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Content
2016
- 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
- 1608.01532 Fixed-Effect Regressions on Network Data
by Koen Jochmans & Martin Weidner
- 1608.01415 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
by Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang
- 1608.01365 Multifactor CES General Equilibrium: Models and Applications
by Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura
- 1608.01351 Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma
by Fuad Aleskerov & Victoria Oleynik
- 1608.01197 Efficient exposure computation by risk factor decomposition
by Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger
- 1608.01133 The boundary non-Crossing probabilities for Slepian process
by Pingjin Deng
- 1608.01103 Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method
by Susmita Bhaduri & Dipak Ghosh & Subhadeep Ghosh
- 1608.00878 On the Use of Computer Programs as Money
by Ross D. King
- 1608.00814 SPDE limit of the global fluctuations in rank-based models
by Praveen Kolli & Mykhaylo Shkolnikov
- 1608.00768 On optimal investment with processes of long or negative memory
by Huy N. Chau & Miklos Rasonyi
- 1608.00756 A continuous and efficient fundamental price on the discrete order book grid
by Julius Bonart & Fabrizio Lillo
- 1608.00354 hdm: High-Dimensional Metrics
by Victor Chernozhukov & Chris Hansen & Martin Spindler
- 1608.00280 Pricing Weakly Model Dependent Barrier Products
by Jan Kuklinski & Panagiotis Papaioannou & Kevin Tyloo
- 1608.00275 Metastable Features of Economic Networks and Responses to Exogenous Shocks
by Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati
- 1608.00230 Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
by S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak
- 1608.00213 Self-organization in a distributed coordination game through heuristic rules
by S. Agarwal & D. Ghosh & A. S. Chakrabarti
- 1608.00060 Double/Debiased Machine Learning for Treatment and Causal Parameters
by Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins
- 1608.00033 Locally Robust Semiparametric Estimation
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins
- 1607.08287 The effect of heterogeneity on flocking behavior and systemic risk
by Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos
- 1607.08214 Asymmetric volatility connectedness on forex markets
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1607.07582 Modelling the impact of financialization on agricultural commodity markets
by Maria d'Errico & Alessandro Laio & Guido L. Chiarotti
- 1607.07510 The Rank Effect for Commodities
by Ricardo T. Fernholz & Christoffer Koch
- 1607.07197 On the support of extremal martingale measures with given marginals: the countable case
by Luciano Campi & Claude Martini
- 1607.07108 Model-Independent Price Bounds for Catastrophic Mortality Bonds
by Raj Kumari Bahl & Sotirios Sabanis
- 1607.07099 Inverse Optimization of Convex Risk Functions
by Jonathan Yu-Meng Li
- 1607.06847 Decentralized Bayesian learning in dynamic games: A framework for studying informational cascades
by Deepanshu Vasal & Achilleas Anastasopoulos
- 1607.06644 On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
by Dirk Becherer & Martin Buttner & Klebert Kentia
- 1607.06373 Systemic Risk and Stochastic Games with Delay
by Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun
- 1607.06247 Effects of Sea Level Rise on Economy of the United States
by Monika Novackova & Richard S. J. Tol
- 1607.06163 Indirect Inference With(Out) Constraints
by David T. Frazier & Eric Renault
- 1607.06158 Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
by Andrew Papanicolaou & Konstantinos Spiliopoulos
- 1607.05831 Statistical inference for the doubly stochastic self-exciting process
by Simon Clinet & Yoann Potiron
- 1607.05660 A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey
by T. O. Benli
- 1607.05608 Identification of market trends with string and D2-brane maps
by Erik Bartov{s} & Richard Pinv{c}'ak
- 1607.05572 Smoothing the payoff for efficient computation of Basket option prices
by Christian Bayer & Markus Siebenmorgen & Raul Tempone
- 1607.05514 Sectoral co-movements in the Indian stock market: A mesoscopic network analysis
by Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti
- 1607.05235 Extracting Geography from Trade Data
by Yuke Li & Tianhao Wu & Nicholas Marshall & Stefan Steinerberger
- 1607.04968 Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
by Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic
- 1607.04883 Statistical Industry Classification
by Zura Kakushadze & Willie Yu
- 1607.04739 Multiple risk factor dependence structures: Distributional properties
by Jianxi Su & Edward Furman
- 1607.04737 A form of multivariate Pareto distribution with applications to financial risk measurement
by Jianxi Su & Edward Furman
- 1607.04553 Generalized Optimal Liquidation Problems Across Multiple Trading Venues
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu
- 1607.04532 Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
by Florian Huber & Gregor Kastner & Martin Feldkircher
- 1607.04488 Hedging under generalized good-deal bounds and model uncertainty
by Dirk Becherer & Klebert Kentia
- 1607.04484 The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games
by Bent Flyvbjerg & Allison Stewart & Alexander Budzier
- 1607.04214 Existence and uniqueness results for BSDEs with jumps: the whole nine yards
by Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras
- 1607.04155 Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory
by Jean-Francois Mercure
- 1607.04153 On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
by Giorgio Ferrari
- 1607.04100 Insurance valuation: a computable multi-period cost-of-capital approach
by Hampus Engsner & Mathias Lindholm & Filip Lindskog
- 1607.04047 A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
by Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg
- 1607.03522 Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
by Antonis Papapantoleon & Robert Wardenga
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