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Content
2012
2011
- 1201.0224 Inference on Treatment Effects After Selection Amongst High-Dimensional Controls
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen
- 1201.0220 Inference for High-Dimensional Sparse Econometric Models
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen
- 1201.0111 A CDS Option Miscellany
by Richard J Martin
- 1201.0106 Saddlepoint methods in portfolio theory
by Richard J Martin
- 1201.0075 Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
by Xiaoshan Chen & Qingshuo Song & Fahuai Yi & George Yin
- 1112.6390 Early Warning with Calibrated and Sharper Probabilistic Forecasts
by Reason Lesego Machete
- 1112.6169 Measuring market liquidity: An introductory survey
by Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia
- 1112.6085 The position profiles of order cancellations in an emerging stock market
by Gao-Feng Gu & Xiong Xiong & Fei Ren & Wei-Xing Zhou & Wei Zhang
- 1112.6024 Valuation of Zynga
by Zal'an Forr'o & Peter Cauwels & Didier Sornette
- 1112.5850 Periodic Sequences of Arbitrage: A Tale of Four Currencies
by Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy
- 1112.5766 Dependent default and recovery: MCMC study of downturn LGD credit risk model
by Pavel V. Shevchenko & Xiaolin Luo
- 1112.5711 The topology of cross-border exposures: beyond the minimal spanning tree approach
by Alessandro Spelta & Tanya Ara'ujo
- 1112.5687 Resilience to Contagion in Financial Networks
by Hamed Amini & Rama Cont & Andreea Minca
- 1112.5550 Bayesian estimation of probabilities of default for low default portfolios
by Dirk Tasche
- 1112.5340 Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
by Winslow Strong
- 1112.5330 Efficient simulation and calibration of general HJM models by splitting schemes
by Philipp Doersek & Josef Teichmann
- 1112.4824 A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
by Paul M. N. Feehan & Camelia Pop
- 1112.4740 A note on super-hedging for investor-producers
by Adrien Nguyen Huu
- 1112.4534 An application of the method of moments to volatility estimation using daily high, low, opening and closing prices
by Cristin Buescu & Michael Taksar & Fatoumata J. Kon'e
- 1112.4385 Shadow price in the power utility case
by Attila Herczegh & Vilmos Prokaj
- 1112.4351 Monte Carlo methods via a dual approach for some discrete time stochastic control problems
by Lajos Gergely Gyurko & Ben Hambly & Jan Hendrik Witte
- 1112.4027 Analysis of hedging based on co-persistence theory
by Chang-Shuai Li
- 1112.4007 Optimal Constrained Investment in the Cramer-Lundberg model
by Tatiana Belkina & Christian Hipp & Shangzhen Luo & Michael Taksar
- 1112.4005 Minimal Cost of a Brownian Risk without Ruin
by Shangzhen Luo & Michael Taksar
- 1112.3908 Impact of meta-order in the Minority Game
by Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili
- 1112.3868 Spurious trend switching phenomena in financial markets
by Vladimir Filimonov & Didier Sornette
- 1112.3217 Pseudo Hermitian formulation of Black-Scholes equation
by T. K. Jana & P. Roy
- 1112.3111 High-order short-time expansions for ATM option prices under the CGMY model
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e
- 1112.3095 Evidence of market manipulation in the financial crisis
by Vedant Misra & Marco Lagi & Yaneer Bar-Yam
- 1112.3012 Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
by Maxim Bichuch
- 1112.2984 Empirical confirmation of creative destruction from world trade data
by Peter Klimek & Ricardo Hausmann & Stefan Thurner
- 1112.2952 Credit derivatives pricing with default density term structure modelled by L\'evy random fields
by Lijun Bo & Ying Jiao & Xuewei Yang
- 1112.2940 Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
by Xiang Yu
- 1112.2939 An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations
by Xiang Yu
- 1112.2895 Null Models of Economic Networks: The Case of the World Trade Web
by Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli
- 1112.2889 Estimating financial risk using piecewise Gaussian processes
by I. Garcia & J. Jimenez
- 1112.2867 Modeling the International-Trade Network: A Gravity Approach
by Marco Duenas & Giorgio Fagiolo
- 1112.2749 Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
by Maxim Bichuch
- 1112.2638 Dual representations for general multiple stopping problems
by Christian Bender & John Schoenmakers & Jianing Zhang
- 1112.2406 On the game interpretation of a shadow price process in utility maximization problems under transaction costs
by Dmitry B. Rokhlin
- 1112.2397 Optimal posting price of limit orders: learning by trading
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es
- 1112.2379 Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model
by B. Dupoyet & H. R. Fiebig & D. P. Musgrove
- 1112.2168 Firm dynamics in a closed, conserved economy: A model of size distribution of employment and related statistics
by Anindya S. Chakrabarti
- 1112.2059 Randomised Mixture Models for Pricing Kernels
by Andrea Macrina & Priyanka A. Parbhoo
- 1112.1838 Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
by E. Bacry & K. Dayri & J. F. Muzy
- 1112.1782 A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach
by Cyril Grunspan
- 1112.1763 Clean Valuation Framework for the USD Silo
by Masaaki Fujii & Akihiko Takahashi
- 1112.1652 Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
by Cyril Grunspan
- 1112.1607 Restructuring Counterparty Credit Risk
by Claudio Albanese & Damiano Brigo & Frank Oertel
- 1112.1521 Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
by Andrea Pallavicini & Daniele Perini & Damiano Brigo
- 1112.1502 Analysis of fractional Gaussian noises using level crossing method
by M. Vahabi & G. R. Jafari & M. Sadegh Movahed
- 1112.1363 Common persistence in conditional variance: A reconsideration
by Chang-Shuai Li
- 1112.1156 Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network
by Michalis Vafopoulos
- 1112.1114 The Nature of Alpha
by Arthur M. Berd
- 1112.1051 Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data
by Huina Mao & Scott Counts & Johan Bollen
- 1112.0770 Non-Gaussianity of the Intraday Returns Distribution: its evolution in time
by M. A. Virasoro
- 1112.0758 Confronting the Kaya Identity with Investment and Capital Stocks
by Eric Kemp-Benedict
- 1112.0342 Semiclosed Pricing Mechanism
by Dr. Gurjeet Dhesi & Mohammad Abdul Washad Emambocus & Muhammad Bilal Shakeel
- 1112.0297 RQA Application for the Monitoring of Financial and Commodity markets state
by Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko
- 1112.0233 Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model
by Michael Pickhardt & Goetz Seibold
- 1112.0226 Bivariate Semi-Markov Process for Counterparty Credit Risk
by Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi
- 1112.0210 Mesoscopic approach to minority games in herd regime
by Karol Wawrzyniak & Wojciech Wislicki
- 1112.0105 Approximated maximum likelihood estimation in multifractal random walks
by Ola L{o}vsletten & Martin Rypdal
- 1112.0076 Bandit Market Makers
by Nicolas Della Penna & Mark D. Reid
- 1111.7103 High Frequency Lead/lag Relationships - Empirical facts
by Nicolas Huth & Fr'ed'eric Abergel
- 1111.6859 The minimal length uncertainty and the quantum model for the stock market
by Pouria Pedram
- 1111.6826 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
by Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia
- 1111.6633 On the Existence of Shadow Prices
by Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe
- 1111.6067 Adaptive Simulation of the Heston Model
by Ian Iscoe & Asif Lakhany
- 1111.6038 Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
by John Schoenmakers & Junbo Huang & Jianing Zhang
- 1111.5739 On Markovian solutions to Markov Chain BSDEs
by Samuel N. Cohen & Lukasz Szpruch
- 1111.5726 Multicurrency advisor based on the NSW model. Detailed description and perspectives
by A. M. Avdeenko
- 1111.5397 A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk
by Graham Andersen & David Chisholm
- 1111.5289 Heisenberg uncertainty principle and economic analogues of basic physical quantities
by Vladimir Soloviev & Vladimir Saptsin
- 1111.5265 Multifractal modeling of short-term interest rates
by M. Rypdal & O. L{o}vsletten
- 1111.5254 Markov Chains application to the financial-economic time series prediction
by Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko
- 1111.5228 Privacy-Preserving Methods for Sharing Financial Risk Exposures
by Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo
- 1111.5069 Cluster formation and evolution in networks of financial market indices
by Leonidas Sandoval Junior
- 1111.4852 Biased diffusion on Japanese inter-firm trading network: Estimation of sales from network structure
by Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu
- 1111.4808 Conditional sampling for barrier option pricing under the LT method
by Nico Achtsis & Ronald Cools & Dirk Nuyens
- 1111.4637 Collective behavior of stock prices as a precursor to market crash
by Jun-ichi Maskawa
- 1111.4421 Historical risk measures on stock market indices and energy markets
by Wayne Tarrant
- 1111.4417 Viewing Risk Measures as Information
by Dominique Gu/'egan & Wayne Tarrant
- 1111.4414 On the Necessity of Five Risk Measures
by Dominique Gu'egan & Wayne Tarrant
- 1111.4298 Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty
by Wei Chen
- 1111.4087 ADI finite difference schemes for the Heston-Hull-White PDE
by Tinne Haentjens & Karel J. in 't Hout
- 1111.3885 The Existence of Dominating Local Martingale Measures
by Peter Imkeller & Nicolas Perkowski
- 1111.3856 A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
by Vicky Henderson & Gechun Liang
- 1111.3757 Interest Rates and Information Geometry
by Dorje C. Brody & Lane P. Hughston
- 1111.3263 Black-Scholes model under subordination
by Aleksander Stanislavsky
- 1111.3127 Tracing the temporal evolution of clusters in a financial stock market
by Argimiro Arratia & Alejandra Caba~na
- 1111.3035 Sustainable Credit And Interest Rates
by Andreas Hula
- 1111.2976 Killed Brownian motion with a prescribed lifetime distribution and models of default
by Boris Ettinger & Steven N. Evans & Alexandru Hening
- 1111.2846 A simplified Capital Asset Pricing Model
by Vladimir Vovk
- 1111.2683 Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model
by K. Milanov & O. Kounchev
- 1111.2584 Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation
by Zhuo Jin & George Yin & Chao Zhu
- 1111.2462 Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations
by J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante
- 1111.2169 General Theory of Geometric L\'evy Models for Dynamic Asset Pricing
by Dorje C. Brody & Lane P. Hughston & Ewan Mackie
- 1111.2091 Performance-based regularization in mean-CVaR portfolio optimization
by Noureddine El Karoui & Andrew E. B. Lim & Gah-Yi Vahn
- 1111.2038 On the scaling of the distribution of daily price fluctuations in Mexican financial market index
by Lester Alfonso & Ricardo Mansilla & Cesar A. Terrero-Escalante
- 1111.1349 On Multivariate Extensions of Value-at-Risk
by Areski Cousin & Elena Di Bernadino
- 1111.1331 Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo
- 1111.1133 Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation
by Xi Luo
- 1111.1113 Copula-based Hierarchical Aggregation of Correlated Risks. The behaviour of the diversification benefit in Gaussian and Lognormal Trees
by Jean-Philippe Bruneton
- 1111.0818 Time-Inconsistent Stochastic Linear--Quadratic Control
by Ying Hu & Hanqing Jin & Xun Yu Zhou
- 1111.0389 An analytical performance comparison of exchanged traded funds with index funds: 2002-2010
by Mohammad Sharifzadeh & Simin Hojat
- 1110.6679 Coupled Oscillator Model of the Business Cycle with Fluctuating Goods Markets
by Y. Ikeda & H. Aoyama & Y. Fujiwara & H. Iyetomi & K. Ogimoto & W. Souma & H. Yoshikawa
- 1110.6553 Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data
by Lawrence R. Thorne
- 1110.6322 Hedging of time discrete auto-regressive stochastic volatility options
by Joan del Castillo & Juan-Pablo Ortega
- 1110.6289 Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
by Vladimir Cherny & Jan Obloj
- 1110.6170 Symmetries of the Black-Scholes equation
by Paul Lescot
- 1110.5846 Two-factor capital structure models for equity and credit
by Thomas R. Hurd & Zhuowei Zhou
- 1110.5789 An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility
by Nicholas G. Polson & James G. Scott
- 1110.5594 Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities
by Paul M. N. Feehan & Camelia A. Pop
- 1110.5578 Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III
by Vitor Joao Pereira Domingues Martinho
- 1110.5573 Spatial Effects and Verdoorn Law in the Portuguese Context
by Vitor Joao Pereira Domingues Martinho
- 1110.5571 Spatial Effects and Convergence Theory in the Portuguese Situation
by Vitor Joao Pereira Domingues Martinho
- 1110.5564 Analysis of Net Migration Between the Portuguese Regions
by Vitor Joao Pereira Domingues Martinho
- 1110.5559 Regional Agglomeration in Portugal: A Linear Analysis
by Vitor Joao Pereira Domingues Martinho
- 1110.5558 Geographic Concentration in Portugal and Regional Specific Factors
by Vitor Joao Pereira Domingues Martinho
- 1110.5557 Polarization Versus Agglomeration
by Vitor Joao Pereira Domingues Martinho
- 1110.5556 Spatial Effects in Convergence of Portuguese Product
by Vitor Joao Pereira Domingues Martinho
- 1110.5552 Sectoral Convergence in Output Per Worker Between Portuguese Regions
by Vitor Joao Pereira Domingues Martinho
- 1110.5548 An Alternative Use of the Verdoorn Law at the Portuguese NUTs II Level
by Vitor Joao Pereira Domingues Martinho
- 1110.5544 The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis
by Vitor Joao Pereira Domingues Martinho
- 1110.5538 The Importance of Increasing Returns to Scale in the Process of Agglomeration in Portugal: A Non-linear Empirical Analysis
by Vitor Joao Pereira Domingues Martinho
- 1110.5534 Agglomeration and Interregional Mobility of Labor in Portugal
by Vitor Joao Pereira Domingues Martinho
- 1110.5518 Entrepreneurship: some considerations
by Vitor Joao Pereira Domingues Martinho
- 1110.5516 Entrepreneurship: what's happening?
by Vitor Joao Pereira Domingues Martinho
- 1110.5446 Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
by Zbigniew Palmowski & Sebastian Baran
- 1110.5429 Causal modeling and inference for electricity markets
by Egil Ferkingstad & Anders L{o}land & Mathilde Wilhelmsen
- 1110.5350 A Quantum-like Approach to the Stock Market
by Diederik Aerts & Bart D'Hooghe & Sandro Sozzo
- 1110.5288 Fundamental Measurements in Economics and in the Theory of Consciousness (Manifestation of quantum-mechanical properties of economic objects in slit measurements)
by I. G. Tuluzov & S. I. Melnyk
- 1110.5283 Fundamental Measurements in Economics and in the Theory of Consciousness
by S. I. Melnyk & I. G. Tuluzov
- 1110.5276 Exact and asymptotic results for insurance risk models with surplus-dependent premiums
by Hansjorg Albrecher & Corina Constantinescu & Zbigniew Palmowski & Georg Regensburger & Markus Rosenkranz
- 1110.5197 Memory effects in stock price dynamics: evidences of technical trading
by Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero
- 1110.5144 Computing Economic Equilibria by a Homotopy Method
by Zoltan Pap
- 1110.4965 On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function
by F. Avram & Z. Palmowski & M. R. Pistorius
- 1110.4811 A limit order book model for latency arbitrage
by Samuel N. Cohen & Lukasz Szpruch
- 1110.4784 Web search queries can predict stock market volumes
by Ilaria Bordino & Stefano Battiston & Guido Caldarelli & Matthieu Cristelli & Antti Ukkonen & Ingmar Weber
- 1110.4669 Bridge Copula Model for Option Pricing
by Giuseppe Campolieti & Roman N. Makarov & Andrey Vasiliev
- 1110.4648 Anti-Robust and Tonsured Statistics
by Martin Goldberg
- 1110.4516 Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation
by Mark J. Cathcart & Steven Morrison & Alexander J. McNeil
- 1110.4506 Application of Chaotic Number Generators in Econophysics
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 1110.4477 Hierarchical information clustering by means of topologically embedded graphs
by Won-Min Song & T. Di Matteo & Tomaso Aste
- 1110.4455 Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market
by Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Run Wu
- 1110.4411 Gaussian Process Regression Networks
by Andrew Gordon Wilson & David A. Knowles & Zoubin Ghahramani
- 1110.4312 A framework for analyzing contagion in banking networks
by Thomas R. Hurd & James P. Gleeson
- 1110.4119 Integration and Contagion in US Housing Markets
by John Cotter & Stuart Gabriel & Richard Roll
- 1110.3897 Optimal decision under ambiguity for diffusion processes
by Soren Christensen
- 1110.3546 On the Computational Complexity of Measuring Global Stability of Banking Networks
by Piotr Berman & Bhaskar DasGupta & Lakshmi Kaligounder & Marek Karpinski
- 1110.3460 Performance analysis and optimal selection of large mean-variance portfolios under estimation risk
by Francisco Rubio & Xavier Mestre & Daniel P. Palomar
- 1110.3383 Suitability of using technical indicators as potential strategies within intelligent trading systems
by Evan Hurwitz & Tshilidzi Marwala
- 1110.3250 On a stochastic differential equation arising in a price impact model
by Peter Bank & Dmitry Kramkov
- 1110.3248 Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
by Dmitry Kramkov & Silviu Predoiu
- 1110.3229 A model for a large investor trading at market indifference prices. II: Continuous-time case
by Peter Bank & Dmitry Kramkov
- 1110.3224 A model for a large investor trading at market indifference prices. I: single-period case
by Peter Bank & Dmitry Kramkov
- 1110.3133 Price impact asymmetry of institutional trading in Chinese stock market
by Fei Ren & Li-Xin Zhong
- 1110.2612 Market inefficiency identified by both single and multiple currency trends
by Tom'av{s} Tok'ar & Denis Horv'ath
- 1110.2603 Multi-agent based analysis of financial data
by Tom'av{s} Tok'ar & Denis Horv'ath & Michal Hnatich
- 1110.2573 Optimal investment with intermediate consumption and random endowment
by Oleksii Mostovyi
- 1110.2477 Parallel Binomial American Option Pricing with (and without) Transaction Costs
by Nan Zhang & Alet Roux & Tomasz Zastawniak
- 1110.2260 Distinguishing manipulated stocks via trading network analysis
by Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang
- 1110.2075 Conservative self-organized extremal model for wealth distribution
by Abhijit Chakraborty & G. Mukherjee & S. S. Manna
- 1110.1727 Time Scales in Futures Markets and Applications
by Laurent Schoeffel
- 1110.1578 Menger 1934 revisited
by Ole Peters
- 1110.1567 A Modified GHG Intensity Indicator: Toward a Sustainable Global Economy based on a Carbon Border Tax and Emissions Trading
by Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet
- 1110.1522 Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data
by Junjie Wang & Shuigeng Zhou & Jihong Guan
- 1110.1436 Loss-Based Risk Measures
by Rama Cont & Romain Deguest & Xuedong He
- 1110.1319 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter Cauwels & Didier Sornette
- 1110.1214 Long Horizons, High Risk Aversion, and Endogeneous Spreads
by Paolo Guasoni & Johannes Muhle-Karbe
- 1110.1006 Returns in futures markets and $\nu=3$ t-distribution
by Laurent Schoeffel
- 1110.0561 Modeling Multiple Risks: Hidden Domain of Attraction
by Abhimanyu Mitra & Sidney I. Resnick
- 1110.0403 Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets
by Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen
- 1110.0220 Risk Premia and Optimal Liquidation of Credit Derivatives
by Tim Leung & Peng Liu
- 1110.0159 Hedging strategies with a put option and their failure rates
by Guanghui Huang & Jing Xu & Wenting Xing
- 1110.0062 Identification of Demand through Statistical Distribution Modeling for Improved Demand Forecasting
by Murphy Choy & Michelle L. F. Cheong
- 1109.6909 Pricing stocks with yardsticks and sentiments
by Sebast{i}an Mart{i}nez Bustos & Jorgen Vitting Andersen & Michel Miniconi & Andrzej Nowak & Magdalena Roszczynska-Kurasinska & David Bree
- 1109.6210 Reconstruction of financial network for robust estimation of systemic risk
by Iacopo Mastromatteo & Elia Zarinelli & Matteo Marsili
- 1109.6154 The Small and Large Time Implied Volatilities in the Minimal Market Model
by Zhi Guo & Eckhard Platen
- 1109.5791 Dynamic Model of Markets of Homogenous Non-Durable
by Joachim Kaldasch
- 1109.5752 A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
by Erhan Bayraktar & Arash Fahim
- 1109.5512 On Admissible Strategies in Robust Utility Maximization
by Keita Owari
- 1109.5316 Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
by Tim Leung & Qingshuo Song & Jie Yang
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