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Content
2019
- 1911.08662 Equivariant online predictions of non-stationary time series
by K=osaku Takanashi & Kenichiro McAlinn
- 1911.08647 Deep Reinforcement Learning in Cryptocurrency Market Making
by Jonathan Sadighian
- 1911.08637 Robust Inference on Infinite and Growing Dimensional Time Series Regression
by Abhimanyu Gupta & Myung Hwan Seo
- 1911.08521 Synthetic Controls with Imperfect Pre-Treatment Fit
by Bruno Ferman & Cristine Pinto
- 1911.08448 Artificial intelligence approach to momentum risk-taking
by Ivan Cherednik
- 1911.08412 Infinitesimal generators for two-dimensional L\'evy process-driven hypothesis testing
by Michael Roberts & Indranil SenGupta
- 1911.08260 Bidding in Smart Grid PDAs: Theory, Analysis and Strategy (Extended Version)
by Susobhan Ghosh & Sujit Gujar & Praveen Paruchuri & Easwar Subramanian & Sanjay P. Bhat
- 1911.08247 A Multicriteria Macroeconomic Model with Intertemporal Equity and Spatial Spillovers
by Herb Kunze & Davide La Torre & Simone Marsiglio
- 1911.08129 Communication, Distortion, and Randomness in Metric Voting
by David Kempe
- 1911.08094 Strongly Budget Balanced Auctions for Multi-Sided Markets
by Rica Gonen & Erel Segal-Halevi
- 1911.07914 On the Price of Satisficing in Network User Equilibria
by Mahdi Takalloo & Changhyun Kwon
- 1911.07773 Optimal Search and Discovery
by Rafael P. Greminger
- 1911.07719 The Laplace transform of the integrated Volterra Wishart process
by Eduardo Abi Jaber
- 1911.07526 Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
by Shubhangi Sikaria & Rituparna Sen & Neelesh S. Upadhye
- 1911.07313 Mathematical Modeling of Systemic Risk in Financial Networks: Managing Default Contagion and Fire Sales
by Daniel Ritter
- 1911.07288 Application of Principal Component Analysis in Chinese Sovereign Bond Market and Principal Component-Based Fixed Income Immunization
by Lim Tze Yee & Tony She & Kezia Irene
- 1911.07162 An Analysis Framework for Metric Voting based on LP Duality
by David Kempe
- 1911.07106 Inference in Models of Discrete Choice with Social Interactions Using Network Data
by Michael P. Leung
- 1911.07103 Distributionally Robust Optimal Auction Design under Mean Constraints
by Ethan Che
- 1911.07085 Causal Inference Under Approximate Neighborhood Interference
by Michael P. Leung
- 1911.06893 Imitation in the Imitation Game
by Ravi Kashyap
- 1911.06872 Innovation and Strategic Network Formation
by Krishna Dasaratha
- 1911.06857 Semiparametric Estimation of Correlated Random Coefficient Models without Instrumental Variables
by Samuele Centorrino & Aman Ullah & Jing Xue
- 1911.06716 A Generalized Markov Chain Model to Capture Dynamic Preferences and Choice Overload
by Kumar Goutam & Vineet Goyal & Agathe Soret
- 1911.06698 Cyber bonds and their pricing models
by Oleg Kolesnikov & Alexander Markov & Daulet Smagulov & Sergejs Solovjovs
- 1911.06552 An approximate solution for the power utility optimization under predictable returns
by Dmytro Ivasiuk
- 1911.06442 Weak Monotone Comparative Statics
by Yeon-Koo Che & Jinwoo Kim & Fuhito Kojima
- 1911.06400 Tracking the circulation routes of fresh coins in Bitcoin: A way of identifying coin miners with transaction network structural properties
by Zeng-Xian Lin & Xiao Fan Liu
- 1911.06206 Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
by Niko Hauzenberger & Michael Pfarrhofer
- 1911.06193 Predicting Indian stock market using the psycho-linguistic features of financial news
by B. Shravan Kumar & Vadlamani Ravi & Rishabh Miglani
- 1911.06159 Nonlinear reserving and multiple contract modifications in life insurance
by Marcus C. Christiansen & Boualem Djehiche
- 1911.06126 Unveil stock correlation via a new tensor-based decomposition method
by Giuseppe Brandi & Ruggero Gramatica & Tiziana Di Matteo
- 1911.06123 Assessing Guaranteed Minimum Income Benefits and Rationality of Exercising Reset Options in Variable
by Riley Jones & Adriana Ocejo
- 1911.05952 Change-point Analysis in Financial Networks
by Sayantan Banerjee & Kousik Guhathakurta
- 1911.05892 Reinforcement Learning for Market Making in a Multi-agent Dealer Market
by Sumitra Ganesh & Nelson Vadori & Mengda Xu & Hua Zheng & Prashant Reddy & Manuela Veloso
- 1911.05814 Econophysics deserves a revamping
by Paolo Magrassi
- 1911.05620 Neural networks for option pricing and hedging: a literature review
by Johannes Ruf & Weiguan Wang
- 1911.05523 Bounds on Multi-asset Derivatives via Neural Networks
by Luca De Gennaro Aquino & Carole Bernard
- 1911.05462 Quantization-based Bermudan option pricing in the $FX$ world
by Jean-Michel Fayolle & Vincent Lemaire & Thibaut Montes & Gilles Pag`es
- 1911.05363 How do scientific disciplines evolve in applied sciences? The properties of scientific fission and ambidextrous scientific drivers
by Mario Coccia
- 1911.05309 Adaptive Portfolio by Solving Multi-armed Bandit via Thompson Sampling
by Mengying Zhu & Xiaolin Zheng & Yan Wang & Yuyuan Li & Qianqiao Liang
- 1911.05307 Randomization tests of copula symmetry
by Brendan K. Beare & Juwon Seo
- 1911.05271 Beveridgean Unemployment Gap
by Pascal Michaillat & Emmanuel Saez
- 1911.05193 Optical Proof of Work
by Michael Dubrovsky & Marshall Ball & Bogdan Penkovsky
- 1911.05122 A two-player portfolio tracking game
by Moritz Vo{ss}
- 1911.05116 An Unethical Optimization Principle
by Nicholas Beale & Heather Battey & Anthony C. Davison & Robert S. MacKay
- 1911.05052 Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach
by Yu Zheng & Bowei Chen & Timothy M. Hospedales & Yongxin Yang
- 1911.05044 Combinatorial Models of Cross-Country Dual Meets: What is a Big Victory?
by Kurt S. Riedel
- 1911.04865 Analytical solution of $k$th price auction
by Martin Mihelich & Yan Shu
- 1911.04844 Dynamical approach to Zipf's law
by Giordano De Marzo & Andrea Gabrielli & Andrea Zaccaria & Luciano Pietronero
- 1911.04729 A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions
by Liang Chen & Yulong Huo
- 1911.04696 Extended MinP Tests for Global and Multiple testing
by Zeng-Hua Lu
- 1911.04529 Identification in discrete choice models with imperfect information
by Cristina Gualdani & Shruti Sinha
- 1911.04489 Making Good on LSTMs' Unfulfilled Promise
by Daniel Philps & Artur d'Avila Garcez & Tillman Weyde
- 1911.04435 A many-to-many assignment game and stable outcome algorithm to evaluate collaborative Mobility-as-a-Service platforms
by Theodoros P. Pantelidis & Joseph Y. J. Chow & Saeid Rasulkhani
- 1911.04348 Semi-discrete optimal transport
by Gershon Wolansky
- 1911.04223 Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
by Torben Koch & Tiziano Vargiolu
- 1911.04199 Quantitative earnings enhancement from share buybacks
by Lawrence Middleton & James Dodd & Graham Baird
- 1911.04090 A post hoc test on the Sharpe ratio
by Steven Pav
- 1911.04059 Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
by Kenichi Hirayama & Akihiko Noda
- 1911.03771 An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation
by Yixiao Sun & Xuexin Wang
- 1911.03764 Optimal Experimental Design for Staggered Rollouts
by Ruoxuan Xiong & Susan Athey & Mohsen Bayati & Guido Imbens
- 1911.03629 Tit-for-Tat Dynamics and Market Volatility
by Simina Br^anzei
- 1911.03467 Relation between Blomqvist's beta and other measures of concordance of copulas
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1911.03380 An analysis of Uniswap markets
by Guillermo Angeris & Hsien-Tang Kao & Rei Chiang & Charlie Noyes & Tarun Chitra
- 1911.03245 Dual Representation of Expectile based Expected Shortfall and Its Properties
by Samuel Drapeau & Mekonnen Tadese
- 1911.03000 Dynamic Influence on Replicator Evolution for the Propagation of Competing Technologies
by Elijah D. Bolluyt & Cristina Comaniciu
- 1911.02918 Behavioral Equivalence of Extensive Game Structures
by Pierpaolo Battigalli & Paolo Leonetti & Fabio Maccheroni
- 1911.02906 Multiple yield curve modelling with CBI processes
by Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda
- 1911.02688 Group Average Treatment Effects for Observational Studies
by Daniel Jacob
- 1911.02678 Relative Maximum Likelihood Updating of Ambiguous Beliefs
by Xiaoyu Cheng
- 1911.02614 Infinite dimensional polynomial processes
by Christa Cuchiero & Sara Svaluto-Ferro
- 1911.02502 Deep Learning for Stock Selection Based on High Frequency Price-Volume Data
by Junming Yang & Yaoqi Li & Xuanyu Chen & Jiahang Cao & Kangkang Jiang
- 1911.02449 Scaling in Income Inequalities and its Dynamical Origin
by Zoltan Neda & Istvan Gere & Tamas S. Biro & Geza Toth & Noemi Derzsy
- 1911.02361 Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction
by Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul
- 1911.02296 Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
by John Armstrong & Cristin Buescu
- 1911.02261 Acceptability Indices of Performance for Bounded C\`adl\`ag Processes
by Christos E. Kountzakis & Damiano Rossello
- 1911.02205 The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations
by Richard Y. Chen
- 1911.02194 A Rational Finance Explanation of the Stock Predictability Puzzle
by Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi
- 1911.02173 Quantile Factor Models
by Liang Chen & Juan Jose Dolado & Jesus Gonzalo
- 1911.02067 Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices
by Humoud Alsabah & Agostino Capponi & Octavio Ruiz Lacedelli & Matt Stern
- 1911.01826 A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index
by Abootaleb Shirvani & Dimitri Volchenkov
- 1911.01824 Nonparametric Quantile Regressions for Panel Data Models with Large T
by Liang Chen
- 1911.01700 Deep Hedging: Learning to Simulate Equity Option Markets
by Magnus Wiese & Lianjun Bai & Ben Wood & Hans Buehler
- 1911.01568 Engel's law in the commodity composition of exports
by Sung-Gook Choi & Deok-Sun Lee
- 1911.01391 Personalized Robo-Advising: Enhancing Investment through Client Interaction
by Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou
- 1911.01330 Bitcoin Coin Selection with Leverage
by Daniel J. Diroff
- 1911.01272 iCurrency?
by Zura Kakushadze & Willie Yu
- 1911.01251 Cheating with (Recursive) Models
by Kfir Eliaz & Ran Spiegler & Yair Weiss
- 1911.01203 ElecSim: Monte-Carlo Open-Source Agent-Based Model to Inform Policy for Long-Term Electricity Planning
by Alexander J. M. Kell & Matthew Forshaw & A. Stephen McGough
- 1911.01073 The survival of start-ups in time of crisis. A machine learning approach to measure innovation
by Marco Guerzoni & Consuelo R. Nava & Massimiliano Nuccio
- 1911.00992 The Transport-based Mesh-free Method (TMM) and its applications in finance: a review
by Philippe G. LeFloch & Jean-Marc Mercier
- 1911.00946 Decision Making under Uncertainty: An Experimental Study in Market Settings
by Federico Echenique & Taisuke Imai & Kota Saito
- 1911.00919 The Reactive Beta Model
by Sebastien Valeyre & Denis S. Grebenkov & Sofiane Aboura
- 1911.00877 Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
by Alan Bain & Matthieu Mariapragassam & Christoph Reisinger
- 1911.00872 Aggregation for potentially infinite populations without continuity or completeness
by David McCarthy & Kalle Mikkola & Teruji Thomas
- 1911.00715 Do Chinese Internet Users Exist Heterogeneity in Search Behavior?
by Ren-jie Han & Shi-yuan Liu & Qian Li
- 1911.00688 Model Specification Test with Unlabeled Data: Approach from Covariate Shift
by Masahiro Kato & Hikaru Kawarazaki
- 1911.00667 A two-dimensional propensity score matching method for longitudinal quasi-experimental studies: A focus on travel behavior and the built environment
by Haotian Zhong & Wei Li & Marlon G. Boarnet
- 1911.00512 Modeling National Latent Socioeconomic Health and Examination of Policy Effects via Causal Inference
by F. Swen Kuh & Grace S. Chiu & Anton H. Westveld
- 1911.00467 Explaining black box decisions by Shapley cohort refinement
by Masayoshi Mase & Art B. Owen & Benjamin Seiler
- 1911.00386 Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
by Flavia Antonacci & Cristina Costantini & Fernanda D'Ippoliti & Marco Papi
- 1911.00370 Time discounting under uncertainty
by Lorenzo Bastianello & Jos'e Heleno Faro
- 1911.00281 Asset Prices with Investor Protection and Past Information
by Jia Yue & Ben-Zhang Yang & Ming-Hui Wang & Nan-Jing Huang
- 1911.00272 Dominantly Truthful Multi-task Peer Prediction with a Constant Number of Tasks
by Yuqing Kong
- 1911.00166 Regularized Quantile Regression with Interactive Fixed Effects
by Junlong Feng
- 1911.00033 Integration into \'economie-monde and regionalisation of the Central Eastern European space since 1989
by Natalia Zdanowska
- 1910.14658 Spatial polarisation within foreign trade and transnational firms' networks. The Case of Central and Eastern Europe
by Natalia Zdanowska
- 1910.14652 Exploring cities of Central and Eastern Europe within transnational company networks: the core-periphery effect
by Natalia Zdanowska
- 1910.14522 Option-based Equity Risk Premiums
by Alan L. Lewis
- 1910.14413 Credit risk with asymmetric information and a switching default threshold
by Imke Redeker & Ralf Wunderlich
- 1910.14282 Markov Chain Approximation of One-Dimensional Sticky Diffusions
by Christian Meier & Lingfei Li & Gongqiu Zhang
- 1910.14023 Firm Entry and Exit with Unbounded Productivity Growth
by John Stachurski
- 1910.14005 Portfolio Optimization with Expectile and Omega Functions
by Alexander Wagner & Stan Uryasev
- 1910.13979 Costly Verification in Collective Decisions
by Albin Erlanson & Andreas Kleiner
- 1910.13969 A Classifiers Voting Model for Exit Prediction of Privately Held Companies
by Giuseppe Carlo Calafiore & Marisa Hillary Morales & Vittorio Tiozzo & Serge Marquie
- 1910.13960 Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
by Sven Husmann & Antoniya Shivarova & Rick Steinert
- 1910.13882 Michael Milken: The Junk Dealer
by Ravi Kashyap
- 1910.13803 Rank-size law, financial inequality indices and gain concentrations by cyclist teams. The case of a multiple stage bicycle race, like Tour de France
by Marcel Ausloos
- 1910.13729 Time-dependent lead-lag relationships between the VIX and VIX futures markets
by Yan-Hong Yang & Ying-Hui Shao
- 1910.13668 Random concave functions
by Peter Baxendale & Ting-Kam Leonard Wong
- 1910.13633 Disclosure Games with Large Evidence Spaces
by Shaofei Jiang
- 1910.13547 Persuasion with Coarse Communication
by Yunus C. Aybas & Eray Turkel
- 1910.13534 Microscopic Derivation of Mean Field Game Models
by Martin Frank & Michael Herty & Torsten Trimborn
- 1910.13443 Multilevel evolutionary developmental optimization (MEDO): A theoretical framework for understanding preferences and selection dynamics
by Adam Safron
- 1910.13385 Hipsters and the Cool: A Game Theoretic Analysis of Social Identity, Trends and Fads
by Russell Golman & Aditi Jain & Sonica Saraf
- 1910.13338 From microscopic price dynamics to multidimensional rough volatility models
by Mehdi Tomas & Mathieu Rosenbaum
- 1910.13301 Analyzing China's Consumer Price Index Comparatively with that of United States
by Zhenzhong Wang & Yundong Tu & Song Xi Chen
- 1910.13286 A Self-Exciting Modelling Framework for Forward Prices in Power Markets
by Giorgia Callegaro & Andrea Mazzoran & Carlo Sgarra
- 1910.13237 Lexicographic Choice Under Variable Capacity Constraints
by Battal Dogan & Serhat Dogan & Kemal Yildiz
- 1910.13205 Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
by Olivier Gu'eant & Iuliia Manziuk
- 1910.13115 Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
by Huai-Long Shi & Wei-Xing Zhou
- 1910.12692 A hierarchical reserving model for reported non-life insurance claims
by Jonas Crevecoeur & Jens Robben & Katrien Antonio
- 1910.12545 Testing Forecast Rationality for Measures of Central Tendency
by Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt
- 1910.12516 Robust Contracting in General Contract Spaces
by Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst
- 1910.12498 Using network science to quantify economic disruptions in regional input-output networks
by Emily P. Harvey & Dion R. J. O'Neale
- 1910.12358 Dual Instrumental Variable Regression
by Krikamol Muandet & Arash Mehrjou & Si Kai Lee & Anant Raj
- 1910.12281 Deep convolutional autoencoder for cryptocurrency market analysis
by Vladimir Puzyrev
- 1910.12131 Almost Quasi-linear Utilities in Disguise: Positive-representation An Extension of Roberts' Theorem
by Ilan Nehama
- 1910.12130 Price mediated contagion through capital ratio requirements with VWAP liquidation prices
by Tathagata Banerjee & Zachary Feinstein
- 1910.11965 Estimating a Large Covariance Matrix in Time-varying Factor Models
by Jaeheon Jung
- 1910.11904 Change of drift in one-dimensional diffusions
by Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers
- 1910.11840 Sparsity and Stability for Minimum-Variance Portfolios
by Sven Husmann & Antoniya Shivarova & Rick Steinert
- 1910.11780 Inequality in Turkey: Looking Beyond Growth
by Bayram Cakir & Ipek Ergul
- 1910.11693 Building social networks under consent: A survey
by Robert P. Gilles
- 1910.11570 Does car sharing reduce greenhouse gas emissions? Life cycle assessment of the modal shift and lifetime shift rebound effects
by Levon Amatuni & Juudit Ottelin & Bernhard Steubing & Jos'e Mogollon
- 1910.11405 The Politics of Personalized News Aggregation
by Lin Hu & Anqi Li & Ilya Segal
- 1910.11392 The Persuasion Duality
by Piotr Dworczak & Anton Kolotilin
- 1910.11337 Coalition-structured governance improves cooperation to provide public goods
by V'itor V. Vasconcelos & Phillip M. Hannam & Simon A. Levin & Jorge M. Pacheco
- 1910.11216 Fragmentation of Distributed Exchanges
by Marius Zoican & Sorin Zoican
- 1910.11154 Necessary and sufficient condition for equilibrium of the Hotelling model on a circle
by Satoshi Hayashi & Naoki Tsuge
- 1910.10779 Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
by Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante
- 1910.10673 Pricing Economic Dispatch with AC Power Flow via Local Multipliers and Conic Relaxation
by Mariola Ndrio & Anna Winnicki & Subhonmesh Bose
- 1910.10646 Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids
by Nathalie Gimenes & Emmanuel Guerre
- 1910.10606 Inference of Binary Regime Models with Jump Discontinuities
by Milan Kumar Das & Anindya Goswami & Sharan Rajani
- 1910.10382 How well can we learn large factor models without assuming strong factors?
by Yinchu Zhu
- 1910.10133 Principal Component Analysis: A Generalized Gini Approach
by Charpentier & Arthur & Mussard & Stephane & Tea Ouraga
- 1910.10099 Mesoscale impact of trader psychology on stock markets: a multi-agent AI approach
by J. Lussange & S. Palminteri & S. Bourgeois-Gironde & B. Gutkin
- 1910.10098 A Classification Framework for Stablecoin Designs
by Amani Moin & Emin Gun Sirer & Kevin Sekniqi
- 1910.10005 The CMMV Pricing Model in Practice
by Bernard De Meyer & Moussa Dabo
- 1910.09978 Order patterns, their variation and change points in financial time series and Brownian motion
by Christoph Bandt
- 1910.09947 Adaptive-Aggressive Traders Don't Dominate
by Daniel Snashall & Dave Cliff
- 1910.09855 The Value of Insider Information for Super--Replication with Quadratic Transaction Costs
by Yan Dolinsky & Jonathan Zouari
- 1910.09841 Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
by Matteo Barigozzi & Matteo Luciani
- 1910.09834 A hybrid stochastic differential reinsurance and investment game with bounded memory
by Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong
- 1910.09544 Relative Net Utility and the Saint Petersburg Paradox
by Daniel Muller & Tshilidzi Marwala
- 1910.09504 CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks
by Gautier Marti
- 1910.09502 A path-sampling method to partially identify causal effects in instrumental variable models
by Florian Gunsilius
- 1910.09314 Pricing Mechanism for Resource Sustainability in Competitive Online Learning Multi-Agent Systems
by Ezra Tampubolon & Holger Boche
- 1910.09202 Conservation Laws in a Limit Order Book
by Jan Rosenzweig
- 1910.09153 Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis
by Lu Bai & Lixin Cui & Lixiang Xu & Yue Wang & Zhihong Zhang & Edwin R. Hancock
- 1910.09132 Multi-Stage Compound Real Options Valuation in Residential PV-Battery Investment
by Yiju Ma & Kevin Swandi & Archie Chapman & Gregor Verbic
- 1910.09004 Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
by Jushan Bai & Sung Hoon Choi & Yuan Liao
- 1910.08953 Overcoming Free-Riding in Bandit Games
by Johannes Horner & Nicolas Klein & Sven Rady
- 1910.08946 Robustness of Delta Hedging in a Jump-Diffusion Model
by Frank Bosserhoff & Mitja Stadje
- 1910.08858 Beating the House: Identifying Inefficiencies in Sports Betting Markets
by Sathya Ramesh & Ragib Mostofa & Marco Bornstein & John Dobelman
- 1910.08641 Nonhedgeable risk and Credit Risk Pricing
by Juan Dong & Lyudmila Korobenko & Deniz Sezer
- 1910.08628 Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics
by Jeremy Turiel & Tomaso Aste
- 1910.08627 On the quantum behavior and clustering properties of correlated financial portfolios
by Carlo Requi~ao da Cunha & Roberto da Silva
- 1910.08611 A multilevel analysis to systemic exposure: insights from local and system-wide information
by Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo
- 1910.08531 Healthy... Distress... Default
by Zura Kakushadze
- 1910.08344 Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
by Samuel Drapeau & Yunbo Zhang
- 1910.08273 Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
by Ruoxuan Xiong & Markus Pelger
- 1910.08202 Forecasting under Long Memory and Nonstationarity
by Uwe Hassler & Marc-Oliver Pohle
- 1910.08158 Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes
by Wenyuan Wang & Xueyuan Wu & Cheng Chi
- 1910.07971 The value of power-related options under spectrally negative L\'evy processes
by Jean-Philippe Aguilar
- 1910.07859 Currency Based on Time Standard
by Tomas Kala
- 1910.07781 Econometric Models of Network Formation
by Aureo de Paula
- 1910.07707 Fighting for Not-So-Religious Souls: The Role of Religious Competition in Secular Conflicts
by Hector Galindo-Silva & Guy Tchuente
- 1910.07689 A Projection Framework for Testing Shape Restrictions That Form Convex Cones
by Zheng Fang & Juwon Seo
- 1910.07572 Asymptotic Theory of $L$-Statistics and Integrable Empirical Processes
by Tetsuya Kaji
- 1910.07564 Residual Switching Network for Portfolio Optimization
by Jifei Wang & Lingjing Wang
- 1910.07452 Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition
by Aureo de Paula & Imran Rasul & Pedro Souza
- 1910.07417 Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset
by Ljudmila A. Bordag
- 1910.07406 Standard Errors for Panel Data Models with Unknown Clusters
by Jushan Bai & Sung Hoon Choi & Yuan Liao
- 1910.07325 Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules
by Florian Ziel & Kevin Berk
- 1910.07241 Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
by Damir Filipovi'c & Kathrin Glau & Yuji Nakatsukasa & Francesco Statti
- 1910.07158 Stochastic Orderings of Multivariate Elliptical Distributions
by Chuancun Yin
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