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Content
2019
- 1912.10237 Comparative Study of Two Extensions of Heston Stochastic Volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
- 1912.10105 Dissecting Ethereum Blockchain Analytics: What We Learn from Topology and Geometry of Ethereum Graph
by Yitao Li & Umar Islambekov & Cuneyt Akcora & Ekaterina Smirnova & Yulia R. Gel & Murat Kantarcioglu
- 1912.10097 Mining the Automotive Industry: A Network Analysis of Corporate Positioning and Technological Trends
by Niklas Stoehr & Fabian Braesemann & Michael Frommelt & Shi Zhou
- 1912.10058 ResLogit: A residual neural network logit model for data-driven choice modelling
by Melvin Wong & Bilal Farooq
- 1912.10014 Optimal Dynamic Treatment Regimes and Partial Welfare Ordering
by Sukjin Han
- 1912.09964 Grouping of Contracts in Insurance using Neural Networks
by Mark Kiermayer & Christian Wei{ss}
- 1912.09814 How connected is too connected? Impact of network topology on systemic risk and collapse of complex economic systems
by Aymeric Vi'e & Alfredo J. Morales
- 1912.09764 An Artificial Intelligence approach to Shadow Rating
by Angela Rita Provenzano & Daniele Trifir`o & Nicola Jean & Giacomo Le Pera & Maurizio Spadaccino & Luca Massaron & Claudio Nordio
- 1912.09702 Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data
by Anastasios Evgenidis & Apostolos Fasianos
- 1912.09679 From Disequilibrium Markets to Equilibrium
by Christian Lax & Torsten Trimborn
- 1912.09573 Comparison of various risk measures for an optimal portfolio
by Alev Meral
- 1912.09569 Argentum: a collaborative saving and investment platform for unstable countries
by Leonardo Belen & Alejandro Baranek & Xavier Gonzalez
- 1912.09552 Robust Product-line Pricing under Generalized Extreme Value Models
by Tien Mai & Patrick Jaillet
- 1912.09524 Evolving ab initio trading strategies in heterogeneous environments
by David Rushing Dewhurst & Yi Li & Alexander Bogdan & Jasmine Geng
- 1912.09509 Temporal-Difference estimation of dynamic discrete choice models
by Karun Adusumilli & Dita Eckardt
- 1912.09273 Pay-As-You-Drive Insurance Pricing Model
by Safoora Zarei & Ali R. Fallahi
- 1912.09104 Causal Inference and Data Fusion in Econometrics
by Paul Hunermund & Elias Bareinboim
- 1912.09012 Inefficiencies in Digital Advertising Markets
by Brett R Gordon & Kinshuk Jerath & Zsolt Katona & Sridhar Narayanan & Jiwoong Shin & Kenneth C Wilbur
- 1912.09002 Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations
by Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes
- 1912.08916 Hybrid threats as an exogenous economic shock
by Shteryo Nozharov
- 1912.08863 Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky
- 1912.08791 Forecasting significant stock price changes using neural networks
by Firuz Kamalov
- 1912.08772 Assessing Inference Methods
by Bruno Ferman
- 1912.08726 Econometrics For Decision Making: Building Foundations Sketched By Haavelmo And Wald
by Charles F. Manski
- 1912.08713 Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
by Andrey Itkin & Fazlollah Soleymani
- 1912.08695 A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
by Zachary Feinstein & Andreas Sojmark
- 1912.07701 Exploring Multi-Banking Customer-to-Customer Relations in AML Context with Poincar\'e Embeddings
by Lucia Larise Stavarache & Donatas Narbutis & Toyotaro Suzumura & Ray Harishankar & Augustas v{Z}altauskas
- 1912.07700 A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing
by Sidra Mehtab & Jaydip Sen
- 1912.07601 Estimating a Behavioral New Keynesian Model
by Joaquim Andrade & Pedro Cordeiro & Guilherme Lambais
- 1912.07466 Estimation of Auction Models with Shape Restrictions
by Joris Pinkse & Karl Schurter
- 1912.07445 Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
by Eduardo Abi Jaber
- 1912.07346 Analysis of Regression Discontinuity Designs with Multiple Cutoffs or Multiple Scores
by Matias D. Cattaneo & Rocio Titiunik & Gonzalo Vazquez-Bare
- 1912.07165 Predicting intraday jumps in stock prices using liquidity measures and technical indicators
by Ao Kong & Hongliang Zhu & Robert Azencott
- 1912.07163 An Economical Business-Cycle Model
by Pascal Michaillat & Emmanuel Saez
- 1912.07120 Prediction Intervals for Synthetic Control Methods
by Matias D. Cattaneo & Yingjie Feng & Rocio Titiunik
- 1912.07115 EU Economic Modelling System
by Olga Ivanova & d'Artis Kancs & Mark Thissen
- 1912.06948 Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
by Svetlana Boyarchenko & Sergei Levendorskiu{i}
- 1912.06916 Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
by c{C}au{g}{i}n Ararat & Zachary Feinstein
- 1912.06909 The Crawler: Three Equivalence Results for Object (Re)allocation Problems when Preferences Are Single-peaked
by Yuki Tamura & Hadi Hosseini
- 1912.06831 Periodic attractor in the discrete time best-response dynamics of the Rock-Paper-Scissors game
by Jos'e Pedro Gaiv~ao & Telmo Peixe
- 1912.06809 Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
by Lynn Boen & Karel J. in 't Hout
- 1912.06709 Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
by Jan Posp'iv{s}il & Tom'av{s} Sobotka & Philipp Ziegler
- 1912.06558 The role of low temperature waste heat recovery in achieving 2050 goals: a policy positioning paper
by Edward Wheatcroft & Henry Wynn & Kristina Lygnerud & Giorgio Bonvicini
- 1912.06533 Solution of option pricing equations using orthogonal polynomial expansion
by Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il
- 1912.06426 Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
by Ying Chen & Ulrich Horst & Hoang Hai Tran
- 1912.06410 A mechanical and economical based framework to help decision-makers for natural hazards and malicious events impact on infrastructure prevention
by P-J. Tisserand & M. Ragueneau
- 1912.06346 Network Data
by Bryan S. Graham
- 1912.06320 Synthetic Control Inference for Staggered Adoption: Estimating the Dynamic Effects of Board Gender Diversity Policies
by Jianfei Cao & Shirley Lu
- 1912.06307 High-Dimensional Granger Causality Tests with an Application to VIX and News
by Andrii Babii & Eric Ghysels & Jonas Striaukas
- 1912.06236 Automatic Financial Feature Construction
by Jie Fang & Shutao Xia & Jianwu Lin & Yong Jiang
- 1912.06202 Optimal, Truthful, and Private Securities Lending
by Emily Diana & Michael Kearns & Seth Neel & Aaron Roth
- 1912.06193 Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
by Nick James & Max Menzies & Jennifer Chan
- 1912.06049 A Regularized Factor-augmented Vector Autoregressive Model
by Maurizio Daniele & Julie Schnaitmann
- 1912.06031 Some pricing tools for the Variance Gamma model
by Jean-Philippe Aguilar
- 1912.05961 Alternative Axioms in Group Identification Problems
by Federico Fioravanti & Fernando Tohm'e
- 1912.05917 On the uniqueness of solutions of stochastic Volterra equations
by Alexandre Pannier & Antoine Jacquier
- 1912.05844 A Bilateral River Bargaining Problem with Negative Externality
by Shivshanker Singh Patel & Parthasarathy Ramachandran
- 1912.05773 Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile
by Petteri Piiroinen & Lassi Roininen & Martin Simon
- 1912.05641 A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector
by Anna Denkowska & Stanis{l}aw Wanat
- 1912.05635 Assessment of Financial Potential as a Determinant of Enterprise Development
by Dmytro Zherlitsyn & Stanislav Levytskyi & Denys Mykhailyk & Victoriia Ogloblina
- 1912.05576 The Rise of Multiple Institutional Affiliations in Academia
by Hanna Hottenrott & Michael Rose & Cornelia Lawson
- 1912.05540 Fuzzy Group Identification Problems
by Federico Fioravanti & Fernando Tohm'e
- 1912.05484 Sub-sampling and other considerations for efficient risk estimation in large portfolios
by Michael B. Giles & Abdul-Lateef Haji-Ali
- 1912.05438 Closed form optimal exercise boundary of the American put option
by Yerkin Kitapbayev
- 1912.05383 On the difference between the volatility swap strike and the zero vanna implied volatility
by Elisa Alos & Frido Rolloos & Kenichiro Shiraya
- 1912.05273 Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches
by V. Sasidevan & Nils Bertschinger
- 1912.05228 Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
by Junjie Hu & Wolfgang Karl Hardle & Weiyu Kuo
- 1912.05164 Third-Degree Price Discrimination Versus Uniform Pricing
by Dirk Bergemann & Francisco Castro & Gabriel Weintraub
- 1912.05113 Spatial scale of agglomeration and dispersion: Number, spacing, and the spatial extent of cities
by Takashi Akamatsu & Tomoya Mori & Minoru Osawa & Yuki Takayama
- 1912.04941 Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
by Svitlana Vyetrenko & David Byrd & Nick Petosa & Mahmoud Mahfouz & Danial Dervovic & Manuela Veloso & Tucker Hybinette Balch
- 1912.04815 Equilibria and Systemic Risk in Saturated Networks
by Leonardo Massai & Giacomo Como & Fabio Fagnani
- 1912.04774 Voluntary Disclosure and Personalized Pricing
by S. Nageeb Ali & Greg Lewis & Shoshana Vasserman
- 1912.04661 Adaptive Dynamic Model Averaging with an Application to House Price Forecasting
by Alisa Yusupova & Nicos G. Pavlidis & Efthymios G. Pavlidis
- 1912.04652 Filtration shrinkage, the structure of deflators, and failure of market completeness
by Constantinos Kardaras & Johannes Ruf
- 1912.04565 Market Price of Trading Liquidity Risk and Market Depth
by Masaaki Kijima & Christopher Ting
- 1912.04492 151 Estrategias de Trading (151 Trading Strategies)
by Zura Kakushadze & Juan Andr'es Serur
- 1912.04308 Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes
by R'egis Houssou & J'er^ome Bovay & Stephan Robert
- 1912.04281 Willingness to Pay for Community-Based Health Insurance among Rural Households of Southwest Ethiopia
by Melaku Haile Likka & Shimeles Ololo Sinkie & Berhane Megerssa
- 1912.04274 DAY TRADE: across the statistics | DAY TRADE: do outro lado das estatisticas
by Roberto Ernani Porcher Junior
- 1912.04242 Adversarial recovery of agent rewards from latent spaces of the limit order book
by Jacobo Roa-Vicens & Yuanbo Wang & Virgile Mison & Yarin Gal & Ricardo Silva
- 1912.04221 Leakage of rank-dependent functionally generated trading strategies
by Kangjianan Xie
- 1912.04175 How much is optimal reinsurance degraded by error?
by Yinzhi Wang & Erik B{o}lviken
- 1912.04146 Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
by Jiahe Lin & George Michailidis
- 1912.04123 Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
by Jiahe Lin & George Michailidis
- 1912.04086 Optimal reinsurance for risk over surplus ratios
by Erik B{o}lviken & Yinzhi Wang
- 1912.04015 Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices
by Somayeh Kokabisaghi & Mohammadesmaeil Ezazi & Reza Tehrani & Nourmohammad Yaghoubi
- 1912.04012 To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders
by Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman
- 1912.04009 An empirical study of neural networks for trend detection in time series
by Alexandre Miot & Gilles Drigout
- 1912.03946 Understanding the dual formulation for the hedging of path-dependent options with price impact
by Bruno Bouchard & Xiaolu Tan
- 1912.03788 Energy Scenario Exploration with Modeling to Generate Alternatives (MGA)
by Joseph F. DeCarolis & Samaneh Babaee & Binghui Li & Suyash Kanungo
- 1912.03781 VAT tax gap prediction: a 2-steps Gradient Boosting approach
by Giovanna Tagliaferri & Daria Scacciatelli & Pierfrancesco Alaimo Di Loro
- 1912.03692 Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE
by Kihun Nam
- 1912.03651 Simplified stochastic calculus with applications in Economics and Finance
by Alev{s} v{C}ern'y & Johannes Ruf
- 1912.03607 Perfect bidder collusion through bribe and request
by Jingfeng Lu & Zongwei Lu & Christian Riis
- 1912.03556 A percolation model for the emergence of the Bitcoin Lightning Network
by Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo
- 1912.03404 Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition
by Hyungbin Park
- 1912.03311 Investigating the Investment Behaviors in Cryptocurrency
by Dingli Xi & Timothy Ian O'Brien & Elnaz Irannezhad
- 1912.03290 Synthetic Controls with Staggered Adoption
by Eli Ben-Michael & Avi Feller & Jesse Rothstein
- 1912.03270 BitMEX Funding Correlation with Bitcoin Exchange Rate
by Sai Srikar Nimmagadda & Pawan Sasanka Ammanamanchi
- 1912.03158 High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
by Michael Pfarrhofer & Anna Stelzer
- 1912.03100 Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models
by Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus
- 1912.02869 How Advance Sales can Reduce Profits: When to Buy, When to Sell, and What Price to Charge
by Amihai Glazer & Refael Hassin & Irit Nowik
- 1912.02797 One Dollar Each Eliminates Envy
by Johannes Brustle & Jack Dippel & Vishnu V. Narayan & Mashbat Suzuki & Adrian Vetta
- 1912.02775 Fools Rush In: Competitive Effects of Reaction Time in Automated Trading
by Henry Hanifan & John Cartlidge
- 1912.02753 A Quantum algorithm for linear PDEs arising in Finance
by Filipe Fontanela & Antoine Jacquier & Mugad Oumgari
- 1912.02684 Stylized Facts and Agent-Based Modeling
by Simon Cramer & Torsten Trimborn
- 1912.02488 Long-run risk sensitive impulse control
by Damian Jelito & Marcin Pitera & {L}ukasz Stettner
- 1912.02423 Generative Synthesis of Insurance Datasets
by Kevin Kuo
- 1912.02416 Revisiting the Epps effect using volume time averaging: An exercise in R
by Patrick Chang & Roger Bukuru & Tim Gebbie
- 1912.02373 Modeling and Prediction of Iran's Steel Consumption Based on Economic Activity Using Support Vector Machines
by Hossein Kamalzadeh & Saeid Nassim Sobhan & Azam Boskabadi & Mohsen Hatami & Amin Gharehyakheh
- 1912.02251 Quality Selection in Two-Sided Markets: A Constrained Price Discrimination Approach
by Bar Light & Ramesh Johari & Gabriel Weintraub
- 1912.02231 Estimating Large Mixed-Frequency Bayesian VAR Models
by Sebastian Ankargren & Paulina Jon'eus
- 1912.02151 High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing
by Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang
- 1912.01952 A Mean Field Games Model for Cryptocurrency Mining
by Zongxi Li & A. Max Reppen & Ronnie Sircar
- 1912.01809 Deep Fictitious Play for Finding Markovian Nash Equilibrium in Multi-Agent Games
by Jiequn Han & Ruimeng Hu
- 1912.01793 Multi-time state mean-variance model in continuous time
by Shuzhen Yang
- 1912.01708 Celebrating Three Decades of Worldwide Stock Market Manipulation
by Bruce Knuteson
- 1912.01605 Examination of the Correlation between Working Time Reduction and Employment
by Virginia Tsoukatou
- 1912.01455 Extensions of the Deep Galerkin Method
by Ali Al-Aradi & Adolfo Correia & Danilo de Frietas Naiff & Gabriel Jardim & Yuri Saporito
- 1912.01410 Bilinear form test statistics for extremum estimation
by Federico Crudu & Felipe Osorio
- 1912.01387 Pricing FX Options under Intermediate Currency
by S. Maurer & T. E. Sharp & M. V. Tretyakov
- 1912.01281 Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
by Yushi Hamaguchi
- 1912.01280 Speed-up credit exposure calculations for pricing and risk management
by Kathrin Glau & Ricardo Pachon & Christian Potz
- 1912.01250 Refuting Samuelson's Capitulation on the Re-switching of Techniques in the Cambridge Capital Controversy
by Carlo Milana
- 1912.01194 Mean-shift least squares model averaging
by Kenichiro McAlinn & Kosaku Takanashi
- 1912.01129 Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
by Bastien Baldacci & Iuliia Manziuk & Thibaut Mastrolia & Mathieu Rosenbaum
- 1912.01091 A Simple Proof of the Fundamental Theorem of Asset Pricing
by Keith A. Lewis
- 1912.01052 Clustering and External Validity in Randomized Controlled Trials
by Antoine Deeb & Cl'ement de Chaisemartin
- 1912.00764 A multifactor regime-switching model for inter-trade durations in the limit order market
by Zhicheng Li & Haipeng Xing & Xinyun Chen
- 1912.00712 Financial Market Directional Forecasting With Stacked Denoising Autoencoder
by Shaogao Lv & Yongchao Hou & Hongwei Zhou
- 1912.00691 Artificial boundary method for the solution of pricing European options under the Heston model
by Hongshan Li & Zhongyi Huang
- 1912.00469 Valuing Tradeability in Exponential L\'evy Models
by Ludovic Mathys
- 1912.00459 Fair Division with Bounded Sharing: Binary and Non-Degenerate Valuations
by Samuel Bismuth & Ivan Bliznets & Erel Segal-Halevi
- 1912.00454 On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options
by Ludovic Mathys
- 1912.00359 Endogenous Liquidity Crises
by Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen
- 1912.00269 Optimal forest rotation under carbon pricing and forest damage risk
by Tommi Ekholm
- 1912.00244 A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging
by Tao Chen & Michael Ludkovski
- 1912.00211 Super-Nash performance in games
by Mehmet S. Ismail
- 1912.00011 Heuristic Strategies in Uncertain Approval Voting Environments
by Jaelle Scheuerman & Jason L. Harman & Nicholas Mattei & K. Brent Venable
- 1911.13300 Refinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil price with machine learning
by Indranil SenGupta & William Nganje & Erik Hanson
- 1911.13288 Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019
by Omer Berat Sezer & Mehmet Ugur Gudelek & Ahmet Murat Ozbayoglu
- 1911.13123 The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
by Jaehyuk Choi & Lixin Wu
- 1911.13063 Semiparametric Quantile Models for Ascending Auctions with Asymmetric Bidders
by Jayeeta Bhattacharya & Nathalie Gimenes & Emmanuel Guerre
- 1911.13025 Dynamic Optimal Choice When Rewards are Unbounded Below
by Qingyin Ma & John Stachurski
- 1911.12969 The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics
by Ulrich Horst & Wei Xu
- 1911.12944 Pricing and hedging short-maturity Asian options in local volatility models
by Jaehyun Kim & Hyungbin Park & Jonghwa Park
- 1911.12816 On the Importance of Opponent Modeling in Auction Markets
by Mahmoud Mahfouz & Angelos Filos & Cyrine Chtourou & Joshua Lockhart & Samuel Assefa & Manuela Veloso & Danilo Mandic & Tucker Balch
- 1911.12779 Inference under random limit bootstrap measures
by Giuseppe Cavaliere & Iliyan Georgiev
- 1911.12623 A Principal-Agent approach to Capacity Remuneration Mechanisms
by Cl'emence Alasseur & Heythem Farhat & Marcelo Saguan
- 1911.12596 An Integrated Early Warning System for Stock Market Turbulence
by Peiwan Wang & Lu Zong & Ye Ma
- 1911.12582 Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach
by Wanling Rudkin & Charlie X Cai
- 1911.12540 U-CNNpred: A Universal CNN-based Predictor for Stock Markets
by Ehsan Hoseinzade & Saman Haratizadeh & Arash Khoeini
- 1911.12490 A Contribution to Theory of Factor Income Distribution, Cambridge Capital Controversy and Equity Premium Puzzle
by Xiaofeng Liu
- 1911.12469 Reduction of Qubits in Quantum Algorithm for Monte Carlo Simulation by Pseudo-random Number Generator
by Koichi Miyamoto & Kenji Shiohara
- 1911.12231 Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning
by Bernhard Hientzsch
- 1911.11971 With or without replacement? Sampling uncertainty in Shepp's urn scheme
by Kristoffer Glover
- 1911.11880 A General Framework on Enhancing Portfolio Management with Reinforcement Learning
by Yinheng Li & Junhao Wang & Yijie Cao
- 1911.11819 Cryptocurrency Price Prediction and Trading Strategies Using Support Vector Machines
by David Zhao & Alessandro Rinaldo & Christopher Brookins
- 1911.11747 Proportionality and the Limits of Welfarism
by Dominik Peters & Piotr Skowron
- 1911.11569 Direct and indirect transactions and requirements
by Husna Betul Coskun & Huseyin Coskun
- 1911.11501 Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
by Masaaki Fujii
- 1911.11475 Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion
by Will Hicks
- 1911.11362 Neural network for pricing and universal static hedging of contingent claims
by Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain
- 1911.11226 A new set of cluster driven composite development indicators
by Anshul Verma & Orazio Angelini & Tiziana Di Matteo
- 1911.11205 Income growth with high inequality implies loss of well-being: A mathematical model
by Fernando C'ordova-Lepe
- 1911.10972 On unbiased simulations of stochastic bridges conditioned on extrema
by Andrew Schaug & Harish Chandra
- 1911.10948 Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique
by Mariano Zeron-Medina Laris & Ignacio Ruiz
- 1911.10916 Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
by Alain Hecq & Elisa Voisin
- 1911.10552 High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration
by Stephan Smeekes & Etienne Wijler
- 1911.10476 Topologically Mapping the Macroeconomy
by Pawel Dlotko & Simon Rudkin & Wanling Qiu
- 1911.10450 A singular stochastic control approach for optimal pairs trading with proportional transaction costs
by Haipeng Xing
- 1911.10297 Financial ratios and stock returns reappraised through a topological data analysis lens
by Pawel Dlotko & Wanling Qiu & Simon Rudkin
- 1911.10254 Omega and Sharpe ratio
by Eric Benhamou & Beatrice Guez & Nicolas Paris1
- 1911.10215 Uniform inference for value functions
by Sergio Firpo & Antonio F. Galvao & Thomas Parker
- 1911.10149 Asset Price Bubbles in market models with proportional transaction costs
by Francesca Biagini & Thomas Reitsam
- 1911.10116 Aggregative Efficiency of Bayesian Learning in Networks
by Krishna Dasaratha & Kevin He
- 1911.10107 Deep Reinforcement Learning for Trading
by Zihao Zhang & Stefan Zohren & Stephen Roberts
- 1911.10106 Speculative Trading, Prospect Theory and Transaction Costs
by Alex S. L. Tse & Harry Zheng
- 1911.10104 Towards Quantification of Explainability in Explainable Artificial Intelligence Methods
by Sheikh Rabiul Islam & William Eberle & Sheikh K. Ghafoor
- 1911.10047 Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences
by John Armstrong & Cristin Buescu
- 1911.10009 Guarantees in Fair Division: general or monotone preferences
by Anna bogomolnaia & Herve Moulin
- 1911.09985 Estimation of the Parameters of Symmetric Stable ARMA and ARMA-GARCH Models
by Aastha M. Sathe & N. S. Upadhye
- 1911.09858 Investigating bankruptcy prediction models in the presence of extreme class imbalance and multiple stages of economy
by Sheikh Rabiul Islam & William Eberle & Sheikh K. Ghafoor & Sid C. Bundy & Douglas A. Talbert & Ambareen Siraj
- 1911.09813 Facility Location Problem with Capacity Constraints: Algorithmic and Mechanism Design Perspectives
by Haris Aziz & Hau Chan & Barton E. Lee & Bo Li & Toby Walsh
- 1911.09681 The artefact of the Natural Resources Curse
by Matata Ponyo Mapon & Jean-Paul K. Tsasa
- 1911.09511 A Practical Introduction to Regression Discontinuity Designs: Foundations
by Matias D. Cattaneo & Nicolas Idrobo & Rocio Titiunik
- 1911.09441 Some analytically solvable problems of the mean-field games theory
by Sergey I. Nikulin & Olga S. Rozanova
- 1911.09359 Multi-Scale RCNN Model for Financial Time-series Classification
by Liu Guang & Wang Xiaojie & Li Ruifan
- 1911.09343 Hybrid quantile estimation for asymmetric power GARCH models
by Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li
- 1911.09256 Information Disclosure and Promotion Policy Design for Platforms
by Yonatan Gur & Gregory Macnamara & Ilan Morgenstern & Daniela Saban
- 1911.09248 Regression Discontinuity Design under Self-selection
by Sida Peng & Yang Ning
- 1911.09209 Bounded Temporal Fairness for FIFO Financial Markets
by Vasilios Mavroudis
- 1911.09173 Manipulable outcomes within the class of scoring voting rules
by Mostapha Diss & Boris Tsvelikhovskiy
- 1911.09151 A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior
by Sebastian Ankargren & M{aa}ns Unosson & Yukai Yang
- 1911.09128 A Scrambled Method of Moments
by Jean-Jacques Forneron
- 1911.08944 Competition of noise and collectivity in global cryptocurrency trading: route to a self-contained market
by Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek
- 1911.08830 Statistical Inference on Partially Linear Panel Model under Unobserved Linearity
by Ruiqi Liu & Ben Boukai & Zuofeng Shang
- 1911.08809 Strategy-Proof and Non-Wasteful Multi-Unit Auction via Social Network
by Takehiro Kawasaki & Nathanael Barrot & Seiji Takanashi & Taiki Todo & Makoto Yokoo
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