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Content
2017
- 1711.03534 Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
by Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen
- 1711.03506 Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets
by Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia
- 1711.03291 Portfolio Optimization and Model Predictive Control: A Kinetic Approach
by Torsten Trimborn & Lorenzo Pareschi & Martin Frank
- 1711.03188 Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon
by Alon Dourban & Liron Yedidsion
- 1711.03078 Functional central limit theorems for rough volatility
by Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark
- 1711.03023 The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
by Yuri F. Saporito & Xu Yang & Jorge P. Zubelli
- 1711.02939 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
by Zhou Yang & Gechun Liang & Chao Zhou
- 1711.02925 Implied volatility smile dynamics in the presence of jumps
by Martin Magris & Perttu Barholm & Juho Kanniainen
- 1711.02808 Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
by Kevin Fergusson & Eckhard Platen
- 1711.02784 Optimal Brownian Stopping between radially symmetric marginals in general dimensions
by Nassif Ghoussoub & Young-Heon Kim & Tongseok Lim
- 1711.02764 Pathwise superhedging on prediction sets
by Daniel Bartl & Michael Kupper & Ariel Neufeld
- 1711.02745 Identification and Estimation of Spillover Effects in Randomized Experiments
by Gonzalo Vazquez-Bare
- 1711.02695 The Limits of Citation Counts
by Antonin Mac'e
- 1711.02626 Dis-embedded Openness: Inequalities in European Economic Integration at the Sectoral Level
by Balazs Vedres & Carl Nordlund
- 1711.02625 In search of a new economic model determined by logistic growth
by Roman G. Smirnov & Kunpeng Wang
- 1711.02600 The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes
by Brian P. Hanley
- 1711.02573 Mean Field Limit of a Behavioral Financial Market Model
by Torsten Trimborn & Martin Frank & Stephan Martin
- 1711.02184 Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models
by Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey & Sami Stouli & Francis Vella
- 1711.02140 Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
by Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap
- 1711.02048 Identifying the Effects of a Program Offer with an Application to Head Start
by Vishal Kamat
- 1711.01760 Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
by Calisto Guambe & Rodwell Kufakunesu
- 1711.01756 Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals
by Renko Siebols
- 1711.01017 A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs
by Arash Fahim & Wan-Yu Tsai
- 1711.00737 Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
by Martin Keller-Ressel
- 1711.00708 On Game-Theoretic Risk Management (Part Three) - Modeling and Applications
by Stefan Rass
- 1711.00661 Equity in Startups
by Herv'e Lebret
- 1711.00644 Startups and Stanford University
by Herv'e Lebret
- 1711.00564 Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
by Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner
- 1711.00443 Optimizing S-shaped utility and implications for risk management
by John Armstrong & Damiano Brigo
- 1711.00427 Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
by Eyal Neuman & Mathieu Rosenbaum
- 1711.00370 A continuous selection for optimal portfolios under convex risk measures does not always exist
by Michel Baes & Cosimo Munari
- 1711.00342 Orthogonal Machine Learning: Power and Limitations
by Lester Mackey & Vasilis Syrgkanis & Ilias Zadik
- 1711.00307 Pricing of commodity derivatives on processes with memory
by Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele
- 1711.00171 On some further properties and application of Weibull-R family of distributions
by Indranil Ghosh & Saralees Nadarajah
- 1710.11512 Network models of financial systemic risk: A review
by Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi
- 1710.11435 Quantization goes Polynomial
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini
- 1710.11432 Stochastic maximum principle under probability distortion
by Qizhu Liang & Jie Xiong
- 1710.11283 Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending
by Jessica Foo & Lek-Heng Lim & Ken Sze-Wai Wong
- 1710.11232 The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
by Elisa Alos & Antoine Jacquier & Jorge Leon
- 1710.11230 Nonparametric Identification in Index Models of Link Formation
by Wayne Yuan Gao
- 1710.11184 Correlations and Clustering in Wholesale Electricity Markets
by Tianyu Cui & Francesco Caravelli & Cozmin Ududec
- 1710.11065 On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
by Zied Ben Salah & Jos'e Garrido
- 1710.11019 Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C
by Florian Knobloch & Hector Pollitt & Unnada Chewpreecha & Vassilis Daioglou & Jean-Francois Mercure
- 1710.10980 Statistical validation of financial time series via visibility graph
by Matteo Serafino & Andrea Gabrielli & Guido Caldarelli & Giulio Cimini
- 1710.10967 Artificial Intelligence as Structural Estimation: Economic Interpretations of Deep Blue, Bonanza, and AlphaGo
by Mitsuru Igami
- 1710.10711 Large deviation principle for Volterra type fractional stochastic volatility models
by Archil Gulisashvili
- 1710.10692 Research on ruin probability of risk model based on AR(1) series
by Wenhao Li & Bolong Wang & Tianxiang Shen & Ronghua Zhu & Dehui Wang
- 1710.10487 Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
by Jingtang Ma & Wenyuan Li & Harry Zheng
- 1710.10377 Quantum attacks on Bitcoin, and how to protect against them
by Divesh Aggarwal & Gavin K. Brennen & Troy Lee & Miklos Santha & Marco Tomamichel
- 1710.10293 Polynomial processes for power prices
by Damir Filipovic & Martin Larsson & Tony Ware
- 1710.10251 Matrix Completion Methods for Causal Panel Data Models
by Susan Athey & Mohsen Bayati & Nikolay Doudchenko & Guido Imbens & Khashayar Khosravi
- 1710.10143 From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks
by Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco
- 1710.09707 Calibrated Projection in MATLAB: Users' Manual
by Hiroaki Kaido & Francesca Molinari & Jorg Stoye & Matthew Thirkettle
- 1710.09678 Do Classics Exist in Megaproject Management?
by Bent Flyvbjerg & J. Rodney Turner
- 1710.09587 Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
by Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid
- 1710.09476 A Mathematical Analysis of Technical Analysis
by Matthew Lorig & Zhou Zhou & Bin Zou
- 1710.09419 Reference Class Forecasting for Hong Kong's Major Roadworks Projects
by Bent Flyvbjerg & Chi-keung Hon & Wing Huen Fok
- 1710.09069 Shape-Constrained Density Estimation via Optimal Transport
by Ryan Cumings-Menon
- 1710.09009 Asymptotic Distribution and Simultaneous Confidence Bands for Ratios of Quantile Functions
by Fabian Dunker & Stephan Klasen & Tatyana Krivobokova
- 1710.08901 Calibration of Machine Learning Classifiers for Probability of Default Modelling
by Pedro G. Fonseca & Hugo D. Lopes
- 1710.08860 A Topological Approach to Scaling in Financial Data
by Jean de Carufel & Martin Brooks & Michael Stieber & Paul Britton
- 1710.08558 Propensity score matching for multiple treatment levels: A CODA-based contribution
by Hajime Seya & Takahiro Yoshida
- 1710.08549 Existence in Multidimensional Screening with General Nonlinear Preferences
by Kelvin Shuangjian Zhang
- 1710.08450 $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance
by Peter A. Forsyth & George Labahn
- 1710.07959 Grasping asymmetric information in market impacts
by Shanshan Wang & Sebastian Neusu{ss} & Thomas Guhr
- 1710.07918 Electricity Market Theory Based on Continuous Time Commodity Model
by Haoyong Chen & Lijia Han
- 1710.07911 Computational Methods for Martingale Optimal Transport problems
by Gaoyue Guo & Jan Obloj
- 1710.07894 On the quadratic variation of the model-free price paths with jumps
by Lesiba Ch. Galane & Rafa{l} M. {L}ochowski & Farai J. Mhlanga
- 1710.07492 Multilevel estimation of expected exit times and other functionals of stopped diffusions
by Michael B. Giles & Francisco Bernal
- 1710.07481 A regularity structure for rough volatility
by Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper
- 1710.07470 Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures
by Jing-Chao Chen & Yu Zhou & Xi Wang
- 1710.07340 Frequency Based Index Estimating the Subclusters' Connection Strength
by Lukas Pastorek
- 1710.07331 Information measure for financial time series: quantifying short-term market heterogeneity
by Linda Ponta & Anna Carbone
- 1710.07030 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi
- 1710.07004 Modal Regression using Kernel Density Estimation: a Review
by Yen-Chi Chen
- 1710.06893 The tipping point: a mathematical model for the profit-driven abandonment of restaurant tipping
by Sara M. Clifton & Eileen Herbers & Jack Chen & Daniel M. Abrams
- 1710.06809 Minimax Linear Estimation at a Boundary Point
by Wayne Yuan Gao
- 1710.06561 Revenue-based Attribution Modeling for Online Advertising
by Kaifeng Zhao & Seyed Hanif Mahboobi & Saeed Bagheri
- 1710.06526 Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
by Jaroslav Borovicka & John Stachurski
- 1710.06350 Navigating dark liquidity (How Fisher catches Poisson in the Dark)
by Ilija I. Zovko
- 1710.06285 Preliminary steps toward a universal economic dynamics for monetary and fiscal policy
by Yaneer Bar-Yam & Jean Langlois-Meurinne & Mari Kawakatsu & Rodolfo Garcia
- 1710.06132 Disruptive firms
by Mario Coccia
- 1710.05829 Non-Euclidean Conditional Expectation and Filtering
by Anastasis Kratsios & Cody B. Hyndman
- 1710.05542 Efficient hedging in Bates model using high-order compact finite differences
by Bertram During & Alexander Pitkin
- 1710.05513 Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model
by Ziping Zhao & Daniel P. Palomar
- 1710.05204 Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
by Michael Ludkovski & James Risk
- 1710.05168 Dynamic Portfolio Optimization with Looping Contagion Risk
by Longjie Jia & Martijn Pistorius & Harry Zheng
- 1710.05131 Mean Field Game Approach to Production and Exploration of Exhaustible Commodities
by Michael Ludkovski & Xuwei Yang
- 1710.05114 Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization
by Anastasis Kratsios & Cody B. Hyndman
- 1710.04818 A General Framework for Portfolio Theory. Part II: drawdown risk measures
by Stanislaus Maier-Paape & Qiji Jim Zhu
- 1710.04579 A General Framework for Portfolio Theory. Part I: theory and various models
by Stanislaus Maier-Paape & Qiji Jim Zhu
- 1710.04455 Computational Analysis of the structural properties of Economic and Financial Networks
by Frank Emmert-Streib & Aliyu Musa & Kestutis Baltakys & Juho Kanniainen & Shailesh Tripathi & Olli Yli-Harja & Herbert Jodlbauer & Matthias Dehmer
- 1710.04363 Utility maximization problem under transaction costs: optimal dual processes and stability
by Lingqi Gu & Yiqing Lin & Junjian Yang
- 1710.04273 Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem
by Justin Sirignano & Konstantinos Spiliopoulos
- 1710.03870 A High Frequency Trade Execution Model for Supervised Learning
by Matthew F Dixon
- 1710.03830 Inference on Auctions with Weak Assumptions on Information
by Vasilis Syrgkanis & Elie Tamer & Juba Ziani
- 1710.03820 A 700-seat no-loss composition for the 2019 European Parliament
by G. R. Grimmett & F. Pukelsheim & V. Ram'irez Gonz'alez & W. S{l}omczy'nski & K. .Zyczkowski
- 1710.03734 Market impact with multi-timescale liquidity
by Michael Benzaquen & Jean-Philippe Bouchaud
- 1710.03526 Measuring the gradualist approach to internationalization
by M'onica Clavel & Jes'us Arteaga-Ortiz & Rub'en Fern'andez-Ortiz & Pablo Dorta-Gonz'alez
- 1710.03506 A buffer Hawkes process for limit order books
by Ingemar Kaj & Mine Caglar
- 1710.03267 A Strategic Investment Framework for Biotechnology Markets via Dynamic Asset Allocation and Class Diversification
by Abhishek Mohan & Agnibho Roy
- 1710.03252 Large deviations for risk measures in finite mixture models
by Valeria Bignozzi & Claudio Macci & Lea Petrella
- 1710.03222 Forecasting Across Time Series Databases using Recurrent Neural Networks on Groups of Similar Series: A Clustering Approach
by Kasun Bandara & Christoph Bergmeir & Slawek Smyl
- 1710.03211 Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
by Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani
- 1710.03205 Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
by Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi
- 1710.03161 Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL
by Chris Kenyon & Mourad Berrahoui & Benjamin Poncet
- 1710.03160 Short Maturity Forward Start Asian Options in Local Volatility Models
by Dan Pirjol & Jing Wang & Lingjiong Zhu
- 1710.02944 A Unified Approach on the Local Power of Panel Unit Root Tests
by Zhongwen Liang
- 1710.02926 When Should You Adjust Standard Errors for Clustering?
by Alberto Abadie & Susan Athey & Guido Imbens & Jeffrey Wooldridge
- 1710.02838 Robust Forecast Aggregation
by Itai Areili & Yakov Babichenko & Rann Smorodinsky
- 1710.02755 An Optimized Microeconomic Modeling System for Analyzing Industrial Externalities in Non-OECD Countries
by Agnibho Roy & Abhishek Mohan
- 1710.02669 Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors
by Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski
- 1710.02435 Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm
by Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini
- 1710.02326 A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games
by Shuige Liu
- 1710.02127 Intervention On Default Contagion Under Partial Information
by Yang Xu
- 1710.01852 Finite Time Identification in Unstable Linear Systems
by Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis
- 1710.01797 The Chebyshev method for the implied volatility
by Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz
- 1710.01787 On Kelly Betting: Some Limitations
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01786 Kelly Betting Can Be Too Conservative
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner
- 1710.01768 Explaining the Mechanism of Growth in the Past Two Million Years Vol. I
by Ron W. Nielsen
- 1710.01578 The Computational Complexity of Financial Networks with Credit Default Swaps
by Steffen Schuldenzucker & Sven Seuken & Stefano Battiston
- 1710.01503 On Drawdown-Modulated Feedback Control in Stock Trading
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01501 On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01452 Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading
by Xuefeng Gao & Xiang Zhou & Lingjiong Zhu
- 1710.01423 Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model
by Chuan Goh
- 1710.01227 Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions
by Igor Halperin
- 1710.01141 A series representation for the Black-Scholes formula
by Jean-Philippe Aguilar
- 1710.00897 Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging
by Kamil Kladivko & Mihail Zervos
- 1710.00859 Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation
by Jinglun Yao & Sabine Laurent & Brice B'enaben
- 1710.00643 A Justification of Conditional Confidence Intervals
by Eric Beutner & Alexander Heinemann & Stephan Smeekes
- 1710.00431 Kelly's Criterion in Portfolio Optimization: A Decoupled Problem
by Zachariah Peterson
- 1710.00377 A Note on the Multi-Agent Contracts in Continuous Time
by Qi Luo & Romesh Saigal
- 1710.00231 Systemic risk in a mean-field model of interbank lending with self-exciting shocks
by Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere
- 1709.10478 The Strength of Absent Ties: Social Integration via Online Dating
by Josue Ortega & Philipp Hergovich
- 1709.10402 Distributions of Centrality on Networks
by Krishna Dasaratha
- 1709.10384 Obstacle problems for nonlocal operators
by Donatella Danielli & Arshak Petrosyan & Camelia A. Pop
- 1709.10295 Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps
by J'er^ome Spielmann
- 1709.10279 Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach
by Michael Knaus & Michael Lechner & Anthony Strittmatter
- 1709.10277 A Structural Model for Fluctuations in Financial Markets
by Kartik Anand & Jonathan Khedair & Reimer Kuehn
- 1709.10196 Inference for VARs Identified with Sign Restrictions
by Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide
- 1709.10193 Forecasting with Dynamic Panel Data Models
by Laura Liu & Hyungsik Roger Moon & Frank Schorfheide
- 1709.10141 Executive stock option exercise with full and partial information on a drift change point
by Vicky Henderson & Kamil Klad'ivko & Michael Monoyios & Christoph Reisinger
- 1709.10038 Estimation of Graphical Models using the $L_{1,2}$ Norm
by Khai X. Chiong & Hyungsik Roger Moon
- 1709.10024 Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
by Ida Johnsson & Hyungsik Roger Moon
- 1709.09955 Equilibrium distributions and discrete Schur-constant models
by Anna Casta~ner & M Merc`e Claramunt
- 1709.09858 Wealth distribution in presence of debts. A Fokker--Planck description
by Marco Torregrossa & Giuseppe Toscani
- 1709.09822 Threshold-Based Portfolio: The Role of the Threshold and Its Applications
by Sang Il Lee & Seong Joon Yoo
- 1709.09755 Quasi-random Monte Carlo application in CGE systematic sensitivity analysis
by Theodoros Chatzivasileiadis
- 1709.09583 Inference for Impulse Responses under Model Uncertainty
by Lenard Lieb & Stephan Smeekes
- 1709.09570 Identification of hedonic equilibrium and nonseparable simultaneous equations
by Victor Chernozhukov & Alfred Galichon & Marc Henry & Brendan Pass
- 1709.09495 Kinetic models for goods exchange in a multi-agent market
by Carlo Brugna & Giuseppe Toscani
- 1709.09465 Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
by Romain Blanchard & Laurence Carassus
- 1709.09442 Market Delay and G-expectations
by Yan Dolinsky & Jonathan Zouari
- 1709.09373 A Bimodal Network Approach to Model Topic Dynamics
by Luigi Di Caro & Marco Guerzoni & Massimiliano Nuccio & Giovanni Siragusa
- 1709.09334 Zero-rating of Content and its Effect on the Quality of Service in the Internet
by Manjesh K. Hanawal & Fehmina Malik & Yezekael Hayel
- 1709.09284 Sharp bounds and testability of a Roy model of STEM major choices
by Ismael Mourifie & Marc Henry & Romuald Meango
- 1709.09255 A default system with overspilling contagion
by Delia Coculescu & Gabriele Visentin
- 1709.09252 Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
by Delia Coculescu & Monique Jeanblanc
- 1709.09117 Discrete Choice and Rational Inattention: a General Equivalence Result
by Mogens Fosgerau & Emerson Melo & Andre de Palma & Matthew Shum
- 1709.09115 Inference on Estimators defined by Mathematical Programming
by Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum
- 1709.09068 Pricing derivatives in Hermite markets
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi
- 1709.08981 Bounds On Treatment Effects On Transitions
by Johan Vikstrom & Geert Ridder & Martin Weidner
- 1709.08980 Fixed Effect Estimation of Large T Panel Data Models
by Iv'an Fern'andez-Val & Martin Weidner
- 1709.08755 Analytic approach to variance optimization under an $\ell_1$ constraint
by Imre Kondor & G'abor Papp & Fabio Caccioli
- 1709.08621 A sentiment-based model for the BitCoin: theory, estimation and option pricing
by Alessandra Cretarola & Gianna Fig`a-Talamanca & Marco Patacca
- 1709.08516 Testing the causality of Hawkes processes with time reversal
by Marcus Cordi & Damien Challet & Ioane Muni Toke
- 1709.08238 Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter
- 1709.08188 The Aggregation Property and its Applications to Realised Higher Moments
by Carol Alexander & Johannes Rauch
- 1709.08134 Option Pricing with Greed and Fear Factor: The Rational Finance Approach
by Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani
- 1709.08090 The inefficiency of Bitcoin revisited: a dynamic approach
by Aurelio F. Bariviera
- 1709.08075 Local Volatility Calibration by Optimal Transport
by Ivan Guo & Gr'egoire Loeper & Shiyi Wang
- 1709.08023 Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses
by S. Ali Pourmousavi & Mahdi Behrangrad & Ali Jahanbani Ardakani & M. Hashem Nehrir
- 1709.07960 Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania
by Tudorel Andrei & Bogdan Oancea & Peter Richmond & Gurjeet Dhesi & Claudiu Herteliu
- 1709.07682 New copulas based on general partitions-of-unity and their applications to risk management (part II)
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1709.07527 A posteriori multi-stage optimal trading under transaction costs and a diversification constraint
by Mogens Graf Plessen & Alberto Bemporad
- 1709.07446 Arbitrage and Geometry
by Daniel Q. Naiman & Edward R. Scheinerman
- 1709.07329 Density of the set of probability measures with the martingale representation property
by Dmitry Kramkov & Sergio Pulido
- 1709.07300 Facebook drives behavior of passive households in stock markets
by Milla Siikanen & Kk{e}stutis Baltakys & Juho Kanniainen & Ravi Vatrapu & Raghava Mukkamala & Abid Hussain
- 1709.06759 Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit
by Vladislav Gennadievich Malyshkin
- 1709.06641 Dead Alphas as Risk Factors
by Zura Kakushadze & Willie Yu
- 1709.06517 Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
by Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon
- 1709.06480 Kinetic theory and Brazilian income distribution
by Igor D. S. Siciliani & Marcelo H. R. Tragtenberg
- 1709.06380 Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay
by I. D. Kolesin & O. A. Malafeyev & I. V. Zaitseva & A. N. Ermakova & D. V. Shlaev
- 1709.06348 On the Bail-Out Optimal Dividend Problem
by Jos'e-Luis P'erez & Kazutoshi Yamazaki & Xiang Yu
- 1709.06296 Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
by Nikolaus Hautsch & Stefan Voigt
- 1709.06279 Universal L\'evy's stable law of stock market and its characterization
by Takumi Fukunaga & Ken Umeno
- 1709.05837 Optimal Liquidation Problems in a Randomly-Terminated Horizon
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak Kwong Wong
- 1709.05823 A new approach to the modeling of financial volumes
by Guglielmo D'Amico & Filippo Petroni
- 1709.05594 GDP growth rates as confined L\'evy flights
by Sandro Claudio Lera & Didier Sornette
- 1709.05529 Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
by Weipin Wu & Jianjun Gao & Duan Li & Yun Shi
- 1709.05527 Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05519 Semi-Static and Sparse Variance-Optimal Hedging
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05392 Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade
by Bogang Jun & Aamena Alshamsi & Jian Gao & Cesar A Hidalgo
- 1709.05287 Sampling of probability measures in the convex order by Wasserstein projection
by Aur'elien Alfonsi & Jacopo Corbetta & Benjamin Jourdain
- 1709.05272 Economic Complexity: "Buttarla in caciara" vs a constructive approach
by Luciano Pietronero & Matthieu Cristelli & Andrea Gabrielli & Dario Mazzilli & Emanuele Pugliese & Andrea Tacchella & Andrea Zaccaria
- 1709.05117 Optimal Inflation Target: Insights from an Agent-Based Model
by Jean-Philippe Bouchaud & Stanislao Gualdi & Marco Tarzia & Francesco Zamponi
- 1709.04620 Random matrix approach for primal-dual portfolio optimization problems
by Daichi Tada & Hisashi Yamamoto & Takashi Shinzato
- 1709.04415 Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection
by Xiaoguang Huo & Feng Fu