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Content
2016
- 1604.04872 Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
by Ravi Kashyap
- 1604.04608 Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
by Erhan Bayraktar & Zhou Zhou
- 1604.04312 Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory
by Eamon Duede & Victor Zhorin
- 1604.04223 On the survival of poor peasants
by Andrea C. Levi & Ubaldo Garibaldi
- 1604.03996 Evidence of Self-Organization in Time Series of Capital Markets
by Leopoldo S'anchez-Cant'u & Carlos Arturo Soto-Campos & Andriy Kryvko
- 1604.03906 Stochastic Perron for Stochastic Target Problems
by Erhan Bayraktar & Jiaqi Li
- 1604.03776 Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic
by Daniel Kosiorowski & Jerzy P. Rydlewski & Ma{l}gorzata Snarska
- 1604.03522 The Topology of African Exports: emerging patterns on spanning trees
by Tanya Ara'ujo & M. Ennes Ferreira
- 1604.03337 The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
by Dominique Pepin
- 1604.03317 Pricing American options using martingale bases
by J'er^ome Lelong
- 1604.03042 Distribution-Constrained Optimal Stopping
by Erhan Bayraktar & Christopher W. Miller
- 1604.02759 Reconstruction of Order Flows using Aggregated Data
by Ioane Muni Toke
- 1604.02642 Program Evaluation with Right-Censored Data
by Pedro H. C. Sant'Anna
- 1604.02370 The Affine Wealth Model: An agent-based model of asset exchange that allows for negative-wealth agents and its empirical validation
by Jie Li & Bruce M. Boghosian & Chengli Li
- 1604.02274 More on hedging American options under model uncertainty
by David Hobson & Anthony Neuberger
- 1604.02269 On the value of being American
by David Hobson & Anthony Neuberger
- 1604.02237 Kriging of financial term-structures
by Areski Cousin & Hassan Maatouk & Didier Rulli`ere
- 1604.01824 The statistical significance of multivariate Hawkes processes fitted to limit order book data
by Roger Martins & Dieter Hendricks
- 1604.01819 Aggregating time preferences with decreasing impatience
by Nina Anchugina & Matthew Ryan & Arkadii Slinko
- 1604.01557 Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses
by Mario Guti'errez-Roig & Carlota Segura & Jordi Duch & Josep Perell'o
- 1604.01447 Relativistic Quantum Finance
by Juan M. Romero & Ilse B. Zubieta-Mart'inez
- 1604.01338 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
- 1604.01322 Controllability Analyses on Firm Networks Based on Comprehensive Data
by Hiroyasu Inoue
- 1604.01281 Option Pricing in the Moderate Deviations Regime
by Peter Friz & Stefan Gerhold & Arpad Pinter
- 1604.01224 Commodity Dynamics: A Sparse Multi-class Approach
by Luca Barbaglia & Ines Wilms & Christophe Croux
- 1604.00976 From Big Data To Important Information
by Yaneer Bar-Yam
- 1604.00596 Getting rich quick with the Axiom of Choice
by Vladimir Vovk
- 1604.00525 On regularity of primal and dual dynamic value functions related to investment problem
by Michael Mania & Revaz Tevzadze
- 1604.00369 The Mittag-Leffler Fitting of the Phillips Curve
by Tomas Skovranek
- 1604.00254 Systemic Risks in CCP Networks
by Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani
- 1604.00148 Market Integration in the Prewar Japanese Rice Markets
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1604.00105 Option pricing under fast-varying long-memory stochastic volatility
by Josselin Garnier & Knut Solna
- 1603.09666 Low-traffic limit and first-passage times for a simple model of the continuous double auction
by Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c
- 1603.09519 Deterministic Income with Deterministic and Stochastic Interest Rates
by Julia Eisenberg
- 1603.09491 On the properties of the Lambda value at risk: robustness, elicitability and consistency
by Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo
- 1603.09406 Risk contagion under regular variation and asymptotic tail independence
by Bikramjit Das & Vicky Fasen
- 1603.09329 Pricing occupation-time options in a mixed-exponential jump-diffusion model
by Djilali Ait Aoudia & Jean-Franc{c}ois Renaud
- 1603.09326 Estimating Treatment Effects using Multiple Surrogates: The Role of the Surrogate Score and the Surrogate Index
by Susan Athey & Raj Chetty & Guido Imbens & Hyunseung Kang
- 1603.09324 Parisian ruin for a refracted L\'evy process
by Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud
- 1603.09149 Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
by Milan Kumar Das & Anindya Goswami & Nimit Rana
- 1603.09060 The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance
by Ravi Kashyap
- 1603.09049 Numerical approximation of a cash-constrained firm value with investment opportunities
by Erwan Pierre & St'ephane Villeneuve & Xavier Warin
- 1603.09030 A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
by Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera
- 1603.08961 Betting and Belief: Prediction Markets and Attribution of Climate Change
by John J. Nay & Martin Van der Linden & Jonathan M. Gilligan
- 1603.08828 Financial equilibrium with asymmetric information and random horizon
by Umut c{C}etin
- 1603.08383 Modelling income, wealth, and expenditure data by use of Econophysics
by Elvis Oltean
- 1603.08344 The unresolved mystery of the great divergence is solved
by Ron W Nielsen
- 1603.08311 Interest Rates and Inflation
by Michael Coopersmith & Pascal J. Gambardella
- 1603.08289 Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
by Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang
- 1603.08245 Trading Strategies Generated by Lyapunov Functions
by Ioannis Karatzas & Johannes Ruf
- 1603.08216 A Flexible Galerkin Scheme for Option Pricing in L\'evy Models
by Maximilian Ga{ss} & Kathrin Glau
- 1603.08169 Robust Optimization of Credit Portfolios
by Agostino Capponi & Lijun Bo
- 1603.08142 Conjoint axiomatization of the Choquet integral for heterogeneous product sets
by Mikhail Timonin
- 1603.08114 GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model
by Tetsuya Takaishi
- 1603.07822 On clustering financial time series: a need for distances between dependent random variables
by Gautier Marti & Frank Nielsen & Philippe Donnat & S'ebastien Andler
- 1603.07682 Descending Price Optimally Coordinates Search
by Robert Kleinberg & Bo Waggoner & E. Glen Weyl
- 1603.07615 A Note on the Optimal Dividends Paid in a Foreign Currency
by Julia Eisenberg & Paul Kruhner
- 1603.07532 A Short Note on P-Value Hacking
by Nassim Nicholas Taleb
- 1603.07488 Conic Martingales from Stochastic Integrals
by Fr'ed'eric Vrins & Monique Jeanblanc
- 1603.07225 Numerical stability of a hybrid method for pricing options
by Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette
- 1603.07074 On random convex analysis
by Tiexin Guo & Erxin Zhang & Mingzhi Wu & Bixuan Yang & George Yuan & Xiaolin Zeng
- 1603.07041 Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
by Jianqing Fan & Yuan Ke & Yuan Liao
- 1603.07020 Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
by Tomas Krehlik & Jozef Barunik
- 1603.07019 Optimal dividend payments for a two-dimensional insurance risk process
by Pablo Azcue & Nora Muler & Zbigniew Palmowski
- 1603.06888 The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents
by F. Knobloch & J. -F. Mercure
- 1603.06825 First Order BSPDEs in higher dimension for optimal control problems
by Nikolai Dokuchaev
- 1603.06805 Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
by Dieter Hendricks
- 1603.06558 Universal trading under proportional transaction costs
by Richard J Martin
- 1603.06498 Optimal Liquidation under Stochastic Liquidity
by Dirk Becherer & Todor Bilarev & Peter Frentrup
- 1603.06407 The mathematics of non-linear metrics for nested networks
by Rui-Jie Wu & Gui-Yuan Shi & Yi-Cheng Zhang & Manuel Sebastian Mariani
- 1603.06389 No-arbitrage bounds for the forward smile given marginals
by Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome
- 1603.06312 A rank based mean field game in the strong formulation
by Erhan Bayraktar & Yuchong Zhang
- 1603.06202 Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes
by Sid Ghoshal & Stephen Roberts
- 1603.06196 Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications
by Sgouris Sgouridis & Abdulla Kaya & Denes Csala
- 1603.06183 Risk-Constrained Kelly Gambling
by Enzo Busseti & Ernest K. Ryu & Stephen Boyd
- 1603.06050 Tukey's transformational ladder for portfolio management
by Philip Ernst & James Thompson & Yinsen Miao
- 1603.06047 The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle..
by Ravi Kashyap
- 1603.06034 Solving Society's Big Ills, A Small Step
by Ravi Kashyap
- 1603.05937 How to Combine a Billion Alphas
by Zura Kakushadze & Willie Yu
- 1603.05914 Statistically validated network of portfolio overlaps and systemic risk
by Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet
- 1603.05828 Online Networks, Social Interaction and Segregation: An Evolutionary Approach
by Angelo Antoci & Fabio Sabatini & Francesco Sarracino
- 1603.05700 Local Parametric Estimation in High Frequency Data
by Yoann Potiron & Per Mykland
- 1603.05670 Bank distress in the news: Describing events through deep learning
by Samuel Ronnqvist & Peter Sarlin
- 1603.05513 The geometric phase of stock trading
by Claudio Altafini
- 1603.05373 Sharp convex bounds on the aggregate sums--An alternative proof
by Chuancun Yin & Dan Zhu
- 1603.05313 Market Dynamics vs. Statistics: Limit Order Book Example
by Vladislav Gennadievich Malyshkin & Ray Bakhramov
- 1603.05294 Modeling and Estimation of the Risk When Choosing a Provider
by Ekaterina Sorokina
- 1603.05181 Strength of weak layers in cascading failures on multiplex networks: case of the international trade network
by Kyu-Min Lee & Kwang-Il Goh
- 1603.05142 Can banks default overnight? Modeling endogenous contagion on O/N interbank market
by Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec
- 1603.04364 On the overlaps between eigenvectors of correlated random matrices
by Joel Bun & Jean-Philippe Bouchaud & Marc Potters
- 1603.04099 Contagion and Stability in Financial Networks
by Seyyed Mostafa Mousavi & Robert Mackay & Alistair Tucker
- 1603.04017 Clustering Financial Time Series: How Long is Enough?
by Gautier Marti & S'ebastien Andler & Frank Nielsen & Philippe Donnat
- 1603.03874 Analysis of the nonlinear option pricing model under variable transaction costs
by Daniel Sevcovic & Magdalena Zitnanska
- 1603.03747 Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model
by Alev{s} v{C}ern'y
- 1603.03675 Optimal Data Collection for Randomized Control Trials
by Pedro Carneiro & Sokbae Lee & Daniel Wilhelm
- 1603.03538 Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1603.03458 Financial contagion in investment funds
by Leonardo dos Santos Pinheiro & Flavio Codeco Coelho
- 1603.03198 General dynamic term structures under default risk
by Claudio Fontana & Thorsten Schmidt
- 1603.03012 Capital Valuation Adjustment and Funding Valuation Adjustment
by Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey
- 1603.02902 Interacting Default Intensity with Hidden Markov Process
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu
- 1603.02896 Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$
by Martin Forde & Hongzhong Zhang
- 1603.02874 Libor at crossroads: stochastic switching detection using information theory quantifiers
by Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso
- 1603.02867 Convex duality in optimal investment and contingent claim valuation in illiquid markets
by Teemu Pennanen & Ari-Pekka Perkkio
- 1603.02615 Unbiased estimation of risk
by Marcin Pitera & Thorsten Schmidt
- 1603.02438 A Mathematical Model of Foreign Capital Inflow
by Gopal K. Basak & Pranab Kumar Das & Allena Rohit
- 1603.02354 Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX
by Hannah Cheng & Juan Zhan & William Rea & Alethea Rea
- 1603.01865 Exponentially concave functions and high dimensional stochastic portfolio theory
by Soumik Pal
- 1603.01700 High-Dimensional Metrics in R
by Victor Chernozhukov & Chris Hansen & Martin Spindler
- 1603.01685 Mathematical analysis of historical income per capita distributions
by Ron W Nielsen
- 1603.01586 Average cross-responses in correlated financial market
by Shanshan Wang & Rudi Schafer & Thomas Guhr
- 1603.01580 Cross-response in correlated financial markets: individual stocks
by Shanshan Wang & Rudi Schafer & Thomas Guhr
- 1603.01570 Coordination Event Detection and Initiator Identification in Time Series Data
by Chainarong Amornbunchornvej & Ivan Brugere & Ariana Strandburg-Peshkin & Damien Farine & Margaret C. Crofoot & Tanya Y. Berger-Wolf
- 1603.01416 Big is Fragile: An Attempt at Theorizing Scale
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn
- 1603.01397 Latent class analyisis for reliable measure of inflation expectation in the indian public
by Sunil Kumar
- 1603.01341 Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs
by Ravi Kashyap
- 1603.01308 Dynamic Adaptive Mixture Models
by Leopoldo Catania
- 1603.01288 Option spanning beyond $L_p$-models
by Niushan Gao & Foivos Xanthos
- 1603.01231 Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes
by Claudiu Albulescu & Christian Aubin & Daniel Goyeau
- 1603.01103 Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
by Marcel Ausloos & Rosella Castellano & Roy Cerqueti
- 1603.01041 Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments
by Gareth W. Peters & Wilson Y. Chen & Richard H. Gerlach
- 1603.00991 Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
by Ravi Kashyap
- 1603.00987 Securities Lending Strategies: Exclusive Valuations and Auction Bids
by Ravi Kashyap
- 1603.00984 David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
by Ravi Kashyap
- 1603.00850 Tipping elements and climate-economic shocks: Pathways toward integrated assessment
by Robert E. Kopp & Rachael Shwom & Gernot Wagner & Jiacan Yuan
- 1603.00751 Equity forecast: Predicting long term stock price movement using machine learning
by Nikola Milosevic
- 1603.00736 Puzzling properties of the historical growth rate of income per capita explained
by Ron W Nielsen
- 1603.00568 The Value of A Statistical Life in Absence of Panel Data: What can we do?
by Andr'es Riquelme & Marcela Parada
- 1603.00527 Affine multiple yield curve models
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto
- 1603.00235 Oracle Estimation of a Change Point in High Dimensional Quantile Regression
by Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin
- 1602.09078 Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
- 1602.09071 Fairs for e-commerce: the benefits of aggregating buyers and sellers
by Pierluigi Gallo & Francesco Randazzo & Ignazio Gallo
- 1602.08927 High-Dimensional $L_2$Boosting: Rate of Convergence
by Ye Luo & Martin Spindler & Jannis Kuck
- 1602.08894 Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
by Thibaut Lux & Antonis Papapantoleon
- 1602.08533 A Rank-Based Approach to Zipf's Law
by Ricardo T. Fernholz & Robert Fernholz
- 1602.08467 Microscopic models for the study of taxpayer audit effects
by M. L. Bertotti & G. Modanese
- 1602.08429 No such thing as a risk-neutral market
by D. L. Wilcox
- 1602.08374 Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution
by Alessandro Fiasconaro & Emanuele Strano & Vincenzo Nicosia & Sergio Porta & Vito Latora
- 1602.08297 Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization
by G'abor Papp & Fabio Caccioli & Imre Kondor
- 1602.08270 Order Book, Financial Markets and Self-Organized Criticality
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda
- 1602.08258 Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
by Vladimir Filimonov & Guilherme Demos & Didier Sornette
- 1602.08154 Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
by Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes
- 1602.08070 Statistical Risk Models
by Zura Kakushadze & Willie Yu
- 1602.07910 Polynomial Diffusion Models for Life Insurance Liabilities
by Francesca Biagini & Yinglin Zhang
- 1602.07663 The role of volume in order book dynamics: a multivariate Hawkes process analysis
by Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo
- 1602.07628 The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation
by Yuval Rabani & Leonard J. Schulman
- 1602.07599 Backtesting Lambda Value at Risk
by Jacopo Corbetta & Ilaria Peri
- 1602.07452 Contagion in the world's stock exchanges seen as a set of coupled oscillators
by Lucia Bellenzier & J{o}rgen Vitting Andersen & Giulia Rotundo
- 1602.07300 When does inequality freeze an economy?
by Jo~ao Pedro Jerico & Franc{c}ois P. Landes & Matteo Marsili & Isaac P'erez Castillo & Valerio Volpati
- 1602.06998 Optimal consumption and investment with liquid and illiquid assets
by Jin Hyuk Choi
- 1602.06968 Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble
by Alberto Bicci
- 1602.06943 Bunching of numbers in a non-ideal roulette: the key to winning strategies
by A. V. Kavokin & A. S. Sheremet & M. Yu. Petrov
- 1602.06935 The noisy voter model on complex networks
by Adri'an Carro & Ra'ul Toral & Maxi San Miguel
- 1602.06855 Tsallis statistics in the income distribution of Brazil
by Abner D. Soares & Newton J. Moura Jr. & Marcelo B. Ribeiro
- 1602.06765 On an Optimal Extraction Problem with Regime Switching
by Giorgio Ferrari & Shuzhen Yang
- 1602.06685 Non-concave optimal investment and no-arbitrage: a measure theoretical approach
by Romain Blanchard & Laurence Carassus & Mikl'os R'asonyi
- 1602.06585 Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads
by Tore Opsahl & William Newton
- 1602.06295 Solar energy production: Short-term forecasting and risk management
by C'edric Join & Michel Fliess & Cyril Voyant & Fr'ed'eric Chaxel
- 1602.06234 Household Income Distribution in the USA
by Costas Efthimiou & Adam Wearne
- 1602.06213 Modeling Stock Price Dynamics with Fuzzy Opinion Networks
by Li-Xin Wang
- 1602.06189 Accrual valuation and mark to market adjustment
by Alexey Bakshaev
- 1602.06188 Blunt Honesty, Incentives, and Knowledge Exchange
by Bruce Knuteson
- 1602.06186 Noise Fit, Estimation Error and a Sharpe Information Criterion
by Dirk Paulsen & Jakob Sohl
- 1602.06177 Duality formulas for robust pricing and hedging in discrete time
by Patrick Cheridito & Michael Kupper & Ludovic Tangpi
- 1602.06101 Density analysis of non-Markovian BSDEs and applications to biology and finance
by Thibaut Mastrolia
- 1602.05998 Funding, repo and credit inclusive valuation as modified option pricing
by Damiano Brigo & Cristin Buescu & Marek Rutkowski
- 1602.05883 Pathways towards instability in financial networks
by Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli
- 1602.05858 On the Profitability of Optimal Mean Reversion Trading Strategies
by Peng Huang & Tianxiang Wang
- 1602.05758 On optimal strategies for utility maximizers in the Arbitrage Pricing Model
by Miklos Rasonyi
- 1602.05749 Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
by Stavros Stavroyiannis
- 1602.05718 The Postulate of the Three Regimes of Economic Growth Contradicted by Data
by Ron W Nielsen
- 1602.05541 Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
by Ying Jiao & Chunhua Ma & Simone Scotti
- 1602.05489 Do co-jumps impact correlations in currency markets?
by Jozef Barunik & Lukas Vacha
- 1602.05484 Robust Mean-Variance Hedging via G-Expectation
by Francesca Biagini & Jacopo Mancin & Thilo Meyer Brandis
- 1602.05477 Which eligible assets are compatible with comonotonic capital requirements?
by Pablo Koch-Medina & Cosimo Munari & Gregor Svindland
- 1602.05471 Robust Financial Bubbles
by Francesca Biagini & Jacopo Mancin
- 1602.05385 Power-law cross-correlations estimation under heavy tails
by Ladislav Kristoufek
- 1602.05356 Studies on Regional Wealth Inequalities: the case of Italy
by Marcel Ausloos & Roy Cerqueti
- 1602.05323 Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
by Vikram Krishnamurthy & Elisabeth Leoff & Jorn Sass
- 1602.04975 Dynamic portfolio selection without risk-free assets
by Chi Kin Lam & Yuhong Xu & Guosheng Yin
- 1602.04950 Deviations in expected price impact for small transaction volumes under fee restructuring
by Michael Harvey & Dieter Hendricks & Tim Gebbie & Diane Wilcox
- 1602.04946 A pathwise approach to continuous-time trading
by Candia Riga
- 1602.04902 Multifactor Risk Models and Heterotic CAPM
by Zura Kakushadze & Willie Yu
- 1602.04848 Option Pricing in Markets with Unknown Stochastic Dynamics
by Hanno Gottschalk & Elpida Nizami & Marius Schubert
- 1602.04662 Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information
by Anton A. Shardin & Michaela Szolgyenyi
- 1602.04660 Bayesian Dividend Optimization and Finite Time Ruin Probabilities
by Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser
- 1602.04656 Dividend maximization in a hidden Markov switching model
by Michaela Szolgyenyi
- 1602.04580 Ruin under stochastic dependence between premium and claim arrivals
by Matija Vidmar
- 1602.04466 Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome
by Eric Lavallee
- 1602.04423 Market Dynamics. On Supply and Demand Concepts
by Vladislav Gennadievich Malyshkin
- 1602.04372 Local Volatility Models in Commodity Markets and Online Calibration
by Vinicius Albani & Uri M. Ascher & Jorge P. Zubelli
- 1602.04363 Path probability of stochastic motion: A functional approach
by Masayuki Hattori & Sumiyoshi Abe
- 1602.04352 On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia
by Stephanie Rend'on de la Torre & Jaan Kalda & Robert Kitt & Juri Engelbrecht
- 1602.03944 Modelling intensities of order flows in a limit order book
by Ioane Muni Toke & Nakahiro Yoshida
- 1602.03505 Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects
by Sebastian Poledna & Olaf Bochmann & Stefan Thurner
- 1602.03402 Pricing options on forwards in energy markets: the role of mean reversion's speed
by Maren Diane Schmeck
- 1602.03271 A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico
by Semei Coronado & Omar Rojas
- 1602.03238 Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
by Pavel V. Shevchenko & Xiaolin Luo
- 1602.03043 The square-root impact law also holds for option markets
by Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud
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