Printed from https://ideas.repec.org/s/arx/papers77.html
Content
2020
- 2003.00598 Data Normalization for Bilinear Structures in High-Frequency Financial Time-series
by Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis - 2003.00580 Technological interdependencies predict innovation dynamics
by Anton Pichler & Franc{c}ois Lafond & J. Doyne Farmer - 2003.00545 Simple Mechanisms for Agents with Non-linear Utilities
by Yiding Feng & Jason Hartline & Yingkai Li - 2003.00334 Asymptotic Smiles for an Affine Jump-Diffusion Model
by Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin - 2003.00276 Identification of Random Coefficient Latent Utility Models
by Roy Allen & John Rehbeck - 2003.00130 Transformers for Limit Order Books
by James Wallbridge - 2003.00129 Determination of Latent Dimensionality in International Trade Flow
by Duc P. Truong & Erik Skau & Vladimir I. Valtchinov & Boian S. Alexandrov - 2003.00033 Dynamic Beveridge Curve Accounting
by Hie Joo Ahn & Leland D. Crane - 2002.12857 Equilibrium Model of Limit Order Books: A Mean-field Game View
by Jin Ma & Eunjung Noh - 2002.12710 Causal mediation analysis with double machine learning
by Helmut Farbmacher & Martin Huber & Luk'av{s} Laff'ers & Henrika Langen & Martin Spindler - 2002.12572 Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
by Camilo Hern'andez & Dylan Possamai - 2002.12274 Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges
by Paz Grimberg & Tobias Lauinger & Damon McCoy - 2002.11976 Model order reduction for parametric high dimensional models in the analysis of financial risk
by Andreas Binder & Onkar Jadhav & Volker Mehrmann - 2002.11865 On the extension property of dilatation monotone risk measures
by Massoomeh Rahsepar & Foivos Xanthos - 2002.11705 Firms Default Prediction with Machine Learning
by Tesi Aliaj & Aris Anagnostopoulos & Stefano Piersanti - 2002.11650 Contextual Search in the Presence of Adversarial Corruptions
by Akshay Krishnamurthy & Thodoris Lykouris & Chara Podimata & Robert Schapire - 2002.11642 Off-Policy Evaluation and Learning for External Validity under a Covariate Shift
by Masahiro Kato & Masatoshi Uehara & Shota Yasui - 2002.11583 Econometric issues with Laubach and Williams' estimates of the natural rate of interest
by Daniel Buncic - 2002.11523 Using Reinforcement Learning in the Algorithmic Trading Problem
by Evgeny Ponomarev & Ivan Oseledets & Andrzej Cichocki - 2002.11362 Feasible Joint Posterior Beliefs
by Itai Arieli & Yakov Babichenko & Fedor Sandomirskiy & Omer Tamuz - 2002.11258 Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale
by Nicolas Essis-Breton & Patrice Gaillardetz - 2002.11211 Hours Worked and the U.S. Distribution of Real Annual Earnings 1976-2019
by Iv'an Fern'andez-Val & Franco Peracchi & Aico van Vuuren & Francis Vella - 2002.11158 SHIFT: A Highly Realistic Financial Market Simulation Platform
by Thiago W. Alves & Ionut Florescu & George Calhoun & Dragos Bozdog - 2002.11017 A Practical Approach to Social Learning
by Amir Ban & Moran Koren - 2002.10990 G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning
by Matthew Dixon & Igor Halperin - 2002.10982 Random horizon principal-agent problems
by Yiqing Lin & Zhenjie Ren & Nizar Touzi & Junjian Yang - 2002.10566 Forecasting the Intra-Day Spread Densities of Electricity Prices
by Ekaterina Abramova & Derek Bunn - 2002.10415 Estimating Economic Models with Testable Assumptions: Theory and Applications
by Moyu Liao - 2002.10385 Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning
by Ben Moews & Gbenga Ibikunle - 2002.10274 Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
by Florian Huber & Gary Koop & Michael Pfarrhofer - 2002.10247 Forecasting Foreign Exchange Rate: A Multivariate Comparative Analysis between Traditional Econometric, Contemporary Machine Learning & Deep Learning Techniques
by Manav Kaushik & A K Giri - 2002.10222 Novel Insights in the Levy-Levy-Solomon Agent-Based Economic Market Model
by Maximilian Beikirch & Torsten Trimborn - 2002.10206 The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
by C'onall Kelly & Gabriel Lord & Heru Maulana - 2002.10202 Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics
by Gerald H. L. Cheang & Len Patrick Dominic M. Garces - 2002.10194 A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics
by Len Patrick Dominic M. Garces & Gerald H. L. Cheang - 2002.10135 Modelling volatile time series with v-transforms and copulas
by Alexander J. McNeil - 2002.10045 Optimal Advertising for Information Products
by Shuran Zheng & Yiling Chen - 2002.09982 Estimation and Inference about Tail Features with Tail Censored Data
by Yulong Wang & Zhijie Xiao - 2002.09968 Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis
by Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong - 2002.09911 Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
by Walter Farkas & Ludovic Mathys - 2002.09881 An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies
by Taurai Muvunza - 2002.09814 Survey Bandits with Regret Guarantees
by Sanath Kumar Krishnamurthy & Susan Athey - 2002.09656 A new hybrid approach for crude oil price forecasting: Evidence from multi-scale data
by Yang Yifan & Guo Ju'e & Sun Shaolong & Li Yixin - 2002.09598 A characterization of proportionally representative committees
by Haris Aziz & Barton E. Lee - 2002.09578 Scores for Multivariate Distributions and Level Sets
by Xiaochun Meng & James W. Taylor & Souhaib Ben Taieb & Siran Li - 2002.09565 Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
by Micah Goldblum & Avi Schwarzschild & Ankit B. Patel & Tom Goldstein - 2002.09549 Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
by Eyal Neuman & Moritz Vo{ss} - 2002.09445 Stability of the indirect utility process
by Oleksii Mostovyi - 2002.09394 Optimization of a Dynamic Profit Function using Euclidean Path Integral
by P. Pramanik & A. M. Polansky - 2002.09272 Regional Inequality Simulations Based on Asset Exchange Models with Exchange Range and Local Support Bias
by Takeshi Kato & Yasuyuki Kudo & Hiroyuki Mizuno & Yoshinori Hiroi - 2002.09225 Kernel Conditional Moment Test via Maximum Moment Restriction
by Krikamol Muandet & Wittawat Jitkrittum & Jonas Kubler - 2002.09215 Volatility has to be rough
by Masaaki Fukasawa - 2002.09201 A New Decomposition Ensemble Approach for Tourism Demand Forecasting: Evidence from Major Source Countries
by Chengyuan Zhang & Fuxin Jiang & Shouyang Wang & Shaolong Sun - 2002.09108 Asymptotic Linearity of Consumption Functions and Computational Efficiency
by Qingyin Ma & Alexis Akira Toda - 2002.09097 Sector connectedness in the Chinese stock markets
by Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou - 2002.09037 Sustainability and Fairness Simulations Based on Decision-Making Model of Utility Function and Norm Function
by Takeshi Kato & Yasuyuki Kudo & Junichi Miyakoshi & Jun Otsuka & Hayato Saigo & Kaori Karasawa & Hiroyuki Yamaguchi & Yoshinori Hiroi & Yasuo Deguchi - 2002.09036 Rational Choice Hypothesis as X-point of Utility Function and Norm Function
by Takeshi Kato & Yasuyuki Kudo & Junichi Miyakoshi & Jun Otsuka & Hayato Saigo & Kaori Karasawa & Hiroyuki Yamaguchi & Yasuo Deguchi - 2002.09014 Heavy Tails Make Happy Buyers
by Eric Bax - 2002.08849 Forecasting Realized Volatility Matrix With Copula-Based Models
by Wenjing Wang & Minjing Tao - 2002.08786 Cournot-Nash equilibrium and optimal transport in a dynamic setting
by Beatrice Acciaio & Julio Backhoff-Veraguas & Junchao Jia - 2002.08760 Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models
by Niko Hauzenberger & Florian Huber & Luca Onorante - 2002.08536 Debiased Off-Policy Evaluation for Recommendation Systems
by Yusuke Narita & Shota Yasui & Kohei Yata - 2002.08532 Derivatives Discounting Explained
by Wujiang Lou - 2002.08531 The Fair Basis: Funding and capital in the reduced form framework
by Wujiang Lou - 2002.08492 Equal Risk Pricing of Derivatives with Deep Hedging
by Alexandre Carbonneau & Fr'ed'eric Godin - 2002.08466 Criptocurrencies, Fiat Money, Blockchains and Databases
by Jorge Barrera - 2002.08286 Price impact equilibrium with transaction costs and TWAP trading
by Eunjung Noh & Kim Weston - 2002.08245 AutoAlpha: an Efficient Hierarchical Evolutionary Algorithm for Mining Alpha Factors in Quantitative Investment
by Tianping Zhang & Yuanqi Li & Yifei Jin & Jian Li - 2002.08207 Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
by Daniel Guterding - 2002.08156 Lattice structure of the random stable set in many-to-many matching market
by Noelia Juarez & Pablo A. Neme & Jorge Oviedo - 2002.08092 Cointegration without Unit Roots
by James A. Duffy & Jerome R. Simons - 2002.08021 Seasonal and Trend Forecasting of Tourist Arrivals: An Adaptive Multiscale Ensemble Learning Approach
by Shaolong Suna & Dan Bi & Ju-e Guo & Shouyang Wang - 2002.07964 Tourism Demand Forecasting: An Ensemble Deep Learning Approach
by Shaolong Sun & Yanzhao Li & Ju-e Guo & Shouyang Wang - 2002.07880 The interconnectedness of the economic content in the speeches of the US Presidents
by Matteo Cinelli & Valerio Ficcadenti & Jessica Riccioni - 2002.07862 VAT Compliance Incentives
by Maria-Augusta Miceli - 2002.07741 Default Ambiguity: Finding the Best Solution to the Clearing Problem
by P'al Andr'as Papp & Roger Wattenhofer - 2002.07595 Market Power in Convex Hull Pricing
by Jian Sun & Chenye Wu - 2002.07566 Network-Aware Strategies in Financial Systems
by P'al Andr'as Papp & Roger Wattenhofer - 2002.07561 The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
by Annika Kemper & Maren D. Schmeck & Anna Kh. Balci - 2002.07479 Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy
by Jean-Bernard Chatelain & Kirsten Ralf - 2002.07477 ESG investments: Filtering versus machine learning approaches
by Carmine de Franco & Christophe Geissler & Vincent Margot & Bruno Monnier - 2002.07389 Quantum Implementation of Risk Analysis-relevant Copulas
by Janusz Milek - 2002.07331 Dynamic Reserve Prices for Repeated Auctions: Learning from Bids
by Yash Kanoria & Hamid Nazerzadeh - 2002.07285 Double/Debiased Machine Learning for Dynamic Treatment Effects via g-Estimation
by Greg Lewis & Vasilis Syrgkanis - 2002.07229 How Do Expectations Affect Learning About Fundamentals? Some Experimental Evidence
by Kieran Marray & Nikhil Krishna & Jarel Tang - 2002.07163 Satellite reveals age and extent of oil palm plantations in Southeast Asia
by Olha Danylo & Johannes Pirker & Guido Lemoine & Guido Ceccherini & Linda See & Ian McCallum & Hadi & Florian Kraxner & Fr'ed'eric Achard & Steffen Fritz - 2002.07147 Fair Prediction with Endogenous Behavior
by Christopher Jung & Sampath Kannan & Changhwa Lee & Mallesh M. Pai & Aaron Roth & Rakesh Vohra - 2002.07117 Pricing Bitcoin Derivatives under Jump-Diffusion Models
by Pablo Olivares - 2002.07116 A New Pricing Theory That Solves the St. Petersburg Paradox
by Dahang Li - 2002.07100 Crisis contagion in the world trade network
by C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky - 2002.06975 Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management
by Masaya Abe & Kei Nakagawa - 2002.06878 Trimming the Sail: A Second-order Learning Paradigm for Stock Prediction
by Chi Chen & Li Zhao & Wei Cao & Jiang Bian & Chunxiao Xing - 2002.06748 From Matching with Diversity Constraints to Matching with Regional Quotas
by Haris Aziz & Serge Gaspers & Zhaohong Sun & Toby Walsh - 2002.06702 Multi-item Non-truthful Auctions Achieve Good Revenue
by Constantinos Daskalakis & Maxwell Fishelson & Brendan Lucier & Vasilis Syrgkanis & Santhoshini Velusamy - 2002.06555 Synchronization of endogenous business cycles
by Marco Pangallo - 2002.06554 Convex Combinatorial Auction of Pipeline Network Capacities
by D'avid Csercsik - 2002.06533 An optimal mechanism charging for priority in a queue
by Moshe Haviv & Eyal Winter - 2002.06405 Deep Learning for Asset Bubbles Detection
by Oksana Bashchenko & Alexis Marchal - 2002.06341 The structure of two-valued strategy-proof social choice functions with indifference
by Achille Basile & Surekha Rao & K. P. S. Bhaskara Rao - 2002.06253 Polytopes associated with lattices of subsets and maximising expectation of random variables
by Assaf Libman - 2002.06243 TPLVM: Portfolio Construction by Student's $t$-process Latent Variable Model
by Yusuke Uchiyama & Kei Nakagawa - 2002.06227 Detection of arbitrage opportunities in multi-asset derivatives markets
by Antonis Papapantoleon & Paulo Yanez Sarmiento - 2002.05819 Fairness through Experimentation: Inequality in A/B testing as an approach to responsible design
by Guillaume Saint-Jacques & Amir Sepehri & Nicole Li & Igor Perisic - 2002.05791 The Effect of Network Adoption Subsidies: Evidence from Digital Traces in Rwanda
by Daniel Bjorkegren & Burak Ceyhun Karaca - 2002.05789 Gaussian process imputation of multiple financial series
by Taco de Wolff & Alejandro Cuevas & Felipe Tobar - 2002.05786 Deep Learning for Financial Applications : A Survey
by Ahmet Murat Ozbayoglu & Mehmet Ugur Gudelek & Omer Berat Sezer - 2002.05785 Economic complexity of prefectures in Japan
by Abhijit Chakraborty & Hiroyasu Inoue & Yoshi Fujiwara - 2002.05784 Improving S&P stock prediction with time series stock similarity
by Lior Sidi - 2002.05780 Reinforcement-Learning based Portfolio Management with Augmented Asset Movement Prediction States
by Yunan Ye & Hengzhi Pei & Boxin Wang & Pin-Yu Chen & Yada Zhu & Jun Xiao & Bo Li - 2002.05697 Analysis of intra-day fluctuations in the Mexican financial market index
by L'ester Alfonso & Danahe E. Garcia-Ramirez & Ricardo Mansilla & C'esar A. Terrero-Escalante - 2002.05670 Experimental Design in Two-Sided Platforms: An Analysis of Bias
by Ramesh Johari & Hannah Li & Inessa Liskovich & Gabriel Weintraub - 2002.05571 Are American options European after all?
by Soren Christensen & Jan Kallsen & Matthias Lenga - 2002.05384 Long-term prediction intervals of economic time series
by Marek Chudy & Sayar Karmakar & Wei Biao Wu - 2002.05323 Top of the Batch: Interviews and the Match
by Federico Echenique & Ruy Gonzalez & Alistair Wilson & Leeat Yariv - 2002.05319 A study on the leverage effect on financial series using a TAR model: a Bayesian approach
by Oscar Espinosa & Fabio Nieto - 2002.05308 Efficient Adaptive Experimental Design for Average Treatment Effect Estimation
by Masahiro Kato & Takuya Ishihara & Junya Honda & Yusuke Narita - 2002.05253 Bounds on direct and indirect effects under treatment/mediator endogeneity and outcome attrition
by Martin Huber & Luk'av{s} Laff'ers - 2002.05240 The Multiplayer Colonel Blotto Game
by Enric Boix-Adser`a & Benjamin L. Edelman & Siddhartha Jayanti - 2002.05232 Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - 2002.05209 Decreasing market value of variable renewables can be avoided by policy action
by T. Brown & L. Reichenberg - 2002.05193 A Hierarchy of Limitations in Machine Learning
by Momin M. Malik - 2002.05153 Efficient Policy Learning from Surrogate-Loss Classification Reductions
by Andrew Bennett & Nathan Kallus - 2002.05143 Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness
by Archil Gulisashvili - 2002.05016 Bifurcations in economic growth model with distributed time delay transformed to ODE
by Luca Guerrini & Adam Krawiec & Marek Szydlowski - 2002.04886 Guiding the guiders: Foundations of a market-driven theory of disclosure
by M. Gietzmann & A. J. Ostaszewski & M. H. G. Schroder - 2002.04832 Invariant measures for multidimensional fractional stochastic volatility models
by Bal'azs Gerencs'er & Mikl'os R'asonyi - 2002.04734 Fast Complete Algorithm for Multiplayer Nash Equilibrium
by Sam Ganzfried - 2002.04675 Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
by Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c - 2002.04563 Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin
by Lucia Cipolina Kun & Simone Caenazzo & Ksenia Ponomareva - 2002.04508 Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions
by Jean-Bernard Chatelain & Kirsten Ralf - 2002.04470 Generalized Poisson Difference Autoregressive Processes
by Giulia Carallo & Roberto Casarin & Christian P. Robert - 2002.04369 The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models
by Bernd Funovits - 2002.04346 Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation
by Bernd Funovits - 2002.04304 Timing Excess Returns A cross-universe approach to alpha
by Marc Rohloff & Alexander Vogt - 2002.04212 Quantum coupled-wave theory of price formation in financial markets: price measurement, dynamics and ergodicity
by Jack Sarkissian - 2002.04164 On the statistics of scaling exponents and the Multiscaling Value at Risk
by Giuseppe Brandi & T. Di Matteo - 2002.04101 Sequential Monitoring of Changes in Housing Prices
by Lajos Horv'ath & Zhenya Liu & Shanglin Lu - 2002.04068 Optimization by Hybridization of a Genetic Algorithm with the PROMOTHEE Method: Management of Multicriteria Localization
by Myriem Alijo & Otman Abdoun & Mostafa Bachran & Amal Bergam - 2002.04067 Knowledge Diffusion Process & Common Islamic Banking Governance Principles: Integrative Perspective (s) of Managers and Shariah Scholars
by Adnan Malik & Karim Ullah & Shakir Ullah - 2002.03922 The Effect of Weather Conditions on Fertilizer Applications: A Spatial Dynamic Panel Data Analysis
by Anna Gloria Bill`e & Marco Rogna - 2002.03598 Markov Switching
by Yong Song & Tomasz Wo'zniak - 2002.03569 Notes on a Social Transmission Model with a Continuum of Agents
by Benjamin Golub - 2002.03492 All-Pay Auctions as Models for Trade Wars and Military Annexation
by Benjamin Kang & James Unwin - 2002.03448 Kelly Criterion: From a Simple Random Walk to L\'{e}vy Processes
by Sergey Lototsky & Austin Pollok - 2002.03379 Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process
by Arne Lokka & Junwei Xu - 2002.03376 Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes
by Arne Lokka & Junwei Xu - 2002.03319 Crowded trades, market clustering, and price instability
by Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld - 2002.03295 Stochastic optimization of the Dividend strategy with reinsurance in correlated multiple insurance lines of business
by Khaled Masoumifard & Mohammad Zokaei - 2002.03286 Stability and asymptotic analysis of the F\"ollmer-Schweizer decomposition on a finite probability space
by Sarah Boese & Tracy Cui & Samuel Johnston & Gianmarco Molino & Oleksii Mostovyi - 2002.03235 An internal fraud model for operational losses in retail banking
by Roc'io Paredes & Marco Vega - 2002.03205 Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities
by Jose H. Blanchet & Martin I. Reiman & Viragh Shah & Lawrence M. Wein & Linjia Wu - 2002.03174 Fairness and Efficiency in Cake-Cutting with Single-Peaked Preferences
by Bhavook Bhardwaj & Rajnish Kumar & Josue Ortega - 2002.02966 A polynomial algorithm for maxmin and minmax envy-free rent division on a soft budget
by Rodrigo A. Velez - 2002.02876 Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures
by Saeed Marzban & Erick Delage & Jonathan Yumeng Li - 2002.02675 Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
by Idris Kharroubi & Thomas Lim & Xavier Warin - 2002.02604 Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
by Tomasz R. Bielecki & Tao Chen & Igor Cialenco - 2002.02599 All-Pay Auctions with Different Forfeits
by Benjamin Kang & James Unwin - 2002.02583 The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
by Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu - 2002.02493 On Ridership and Frequency
by Simon Berrebi & Sanskruti Joshi & Kari E Watkins - 2002.02481 Sensitivity Analysis in the Dupire Local Volatility Model with Tensorflow
by Francois Belletti & Davis King & James Lottes & Yi-Fan Chen & John Anderson - 2002.02271 Using generative adversarial networks to synthesize artificial financial datasets
by Dmitry Efimov & Di Xu & Luyang Kong & Alexey Nefedov & Archana Anandakrishnan - 2002.02229 On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
by An Chen & Mitja Stadje & Fangyuan Zhang - 2002.02107 Feed-in Tariff Contract Schemes and Regulatory Uncertainty
by Luciana Barbosa & Cl'audia Nunes & Artur Rodrigues & Alberto Sardinha - 2002.02097 Dependence-Robust Inference Using Resampled Statistics
by Michael P. Leung - 2002.02011 Predicting Bank Loan Default with Extreme Gradient Boosting
by Rising Odegua - 2002.02010 Crude oil price forecasting incorporating news text
by Yun Bai & Xixi Li & Hao Yu & Suling Jia - 2002.02008 Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio
by Bryan Lim & Stefan Zohren & Stephen Roberts - 2002.01800 Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
by Mehmet Caner & Marcelo Medeiros & Gabriel Vasconcelos - 2002.01798 Risk Loadings in Classification Ratemaking
by Liang Yang & Zhengxiao Li & Shengwang Meng - 2002.01578 Rental Housing Spot Markets: How Online Information Exchanges Can Supplement Transacted-Rents Data
by Geoff Boeing & Jake Wegmann & Junfeng Jiao - 2002.01528 On Shortfall Risk Minimization for Game Options
by Yan Dolinsky - 2002.00953 Quid Pro Quo allocations in Production-Inventory games
by Luis Guardiola & Ana Meca & Justo Puerto - 2002.00949 Profit-oriented sales forecasting: a comparison of forecasting techniques from a business perspective
by Tine Van Calster & Filip Van den Bossche & Bart Baesens & Wilfried Lemahieu - 2002.00948 Can one hear the shape of a target zone?
by Jean-Louis Arcand & Max-Olivier Hongler & Shekhar Hari Kumar & Daniele Rinaldo - 2002.00922 A Neural-embedded Choice Model: TasteNet-MNL Modeling Taste Heterogeneity with Flexibility and Interpretability
by Yafei Han & Francisco Camara Pereira & Moshe Ben-Akiva & Christopher Zegras - 2002.00816 Randomized optimal stopping algorithms and their convergence analysis
by Christian Bayer & Denis Belomestny & Paul Hager & Paolo Pigato & John Schoenmakers - 2002.00724 NAPLES;Mining the lead-lag Relationship from Non-synchronous and High-frequency Data
by Katsuya Ito & Kei Nakagawa - 2002.00507 Efficient representation of supply and demand curves on day-ahead electricity markets
by Mariia Soloviova & Tiziano Vargiolu - 2002.00225 Insights on the Theory of Robust Games
by Giovanni Paolo Crespi & Davide Radi & Matteo Rocca - 2002.00208 Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis
by Chainarong Amornbunchornvej & Elena Zheleva & Tanya Berger-Wolf - 2002.00202 Natural Experiments
by Rocio Titiunik - 2002.00201 Optimal portfolio choice with path dependent labor income: the infinite horizon case
by Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi - 2002.00103 Estimating Welfare Effects in a Nonparametric Choice Model: The Case of School Vouchers
by Vishal Kamat & Samuel Norris - 2002.00085 PCA for Implied Volatility Surfaces
by Marco Avellaneda & Brian Healy & Andrew Papanicolaou & George Papanicolaou - 2001.11891 Structured climate financing: valuation of CDOs on inhomogeneous asset pools
by N. Packham - 2001.11861 Revisiting integral functionals of geometric Brownian motion
by Elena Boguslavskaya & Lioudmila Vostrikova - 2001.11843 An Interacting Agent Model of Economic Crisis
by Yuichi Ikeda - 2001.11786 On Calibration Neural Networks for extracting implied information from American options
by Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee - 2001.11624 Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
by Simon Clinet - 2001.11585 Housing Search in the Age of Big Data: Smarter Cities or the Same Old Blind Spots?
by Geoff Boeing & Max Besbris & Ariela Schachter & John Kuk - 2001.11422 Spatial competition with unit-demand functions
by Gaetan Fournier & Karine Van Der Straeten & Jorgen Weibull - 2001.11395 Kelly Betting with Quantum Payoff: a continuous variable approach
by Salvatore Tirone & Maddalena Ghio & Giulia Livieri & Vittorio Giovannetti & Stefano Marmi - 2001.11341 Agenda-manipulation in ranking
by Gregorio Curello & Ludvig Sinander - 2001.11301 Robust Optimal Investment and Reinsurance Problems with Learning
by Nicole Bauerle & Gregor Leimcke - 2001.11275 The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach
by Amir T. Payandeh Najafabadi & Marjan Qazvini & Reza Ofoghi - 2001.11249 How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
by Rudiger Frey & Kevin Kurt & Camilla Damian - 2001.11247 Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing
by Thomas Deschatre & Joseph Mikael - 2001.11214 Nonparametric sign prediction of high-dimensional correlation matrix coefficients
by Christian Bongiorno & Damien Challet