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Content
2014
- 1404.1895 Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
by Nicole El Karoui & Caroline Hillairet & Mohamed Mrad
- 1404.1773 Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
by Robert Stelzer & Jovana Zaviv{s}in
- 1404.1761 Impulse Control of a Diffusion with a Change Point
by Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li
- 1404.1730 Stochastic Evolution of Stock Market Volume-Price Distributions
by Paulo Rocha & Frank Raischel & Jo~ao P. da Cruz & Pedro G. Lind
- 1404.1516 Martingale optimal transport in the Skorokhod space
by Y. Dolinsky & H. M. Soner
- 1404.1441 A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
by Boualem Djehiche & Hamidou Tembine & Raul Tempone
- 1404.1367 Emergence of communities on a coevolutive model of wealth interchange
by A. Agreda & K. Tucci
- 1404.1351 Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
by Carol Alexander & Johannes Rauch
- 1404.1180 Parallel American Monte Carlo
by Calypso Herrera & Louis Paulot
- 1404.1164 Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1404.1052 An agent-based computational model for China's stock market and stock index futures market
by Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou
- 1404.1051 Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
by Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou
- 1404.0879 Utility indifference pricing of derivatives written on industrial loss indexes
by Gunther Leobacher & Philip Ngare
- 1404.0746 Is It Possible to OD on Alpha?
by Zura Kakushadze & Jim Kyung-Soo Liew
- 1404.0651 On parameter identification in stochastic differential equations by penalized maximum likelihood
by Fabian Dunker & Thorsten Hohage
- 1404.0648 Dynamic optimal execution in a mixed-market-impact Hawkes price model
by Aur'elien Alfonsi & Pierre Blanc
- 1404.0601 Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
by Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson
- 1404.0410 Non-Arbitrage under a Class of Honest Times
by Tahir Choulli & Anna Aksamit & Jun Deng & Monique Jeanblanc
- 1404.0375 Principal wind turbines for a conditional portfolio approach to wind farms
by Vitor V. Lopes & Teresa Scholz & Frank Raischel & Pedro G. Lind
- 1404.0340 On the range of admissible term-structures
by Areski Cousin & Ibrahima Niang
- 1404.0243 Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
by D. Sornette
- 1403.8125 Maximum drawdown, recovery, and momentum
by Jaehyung Choi
- 1403.8018 Are credit ratings time-homogeneous and Markov?
by Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers
- 1403.7830 Pseudo Linear Pricing Rule for Utility Indifference Valuation
by Vicky Henderson & Gechun Liang
- 1403.7800 Evolution of wealth in a nonconservative economy driven by local Nash equilibria
by Pierre Degond & Jian-Guo Liu & Christian Ringhofer
- 1403.7799 Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
by Gabriele Sarais & Damiano Brigo
- 1403.7680 Omega risk model with tax
by Zhenyu Cui
- 1403.7628 Anatomy of a Bail-In
by Thomas Conlon & John Cotter
- 1403.7269 A Note on the Quantile Formulation
by Zuo Quan Xu
- 1403.7179 Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
by Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti
- 1403.7021 Contextual and Structural Representations of Market-mediated Economic Value
by Bradly Alicea
- 1403.6531 Credit acceptance process strategy case studies - the power of Credit Scoring
by Karol Przanowski
- 1403.6378 Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
by Stefan Bornholdt & Kim Sneppen
- 1403.6342 Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
by Benedikt Fuchs & Stefan Thurner
- 1403.6175 Utility maximization in the large markets
by Oleksii Mostovyi
- 1403.6112 The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
by Dominique Pepin
- 1403.6093 Reward-risk momentum strategies using classical tempered stable distribution
by Jaehyung Choi & Young Shin Kim & Ivan Mitov
- 1403.5965 The Implied Volatility Analysis: The South African Experience
by Romuald N. Kenmoe S & Carine D. Tafou
- 1403.5833 Sophisticated gamblers ruin and survival chances
by Salil Mehta
- 1403.5685 Trajectory Based Models, Arbitrage and Continuity
by Alexander Alvarez & Sebastian Ferrando
- 1403.5623 Systemic risk in dynamical networks with stochastic failure criterion
by B. Podobnik & D. Horvatic & M. Bertella & L. Feng & X. Huang & B. Li
- 1403.5599 The acceptance-rejection method for low-discrepancy sequences
by Nguyet Nguyen & Giray Okten
- 1403.5402 Time-changed CIR default intensities with two-sided mean-reverting jumps
by Rafael Mendoza-Arriaga & Vadim Linetsky
- 1403.5309 Multilevel Monte Carlo For Exponential L\'{e}vy Models
by Mike Giles & Yuan Xia
- 1403.5302 Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
by Archil Gulisashvili & Josep Vives
- 1403.5247 Portfolio Optimization in Affine Models with Markov Switching
by Marcos Escobar & Daniela Neykova & Rudi Zagst
- 1403.5236 A change of measure preserving the affine structure in the BNS model for commodity markets
by Fred Espen Benth & Salvador Ortiz-Latorre
- 1403.5227 Branching ratio approximation for the self-exciting Hawkes process
by Stephen J. Hardiman & Jean-Philippe Bouchaud
- 1403.5193 Predicting market instability: New dynamics between volume and volatility
by Zeyu Zheng & Zhi Qiao & Joel N. Tenenbaum & H. Eugene Stanley & Baowen Li
- 1403.5179 Collective behaviours in the stock market -- A maximum entropy approach
by Thomas Bury
- 1403.4460 Stationarity, non-stationarity and early warning signals in economic networks
by Tiziano Squartini & Diego Garlaschelli
- 1403.4329 On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
by Alexandra Rodkina & Nikolai Dokuchaev
- 1403.4305 Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
by Yaya Li & Yongli Li & Yulin Zhao & Fang Wang
- 1403.4291 An importance sampling approach for copula models in insurance
by Philipp Arbenz & Mathieu Cambou & Marius Hofert
- 1403.4171 Least quartic Regression Criterion with Application to Finance
by Giuseppe arbia
- 1403.4111 Representation of infinite dimensional forward price models in commodity markets
by Fred Espen Benth & Paul Kruhner
- 1403.4099 High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
by Dieter Hendricks & Diane Wilcox & Tim Gebbie
- 1403.4069 Momentum Strategies with L1 Filter
by Tung-Lam Dao
- 1403.3756 A fast Fourier transform method for Mellin-type option pricing
by D. J. Manuge & P. T. Kim
- 1403.3638 Networked relationships in the e-MID Interbank market: A trading model with memory
by Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello
- 1403.3627 A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
by Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari
- 1403.3584 Testing for Detailed Balance in a Financial Market
by Rudolf Fiebig & David Musgrove
- 1403.3571 Anomalous impact in reaction-diffusion models
by Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud
- 1403.3478 Empirical properties of inter-cancellation durations in the Chinese stock market
by Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou
- 1403.3459 Structure conditions under progressively added information
by Tahir Choulli & Jun Deng
- 1403.3362 Coherent Chaos Interest Rate Models
by Dorje C. Brody & Stala Hadjipetri
- 1403.3294 Detecting informed activities in European-style option tradings
by Lyudmila A. Glik & Oleg L. Kritski
- 1403.3223 Merton problem with one additional indivisible asset
by Jakub Trybu{l}a
- 1403.3212 Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case
by Jakub Trybu{l}a & Dariusz Zawisza
- 1403.3138 Distribution of the asset price movement and market potential
by Dong Han Kim & Stefano Marmi
- 1403.2730 Quadratic BSDEs with jumps: related non-linear expectations
by M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou
- 1403.2229 A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
by Dieter Hendricks & Diane Wilcox
- 1403.2060 Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
by Michael B. Walker
- 1403.2050 Partial Mutual Information Analysis of Financial Networks
by Pawe{l} Fiedor
- 1403.1889 Introduction to Risk Parity and Budgeting
by Thierry Roncalli
- 1403.1822 Zipf's law in city size from a resource utilization model
by Asim Ghosh & Arnab Chatterjee & Anindya S. Chakrabarti & Bikas K Chakrabarti
- 1403.1804 High-Order Splitting Methods for Forward PDEs and PIDEs
by Andrey Itkin
- 1403.1715 Do Google Trend data contain more predictability than price returns?
by Damien Challet & Ahmed Bel Hadj Ayed
- 1403.1637 Inside Money, Procyclical Leverage, and Banking Catastrophes
by Charles D. Brummitt & Rajiv Sethi & Duncan J. Watts
- 1403.1574 Consentaneous agent-based and stochastic model of the financial markets
by V. Gontis & A. Kononovicius
- 1403.1548 To bail-out or to bail-in? Answers from an agent-based model
by Peter Klimek & Sebastian Poledna & J. Doyne Farmer & Stefan Thurner
- 1403.1509 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael B. Walker
- 1403.1363 International Transmission of Shocks and Fragility of a Bank Network
by Xiaobing Feng & Woo Seong Jo & Beom Jun Kim
- 1403.1183 On the Frequency of Drawdowns for Brownian Motion Processes
by David Landriault & Bin Li & Hongzhong Zhang
- 1403.1086 Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
by Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales
- 1403.0994 On the Hawkes Process with Different Exciting Functions
by Behzad Mehrdad & Lingjiong Zhu
- 1403.0851 Asset Prices and Risk Aversion
by Dominique Pepin
- 1403.0848 Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
by Andreas Joseph & Irena Vodenska & Eugene Stanley & Guanrong Chen
- 1403.0842 The adaptive nature of liquidity taking in limit order books
by Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo
- 1403.0718 Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
by Xiangyu Cui & Duan Li & Xun Li
- 1403.0648 Multi-period Trading Prediction Markets with Connections to Machine Learning
by Jinli Hu & Amos Storkey
- 1403.0627 Exchange Rate Predictability in a Changing World
by Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro
- 1403.0527 Parameter estimation for the subcritical Heston model based on discrete time observations
by Matyas Barczy & Gyula Pap & Tamas T. Szabo
- 1403.0333 Intrinsic Prices Of Risk
by Truc Le
- 1403.0202 Investing and Stopping
by Moritz Duembgen & L. C. G. Rogers
- 1403.0064 Leverage effect in energy futures
by Ladislav Kristoufek
- 1403.0015 Micro to macro models for income distribution in the absence and in the presence of tax evasion
by Maria Letizia Bertotti & Giovanni Modanese
- 1402.7027 Efficient Modeling and Forecasting of the Electricity Spot Price
by Florian Ziel & Rick Steinert & Sven Husmann
- 1402.6760 Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
by Hanqing Jin & Yimin Yang
- 1402.6583 Finding informed traders in futures and their inderlying assets in intraday trading
by Lyudmila A. Glik & Oleg L. Kritski
- 1402.6444 A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by Christian Bender & Nikolai Dokuchaev
- 1402.6393 Prospect Theory for Online Financial Trading
by Yang-Yu Liu & Jose C. Nacher & Tomoshiro Ochiai & Mauro Martino & Yaniv Altshuler
- 1402.6313 Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
by Abdelali Gabih & Hakam Kondakji & Jorn Sass & Ralf Wunderlich
- 1402.6204 The role of information in a two-traders market
by F. Bagarello & E. Haven
- 1402.5679 Time-dependent Heston model
by G. S. Vasilev
- 1402.5534 Estimation Error of Expected Shortfall
by Imre Kondor
- 1402.5373 Technology Parks Potential for Small and Medium Enterprises
by Anna V. Vilisova & Qiang Fu
- 1402.5352 Systemic Risk and Default Clustering for Large Financial Systems
by Konstantinos Spiliopoulos
- 1402.5306 Rebalancing with Linear and Quadratic Costs
by Ren Liu & Johannes Muhle-Karbe & Marko H. Weber
- 1402.5304 Trading with Small Price Impact
by Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner
- 1402.5300 Purchasing Life Insurance to Reach a Bequest Goal
by Erhan Bayraktar & David Promislow & Virginia Young
- 1402.5208 Densely Entangled Financial Systems
by Bhaskar DasGupta & Lakshmi Kaligounder
- 1402.5094 Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
by Samuel Palmer
- 1402.4783 Mapping systemic risk: critical degree and failures distribution in financial networks
by Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz
- 1402.4683 Tails of weakly dependent random vectors
by Peter Tankov
- 1402.4551 A debt behaviour model
by Wenjun Zhang & John Holt
- 1402.4171 Reconstructing the world trade multiplex: the role of intensive and extensive biases
by Rossana Mastrandrea & Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli
- 1402.4150 On Simulation of Various Effects in Consolidated Order Book
by A. O. Glekin & A. Lykov & K. L. Vaninsky
- 1402.4047 Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
by M. Koz{l}owska & T. Gubiec & T. R. Werner & M. Denys & A. Sienkiewicz & R. Kutner & Z. Struzik
- 1402.3820 Information-theoretic approach to lead-lag effect on financial markets
by Pawe{l} Fiedor
- 1402.3725 On the shortfall risk control -- a refinement of the quantile hedging method
by Micha{l} Barski
- 1402.3720 The geometry of relative arbitrage
by Soumik Pal & Ting-Kam Leonard Wong
- 1402.3688 Systemic Losses Due to Counter Party Risk in a Stylized Banking System
by Annika Birch & Tomaso Aste
- 1402.3562 Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
by Bin Zou & Abel Cadenillas
- 1402.3560 Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
by Bin Zou & Abel Cadenillas
- 1402.3483 News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
by Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc
- 1402.3464 Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
by Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao
- 1402.3424 Reference Vectors in Economic Choice
by Teycir Abdelghani Goucha
- 1402.3030 Information ratio analysis of momentum strategies
by Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen
- 1402.2599 Model-independent Superhedging under Portfolio Constraints
by Arash Fahim & Yu-Jui Huang
- 1402.2596 On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
by Erhan Bayraktar & Zhou Zhou
- 1402.2494 Stock portfolio structure of individual investors infers future trading behavior
by Ludvig Bohlin & Martin Rosvall
- 1402.2492 Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
by Alice X. D. Dong & Jennifer S. K. Chan & Gareth W. Peters
- 1402.2273 Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
by Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang
- 1402.2198 Multi-scale Representation of High Frequency Market Liquidity
by Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard
- 1402.2046 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo
- 1402.1953 Pricing Currency Derivatives with Markov-modulated Levy Dynamics
by Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott
- 1402.1809 Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
by Erhan Bayraktar & Yuchong Zhang
- 1402.1624 Using Twitter to Model the EUR/USD Exchange Rate
by Dietmar Janetzko
- 1402.1554 Option Pricing for Symmetric L\'evy Returns with Applications
by Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan
- 1402.1552 Correlation and Network Topologies in Global and Local Stock Indices
by Ashadun Nobi & Sungmin Lee & Doo Hwan Kim & Jae Woo Lee
- 1402.1440 Are European equity markets efficient? New evidence from fractal analysis
by Enrico Onali & John Goddard
- 1402.1405 Partial correlation analysis: Applications for financial markets
by Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley
- 1402.1288 Market impact as anticipation of the order flow imbalance
by Thibault Jaisson
- 1402.1281 Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
by Ovidiu Racorean
- 1402.1255 Option Pricing, Historical Volatility and Tail Risks
by Samuel E. Vazquez
- 1402.1052 Optimal Sharing Rule for a Household with a Portfolio Management Problem
by Adrien Nguyen Huu & Oumar Mbodji & A Nguyen-Huu & Traian A. Pirvu
- 1402.1046 Spatial and temporal structures of four financial markets in Greater China
by F. Y. Ouyang & B. Zheng & X. F. Jiang
- 1402.0910 The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis
by Yavni Bar-Yam & Marcus A. M. de Aguiar & Yaneer Bar-Yam
- 1402.0243 Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
by Fabian Dickmann & Nikolaus Schweizer
- 1402.0176 Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
by Sorin Solomon & Natasa Golo
- 1402.0139 The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
by Arslan Tariq Rana & Mazen Kebewar
- 1401.8271 Hedging Expected Losses on Derivatives in Electricity Futures Markets
by Adrien Nguyen Huu & Nadia Oudjane
- 1401.8142 The Integrated Size and Price Optimization Problem
by Miriam Kie{ss}ling & Sascha Kurz & Jorg Rambau
- 1401.8106 Cross-correlation asymmetries and causal relationships between stock and market risk
by Stanislav S. Borysov & Alexander V. Balatsky
- 1401.8065 Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
by Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu
- 1401.8026 Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
by Sebastian Poledna & Stefan Thurner
- 1401.7913 From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
by Lorenz Schneider & Bertrand Tavin
- 1401.7615 Testing for rational speculative bubbles in the Brazilian residential real-estate market
by Marcelo M. de Oliveira & Alexandre C. L. Almeida
- 1401.7496 Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
by Sorin Solomon & Natasa Golo
- 1401.7450 Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
by B. Podobnik & A. Majdandzic & C. Curme & Z. Qiao & W. -X. Zhou & H. E. Stanley & B. Li
- 1401.7344 Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking
by Brian P. Hanley
- 1401.7198 Arbitrage of the first kind and filtration enlargements in semimartingale financial models
by Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras
- 1401.7170 Self-affinity in financial asset returns
by John Goddard & Enrico Onali
- 1401.6955 Modeling Credit Spreads Using Nonlinear Regression
by Radoslava Mirkov & Thomas Maul & Ronald Hochreiter & Holger Thomae
- 1401.6735 Option Pricing of Twin Assets
by Marcelo J. Villena & Axel A. Araneda
- 1401.6408 Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
by M. Bernardi & L. Petrella
- 1401.6383 Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
by Jarno Talponen & Lauri Viitasaari
- 1401.5666 Estimate nothing
by M. Duembgen & L. C. G. Rogers
- 1401.5452 Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
by G. Papaioannou & P. Papaioannou & N. Parliaris
- 1401.5431 On multicurve models for the term structure
by Laura Morino & Wolfgang J. Ruggaldier
- 1401.5314 Why free markets die: An evolutionary perspective
by Eduardo Viegas & Stuart P. Cockburn & Henrik Jeldtoft Jensen & Geoffrey B. West
- 1401.4887 On Convergence in the Spatial AK Growth Models
by Gani Aldashev & Serik Aldashev & Timoteo Carletti
- 1401.4787 On the Measurement of Economic Tail Risk
by Steven Kou & Xianhua Peng
- 1401.4704 Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
by Martha G. Alatriste Contreras & Giorgio Fagiolo
- 1401.4698 Martingale Inequalities and Deterministic Counterparts
by Mathias Beiglbock & Marcel Nutz
- 1401.4664 Mathematical Foundations for the Economy of Giving
by W. P. Weijland
- 1401.4550 Wealth distribution and collective knowledge. A Boltzmann approach
by Lorenzo Pareschi & Giuseppe Toscani
- 1401.4387 A Multiple Network Approach to Corporate Governance
by Fausto Bonacina & Marco D'Errico & Enrico Moretto & Silvana Stefani & Anna Torriero
- 1401.4331 Diversity of scales makes an advantage: The case of the Minority Game
by Miroslav Piv{s}tv{e}k & Frantisek Slanina
- 1401.3994 CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
by Damiano Brigo & Andrea Pallavicini
- 1401.3921 A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
by A. Galichon & P. Henry-Labord`ere & N. Touzi
- 1401.3911 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin
- 1401.3589 Risk aggregation and stochastic claims reserving in disability insurance
by Boualem Djehiche & Bjorn Lofdahl
- 1401.3316 Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
by Petr Jizba & Jan Korbel
- 1401.3281 A Creepy World
by Didier Sornette & Peter Cauwels
- 1401.3261 General indifference pricing with small transaction costs
by Dylan Possamai & Guillaume Royer
- 1401.3167 Quasi-Hadamard differentiability of general risk functionals and its application
by Volker Kratschmer & Alexander Schied & Henryk Zahle
- 1401.3145 Bartering integer commodities with exogenous prices
by Stefano Nasini & Jordi Castro & Pau Fonseca i Casas
- 1401.3133 Capital adequacy tests and limited liability of financial institutions
by Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari
- 1401.3121 Law-invariant risk measures: extension properties and qualitative robustness
by Pablo Koch-Medina & Cosimo Munari
- 1401.3103 Hierarchicality of Trade Flow Networks Reveals Complexity of Products
by Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo
- 1401.2982 When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation
by James J. Angel
- 1401.2954 Information theoretic approach for accounting classification
by E. M. S. Ribeiro & G. A. Prataviera
- 1401.2900 Efficient tree methods for pricing digital barrier options
by Elisa Appolloni & Andrea Ligori
- 1401.2867 Bayesian analysis of redistribution policy with a fixed scale
by Guy Cirier
- 1401.2860 Complex temporal structure of activity in on-line electronic auctions
by Frantisek Slanina
- 1401.2548 Mutual Information Rate-Based Networks in Financial Markets
by Pawe{l} Fiedor
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