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Content
2018
- 1803.10883 Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework
by Alessandro Casini
- 1803.10881 Continuous Record Asymptotics for Change-Points Models
by Alessandro Casini & Pierre Perron
- 1803.10871 Generalized Laplace Inference in Multiple Change-Points Models
by Alessandro Casini & Pierre Perron
- 1803.10376 Computing the CEV option pricing formula using the semiclassical approximation of path integral
by Axel A. Araneda & Marcelo J. Villena
- 1803.10128 Explicit description of all deflators for market models under random horizon with applications to NFLVR
by Tahir Choulli & Sina Yansori
- 1803.10083 Emergence of Cooperation in the thermodynamic limit
by Colin Benjamin & Shubhayan Sarkar
- 1803.09935 A Perfect Specialization Model for Gravity Equation in Bilateral Trade based on Production Structure
by Majid Einian & Farshad Ranjbar Ravasan
- 1803.09898 On Fairness of Systemic Risk Measures
by Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis
- 1803.09514 Cluster analysis of stocks using price movements of high frequency data from National Stock Exchange
by Charu Sharma & Amber Habib & Sunil Bowry
- 1803.09452 Panel Data Analysis with Heterogeneous Dynamics
by Ryo Okui & Takahide Yanagi
- 1803.09444 Cliquet option pricing with Meixner processes
by Markus Hess
- 1803.09432 Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
by Hai-Chuan Xu & Wei-Xing Zhou & Didier Sornette
- 1803.09422 The cooling-off effect of price limits in the Chinese stock markets
by Yu-Lei Wan & Gang-Jin Wang & Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou
- 1803.09159 Efficient Discovery of Heterogeneous Quantile Treatment Effects in Randomized Experiments via Anomalous Pattern Detection
by Edward McFowland III & Sriram Somanchi & Daniel B. Neill
- 1803.09020 Schooling Choice, Labour Market Matching, and Wages
by Jacob Schwartz
- 1803.09015 Difference-in-Differences with Multiple Time Periods
by Brantly Callaway & Pedro H. C. Sant'Anna
- 1803.08868 How does monetary policy affect income inequality in Japan? Evidence from grouped data
by Martin Feldkircher & Kazuhiko Kakamu
- 1803.08836 Decentralized Pure Exchange Processes on Networks
by Daniele Cassese & Paolo Pin
- 1803.08831 A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices
by Wieger Hinderks & Andreas Wagner & Ralf Korn
- 1803.08807 Two-way fixed effects estimators with heterogeneous treatment effects
by Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille
- 1803.08803 Fast swaption pricing in Gaussian term structure models
by Jaehyuk Choi & Sungchan Shin
- 1803.08698 Measurement of the evolution of technology: A new perspective
by Mario Coccia
- 1803.08405 Scaling properties of extreme price fluctuations in Bitcoin markets
by Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar & H. Eugene Stanley & Boris Podobnik
- 1803.08390 Large large-trader activity weakens the long memory of limit order markets
by Kevin Primicerio & Damien Challet
- 1803.08336 Equilibrium Effects of Intraday Order-Splitting Benchmarks
by Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi
- 1803.08218 Causal Inference for Survival Analysis
by Vikas Ramachandra
- 1803.08170 Mislearning from Censored Data: The Gambler's Fallacy and Other Correlational Mistakes in Optimal-Stopping Problems
by Kevin He
- 1803.08169 Financial Contagion in a Generalized Stochastic Block Model
by Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter
- 1803.08166 Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
by Matteo Basei
- 1803.08160 An Economic Bubble Model and Its First Passage Time
by Angelos Dassios & Luting Li
- 1803.08154 Network and Panel Quantile Effects Via Distribution Regression
by Victor Chernozhukov & Iv'an Fern'andez-Val & Martin Weidner
- 1803.07951 Testing Continuity of a Density via g-order statistics in the Regression Discontinuity Design
by Federico A. Bugni & Ivan A. Canay
- 1803.07904 A path integral based model for stocks and order dynamics
by Giovanni Paolinelli & Gianni Arioli
- 1803.07843 Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
by Alan White
- 1803.07720 Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments
by Ruimeng Hu
- 1803.07590 On the Basel Liquidity Formula for Elliptical Distributions
by Janine Balter & Alexander J. McNeil
- 1803.07514 Testing for Unobserved Heterogeneous Treatment Effects with Observational Data
by Yu-Chin Hsu & Ta-Cheng Huang & Haiqing Xu
- 1803.07247 Sparse Reduced Rank Regression With Nonconvex Regularization
by Ziping Zhao & Daniel P. Palomar
- 1803.07216 Mixing LSMC and PDE Methods to Price Bermudan Options
by David Farahany & Kenneth Jackson & Sebastian Jaimungal
- 1803.07164 Adversarial Generalized Method of Moments
by Greg Lewis & Vasilis Syrgkanis
- 1803.07152 Exploring the predictability of range-based volatility estimators using RNNs
by G'abor Petneh'azi & J'ozsef G'all
- 1803.07138 Fear Universality and Doubt in Asset price movements
by Igor Rivin
- 1803.07041 Spatial risk measures and rate of spatial diversification
by Erwan Koch
- 1803.07021 Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
by Luca Spadafora & Francesca Sivero & Nicola Picchiotti
- 1803.06922 Approximation of Some Multivariate Risk Measures for Gaussian Risks
by E. Hashorva
- 1803.06917 Universal features of price formation in financial markets: perspectives from Deep Learning
by Justin Sirignano & Rama Cont
- 1803.06738 Large-Scale Dynamic Predictive Regressions
by Daniele Bianchi & Kenichiro McAlinn
- 1803.06653 Modeling stock markets through the reconstruction of market processes
by Jo~ao Pedro Rodrigues do Carmo
- 1803.06460 Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
by Jize Zhang & Tim Leung & Aleksandr Y. Aravkin
- 1803.06401 Evaluating Conditional Cash Transfer Policies with Machine Learning Methods
by Tzai-Shuen Chen
- 1803.06386 Forecasting Economics and Financial Time Series: ARIMA vs. LSTM
by Sima Siami-Namini & Akbar Siami Namin
- 1803.06223 Efficient construction of threshold networks of stock markets
by Xin-Jian Xu & Kuo Wang & Liucun Zhu & Li-Jie Zhang
- 1803.06108 Business Cycles in Economics
by Viktor O. Ledenyov & Dimitri O. Ledenyov
- 1803.06035 Reputation is required for cooperation to emerge in dynamic networks
by Jose A. Cuesta & Carlos Gracia-L'azaro & Yamir Moreno & Angel S'anchez
- 1803.05861 Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
by Ludovic Cales & Apostolos Chalkis & Ioannis Z. Emiris & Vissarion Fisikopoulos
- 1803.05831 Technical Uncertainty in Real Options with Learning
by Ali Al-Aradi & Alvaro Cartea & Sebastian Jaimungal
- 1803.05819 Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
by Ali Al-Aradi & Sebastian Jaimungal
- 1803.05690 Optimal liquidity-based trading tactics
by Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum
- 1803.05663 Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
by Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner
- 1803.05659 Does agricultural subsidies foster Italian southern farms? A Spatial Quantile Regression Approach
by Marusca De Castris & Daniele Di Gennaro
- 1803.05513 Limitations of P-Values and $R^2$ for Stepwise Regression Building: A Fairness Demonstration in Health Policy Risk Adjustment
by Sherri Rose & Thomas G. McGuire
- 1803.05244 Stochastic Dynamic Utilities and Inter-Temporal Preferences
by Marco Maggis & Andrea Maran
- 1803.05075 Stock Price Prediction using Principle Components
by Mahsa Ghorbani & Edwin K. P. Chong
- 1803.05002 An Endogenous Mechanism of Business Cycles
by Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov
- 1803.04991 Inference on a Distribution from Noisy Draws
by Koen Jochmans & Martin Weidner
- 1803.04894 A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
by Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo
- 1803.04892 Theoretical and empirical analysis of trading activity
by Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi
- 1803.04593 How Smart Are `Water Smart Landscapes'?
by Christa Brelsford & Joshua K. Abbott
- 1803.04591 A Generalization of the Robust Positive Expectation Theorem for Stock Trading via Feedback Control
by Atul Deshpande & B. Ross Barmish
- 1803.04585 Categorizing Variants of Goodhart's Law
by David Manheim & Scott Garrabrant
- 1803.04532 Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
by Naoya Yamaguchi & Maiya Hori & Yoshinari Ideguchi
- 1803.04483 Pathwise moderate deviations for option pricing
by Antoine Jacquier & Konstantinos Spiliopoulos
- 1803.04213 Robust utility maximization in markets with transaction costs
by Huy N. Chau & Miklos Rasonyi
- 1803.04094 Mean Field Games with Partial Information for Algorithmic Trading
by Philippe Casgrain & Sebastian Jaimungal
- 1803.03996 Matching distributions: Recovery of implied physical densities from option prices
by Jarno Talponen
- 1803.03941 Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
by Julien Hok & Shih-Hau Tan
- 1803.03861 Reality-check for Econophysics: Likelihood-based fitting of physics-inspired market models to empirical data
by Nils Bertschinger & Iurii Mozzhorin & Sitabhra Sinha
- 1803.03573 Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1803.03477 Behavioural effects on XVA
by Chris Kenyon & Hayato Iida
- 1803.03394 A study of strategy to the remove and ease TBT for increasing export in GCC6 countries
by YongJae Kim
- 1803.03364 Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
by Keegan Mendonca & Vasileios E. Kontosakos & Athanasios A. Pantelous & Konstantin M. Zuev
- 1803.03088 Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations
by Ke Wu & Spencer Wheatley & Didier Sornette
- 1803.02974 Optimal Portfolio Design for Statistical Arbitrage in Finance
by Ziping Zhao & Rui Zhou & Zhongju Wang & Daniel P. Palomar
- 1803.02962 Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain
by Yong Jiang & Zhongbao Zhou
- 1803.02887 A first look at browser-based Cryptojacking
by Shayan Eskandari & Andreas Leoutsarakos & Troy Mursch & Jeremy Clark
- 1803.02872 The nested structural organization of the worldwide trade multi-layer network
by Luiz G. A. Alves & Giuseppe Mangioni & Isabella Cingolani & Francisco A. Rodrigues & Pietro Panzarasa & Yamir Moreno
- 1803.02570 An ontological investigation of unimaginable events
by Thomas Santoli & Christoph Siebenbrunner
- 1803.02546 Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework
by Zuo Quan Xu
- 1803.02486 Pricing index options by static hedging under finite liquidity
by John Armstrong & Teemu Pennanen & Udomsak Rakwongwan
- 1803.02415 Almost Sure Uniqueness of a Global Minimum Without Convexity
by Gregory Cox
- 1803.02334 A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data
by Zihao Yuan
- 1803.02249 A Term Structure Model for Dividends and Interest Rates
by Damir Filipovi'c & Sander Willems
- 1803.02171 Kinetic models for optimal control of wealth inequalities
by Bertram During & Lorenzo Pareschi & Giuseppe Toscani
- 1803.02019 Modelling stock correlations with expected returns from investors
by Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren
- 1803.02012 A Dynamic Model of Central Counterparty Risk
by Tomasz R. Bielecki & Igor Cialenco & Shibi Feng
- 1803.01968 An Online Algorithm for Learning Buyer Behavior under Realistic Pricing Restrictions
by Debjyoti Saharoy & Theja Tulabandhula
- 1803.01536 Testing a Goodwin model with general capital accumulation rate
by Matheus R. Grasselli & Aditya Maheshwari
- 1803.01530 Pricing Mechanism in Information Goods
by Xinming Li & Huaqing Wang
- 1803.01527 A comment on 'Testing Goodwin: growth cycles in ten OECD countries'
by Matheus R. Grasselli & Aditya Maheshwari
- 1803.01402 An Note on Why Geographically Weighted Regression Overcomes Multidimensional-Kernel-Based Varying-Coefficient Model
by Zihao Yuan
- 1803.01389 Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
by Zhongzhi Lawrence He
- 1803.01381 Generalized Information Ratio
by Zhongzhi Lawrence He
- 1803.00957 New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina & C^ome Girschig
- 1803.00798 Permutation Tests for Equality of Distributions of Functional Data
by Federico A. Bugni & Joel L. Horowitz
- 1803.00611 Optimal investment-consumption problem: post-retirement with minimum guarantee
by Hassan Dadashi
- 1803.00607 Optimization-Based Algorithm for Evolutionarily Stable Strategies against Pure Mutations
by Sam Ganzfried
- 1803.00464 Mortality data reliability in an internal model
by Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa
- 1803.00374 A bootstrap test to detect prominent Granger-causalities across frequencies
by Matteo Farn'e & Angela Montanari
- 1803.00345 Proxyeconomics, the inevitable corruption of proxy-based competition
by Oliver Braganza
- 1803.00329 Dynkin games with Poisson random intervention times
by Gechun Liang & Haodong Sun
- 1803.00261 Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
by Andreas Muhlbacher & Thomas Guhr
- 1803.00149 Deep Learning for Causal Inference
by Vikas Ramachandra
- 1803.00096 Synthetic Control Methods and Big Data
by Daniel Kinn
- 1802.10528 Dimensional Analysis in Economics: A Study of the Neoclassical Economic Growth Model
by Miguel Alvarez Texocotitla & M. David Alvarez Hernandez & Shani Alvarez Hernandez
- 1802.10490 Partial Identification of Expectations with Interval Data
by Sam Asher & Paul Novosad & Charlie Rafkin
- 1802.10244 RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection
by Yang Wang & Dong Wang & Yaodong Wang & You Zhang
- 1802.10228 Risk-neutral valuation under differential funding costs, defaults and collateralization
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski
- 1802.10117 Economic Implications of Blockchain Platforms
by Jun Aoyagi & Daisuke Adachi
- 1802.10003 Stock management (Gest\~ao de estoques)
by Cainan K. de Oliveira & Henrique G. Menck & Pedro Y. Takito & Eliandro Rodrigues Cirilo & Neyva Maria Lopes Romeiro & 'Erica R. Takano Natti & Paulo Laerte Natti
- 1802.10001 The Information Content of Sarbanes-Oxley in Predicting Security Breaches
by J. Christopher Westland
- 1802.10000 Private Information, Credit Risk and Graph Structure in P2P Lending Networks
by J. Christopher Westland & Tuan Q. Phan & Tianhui Tan
- 1802.09999 Planning Fallacy or Hiding Hand: Which Is the Better Explanation?
by Bent Flyvbjerg
- 1802.09959 Valuation, Liquidity Price, and Stability of Cryptocurrencies
by Carey Caginalp & Gunduz Caginalp
- 1802.09954 Price Impact Under Heterogeneous Beliefs and Restricted Participation
by Michail Anthropelos & Constantinos Kardaras
- 1802.09911 Discovering Bayesian Market Views for Intelligent Asset Allocation
by Frank Z. Xing & Erik Cambria & Lorenzo Malandri & Carlo Vercellis
- 1802.09869 On the solution of the variational optimisation in the rational inattention framework
by Nigar Hashimzade
- 1802.09864 Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
by Jean-Philippe Aguilar & Jan Korbel
- 1802.09611 An Expanded Local Variance Gamma model
by Peter Carr & Andrey Itkin
- 1802.09490 Controlling Human Utilization of Failure-Prone Systems via Taxes
by Ashish R. Hota & Shreyas Sundaram
- 1802.09427 Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning
by Agnieszka Werpachowska
- 1802.09396 Attraction versus Persuasion: Information Provision in Search Markets
by Pak Hung Au & Mark Whitmeyer
- 1802.09165 Optimal contract for a fund manager, with capital injections and endogenous trading constraints
by Sergey Nadtochiy & Thaleia Zariphopoulou
- 1802.08987 The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
by Abdulnasser Hatemi-J & Youssef El-Khatib
- 1802.08935 Identifying the occurrence or non occurrence of cognitive bias in situations resembling the Monty Hall problem
by Fatemeh Borhani & Edward J. Green
- 1802.08825 Kernel Estimation for Panel Data with Heterogeneous Dynamics
by Ryo Okui & Takahide Yanagi
- 1802.08778 Measuring the Demand Effects of Formal and Informal Communication : Evidence from Online Markets for Illicit Drugs
by Luis Armona
- 1802.08667 De-Biased Machine Learning of Global and Local Parameters Using Regularized Riesz Representers
by Victor Chernozhukov & Whitney Newey & Rahul Singh
- 1802.08575 Complexity, Centralization, and Fragility in Economic Networks
by Carlo Piccardi & Lucia Tajoli
- 1802.08539 Computation of optimal transport and related hedging problems via penalization and neural networks
by Stephan Eckstein & Michael Kupper
- 1802.08502 Market Impact: A Systematic Study of Limit Orders
by Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Fr'ed'eric Abergel
- 1802.08358 Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou
- 1802.08238 What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?
by Yiyang Gu
- 1802.08135 Optimal inventory management and order book modeling
by Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid
- 1802.08061 Algorithmic Collusion in Cournot Duopoly Market: Evidence from Experimental Economics
by Nan Zhou & Li Zhang & Shijian Li & Zhijian Wang
- 1802.07741 Extended Reduced-Form Framework for Non-Life Insurance
by Francesca Biagini & Yinglin Zhang
- 1802.07457 The Security of the United Kingdom Electricity Imports under Conditions of High European Demand
by Anthony D Stephens & David R Walwyn
- 1802.07422 Blockchain: Data Malls, Coin Economies and Keyless Payments
by Zura Kakushadze & Ronald P. Russo Jr
- 1802.07405 Extracting the multi-timescale activity patterns of online financial markets
by Teruyoshi Kobayashi & Anna Sapienza & Emilio Ferrara
- 1802.07312 Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies
by Giorgio Locatelli
- 1802.07009 Analytical Validation Formulas for Best Estimate Calculation in Traditional Life Insurance
by Simon Hochgerner & Florian Gach
- 1802.06885 The Allen--Uzawa elasticity of substitution for nonhomogeneous production functions
by Elena Burmistrova & Sergey Lobanov
- 1802.06770 Achieving perfect coordination amongst agents in the co-action minority game
by Hardik Rajpal & Deepak Dhar
- 1802.06665 On the iterated estimation of dynamic discrete choice games
by Federico A. Bugni & Jackson Bunting
- 1802.06520 Pricing Options with Exponential Levy Neural Network
by Jeonggyu Huh
- 1802.06386 How local in time is the no-arbitrage property under capital gains taxes ?
by Christoph Kuhn
- 1802.06120 Simple Bounds for Utility Maximization with Small Transaction Costs
by Bruno Bouchard & Johannes Muhle-Karbe
- 1802.06101 Market Impact in a Latent Order Book
by Ismael Lemhadri
- 1802.05993 Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
by Kiyoshi Kanazawa & Takumi Sueshige & Hideki Takayasu & Misako Takayasu
- 1802.05870 The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
by Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer-Steinnocher
- 1802.05614 On the binomial approximation of the American put
by Damien Lamberton
- 1802.05495 How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness
by Nassim Nicholas Taleb
- 1802.05333 Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
by Yeonwoo Rho & Xiaofeng Shao
- 1802.05326 Analysis of Financial Credit Risk Using Machine Learning
by Jacky C. K. Chow
- 1802.05264 Stock Market Visualization
by Zura Kakushadze & Willie Yu
- 1802.05139 Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis
by Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda
- 1802.05016 Multilevel nested simulation for efficient risk estimation
by Michael B. Giles & Abdul-Lateef Haji-Ali
- 1802.04837 Adapting the CVA model to Leland's framework
by P. Amster & A. P. Mogni
- 1802.04778 The Quotient of Normal Random Variables And Application to Asset Price Fat Tails
by Carey Caginalp & Gunduz Caginalp
- 1802.04774 Asset Price Volatility and Price Extrema
by Carey Caginalp & Gunduz Caginalp
- 1802.04595 Knowledge and Unanimous Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory
by Shuige Liu
- 1802.04444 A General Method for Demand Inversion
by Lixiong Li
- 1802.04413 What is the Sharpe Ratio, and how can everyone get it wrong?
by Igor Rivin
- 1802.04232 Optimization of Fire Sales and Borrowing in Systemic Risk
by Maxim Bichuch & Zachary Feinstein
- 1802.03756 New Proposals of a Stress Measure in a Capital and its Robust Estimator
by Tadeusz Klecha & Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski
- 1802.03735 Structural Estimation of Behavioral Heterogeneity
by Zhentao Shi & Huanhuan Zheng
- 1802.03708 A Time-Varying Network for Cryptocurrencies
by Li Guo & Wolfgang Karl Hardle & Yubo Tao
- 1802.03593 Dynamics of observables in rank-based models and performance of functionally generated portfolios
by Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang
- 1802.03405 Particle-without-Particle: a practical pseudospectral collocation method for linear partial differential equations with distributional sources
by Marius Oltean & Carlos F. Sopuerta & Alessandro D. A. M. Spallicci
- 1802.03376 Visualizing Treasury Issuance Strategy
by Christopher Cameron
- 1802.03343 Long-Term Unemployed hirings: Should targeted or untargeted policies be preferred?
by Alessandra Pasquini & Marco Centra & Guido Pellegrini
- 1802.03322 Replica Approach for Minimal Investment Risk with Cost
by Takashi Shinzato
- 1802.03286 Explicit size distributions of failure cascades redefine systemic risk on finite networks
by Rebekka Burkholz & Hans J. Herrmann & Frank Schweitzer
- 1802.03042 Deep Hedging
by Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood
- 1802.02939 The sum of log-normal variates in geometric Brownian motion
by Ole Peters & Alexander Adamou
- 1802.02699 Immediate Causality Network of Stock Markets
by Li Zhou & Lu Qiu & Changgui Gu & Huijie Yang
- 1802.02683 Prediction of Shared Bicycle Demand with Wavelet Thresholding
by J. Christopher Westland & Jian Mou & Dafei Yin
- 1802.02299 Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions
by Akshay Vij & Rico Krueger
- 1802.02127 Collateral Unchained: Rehypothecation networks, concentration and systemic effects
by Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston
- 1802.01991 Dynamics of Wealth Inequality
by Zdzislaw Burda & Pawel Wojcieszak & Konrad Zuchniak
- 1802.01990 An Experimental Investigation of Preference Misrepresentation in the Residency Match
by Alex Rees-Jones & Samuel Skowronek
- 1802.01921 Dynamical regularities of US equities opening and closing auctions
by Damien Challet & Nikita Gourianov
- 1802.01861 Generating virtual scenarios of multivariate financial data for quantitative trading applications
by Javier Franco-Pedroso & Joaquin Gonzalez-Rodriguez & Jorge Cubero & Maria Planas & Rafael Cobo & Fernando Pablos
- 1802.01641 Volatility options in rough volatility models
by Blanka Horvath & Antoine Jacquier & Peter Tankov
- 1802.01556 Game-Theoretic Capital Asset Pricing in Continuous Time
by Vladimir Vovk & Glenn Shafer
- 1802.01540 Indexed Markov Chains for financial data: testing for the number of states of the index process
by Guglielmo D'Amico & Ada Lika & Filippo Petroni
- 1802.01393 Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets
by Lorenz Schneider & Bertrand Tavin
- 1802.01307 Asian Option Pricing with Orthogonal Polynomials
by Sander Willems
- 1802.01253 Promoting cooperation by reputation-driven group formation
by Han-Xin Yang & Zhen Wang
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