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Content
2016
- 1610.08676 $\kappa$-generalized models of income and wealth distributions: A survey
by F. Clementi & M. Gallegati & G. Kaniadakis & S. Landini
- 1610.08644 Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point
by Oliver Janke
- 1610.08558 Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
by Ankush Agarwal & Ronnie Sircar
- 1610.08416 Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
by Jaroslaw Kwapien & Pawel Oswiecimka & Marcin Forczek & Stanislaw Drozdz
- 1610.08415 A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods
by T. O. Benli
- 1610.08414 The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function
by Peter B. Lerner
- 1610.08329 quantreg.nonpar: An R Package for Performing Nonparametric Series Quantile Regression
by Michael Lipsitz & Alexandre Belloni & Victor Chernozhukov & Iv'an Fern'andez-Val
- 1610.08230 Short term prediction of extreme returns based on the recurrence interval analysis
by Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou
- 1610.08143 Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
by Tim Leung & Zheng Wang
- 1610.08104 Cleaning large correlation matrices: tools from random matrix theory
by Joel Bun & Jean-Philippe Bouchaud & Marc Potters
- 1610.07894 Counterfactual: An R Package for Counterfactual Analysis
by Mingli Chen & Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly
- 1610.07714 probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects
by Mario Cruz-Gonzalez & Ivan Fernandez-Val & Martin Weidner
- 1610.07694 Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
- 1610.07292 Population growth, interest rate, and housing tax in the transitional China
by Ling-Yun He & Xing-Chun Wen
- 1610.07287 The asset price bubbles in emerging financial markets: a new statistical approach
by Shu-Peng Chen & Ling-Yun He
- 1610.07131 Asymptotic of Non-Crossings probability of Additive Wiener Fields
by Pingjin Deng
- 1610.07028 Techniques for multifractal spectrum estimation in financial time series
by Petr Jizba & Jan Korbel
- 1610.06805 Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
by Amine Ismail & Huy^en Pham
- 1610.05892 Centrality measures in networks based on nodes attributes, long-range interactions and group influence
by F. Aleskerov & N. Meshcheryakova & S. Shvydun
- 1610.05728 Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
by Weston Barger & Matthew Lorig
- 1610.05703 Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques
by A. Belenky & L. Egorova
- 1610.05697 "Butterfly Effect" vs Chaos in Energy Futures Markets
by Loretta Mastroeni & Pierluigi Vellucci
- 1610.05583 Price Dynamics Via Expectations, and the Role of Money Therein
by Gesine A. Steudle & Saini Yang & Carlo C. Jaeger
- 1610.05494 Network reconstruction via density sampling
by Tiziano Squartini & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli
- 1610.05448 Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1610.05383 Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
by Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo
- 1610.05171 Urban-rural gap and poverty traps in China: A prefecture level analysis
by Jian-Xin Wu & Ling-Yun He
- 1610.05018 An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach
by Kristoffer Lindensjo
- 1610.04760 Uncertainty Estimates in the Heston Model via Fisher Information
by Oliver Pfante & Nils Bertschinger
- 1610.04458 Optimal trading policies for wind energy producer
by Zongjun Tan & Peter Tankov
- 1610.04334 Time-Varying Comovement of Foreign Exchange Markets
by Mikio Ito & Akihiko Noda & Tatsuma Wada
- 1610.04085 The Fatou Closedness under Model Uncertainty
by Marco Maggis & Thilo Meyer-Brandis & Gregor Svindland
- 1610.04051 Time value of extra information against its timely value
by N. Serhan Aydin
- 1610.03958 Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
by Albert Altarovici & Max Reppen & H. Mete Soner
- 1610.03936 A framework for analyzing contagion in assortative banking networks
by Thomas R. Hurd & James P. Gleeson & Sergey Melnik
- 1610.03769 On Origins of Bubbles
by Zura Kakushadze
- 1610.03718 Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
by J. D. Opdyke
- 1610.03259 Epidemics of Liquidity Shortages in Interbank Markets
by Giuseppe Brandi & Riccardo Di Clemente & Giulio Cimini
- 1610.03230 Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
by R'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra
- 1610.03086 Option pricing with Legendre polynomials
by Julien Hok & Tat Lung Chan
- 1610.03050 Dependent Defaults and Losses with Factor Copula Models
by Damien Ackerer & Thibault Vatter
- 1610.02940 Constrained Optimal Transport
by Ibrahim Ekren & H. Mete Soner
- 1610.02863 Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
by F Blasques & P Gorgi & S Koopman & O Wintenberger
- 1610.02738 Best Subset Binary Prediction
by Le-Yu Chen & Sokbae Lee
- 1610.02456 Volatility Smile as Relativistic Effect
by Zura Kakushadze
- 1610.02126 Multiple risk factor dependence structures: Copulas and related properties
by Jianxi Su & Edward Furman
- 1610.01946 Efficient Valuation of SCR via a Neural Network Approach
by Seyed Amir Hejazi & Kenneth R. Jackson
- 1610.01937 Trading against disorderly liquidation of a large position under asymmetric information and market impact
by Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang
- 1610.01645 Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation
by David R Walwyn
- 1610.01450 Asset Pricing with Random Volatility
by Xin Liu
- 1610.01338 The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?
by Ananjan Bhattacharyya & Abhijeet Chandra
- 1610.01271 Generalized Random Forests
by Susan Athey & Julie Tibshirani & Stefan Wager
- 1610.01270 Information inefficiency in a random linear economy model
by Joao Pedro Jerico & Renato Vicente
- 1610.01227 A Duality Result for Robust Optimization with Expectation Constraints
by Christopher W. Miller
- 1610.01149 Taylor's Law of temporal fluctuation scaling in stock illiquidity
by Qing Cai & Hai-Chuan Xu & Wei-Xing Zhou
- 1610.00999 Exponential utility maximization under model uncertainty for unbounded endowments
by Daniel Bartl
- 1610.00955 Inventory growth cycles with debt-financed investment
by Matheus Grasselli & Adrien Nguyen-Huu
- 1610.00937 Sharpe portfolio using a cross-efficiency evaluation
by Juan F. Monge & Mercedes Landete & Jos'e L. Ruiz
- 1610.00818 The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models
by Likuan Qin & Vadim Linetsky
- 1610.00795 A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks
by Daniele Petrone & Vito Latora
- 1610.00778 Long-Term Factorization of Affine Pricing Kernels
by Likuan Qin & Vadim Linetsky
- 1610.00577 Exponential functionals of Levy processes and variable annuity guaranteed benefits
by Runhuan Feng & Alexey Kuznetsov & Fenghao Yang
- 1610.00395 Optimal Portfolios of Illiquid Assets
by T. R. Hurd & Quentin H. Shao & Tuan Tran
- 1610.00332 Decoupling the short- and long-term behavior of stochastic volatility
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen
- 1610.00312 Volatility Inference and Return Dependencies in Stochastic Volatility Models
by Oliver Pfante & Nils Bertschinger
- 1610.00274 The complex dynamics of products and its asymptotic properties
by Orazio Angelini & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero
- 1610.00261 Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
by Charles-Albert Lehalle & Othmane Mounjid
- 1610.00259 Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016
by Rui Menezes & Sonia Bentes
- 1610.00256 XVA at the Exercise Boundary
by Andrew Green & Chris Kenyon
- 1609.09601 Biased Roulette Wheel: A Quantitative Trading Strategy Approach
by Giancarlo Salirrosas Mart'inez
- 1609.09571 The Role of Rating and Loan Characteristics in Online Microfunding Behaviors
by Gaurav Paruthi & Enrique Frias-Martinez & Vanessa Frias-Martinez
- 1609.09205 Robust Optimal Investment in Discrete Time for Unbounded Utility Function
by Laurence Carassus & Romain Blanchard
- 1609.09035 Fractional order statistic approximation for nonparametric conditional quantile inference
by Matt Goldman & David M. Kaplan
- 1609.09033 Smoothed estimating equations for instrumental variables quantile regression
by David M. Kaplan & Yixiao Sun
- 1609.08978 A stylized model for wealth distribution
by Bertram During & Nicos Georgiou & Enrico Scalas
- 1609.08746 When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources
by V. Sasidevan & Appilineni Kushal & Sitabhra Sinha
- 1609.08520 Clustering Approaches for Financial Data Analysis: a Survey
by Fan Cai & Nhien-An Le-Khac & Tahar Kechadi
- 1609.07903 Strongly Consistent Multivariate Conditional Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland
- 1609.07897 Risk-Consistent Conditional Systemic Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland
- 1609.07559 Short Maturity Asian Options in Local Volatility Models
by Dan Pirjol & Lingjiong Zhu
- 1609.07558 Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
by Dan Pirjol & Lingjiong Zhu
- 1609.07472 Gated Neural Networks for Option Pricing: Rationality by Design
by Yongxin Yang & Yu Zheng & Timothy M. Hospedales
- 1609.07051 Multivariate Garch with dynamic beta
by Matthias Raddant & Friedrich Wagner
- 1609.06545 Data-driven nonlinear expectations for statistical uncertainty in decisions
by Samuel N. Cohen
- 1609.05939 Crises and Physical Phases of a Bipartite Market Model
by Nima Dehmamy & Sergey Buldyrev & Shlomo Havlin & Harry Eugene Stanley & Irena Vodenska
- 1609.05865 Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
by Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap
- 1609.05832 Bounds for VIX Futures given S&P 500 Smiles
by Julien Guyon & Romain Menegaux & Marcel Nutz
- 1609.05523 Static vs adapted optimal execution strategies in two benchmark trading models
by Damiano Brigo & Clement Piat
- 1609.05475 Replica Analysis for the Duality of the Portfolio Optimization Problem
by Takashi Shinzato
- 1609.05394 Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016
by Barack Wamkaya Wanjawa
- 1609.05286 From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes
by Christof Henkel
- 1609.05200 Chinese Medical Device Market and The Investment Vector
by Weifan Zhang & Rebecca Liu & Chris Chatwin
- 1609.05177 The microstructural foundations of leverage effect and rough volatility
by El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu
- 1609.05056 Copula-Based Univariate Time Series Structural Shift Identification Test
by Henry Penikas
- 1609.05055 A Simple Model of Credit Expansion
by Alexander Smirnov
- 1609.04956 Export dynamics as an optimal growth problem in the network of global economy
by Michele Caraglio & Fulvio Baldovin & Attilio L. Stella
- 1609.04944 Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results
by Alan Roncoroni & Matus Medo
- 1609.04907 Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
by Tanmay S. Patankar
- 1609.04890 Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
by Shanshan Wang & Thomas Guhr
- 1609.04640 Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
by Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis
- 1609.04629 Institutionalization in Efficient Markets: The Case of Price Bubbles
by Sheen S. Levine & Edward J. Zajac
- 1609.04620 Price impact without order book: A study of the OTC credit index market
by Zoltan Eisler & Jean-Philippe Bouchaud
- 1609.04529 The joint distributions of running maximum of a Slepian processes
by Pingjin Deng
- 1609.04199 Entropy and efficiency of the ETF market
by Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi
- 1609.04065 Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
by Jonathan Yu-Meng Li
- 1609.03996 SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab
by Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt & Alexandre Messa
- 1609.03471 The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets
by Joachim R. Groeger
- 1609.03344 Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1609.03223 The Solution to Science's Replication Crisis
by Bruce Knuteson
- 1609.03167 Model Selection for Treatment Choice: Penalized Welfare Maximization
by Eric Mbakop & Max Tabord-Meehan
- 1609.03029 Covariance of random stock prices in the Stochastic Dividend Discount Model
by Arianna Agosto & Alessandra Mainini & Enrico Moretto
- 1609.02867 Canonical Supermartingale Couplings
by Marcel Nutz & Florian Stebegg
- 1609.02774 Value at risk and the diversification dogma
by Arturo Erdely
- 1609.02395 Dissecting cross-impact on stock markets: An empirical analysis
by Michael Benzaquen & Iacopo Mastromatteo & Zoltan Eisler & Jean-Philippe Bouchaud
- 1609.02369 Stochastic Tail Exponent For Asymmetric Power Laws
by Nassim Nicholas Taleb
- 1609.02354 Generalized Autoregressive Score Models in R: The GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania
- 1609.02349 A superhedging approach to stochastic integration
by Rafa{l} M. {L}ochowski & Nicolas Perkowski & David J. Promel
- 1609.02334 The interaction between trade and FDI: the CEE countries experience
by Claudiu Tiberiu Albulescu & Daniel Goyeau
- 1609.02108 The characteristic function of rough Heston models
by Omar El Euch & Mathieu Rosenbaum
- 1609.01900 The loss of interest for the euro in Romania
by Claudiu Albulescu & Dominique P'epin
- 1609.01655 The dividend problem with a finite horizon
by Tiziano De Angelis & Erik Ekstrom
- 1609.01621 Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
by David Criens
- 1609.01274 Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
by Ravi Kashyap
- 1609.00987 Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model
by Jean-Philippe Aguilar & Cyril Coste & Jan Korbel
- 1609.00926 Multivariate Mixed Tempered Stable Distribution
by Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji
- 1609.00869 Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions
by Antoine Emil Zambelli
- 1609.00819 Option-Based Pricing of Wrong Way Risk for CVA
by Chris Kenyon & Andrew Green
- 1609.00702 Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
by Mourad Lazgham
- 1609.00599 Optimal Execution in a Multiplayer Model of Transient Price Impact
by Elias Strehle
- 1609.00554 On Jensen's inequality for generalized Choquet integral with an application to risk aversion
by Wioletta Szeligowska & Marek Kaluszka
- 1609.00415 Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn
- 1609.00232 An adjoint method for the exact calibration of Stochastic Local Volatility models
by Maarten Wyns & Karel in 't Hout
- 1608.08582 Discrete hierarchy of sizes and performances in the exchange-traded fund universe
by Benjamin Vandermarliere & Jan Ryckebusch & Koen Schoors & Peter Cauwels & Didier Sornette
- 1608.08490 Multi-period investment strategies under Cumulative Prospect Theory
by Liurui Deng & Traian A. Pirvu
- 1608.08468 Sparse Bayesian time-varying covariance estimation in many dimensions
by Gregor Kastner
- 1608.08283 Risk measures and Margining control
by Giuseppe Carlo Calafiore & Leonardo Massai
- 1608.08268 On the Market-Neutrality of Optimal Pairs-Trading Strategies
by Bahman Angoshtari
- 1608.08210 What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013
by Deepak Malghan & Hema Swaminathan
- 1608.07901 Networks: An Economic Perspective
by Matthew O. Jackson & Brian W. Rogers & Yves Zenou
- 1608.07863 Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Matthew Lorig
- 1608.07831 Rethinking Financial Contagion
by Gabriele Visentin & Stefano Battiston & Marco D'Errico
- 1608.07796 Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship
by Neeraj & Prasanta K. Panigrahi
- 1608.07752 Financial Market Dynamics: Superdiffusive or not?
by Sandhya Devi
- 1608.07694 Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach
by Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail
- 1608.07226 Unit-linked life insurance policies: optimal hedging in partially observable market models
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1608.07193 Quantile Dependence between Stock Markets and its Application in Volatility Forecasting
by Heejoon Han
- 1608.07158 The randomised Heston model
by Antoine Jacquier & Fangwei Shi
- 1608.06959 Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience
by Luis Alcala & Fernando Tohme & Carlos Dabus
- 1608.06781 Fractal approach towards power-law coherency to measure cross-correlations between time series
by Ladislav Kristoufek
- 1608.06416 RELARM: A rating model based on relative PCA attributes and k-means clustering
by Elnura Irmatova
- 1608.06376 L\'evy-Vasicek Models and the Long-Bond Return Process
by Dorje C. Brody & Lane P. Hughston & David M. Meier
- 1608.06121 Volatility and Arbitrage
by E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf
- 1608.06076 New economic windows on income and wealth: The k-generalized family of distributions
by F. Clementi & M. Gallegati
- 1608.06045 Optimal Switching under Ambiguity and Its Applications in Finance
by Yuki Shigeta
- 1608.05900 A String Model of Liquidity in Financial Markets
by Sergey Lototsky & Henry Schellhorn & Ran Zhao
- 1608.05851 The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation
by Bruce M. Boghosian & Adrian Devitt-Lee & Hongyan Wang
- 1608.05814 Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation
by Zdzislaw Brzezniak & Tayfun Kok
- 1608.05650 Poverty Index With Time Varying Consumption and Income Distributions
by Amit K Chattopadhyay & T Krishna Kumar & Sushanta K Mallick
- 1608.05597 The structure of the climate debate
by Richard S. J. Tol
- 1608.05585 Consistency of option prices under bid-ask spreads
by Stefan Gerhold & I. Cetin Gulum
- 1608.05498 Elicitability and backtesting: Perspectives for banking regulation
by Natalia Nolde & Johanna F. Ziegel
- 1608.05378 A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes
by V. G. Filev & P. Neykov & G. S. Vasilev
- 1608.05145 Filling the gaps smoothly
by Andrey Itkin & Alexander Lipton
- 1608.05142 Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes
by Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly & Kaspar Wuthrich
- 1608.05060 General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
by Anatoliy Swishchuk & Katharina Cera & Julia Schmidt & Tyler Hofmeister
- 1608.05038 Electoral Stability and Rigidity
by Michael Y. Levy
- 1608.05024 Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit
by Gilles Boevi Koumou
- 1608.05002 Bayesian Posteriors For Arbitrarily Rare Events
by Drew Fudenberg & Kevin He & Lorens Imhof
- 1608.04832 Monetary economics from econophysics perspective
by Victor M. Yakovenko
- 1608.04683 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen
- 1608.04621 Optimal importance sampling for L\'evy Processes
by Adrien Genin & Peter Tankov
- 1608.04556 Rank-optimal weighting or "How to be best in the OECD Better Life Index?"
by Jan Lorenz & Christoph Brauer & Dirk A. Lorenz
- 1608.04537 Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion
by Luis H. R. Alvarez E. & Paavo Salminen
- 1608.04522 Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk
by Takashi Shinzato
- 1608.04506 Time-scale effects on the gain-loss asymmetry in stock indices
by Bulcs'u S'andor & Ingve Simonsen & B'alint Zsolt Nagy & Zolt'an N'eda
- 1608.03985 Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)
by Peter Richmond & Bertrand M. Roehner
- 1608.03636 A General Framework for Pairs Trading with a Control-Theoretic Point of View
by Atul Deshpande & B. Ross Barmish
- 1608.03521 Emergent organization in a model market
by Avinash Chand Yadav & Kaustubh Manchanda & Ramakrishna Ramaswamy
- 1608.03428 A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives
by Daniel Conus & Mackenzie Wildman
- 1608.03352 Some Contributions to Sequential Monte Carlo Methods for Option Pricing
by Deborshee Sen & Ajay Jasra & Yan Zhou
- 1608.03237 Managing counterparty credit risk via BSDEs
by Andrew Lesniewski & Anja Richter
- 1608.03058 Dynamic portfolio strategy using clustering approach
by Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu
- 1608.03053 Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
by Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren
- 1608.02740 Bayesian nonparametric sparse VAR models
by Monica Billio & Roberto Casarin & Luca Rossini
- 1608.02706 Another example of duality between game-theoretic and measure-theoretic probability
by Vladimir Vovk
- 1608.02690 Arbitrage-Free XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1608.02550 A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes
by Camilo Hernandez & Mauricio Junca & Harold Moreno-Franco
- 1608.02523 Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data
by Ali Hosseiny & Mauro Gallegati
- 1608.02446 Who would invest only in the risk-free asset?
by Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos
- 1608.02428 The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates
by Eugen Tarnow
- 1608.02365 Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
by Bernardi Mauro & Roy Cerqueti & Arsen Palestini
- 1608.02068 Arbitrage and utility maximization in market models with an insider
by Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov
- 1608.02028 Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing
by Michael A. Kouritzin
- 1608.01900 Serendipity and strategy in rapid innovation
by T. M. A. Fink & M. Reeves & R. Palma & R. S. Farr
- 1608.01895 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
by Mikkel Bennedsen
- 1608.01891 Toward Development of a New Health Economic Evaluation Definition
by Alexei Botchkarev
- 1608.01795 A diffusion approximation for limit order book models
by Ulrich Horst & Dorte Kreher
- 1608.01535 Optimal Population in a Finite Horizon
by Satoshi Nakano & Kazuhiko Nishimura