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Content
2017
- 1710.02926 When Should You Adjust Standard Errors for Clustering?
by Alberto Abadie & Susan Athey & Guido Imbens & Jeffrey Wooldridge
- 1710.02838 Robust Forecast Aggregation
by Itai Areili & Yakov Babichenko & Rann Smorodinsky
- 1710.02755 An Optimized Microeconomic Modeling System for Analyzing Industrial Externalities in Non-OECD Countries
by Agnibho Roy & Abhishek Mohan
- 1710.02669 Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors
by Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski
- 1710.02435 Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm
by Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini
- 1710.02326 A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games
by Shuige Liu
- 1710.02127 Intervention On Default Contagion Under Partial Information
by Yang Xu
- 1710.01852 Finite Time Identification in Unstable Linear Systems
by Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis
- 1710.01797 The Chebyshev method for the implied volatility
by Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz
- 1710.01787 On Kelly Betting: Some Limitations
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01786 Kelly Betting Can Be Too Conservative
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner
- 1710.01768 Explaining the Mechanism of Growth in the Past Two Million Years Vol. I
by Ron W. Nielsen
- 1710.01578 The Computational Complexity of Financial Networks with Credit Default Swaps
by Steffen Schuldenzucker & Sven Seuken & Stefano Battiston
- 1710.01503 On Drawdown-Modulated Feedback Control in Stock Trading
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01501 On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01452 Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading
by Xuefeng Gao & Xiang Zhou & Lingjiong Zhu
- 1710.01423 Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model
by Chuan Goh
- 1710.01227 Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions
by Igor Halperin
- 1710.01141 A series representation for the Black-Scholes formula
by Jean-Philippe Aguilar
- 1710.00897 Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging
by Kamil Kladivko & Mihail Zervos
- 1710.00859 Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation
by Jinglun Yao & Sabine Laurent & Brice B'enaben
- 1710.00643 A Justification of Conditional Confidence Intervals
by Eric Beutner & Alexander Heinemann & Stephan Smeekes
- 1710.00431 Kelly's Criterion in Portfolio Optimization: A Decoupled Problem
by Zachariah Peterson
- 1710.00377 A Note on the Multi-Agent Contracts in Continuous Time
by Qi Luo & Romesh Saigal
- 1710.00231 Systemic risk in a mean-field model of interbank lending with self-exciting shocks
by Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere
- 1709.10478 The Strength of Absent Ties: Social Integration via Online Dating
by Josue Ortega & Philipp Hergovich
- 1709.10402 Distributions of Centrality on Networks
by Krishna Dasaratha
- 1709.10384 Obstacle problems for nonlocal operators
by Donatella Danielli & Arshak Petrosyan & Camelia A. Pop
- 1709.10295 Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps
by J'er^ome Spielmann
- 1709.10279 Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach
by Michael Knaus & Michael Lechner & Anthony Strittmatter
- 1709.10277 A Structural Model for Fluctuations in Financial Markets
by Kartik Anand & Jonathan Khedair & Reimer Kuehn
- 1709.10196 Inference for VARs Identified with Sign Restrictions
by Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide
- 1709.10193 Forecasting with Dynamic Panel Data Models
by Laura Liu & Hyungsik Roger Moon & Frank Schorfheide
- 1709.10141 Executive stock option exercise with full and partial information on a drift change point
by Vicky Henderson & Kamil Klad'ivko & Michael Monoyios & Christoph Reisinger
- 1709.10038 Estimation of Graphical Models using the $L_{1,2}$ Norm
by Khai X. Chiong & Hyungsik Roger Moon
- 1709.10024 Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
by Ida Johnsson & Hyungsik Roger Moon
- 1709.09955 Equilibrium distributions and discrete Schur-constant models
by Anna Casta~ner & M Merc`e Claramunt
- 1709.09858 Wealth distribution in presence of debts. A Fokker--Planck description
by Marco Torregrossa & Giuseppe Toscani
- 1709.09822 Threshold-Based Portfolio: The Role of the Threshold and Its Applications
by Sang Il Lee & Seong Joon Yoo
- 1709.09755 Quasi-random Monte Carlo application in CGE systematic sensitivity analysis
by Theodoros Chatzivasileiadis
- 1709.09583 Inference for Impulse Responses under Model Uncertainty
by Lenard Lieb & Stephan Smeekes
- 1709.09570 Identification of hedonic equilibrium and nonseparable simultaneous equations
by Victor Chernozhukov & Alfred Galichon & Marc Henry & Brendan Pass
- 1709.09495 Kinetic models for goods exchange in a multi-agent market
by Carlo Brugna & Giuseppe Toscani
- 1709.09465 Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
by Romain Blanchard & Laurence Carassus
- 1709.09442 Market Delay and G-expectations
by Yan Dolinsky & Jonathan Zouari
- 1709.09373 A Bimodal Network Approach to Model Topic Dynamics
by Luigi Di Caro & Marco Guerzoni & Massimiliano Nuccio & Giovanni Siragusa
- 1709.09334 Zero-rating of Content and its Effect on the Quality of Service in the Internet
by Manjesh K. Hanawal & Fehmina Malik & Yezekael Hayel
- 1709.09284 Sharp bounds and testability of a Roy model of STEM major choices
by Ismael Mourifie & Marc Henry & Romuald Meango
- 1709.09255 A default system with overspilling contagion
by Delia Coculescu & Gabriele Visentin
- 1709.09252 Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
by Delia Coculescu & Monique Jeanblanc
- 1709.09117 Discrete Choice and Rational Inattention: a General Equivalence Result
by Mogens Fosgerau & Emerson Melo & Andre de Palma & Matthew Shum
- 1709.09115 Inference on Estimators defined by Mathematical Programming
by Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum
- 1709.09068 Pricing derivatives in Hermite markets
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi
- 1709.08981 Bounds On Treatment Effects On Transitions
by Johan Vikstrom & Geert Ridder & Martin Weidner
- 1709.08980 Fixed Effect Estimation of Large T Panel Data Models
by Iv'an Fern'andez-Val & Martin Weidner
- 1709.08755 Analytic approach to variance optimization under an $\ell_1$ constraint
by Imre Kondor & G'abor Papp & Fabio Caccioli
- 1709.08621 A sentiment-based model for the BitCoin: theory, estimation and option pricing
by Alessandra Cretarola & Gianna Fig`a-Talamanca & Marco Patacca
- 1709.08516 Testing the causality of Hawkes processes with time reversal
by Marcus Cordi & Damien Challet & Ioane Muni Toke
- 1709.08238 Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter
- 1709.08188 The Aggregation Property and its Applications to Realised Higher Moments
by Carol Alexander & Johannes Rauch
- 1709.08134 Option Pricing with Greed and Fear Factor: The Rational Finance Approach
by Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani
- 1709.08090 The inefficiency of Bitcoin revisited: a dynamic approach
by Aurelio F. Bariviera
- 1709.08075 Local Volatility Calibration by Optimal Transport
by Ivan Guo & Gr'egoire Loeper & Shiyi Wang
- 1709.08023 Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses
by S. Ali Pourmousavi & Mahdi Behrangrad & Ali Jahanbani Ardakani & M. Hashem Nehrir
- 1709.07960 Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania
by Tudorel Andrei & Bogdan Oancea & Peter Richmond & Gurjeet Dhesi & Claudiu Herteliu
- 1709.07682 New copulas based on general partitions-of-unity and their applications to risk management (part II)
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1709.07527 A posteriori multi-stage optimal trading under transaction costs and a diversification constraint
by Mogens Graf Plessen & Alberto Bemporad
- 1709.07446 Arbitrage and Geometry
by Daniel Q. Naiman & Edward R. Scheinerman
- 1709.07329 Density of the set of probability measures with the martingale representation property
by Dmitry Kramkov & Sergio Pulido
- 1709.07300 Facebook drives behavior of passive households in stock markets
by Milla Siikanen & Kk{e}stutis Baltakys & Juho Kanniainen & Ravi Vatrapu & Raghava Mukkamala & Abid Hussain
- 1709.06759 Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit
by Vladislav Gennadievich Malyshkin
- 1709.06641 Dead Alphas as Risk Factors
by Zura Kakushadze & Willie Yu
- 1709.06517 Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
by Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon
- 1709.06480 Kinetic theory and Brazilian income distribution
by Igor D. S. Siciliani & Marcelo H. R. Tragtenberg
- 1709.06380 Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay
by I. D. Kolesin & O. A. Malafeyev & I. V. Zaitseva & A. N. Ermakova & D. V. Shlaev
- 1709.06348 On the Bail-Out Optimal Dividend Problem
by Jos'e-Luis P'erez & Kazutoshi Yamazaki & Xiang Yu
- 1709.06296 Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
by Nikolaus Hautsch & Stefan Voigt
- 1709.06279 Universal L\'evy's stable law of stock market and its characterization
by Takumi Fukunaga & Ken Umeno
- 1709.05837 Optimal Liquidation Problems in a Randomly-Terminated Horizon
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak Kwong Wong
- 1709.05823 A new approach to the modeling of financial volumes
by Guglielmo D'Amico & Filippo Petroni
- 1709.05594 GDP growth rates as confined L\'evy flights
by Sandro Claudio Lera & Didier Sornette
- 1709.05529 Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
by Weipin Wu & Jianjun Gao & Duan Li & Yun Shi
- 1709.05527 Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05519 Semi-Static and Sparse Variance-Optimal Hedging
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05392 Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade
by Bogang Jun & Aamena Alshamsi & Jian Gao & Cesar A Hidalgo
- 1709.05287 Sampling of probability measures in the convex order by Wasserstein projection
by Aur'elien Alfonsi & Jacopo Corbetta & Benjamin Jourdain
- 1709.05272 Economic Complexity: "Buttarla in caciara" vs a constructive approach
by Luciano Pietronero & Matthieu Cristelli & Andrea Gabrielli & Dario Mazzilli & Emanuele Pugliese & Andrea Tacchella & Andrea Zaccaria
- 1709.05117 Optimal Inflation Target: Insights from an Agent-Based Model
by Jean-Philippe Bouchaud & Stanislao Gualdi & Marco Tarzia & Francesco Zamponi
- 1709.04620 Random matrix approach for primal-dual portfolio optimization problems
by Daichi Tada & Hisashi Yamamoto & Takashi Shinzato
- 1709.04415 Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection
by Xiaoguang Huo & Feng Fu
- 1709.04387 Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
by Michele Longo & Alessandra Mainini
- 1709.04070 Multivariate Density Modeling for Retirement Finance
by Christopher J. Rook
- 1709.04059 Random walks and market efficiency in Chinese and Indian equity markets
by Oleg Malafeyev & Achal Awasthi & Kaustubh S. Kambekar
- 1709.03943 Support Spinor Machine
by Kabin Kanjamapornkul & Richard Pinv{c}'ak & Sanphet Chunithpaisan & Erik Bartov{s}
- 1709.03803 Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions
by Guosheng Hu & Yuxin Hu & Kai Yang & Zehao Yu & Flood Sung & Zhihong Zhang & Fei Xie & Jianguo Liu & Neil Robertson & Timothy Hospedales & Qiangwei Miemie
- 1709.03611 A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction
by Zheqing Zhu & Jian-guo Liu & Lei Li
- 1709.03535 General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
by Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou
- 1709.03473 Is completeness necessary? Estimation in nonidentified linear models
by Andrii Babii & Jean-Pierre Florens
- 1709.03310 Additive energy forward curves in a Heath-Jarrow-Morton framework
by Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu
- 1709.03226 Predictive Modeling: An Optimized and Dynamic Solution Framework for Systematic Value Investing
by R. J. Sak
- 1709.03169 On portfolios generated by optimal transport
by Ting-Kam Leonard Wong
- 1709.02701 Winning Investment Strategies Based on Financial Crisis Indicators
by Antoine Kornprobst
- 1709.02667 Implementing Flexible Demand: Real-time Price vs. Market Integration
by Florian Kuhnlenz & Pedro H. J. Nardelli & Santtu Karhinen & Rauli Svento
- 1709.02502 Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
by Simon Clinet & Yoann Potiron
- 1709.02129 Data science for assessing possible tax income manipulation: The case of Italy
by Marcel Ausloos & Roy Cerqueti & Tariq A. Mir
- 1709.02015 The microstructure of high frequency markets
by Rene Carmona & Kevin Webster
- 1709.01484 Estimating Cost Savings from Early Cancer Diagnosis
by Zura Kakushadze & Rakesh Raghubanshi & Willie Yu
- 1709.01337 Backtesting Expected Shortfall: a simple recipe?
by Felix Moldenhauer & Marcin Pitera
- 1709.01292 A Scaling Limit for Limit Order Books Driven by Hawkes Processes
by Ulrich Horst & Wei Xu
- 1709.01268 Tensor Representation in High-Frequency Financial Data for Price Change Prediction
by Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1709.01198 Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets
by Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth
- 1709.01115 Risk-Minimizing Hedging of Counterparty Risk
by Lijun Bo & Agostino Capponi & Claudia Ceci
- 1709.01024 Payoff Information and Learning in Signaling Games
by Drew Fudenberg & Kevin He
- 1709.00641 Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
by Daniel Bartl & Michael Kupper & Thibaut Lux & Antonis Papapantoleon & Stephan Eckstein
- 1709.00468 An Option Pricing Model with Memory
by Flavia Sancier & Salah Mohammed
- 1709.00282 Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks
by Victor Olkhov
- 1708.09850 Multilayer Aggregation with Statistical Validation: Application to Investor Networks
by Kk{e}stutis Baltakys & Juho Kanniainen & Frank Emmert-Streib
- 1708.09810 Extending Yagil exchange ratio determination model to the case of stochastic dividends
by Alessandra Mainini & Enrico Moretto
- 1708.09520 High-Frequency Jump Tests: Which Test Should We Use?
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes
- 1708.09343 Value-at-Risk and Expected Shortfall for the major digital currencies
by Stavros Stavroyiannis
- 1708.09327 Spontaneous Segregation of Agents Across Double Auction Markets
by Aleksandra Alori'c & Peter Sollich & Peter McBurney
- 1708.08904 Minimax theorems for American options in incomplete markets without time-consistency
by Denis Belomestny & Volker Kraetschmer
- 1708.08857 Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic?
by Mogens Graf Plessen & Alberto Bemporad
- 1708.08695 The stabilizing effect of volatility in financial markets
by Davide Valenti & Giorgio Fazio & Bernardo Spagnolo
- 1708.08675 American options in an imperfect market with default
by Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem
- 1708.08673 Changing the Direction of the Economic and Demographic Research
by Ron W. Nielsen
- 1708.08622 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
by Frantisek Cech & Jozef Barunik
- 1708.08594 Identifying relationship lending in the interbank market: A network approach
by Teruyoshi Kobayashi & Taro Takaguchi
- 1708.08411 Default Contagion with Domino Effect , A First Passage Time Approach
by Jiro Akahori & Hai Ha Pham
- 1708.08275 An equilibrium-conserving taxation scheme for income from capital
by Jacques Tempere
- 1708.08137 Principal Components and Regularized Estimation of Factor Models
by Jushan Bai & Serena Ng
- 1708.07996 A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables
by Jean-Bernard Chatelain & Kirsten Ralf
- 1708.07723 Promotion through Connections: Favors or Information?
by Yann Bramoull'e & Kenan Huremovi'c
- 1708.07661 Dynamic trading under integer constraints
by Stefan Gerhold & Paul Kruhner
- 1708.07637 Trends and Risk Premia: Update and Additional Plots
by Tung-Lam Dao & Daniel Hoehener & Yves Lemp'eri`ere & Trung-Tu Nguyen & Philip Seager & Jean-Philippe Bouchaud
- 1708.07636 Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo
by Christian Pinshi
- 1708.07587 Semiparametric GARCH via Bayesian model averaging
by Wilson Ye Chen & Richard H. Gerlach
- 1708.07585 Haircutting Non-cash Collateral
by Wujiang Lou
- 1708.07567 Active Preference Learning for Personalized Portfolio Construction
by Kevin Tee & Michael McCourt & Ruben Martinez-Cantin & Ian Dewancker & Frank Liu
- 1708.07509 The Keynesian Model in the General Theory: A Tutorial
by Raul Rojas
- 1708.07469 DGM: A deep learning algorithm for solving partial differential equations
by Justin Sirignano & Konstantinos Spiliopoulos
- 1708.07394 Second order approximations for limit order books
by Ulrich Horst & Dorte Kreher
- 1708.07305 Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy
by Abduh Sayid & Yannick Frein & Ramzi Hammami
- 1708.07063 Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece
by Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos
- 1708.07061 Forecasting day-ahead electricity prices in Europe: the importance of considering market integration
by Jesus Lago & Fjo De Ridder & Peter Vrancx & Bart De Schutter
- 1708.07047 Behind the price: on the role of agent's reflexivity in financial market microstructure
by Paolo Barucca & Fabrizio Lillo
- 1708.07037 Relationship between Remittances and Macroeconomic Variables in Times of Political and Social Upheaval: Evidence from Tunisia's Arab Spring
by Jamal Bouoiyour & Refk Selmi & Amal Miftah
- 1708.06992 Econom\'etrie et Machine Learning
by Arthur Charpentier & Emmanuel Flachaire & Antoine Ly
- 1708.06948 Modulated Information Flows in Financial Markets
by Edward Hoyle & Andrea Macrina & Levent A. Menguturk
- 1708.06886 VIX-linked fees for GMWBs via Explicit Solution Simulation Methods
by Michael A. Kouritzin & Anne MacKay
- 1708.06855 Systematic Noise: Micro-movements in Equity Options Markets
by Adam Wu
- 1708.06792 Volatility and Economic Growth in the Twentieth Century
by Mercedes Campi & Marco Due~nas
- 1708.06704 Unemployment: Study of Causes and Possible Solutions
by Thomas Pedro Eggarter
- 1708.06586 Dynamic correlations at different time-scales with Empirical Mode Decomposition
by Noemi Nava & T. Di Matteo & Tomaso Aste
- 1708.06443 Bias Reduction in Instrumental Variable Estimation through First-Stage Shrinkage
by Jann Spiess
- 1708.06436 Unbiased Shrinkage Estimation
by Jann Spiess
- 1708.06233 Fake News in Social Networks
by Christoph Aymanns & Jakob Foerster & Co-Pierre Georg
- 1708.06160 Economic Design of Memory-Type Control Charts: The Fallacy of the Formula Proposed by Lorenzen and Vance (1986)
by Amir Ahmadi-Javid & Mohsen Ebadi
- 1708.05957 A new Mertens decomposition of $\mathscr{Y}^{g,\xi}$-submartingale systems. Application to BSDEs with weak constraints at stopping times
by Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou
- 1708.05713 Portfolio Optimization with Entropic Value-at-Risk
by Amir Ahmadi-Javid & Malihe Fallah-Tafti
- 1708.05689 Quantum Barro--Gordon Game in Monetary Economics
by Ali Hussein Samadi & Afshin Montakhab & Hussein Marzban & Sakine Owjimehr
- 1708.05352 How many paths to simulate correlated Brownian motions?
by Antoine Jacquier & Louis Jeannerod
- 1708.05319 An indifference approach to the cost of capital constraints: KVA and beyond
by Damiano Brigo & Marco Francischello & Andrea Pallavicini
- 1708.04955 qBitcoin: A Peer-to-Peer Quantum Cash System
by Kazuki Ikeda
- 1708.04952 New Market Creation via Innovation: A Study on Tata Nano
by Swati Singh & Manoj Joshi
- 1708.04869 Martingale Benamou--Brenier: a probabilistic perspective
by Julio Backhoff-Veraguas & Mathias Beiglbock & Martin Huesmann & Sigrid Kallblad
- 1708.04829 Pricing compound and extendible options under mixed fractional Brownian motion with jumps
by Foad Shokrollahi
- 1708.04711 Generalizations of Szpilrajn's Theorem in economic and game theories
by Athanasios Andrikopoulos
- 1708.04658 Comparing distributions by multiple testing across quantiles or CDF values
by Matt Goldman & David M. Kaplan
- 1708.04532 Some stylized facts of the Bitcoin market
by Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf
- 1708.04430 Dynamics of Investor Spanning Trees Around Dot-Com Bubble
by Sindhuja Ranganathan & Mikko Kivela & Juho Kanniainen
- 1708.04339 Optimum thresholding using mean and conditional mean square error
by Jos'e E. Figueroa-L'opez & Cecilia Mancini
- 1708.04337 Optimal placement of a small order in a diffusive limit order book
by Jos'e E. Figueroa-L'opez & Hyoeun Lee & Raghu Pasupathy
- 1708.04281 Valuation of a Bermudan DB underpin hybrid pension benefit
by Xiaobai Zhu & Mary Hardy & David Saunders
- 1708.04217 A General Class of Multifractional Processes and Stock Price Informativeness
by Qidi Peng & Ran Zhao
- 1708.04107 729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index)
by Saleh Albeaik & Mary Kaltenberg & Mansour Alsaleh & C'esar A. Hidalgo
- 1708.03992 Multi-scale analysis of lead-lag relationships in high-frequency financial markets
by Takaki Hayashi & Yuta Koike
- 1708.03551 On the overestimation of the largest eigenvalue of a covariance matrix
by Soufiane Hayou
- 1708.03533 Oil economy phase plot: a physical analogy
by Luciano Celi & Claudio Della Volpe & Luca Pardi & Stefano Siboni
- 1708.03511 Technology networks: the autocatalytic origins of innovation
by Lorenzo Napolitano & Evangelos Evangelou & Emanuele Pugliese & Paolo Zeppini & Graham Room
- 1708.03242 Conditional-Mean Hedging Under Transaction Costs in Gaussian Models
by Tommi Sottinen & Lauri Viitasaari
- 1708.03099 On the existence of sure profits via flash strategies
by Claudio Fontana & Markus Pelger & Eckhard Platen
- 1708.02984 Decoding Stock Market with Quant Alphas
by Zura Kakushadze & Willie Yu
- 1708.02786 Sequential testing for structural stability in approximate factor models
by Matteo Barigozzi & Lorenzo Trapani
- 1708.02715 Order Flows and Limit Order Book Resiliency on the Meso-Scale
by Kyle Bechler & Michael Ludkovski
- 1708.02625 Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market
by Jethro Browell
- 1708.02605 Exact probability distribution function for the volatility of cumulative production
by Rubina Zadourian & Andreas Klumper
- 1708.02563 Turbocharging Monte Carlo pricing for the rough Bergomi model
by Ryan McCrickerd & Mikko S. Pakkanen
- 1708.02424 Cardinality constrained portfolio selection via factor models
by Juan Francisco Monge
- 1708.02411 Nonlinear price impact from linear models
by Felix Patzelt & Jean-Philippe Bouchaud
- 1708.02365 Indirect Inference with a Non-Smooth Criterion Function
by David T. Frazier & Tatsushi Oka & Dan Zhu
- 1708.02193 The phase space structure of the oligopoly dynamical system by means of Darboux integrability
by Adam Krawiec & Tomasz Stachowiak & Marek Szydlowski
- 1708.02180 Financial option insurance
by Qi-Wen Wang & Jian-Jun Shu
- 1708.02073 Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
by Luca Barbaglia & Christophe Croux & Ines Wilms
- 1708.01974 Model Misspecification in ABC: Consequences and Diagnostics
by David T. Frazier & Christian P. Robert & Judith Rousseau
- 1708.01897 Machine learning in sentiment reconstruction of the simulated stock market
by Mikhail Goykhman & Ali Teimouri
- 1708.01890 Optimal Learning under Robustness and Time-Consistency
by Larry G. Epstein & Shaolin Ji
- 1708.01678 On optimal periodic dividend strategies for L\'evy risk processes
by Kei Noba & Jos'e-Luis P'erez & Kazutoshi Yamazaki & Kouji Yano
Printed from https://ideas.repec.org/s/arx/papers97.html
