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Content
2019
2018
- 1901.10556 Possibilistic investment models with background risk
by Irina Georgescu
- 1901.10552 Stochastic Estimated Risk for Storage Capacity
by Revathi Anil Kumar & Mark Chamness
- 1901.10544 Quantum Brownian oscillator for the stock market
by Jasmina Jekni'c-Dugi'c & Sonja Radi' c & Igor Petrovi'c & Momir Arsenijevi'c & Miroljub Dugi'c
- 1901.10534 Investigating Limit Order Book Characteristics for Short Term Price Prediction: a Machine Learning Approach
by Faisal I Qureshi
- 1901.05070 An Inattention Model for Traveler Behavior with e-Coupons
by Han Qiu
- 1901.02391 Modeling tax distribution in metropolitan regions with PolicySpace
by Bernardo Alves Furtado
- 1901.00814 Elementary Microeconomics of the Talmudic Rule
by Anton Salikhmetov
- 1901.00419 Selection and the Distribution of Female Hourly Wages in the U.S
by Iv'an Fern'andez-Val & Franco Peracchi & Aico van Vuuren & Francis Vella
- 1812.11896 Approximately Optimal Mechanism Design
by Tim Roughgarden & Inbal Talgam-Cohen
- 1812.11824 Schr\"{o}dinger type equation for subjective identification of supply and demand
by Marcin Makowski & Edward W. Piotrowski & Jan S{l}adkowski
- 1812.11775 Learning and Selfconfirming Equilibria in Network Games
by Pierpaolo Battigalli & Fabrizio Panebianco & Paolo Pin
- 1812.11669 Optimal Insurance with Limited Commitment in a Finite Horizon
by Junkee Jeon & Hyeng Keun Koo & Kyunghyun Park
- 1812.11598 Salvaging Falsified Instrumental Variable Models
by Matthew A. Masten & Alexandre Poirier
- 1812.11488 E-commerce in Hungary: A Market Analysis
by Szabolcs Nagy
- 1812.11420 Selling Wind
by Ali Kakhbod & Asuman Ozdaglar & Ian Schneider
- 1812.11417 Thought Viruses and Asset Prices
by Wolfgang Kuhle
- 1812.11336 The gruesome murder of Jamal Khashoggi : Saudi Arabia's new economy dream at risk ?
by Jamal Bouoiyour & Refk Selmi
- 1812.11297 Interdistrict School Choice: A Theory of Student Assignment
by Isa E. Hafalir & Fuhito Kojima & M. Bumin Yenmez
- 1812.11246 Dynamic Models with Robust Decision Makers: Identification and Estimation
by Timothy M. Christensen
- 1812.11226 Fast Training Algorithms for Deep Convolutional Fuzzy Systems with Application to Stock Index Prediction
by Li-Xin Wang
- 1812.11201 The robust superreplication problem: a dynamic approach
by Laurence Carassus & Jan Obloj & Johannes Wiesel
- 1812.11067 Predicting "Design Gaps" in the Market: Deep Consumer Choice Models under Probabilistic Design Constraints
by Alex Burnap & John Hauser
- 1812.10925 Decentralization Estimators for Instrumental Variable Quantile Regression Models
by Hiroaki Kaido & Kaspar Wuthrich
- 1812.10876 Efficient hedging under ambiguity in continuous time
by Ludovic Tangpi
- 1812.10846 Semiparametric Difference-in-Differences with Potentially Many Control Variables
by Neng-Chieh Chang
- 1812.10820 A $t$-test for synthetic controls
by Victor Chernozhukov & Kaspar Wuthrich & Yinchu Zhu
- 1812.10752 How to avoid the zero-power trap in testing for correlation
by David Preinerstorfer
- 1812.10619 Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning
by Reaz Chowdhury & M. R. C. Mahdy & Tanisha Nourin Alam & Golam Dastegir Al Quaderi
- 1812.10479 Multimodal deep learning for short-term stock volatility prediction
by Marcelo Sardelich & Suresh Manandhar
- 1812.10326 Equivalent Choice Functions and Stable Mechanisms
by Jan Christoph Schlegel
- 1812.10293 Cartel Stability under Quality Differentiation
by Iwan Bos & Marco Marini
- 1812.10252 Optimizing Market Making using Multi-Agent Reinforcement Learning
by Yagna Patel
- 1812.10183 Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
by Babak Mahdavi-Damghani & Konul Mustafayeva & Stephen Roberts & Cristin Buescu
- 1812.10108 Revisiting Transformation and Directional Technology Distance Functions
by Yaryna Kolomiytseva
- 1812.10038 Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting
by Kyoung Jin Choi & Junkee Jeon & Hyeng Keun Koo
- 1812.09904 A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
by Olesya Grishchenko & Xiao Han & Victor Nistor
- 1812.09637 Characterization of the Ito Integral
by Lars Tyge Nielsen
- 1812.09619 Random Utility and Limited Consideration
by Victor H. Aguiar & Maria Jose Boccardi & Nail Kashaev & Jeongbin Kim
- 1812.09518 Robust Tests for Convergence Clubs
by Luisa Corrado & Melvyn Weeks & Thanasis Stengos & M. Ege Yazgan
- 1812.09487 Modified Causal Forests for Estimating Heterogeneous Causal Effects
by Michael Lechner
- 1812.09452 The Price of BitCoin: GARCH Evidence from High Frequency Data
by Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova
- 1812.09408 Functional Sequential Treatment Allocation
by Anders Bredahl Kock & David Preinerstorfer & Bezirgen Veliyev
- 1812.09407 An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
by Lucia Cipolina-Kun & Ignacio Ruiz & Mariano Zero-Medina Laris
- 1812.09397 Many Average Partial Effects: with An Application to Text Regression
by Harold D. Chiang
- 1812.09393 Population Growth and Economic Development in Bangladesh: Revisited Malthus
by Md Niaz Murshed Chowdhury & Md. Mobarak Hossain
- 1812.09385 Poverty, Income Inequality and Growth in Bangladesh: Revisited Karl-Marx
by Md Niaz Murshed Chowdhury & Md Mobarak Hossain
- 1812.09302 Growth, Industrial Externality, Prospect Dynamics, and Well-being on Markets
by Emmanuel Chauvet
- 1812.09234 A Primal-dual Learning Algorithm for Personalized Dynamic Pricing with an Inventory Constraint
by Ningyuan Chen & Guillermo Gallego
- 1812.09149 Multivariate Fractional Components Analysis
by Tobias Hartl & Roland Weigand
- 1812.09142 Approximate State Space Modelling of Unobserved Fractional Components
by Tobias Hartl & Roland Weigand
- 1812.09081 Econometric modelling and forecasting of intraday electricity prices
by Micha{l} Narajewski & Florian Ziel
- 1812.09067 How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades
by Stephan Grimm & Thomas Guhr
- 1812.08913 Internal migration and education: A cross-national comparison
by Aude Bernard & Martin Bell
- 1812.08548 Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017
by Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek
- 1812.08533 Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model
by Christian Bayer & Chiheb Ben Hammouda & Raul Tempone
- 1812.08486 Affine Rough Models
by Martin Keller-Ressel & Martin Larsson & Sergio Pulido
- 1812.08435 An optimization approach to adaptive multi-dimensional capital management
by G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands
- 1812.08343 Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios
by Hossein Nadeb & Hamzeh Torabi & Ali Dolati
- 1812.08099 Estimating biomass migration parameters by analyzing the spatial behavior of the fishing fleet
by Hugo Salgado & Ariel Soto-Caro
- 1812.08091 Social security and labor absenteeism in a regional health service
by Ariel Soto Caro & Roberto Herrera Cofre & Rodrigo Fuentes Solis
- 1812.07961 Geobiodynamics and Roegenian Economic Systems
by Constantin Udriste & Massimiliano Ferrara & Dorel Zugravescu & Florin Munteanu & Ionel Tevy
- 1812.07960 Economic Cycles of Carnot Type
by Constantin Udriste & Vladimir Golubyatnikov & Ionel Tevy
- 1812.07959 Phase Diagram for Roegenian Economics
by Constantin Udriste & Massimiliano Ferrara & Ionel Tevy & Dorel Zugravescu & Florin Munteanu
- 1812.07827 Spreading of an infectious disease between different locations
by Alessio Muscillo & Paolo Pin & Tiziano Razzolini
- 1812.07803 Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
by Kaustav Das & Nicolas Langren'e
- 1812.07645 Network effects in default clustering for large systems
by Konstantinos Spiliopoulos & Jia Yang
- 1812.07635 Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm
by Mostafa Zandieh & Seyed Omid Mohaddesi
- 1812.07529 On pricing rules and optimal strategies in general Kyle-Back models
by Umut c{C}etin & Albina Danilova
- 1812.07415 Change of Measure in Midcurve Pricing
by K. E. Feldman
- 1812.07414 Causality: a decision theoretic approach
by Pablo Schenone
- 1812.07369 Emergence of stylized facts during the opening of stock markets
by Sebastian M. Krause & Jonas A. Fiegen & Thomas Guhr
- 1812.07318 Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
by Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a
- 1812.07295 A new time-varying model for forecasting long-memory series
by Luisa Bisaglia & Matteo Grigoletto
- 1812.07048 Double Majority and Generalized Brexit: Explaining Counterintuitive Results
by Werner Kirsch & Wojciech S{l}omczy'nski & Dariusz Stolicki & Karol .Zyczkowski
- 1812.06975 The risk of contagion spreading and its optimal control in the economy
by Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres
- 1812.06973 Systemic risk governance in a dynamical model of a banking system
by Lorella Fatone & Francesca Mariani
- 1812.06967 Optimal Dynamic Allocation of Attention
by Yeon-Koo Che & Konrad Mierendorff
- 1812.06694 How the network properties of shareholders vary with investor type and country
by Qing Yao & Tim Evans & Kim Christensen
- 1812.06679 Real-Time Carbon Accounting Method for the European Electricity Markets
by Bo Tranberg & Olivier Corradi & Bruno Lajoie & Thomas Gibon & Iain Staffell & Gorm Bruun Andresen
- 1812.06600 Double Deep Q-Learning for Optimal Execution
by Brian Ning & Franco Ho Ting Lin & Sebastian Jaimungal
- 1812.06537 Fuzzy Difference-in-Discontinuities: Identification Theory and Application to the Affordable Care Act
by Hector Galindo-Silva & Nibene Habib Some & Guy Tchuente
- 1812.06533 What Is the Value Added by Using Causal Machine Learning Methods in a Welfare Experiment Evaluation?
by Anthony Strittmatter
- 1812.06185 Systemic risk measures with markets volatility
by Fei Sun & Yijun Hu
- 1812.06175 Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting
by Yaodong Yang & Alisa Kolesnikova & Stefan Lessmann & Tiejun Ma & Ming-Chien Sung & Johnnie E. V. Johnson
- 1812.06166 Ordering the smallest claim amounts from two sets of interdependent heterogeneous portfolios
by Hossein Nadeb & Hamzeh Torabi & Ali Dolati
- 1812.06000 The Rank Effect
by Ricardo T. Fernholz & Christoffer Koch
- 1812.05916 Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
by Achref Bachouch & C^ome Hur'e & Nicolas Langren'e & Huyen Pham
- 1812.05893 Stochastic derivative estimation for max-stable random fields
by Erwan Koch & Christian Y. Robert
- 1812.05859 Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives
by Andrew Papanicolaou
- 1812.05748 Dynamic Programming with Recursive Preferences: Optimality and Applications
by Guanlong Ren & John Stachurski
- 1812.05657 Selection mechanisms affect volatility in evolving markets
by David Rushing Dewhurst & Michael Vincent Arnold & Colin Michael Van Oort
- 1812.05315 Calibrating rough volatility models: a convolutional neural network approach
by Henry Stone
- 1812.05093 Apropiaci\'on privada de renta de recursos naturales? El caso del cobre en Chile
by Benjam'in Leiva
- 1812.05091 A theoretical framework to consider energy transfers within growth theory
by Benjamin Leiva & Octavio Ramirez & John R. Schramski
- 1812.04827 Weak comonotonicity
by Ruodu Wang & Ricardas Zitikis
- 1812.04603 Game-Theoretic Optimal Portfolios for Jump Diffusions
by Alex Garivaltis
- 1812.04528 Deep Neural Networks for Choice Analysis: Extracting Complete Economic Information for Interpretation
by Shenhao Wang & Qingyi Wang & Jinhua Zhao
- 1812.04486 Trade Selection with Supervised Learning and OCA
by David Saltiel & Eric Benhamou
- 1812.04354 Monetary Measures of Risk
by Andreas H Hamel
- 1812.04345 Closing the U.S. gender wage gap requires understanding its heterogeneity
by Philipp Bach & Victor Chernozhukov & Martin Spindler
- 1812.04272 A Numerical Analysis of the Modified Kirk's Formula and Applications to Spread Option Pricing Approximations a numerical analysis of the modified kirk's formula and applications to spread option pricing approximations
by Suren Harutyunyan & Adri`A Masip Borr`As
- 1812.04211 The Cost of Information: The Case of Constant Marginal Costs
by Luciano Pomatto & Philipp Strack & Omer Tamuz
- 1812.04184 Influence of High-Speed Railway System on Inter-city Travel Behavior in Vietnam
by Tho V. Le & Junyi Zhang & Makoto Chikaraishi & Akimasa Fujiwara
- 1812.03771 Shattering the glass ceiling? How the institutional context mitigates the gender gap in entrepreneurship
by Christopher J. Boudreaux & Boris Nikolaev
- 1812.03566 Mutual Conversion Between Preference Maps And Cook-Seiford Vectors
by Fujun Hou
- 1812.03534 Machine-learned patterns suggest that diversification drives economic development
by Charles D. Brummitt & Andres Gomez-Lievano & Ricardo Hausmann & Matthew H. Bonds
- 1812.03526 Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
by Ivan Guo & Gregoire Loeper
- 1812.03475 A supreme test for periodic explosive GARCH
by Stefan Richter & Weining Wang & Wei Biao Wu
- 1812.03453 Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift
by Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich
- 1812.02993 Optimal Dynamic Auctions are Virtual Welfare Maximizers
by Vahab Mirrokni & Renato Paes Leme & Pingzhong Tang & Song Zuo
- 1812.02842 Estimating the drivers of urban economic complexity and their connection to economic performance
by Andres Gomez-Lievano & Oscar Patterson-Lomba
- 1812.02726 Simulation of Stylized Facts in Agent-Based Computational Economic Market Models
by Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn
- 1812.02527 Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy
by Sonam Srivastava & Ritabratta Bhattacharya
- 1812.02433 Using published bid/ask curves to error dress spot electricity price forecasts
by Gunnhildur H. Steinbakk & Alex Lenkoski & Ragnar Bang Huseby & Anders L{o}land & Tor Arne {O}ig{aa}rd
- 1812.02371 Quantification of market efficiency based on informational-entropy
by Roland Rothenstein
- 1812.02340 Continual Learning Augmented Investment Decisions
by Daniel Philps & Tillman Weyde & Artur d'Avila Garcez & Roy Batchelor
- 1812.02337 Improved Inference on the Rank of a Matrix
by Qihui Chen & Zheng Fang
- 1812.02311 In (Stochastic) Search of a Fairer Alife
by Dmitriy Volinskiy & Lana Cuthbertson & Omid Ardakanian
- 1812.02298 General Compound Hawkes Processes in Limit Order Books
by Anatoliy Swishchuk & Aiden Huffman
- 1812.02276 Identifying the Effect of Persuasion
by Sung Jae Jun & Sokbae Lee
- 1812.01914 The Alpha-Heston Stochastic Volatility Model
by Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou
- 1812.01723 Doubly Robust Difference-in-Differences Estimators
by Pedro H. C. Sant'Anna & Jun B. Zhao
- 1812.01707 On dynamics of wage-price spiral and stagflation in some model economic systems
by Afifa Alintissar & Abdelkader Intissar & Jean-karim Intissar
- 1812.01412 Necessary and Probably Sufficient Test for Finding Valid Instrumental Variables
by Amit Sharma
- 1812.01400 Column Generation Algorithms for Nonparametric Analysis of Random Utility Models
by Bart Smeulders
- 1812.01341 Modelling China's Credit System with Complex Network Theory for Systematic Credit Risk Control
by Xuan Lu & Li Huang & Kangjuan Lyu
- 1812.01320 The Income Fluctuation Problem with Capital Income Risk: Optimality and Stability
by Qingyin Ma & John Stachurski & Alexis Akira Toda
- 1812.01270 An Optimal Extraction Problem with Price Impact
by Giorgio Ferrari & Torben Koch
- 1812.01103 Predicting future stock market structure by combining social and financial network information
by Th'arsis T. P. Souza & Tomaso Aste
- 1812.01102 Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
by Greg Kirczenow & Masoud Hashemi & Ali Fathi & Matt Davison
- 1812.00849 Strategically Simple Mechanisms
by Tilman Borgers & Jiangtao Li
- 1812.00839 PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation
by Will Hicks
- 1812.00773 Effects of forecast errors on optimal utilisation in aggregate production planning with stochastic customer demand
by Klaus Altendorfer & Thomas Felberbauer & Herbert Jodlbauer
- 1812.00595 Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
by Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt
- 1812.00501 Optimal Resource Allocation over Networks via Lottery-Based Mechanisms
by Soham R. Phade & Venkat Anantharam
- 1812.00383 Ordeal Mechanisms, Information, and the Cost-Effectiveness of Subsidies: Evidence from Subsidized Eyeglasses in Rural China
by Sean Sylvia & Xiaochen Ma & Yaojiang Shi & Scott Rozelle & C. -Y. Cynthia Lin Lawell
- 1812.00093 Using Column Generation to Solve Extensions to the Markowitz Model
by Lorenz M. Roebers & Aras Selvi & Juan C. Vera
- 1812.00032 On the K\"ahler Geometry of Certain Optimal Transport Problems
by Gabriel Khan & Jun Zhang
- 1811.12516 Fair Odds for Noisy Probabilities
by Ulrik W. Nash
- 1811.12502 Why are prices proportional to embodied energies?
by Benjamin Leiva
- 1811.12491 Survival investment strategies in a continuous-time market model with competition
by Mikhail Zhitlukhin
- 1811.12356 Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime
by Sean Ledger & Andreas Sojmark
- 1811.11664 Dynamic Competitive Persuasion
by Mark Whitmeyer
- 1811.11621 Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
by Christoph Kuhn & Alexander Molitor
- 1811.11618 Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets
by Eric Benhamou
- 1811.11603 Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK
by Victor Chernozhukov & Iv'an Fern'andez-Val & Siyi Luo
- 1811.11557 A Residual Bootstrap for Conditional Expected Shortfall
by Alexander Heinemann & Sean Telg
- 1811.11512 Simple Local Polynomial Density Estimators
by Matias D. Cattaneo & Michael Jansson & Xinwei Ma
- 1811.11476 Modelling Social Evolutionary Processes and Peer Effects in Agricultural Trade Networks: the Rubber Value Chain in Indonesia
by Thomas Kopp & Jan Salecker
- 1811.11379 Option Pricing in a Regime Switching Jump Diffusion Model
by Anindya Goswami & Omkar Manjarekar & Anjana R
- 1811.11326 Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling
by Moshe A. Milevsky
- 1811.11301 Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
by Matthew Norton & Valentyn Khokhlov & Stan Uryasev
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