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Content
2016
- 1602.03011 Unravelling the trading invariance hypothesis
by Michael Benzaquen & Jonathan Donier & Jean-Philippe Bouchaud - 1602.02907 Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
by Fred Espen Benth & Heidar Eyjolfsson - 1602.02735 Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth - 1602.02542 Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
by Leopoldo Catania & Anna Gloria Bill'e - 1602.02348 Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems
by Inga Ivanova & Oivind Strand & Duncan Kushnir & Loet Leydesdorff - 1602.02192 On minimising a portfolio's shortfall probability
by Anatolii A. Puhalskii & Michael Jay Stutzer - 1602.02185 Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps
by Michael Ho & Jack Xin - 1602.02011 Issues with the Smith-Wilson method
by Andreas Lager{aa}s & Mathias Lindholm - 1602.01960 Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices
by Emre Kahraman & Gazanfer Unal - 1602.01578 Modeling the relation between income and commuting distance
by Giulia Carra & Ismir Mulalic & Mogens Fosgerau & Marc Barthelemy - 1602.01271 On the parameter identifiability problem in Agent Based economical models
by Di Molfetta Giuseppe - 1602.01109 On the existence of shadow prices for optimal investment with random endowment
by Lingqi Gu & Yiqing Lin & Junjian Yang - 1602.01070 A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality
by Lingqi Gu & Yiqing Lin & Junjian Yang - 1602.00931 Should employers pay their employees better? An asset pricing approach
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Francois Bonnin - 1602.00899 Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications
by Dariusz Zawisza - 1602.00865 Tail Risk Premia for Long-Term Equity Investors
by Johannes Rauch & Carol Alexander - 1602.00839 A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
by Ravi Kashyap - 1602.00782 Portfolio Selection: The Power of Equal Weight
by Philip Ernst & James Thompson & Yinsen Miao - 1602.00731 Limit-order book resiliency after effective market orders: Spread, depth and intensity
by Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley - 1602.00629 How to improve accuracy for DFA technique
by Alessandro Stringhi & Silvia Figini - 1602.00619 Stock loans with liquidation
by Parsiad Azimzadeh - 1602.00570 Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
by Imke Redeker & Ralf Wunderlich - 1602.00358 Trading Strategy with Stochastic Volatility in a Limit Order Book Market
by Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang - 1602.00256 Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
by Lev B. Klebanov & Greg Temnov & Ashot V. Kakosyan - 1602.00235 Model-Free Discretisation-Invariant Swap Contracts
by Carol Alexander & Johannes Rauch - 1602.00159 Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
by Ricardo T. Fernholz - 1602.00125 Market correlation structure changes around the Great Crash
by Rui-Qi Han & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Wei-Xing Zhou - 1602.00094 CoCos under short-term uncertainty
by Jos'e Manuel Corcuera & Arturo Valdivia - 1602.00090 A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect
by Christopher L. Magee & Tessaleno C. Devezas - 1601.08155 Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
by Jorn Sass & Dorothee Westphal & Ralf Wunderlich - 1601.08099 Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes
by Adil Yilmaz & Gazanfer Unal - 1601.07961 Exact solutions for optimal execution of portfolios transactions and the Riccati equation
by Juan M. Romero & Jorge Bautista - 1601.07900 Critical value of the total debt in view of the debts durations
by I. A. Molotkov & N. A. Ryabova - 1601.07864 On construction of boundary preserving numerical schemes
by Nikolaos Halidias - 1601.07792 Predicting Human Cooperation
by John J. Nay & Yevgeniy Vorobeychik - 1601.07776 The ecology of social interactions in online and offline environments
by Angelo Antoci & Alexia Delfino & Fabio Paglieri & Fabio Sabatini - 1601.07716 Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I
by Michael Dittmar - 1601.07707 Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles
by Maximilian Seyrich & Didier Sornette - 1601.07628 Portfolio Optimization in the Stochastic Portfolio Theory Framework
by Vassilios Papathanakos - 1601.07626 Trading-profit attribution for the size factor
by Vassilios Papathanakos - 1601.07593 Sufficiency on the Stock Market
by Peter Harremoes - 1601.06995 Moment explosions, implied volatility and local volatility at extreme strikes
by Sidi Mohamed Aly - 1601.06979 Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
by Thomas Knispel & Roger J. A. Laeven & Gregor Svindland - 1601.06651 Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data
by Jonas Hallgren & Timo Koski - 1601.06477 Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums
by Likuan Qin & Vadim Linetsky & Yutian Nie - 1601.06420 Explicit moments of decision times for single- and double-threshold drift-diffusion processes
by Vaibhav Srivastava & Philip Holmes & Patrick Simen - 1601.06204 RiskRank: Measuring interconnected risk
by J'ozsef Mezei & Peter Sarlin - 1601.05872 The value of foresight
by Philip Ernst & L. C. G. Rogers & Quan Zhou - 1601.05660 The role of consumer networks in firms' multi-characteristics competition and market-share inequality
by Antonios Garas & Athanasios Lapatinas - 1601.05306 On "A General Framework for Pricing Asian Options Under Markov Processes"
by Zhenyu Cui & Chihoon Lee & Yanchu Liu - 1601.05199 Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
by Mauro Bernardi & Leopoldo Catania - 1601.05081 Econo- and socio- physics based remarks on the economical growth of the World
by Rzoska Agata Angelika - 1601.05012 A Simple Measure of Economic Complexity
by Sabiou Inoua - 1601.04949 General Equilibrium and Recession Phenomenon
by Nicholas S. Gonchar & Wolodymyr H. Kozyrski & Anatol S. Zhokhin - 1601.04686 Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product
by Ron W Nielsen - 1601.04557 Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+
by Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko - 1601.04535 A nonlinear impact: evidences of causal effects of social media on market prices
by Th'arsis T. P. Souza & Tomaso Aste - 1601.04478 The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
by Jean-Philippe Bouchaud & Stefano Ciliberti & Augustin Landier & Guillaume Simon & David Thesmar - 1601.04351 On bivariate lifetime modelling in life insurance applications
by Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou - 1601.04341 Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics
by Alexey Fomin & Andrey Korotayev & Julia Zinkina - 1601.04210 Speculative Futures Trading under Mean Reversion
by Tim Leung & Jiao Li & Xin Li & Zheng Wang - 1601.04188 A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks
by M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey - 1601.04093 A Statistical Model of Inequality
by Ricardo T. Fernholz - 1601.04043 Fighting Uncertainty with Uncertainty: A Baby Step
by Ravi Kashyap - 1601.04028 Do Mature Economies Grow Exponentially?
by Steffen Lange & Peter Putz & Thomas Kopp - 1601.03968 A stochastic Stefan-type problem under first-order boundary conditions
by Marvin S. Mueller - 1601.03688 Inter-occurrence times and universal laws in finance, earthquakes and genomes
by Constantino Tsallis - 1601.03574 Generalization of Doob decomposition Theorem
by Nicholas Gonchar - 1601.03562 Convex duality for stochastic differential utility
by Anis Matoussi & Hao Xing - 1601.03435 Asymptotic Analysis for Optimal Dividends in a Dual Risk Model
by Arash Fahim & Lingjiong Zhu - 1601.03388 Large losses - probability minimizing approach
by Micha{l} Barski - 1601.03380 Quantile hedging on markets with proportional transaction costs
by Micha{l} Barski - 1601.03171 On a law of large numbers for insurance risks
by Yumiharu Nakano - 1601.03067 International Trade: a Reinforced Urn Network Model
by Stefano Peluso & Antonietta Mira & Pietro Muliere & Alessandro Lomi - 1601.03015 Credit risk: Taking fluctuating asset correlations into account
by Thilo A. Schmitt & Rudi Schafer & Thomas Guhr - 1601.02990 The invisible hand and the rational agent are behind bubbles and crashes
by Serge Galam - 1601.02801 Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function
by Sokbae Lee & Ryo Okui & Yoon-Jae Whang - 1601.02677 Dependence of technological improvement on artifact interactions
by Subarna Basnet & Christopher L. Magee - 1601.02463 Quantifying invariant features of within-group inequality in consumption across groups
by Anindya S. Chakrabarti & Arnab Chatterjee & Tushar K. Nandi & Asim Ghosh & Anirban Chakraborti - 1601.02407 Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector
by Jaydip Sen & Tamal Datta Chaudhuri - 1601.02246 Negative interest rates: why and how?
by Jozef Kiselak & Philipp Hermann & Milan Stehlik - 1601.02156 Systemic Risk Management in Financial Networks with Credit Default Swaps
by Matt V. Leduc & Sebastian Poledna & Stefan Thurner - 1601.02149 Computing semiparametric bounds on the expected payments of insurance instruments via column generation
by Robert Howley & Robert Storer & Juan Vera & Luis F. Zuluaga - 1601.01987 Deep Learning for Limit Order Books
by Justin Sirignano - 1601.01980 Irreversibility of financial time series: a graph-theoretical approach
by Lucas Lacasa & Ryan Flanagan - 1601.01811 Brownian Bridges on Random Intervals
by Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert - 1601.01804 Unified Growth Theory Contradicted by the Economic Growth in Latin America
by Ron W Nielsen - 1601.01771 Teaching Economics and Providing Visual "Big Pictures"
by Seyyed Ali Zeytoon Nejad Moosavian - 1601.01753 Geography and distance effect on financial dynamics in the Chinese stock market
by Xing Li & Tian Qiu & Guang Chen & Li-Xin Zhong & Xiong-Fei Jiang - 1601.01710 A Semi-Markovian Modeling of Limit Order Markets
by Anatoliy Swishchuk & Nelson Vadori - 1601.01553 Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton
by Gurjeet Dhesi & Marcel Ausloos - 1601.01352 A unified view of LIBOR models
by Kathrin Glau & Zorana Grbac & Antonis Papapantoleon - 1601.01128 Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation
by Sergii Kuchuk-Iatsenko & Yuliya Mishura - 1601.00991 101 Formulaic Alphas
by Zura Kakushadze - 1601.00940 Pricing barrier options with discrete dividends
by D. Jason Gibson & Aaron Wingo - 1601.00934 Confidence Intervals for Projections of Partially Identified Parameters
by Hiroaki Kaido & Francesca Molinari & Jorg Stoye - 1601.00903 Long memory and multifractality: A joint test
by John Goddard & Enrico Onali - 1601.00822 Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
by Aur'elien Hazan - 1601.00712 Multistage Portfolio Optimization: A Duality Result in Conic Market Models
by Robert Bassett & Khoa Le - 1601.00679 Essay on the State of Research and Innovation in France and the European Union
by Antoine Kornprobst - 1601.00354 Black-Litterman model with intuitionistic fuzzy posterior return
by Krzysztof Echaust & Krzysztof Piasecki - 1601.00263 Time and Frequency Structure of Causal Correlation Network in China Bond Market
by Zhongxing Wang & Yan Yan & Xiaosong Chen - 1601.00233 Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth
by Timothy J. Garrett - 1601.00229 A detailed heterogeneous agent model for a single asset financial market with trading via an order book
by Roberto Mota Navarro & Hern'an Larralde Ridaura - 1601.00175 Minimax perfect stopping rules for selling an asset near its ultimate maximum
by Dmitry B. Rokhlin - 1601.00092 Hyperinflation in Brazil, Israel, and Nicaragua revisited
by M. A. Szybisz & L. Szybisz - 1601.00085 Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences
by Ravi Kashyap
2015
- 1611.05688 The Tragedy of Your Upstairs Neighbors: Is the Airbnb Negative Externality Internalized?
by John J. Horton - 1607.07706 Online shopping key features analysis in Mures county
by Elena-Iulia Apu{a}vu{a}loaie & Liviu Onoriu Marian & Elena Lucia Harpa - 1607.07398 The fallacy of evidence based policy
by Andrea Saltelli & Mario Giampietro - 1607.04136 Secular bipolar growth rate of the real US GDP per capita: implications for understanding past and future economic growth
by Sandro Lera & Didier Sornette - 1607.01248 Evolutionary Model of Stock Markets
by Joachim Kaldasch - 1604.05672 Risk Aversion and Catastrophic Risks: the Pill Experiment
by Julien Blasco & Graciela Chichilnisky - 1604.00283 Corruption and Wealth: Unveiling a national prosperity syndrome in Europe
by Juan C. Correa & Klaus Jaffe - 1602.08442 Escaping the trap of 'blocking': a kinetic model linking economic development and political competition
by Marina Dolfin & Dami'an Knopoff & Leone Leonida & Dario Maimone Ansaldo Patti - 1601.00919 Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
by Andrei Cozma & Christoph Reisinger - 1601.00566 No Stable Distributions in Finance, please!
by Lev B Klebanov - 1512.09280 On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk
by A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin - 1512.08866 On Optimal Pricing Model for Multiple Dealers in a Competitive Market
by Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu - 1512.08792 The Role of Time in Making Risky Decisions and the Function of Choice
by Valerii Salov - 1512.08381 Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach
by Nils Bertschinger & Oliver Pfante - 1512.08098 On a Generalization of Markowitz Preference Relation
by Valentin Vankov Iliev - 1512.08067 Unified Growth Theory Contradicted by the Economic Growth in Europe
by Ron W Nielsen - 1512.08037 Risk Aversion in the Small and in the Large under Rank-Dependent Utility
by Louis R. Eeckhoudt & Roger J. A. Laeven - 1512.07340 Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation
by Wujiang Lou - 1512.07337 MVA Transfer Pricing
by Wujiang Lou - 1512.07256 Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps
by Damiano Brigo & Nicola Pede & Andrea Petrelli - 1512.07087 Hedging of covered options with linear market impact and gamma constraint
by B Bouchard & G Loeper & Y Zou - 1512.06960 Sovereign Default Risk and Uncertainty Premia
by Demian Pouzo & Ignacio Presno - 1512.06812 Uniform bounds for Black--Scholes implied volatility
by Michael R. Tehranchi - 1512.06582 Asymptotic pricing in large financial markets
by Micha{l} Barski - 1512.06486 How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange
by Libin Yang & William Rea & Alethea Rea - 1512.06454 Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model
by Philipp Harms & David Stefanovits & Josef Teichmann & Mario V. Wuthrich - 1512.06449 Optimal decision for the market graph identification problem in sign similarity network
by V. A. Kalyagin & P. A. Koldanov & P. M. Pardalos - 1512.06309 Unified Growth Theory Contradicted by the Economic Growth in the Former USSR
by Ron W Nielsen - 1512.06295 Optimization problem for a portfolio with an illiquid asset: Lie group analysis
by Ljudmila A. Bordag & Ivan P. Yamshchikov - 1512.06290 On the Non-Asymptotic Properties of Regularized M-estimators
by Demian Pouzo - 1512.06247 Which measure for PFE? The Risk Appetite Measure, A
by Chris Kenyon & Andrew Green & Mourad Berrahoui - 1512.06228 Using machine learning for medium frequency derivative portfolio trading
by Abhijit Sharang & Chetan Rao - 1512.06159 Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
by Richard Y. Chen & Per A. Mykland - 1512.06151 Symmetry reduction and exact solutions of the non-linear Black--Scholes equation
by Oleksii Patsiuk & Sergii Kovalenko - 1512.05983 Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models
by Fred Espen Benth & Paul Kruhner - 1512.05924 Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
by Masaaki Fujii & Akihiko Takahashi - 1512.05635 The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages
by Victor Chernozhukov & Ivan Fernandez-Val & Ye Luo - 1512.05377 Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods
by Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena - 1512.05343 European Union gas market development
by Tobias Baltensperger & Rudolf M. Fuchslin & Pius Krutli & John Lygeros - 1512.05321 Forward rate models with linear volatilities
by Micha{l} Barski & Jerzy Zabczyk - 1512.05074 Unified Growth Theory Contradicted by the Economic Growth in Asia
by Ron W Nielsen - 1512.05066 Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model
by Hiroyasu Inoue - 1512.05015 Optimal Control of Conditional Value-at-Risk in Continuous Time
by Christopher W. Miller & Insoon Yang - 1512.04916 Deep Learning Stock Volatility with Google Domestic Trends
by Ruoxuan Xiong & Eric P. Nichols & Yuan Shen - 1512.04741 The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
by Damiano Brigo & Camilla Pisani & Francesco Rapisarda - 1512.04716 Edgeworth expansion for the pre-averaging estimator
by Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida - 1512.04714 Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation
by Micha{l} Barski & Jerzy Zabczyk - 1512.04637 Graphical Exchange Mechanisms
by Pradeep Dubey & Siddhartha Sahi & Martin Shubik - 1512.04583 Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
by Yusong Li & Harry Zheng - 1512.04460 Distress propagation in complex networks: the case of non-linear DebtRank
by Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli - 1512.03963 Incompleteness of the bond market with L\'evy noise under the physical measure
by Micha{l} Barski - 1512.03896 A generalized intensity based framework for single-name credit risk
by Frank Gehmlich & Thorsten Schmidt - 1512.03743 Do investors trade too much? A laboratory experiment
by Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes - 1512.03677 Option pricing in affine generalized Merton models
by Christian Bayer & John Schoenmakers - 1512.03641 Time-consistency of cash-subadditive risk measures
by Elisa Mastrogiacomo & Emanuela Rosazza Gianin - 1512.03618 Macroeconomic Dynamics of Assets, Leverage and Trust
by Jeroen Rozendaal & Yannick Malevergne & Didier Sornette - 1512.03537 Identifying Highly Correlated Stocks Using the Last Few Principal Components
by Libin Yang & William Rea & and Alethea Rea - 1512.03492 Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
by Martin D. Gould & Julius Bonart - 1512.03292 Time-inhomogeneous affine processes and affine market models
by Stefan Waldenberger - 1512.03259 Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
by Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier - 1512.03173 Monotonicity of the collateralized debt obligations term structure model
by Micha{l} Barski - 1512.03164 Unified Growth Theory Contradicted by the Economic Growth in Africa
by Ron W Nielsen - 1512.02912 The role of money and the financial sector in energy-economy models used for assessing climate policy
by H. Pollitt & J. -F. Mercure - 1512.02859 The network structure of city-firm relations
by Antonios Garas & Celine Rozenblat & Frank Schweitzer - 1512.02529 High-order ADI scheme for option pricing in stochastic volatility models
by Bertram During & James Miles - 1512.02478 Variations on an example of Karatzas and Ruf
by Robert Fernholz - 1512.02454 The double role of GDP in shaping the structure of the International Trade Network
by Assaf Almog & Tiziano Squartini & Diego Garlaschelli - 1512.02317 Money as Minimal Complexity
by Pradeep Dubey & Siddhartha Sahi & Martin Shubik - 1512.02310 Sparse Mean-Variance Portfolios: A Penalized Utility Approach
by David Puelz & P. Richard Hahn & Carlos M. Carvalho - 1512.02233 The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013
by Guillermo Garc'ia-P'erez & Mari'an Bogu~n'a & Antoine Allard & M. 'Angeles Serrano - 1512.01916 An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects
by Xin Li & Carlos F. Tolmasky - 1512.01905 A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones
by Hannah Cheng Juan Zhan & William Rea & Alethea Rea - 1512.01806 Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling
by Mihaly Ormos & Dusan Timotity - 1512.01758 Financial market models in discrete time beyond the concave case
by Mario Sikic - 1512.01742 Oil price shocks, road transport pollution emissions and residents' health losses in China
by Sheng Yang & Ling-Yun He - 1512.01698 Purely pathwise probability-free Ito integral
by Vladimir Vovk - 1512.01676 Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?
by Yue-Jun Zhang & Ting Yao & Ling-Yun He - 1512.01626 Optimal environmental tax swaps and double dividend hypothesis
by Su-Mei Chen & Ling-Yun He - 1512.01527 FX Options in Target Zone
by Peter Carr & Zura Kakushadze - 1512.01488 Arbitrage and Hedging in model-independent markets with frictions
by Matteo Burzoni - 1512.01267 Key drivers of EU budget allocation: Does power matter?
by Vera Zaporozhets & Mar'ia Garc'ia-Vali~nas & Sascha Kurz - 1512.01230 A Theory of Individualism, Collectivism and Economic Outcomes
by Kartik Ahuja & Mihaela van der Schaar & William R. Zame - 1512.00227 A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge
by Takanori Adachi - 1511.09323 Unified Growth Theory Contradicted by the GDP/cap Data
by Ron W Nielsen - 1511.09203 Statistical mechanics of complex economies
by Marco Bardoscia & Giacomo Livan & Matteo Marsili - 1511.09054 It's a Trap: Emperor Palpatine's Poison Pill
by Zachary Feinstein - 1511.09041 Game options in an imperfect market with default
by Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem - 1511.08997 Realized Volatility Analysis in A Spin Model of Financial Markets
by Tetsuya Takaishi - 1511.08830 Disentangling bipartite and core-periphery structure in financial networks
by Paolo Barucca & Fabrizio Lillo - 1511.08718 Full and fast calibration of the Heston stochastic volatility model
by Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano - 1511.08666 Singular Problems for Integro-Differential Equations in Dynamic Insurance Models
by Tatiana Belkina & Nadezhda Konyukhova & Sergey Kurochkin