia Eisenberg & Yuliya Mishura
- 1808.10090 Hierarchical communities in the walnut structure of the Japanese production network
by Abhijit Chakraborty & Yuichi Kichikawa & Takashi Iino & Hiroshi Iyetomi & Hiroyasu Inoue & Yoshi Fujiwara & Hideaki Aoyama
- 1808.09940 Adversarial Deep Reinforcement Learning in Portfolio Management
by Zhipeng Liang & Hao Chen & Junhao Zhu & Kangkang Jiang & Yanran Li
- 1808.09887 Enforcing Regulation Under Illicit Adaptation
by Andres Gonzalez Lira & Ahmed Mushfiq Mobarak
- 1808.09807 Continuous-time Duality for Super-replication with Transient Price Impact
by Peter Bank & Yan Dolinsky
- 1808.09698 Non-exchangeability of copulas arising from shock models
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1808.09686 Switching Cost Models as Hypothesis Tests
by Samuel N. Cohen & Timo Henckel & Gordon D. Menzies & Johannes Muhle-Karbe & Daniel J. Zizzo
- 1808.09685 Smile Modelling in Commodity Markets
by Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli
- 1808.09677 How does latent liquidity get revealed in the limit order book?
by Lorenzo Dall'Amico & Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen
- 1808.09666 Analytic Moments for GARCH Processes
by Carol Alexander & Emese Lazar & Silvia Stanescu
- 1808.09406 Almost Envy-Free Allocations with Connected Bundles
by Vittorio Bil`o & Ioannis Caragiannis & Michele Flammini & Ayumi Igarashi & Gianpiero Monaco & Dominik Peters & Cosimo Vinci & William S. Zwicker
- 1808.09382 Emergence of Turbulent Epochs in Oil Prices
by Josselin Garnier & Knut Solna
- 1808.09378 Option pricing models without probability: a rough paths approach
by John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass
- 1808.09375 Inference based on Kotlarski's Identity
by Kengo Kato & Yuya Sasaki & Takuya Ura
- 1808.09279 Econophysics as conceived by Meghnad Saha
by Bikas K. Chakrabarti
- 1808.09125 A Residual Bootstrap for Conditional Value-at-Risk
by Eric Beutner & Alexander Heinemann & Stephan Smeekes
- 1808.09004 Downstream Effects of Affirmative Action
by Sampath Kannan & Aaron Roth & Juba Ziani
- 1808.08995 Tests for price indices in a dynamic item universe
by Li-Chun Zhang & Ingvild Johansen & Ragnhild Nygaard
- 1808.08717 Economics of carbon-dioxide abatement under an exogenous constraint on cumulative emissions
by Ashwin K Seshadri
- 1808.08585 Evolutionary dynamics of cryptocurrency transaction networks: An empirical study
by Jiaqi Liang & Linjing Li & Daniel Zeng
- 1808.08563 A Dichotomous Analysis of Unemployment Welfare
by Xingwei Hu
- 1808.08249 Complexity of products: the effect of data regularisation
by Orazio Angelini & Tiziana Di Matteo
- 1808.08221 Dynamic Initial Margin via Chebyshev Tensors
by Ignacio Ruiz & Mariano Zeron
- 1808.08054 The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
by Kenjiro Oya
- 1808.07959 Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets
by Jorge Faleiro & Edward Tsang
- 1808.07949 Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns
by Jorge Faleiro & Edward Tsang
- 1808.07941 Solving Quadratic Multi-Leader-Follower Games by Smoothing the Follower's Best Response
by Michael Herty & Sonja Steffensen & Anna Thunen
- 1808.07924 The Structure of Equilibria in Trading Networks with Frictions
by Jan Christoph Schlegel
- 1808.07909 On the Normality of Negative Interest Rates
by Matheus R. Grasselli & Alexander Lipton
- 1808.07854 Voting power of political parties in the Senate of Chile during the whole binomial system period: 1990-2017
by Fabi'an Riquelme & Pablo Gonz'alez-Cantergiani & Gabriel Godoy
- 1808.07737 Asymmetric linkages: maxmin vs. reflected maxmin copulas
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1808.07646 Reflected maxmin copulas and modelling quadrant subindependence
by Tomav{z} Kov{s}ir & Matjav{z} Omladiv{c}
- 1808.07563 Optimizing the tie-breaker regression discontinuity design
by Art B. Owen & Hal Varian
- 1808.07387 Sensitivity Analysis using Approximate Moment Condition Models
by Timothy B. Armstrong & Michal Koles'ar
- 1808.07339 Scenario-based Risk Evaluation
by Ruodu Wang & Johanna F. Ziegel
- 1808.07107 Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
by Ben Hambly & Jasdeep Kalsi & James Newbury
- 1808.06922 Catch-Up: A Rule that Makes Service Sports More Competitive
by Steven J. Brams & Mehmet S. Ismail & D. Marc Kilgour & Walter Stromquist
- 1808.06750 The strategy of conflict and cooperation
by Mehmet S. Ismail
- 1808.06718 Loss Data Analytics
by Edward Frees
- 1808.06430 A unified Framework for Robust Modelling of Financial Markets in discrete time
by Jan Obloj & Johannes Wiesel
- 1808.06355 Deep learning, deep change? Mapping the development of the Artificial Intelligence General Purpose Technology
by J. Klinger & J. Mateos-Garcia & K. Stathoulopoulos
- 1808.06337 Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
by Calisto Guambe & Rodwell Kufakunesu & Gusti Van Zyl & Conrad Beyers
- 1808.05996 $k$th price auctions and Catalan numbers
by Abdel-Hameed Nawar & Debapriya Sen
- 1808.05995 Quantifying the Computational Advantage of Forward Orthogonal Deviations
by Robert F. Phillips
- 1808.05893 Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
by Marcel Ausloos & Francesca Bartolacci & Nicola G. Castellano & Roy Cerqueti
- 1808.05890 A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences
by Slobodan Milovanovi'c & Lina von Sydow
- 1808.05792 Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors
by Sukjin Han & Sungwon Lee
- 1808.05572 When Do Households Invest in Solar Photovoltaics? An Application of Prospect Theory
by Martin Klein & Marc Deissenroth
- 1808.05527 Deep Learning for Energy Markets
by Michael Polson & Vadim Sokolov
- 1808.05311 Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
by Alexander Lipton & Vadim Kaushansky & Christoph Reisinger
- 1808.05295 SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations
by Svetlana Boyarchenko & Sergei Levendorskiu{i}
- 1808.05293 Design-based Analysis in Difference-In-Differences Settings with Staggered Adoption
by Susan Athey & Guido Imbens
- 1808.05289 A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
by Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang
- 1808.05169 Inventory Management for High-Frequency Trading with Imperfect Competition
by Sebastian Herrmann & Johannes Muhle-Karbe & Dapeng Shang & Chen Yang
- 1808.05142 Brexit: The Belated Threat
by D'ora Gr'eta Petr'oczy & Mark Francis Rogers & L'aszl'o 'A. K'oczy
- 1808.05037 Game-theoretic dynamic investment model with incomplete information: futures contracts
by Oleg Malafeyev & Shulga Andrey
- 1808.04970 Can GDP measurement be further improved? Data revision and reconciliation
by Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden
- 1808.04936 A Unified Framework for Efficient Estimation of General Treatment Models
by Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang
- 1808.04908 Robust XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1808.04878 Latent Agents in Networks: Estimation and Targeting
by Baris Ata & Alexandre Belloni & Ozan Candogan
- 1808.04725 Dynamic programming for optimal stopping via pseudo-regression
by Christian Bayer & Martin Redmann & John Schoenmakers
- 1808.04710 Regime-Switching Temperature Dynamics Model for Weather Derivatives
by Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe
- 1808.04613 Optimal investment-consumption and life insurance with capital constraints
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04611 A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
by Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu
- 1808.04608 On the optimal investment-consumption and life insurance selection problem with an external stochastic factor
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04604 Risk-based optimal portfolio of an insurer with regime switching and noisy memory
by Rodwell Kufakunesu & Calisto Guambe & Lesedi Mabitsela
- 1808.04416 Extrapolating Treatment Effects in Multi-Cutoff Regression Discontinuity Designs
by Matias D. Cattaneo & Luke Keele & Rocio Titiunik & Gonzalo Vazquez-Bare
- 1808.04265 Turnpike Property and Convergence Rate for an Investment and Consumption Model
by Baojun Bian & Harry Zheng
- 1808.04233 Connecting Sharpe ratio and Student t-statistic, and beyond
by Eric Benhamou
- 1808.04231 GARCH(1,1) model of the financial market with the Minkowski metric
by Richard Pincak & Kabin Kanjamapornkul
- 1808.04150 A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach
by Sina Aghaei & Amirreza Safari Langroudi & Masoud Fekri
- 1808.04020 Mechanism Design with News Utility
by Jetlir Duraj
- 1808.03897 Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design
by Chao Luo
- 1808.03804 The Impact of Age on Nationality Bias: Evidence from Ski Jumping
by Sandra Schneemann & Hendrik Scholten & Christian Deutscher
- 1808.03698 BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
by Yuri Fonseca & Marcelo Medeiros & Gabriel Vasconcelos & Alvaro Veiga
- 1808.03668 DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
by Zihao Zhang & Stefan Zohren & Stephen Roberts
- 1808.03610 On smile properties of volatility derivatives and exotic products: understanding the VIX skew
by Elisa Al`os & David Garc'ia-Lorite & Aitor Muguruza
- 1808.03607 "Quantum Equilibrium-Disequilibrium": Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
by Igor Halperin & Matthew Dixon
- 1808.03548 Small-time moderate deviations for the randomised Heston model
by Antoine Jacquier & Fangwei Shi
- 1808.03482 Exeum: A Decentralized Financial Platform for Price-Stable Cryptocurrencies
by Jaehyung Lee & Minhyung Cho
- 1808.03481 Concave Shape of the Yield Curve and No Arbitrage
by Jian Sun
- 1808.03463 The Hull-White Model under Volatility Uncertainty
by Julian Holzermann
- 1808.03404 Hysteresis of economic networks in an XY model
by Ali Hosseiny & Mohammadreza Absalan & Mohammad Sherafati & Mauro Gallegati
- 1808.03364 A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment
by Matthew Harding & Carlos Lamarche
- 1808.03328 The value of a liability cash flow in discrete time subject to capital requirements
by Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog
- 1808.03297 Trend without hiccups: a Kalman filter approach
by Eric Benhamou
- 1808.03186 The financial value of knowing the distribution of stock prices in discrete market models
by Ayelet Amiran & Fabrice Baudoin & Skylyn Brock & Berend Coster & Ryan Craver & Ugonna Ezeaka & Phanuel Mariano & Mary Wishart
- 1808.03129 Existence of Equilibrium Prices: A Pedagogical Proof
by Simone Tonin
- 1808.03109 Change Point Estimation in Panel Data with Time-Varying Individual Effects
by Otilia Boldea & Bettina Drepper & Zhuojiong Gan
- 1808.03070 Network-based Referral Mechanism in a Crowdfunding-based Marketing Pattern
by Yongli Li & Zhi-Ping Fan & Wei Zhang
- 1808.02953 Some Statistical Problems with High Dimensional Financial data
by Arnab Chakrabarti & Rituparna Sen
- 1808.02910 Information Content of DSGE Forecasts
by Ray Fair
- 1808.02826 Lattice Studies of Gerrymandering Strategies
by Kyle Gatesman & James Unwin
- 1808.02791 American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo
by Anurag Sodhi
- 1808.02569 Machine Learning for Dynamic Discrete Choice
by Vira Semenova
- 1808.02505 Combining Independent Smart Beta Strategies for Portfolio Optimization
by Phil Maguire & Karl Moffett & Rebecca Maguire
- 1808.02478 A generalized scheme for BSDEs based on derivative approximation and its error estimates
by Chol-Kyu Pak & Mun-Chol Kim & O Hun
- 1808.02457 Generating VaR scenarios with product beta distributions
by Dietmar Pfeifer & Olena Ragulina
- 1808.02365 Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts
by Slobodan Milovanovi'c