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Content
2019
- 1905.09633 Diagnosis and Prediction of the 2015 Chinese Stock Market Bubble
by Min Shu & Wei Zhu
- 1905.09596 Variable annuities in a L\'evy-based hybrid model with surrender risk
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine
- 1905.09552 Technological Learning and Innovation Gestation Lags at the Frontier of Science: from CERN Procurement to Patent
by Andrea Bastianin & Paolo Castelnovo & Massimo Florio & Anna Giunta
- 1905.09474 Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
- 1905.09116 Cheating in Ranking Systems
by Lihi Dery & Dror Hermel & Artyom Jelnov
- 1905.08870 The perils of automated fitting of datasets: the case of a wind turbine cost model
by Claude Klockl & Katharina Gruber & Peter Regner & Sebastian Wehrle & Johannes Schmidt
- 1905.08535 Smoothing quantile regressions
by Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta
- 1905.08444 Predicting and Forecasting the Price of Constituents and Index of Cryptocurrency Using Machine Learning
by Reaz Chowdhury & M. Arifur Rahman & M. Sohel Rahman & M. R. C. Mahdy
- 1905.08234 Empirical bias of extreme-price auctions: analysis
by Rodrigo A. Velez & Alexander L. Brown
- 1905.08042 Testing Sharpe ratio: luck or skill?
by Eric Benhamou & David Saltiel & Beatrice Guez & Nicolas Paris
- 1905.08004 Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
by Lijun Bo & Huafu Liao & Xiang Yu
- 1905.07902 Demand forecasting techniques for build-to-order lean manufacturing supply chains
by Rodrigo Rivera-Castro & Ivan Nazarov & Yuke Xiang & Alexander Pletneev & Ivan Maksimov & Evgeny Burnaev
- 1905.07886 Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets
by Christopher Kath & Florian Ziel
- 1905.07848 Time Series Analysis and Forecasting of the US Housing Starts using Econometric and Machine Learning Model
by Sudiksha Joshi
- 1905.07812 Iterative Estimation of Nonparametric Regressions with Continuous Endogenous Variables and Discrete Instruments
by Samuele Centorrino & Fr'ed'erique F`eve & Jean-Pierre Florens
- 1905.07716 Spectral risk measures and uncertainty
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi
- 1905.07593 Nestedness in complex networks: Observation, emergence, and implications
by Manuel Sebastian Mariani & Zhuo-Ming Ren & Jordi Bascompte & Claudio Juan Tessone
- 1905.07581 Convolutional Feature Extraction and Neural Arithmetic Logic Units for Stock Prediction
by Shangeth Rajaa & Jajati Keshari Sahoo
- 1905.07546 Hedging crop yields against weather uncertainties -- a weather derivative perspective
by Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe
- 1905.07544 Driver Surge Pricing
by Nikhil Garg & Hamid Nazerzadeh
- 1905.07257 A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry
by Will Hicks
- 1905.07081 Cointegration in high frequency data
by Simon Clinet & Yoann Potiron
- 1905.07048 A Comment on "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting" by Hanming Fang and Yang Wang
by Jaap H. Abbring & {O}ystein Daljord
- 1905.06977 The Empirical Saddlepoint Estimator
by Benjamin Holcblat & Fallaw Sowell
- 1905.06733 Options to Receive Retirement Gratuity
by Reason Machete
- 1905.06722 The professional trader's paradox
by Andrea Berdondini
- 1905.06721 Unconventional Exchange: Methods for Statistical Analysis of Virtual Goods
by Oliver James Scholten & Peter Cowling & Kenneth A. Hawick & James Alfred Walker
- 1905.06564 Playing with ghosts in a Dynkin game
by Tiziano De Angelis & Erik Ekstrom
- 1905.06536 Improving Regression-based Event Study Analysis Using a Topological Machine-learning Method
by Takashi Yamashita & Ryozo Miura
- 1905.06491 Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities
by Joel L. Horowitz & Sokbae Lee
- 1905.06489 Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data
by C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky
- 1905.06485 Parallel Search for Information
by T. Tony Ke & Wenpin Tang & J. Miguel Villas-Boas & Yuming Zhang
- 1905.06400 mRSC: Multi-dimensional Robust Synthetic Control
by Muhummad Amjad & Vishal Misra & Devavrat Shah & Dennis Shen
- 1905.06364 Dynamic model of firms competitive interaction on the market with taxation
by Oleg Malafeyev & Eduard Abramyan & Andrey Shulga
- 1905.06315 Higher order approximation of call option prices under stochastic volatility models
by Archil Gulisashvili & Ra'ul Merino & Marc Lagunas & Josep Vives
- 1905.06213 Inverting the Markovian projection, with an application to local stochastic volatility models
by Daniel Lacker & Mykhaylo Shkolnikov & Jiacheng Zhang
- 1905.06166 Computational Socioeconomics
by Jian Gao & Yi-Cheng Zhang & Tao Zhou
- 1905.06037 Analyzing Subjective Well-Being Data with Misclassification
by Ekaterina Oparina & Sorawoot Srisuma
- 1905.05931 What is the Minimal Systemic Risk in Financial Exposure Networks?
by Christian Diem & Anton Pichler & Stefan Thurner
- 1905.05911 Reduced Form Capital Optimization
by Yadong Li & Dimitri Offengenden & Jan Burgy
- 1905.05841 Efficient computation of mean reverting portfolios using cyclical coordinate descent
by Th'eophile Griveau-Billion & Ben Calderhead
- 1905.05814 The paradox of monotone structural QRE
by Rodrigo A. Velez & Alexander L. Brown
- 1905.05813 The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance
by Ivan Arraut & Alan Au & Alan Ching-biu Tse & Carlos Segovia
- 1905.05730 Asset Pricing with Heterogeneous Beliefs and Illiquidity
by Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan
- 1905.05663 Approximation of Optimal Transport problems with marginal moments constraints
by Aur'elien Alfonsi & Rafael Coyaud & Virginie Ehrlacher & Damiano Lombardi
- 1905.05429 A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity
by Soren Christensen & Luis H. R. Alvarez E
- 1905.05371 Merton's portfolio problem under Volterra Heston model
by Bingyan Han & Hoi Ying Wong
- 1905.05310 On the consistency of jump-diffusion dynamics for FX rates under inversion
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini
- 1905.05237 Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown
by Lisa R. Goldberg & Saad Mouti
- 1905.05157 Mixtures of Mean-Preserving Contractions
by Joseph Whitmeyer & Mark Whitmeyer
- 1905.05027 Asset Pricing with General Transaction Costs: Theory and Numerics
by Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi
- 1905.05023 Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases
by Adriano Koshiyama & Nick Firoozye
- 1905.04964 Exogenous Rewards for Promoting Cooperation in Scale-Free Networks
by Theodor Cimpeanu & The Anh Han & Francisco C. Santos
- 1905.04852 Is Volatility Rough ?
by Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal
- 1905.04842 A Stock Selection Method Based on Earning Yield Forecast Using Sequence Prediction Models
by Jessie Sun
- 1905.04821 Optimal multi-asset trading with linear costs: a mean-field approach
by Matt Emschwiller & Benjamin Petit & Jean-Philippe Bouchaud
- 1905.04603 A New Stock Market Valuation Measure with Applications to Retirement Planning
by Andrey Sarantsev
- 1905.04569 Impact is not just volatility
by Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud
- 1905.04443 Regression Discontinuity Design with Multiple Groups for Heterogeneous Causal Effect Estimation
by Takayuki Toda & Ayako Wakano & Takahiro Hoshino
- 1905.04419 The role of pawnshops in risk coping in early twentieth-century Japan
by Tatsuki Inoue
- 1905.04417 Particulate Air Pollution, Birth Outcomes, and Infant Mortality: Evidence from Japan's Automobile Emission Control Law of 1992
by Tatsuki Inoue & Nana Nunokawa & Daisuke Kurisu & Kota Ogasawara
- 1905.04397 ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models
by Ben Hambly & Nikolaos Kolliopoulos
- 1905.04370 A Three-state Opinion Formation Model for Financial Markets
by Bernardo J. Zubillaga & Andr'e L. M. Vilela & Chao Wang & Kenric P. Nelson & H. Eugene Stanley
- 1905.04137 Applications of a New Self-Financing Equation
by Rene Carmona & Kevin Webster
- 1905.04028 Demand and Welfare Analysis in Discrete Choice Models with Social Interactions
by Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya
- 1905.03959 Identifying Present-Bias from the Timing of Choices
by Paul Heidhues & Philipp Strack
- 1905.03876 Empirical bias and efficiency of alpha-auctions: experimental evidence
by Alexander L. Brown & Rodrigo A. Velez
- 1905.03615 On the Kolkata index as a measure of income inequality
by Suchismita Banerjee & Bikas K. Chakrabarti & Manipushpak Mitra & Suresh Mutuswami
- 1905.03463 The Likelihood of Mixed Hitting Times
by Jaap H. Abbring & Tim Salimans
- 1905.03452 The Implications of Pricing on Social Learning
by Itai Arieli & Moran Koren & Rann Smorodinsky
- 1905.03340 Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance
by St'ephane Bl'emus & Dominique Guegan
- 1905.03339 Privatizaciones, fusiones y adquisiciones: las grandes empresas en M\'exico
by Rigoberto P'erez Ram'irez
- 1905.03338 A Policy Compass for Ecological Economics
by Mich`ele Friend
- 1905.03316 Repo convexity
by Paul McCloud
- 1905.03273 Dependencies and systemic risk in the European insurance sector: Some new evidence based on copula-DCC-GARCH model and selected clustering methods
by Anna Denkowska & Stanis{l}aw Wanat
- 1905.03211 Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena
by C. R. da Cunha & R. da Silva
- 1905.03189 Online reviews can predict long-term returns of individual stocks
by Junran Wu & Ke Xu & Jichang Zhao
- 1905.03108 From Sicilian mafia to Chinese "scam villages"
by Jeff Yan
- 1905.03092 Working women and caste in India: A study of social disadvantage using feature attribution
by Kuhu Joshi & Chaitanya K. Joshi
- 1905.03002 The mitigating role of regulation on the concentric patterns of broadband diffusion. The case of Finland
by Jaume Benseny & Juuso Toyli & Heikki Hammainen & Andr'es Arcia-Moret
- 1905.02956 Economic Performance Through Time: A Dynamical Theory
by Daniel Seligson & Anne McCants
- 1905.02917 Spherical Preferences
by Christopher P. Chambers & Federico Echenique
- 1905.02875 Does Environmental Economics lead to patentable research?
by Xiaojun Hu & Ronald Rousseau & Sandra Rousseau
- 1905.02817 Conditions for stable equilibrium in Cournot duopoly models with tax evasion and time delay
by Raul Villafuerte-Segura & Eduardo Alvarado-Santos & Benjamin A. Itza-Ortiz
- 1905.02810 Decision Making with Machine Learning and ROC Curves
by Kai Feng & Han Hong & Ke Tang & Jingyuan Wang
- 1905.02674 Where does active travel fit within local community narratives of mobility space and place?
by Alec Biehl & Ying Chen & Karla Sanabria-Veaz & David Uttal & Amanda Stathopoulos
- 1905.02650 A class of recursive optimal stopping problems with applications to stock trading
by Katia Colaneri & Tiziano De Angelis
- 1905.02107 Lasso under Multi-way Clustering: Estimation and Post-selection Inference
by Harold D. Chiang & Yuya Sasaki
- 1905.02092 Impact of Artificial Intelligence on Businesses: from Research, Innovation, Market Deployment to Future Shifts in Business Models
by Neha Soni & Enakshi Khular Sharma & Narotam Singh & Amita Kapoor
- 1905.02073 When abstinence increases prevalence
by Sander Heinsalu
- 1905.02061 Estimation of high-dimensional factor models and its application in power data analysis
by Xin Shi & Robert Qiu
- 1905.01894 A Binomial Asset Pricing Model in a Categorical Setting
by Takanori Adachi & Katsushi Nakajima & Yoshihiro Ryu
- 1905.01859 Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
by Martin Brown & Tomasz Zastawniak
- 1905.01805 Computing a Data Dividend
by Eric Bax
- 1905.01798 Non-standard inference for augmented double autoregressive models with null volatility coefficients
by Feiyu Jiang & Dong Li & Ke Zhu
- 1905.01720 Numerical method for model-free pricing of exotic derivatives using rough path signatures
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.01706 Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
by Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee
- 1905.01693 Public goods in networks with constraints on sharing
by Stefanie Gerke & Gregory Gutin & Sung-Ha Hwang & Philip Neary
- 1905.01617 Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study
by Marcel Ausloos & Ali Eskandary & Parmjit Kaur & Gurjeet Dhesi
- 1905.01541 Co-jumping of Treasury Yield Curve Rates
by Jozef Barunik & Pavel Fiser
- 1905.01327 Do Informational Cascades Happen with Non-myopic Agents?
by Ilai Bistritz & Nasimeh Heydaribeni & Achilleas Anastasopoulos
- 1905.01099 PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
by M. C. Calvo-Garrido & S. Diop & A. Pascucci & C. V'azquez
- 1905.01096 A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications
by Grigory Franguridi & Hyungsik Roger Moon
- 1905.01018 Fractal Time Series Analysis of Social Network Activities
by Lyudmyla Kirichenko & Vitalii Bulakh & Tamara Radivilova
- 1905.00853 The Declining Price Anomaly is not Universal in Multi-Buyer Sequential Auctions (but almost is)
by Vishnu V. Narayan & Enguerrand Prebet & Adrian Vetta
- 1905.00744 Sparsity Double Robust Inference of Average Treatment Effects
by Jelena Bradic & Stefan Wager & Yinchu Zhu
- 1905.00728 Optimal execution with rough path signatures
by Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas
- 1905.00711 Nonparametric pricing and hedging of exotic derivatives
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.00556 Data Analytics in Operations Management: A Review
by Velibor V. Miv{s}i'c & Georgia Perakis
- 1905.00545 Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies
by Andr'es Garc'ia Medina & Graciela Gonz'alez-Far'ias
- 1905.00486 Set-valued risk statistics with the time value of money
by Fei Sun & Xiaozhi Fan & Weitao Liu
- 1905.00419 Variational Bayesian Inference for Mixed Logit Models with Unobserved Inter- and Intra-Individual Heterogeneity
by Rico Krueger & Prateek Bansal & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1905.00364 Matching for the Israeli "Mechinot" Gap-Year Programs: Handling Rich Diversity Requirements
by Yannai A. Gonczarowski & Lior Kovalio & Noam Nisan & Assaf Romm
- 1905.00355 Compactification of Extensive Game Structures and Backward Dominance Procedure
by Shuige Liu
- 1905.00238 Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
by Kathrin Glau & Ricardo Pachon & Christian Potz
- 1905.00175 Boosting: Why You Can Use the HP Filter
by Peter C. B. Phillips & Zhentao Shi
- 1905.00107 Statistical Learning for Probability-Constrained Stochastic Optimal Control
by Alessandro Balata & Michael Ludkovski & Aditya Maheshwari & Jan Palczewski
- 1904.13329 Supervised Machine Learning for Eliciting Individual Demand
by John A. Clithero & Jae Joon Lee & Joshua Tasoff
- 1904.13276 Tax Mechanisms and Gradient Flows
by Stefan Steinerberger & Aleh Tsyvinski
- 1904.13257 Risk measures and progressive enlargement of filtration: a BSDE approach
by Alessandro Calvia & Emanuela Rosazza Gianin
- 1904.13194 A Factor-Augmented Markov Switching (FAMS) Model
by Gregor Zens & Maximilian Bock
- 1904.13064 Bessel-like birth-death process
by Vygintas Gontis & Aleksejus Kononovicius
- 1904.12992 Fast Mesh Refinement in Pseudospectral Optimal Control
by N. Koeppen & I. M. Ross & L. C. Wilcox & R. J. Proulx
- 1904.12887 Curriculum Learning in Deep Neural Networks for Financial Forecasting
by Allison Koenecke & Amita Gajewar
- 1904.12834 Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
by Yu Zheng & Yongxin Yang & Bowei Chen
- 1904.12775 Exact Testing of Many Moment Inequalities Against Multiple Violations
by Nick Koning & Paul Bekker
- 1904.12614 Modelling election dynamics and the impact of disinformation
by Dorje C Brody
- 1904.12526 Empirical facts characterizing banking crises: an analysis via binary time series
by Paolo Di Caro & Giuseppe Pernagallo & Antonino Damiano Rossello & Benedetto Torrisi
- 1904.12442 Mean-variance portfolio selection under Volterra Heston model
by Bingyan Han & Hoi Ying Wong
- 1904.12422 Efficiency in Truthful Auctions via a Social Network
by Seiji Takanashi & Takehiro Kawasaki & Taiki Todo & Makoto Yokoo
- 1904.12397 Identification of Key Companies for International Profit Shifting in the Global Ownership Network
by Tembo Nakamoto & Abhijit Chakraborty & Yuichi Ikeda
- 1904.12346 Rough volatility of Bitcoin
by Tetsuya Takaishi
- 1904.12260 Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
by Takuji Arai
- 1904.12134 Regulating AI: do we need new tools?
by Otello Ardovino & Jacopo Arpetti & Marco Delmastro
- 1904.12113 Tail models and the statistical limit of accuracy in risk assessment
by Ingo Hoffmann & Christoph J. Borner
- 1904.12085 The Category of Node-and-Choice Forms, with Subcategories for Choice-Sequence Forms and Choice-Set Forms
by Peter A. Streufert
- 1904.12051 A Multicriteria Decision Making Approach to Study the Barriers to the Adoption of Autonomous Vehicles
by Alok Raj & J Ajith Kumar & Prateek Bansal
- 1904.11911 Optimally stopping at a given distance from the ultimate supremum of a spectrally negative L\'evy process
by M'onica B. Carvajal Pinto & Kees van Schaik
- 1904.11604 A Game Theoretic Setting of Capitation Versus Fee-For-Service Payment Systems
by Allison Koenecke
- 1904.11565 The Black-Scholes Equation in Presence of Arbitrage
by Simone Farinelli & Hideyuki Takada
- 1904.11496 Multiple Benefits through Smart Home Energy Management Solutions -- A Simulation-Based Case Study of a Single-Family House in Algeria and Germany
by Marc Ringel & Roufaida Laidi & Djamel Djenouri
- 1904.11392 Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
by Haoran Wang & Xun Yu Zhou
- 1904.11377 Shared factory: a new production node for social manufacturing in the context of sharing economy
by Pingyu Jiang & Pulin Li
- 1904.11376 Deep Generative Models for Reject Inference in Credit Scoring
by Rogelio A. Mancisidor & Michael Kampffmeyer & Kjersti Aas & Robert Jenssen
- 1904.11252 Risk-neutral pricing for APT
by Laurence Carassus & Miklos Rasonyi
- 1904.11156 Nonparametric Estimation and Inference in Economic and Psychological Experiments
by Raffaello Seri & Samuele Centorrino & Michele Bernasconi
- 1904.11145 Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)
by Ali Habibnia & Esfandiar Maasoumi
- 1904.11143 Identification of Regression Models with a Misclassified and Endogenous Binary Regressor
by Hiroyuki Kasahara & Katsumi Shimotsu
- 1904.11060 Normal Approximation in Large Network Models
by Michael P. Leung & Hyungsik Roger Moon
- 1904.11032 Regulator-based risk statistics with scenario analysis
by Xiaochuan Deng & Fei Sun
- 1904.10744 Observing Actions in Bayesian Games
by Dominik Grafenhofer & Wolfgang Kuhle
- 1904.10625 Optimization of the post-crisis recovery plans in scale-free networks
by Mohammad Bahrami & Narges Chinichian & Ali Hosseiny & Gholamreza Jafari & Marcel Ausloos
- 1904.10554 Deep Q-Learning for Nash Equilibria: Nash-DQN
by Philippe Casgrain & Brian Ning & Sebastian Jaimungal
- 1904.10523 A neural network-based framework for financial model calibration
by Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee
- 1904.10250 Best Portfolio Management Strategies For Synthetic and Real Assets
by Jaros{l}aw Gruszka & Janusz Szwabi'nski
- 1904.10229 Hedging longevity risk in defined contribution pension schemes
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang
- 1904.10182 Copula estimation for nonsynchronous financial data
by Arnab Chakrabarti & Rituparna Sen
- 1904.10063 Optimal valuation of American callable credit default swaps under drawdown of L\'evy insurance risk process
by Zbigniew Palmowski & Budhi Surya
- 1904.09967 Investment in EV charging spots for parking
by Brendan Badia & Randall Berry & Ermin Wei
- 1904.09888 Penney's Game Odds From No-Arbitrage
by Joshua B. Miller
- 1904.09857 ICT Capital-Skill Complementarity and Wage Inequality: Evidence from OECD Countries
by Hiroya Taniguchi & Ken Yamada
- 1904.09799 Prediction Law of Mixed Gaussian Volterra Processes
by Tommi Sottinen & Lauri Viitasaari
- 1904.09586 Limits to green growth and the dynamics of innovation
by Salvador Pueyo
- 1904.09456 Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization
by Birgit Rudloff & Firdevs Ulus
- 1904.09403 On the Evolution of Cryptocurrency Market Efficiency
by Akihiko Noda
- 1904.09379 Horizon-unbiased Investment with Ambiguity
by Qian Lin & Xianming Sun & Chao Zhou
- 1904.09372 Average Density Estimators: Efficiency and Bootstrap Consistency
by Matias D. Cattaneo & Michael Jansson
- 1904.09240 ADOL - Markovian approximation of rough lognormal model
by Peter Carr & Andrey Itkin
- 1904.09214 Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts
by Tarcisio M. Rocha Filho & Paulo M. M. Rocha
- 1904.09165 Location-Sector Analysis of International Profit Shifting on a Multilayer Ownership-Tax Network
by Tembo Nakamoto & Odile Rouhban & Yuichi Ikeda
- 1904.09088 Simulation-based Value-at-Risk for Nonlinear Portfolios
by Junyao Chen & Tony Sit & Hoi Ying Wong
- 1904.08925 The impact of proportional transaction costs on systematically generated portfolios
by Johannes Ruf & Kangjianan Xie
- 1904.08829 Regulator-based risk statistics for portfolios
by Xiaochuan Deng & Fei Sun
- 1904.08780 No-arbitrage with multiple-priors in discrete time
by Romain Blanchard & Laurence Carassus
- 1904.08580 Ridge regularization for Mean Squared Error Reduction in Regression with Weak Instruments
by Karthik Rajkumar
- 1904.08551 Asymptotic Behavior of Bayesian Learners with Misspecified Models
by Ignacio Esponda & Demian Pouzo & Yuichi Yamamoto
- 1904.08522 Sharp Bounds for the Marginal Treatment Effect with Sample Selection
by Vitor Possebom
- 1904.08459 Stock Forecasting using M-Band Wavelet-Based SVR and RNN-LSTMs Models
by Hieu Quang Nguyen & Abdul Hasib Rahimyar & Xiaodi Wang
- 1904.08332 A Generalized Continuous-Multinomial Response Model with a t-distributed Error Kernel
by Subodh Dubey & Prateek Bansal & Ricardo A. Daziano & Erick Guerra
- 1904.08153 A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour
by Th'eophile Griveau-Billion & Ben Calderhead
- 1904.08136 A Pyramid Scheme Model Based on "Consumption Rebate" Frauds
by Yong Shi & Bo Li & Wen Long
- 1904.08131 Averaging plus Learning Models and Their Asymptotics
by Ionel Popescu & Tushar Vaidya
- 1904.08029 Optimal loss-carry-forward taxation for L\'{e}vy risk processes stopped at general draw-down time
by Wenyuan Wang & Zhimin Zhang
- 1904.07987 Can Mobility-on-Demand services do better after discerning reliability preferences of riders?
by Prateek Bansal & Yang Liu & Ricardo Daziano & Samitha Samaranayake
- 1904.07688 P\'olygamma Data Augmentation to address Non-conjugacy in the Bayesian Estimation of Mixed Multinomial Logit Models
by Prateek Bansal & Rico Krueger & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1904.07660 Multiple-interaction kinetic modelling of a virtual-item gambling economy
by Giuseppe Toscani & Andrea Tosin & Mattia Zanella
- 1904.07644 Consumer Privacy and Serial Monopoly
by V. Bhaskar & Nikita Roketskiy
- 1904.07583 Clearing price distributions in call auctions
by M. Derksen & B. Kleijn & R. de Vilder
- 1904.07456 Optimal mechanism for the sale of a durable good
by Laura Doval & Vasiliki Skreta
- 1904.07444 Equilibria in a large production economy with an infinite dimensional commodity space and price dependent preferences
by Hyo Seok Jang & Sangjik Lee
- 1904.07226 From multi-dimensional black scholes to Hamilton jacobi
by Muhammad Naqeeb & Amjad hussain
- 1904.07111 On the construction of confidence intervals for ratios of expectations
by Alexis Derumigny & Lucas Girard & Yannick Guyonvarch
- 1904.07103 Subgeometric ergodicity and $\beta$-mixing
by Mika Meitz & Pentti Saikkonen
- 1904.07089 Subgeometrically ergodic autoregressions
by Mika Meitz & Pentti Saikkonen
- 1904.06843 Estimation of Cross-Sectional Dependence in Large Panels
by Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang
- 1904.06824 Tail probabilities of random linear functions of regularly varying random vectors
by Bikramjit Das & Vicky Fasen-Hartmann & Claudia Kluppelberg
- 1904.06757 Price Setting on a Network
by Toomas Hinnosaar
- 1904.06742 Peer Effects in Random Consideration Sets
by Nail Kashaev & Natalia Lazzati
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