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Content
2016
- 1612.05229 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kramer
- 1612.05227 European banking supervision, the role of stress test. Some brief considerations
by Simone Manduchi
- 1612.05072 Predictability Hidden by Anomalous Observations
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani
- 1612.05021 Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis
by Jaeyong An & P. R. Kumar & Le Xie
- 1612.04990 A diagnostic criterion for approximate factor structure
by Patrick Gagliardini & Elisa Ossola & Olivier Scaillet
- 1612.04932 Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities
by Demian Pouzo & Zacharias Psaradakis & Martin Sola
- 1612.04512 Agent-based Model for Spot and Balancing Electricity Markets
by Florian Kuhnlenz & Pedro H. J. Nardelli
- 1612.04507 Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
by Jos'e E. Figueroa-L'opez & Cheng Li
- 1612.04407 Dynamic Convex Duality in Constrained Utility Maximization
by Yusong Li & Harry Zheng
- 1612.04370 S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes
by Panagiotis Papaioannou & Thomas Dionysopoulos & Dietmar Janetzko & Constantinos Siettos
- 1612.04126 The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company
by Alicja Wolny-Dominiak
- 1612.03698 Fractal Optimization of Market Neutral Portfolio
by Sergey Kamenshchikov & Ilia Drozdov
- 1612.03347 Dual Moments and Risk Attitudes
by Louis R. Eeckhoudt & Roger J. A. Laeven
- 1612.03066 Parameter uncertainty and reserve risk under Solvency II
by Andreas Frohlich & Annegret Weng
- 1612.03031 Early exercise decision in American options with dividends, stochastic volatility and jumps
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet
- 1612.02985 Risk averse fractional trading using the current drawdown
by Stanislaus Maier-Paape
- 1612.02666 Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016
by Barack Wamkaya Wanjawa
- 1612.02658 The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach
by Jian-Xin Wu & Ling-Yun He
- 1612.02657 How do Chinese cities grow? A distribution dynamics approach
by Jian-Xin Wu & Ling-Yun He
- 1612.02656 The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection
by Ling-yun He & Li Liu
- 1612.02654 China building energy consumption: definitions and measures from an operational perspective
by Ling-Yun He & Wei Wei
- 1612.02653 Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector
by Lu-Yi Qiu & Ling-Yun He
- 1612.02567 Order statistics of horse racing and the randomly broken stick
by Peter A. Bebbington & Julius Bonart
- 1612.02444 Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
by Jos'e-Luis P'erez & Kazutoshi Yamazaki
- 1612.02312 Game options with gradual exercise and cancellation under proportional transaction costs
by Alet Roux & Tomasz Zastawniak
- 1612.02112 Financial market with no riskless (safe) asset
by Svetlozar Rachev & Frank Fabozzi
- 1612.02090 Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes
by Pedro H. C. Sant'Anna
- 1612.02024 Impossible Inference in Econometrics: Theory and Applications
by Marinho Bertanha & Marcelo J. Moreira
- 1612.01979 Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
by Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi
- 1612.01951 Stability of calibration procedures: fractals in the Black-Scholes model
by Yiran Cui & Sebastian del Bano Rollin & Guido Germano
- 1612.01624 Exponential Structure of Income Inequality: Evidence from 67 Countries
by Yong Tao & Xiangjun Wu & Tao Zhou & Weibo Yan & Yanyuxiang Huang & Han Yu & Benedict Mondal & Victor M. Yakovenko
- 1612.01327 A multi-asset investment and consumption problem with transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu
- 1612.01302 A Primer on Portfolio Choice with Small Transaction Costs
by Johannes Muhle-Karbe & Max Reppen & H. Mete Soner
- 1612.01232 Wavelet-based methods for high-frequency lead-lag analysis
by Takaki Hayashi & Yuta Koike
- 1612.01155 A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade
by Xu Wang & Ryan P. Badman
- 1612.01132 A Model of Synchronization for Self-Organized Crowding Behavior
by Jake J. Xia
- 1612.01013 Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
by Tim Leung & Hyungbin Park
- 1612.00981 How much market making does a market need?
by V'it Perv{z}ina & Jan M. Swart
- 1612.00833 Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach
by Mahmood Mahmoudzadeh & Seyyed Ali Zeytoon Nejad Moosavian
- 1612.00828 A New Set of Financial Instruments
by Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi
- 1612.00780 A Market Driver Volatility Model via Policy Improvement Algorithm
by Jun Maeda & Saul D. Jacka
- 1612.00720 Optimal consumption and investment under transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu
- 1612.00402 Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
by Maciej Balajewicz & Jari Toivanen
- 1612.00270 Predicting the rise of right-wing populism in response to unbalanced immigration
by Boris Podobnik & Marko Jusup & H. Eugene Stanley
- 1612.00221 The Coconut Model with Heterogeneous Strategies and Learning
by Sven Banisch & Eckehard Olbrich
- 1611.09926 Choquet integral in decision analysis - lessons from the axiomatization
by Mikhail Timonin
- 1611.09893 Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data
by Michele Coscia & Ricardo Hausmann & Frank Neffke
- 1611.09631 Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
by Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong
- 1611.09420 The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
by Christian Hansen & Yuan Liao
- 1611.09300 Asymptotic approximation of optimal portfolio for small time horizons
by Rohini Kumar & Hussein Nasralah
- 1611.09179 Optimal stopping with f -expectations: the irregular case
by Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez
- 1611.09062 Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets
by N. S. Gonchar
- 1611.08510 Can Agent-Based Models Probe Market Microstructure?
by Donovan Platt & Tim Gebbie
- 1611.08393 Mean-Reverting Portfolio Design via Majorization-Minimization Method
by Ziping Zhao & Daniel P. Palomar
- 1611.08330 The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement
by Johan G. Andreasson & Pavel V. Shevchenko
- 1611.08088 Multiple Time Series Ising Model for Financial Market Simulations
by Tetsuya Takaishi
- 1611.07843 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
by Alexis Bismuth & Olivier Gu'eant & Jiang Pu
- 1611.07741 The Markowitz Category
by John Armstrong
- 1611.07432 "Chaos" in energy and commodity markets: a controversial matter
by Loretta Mastroeni & Pierluigi Vellucci
- 1611.06698 Dynamical Stationarity as a Result of Sustained Random Growth
by Tam'as Bir'o & Zolt'an N'eda
- 1611.06672 Systemic Risk and Interbank Lending
by Li-Hsien Sun
- 1611.06666 Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
by Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley
- 1611.06452 Model reduction for calibration of American options
by Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth
- 1611.06407 Interplay between endogenous and exogenous fluctuations in financial markets
by Vygintas Gontis
- 1611.06344 Regression-based complexity reduction of the nested Monte Carlo methods
by Denis Belomestny & Stefan Hafner & Mikhail Urusov
- 1611.06218 Convex functions on dual Orlicz spaces
by Freddy Delbaen & Keita Owari
- 1611.06217 Specification Tests for the Propensity Score
by Pedro H. C. Sant'Anna & Xiaojun Song
- 1611.06181 Calibration to American Options: Numerical Investigation of the de-Americanization
by Olena Burkovska & Maximilian Ga{ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth
- 1611.06098 On the wavelets-based SWIFT method for backward stochastic differential equations
by Ki Wai Chau & Cornelis W. Oosterlee
- 1611.06010 Value-at-Risk Prediction in R with the GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania
- 1611.05690 A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case
by Javiera Barrera & Eduardo Moreno & Sebastian Varas
- 1611.05571 Random matrix approach to estimation of high-dimensional factor models
by Joongyeub Yeo & George Papanicolaou
- 1611.05518 Robust Trading of Implied Skew
by Sergey Nadtochiy & Jan Obloj
- 1611.05288 Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach
by Kathia Pinz'on
- 1611.05280 Toward Economics as a New Complex System
by Taisei Kaizoji
- 1611.05194 Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals
by Kensuke Ishitani
- 1611.04941 Empirical analysis of daily cash flow time series and its implications for forecasting
by Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Montserrat Guillen & Francisco J. Martin
- 1611.04877 The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach
by Xavier Warin
- 1611.04851 Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
by Marie Kratz & Yen H. Lok & Alexander J McNeil
- 1611.04494 Predictable Forward Performance Processes: The Binomial Case
by Bahman Angoshtari & Thaleia Zariphopoulou & Xun Yu Zhou
- 1611.04320 Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry
by Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel
- 1611.04311 How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
by Matteo Serri & Guido Caldarelli & Giulio Cimini
- 1611.04091 Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
by Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1611.04090 Time-varying return predictability in the Chinese stock market
by Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou
- 1611.03782 What do central counterparties default funds really cover? A network-based stress test answer
by Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini
- 1611.03740 Properties of the financial break-even point in a simple investment project as a function of the discount rate
by Domingo A. Tarzia
- 1611.03435 Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
by Paulwin Graewe & Ulrich Horst
- 1611.03239 Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing
by Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel
- 1611.03110 Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
by Tim Leung & Jamie Kang
- 1611.03015 Honest Confidence Sets in Nonparametric IV Regression and Other Ill-Posed Models
by Andrii Babii
- 1611.02961 A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
by Maarten Wyns & Jacques Du Toit
- 1611.02952 Unexpected Default in an Information Based Model
by Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert
- 1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
by Damiano Brigo & Fr'ed'eric Vrins
- 1611.02760 The missing assets and the size of Shadow Banking: an update
by Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati
- 1611.02556 Application of the Generalized Linear Models in Actuarial Framework
by Murwan H. M. A. Siddig
- 1611.02549 Emerging interdependence between stock values during financial crashes
by Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad
- 1611.02547 Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
by Moustapha Pemy
- 1611.02270 Functional Forms for Tractable Economic Models and the Cost Structure of International Trade
by Michal Fabinger & E. Glen Weyl
- 1611.02026 Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
by Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar
- 1611.01958 Optimal shrinkage-based portfolio selection in high dimensions
by Taras Bodnar & Yarema Okhrin & Nestor Parolya
- 1611.01771 An Equilibrium Model with Computationally Constrained Agents
by Wolfgang Kuhle
- 1611.01767 EM Algorithm and Stochastic Control in Economics
by Steven Kou & Xianhua Peng & Xingbo Xu
- 1611.01531 Effects of income redistribution on the evolution of cooperation in spatial public goods games
by Zhenhua Pei & Baokui Wang & Jinming Du
- 1611.01524 `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
by Vasyl Golosnoy & Nestor Parolya
- 1611.01471 A fair monetization model to reconcile authors and consumers of intellectual property
by Evgeny Ivanko
- 1611.01463 International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
by Nonthachote Chatsanga & Andrew J. Parkes
- 1611.01440 Liquidity induced asset bubbles via flows of ELMMs
by Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis
- 1611.01381 Revealing the Anatomy of Vote Trading
by Omar A. Guerrero & Ulrich Matter
- 1611.01379 Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
by Bertram During & Christian Hendricks & James Miles
- 1611.01285 Naive Diversification Preferences and their Representation
by Enrico G. De Giorgi & Ola Mahmoud
- 1611.01280 Optimal portfolio selection under vanishing fixed transaction costs
by Soren Christensen & Albrecht Irle & Andreas Ludwig
- 1611.00997 LQG for portfolio optimization
by M. Abeille & E. Serie & A. Lazaric & X. Brokmann
- 1611.00970 Working Paper on Organizational Dynamics within Corporate Venture Capital Firms
by Michael Rolfes & Alex Sandy Pentland
- 1611.00897 Joint multifractal analysis based on wavelet leaders
by Zhi-Qiang Jiang & Yan-Hong Yang & Gang-Jin Wang & Wei-Xing Zhou
- 1611.00885 Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic
- 1611.00723 Socio-economic inequality and prospects of institutional Econophysics
by Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti
- 1611.00464 Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
by Ivan Guo & Gregoire Loeper
- 1611.00389 Option pricing in exponential L\'evy models with transaction costs
by Nicola Cantarutti & Jo~ao Guerra & Manuel Guerra & Maria do Ros'ario Grossinho
- 1611.00316 Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
by Bertram During & Christof Heuer
- 1611.00156 Globalization Process in Emerging Capital Markets -- Lessons and Implications to China
by Zichong Li & Pengyu Huang
- 1610.10078 Optimal retirement income tontines
by Moshe A. Milevsky & Thomas S. Salisbury
- 1610.10029 Meta-CTA Trading Strategies based on the Kelly Criterion
by Bernhard K. Meister
- 1610.09904 Mean Field Game of Controls and An Application To Trade Crowding
by Pierre Cardaliaguet & Charles-Albert Lehalle
- 1610.09875 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
by Eckhard Platen & David Taylor
- 1610.09812 Long-range Correlation and Market Segmentation in Bond Market
by Zhongxing Wang & Yan Yan & Xiaosong Chen
- 1610.09734 Model-free bounds on Value-at-Risk using extreme value information and statistical distances
by Thibaut Lux & Antonis Papapantoleon
- 1610.09714 Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
by Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao
- 1610.09622 Numerical study of splitting methods for American option valuation
by Karel in 't Hout & Radoslav Valkov
- 1610.09542 Managing Default Contagion in Inhomogeneous Financial Networks
by Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter
- 1610.09519 Multifractal cross wavelet analysis
by Zhi-Qiang Jiang & Xing-Lu Gao & Wei-Xing Zhou & H. Eugene Stanley
- 1610.09404 Understanding the Tracking Errors of Commodity Leveraged ETFs
by Kevin Guo & Tim Leung
- 1610.09403 Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
by Kevin Guo & Tim Leung
- 1610.09384 Equitable retirement income tontines: Mixing cohorts without discriminating
by M. A. Milevsky & T. S. Salisbury
- 1610.09306 Calls, zonoids, peacocks and log-concavity
by Michael R. Tehranchi
- 1610.09292 Optimal Shrinkage Estimator for High-Dimensional Mean Vector
by Taras Bodnar & Ostap Okhrin & Nestor Parolya
- 1610.09234 Super-Replication with Fixed Transaction Costs
by Peter Bank & Yan Dolinsky
- 1610.09230 Robust Utility Maximization in Discrete-Time Markets with Friction
by Ariel Neufeld & Mario Sikic
- 1610.09124 Model-independent pricing with insider information: a Skorokhod embedding approach
by Beatrice Acciaio & Alexander M. G. Cox & Martin Huesmann
- 1610.09085 On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
by Takuji Arai & Yuto Imai
- 1610.08921 Theory of earthquakes interevent times applied to financial markets
by Maciej Jagielski & Ryszard Kutner & Didier Sornette
- 1610.08918 Income and wealth distribution of the richest Norwegian individuals: An inequality analysis
by Maciej Jagielski & Kordian Czy.zewski & Ryszard Kutner & H. Eugene Stanley
- 1610.08878 Asymptotics for rough stochastic volatility models
by Martin Forde & Hongzhong Zhang
- 1610.08818 Agnostic Risk Parity: Taming Known and Unknown-Unknowns
by Raphael Benichou & Yves Lemp'eri`ere & Emmanuel S'eri'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters
- 1610.08806 Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures
by Niushan Gao & Denny H. Leung & Foivos Xanthos
- 1610.08782 Intrinsic risk measures
by W. Farkas & A. Smirnow
- 1610.08767 Equity Market Impact Modeling: an Empirical Analysis for Chinese Market
by Shiyu Han & Lan Wu & Yuan Cheng
- 1610.08732 On exponential functionals of processes with independent increments
by P. Salminen & L. Vostrikova
- 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
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