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Content
2018
- 1805.11981 A New Model for Pricing Collateralized Financial Derivatives
by Tim Xiao
- 1805.11954 Long Short-Term Memory Networks for CSI300 Volatility Prediction with Baidu Search Volume
by Yu-Long Zhou & Ren-Jie Han & Qian Xu & Wei-Ke Zhang
- 1805.11932 How do public research labs use funding for research? A case study
by Mario Coccia
- 1805.11909 Quantitative approach to multifractality induced by correlations and broad distribution of data
by Rafal Rak & Dariusz Grech
- 1805.11844 Mortality/longevity Risk-Minimization with or without securitization
by Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele
- 1805.11804 A Markov Chain Model for the Cure Rate of Non-Performing Loans
by Vilislav Boutchaktchiev
- 1805.11562 Justifying the Adoption and Relevance of Inflation Targeting Framework: A Time-Varying Evidence from Ghana
by Nana Kwame Akosah & Francis W. Loloh & Maurice Omane-Adjepong
- 1805.11503 Estimation and Inference for Policy Relevant Treatment Effects
by Yuya Sasaki & Takuya Ura
- 1805.11317 Neural networks for stock price prediction
by Yue-Gang Song & Yu-Long Zhou & Ren-Jie Han
- 1805.11311 Stationarity and ergodicity of vector STAR models
by Igor L. Kheifets & Pentti J. Saikkonen
- 1805.11138 Modeling the residential electricity consumption within a restructured power market
by Chelsea Sun
- 1805.11036 A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality
by Torsten Trimborn
- 1805.10869 Tilting Approximate Models
by Andreas Tryphonides
- 1805.10822 Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
by Michael Pfarrhofer & Philipp Piribauer
- 1805.10300 A Double Machine Learning Approach to Estimate the Effects of Musical Practice on Student's Skills
by Michael C. Knaus
- 1805.10128 Cryptocurrency Equilibria Through Game Theoretic Optimization
by Carey Caginalp & Gunduz Caginalp
- 1805.09996 Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
by Michele Leonardo Bianchi
- 1805.09937 Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
by Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron
- 1805.09763 A self-organized criticality participative pricing mechanism for selling zero-marginal cost products
by Daniel Fraiman
- 1805.09686 Forecasting the sustainable status of the labor market in agriculture
by O. A. Malafeyev & V. E. Onishenko & I. V. Zaytseva
- 1805.09427 General multilevel Monte Carlo methods for pricing discretely monitored Asian options
by Nabil Kahale
- 1805.09397 Identification in Nonparametric Models for Dynamic Treatment Effects
by Sukjin Han
- 1805.09068 Optimal investment for participating insurance contracts under VaR-Regulation
by Thai Nguyen & Mitja Stadje
- 1805.09014 Concentration of dynamic risk measures in a Brownian filtration
by Ludovic Tangpi
- 1805.08991 Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing
by R. Scott Hacker & Abdulnasser Hatemi-J
- 1805.08883 Sensitivity of Regular Estimators
by Yaroslav Mukhin
- 1805.08758 Complexity of Stability in Trading Networks
by Tam'as Fleiner & Zsuzsanna Jank'o & Ildik'o Schlotter & Alexander Teytelboym
- 1805.08653 Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures
by Richard Gerlach & Chao Wang
- 1805.08550 Anticipating cryptocurrency prices using machine learning
by Laura Alessandretti & Abeer ElBahrawy & Luca Maria Aiello & Andrea Baronchelli
- 1805.08544 Impact of Contingent Payments on Systemic Risk in Financial Networks
by Tathagata Banerjee & Zachary Feinstein
- 1805.08454 Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach
by James Paulin & Anisoara Calinescu & Michael Wooldridge
- 1805.08275 Multiple Treatments with Strategic Interaction
by Jorge Balat & Sukjin Han
- 1805.07642 On testing substitutability
by Cosmina Croitoru & Kurt Mehlhorn
- 1805.07610 Bitcoin price and its marginal cost of production: support for a fundamental value
by Adam Hayes
- 1805.07532 Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
by Yu-Jui Huang & Saeed Khalili
- 1805.07478 Algorithmic Trading with Fitted Q Iteration and Heston Model
by Son Le
- 1805.07403 Asset Price Bubbles: An Option-based Indicator
by Petteri Piiroinen & Lassi Roininen & Tobias Schoden & Martin Simon
- 1805.07194 Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
by Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani
- 1805.07134 No-arbitrage implies power-law market impact and rough volatility
by Paul Jusselin & Mathieu Rosenbaum
- 1805.06929 A new $\kappa$-deformed parametric model for the size distribution of wealth
by Adams Vallejos & Ignacio Ormazabal & Felix A. Borotto & Hernan F. Astudillo
- 1805.06855 Learning non-smooth models: instrumental variable quantile regressions and related problems
by Yinchu Zhu
- 1805.06829 Multi-layered Network Structure: Relationship Between Financial and Macroeconomic Dynamics
by Kiran Sharma & Anindya S. Chakrabarti & Anirban Chakraborti
- 1805.06687 Happy family of stable marriages
by Gershon Wolansky
- 1805.06682 Analyzing order flows in limit order books with ratios of Cox-type intensities
by Ioane Muni Toke & Nakahiro Yoshida
- 1805.06649 Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
by Florian Ziel & Rafal Weron
- 1805.06632 Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions
by William B. Haskell & Wenjie Huang & Huifu Xu
- 1805.06498 Utility maximization with proportional transaction costs under model uncertainty
by Shuoqing Deng & Xiaolu Tan & Xiang Yu
- 1805.06345 Which portfolio is better? A discussion of several possible comparison criteria
by Henryk Gzyl & Alfredo Rios
- 1805.06339 Data-Driven Investment Decision-Making: Applying Moore's Law and S-Curves to Business Strategies
by Christopher L. Benson & Christopher L. Magee
- 1805.06226 Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
by Ben-zhang Yang & Jia Yue & Ming-hui Wang & Nan-jing Huang
- 1805.06129 Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis
by Yoshiaki Nakada
- 1805.06126 Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
by Igor Halperin & Ilya Feldshteyn
- 1805.06080 Can Insider Trading Be Committed Without Trading?
by Russell Stanley Q. Geronimo
- 1805.05617 Aggregating multiple types of complex data in stock market prediction: A model-independent framework
by Huiwen Wang & Shan Lu & Jichang Zhao
- 1805.05606 Nonparametric Bayesian volatility learning under microstructure noise
by Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij
- 1805.05584 Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
by Michele Leonardo Bianchi & Gian Luca Tassinari
- 1805.05465 Rethinking value creation from the resource based view: the case of human capital in moroccan hotels
by Youssef Ifleh & Mohamed Lotfi & Mounime Elkabbouri
- 1805.05327 'Bosons' and 'fermions' in social and economic systems
by Sergey A. Rashkovskiy
- 1805.05259 The strong Fatou property of risk measures
by Shengzhong Chen & Niushan Gao & Foivos Xanthos
- 1805.05077 Discrete dividend payments in continuous time
by Jussi Keppo & Max Reppen & H. Mete Soner
- 1805.05067 The Finite Sample Performance of Treatment Effects Estimators based on the Lasso
by Michael Zimmert
- 1805.04898 Net gains in evolutionary dynamics: A unifying and intuitive approach to dynamic stability
by Dai Zusai
- 1805.04897 Evolutionary dynamics in heterogeneous populations: a general framework for an arbitrary type distribution
by Dai Zusai
- 1805.04895 Distributional stability and deterministic equilibrium selection under heterogeneous evolutionary dynamics
by Dai Zusai
- 1805.04750 Multifractal analysis of financial markets
by Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou & Didier Sornette
- 1805.04733 A Dynamic Analysis of Nash Equilibria in Search Models with Fiat Money
by Federico Bonetto & Maurizio Iacopetta
- 1805.04728 Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market
by Wonse Kim & Sungjae Jun
- 1805.04704 The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
by Daniel Guterding & Wolfram Boenkost
- 1805.04698 Bitcoin Risk Modeling with Blockchain Graphs
by Cuneyt Akcora & Matthew Dixon & Yulia Gel & Murat Kantarcioglu
- 1805.04535 Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
by Levon Avanesyan & Mykhaylo Shkolnikov & Ronnie Sircar
- 1805.04460 Network-based indicators of Bitcoin bubbles
by Alexandre Bovet & Carlo Campajola & Jorge F. Lazo & Francesco Mottes & Iacopo Pozzana & Valerio Restocchi & Pietro Saggese & Nicol'o Vallarano & Tiziano Squartini & Claudio J. Tessone
- 1805.04325 Network Sensitivity of Systemic Risk
by Amanah Ramadiah & Domenico Di Gangi & D. Ruggiero Lo Sardo & Valentina Macchiati & Tuan Pham Minh & Francesco Pinotti & Mateusz Wilinski & Paolo Barucca & Giulio Cimini
- 1805.04225 Efficiency in Micro-Behaviors and FL Bias
by Kurihara Kazutaka & Yohei Tutiya
- 1805.04178 Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
by Laura Liu
- 1805.04160 News Sentiment as Leading Indicators for Recessions
by Melody Y. Huang & Randall R. Rojas & Patrick D. Convery
- 1805.04048 Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models
by Victor Aguirregabiria & Jiaying Gu & Yao Luo
- 1805.04010 A mixture autoregressive model based on Student's $t$-distribution
by Mika Meitz & Daniel Preve & Pentti Saikkonen
- 1805.03980 Total, asymmetric and frequency connectedness between oil and forex markets
by Jozef Barun'ik & Evv{z}en Kov{c}enda
- 1805.03890 Improving Value-at-Risk prediction under model uncertainty
by Shige Peng & Shuzhen Yang & Jianfeng Yao
- 1805.03807 Structural Breaks in Time Series
by Alessandro Casini & Pierre Perron
- 1805.03492 The laws of the evolution of research fields
by Mario Coccia
- 1805.03347 Future exchange rates and Siegel's paradox
by Keivan Mallahi-Karai & Pedram Safari
- 1805.03308 Investor Reaction to Financial Disclosures Across Topics: An Application of Latent Dirichlet Allocation
by Stefan Feuerriegel & Nicolas Prollochs
- 1805.03275 Optimal Linear Instrumental Variables Approximations
by Juan Carlos Escanciano & Wei Li
- 1805.03172 Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
by Jaehyuk Choi
- 1805.03143 A Dynamical Systems Approach to Cryptocurrency Stability
by Carey Caginalp
- 1805.02909 Analysis of the optimal exercise boundary of American put options with delivery lags
by Gechun Liang & Zhou Yang
- 1805.02741 Optimal make-take fees for market making regulation
by Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi
- 1805.02605 Multiple curve L\'evy forward price model allowing for negative interest rates
by Ernst Eberlein & Christoph Gerhart & Zorana Grbac
- 1805.01118 Portfolio Optimization with Delay Factor Models
by Shuenn-Jyi Sheu & Li-Hsien Sun & Zheng Zhang
- 1805.01019 When a `rat race' implies an intergenerational wealth trap
by Joel Nishimura
- 1805.00898 Chebyshev Methods for Ultra-efficient Risk Calculations
by Mariano Zeron Medina Laris & Ignacio Ruiz
- 1805.00896 Data-based Automatic Discretization of Nonparametric Distributions
by Alexis Akira Toda
- 1805.00875 Chain effects of clean water: The Mills-Reincke phenomenon in early twentieth-century Japan
by Tatsuki Inoue & Kota Ogasawara
- 1805.00792 Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
by Foad Shokrollahi
- 1805.00785 When panic makes you blind: a chaotic route to systemic risk
by Piero Mazzarisi & Fabrizio Lillo & Stefano Marmi
- 1805.00668 Endogenous growth - A dynamic technology augmentation of the Solow model
by Murad Kasim
- 1805.00558 Sentiment-Based Prediction of Alternative Cryptocurrency Price Fluctuations Using Gradient Boosting Tree Model
by Tianyu Ray Li & Anup S. Chamrajnagar & Xander R. Fong & Nicholas R. Rizik & Feng Fu
- 1805.00435 Aide et Croissance dans les pays de l'Union Economique et Mon{\'e}taire Ouest Africaine (UEMOA) : retour sur une relation controvers{\'e}e
by Nimonka Bayale
- 1805.00387 Agents' beliefs and economic regimes polarization in interacting markets
by Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu
- 1805.00268 Quantifying macroeconomic expectations in stock markets using Google Trends
by Johannes Bock
- 1805.00205 Robust Log-Optimal Strategy with Reinforcement Learning
by Yifeng Guo & Xingyu Fu & Yuyan Shi & Mingwen Liu
- 1805.00057 Identifying Effects of Multivalued Treatments
by Sokbae Lee & Bernard Salani'e
- 1804.10957 Interpreting Quantile Independence
by Matthew A. Masten & Alexandre Poirier
- 1804.10869 Application of Probabilistic Graphical Models in Forecasting Crude Oil Price
by Danish A. Alvi
- 1804.10753 Arbitrage-free pricing of American options in nonlinear markets
by Edward Kim & Tianyang Nie & Marek Rutkowski
- 1804.10264 Nonlinearity in stock networks
by David Hartman & Jaroslav Hlinka
- 1804.09866 New HSIC-based tests for independence between two stationary multivariate time series
by Guochang Wang & Wai Keung Li & Ke Zhu
- 1804.09752 On the complexity of solving a decision problem with flow-depending costs: the case of the IJsselmeer dikes
by Aida Abiad & Sander Gribling & Domenico Lahaye & Matthias Mnich & Guus Regts & Lluis Vena & Gerard Verweij & Peter Zwaneveld
- 1804.09565 Co-impact: Crowding effects in institutional trading activity
by Fr'ed'eric Bucci & Iacopo Mastromatteo & Zolt'an Eisler & Fabrizio Lillo & Jean-Philippe Bouchaud & Charles-Albert Lehalle
- 1804.09550 Critical analysis of human progress: Its negative and positive sides in the late-capitalism
by Mario Coccia & Matteo Bellitto
- 1804.09532 Chocs technologiques, chocs des prix et fluctuations du ch\^omage en R\'epublique D\'emocratique du Congo
by Antoine Kamiantako Miyamueni & Henry Ngongo Muganza
- 1804.09314 Deep Learning for Predicting Asset Returns
by Guanhao Feng & Jingyu He & Nicholas G. Polson
- 1804.09302 Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions
by Miao Yuan & Cheng Yong Tang & Yili Hong & Jian Yang
- 1804.09284 Economic inequality and Islamic Charity: An exploratory agent-based modeling approach
by Hossein Sabzian & Alireza Aliahmadi & Adel Azar & Madjid Mirzaee
- 1804.09253 DeepTriangle: A Deep Learning Approach to Loss Reserving
by Kevin Kuo
- 1804.09151 Optimal Investment, Demand and Arbitrage under Price Impact
by Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos
- 1804.09056 Emerging Market Corporate Bonds as First-to-Default Baskets
by Richard Martin & Yao Ma
- 1804.09043 Compact finite difference method for pricing European and American options under jump-diffusion models
by Kuldip Singh Patel & Mani Mehra
- 1804.08904 Closed-form approximations in derivatives pricing: The Kristensen-Mele approach
by Michael Kurz
- 1804.08472 High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
by Liao Zhu & Sumanta Basu & Robert A. Jarrow & Martin T. Wells
- 1804.08442 Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
by Adriana Ocejo
- 1804.08315 Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
- 1804.08218 Econometric Modeling of Regional Electricity Spot Prices in the Australian Market
by Michael Stanley Smith & Thomas S. Shively
- 1804.08153 Price Competition with Geometric Brownian motion in Exchange Rate Uncertainty
by Murat Erkoc & Huaqing Wang & Anas Ahmed
- 1804.08021 Planetary boundaries of consumption growth: Declining social discount rates
by Victor E. Gluzberg & Yuri A. Katz
- 1804.07997 Valuation of contingent convertible catastrophe bonds - the case for equity conversion
by Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski
- 1804.07986 Empirical Equilibrium
by Rodrigo A. Velez & Alexander L. Brown
- 1804.07978 Conditional heteroskedasticity in crypto-asset returns
by Charles Shaw
- 1804.07852 Analytical Path-Integral Pricing of Moving-Barrier Options under non-Gaussian Distributions
by Andre Catalao & Rogerio Rosenfeld
- 1804.07556 Affine processes beyond stochastic continuity
by Martin Keller-Ressel & Thorsten Schmidt & Robert Wardenga
- 1804.07534 Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models
by Kuldip Singh Patel & Mani Mehra
- 1804.07392 Optimal investment with transient price impact
by Peter Bank & Moritz Vo{ss}
- 1804.07384 Classes of elementary function solutions to the CEV model. I
by Evangelos Melas
- 1804.07352 The impact of margin trading on share price evolution: A cascading failure model investigation
by Ya-Chun Gao & Huai-Lin Tang & Shi-Min Cai & Jing-Jing Gao & H. Eugene Stanley
- 1804.07022 The determinants of bank loan recovery rates in good times and bad - new evidence
by Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz
- 1804.06923 Truthful Fair Division without Free Disposal
by Xiaohui Bei & Guangda Huzhang & Warut Suksompong
- 1804.06890 Accounting Noise and the Pricing of CoCos
by Mike Derksen & Peter Spreij & Sweder van Wijnbergen
- 1804.06792 Transaction Costs in Collective Waste Recovery Systems in the EU
by Shteryo Nozharov
- 1804.06721 Estimating Treatment Effects in Mover Designs
by Peter Hull
- 1804.06711 The CCI30 Index
by Igor Rivin & Carlo Scevola
- 1804.06710 An Attempt at Analyzing the Information Nature of Money
by Haibo Chen
- 1804.06709 Assessing the state of e-Readiness for Small and Medium Companies in Mexico: a Proposed Taxonomy and Adoption Model
by Guillermo Rodriguez-Abitia & Susana Vidrio & Claudia Montiel-Sanchez
- 1804.06707 Warranty Cost Analysis with an Alternating Geometric Process
by Richard Arnold & Stefanka Chukova & Yu Hayakawa & Sarah Marshall
- 1804.06598 Ruin probabilities for two collaborating insurance companies
by Zbigniew Michna
- 1804.06465 Triggers for cooperative behavior in the thermodynamic limit: a case study in Public goods game
by Colin Benjamin & Shubhayan Sarkar
- 1804.06341 Revisiting the thermal and superthermal two-class distribution of incomes: A critical perspective
by Markus P. A. Schneider
- 1804.06261 Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018
by Jan-Christian Gerlach & Guilherme Demos & Didier Sornette
- 1804.05979 Quantum Blockchain using entanglement in time
by Del Rajan & Matt Visser
- 1804.05974 Quantifying the Economic Case for Electric Semi-Trucks
by Shashank Sripad & Venkatasubramanian Viswanathan
- 1804.05916 Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
by Stanis{l}aw Dro.zd.z & Robert Gk{e}barowski & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marcin Wk{a}torek
- 1804.05785 Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects
by Liyang Sun & Sarah Abraham
- 1804.05694 Extremal dependence and spatial risk measures for insured losses due to extreme winds
by Erwan Koch
- 1804.05667 Evolution of the Chinese Guarantee Network under Financial Crisis and Stimulus Program
by Yingli Wang & Qingpeng Zhang & Xiaoguang Yang
- 1804.05454 A refinement of Bennett's inequality with applications to portfolio optimization
by Tony Jebara
- 1804.05354 The Italian Pension Gap: a Stochastic Optimal Control Approach
by Alessandro Milazzo & Elena Vigna
- 1804.05327 Shapley Value Methods for Attribution Modeling in Online Advertising
by Kaifeng Zhao & Seyed Hanif Mahboobi & Saeed R. Bagheri
- 1804.05279 Distributions of Historic Market Data -- Implied and Realized Volatility
by M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota
- 1804.05103 The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study
by Mounira Chniguir & Mohamed Kefi & Jamel Henchiri
- 1804.04924 Robust calibration and arbitrage-free interpolation of SSVI slices
by Pierre Cohort & Jacopo Corbetta & Claude Martini & Ismail Laachir
- 1804.04916 Large Sample Properties of Partitioning-Based Series Estimators
by Matias D. Cattaneo & Max H. Farrell & Yingjie Feng
- 1804.04870 An Optimal Dividend Problem with Capital Injections over a Finite Horizon
by Giorgio Ferrari & Patrick Schuhmann
- 1804.04789 Successful Nash Equilibrium Agent for a 3-Player Imperfect-Information Game
by Sam Ganzfried & Austin Nowak & Joannier Pinales
- 1804.04721 Econophysics Beyond General Equilibrium: the Business Cycle Model
by Victor Olkhov
- 1804.04283 Transport plans with domain constraints
by Erhan Bayraktar & Xin Zhang & Zhou Zhou
- 1804.04216 Market Making via Reinforcement Learning
by Thomas Spooner & John Fearnley & Rahul Savani & Andreas Koukorinis
- 1804.04170 Optimal liquidation under stochastic price impact
by Weston Barger & Matthew Lorig
- 1804.03975 Monte Carlo pathwise sensitivities for barrier options
by Thomas Gerstner & Bastian Harrach & Daniel Roth
- 1804.03674 Moment Inequalities in the Context of Simulated and Predicted Variables
by Hiroaki Kaido & Jiaxuan Li & Marc Rysman
- 1804.03349 Inference on Local Average Treatment Effects for Misclassified Treatment
by Takahide Yanagi
- 1804.03290 A derivation of the Black-Scholes option pricing model using a central limit theorem argument
by Rajeshwari Majumdar & Phanuel Mariano & Lowen Peng & Anthony Sisti
- 1804.03219 Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference
by Ruben van de Geer & Arnoud V. den Boer & Christopher Bayliss & Christine Currie & Andria Ellina & Malte Esders & Alwin Haensel & Xiao Lei & Kyle D. S. Maclean & Antonio Martinez-Sykora & Asbj{o}rn Nilsen Riseth & Fredrik {O}degaard & Simos Zachariades
- 1804.03110 Varying Random Coefficient Models
by Christoph Breunig
- 1804.03002 Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1804.02689 An extremal fractional Gaussian with a possible application to option-pricing with skew and smile
by Alexander Jurisch
- 1804.02350 From Bitcoin to Bitcoin Cash: a network analysis
by Marco Alberto Javarone & Craig Steven Wright
- 1804.02348 Statistical inference for autoregressive models under heteroscedasticity of unknown form
by Ke Zhu
- 1804.02333 Corruption-free scheme of entering into contract: mathematical model
by Oleg Malafeyev & Olga Koroleva & Dmitriy Prusskiy & Olga Zenovich
- 1804.02289 Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
by David Lee
- 1804.02233 Forex trading and Twitter: Spam, bots, and reputation manipulation
by Igor Mozetiv{c} & Peter Gabrovv{s}ek & Petra Kralj Novak
- 1804.01825 Evaluating Hospital Case Cost Prediction Models Using Azure Machine Learning Studio
by Alexei Botchkarev
- 1804.01764 Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning
by Daniel Kinn
- 1804.01676 Predictive modeling of stock indices closing from web search trends
by Arjun R & Suprabha KR
- 1804.01631 Simultaneous Mean-Variance Regression
by Richard Spady & Sami Stouli
- 1804.01554 A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
by Florian Huber & Tam'as Krisztin & Michael Pfarrhofer
- 1804.01475 Pricing sovereign contingent convertible debt
by Andrea Consiglio & Michele Tumminello & Stavros A. Zenios
- 1804.01367 A dynamic network model to measure exposure diversification in the Austrian interbank market
by Juraj Hledik & Riccardo Rastelli
- 1804.01208 Should We Adjust for the Test for Pre-trends in Difference-in-Difference Designs?
by Jonathan Roth
- 1804.00825 A Probabilistic Analysis of Autocallable Optimization Securities
by Gilna K. Samuel & Donald St. P. Richards
- 1804.00820 Return Optimization Securities and Other Remarkable Structured Investment Products: Indicators of Future Outcomes for U.S. Treasuries?
by Donald St. P. Richards
- 1804.00764 Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular Financial Crisis of 2008
by Donald Richards & Hein Hundal
- 1804.00442 The value of informational arbitrage
by Huy N. Chau & Andrea Cosso & Claudio Fontana
- 1804.00232 Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
by Alessandro Casini & Pierre Perron
- 1804.00223 Indifference pricing of pure endowments via BSDEs under partial information
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1803.11467 Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
- 1803.11309 Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective
by Michael Ludkovski & Aditya Maheshwari
- 1803.11233 Mortality in a heterogeneous population - Lee-Carter's methodology
by Kamil Jod'z
- 1803.11161 Bi-Demographic Changes and Current Account using SVAR Modeling
by Hassan B. Ghassan & Hassan R. Al-Hajhoj & Faruk Balli
Printed from https://ideas.repec.org/s/arx/papers93.html
