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Content
2017
- 1703.09500 Non-parametric and semi-parametric asset pricing
by Peter Erdos & Mihaly Ormos & David Zibriczky
- 1703.09386 Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
by Tetsuya Takaishi & Toshiaki Watanabe
- 1703.09129 A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet
by Amirhossein Sobhani & Mariyan Milev
- 1703.08812 Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
by Ravi Kashyap
- 1703.08807 Ex-post core, fine core and rational expectations equilibrium allocations
by Anuj Bhowmik & Jiling Cao
- 1703.08781 Emergence of world-stock-market network
by M. Saeedian & T. Jamali & M. Z. Kamali & H. Bayani & T. Yasseri & G. R. Jafari
- 1703.08750 Game-Theoretic Vaccination Against Networked SIS Epidemics and Impacts of Human Decision-Making
by Ashish R. Hota & Shreyas Sundaram
- 1703.08715 Towards a probability-free theory of continuous martingales
by Vladimir Vovk & Glenn Shafer
- 1703.08534 A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
by Sigrid Kallblad
- 1703.08282 Cohort effects in mortality modelling: a Bayesian state-space approach
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko
- 1703.07685 Mean field and n-agent games for optimal investment under relative performance criteria
by Daniel Lacker & Thaleia Zariphopoulou
- 1703.07513 An Agent-based Model of Contagion in Financial Networks
by Leonardo dos Santos Pinheiro & Flavio Codeco COelho
- 1703.07339 Stochastic control on the half-line and applications to the optimal dividend/consumption problem
by Dariusz Zawisza
- 1703.06969 Optimal Portfolio under Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1703.06840 New approaches in agent-based modeling of complex financial systems
by T. T. Chen & B. Zheng & Y. Li & X. F. Jiang
- 1703.06739 Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders
by Kiyoshi Kanazawa & Takumi Sueshige & Hideki Takayasu & Misako Takayasu
- 1703.06603 A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
by Sujay Mukhoti & Pritam Ranjan
- 1703.06351 Election Predictions as Martingales: An Arbitrage Approach
by Nassim Nicholas Taleb
- 1703.06020 Pricing VIX Derivatives With Free Stochastic Volatility Model
by Wei Lin & Shenghong Li & Shane Chern
- 1703.05979 How well do experience curves predict technological progress? A method for making distributional forecasts
by Franc{c}ois Lafond & Aimee Gotway Bailey & Jan David Bakker & Dylan Rebois & Rubina Zadourian & Patrick McSharry & J. Doyne Farmer
- 1703.05709 Incorporating statistical model error into the calculation of acceptability prices of contingent claims
by Martin Glanzer & Georg Ch. Pflug & Alois Pichler
- 1703.05240 Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life
by Francis Tseng & Fei Liu & Bernardo Alves Furtado
- 1703.05132 Short-time near-the-money skew in rough fractional volatility models
by Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper
- 1703.05049 Perfect hedging in rough Heston models
by Omar El Euch & Mathieu Rosenbaum
- 1703.05047 Data driven partition-of-unity copulas with applications to risk management
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1703.04549 Systemic Risk, Maximum Entropy and Interbank Contagion
by M. Andrecut
- 1703.04423 Extremal Behavior of Long-Term Investors with Power Utility
by Nicole Bauerle & Stefanie Grether
- 1703.04385 Topological Data Analysis of Financial Time Series: Landscapes of Crashes
by Marian Gidea & Yuri Katz
- 1703.03638 On representing and hedging claims for coherent risk measures
by Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui
- 1703.03195 Diffusive and arrested-like dynamics in currency exchange markets
by Joaquim Clara-Rahola & Antonio M. Puertas & Miguel Angel Sanchez-Granero & Juan E. Trinidad-Segovia & F. Javier de las Nieves
- 1703.03016 Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network
by Javier Garcia-Bernardo & Jan Fichtner & Eelke M. Heemskerk & Frank W. Takes
- 1703.02865 Networks as Proxies: a relational approach towards economic complexity in the Roman period
by Johannes Preiser-Kapeller
- 1703.02777 Pythagorean theorem of Sharpe ratio
by Takashi Shinzato
- 1703.02720 Model Selection for Explosive Models
by Yubo Tao & Jun Yu
- 1703.02715 Joint News, Attention Spillover,and Market Returns
by Li Guo & Lin Peng & Yubo Tao & Jun Tu
- 1703.02694 Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
by Samuel Drapeau & Peng Luo & Dewen Xiong
- 1703.02311 Mini-symposium on automatic differentiation and its applications in the financial industry
by S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai
- 1703.02105 Network Structure and Naive Sequential Learning
by Krishna Dasaratha & Kevin He
- 1703.02104 Long-run dynamics of the U.S. patent classification system
by Francois Lafond & Daniel Kim
- 1703.01989 Wisdom of the institutional crowd
by Kevin Primicerio & Damien Challet & Stanislao Gualdi
- 1703.01984 Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
by Danping Li & Dongchen Li & Virginia R. Young
- 1703.01574 Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading
by Dmitry Muravey
- 1703.01505 Blockchains and Distributed Ledgers in Retrospective and Perspective
by Alexander Lipton
- 1703.01369 Collective Learning in China's Regional Economic Development
by Jian Gao & Bogang Jun & Alex Sandy Pentland & Tao Zhou & Cesar A. Hidalgo
- 1703.01329 Disentangling Price, Risk and Model Risk: V&R measures
by Marco Frittelli & Marco Maggis
- 1703.01292 Quantifying China's Regional Economic Complexity
by Jian Gao & Tao Zhou
- 1703.01291 Swarm behavior of traders with different subjective predictions in the Market
by Hiroshi Toyoizumi
- 1703.01137 Model Spaces for Risk Measures
by Felix-Benedikt Liebrich & Gregor Svindland
- 1703.00957 Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
by Stefano De Marco & Claude Martini
- 1703.00923 Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies
by Jorge Inigo
- 1703.00918 A note on conditional covariance matrices for elliptical distributions
by Piotr Jaworski & Marcin Pitera
- 1703.00703 *K-means and Cluster Models for Cancer Signatures
by Zura Kakushadze & Willie Yu
- 1703.00485 A review of two decades of correlations, hierarchies, networks and clustering in financial markets
by Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat
- 1703.00476 Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
by Andreas Hermes & Stanislaus Maier-Paape
- 1703.00308 Are Trump and Bitcoin Good Partners?
by Jamal Bouoiyour & Refk Selmi
- 1703.00259 Binary Funding Impacts in Derivative Valuation
by Junbeom Lee & Chao Zhou
- 1703.00182 Incremental computation of block triangular matrix exponentials with application to option pricing
by Daniel Kressner & Robert Luce & Francesco Statti
- 1703.00062 Optimal Investment and Pricing in the Presence of Defaults
by Tetsuya Ishikawa & Scott Robertson
- 1702.08901 Solvency II, or How to Sweep the Downside Risk Under the Carpet
by Stefan Weber
- 1702.08867 Robust and Consistent Estimation of Generators in Credit Risk
by Greig Smith & Goncalo dos Reis
- 1702.08774 Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability
by Yuri Biondi & Feng Zhou
- 1702.08744 Reverse stress testing interbank networks
by Daniel Grigat & Fabio Caccioli
- 1702.08391 Economic inequality and mobility for stochastic models with multiplicative noise
by Maria Letizia Bertotti & Amit K Chattopadhyay & Giovanni Modanese
- 1702.08081 Probability density of lognormal fractional SABR model
by Jiro Akahori & Xiaoming Song & Tai-Ho Wang
- 1702.08029 The short-term price impact of trades is universal
by Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud
- 1702.07936 Obligations with Physical Delivery in a Multi-Layered Financial Network
by Zachary Feinstein
- 1702.07786 A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
by David Landriault & Bin Li & Hongzhong Zhang
- 1702.07556 A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
by Takuji Arai & Yuto Imai
- 1702.07423 A generalized public goods game with coupling of individual ability and project benefit
by Li-Xin Zhong & Wen-Juan Xu & Yun-Xin He & Chen-Yang Zhong & Rong-Da Chen & Tian Qiu & Yong-Dong Shi & Fei Ren
- 1702.07374 Time series momentum and contrarian effects in the Chinese stock market
by Huai-Long Shi & Wei-Xing Zhou
- 1702.07169 Robust Hedging of Options on a Leveraged Exchange Traded Fund
by Alexander M. G. Cox & Sam M. Kinsley
- 1702.06913 Structural Change in (Economic) Time Series
by Christian Kleiber
- 1702.06191 Evidence for criticality in financial data
by G. Ruiz L'opez & A. Fern'andez de Marcos
- 1702.06055 Performance of information criteria used for model selection of Hawkes process models of financial data
by J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh
- 1702.05944 Relation between regional uncertainty spillovers in the global banking system
by Sachapon Tungsong & Fabio Caccioli & Tomaso Aste
- 1702.05809 Network-based Anomaly Detection for Insider Trading
by Adarsh Kulkarni & Priya Mani & Carlotta Domeniconi
- 1702.05649 Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
by Tianran Geng & Thaleia Zariphopoulou
- 1702.05434 The amazing power of dimensional analysis: Quantifying market impact
by Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi
- 1702.05315 Estimation for the Prediction of Point Processes with Many Covariates
by Alessio Sancetta
- 1702.05036 Uncertain Volatility Models with Stochastic Bounds
by Jean-Pierre Fouque & Ning Ning
- 1702.05005 PyCaMa: Python for cash management
by Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Pablo D'iaz-Garc'ia
- 1702.04967 Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition
by Takanori Adachi & Michal Fabinger
- 1702.04642 Prediction defaults for networked-guarantee loans
by Dawei Cheng & Zhibin Niu & Yi Tu & Liqing Zhang
- 1702.04443 Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
by Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara
- 1702.04388 Estimating VaR in credit risk: Aggregate vs single loss distribution
by M. Assadsolimani & D. Chetalova
- 1702.04289 Regularities and Irregularities in Order Flow Data
by Martin Theissen & Sebastian M. Krause & Thomas Guhr
- 1702.04287 Contagion in financial systems: A Bayesian network approach
by Carsten Chong & Claudia Kluppelberg
- 1702.04053 Discounting with Imperfect Collateral
by Wujiang Lou
- 1702.03977 Labor Contract Law -An Economic View
by Yaofeng Fu & Ruokun Huang & Yiran Sheng
- 1702.03838 Trading Lightly: Cross-Impact and Optimal Portfolio Execution
by Iacopo Mastromatteo & Michael Benzaquen & Zoltan Eisler & Jean-Philippe Bouchaud
- 1702.03382 Short Maturity Asian Options for the CEV Model
by Dan Pirjol & Lingjiong Zhu
- 1702.03290 A Theory of Market Efficiency
by Anup Rao
- 1702.03244 $L_2$Boosting for Economic Applications
by Ye Luo & Martin Spindler
- 1702.03232 Invariance properties in the dynamic gaussian copula model
by St'ephane Cr'epey & Shiqi Song
- 1702.03226 An applied spatial agent-based model of administrative boundaries using SEAL
by Bernardo Alves Furtado & Isaque Daniel Eberhardt Rocha
- 1702.03098 Estimation of Risk Contributions with MCMC
by Takaaki Koike & Mihoko Minami
- 1702.02896 Policy Learning with Observational Data
by Susan Athey & Stefan Wager
- 1702.02826 Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws
by Masaru Shintani & Ken Umeno
- 1702.02777 Rough volatility: evidence from option prices
by Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum
- 1702.02763 Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
by Victor Olkhov
- 1702.02254 One-Switch Discount Functions
by Nina Anchugina
- 1702.02087 Conditional Davis Pricing
by Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c
- 1702.02007 The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project
by Dogus Ozuyar & Sevilay Gumus Ozuyar & Oguzhan Karadeniz & Ozge Varol
- 1702.01936 Existence, uniqueness and stability of optimal portfolios of eligible assets
by Michel Baes & Pablo Koch-Medina & Cosimo Munari
- 1702.01819 Learning and Type Compatibility in Signaling Games
by Drew Fudenberg & Kevin He
- 1702.01742 Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics
by Alex Ushveridze
- 1702.01706 Existence of a Radner equilibrium in a model with transaction costs
by Kim Weston
- 1702.01686 Demonetization and Its Impact on Employment in India
by Pawan Kumar
- 1702.01385 Perfect hedging under endogenous permanent market impacts
by Masaaki Fukasawa & Mitja Stadje
- 1702.01362 Hyperbolic Discounting of the Far-Distant Future
by Nina Anchugina & Matthew Ryan & Arkadii Slinko
- 1702.01354 Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency
by Md. Mahmudul Alam & Kazi Ashraful Alam & Md. Gazi Salah Uddin
- 1702.01250 Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges
by Susan Athey & Guido Imbens & Thai Pham & Stefan Wager
- 1702.01175 Monetary value measures in a category of probability spaces
by Takanori Adachi & Yoshihiro Ryu
- 1702.01164 Estimation of a noisy subordinated Brownian Motion via two-scales power variations
by Jose E. Figueroa-Lopez & K. Lee
- 1702.01045 Invariance times
by St'ephane Cr'epey & Shiqi Song
- 1702.01017 Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information
by Diptesh Ghosh & Anindya S. Chakrabarti
- 1702.00994 Approaches to Asian Option Pricing with Discrete Dividends
by Jacob Lundgren & Yuri Shpolyanskiy
- 1702.00982 On utility maximization without passing by the dual problem
by Miklos Rasonyi
- 1702.00586 Record statistics of a strongly correlated time series: random walks and L\'evy flights
by Claude Godreche & Satya N. Majumdar & Gregory Schehr
- 1702.00215 A confidence-based model for asset and derivative prices in the BitCoin market
by Alessandra Cretarola & Gianna Fig`a-Talamanca
- 1702.00152 The valuation of European option with transaction costs by mixed fractional Merton model
by Foad Shokrollahi
- 1702.00144 Zipf's law for share price and company fundamentals
by Taisei Kaizoji & Michiko Miyano
- 1702.00037 Fractional delta hedging strategy for pricing currency options with transaction costs
by Foad Shokrollahi
- 1701.09043 Towards a taxonomy of learning dynamics in 2 x 2 games
by Marco Pangallo & James Sanders & Tobias Galla & Doyne Farmer
- 1701.08972 An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
by Takashi Kato
- 1701.08861 On a class of path-dependent singular stochastic control problems
by Romuald Elie & Ludovic Moreau & Dylan Possamai
- 1701.08789 Understanding food inflation in India: A Machine Learning approach
by Akash Malhotra & Mayank Maloo
- 1701.08711 Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network
by Vinci Chow
- 1701.08579 Asset liquidation under drift uncertainty and regime-switching volatility
by Juozas Vaicenavicius
- 1701.08567 Decision structure of risky choice
by Lamb Wubin & Naixin Ren
- 1701.08545 Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
by Rafael Company & Vera Egorova & Lucas J'odar & Fazlollah Soleymani
- 1701.08399 Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
by Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski
- 1701.08299 Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity
by Viktor Witkovsky & Gejza Wimmer & Tomas Duby
- 1701.08204 A stability result on optimal Skorokhod embedding
by Gaoyue Guo
- 1701.08149 Representation of I(1) and I(2) autoregressive Hilbertian processes
by Brendan K. Beare & Won-Ki Seo
- 1701.07333 Supply based on demand dynamical model
by Asaf Levi & Juan Sabuco & Miguel A. F. Sanjuan
- 1701.07218 Premium valuation for a multiple state model containing manifold premium-paid states
by Joanna Dk{e}bicka & Beata Zmy'slona
- 1701.07175 Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes
by Swarn Chatterjee
- 1701.07152 Time Series Copulas for Heteroskedastic Data
by Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn
- 1701.06975 Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
by Antoaneta Serguieva
- 1701.06779 Monotone Martingale Transport Plans and Skorohod Embedding
by Mathias Beiglboeck & Pierre Henry-Labordere & Nizar Touzi
- 1701.06625 Econophysics Macroeconomic Model
by Victor Olkhov
- 1701.06299 Economic Growth Model with Constant Pace and Dynamic Memory
by Valentina V. Tarasova & Vasily E. Tarasov
- 1701.06234 A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
by Andrzej Ruszczynski & Jianing Yao
- 1701.06081 Topology data analysis of critical transitions in financial networks
by Marian Gidea
- 1701.06038 Asymptotic efficiency of the proportional compensation scheme for a large number of producers
by Dmitry B. Rokhlin & Anatoly Usov
- 1701.06001 Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
by Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger
- 1701.05967 Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
by Niushan Gao & Denny H. Leung & Cosimo Munari & Foivos Xanthos
- 1701.05864 Bank monitoring incentives under moral hazard and adverse selection
by Nicol'as Hern'andez Santib'a~nez & Dylan Possamai & Chao Zhou
- 1701.05695 The Value of Timing Risk
by Jiro Akahori & Flavia Barsotti & Yuri Imamura
- 1701.05632 The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations
by Klaus Ackermann & Simon D Angus & Paul A Raschky
- 1701.05450 An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints
by Amir T. Payandeh-Najafabadi & Ali Panahi-Bazaz
- 1701.05447 An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation
by Amir T. Payandeh Najafabadi & Ali Panahi Bazaz
- 1701.05176 Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk
by Oisin Connolly
- 1701.05114 A geometrical imaging of the real gap between economies of China and the United States
by Ali Hosseiny
- 1701.05091 On the tail behavior of a class of multivariate conditionally heteroskedastic processes
by Rasmus Pedersen & Olivier Wintenberger
- 1701.05016 Mean-Reverting Portfolio Design with Budget Constraint
by Ziping Zhao & Daniel P. Palomar
- 1701.04780 Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
by Ruediger Frey & Lars Roesler & Dan Lu
- 1701.04565 Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management
by Masahiko Egami & Rusudan Kevkhishvili
- 1701.04491 A geometric approach to the transfer problem for a finite number of traders
by Tomohiro Uchiyama
- 1701.04431 Interpolating between matching and hedonic pricing models
by Brendan Pass
- 1701.04260 On VIX Futures in the rough Bergomi model
by Antoine Jacquier & Claude Martini & Aitor Muguruza
- 1701.04167 Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
by Anulekha Dhara & Bikramjit Das & Karthik Natarajan
- 1701.04134 A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
by Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan
- 1701.03960 Optimal Trading with a Trailing Stop
by Tim Leung & Hongzhong Zhang
- 1701.03897 A Black--Scholes inequality: applications and generalisation
by Michael R. Tehranchi
- 1701.03770 The structural constraints of income inequality in Latin America
by Dominik Hartmann & Cristian Jara-Figueroa & Miguel Guevara & Alex Simoes & C'esar A. Hidalgo
- 1701.03512 Parallelizing Computation of Expected Values in Recombinant Binomial Trees
by Sai K. Popuri & Andrew M. Raim & Nagaraj K. Neerchal & Matthias K. Gobbert
- 1701.03098 Trading strategies for stock pairs regarding to the cross-impact cost
by Shanshan Wang
- 1701.02958 Robust Portfolio Optimisation with Specified Competitors
by Gonc{c}alo Sim~oes & Mark McDonald & Stacy Williams & Daniel Fenn & Raphael Hauser
- 1701.02821 Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
by Andrey Itkin
- 1701.02798 Phase-type Approximation of the Gerber-Shiu Function
by Kazutoshi Yamazaki
- 1701.02681 Recursive Marginal Quantization of Higher-Order Schemes
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen
- 1701.02245 Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
by Takashi Shinzato
- 1701.02216 Structural propagation in a production network with restoring substitution elasticities
by Satoshi Nakano & Kazuhiko Nishimura
- 1701.02182 Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?
by Jamal Bouoiyour & Refk Selmi
- 1701.02167 Stability for gains from large investors' strategies in M1/J1 topologies
by Dirk Becherer & Todor Bilarev & Peter Frentrup
- 1701.02028 Asset correlation estimation for inhomogeneous exposure pools
by Christoph Wunderer
- 1701.02015 Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
by Leif Doering & Blanka Horvath & Josef Teichmann
- 1701.01891 Pricing insurance drawdown-type contracts with underlying L\'evy assets
by Zbigniew Palmowski & Joanna Tumilewicz
- 1701.01677 The Shapley Value of Digraph Games
by Krishna Khatri
- 1701.01515 Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
by Wenting Chen & Kai Du & Xinzi Qiu
- 1701.01429 Chebyshev Reduced Basis Function applied to Option Valuation
by Javier de Frutos & Victor Gaton
- 1701.01428 Predicting Economic Recessions Using Machine Learning Algorithms
by Rickard Nyman & Paul Ormerod
- 1701.01427 Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
by Victor Haghani & Richard Dewey
- 1701.01327 Optimal liquidation in a Level-I limit order book for large tick stocks
by Antoine Jacquier & Hao Liu
- 1701.01255 Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
by V. Gontis & A. Kononovicius
- 1701.01185 Efficient asymptotic variance reduction when estimating volatility in high frequency data
by Simon Clinet & Yoann Potiron
- 1701.00993 Brownian trading excursions and avalanches
by Friedrich Hubalek & Paul Kruhner & Thorsten Rheinlander
- 1701.00886 Pricing European Options by Stable Fourier-Cosine Series Expansions
by Chunfa Wang
- 1701.00875 Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
by Tim Leung & Yerkin Kitapbayev
- 1701.00540 Net Stable Funding Ratio: Impact on Funding Value Adjustment
by Medya Siadat & Ola Hammarlid
2016