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Content
2018
- 1802.01219 A game-theoretic derivation of the $\sqrt{dt}$ effect
by Vladimir Vovk & Glenn Shafer
- 1802.01143 The Power of Trading Polarity: Evidence from China Stock Market Crash
by Shan Lu & Jichang Zhao & Huiwen Wang
- 1802.01113 On the interplay between multiscaling and stocks dependence
by R. J. Buonocore & G. Brandi & R. N. Mantegna & T. Di Matteo
- 1802.00842 Voting patterns in 2016: Exploration using multilevel regression and poststratification (MRP) on pre-election polls
by Rob Trangucci & Imad Ali & Andrew Gelman & Doug Rivers
- 1802.00793 Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows
by Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi
- 1802.00311 Quantification of systemic risk from overlapping portfolios in the financial system
by Sebastian Poledna & Seraf'in Mart'inez-Jaramillo & Fabio Caccioli & Stefan Thurner
- 1801.10583 Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures
by Rick Steinert & Florian Ziel
- 1801.10520 Hyper-rational choice theory
by Madjid Eshaghi Gordji & Gholamreza Askari
- 1801.10518 How Can We Induce More Women to Competitions?
by Masayuki Yagasaki & Mitsunosuke Morishita
- 1801.10516 Are `Water Smart Landscapes' Contagious? An epidemic approach on networks to study peer effects
by Christa Brelsford & Caterina De Bacco
- 1801.10515 Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem
by Anton Pichler & Sebastian Poledna & Stefan Thurner
- 1801.10498 Ambiguity in defaultable term structure models
by Tolulope Fadina & Thorsten Schmidt
- 1801.10487 Identifying systemically important companies in the entire liability network of a small open economy
by Sebastian Poledna & Abraham Hinteregger & Stefan Thurner
- 1801.10359 Multi-factor approximation of rough volatility models
by Eduardo Abi Jaber & Omar El Euch
- 1801.10088 An SPDE Model for Systemic Risk with Endogenous Contagion
by Ben Hambly & Andreas Sojmark
- 1801.09956 Nonparametric Bayesian volatility estimation
by Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij
- 1801.09740 When does a disaster become a systemic event? Estimating indirect economic losses from natural disasters
by Sebastian Poledna & Stefan Hochrainer-Stigler & Michael Gregor Miess & Peter Klimek & Stefan Schmelzer & Johannes Sorger & Elena Shchekinova & Elena Rovenskaya & JoAnne Linnerooth-Bayer & Ulf Dieckmann & Stefan Thurner
- 1801.09458 Moment Explosions in the Rough Heston Model
by Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter
- 1801.09362 First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
by Young Shin Kim
- 1801.09315 A representative agent model based on risk-neutral prices
by Hyungbin Park
- 1801.09046 Greedy Algorithms for Maximizing Nash Social Welfare
by Siddharth Barman & Sanath Kumar Krishnamurthy & Rohit Vaish
- 1801.09004 On a capital allocation principle coherent with the Solvency 2 standard formula
by Fabio Baione & Paolo De Angelis & Ivan Granito
- 1801.08961 Nonseparable Sample Selection Models with Censored Selection Rules
by Iv'an Fern'andez-Val & Aico van Vuuren & Francis Vella
- 1801.08852 Calibration for Weak Variance-Alpha-Gamma Processes
by Boris Buchmann & Kevin W. Lu & Dilip B. Madan
- 1801.08804 Rational Models for Inflation-Linked Derivatives
by Henrik Dam & Andrea Macrina & David Skovmand & David Sloth
- 1801.08767 Ordered Kripke Model, Permissibility, and Convergence of Probabilistic Kripke Model
by Shuige Liu
- 1801.08746 Quantifying Health Shocks Over the Life Cycle
by Taiyo Fukai & Hidehiko Ichimura & Kyogo Kanazawa
- 1801.08675 Short-term at-the-money asymptotics under stochastic volatility models
by Omar El Euch & Masaaki Fukasawa & Jim Gatheral & Mathieu Rosenbaum
- 1801.08346 Valuation of Currency Options in Markets with a Crunch
by Abdulnasser Hatemi-J & Youssef El-Khatib
- 1801.08256 A Hilbert Space of Stationary Ergodic Processes
by Ishanu Chattopadhyay
- 1801.08222 A bright future for financial agent-based models
by J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin
- 1801.08215 Target volatility option pricing in lognormal fractional SABR model
by Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang
- 1801.08007 Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
by Ricardo Crisostomo & Lorena Couso
- 1801.07960 Stock returns forecast: an examination by means of Artificial Neural Networks
by Martin Iglesias Caride & Aurelio F. Bariviera & Laura Lanzarini
- 1801.07941 Spurious seasonality detection: a non-parametric test proposal
by Aurelio F. Bariviera & Angelo Plastino & George Judge
- 1801.07826 Estimating Heterogeneous Consumer Preferences for Restaurants and Travel Time Using Mobile Location Data
by Susan Athey & David Blei & Robert Donnelly & Francisco Ruiz & Tobias Schmidt
- 1801.07817 Generalised Lyapunov Functions and Functionally Generated Trading Strategies
by Johannes Ruf & Kangjianan Xie
- 1801.07784 Protecting Pegged Currency Markets from Speculative Investors
by Eyal Neuman & Alexander Schied
- 1801.07595 Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims
by Zailei Cheng & Youngsoo Seol
- 1801.07512 Alonso and the Scaling of Urban Profiles
by Justin Delloye & R'emi Lemoy & Geoffrey Caruso
- 1801.07358 Capital allocation under the Fundamental Review of Trading Book
by Luting Li & Hao Xing
- 1801.07309 Numeraire markets
by Robert Fernholz
- 1801.07213 Characterization of catastrophic instabilities: Market crashes as paradigm
by Anirban Chakraborti & Kiran Sharma & Hirdesh K. Pharasi & Sourish Das & Rakesh Chatterjee & Thomas H. Seligman
- 1801.07044 Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen
- 1801.06966 Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
by Farouq Abdulaziz Masoudy
- 1801.06936 Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?
by Jinwen Qiu & Wenjian Liu & Ning Ning
- 1801.06896 Ranking Causal Influence of Financial Markets via Directed Information Graphs
by Theo Diamandis & Yonathan Murin & Andrea Goldsmith
- 1801.06862 Testing the Number of Regimes in Markov Regime Switching Models
by Hiroyuki Kasahara & Katsumi Shimotsu
- 1801.06860 On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
by Mikl'os R'asonyi & Andrea Meireles-Rodrigues
- 1801.06737 At What Frequency Should the Kelly Bettor Bet?
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner
- 1801.06727 A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity
by Denisa Roberts & Douglas Patterson
- 1801.06677 Nonfractional Memory: Filtering, Antipersistence, and Forecasting
by J. Eduardo Vera-Vald'es
- 1801.06651 Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts
by Andreas Kaloudis & Dimitrios Tsolis
- 1801.06595 Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity)
by Ricardo Antunes & Daniel Birchal & Jo~ao M'arcio Abijaodi & Paulo Abreu & Rog'erio Peixoto
- 1801.06575 USDA Forecasts: A meta-analysis study
by Bahram Sanginabadi
- 1801.06425 Ergodic robust maximization of asymptotic growth
by Constantinos Kardaras & Scott Robertson
- 1801.06416 Affine forward variance models
by Jim Gatheral & Martin Keller-Ressel
- 1801.06373 Predicting crypto-currencies using sparse non-Gaussian state space models
by Christian Hotz-Behofsits & Florian Huber & Thomas O. Zorner
- 1801.06296 A Dirichlet Process Mixture Model of Discrete Choice
by Rico Krueger & Akshay Vij & Taha H. Rashidi
- 1801.06141 A First Option Calibration of the GARCH Diffusion Model by a PDE Method
by Yiannis A. Papadopoulos & Alan L. Lewis
- 1801.06077 The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
by Igor Halperin
- 1801.06028 A closed-form formula for pricing bonds between coupon payments
by Sylvia Gottschalk
- 1801.05947 Large-Scale Simulation of Multi-Asset Ising Financial Markets
by Tetsuya Takaishi
- 1801.05770 The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
by Anas Yassine & Abdelmadjid Ibenrissoul
- 1801.05760 CryptoRuble: From Russia with Love
by Zura Kakushadze & Jim Kyung-Soo Liew
- 1801.05759 Evaluating the role of risk networks on risk identification, classification and emergence
by Christos Ellinas & Neil Allan & Caroline Coombe
- 1801.05734 Eliminating the effect of rating bias on reputation systems
by Leilei Wu & Zhuoming Ren & Xiao-Long Ren & Jianlin Zhang & Linyuan Lu
- 1801.05673 A subordinated CIR intensity model with application to Wrong-Way risk CVA
by Cheikh Mbaye & Fr'ed'eric Vrins
- 1801.05597 Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
by Takuji Arai & Yuto Imai & Ryo Nakashima
- 1801.05446 The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient
by Martin Falcke & V. Nicolai Friedhoff
- 1801.05409 The Influence of Seed Selection on the Solvency II Ratio
by Quinn Culver & Dennis Heitmann & Christian Wei{ss}
- 1801.05352 Shooting High or Low: Do Countries Benefit from Entering Unrelated Activities?
by Fl'avio L. Pinheiro & Aamena Alshamsi & Dominik Hartmann & Ron Boschma & C'esar A. Hidalgo
- 1801.05305 Censored Quantile Instrumental Variable Estimation with Stata
by Victor Chernozhukov & Iv'an Fern'andez-Val & Sukjin Han & Amanda Kowalski
- 1801.05295 Social Network based Short-Term Stock Trading System
by Paolo Cremonesi & Chiara Francalanci & Alessandro Poli & Roberto Pagano & Luca Mazzoni & Alberto Maggioni & Mehdi Elahi
- 1801.05279 Greedy algorithms and Zipf laws
by Jos'e Moran & Jean-Philippe Bouchaud
- 1801.05041 Panel Data Quantile Regression with Grouped Fixed Effects
by Jiaying Gu & Stanislav Volgushev
- 1801.04994 Consistent Valuation Across Curves Using Pricing Kernels
by Andrea Macrina & Obeid Mahomed
- 1801.04714 Characterizing Assumption of Rationality by Incomplete Information
by Shuige Liu
- 1801.04672 Heterogeneous structural breaks in panel data models
by Ryo Okui & Wendun Wang
- 1801.04491 Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
by Salvatore Federico & Mauro Rosestolato & Elisa Tacconi
- 1801.04218 Coexistence of several currencies in presence of increasing returns to adoption
by Alex Lamarche-Perrin & Andr'e Orl'ean & Pablo Jensen
- 1801.04112 Regression Based Expected Shortfall Backtesting
by Sebastian Bayer & Timo Dimitriadis
- 1801.04080 Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
by N. Packham
- 1801.04045 Asymptotic Static Hedge via Symmetrization
by Jiro Akahori & Flavia Barsotti & Yuri Imamura
- 1801.03978 Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?
by Patrick Kofod Mogensen
- 1801.03873 Characterisation of honest times and optional semimartingales of class-($\Sigma$)
by Libo Li
- 1801.03720 Viable Insider Markets
by Olfa Draouil & Bernt {O}ksendal
- 1801.03680 The time interpretation of expected utility theory
by Ole Peters & Alexander Adamou
- 1801.03678 Is there a housing bubble in China
by Tianhao Zhi & Zhongfei Li & Zhiqiang Jiang & Lijian Wei & Didier Sornette
- 1801.03574 Robust martingale selection problem and its connections to the no-arbitrage theory
by Matteo Burzoni & Mario Sikic
- 1801.03523 Generative Models for Stochastic Processes Using Convolutional Neural Networks
by Fernando Fernandes Neto
- 1801.03050 Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model
by V'ictor Gallego & Pablo Su'arez-Garc'ia & Pablo Angulo & David G'omez-Ullate
- 1801.03018 Predict Forex Trend via Convolutional Neural Networks
by Yun-Cheng Tsai & Jun-Hao Chen & Jun-Jie Wang
- 1801.02994 On a Constructive Theory of Markets
by Steven D. Moffitt
- 1801.02959 Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design
by Steven D. Moffitt & William T. Ziemba
- 1801.02958 A Method for Winning at Lotteries
by Steven D. Moffitt & William T. Ziemba
- 1801.02935 Modeling the number of hidden events subject to observation delay
by Jonas Crevecoeur & Katrien Antonio & Roel Verbelen
- 1801.02925 Implications of macroeconomic volatility in the Euro area
by Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens
- 1801.02783 Dynamic Pricing and Energy Management Strategy for EV Charging Stations under Uncertainties
by Chao Luo & Yih-Fang Huang & Vijay Gupta
- 1801.02719 Dirichlet Forms and Finite Element Methods for the SABR Model
by Blanka Horvath & Oleg Reichmann
- 1801.02702 Revealed Price Preference: Theory and Empirical Analysis
by Rahul Deb & Yuichi Kitamura & John K. -H. Quah & Jorg Stoye
- 1801.02681 Diversification, economies of scope, and exports growth of Chinese firms
by Mercedes Campi & Marco Due~nas & Le Li & Huabin Wu
- 1801.02422 A quantitative approach to choose among multiple mutually exclusive decisions: comparative expected utility theory
by Pengyu Zhu
- 1801.02205 The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis
by Danilo Delpini & Stefano Battiston & Guido Caldarelli & Massimo Riccaboni
- 1801.02135 A Consumer Behavior Based Approach to Multi-Stage EV Charging Station Placement
by Chao Luo & Yih-Fang Huang & Vijay Gupta
- 1801.02129 Placement of EV Charging Stations --- Balancing Benefits among Multiple Entities
by Chao Luo & Yih-Fang Huang & Vijay Gupta
- 1801.02128 Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage
by Chao Luo & Yih-Fang Huang & Vijay Gupta
- 1801.02091 Dynamic Clearing and Contagion in Financial Networks
by Tathagata Banerjee & Alex Bernstein & Zachary Feinstein
- 1801.02042 Learning from Neighbors about a Changing State
by Krishna Dasaratha & Benjamin Golub & Nir Hak
- 1801.01948 Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists
by Steven D. Moffitt
- 1801.01811 SABCEMM-A Simulator for Agent-Based Computational Economic Market Models
by Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank
- 1801.01792 Dynamic and granular loss reserving with copulae
by Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta
- 1801.01777 Deep Learning for Forecasting Stock Returns in the Cross-Section
by Masaya Abe & Hideki Nakayama
- 1801.01243 Constructing Metropolis-Hastings proposals using damped BFGS updates
by Johan Dahlin & Adrian Wills & Brett Ninness
- 1801.01205 Expansion formulas for European quanto options in a local volatility FX-LIBOR model
by Julien Hok & Philip Ngare & Antonis Papapantoleon
- 1801.01093 Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
by Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini
- 1801.00980 Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
by Alev{s} v{C}ern'y & Igor Melicherv{c}'ik
- 1801.00973 A New Wald Test for Hypothesis Testing Based on MCMC outputs
by Yong Li & Xiaobin Liu & Jun Yu & Tao Zeng
- 1801.00734 Complexity Theory, Game Theory, and Economics: The Barbados Lectures
by Tim Roughgarden
- 1801.00681 A novel improved fuzzy support vector machine based stock price trend forecast model
by Shuheng Wang & Guohao Li & Yifan Bao
- 1801.00597 Exploiting Investors Social Network for Stock Prediction in China's Market
by Xi Zhang & Jiawei Shi & Di Wang & Binxing Fang
- 1801.00588 Improving Stock Market Prediction via Heterogeneous Information Fusion
by Xi Zhang & Yunjia Zhang & Senzhang Wang & Yuntao Yao & Binxing Fang & Philip S. Yu
2017
Printed from https://ideas.repec.org/s/arx/papers95.html
