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Content
2019
- 1906.12317 Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
by Thijs Kamma & Antoon Pelsser - 1906.12134 Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
by Gregor Kastner - 1906.12123 Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
by Darjus Hosszejni & Gregor Kastner - 1906.12010 How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
by Tucker Hybinette Balch & Mahmoud Mahfouz & Joshua Lockhart & Maria Hybinette & David Byrd - 1906.11968 Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts
by Matthias Pelster & Bastian Breitmayer & Tim Hasso - 1906.11831 A portfolio choice problem in the framework of expected utility operators
by Irina Georgescu & Louis Aim'e Fono - 1906.11481 Broken Detailed Balance and Non-Equilibrium Dynamics in Noisy Social Learning Models
by Tushar Vaidya & Thiparat Chotibut & Georgios Piliouras - 1906.11391 Dynamically Stable Matching
by Laura Doval - 1906.11320 Correlators of Polynomial Processes
by Fred Espen Benth & Silvia Lavagnini - 1906.11293 Empirical Process Results for Exchangeable Arrays
by Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch - 1906.11224 The Hamiltonian approach to the problem of derivation of production functions in economic growth theory
by Roman G. Smirnov & Kunpeng Wang - 1906.11208 Proxy expenditure weights for Consumer Price Index: Audit sampling inference for big data statistics
by Li-Chun Zhang - 1906.11186 A Triptych Approach for Reverse Stress Testing of Complex Portfolios
by Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot - 1906.11046 Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis
by Wenhang Bao & Xiao-yang Liu - 1906.11023 The Coevolution of Banks and Corporate Securities Markets: The Financing of Belgium's Industrial Take-Off in the 1830s
by Stefano Ugolini - 1906.10957 Estimation of the size of informal employment based on administrative records with non-ignorable selection mechanism
by Maciej Berk{e}sewicz & Dagmara Nikulin - 1906.10933 Dual representations for systemic risk measures based on acceptance sets
by Maria Arduca & Pablo Koch-Medina & Cosimo Munari - 1906.10888 European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle
by Martin Kegnenlezom & Patrice Takam Soh & Antoine-Marie Bogso & Yves Emvudu Wono - 1906.10865 The Syntax of the Accounting Language: A First Step
by Frederico Botafogo - 1906.10624 On Capital Allocation under Information Constraints
by Christoph J. Borner & Ingo Hoffmann & Fabian Poetter & Tim Schmitz - 1906.10572 Understanding the explosive trend in EU ETS prices -- fundamentals or speculation?
by Marina Friedrich & S'ebastien Fries & Michael Pahle & Ottmar Edenhofer - 1906.10422 Forecasting the Remittances of the Overseas Filipino Workers in the Philippines
by Merry Christ E. Manayaga & Roel F. Ceballos - 1906.10388 Lead-lag Relationships in Foreign Exchange Markets
by Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev - 1906.10372 Dynamic time series clustering via volatility change-points
by Nick Whiteley - 1906.10333 To Infinity and Beyond: A General Framework for Scaling Economic Theories
by Yannai A. Gonczarowski & Scott Duke Kominers & Ran I. Shorrer - 1906.10325 Against the Norm: Modeling Daily Stock Returns with the Laplace Distribution
by David Toth & Bruce Jones - 1906.10311 Informed Principal Problems in Bilateral Trading
by Takeshi Nishimura - 1906.10258 Policy Targeting under Network Interference
by Davide Viviano - 1906.10121 Metaheuristics optimized feedforward neural networks for efficient stock price prediction
by Bradley J. Pillay & Absalom E. Ezugwu - 1906.10084 Long Run Feedback in the Broker Call Money Market
by Alex Garivaltis - 1906.10030 A New Solution to Market Definition: An Approach Based on Multi-dimensional Substitutability Statistics
by Yan Yang - 1906.09961 Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall
by Chao Wang & Richard Gerlach - 1906.09895 Most Important Fundamental Rule of Poker Strategy
by Sam Ganzfried & Max Chiswick - 1906.09729 Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
by Samuel Drapeau & Mekonnen Tadese - 1906.09698 Gift Contagion in Online Groups: Evidence From Virtual Red Packets
by Yuan Yuan & Tracy Liu & Chenhao Tan & Qian Chen & Alex Pentland & Jie Tang - 1906.09694 Business Taxonomy Construction Using Concept-Level Hierarchical Clustering
by Haodong Bai & Frank Z. Xing & Erik Cambria & Win-Bin Huang - 1906.09671 Single-crossing Implementation
by Nathann Cohenn & Edith Elkind & Foram Lakhani - 1906.09632 A Model of the Optimal Selection of Crypto Assets
by Silvia Bartolucci & Andrei Kirilenko - 1906.09431 Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
by D. Belomestny & M. Kaledin & J. Schoenmakers - 1906.09353 Suboptimal Provision of Privacy and Statistical Accuracy When They are Public Goods
by John M. Abowd & Ian M. Schmutte & William Sexton & Lars Vilhuber - 1906.09034 Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model
by Martin Forde & Stefan Gerhold & Benjamin Smith - 1906.09024 BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
by Joshua Zoen Git Hiew & Xin Huang & Hao Mou & Duan Li & Qi Wu & Yabo Xu - 1906.08933 A bibliometric analysis of Bitcoin scientific production
by Ignasi Merediz-Sol`a & Aurelio F. Bariviera - 1906.08892 Macroscopic theorem of the portfolio optimization problem with a risk-free asset
by Ippei Suzuki & Takashi Shinzato - 1906.08872 CostMAP: An open-source software package for developing cost surfaces
by Brendan Hoover & Richard S. Middleton & Sean Yaw - 1906.08726 On the probability of a causal inference is robust for internal validity
by Tenglong Li & Kenneth A. Frank - 1906.08667 A network approach to cartel detection in public auction markets
by Johannes Wachs & J'anos Kert'esz - 1906.08636 Investment Ranking Challenge: Identifying the best performing stocks based on their semi-annual returns
by Shanka Subhra Mondal & Sharada Prasanna Mohanty & Benjamin Harlander & Mehmet Koseoglu & Lance Rane & Kirill Romanov & Wei-Kai Liu & Pranoot Hatwar & Marcel Salathe & Joe Byrum - 1906.08617 Loan maturity aggregation in interbank lending networks obscures mesoscale structure and economic functions
by Marnix Van Soom & Milan van den Heuvel & Jan Ryckebusch & Koen Schoors - 1906.08410 Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information
by Shihao Zhu & Jingtao Shi - 1906.08357 The Age-Period-Cohort-Interaction Model for Describing and Investigating Inter-Cohort Deviations and Intra-Cohort Life-Course Dynamics
by Liying Luo & James Hodges - 1906.08244 Predicting Patent Citations to measure Economic Impact of Scholarly Research
by Abdul Rahman Shaikh & Hamed Alhoori - 1906.08096 From Local to Global: External Validity in a Fertility Natural Experiment
by Rajeev Dehejia & Cristian Pop-Eleches & Cyrus Samii - 1906.08088 Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data
by Xue Guo & Hu Zhang & Tianhai Tian - 1906.07992 Sparse structures with LASSO through Principal Components: forecasting GDP components in the short-run
by Saulius Jokubaitis & Dmitrij Celov & Remigijus Leipus - 1906.07834 Signatures of crypto-currency market decoupling from the Forex
by Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek - 1906.07786 Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey
by Lukas Ryll & Sebastian Seidens - 1906.07695 Nonparametric estimation in a regression model with additive and multiplicative noise
by Christophe Chesneau & Salima El Kolei & Junke Kou & Fabien Navarro - 1906.07533 The Impact of Ambiguity on the Optimal Exercise Timing of Integral Option Contracts
by Luis H. R. Alvarez E. & Soren Christensen - 1906.07491 Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
by Robert Gk{e}barowski & Pawe{l} O'swik{e}cimka & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z - 1906.07164 When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View
by Simone Farinelli & Hideyuki Takada - 1906.07101 Decomposition formula for rough Volterra stochastic volatility models
by Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives - 1906.06930 Decomposition formula for jump diffusion models
by Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Josep Vives - 1906.06810 General equilibrium in a heterogeneous-agent incomplete-market economy with many consumption goods and a risk-free bond
by Bar Light - 1906.06747 Shape Matters: Evidence from Machine Learning on Body Shape-Income Relationship
by Suyong Song & Stephen S. Baek - 1906.06711 Detecting p-hacking
by Graham Elliott & Nikolay Kudrin & Kaspar Wuthrich - 1906.06665 On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls
by Bruno Ferman - 1906.06648 A Clark-Ocone type formula via Ito calculus and its application to finance
by Takuji Arai & Ryoichi Suzuki - 1906.06529 lpdensity: Local Polynomial Density Estimation and Inference
by Matias D. Cattaneo & Michael Jansson & Xinwei Ma - 1906.06483 Option Pricing via Multi-path Autoregressive Monte Carlo Approach
by Wei-Cheng Chen & Wei-Ho Chung - 1906.06478 Calibration of Local-Stochastic Volatility Models by Optimal Transport
by Ivan Guo & Gregoire Loeper & Shiyi Wang - 1906.06389 Long-run risk sensitive dyadic impulse control
by Marcin Pitera & {L}ukasz Stettner - 1906.06363 Variants of the Smith-Wilson method with a view towards applications
by Thomas Viehmann - 1906.06360 Posterior Average Effects
by St'ephane Bonhomme & Martin Weidner - 1906.06248 Machine Learning on EPEX Order Books: Insights and Forecasts
by Simon Schnurch & Andreas Wagner - 1906.06164 Model Risk in Credit Risk
by Roberto Fontana & Elisa Luciano & Patrizia Semeraro - 1906.06092 The winner takes it all -- How to win network globalization
by Chengyuan Han & Dirk Witthaut & Marc Timme & Malte Schroder - 1906.06000 An agent-based model for designing a financial market that works well
by Takanobu Mizuta - 1906.05898 Stochastic PDEs for large portfolios with general mean-reverting volatility processes
by Ben Hambly & Nikolaos Kolliopoulos - 1906.05740 Information-theoretic measures for non-linear causality detection: application to social media sentiment and cryptocurrency prices
by Z. Keskin & T. Aste - 1906.05545 Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices
by Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina - 1906.05494 Time scales in stock markets
by Ajit Mahata & Md Nurujjaman - 1906.05420 From asymptotic properties of general point processes to the ranking of financial agents
by Othmane Mounjid & Mathieu Rosenbaum & Pamela Saliba - 1906.05327 Neural Network Models for Stock Selection Based on Fundamental Analysis
by Yuxuan Huang & Luiz Fernando Capretz & Danny Ho - 1906.05269 Growing green: the role of path dependency and structural jumps in the green economy expansion
by Seyyedmilad Talebzadehhosseini & Steven R. Scheinert & Ivan Garibay - 1906.05231 Nonparametric Identification and Estimation with Independent, Discrete Instruments
by Isaac Loh - 1906.05187 The Case for Long-Only Agnostic Allocation Portfolios
by Pierre-Alain Reigneron & Vincent Nguyen & Stefano Ciliberti & Philip Seager & Jean-Philippe Bouchaud - 1906.05065 Deep Smoothing of the Implied Volatility Surface
by Damien Ackerer & Natasa Tagasovska & Thibault Vatter - 1906.05057 Selecting stock pairs for pairs trading while incorporating lead-lag relationship
by Kartikay Gupta & Niladri Chatterjee - 1906.04822 Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by M. Dashti Moghaddam & Jeffrey Mills & R. A. Serota - 1906.04813 Towards Inverse Reinforcement Learning for Limit Order Book Dynamics
by Jacobo Roa-Vicens & Cyrine Chtourou & Angelos Filos & Francisco Rullan & Yarin Gal & Ricardo Silva - 1906.04711 ProPublica's COMPAS Data Revisited
by Matias Barenstein - 1906.04652 Ergodicity-breaking reveals time optimal decision making in humans
by David Meder & Finn Rabe & Tobias Morville & Kristoffer H. Madsen & Magnus T. Koudahl & Ray J. Dolan & Hartwig R. Siebner & Oliver J. Hulme - 1906.04631 Bias-Aware Inference in Fuzzy Regression Discontinuity Designs
by Claudia Noack & Christoph Rothe - 1906.04613 Regional economic convergence and spatial quantile regression
by Alfredo Cartone & Geoffrey JD Hewings & Paolo Postiglione - 1906.04522 Bayesian Estimation of Economic Simulation Models using Neural Networks
by Donovan Platt - 1906.04404 Extending Deep Learning Models for Limit Order Books to Quantile Regression
by Zihao Zhang & Stefan Zohren & Stephen Roberts - 1906.04322 Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
by Jean-Franc{c}ois B'egin & Mathieu Boudreault - 1906.04242 The Regression Discontinuity Design
by Matias D. Cattaneo & Rocio Titiunik & Gonzalo Vazquez-Bare - 1906.04086 Automation and occupational mobility: A data-driven network model
by R. Maria del Rio-Chanona & Penny Mealy & Mariano Beguerisse-D'iaz & Francois Lafond & J. Doyne Farmer - 1906.03935 Learned Sectors: A fundamentals-driven sector reclassification project
by Rukmal Weerawarana & Yiyi Zhu & Yuzhen He - 1906.03828 Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
by Dan Li & Adam Clements & Christopher Drovandi - 1906.03726 Machine learning with kernels for portfolio valuation and risk management
by Lotfi Boudabsa & Damir Filipovic - 1906.03690 A sensitivity analysis of the long-term expected utility of optimal portfolios
by Hyungbin Park & Stephan Sturm - 1906.03562 A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
by Tim Leung & Yang Zhou - 1906.03558 On the Equilibrium Uniqueness in Cournot Competition with Demand Uncertainty
by Stefanos Leonardos & Costis Melolidakis - 1906.03507 Deep learning calibration of option pricing models: some pitfalls and solutions
by A Itkin - 1906.03430 The Effects of the Introduction of Bitcoin Futures on the Volatility of Bitcoin Returns
by Wonse Kim & Junseok Lee & Kyungwon Kang - 1906.03309 An optimal transport problem with backward martingale constraints motivated by insider trading
by Dmitry Kramkov & Yan Xu - 1906.03306 Invoice Financing of Supply Chains with Blockchain technology and Artificial Intelligence
by Sandra Johnson & Peter Robinson & Kishore Atreya & Claudio Lisco - 1906.03305 Clustering Degree-Corrected Stochastic Block Model with Outliers
by Xin Qian & Yudong Chen & Andreea Minca - 1906.03237 Addictive Auctions: using lucky-draw and gambling addiction to increase participation during auctioning
by Ravin Kumar - 1906.03232 Style Transfer with Time Series: Generating Synthetic Financial Data
by Brandon Da Silva & Sylvie Shang Shi - 1906.03210 The varying importance of extrinsic factors in the success of startup fundraising: competition at early-stage and networks at growth-stage
by Clement Gastaud & Theophile Carniel & Jean-Michel Dalle - 1906.03201 Learning from Others in the Financial Market
by Matthias Feiler & Thibaut Ajdler - 1906.03119 A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
by Martin Keller-Ressel & Assad Majid - 1906.03044 Battling Antibiotic Resistance: Can Machine Learning Improve Prescribing?
by Michael Allan Ribers & Hannes Ullrich - 1906.02904 Market Implementation of Multiple-Arrival Multiple-Deadline Differentiated Energy Services
by Yanfang Mo & Wei Chen & Li Qiu & Pravin Varaiya - 1906.02884 A Statistical Recurrent Stochastic Volatility Model for Stock Markets
by Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn - 1906.02838 From Blackwell Dominance in Large Samples to Renyi Divergences and Back Again
by Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz - 1906.02818 Tensor Processing Units for Financial Monte Carlo
by Francois Belletti & Davis King & Kun Yang & Roland Nelet & Yusef Shafi & Yi-Fan Chen & John Anderson - 1906.02657 The interplay between migrants and natives as a determinant of migrants' assimilation: A coevolutionary approach
by Jakub Bielawski & Marcin Jakubek - 1906.02635 Counterfactual Inference for Consumer Choice Across Many Product Categories
by Rob Donnelly & Francisco R. Ruiz & David Blei & Susan Athey - 1906.02561 Funding Adjustments in Equity Linear Products
by Stefania Gabrielli & Andrea Pallavicini & Stefano Scoleri - 1906.02551 Deep Curve-dependent PDEs for affine rough volatility
by Antoine Jacquier & Mugad Oumgari - 1906.02486 The route to chaos in routing games: When is Price of Anarchy too optimistic?
by Thiparat Chotibut & Fryderyk Falniowski & Micha{l} Misiurewicz & Georgios Piliouras - 1906.02455 The emerging sectoral diversity of startup ecosystems
by Clement Gastaud & Theophile Carniel & Jean-Michel Dalle - 1906.02312 Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response
by Svitlana Vyetrenko & Shaojie Xu - 1906.02306 Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by M. Dashti Moghaddam & Jiong Liu & R. A. Serota - 1906.02223 Mapping the Sahelian Space
by Olivier Walther & Denis Retaille - 1906.02216 Game-Theoretic Optimal Portfolios in Continuous Time
by Alex Garivaltis - 1906.02152 (In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks
by Ariah Klages-Mundt & Andreea Minca - 1906.02140 Bayesian nonparametric graphical models for time-varying parameters VAR
by Matteo Iacopini & Luca Rossini - 1906.01981 Understanding Distributional Ambiguity via Non-robust Chance Constraint
by Qi Wu & Shumin Ma & Cheuk Hang Leung & Wei Liu & Nanbo Peng - 1906.01980 The temporal evolution of venture investment strategies in sector space
by Theophile Carniel & Clement Gastaud & Jean-Michel Dalle - 1906.01923 Neural Learning of Online Consumer Credit Risk
by Di Wang & Qi Wu & Wen Zhang - 1906.01768 Indirect Inference for Locally Stationary Models
by David Frazier & Bonsoo Koo - 1906.01713 Optimal auction duration: A price formation viewpoint
by Paul Jusselin & Thibaut Mastrolia & Mathieu Rosenbaum - 1906.01552 Assessing Disparate Impacts of Personalized Interventions: Identifiability and Bounds
by Nathan Kallus & Angela Zhou - 1906.01531 Trading in Complex Networks
by Felipe M. Cardoso & Carlos Gracia-Lazaro & Frederic Moisan & Sanjeev Goyal & Angel Sanchez & Yamir Moreno - 1906.01468 Stress Testing Network Reconstruction via Graphical Causal Model
by Helder Rojas & David Dias - 1906.01449 Generalized Expected Discounted Penalty Function at General Drawdown for L\'{e}vy Risk Processes
by Wenyuan Wang & Ping Chen & Shuanming Li - 1906.01427 Optimal Dynamic Strategies on Gaussian Returns
by Nick Firoozye & Adriano Koshiyama - 1906.01320 Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
by Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko - 1906.01293 Contagion in Bitcoin networks
by C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky - 1906.01241 Kinetic Market Model: An Evolutionary Algorithm
by Evandro Luquini & Nizam Omar - 1906.01232 Optimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium Approach
by Yu-Jui Huang & Xiang Yu - 1906.01025 Two Resolutions of the Margin Loan Pricing Puzzle
by Alex Garivaltis - 1906.00960 For Whom the Bell (Curve) Tolls: A to F, Trade Your Grade Based on the Net Present Value of Friendships with Financial Incentives
by Ravi Kashyap - 1906.00946 The Laws of Motion of the Broker Call Rate in the United States
by Alex Garivaltis - 1906.00920 Optimising portfolio diversification and dimensionality
by Mathias Barkhagen & Brian Fleming & Sergio Garcia Quiles & Jacek Gondzio & Joerg Kalcsics & Jens Kroeske & Sotirios Sabanis & Arne Staal - 1906.00573 Conditional inference on the asset with maximum Sharpe ratio
by Steven E. Pav - 1906.00553 Artificial Intelligence and Big Data in Entrepreneurship: A New Era Has Begun
by Martin Obschonka & David B. Audretsch - 1906.00296 The Theory of Weak Revealed Preference
by Victor H. Aguiar & Per Hjertstrand & Roberto Serrano - 1906.00288 At What Level Should One Cluster Standard Errors in Paired and Small-Strata Experiments?
by Cl'ement de Chaisemartin & Jaime Ramirez-Cuellar - 1906.00280 Conventions and Coalitions in Repeated Games
by S. Nageeb Ali & Ce Liu - 1906.00232 Kernel Instrumental Variable Regression
by Rahul Singh & Maneesh Sahani & Arthur Gretton - 1906.00202 lspartition: Partitioning-Based Least Squares Regression
by Matias D. Cattaneo & Max H. Farrell & Yingjie Feng - 1906.00198 nprobust: Nonparametric Kernel-Based Estimation and Robust Bias-Corrected Inference
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell - 1906.00059 Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
by Jozef Barunik & Cathy Yi-Hsuan Chen & Jan Vecer - 1906.00003 Counterfactual Analysis under Partial Identification Using Locally Robust Refinement
by Nathan Canen & Kyungchul Song - 1905.13711 The Network Effect in Credit Concentration Risk
by Davide Cellai & Trevor Fitzpatrick - 1905.13660 On Policy Evaluation with Aggregate Time-Series Shocks
by Dmitry Arkhangelsky & Vasily Korovkin - 1905.13645 Resolving New Keynesian Anomalies with Wealth in the Utility Function
by Pascal Michaillat & Emmanuel Saez - 1905.13622 Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem
by Yan Gao - 1905.13508 Clusters of investors around Initial Public Offering
by Margarita Baltakien.e & Kk{e}stutis Baltakys & Juho Kanniainen & Dino Pedreschi & Fabrizio Lillo - 1905.13425 Cross-sectional Learning of Extremal Dependence among Financial Assets
by Xing Yan & Qi Wu & Wen Zhang - 1905.13407 A simple and efficient numerical method for pricing discretely monitored early-exercise options
by Min Huang & Guo Luo - 1905.13281 Labor Market Outcomes and Early Schooling: Evidence from School Entry Policies Using Exact Date of Birth
by Pedro Cavalcante Oliveira & Daniel Duque - 1905.13140 Threshold Regression with Nonparametric Sample Splitting
by Yoonseok Lee & Yulong Wang - 1905.13045 The Income Fluctuation Problem and the Evolution of Wealth
by Qingyin Ma & John Stachurski & Alexis Akira Toda - 1905.12859 Heterogeneity in demand and optimal price conditioning for local rail transport
by Evgeniy M. Ozhegov & Alina Ozhegova - 1905.12788 Detectability, Duality, and Surplus Extraction
by Giuseppe Lopomo & Luca Rigotti & Chris Shannon - 1905.12705 Robust measurement of innovation performances in Europe with a hierarchy of interacting composite indicators
by Salvatore Corrente & Ana Garcia-Bernabeu & Salvatore Greco & Teemu Makkonen - 1905.12500 On the many-to-one strongly stable fractional matching set
by Pablo A. Neme & Jorge Oviedo - 1905.12495 Deep Generalized Method of Moments for Instrumental Variable Analysis
by Andrew Bennett & Nathan Kallus & Tobias Schnabel - 1905.12431 An assets-liabilities dynamical model of banking system and systemic risk governance
by Lorella Fatone & Francesca Mariani - 1905.12293 Centered and non-centered variance inflation factor
by Rom'an Salmer'on G'omez & Catalina Garc'ia Garc'ia y Jos'e Garc'ia P'erez - 1905.12104 Heuristics in Multi-Winner Approval Voting
by Jaelle Scheuerman & Jason L. Harman & Nicholas Mattei & K. Brent Venable - 1905.12020 Matching on What Matters: A Pseudo-Metric Learning Approach to Matching Estimation in High Dimensions
by Gentry Johnson & Brian Quistorff & Matt Goldman - 1905.11905 Monetary Stabilization in Cryptocurrencies - Design Approaches and Open Questions
by Ingolf G. A. Pernice & Sebastian Henningsen & Roman Proskalovich & Martin Florian & Hermann Elendner & Bjorn Scheuermann - 1905.11842 Graph-based era segmentation of international financial integration
by C'ecile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat - 1905.11795 Credit Scoring by Incorporating Dynamic Networked Information
by Yibei Li & Ximei Wang & Boualem Djehiche & Xiaoming Hu - 1905.11782 Many-player games of optimal consumption and investment under relative performance criteria
by Daniel Lacker & Agathe Soret - 1905.11606 Perceived Advantage in Perspective Application of Integrated Choice and Latent Variable Model to Capture Electric Vehicles Perceived Advantage from Consumers Perspective
by Milad Ghasri & Ali Ardeshiri & Taha Rashidi - 1905.11486 Autonomous Driving and Residential Location Preferences: Evidence from a Stated Choice Survey
by Rico Krueger & Taha H. Rashidi & Vinayak V. Dixit - 1905.11328 A unified approach to xVA with CSA discounting and initial margin
by Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva - 1905.11184 Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing
by Oliver Wichert & I. Gaia Becheri & Feike C. Drost & Ramon van den Akker - 1905.11004 Contest Architecture with Public Disclosures
by Toomas Hinnosaar - 1905.10806 Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks
by Domenico Di Gangi & Giacomo Bormetti & Fabrizio Lillo - 1905.10787 Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
by Florian Huber & Gary Koop & Luca Onorante - 1905.10758 Pure Nash Equilibria and Best-Response Dynamics in Random Games
by Ben Amiet & Andrea Collevecchio & Marco Scarsini & Ziwen Zhong - 1905.10737 Revisiting Feller Diffusion: Derivation and Simulation
by Ranjiva Munasinghe & Leslie Kanthan & Pathum Kossinna - 1905.10176 Machine Learning Estimation of Heterogeneous Treatment Effects with Instruments
by Vasilis Syrgkanis & Victor Lei & Miruna Oprescu & Maggie Hei & Keith Battocchi & Greg Lewis - 1905.10164 How big should a Stress Shock be?
by David G Maher - 1905.10116 Semi-Parametric Efficient Policy Learning with Continuous Actions
by Mert Demirer & Vasilis Syrgkanis & Greg Lewis & Victor Chernozhukov - 1905.09647 Real-time Prediction of Bitcoin Bubble Crashes
by Min Shu & Wei Zhu - 1905.09640 Detection of Chinese Stock Market Bubbles with LPPLS Confidence Indicator
by Min Shu & Wei Zhu