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Content
2017
- 1705.09827 Mini-Flash Crashes, Model Risk, and Optimal Execution
by Erhan Bayraktar & Alexander Munk
- 1705.09800 Growth-Optimal Portfolio Selection under CVaR Constraints
by Guy Uziel & Ran El-Yaniv
- 1705.09505 The geometry of multi-marginal Skorokhod Embedding
by Mathias Beiglboeck & Alexander Cox & Martin Huesmann
- 1705.09418 Nonparametric Regression with Multiple Thresholds: Estimation and Inference
by Yan-Yu Chiou & Mei-Yuan Chen & Jau-er Chen
- 1705.08955 Classifications of Innovations Survey and Future Directions
by Mario Coccia
- 1705.08545 Financial Time Series Forecasting: Semantic Analysis Of Economic News
by Kateryna Kononova & Anton Dek
- 1705.08536 A Quantum-like Model of Selection Behavior
by Masanari Asano & Irina Basieva & Andrei Khrennikov & Masanori Ohya & Yoshiharu Tanaka
- 1705.08411 Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
by Zailei Cheng
- 1705.08301 Data and uncertainty in extreme risks - a nonlinear expectations approach
by Samuel N. Cohen
- 1705.08291 Sensitivity analysis of the utility maximization problem with respect to model perturbations
by Oleksii Mostovyi & Mihai S^irbu
- 1705.08240 Herding boosts too-connected-to-fail risk in stock market of China
by Shan Lu & Jichang Zhao & Huiwen Wang & Ruoen Ren
- 1705.08033 Social Integration in Two-Sided Matching Markets
by Josue Ortega
- 1705.08022 Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
by Yash Sharma
- 1705.07472 On the Black's equation for the risk tolerance function
by Sigrid Kallblad & Thaleia Zariphopoulou
- 1705.07352 A Dynkin game on assets with incomplete information on the return
by Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve
- 1705.07155 Compressing Over-the-Counter Markets
by Marco D'Errico & Tarik Roukny
- 1705.07092 Wealth dynamics in a sentiment-driven market
by Mikhail Goykhman
- 1705.06918 Local risk-minimization with multiple assets under illiquidity with applications in energy markets
by Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis
- 1705.06899 CDS Rate Construction Methods by Machine Learning Techniques
by Raymond Brummelhuis & Zhongmin Luo
- 1705.06868 Conduct Risk - distribution models with very thin Tails
by Peter Mitic
- 1705.06557 Application of Differential Equations in Projecting Growth Trajectories
by Ron W. Nielsen
- 1705.06533 Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1705.06208 Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation
by Stanislaw Drozdz & Andrzej Kulig & Jaroslaw Kwapien & Artur Niewiarowski & Marek Stanuszek
- 1705.06141 Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
by Shaolin Ji & Hanqing Jin & Xiaomin Shi
- 1705.05943 Banks as Tanks: A Continuous-Time Model of Financial Clearing
by Isaac M. Sonin & Konstantin Sonin
- 1705.05934 Analytic techniques for option pricing under a hyperexponential L\'{e}vy model
by Daniel Hackmann
- 1705.05882 Shorting in Speculative Markets
by Marcel Nutz & Jos'e A. Scheinkman
- 1705.05666 Minimum R\'enyi Entropy Portfolios
by Nathan Lassance & Fr'ed'eric Vrins
- 1705.05572 A Novel Approach to Quantification of Model Risk for Practitioners
by Zuzana Krajcovicova & Pedro Pablo Perez-Velasco & Carlos Vazquez
- 1705.05334 Evolutionary dynamics of the cryptocurrency market
by Abeer ElBahrawy & Laura Alessandretti & Anne Kandler & Romualdo Pastor-Satorras & Andrea Baronchelli
- 1705.04780 Calibration and Filtering of Exponential L\'evy Option Pricing Models
by Stavros J. Sioutis
- 1705.04765 Inference on Breakdown Frontiers
by Matthew A. Masten & Alexandre Poirier
- 1705.04537 Murphy Diagrams: Forecast Evaluation of Expected Shortfall
by Johanna F. Ziegel & Fabian Kruger & Alexander Jordan & Fernando Fasciati
- 1705.03929 Investing for the Long Run
by Dietmar Leisen & Eckhard Platen
- 1705.03848 Propensity to spending of an average consumer over a brief period
by Roberto De Luca & Marco Di Mauro & Angelo Falzarano & Adele Naddeo
- 1705.03787 A note on the impact of management fees on the pricing of variable annuity guarantees
by Jin Sun & Pavel V. Shevchenko & Man Chung Fung
- 1705.03724 Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
by Miryana Grigorova & Marie-Claire Quenez
- 1705.03666 Hybrid PDE solver for data-driven problems and modern branching
by Francisco Bernal & Gonc{c}alo dos Reis & Greig Smith
- 1705.03647 Polynomial processes in stochastic portfolio theory
by Christa Cuchiero
- 1705.03458 Maximum Entropy Principle underlying the dynamics of automobile sales
by A. Hernando & D. Villuendas & M. Sulc & R. Hernando & R. Seoane & A. Plastino
- 1705.03423 Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
by Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer
- 1705.03396 Machine Learning Techniques for Mortality Modeling
by Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich
- 1705.03233 Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
by Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1705.02933 Duality for pathwise superhedging in continuous time
by Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi
- 1705.02789 Unspanned Stochastic Volatility in the Multi-factor CIR Model
by Damir Filipovi'c & Martin Larsson & Francesco Statti
- 1705.02559 An equation for a time-dependent profit rate
by Rafael D. Sorkin
- 1705.02473 Computation of second order price sensitivities in depressed markets
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1705.02440 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
by Masaaki Fujii & Akihiko Takahashi
- 1705.02344 Noisy independent component analysis of auto-correlated components
by Jakob Knollmuller & Torsten A. En{ss}lin
- 1705.02291 Optimal consumption of multiple goods in incomplete markets
by Oleksii Mostovyi
- 1705.02187 The Indirect Effects of FDI on Trade: A Network Perspective
by Paolo Sgrignoli & Rodolfo Metulini & Zhen Zhu & Massimo Riccaboni
- 1705.02154 Leontief Meets Shannon - Measuring the Complexity of the Economic System
by Dave Zachariah & Paul Cockshott
- 1705.02087 A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
by Christa Cuchiero & Irene Klein & Josef Teichmann
- 1705.01654 Are Unobservables Separable?
by Andrii Babii & Jean-Pierre Florens
- 1705.01454 The Payoff Region of a Strategic Game and Its Extreme Points
by Yu-Sung Tu & Wei-Torng Juang
- 1705.01446 Algorithmic trading in a microstructural limit order book model
by Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham
- 1705.01407 Sparse Portfolio selection via Bayesian Multiple testing
by Sourish Das & Rituparna Sen
- 1705.01406 The q-dependent detrended cross-correlation analysis of stock market
by Longfeng Zhao & Wei Li & Andrea Fenu & Boris Podobnik & Yougui Wang & H. Eugene Stanley
- 1705.01348 An Alternative Estimation of Market Volatility based on Fuzzy Transform
by Luigi Troiano & Elena Mejuto Villa & Pravesh Kriplani
- 1705.01302 A McKean-Vlasov approach to distributed electricity generation development
by Ren'e Aid & Matteo Basei & Huy^en Pham
- 1705.01145 Stochastic modelling of non-stationary financial assets
by Joana Estevens & Paulo Rocha & Joao Boto & Pedro Lind
- 1705.01144 A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector
by Jaydip Sen & Tamal Datta Chaudhuri
- 1705.01142 Machine Learning for Better Models for Predicting Bond Prices
by Swetava Ganguli & Jared Dunnmon
- 1705.01069 Pricing Variance Swaps on Time-Changed Markov Processes
by Peter Carr & Roger Lee & Matthew Lorig
- 1705.00891 A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes
by Syed Ali Asad Rizvi & Stephen J. Roberts & Michael A. Osborne & Favour Nyikosa
- 1705.00864 Towards the Exact Simulation Using Hyperbolic Brownian Motion
by Yuuki Ida & Yuri Imamura
- 1705.00691 Particle systems with singular interaction through hitting times: application in systemic risk modeling
by Sergey Nadtochiy & Mykhaylo Shkolnikov
- 1705.00672 Portfolio Choice with Small Temporary and Transient Price Impact
by Ibrahim Ekren & Johannes Muhle-Karbe
- 1705.00558 Implied Stopping Rules for American Basket Options from Markovian Projection
by Christian Bayer & Juho Happola & Ra'ul Tempone
- 1705.00543 Are target date funds dinosaurs? Failure to adapt can lead to extinction
by Peter A. Forsyth & Yuying Li & Kenneth R. Vetzal
- 1705.00535 A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?
by Stavros Stavroyiannis
- 1705.00340 Risk Minimization, Regret Minimization and Progressive Hedging Algorithms
by Jie Sun & Xinmin Yang & Qiang Yao & Min Zhang
- 1705.00336 Stratonovich representation of semimartingale rank processes
by Robert Fernholz
- 1705.00284 Periodic strategies in optimal execution with multiplicative price impact
by Daniel Hern'andez-Hern'andez & Harold A. Moreno-Franco & Jos'e Luis P'erez
- 1705.00231 Optimal Invariant Tests in an Instrumental Variables Regression With Heteroskedastic and Autocorrelated Errors
by Marcelo J. Moreira & Mahrad Sharifvaghefi & Geert Ridder
- 1705.00212 Option pricing: A yet simpler approach
by Jarno Talponen & Minna Turunen
- 1705.00109 Multi-Period Trading via Convex Optimization
by Stephen Boyd & Enzo Busseti & Steven Diamond & Ronald N. Kahn & Kwangmoo Koh & Peter Nystrup & Jan Speth
- 1704.08612 Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix
by Tetsuya Takaishi
- 1704.08523 Economic Neutral Position: How to best replicate not fully replicable liabilities
by Andreas Kunz & Markus Popp
- 1704.08488 Optimal client recommendation for market makers in illiquid financial products
by Dieter Hendricks & Stephen J. Roberts
- 1704.08234 Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model
by Nian Yao & Zhiming Yang
- 1704.08175 High-Frequency Jump Analysis of the Bitcoin Market
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan
- 1704.08161 Stability of zero-growth economics analysed with a Minskyan model
by Adam B. Barrett
- 1704.08066 Bootstrap-Based Inference for Cube Root Asymptotics
by Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa
- 1704.07597 Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles
by Tushar Vaidya & Carlos Murguia & Georgios Piliouras
- 1704.07321 Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
by Andrei Cozma & Christoph Reisinger
- 1704.07235 Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle
by Umberto Cherubini & Paolo Neri
- 1704.07152 Asymptotic multivariate expectiles
by V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said
- 1704.06791 The effect of heterogeneity on financial contagion due to overlapping portfolios
by Opeoluwa Banwo & Fabio Caccioli & Paul Harrald & Francesca Medda
- 1704.06697 Pairs Trading under Drift Uncertainty and Risk Penalization
by Suhan Altay & Katia Colaneri & Zehra Eksi
- 1704.06572 A level-1 Limit Order book with time dependent arrival rates
by Jonathan A. Ch'avez-Casillas & Robert J. Elliott & Bruno R'emillard & Anatoliy V. Swishchuk
- 1704.06550 On mean-variance hedging under partial observations and terminal wealth constraints
by Vitalii Makogin & Alexander Melnikov & Yuliya Mishura
- 1704.06508 Scaling evidence of the homothetic nature of cities
by R'emi Lemoy & Geoffrey Caruso
- 1704.06429 Simple wealth distribution model causing inequality-induced crisis without external shocks
by Henri Benisty
- 1704.06388 Fast Quantization of Stochastic Volatility Models
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen
- 1704.06027 Structural price model for electricity coupled markets
by Clemence Alasseur & Olivier Feron
- 1704.05818 Anomalous Scaling of Stochastic Processes and the Moses Effect
by Lijian Chen & Kevin E. Bassler & Joseph L. McCauley & Gemunu H. Gunaratne
- 1704.05729 A generalized Bayesian framework for the analysis of subscription based businesses
by Rahul Madhavan & Ankit Baraskar
- 1704.05499 Quantifying instabilities in Financial Markets
by Bruna Amin Gonc{c}alves & Laura Carpi & Osvaldo A. Rosso & Martin G. Ravetti & A. P. F Atman
- 1704.05332 The case of 'Less is more': Modelling risk-preference with Expected Downside Risk
by Mihaly Ormos & Dusan Timotity
- 1704.05308 High-order compact finite difference scheme for option pricing in stochastic volatility jump models
by Bertram During & Alexander Pitkin
- 1704.05276 Best reply structure and equilibrium convergence in generic games
by Marco Pangallo & Torsten Heinrich & J Doyne Farmer
- 1704.05015 Measurement of Economic Growth, Development and Under Development: New Model and Application
by Mario Coccia
- 1704.04979 Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market
by Vahid Moosavi
- 1704.04524 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe
- 1704.04450 Simplifying credit scoring rules using LVQ+PSO
by Laura Cristina Lanzarini & Augusto Villa Monte & Aurelio F. Bariviera & Patricia Jimbo Santana
- 1704.04442 Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
by Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso
- 1704.04354 An empirical behavioural order-driven model with price limit rules
by Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou
- 1704.03597 Exploring the relationship between technological improvement and innovation diffusion: An empirical test
by JongRoul Woo & Christopher L. Magee
- 1704.03244 Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
by Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva
- 1704.03239 Sparse Bayesian vector autoregressions in huge dimensions
by Gregor Kastner & Florian Huber
- 1704.03205 On Feature Reduction using Deep Learning for Trend Prediction in Finance
by Luigi Troiano & Elena Mejuto & Pravesh Kriplani
- 1704.03110 Bartlett's delta in the SABR model
by Patrick S. Hagan & Andrew Lesniewski
- 1704.02638 A fractional reaction-diffusion description of supply and demand
by Michael Benzaquen & Jean-Philippe Bouchaud
- 1704.02505 Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility
by Dirk Becherer & Klebert Kentia
- 1704.02453 Consistent Approval-Based Multi-Winner Rules
by Martin Lackner & Piotr Skowron
- 1704.02392 Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics
by Jennifer Jhun & Patricia Palacios & James Owen Weatherall
- 1704.02377 On absence of steady state in the Bouchaud-M\'ezard network model
by Zhiyuan Liu & R. A. Serota
- 1704.02213 A Joint Quantile and Expected Shortfall Regression Framework
by Timo Dimitriadis & Sebastian Bayer
- 1704.02160 A systemic shock model for too big to fail financial institutions
by Sabrina Mulinacci
- 1704.02036 On a pricing problem for a multi-asset option with general transaction costs
by Pablo Amster & Andres P. Mogni
- 1704.01840 The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries
by Claudiu Tiberiu Albulescu & Dominique P'epin & Stephen Miller
- 1704.01608 Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks
by Andreas Frohlich & Annegret Weng
- 1704.01503 Multivariate Geometric Expectiles
by Klaus Herrmann & Marius Hofert & Melina Mailhot
- 1704.01366 Replica Analysis for Portfolio Optimization with Single-Factor Model
by Takashi Shinzato
- 1704.01316 ICT and Employment in India: A Sectoral Level Analysis
by Dr. Pawan Kumar
- 1704.01179 The Wandering of Corn
by Valerii Salov
- 1704.01174 Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios
by Nonthachote Chatsanga & Andrew J. Parkes
- 1704.01066 Tests for qualitative features in the random coefficients model
by Fabian Dunker & Konstantin Eckle & Katharina Proksch & Johannes Schmidt-Hieber
- 1704.01028 Interconnectedness in the Global Financial Market
by Matthias Raddant & Dror Y. Kenett
- 1704.00985 Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1704.00847 Incorporating Signals into Optimal Trading
by Charles-Albert Lehalle & Eyal Neuman
- 1704.00416 Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
- 1704.00383 How Wave - Wavelet Trading Wins and "Beats" the Market
by Lanh Tran
- 1704.00256 Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms
by Visant Ahuja
- 1703.10981 On coherency and other properties of MAXVAR
by Jie Sun & Qiang Yao
- 1703.10897 Multi-unit Assignment under Dichotomous Preferences
by Josue Ortega
- 1703.10832 Social dynamics of financial networks
by Teruyoshi Kobayashi & Taro Takaguchi
- 1703.10825 Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
- 1703.10806 Probabilistic Mid- and Long-Term Electricity Price Forecasting
by Florian Ziel & Rick Steinert
- 1703.10639 Agent-Based Model Calibration using Machine Learning Surrogates
by Francesco Lamperti & Andrea Roventini & Amir Sani
- 1703.10588 Multiperiod Martingale Transport
by Marcel Nutz & Florian Stebegg & Xiaowei Tan
- 1703.10469 Harry Potter and the Goblin Bank of Gringotts
by Zachary Feinstein
- 1703.10098 Rational Choice and Artificial Intelligence
by Tshilidzi Marwala
- 1703.09782 FIEMS: Fast Italian Energy Market Simulator
by Matteo Gardini & Marco Diana
- 1703.09748 Smallest order closed sublattices and option spanning
by Niushan Gao & Denny H. Leung
- 1703.09667 Biased Risk Parity with Fractal Model of Risk
by Sergey Kamenshchikov & Ilia Drozdov
- 1703.09500 Non-parametric and semi-parametric asset pricing
by Peter Erdos & Mihaly Ormos & David Zibriczky
- 1703.09386 Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
by Tetsuya Takaishi & Toshiaki Watanabe
- 1703.09129 A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet
by Amirhossein Sobhani & Mariyan Milev
- 1703.08812 Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
by Ravi Kashyap
- 1703.08807 Ex-post core, fine core and rational expectations equilibrium allocations
by Anuj Bhowmik & Jiling Cao
- 1703.08781 Emergence of world-stock-market network
by M. Saeedian & T. Jamali & M. Z. Kamali & H. Bayani & T. Yasseri & G. R. Jafari
- 1703.08750 Game-Theoretic Vaccination Against Networked SIS Epidemics and Impacts of Human Decision-Making
by Ashish R. Hota & Shreyas Sundaram
- 1703.08715 Towards a probability-free theory of continuous martingales
by Vladimir Vovk & Glenn Shafer
- 1703.08534 A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
by Sigrid Kallblad
- 1703.08282 Cohort effects in mortality modelling: a Bayesian state-space approach
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko
- 1703.07685 Mean field and n-agent games for optimal investment under relative performance criteria
by Daniel Lacker & Thaleia Zariphopoulou
- 1703.07513 An Agent-based Model of Contagion in Financial Networks
by Leonardo dos Santos Pinheiro & Flavio Codeco COelho
- 1703.07339 Stochastic control on the half-line and applications to the optimal dividend/consumption problem
by Dariusz Zawisza
- 1703.06969 Optimal Portfolio under Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1703.06840 New approaches in agent-based modeling of complex financial systems
by T. T. Chen & B. Zheng & Y. Li & X. F. Jiang
- 1703.06739 Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders
by Kiyoshi Kanazawa & Takumi Sueshige & Hideki Takayasu & Misako Takayasu
- 1703.06603 A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
by Sujay Mukhoti & Pritam Ranjan
- 1703.06351 Election Predictions as Martingales: An Arbitrage Approach
by Nassim Nicholas Taleb
- 1703.06020 Pricing VIX Derivatives With Free Stochastic Volatility Model
by Wei Lin & Shenghong Li & Shane Chern
- 1703.05979 How well do experience curves predict technological progress? A method for making distributional forecasts
by Franc{c}ois Lafond & Aimee Gotway Bailey & Jan David Bakker & Dylan Rebois & Rubina Zadourian & Patrick McSharry & J. Doyne Farmer
- 1703.05709 Incorporating statistical model error into the calculation of acceptability prices of contingent claims
by Martin Glanzer & Georg Ch. Pflug & Alois Pichler
- 1703.05240 Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life
by Francis Tseng & Fei Liu & Bernardo Alves Furtado
- 1703.05132 Short-time near-the-money skew in rough fractional volatility models
by Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper
- 1703.05049 Perfect hedging in rough Heston models
by Omar El Euch & Mathieu Rosenbaum
- 1703.05047 Data driven partition-of-unity copulas with applications to risk management
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1703.04549 Systemic Risk, Maximum Entropy and Interbank Contagion
by M. Andrecut
- 1703.04423 Extremal Behavior of Long-Term Investors with Power Utility
by Nicole Bauerle & Stefanie Grether
- 1703.04385 Topological Data Analysis of Financial Time Series: Landscapes of Crashes
by Marian Gidea & Yuri Katz
- 1703.03638 On representing and hedging claims for coherent risk measures
by Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui
- 1703.03195 Diffusive and arrested-like dynamics in currency exchange markets
by Joaquim Clara-Rahola & Antonio M. Puertas & Miguel Angel Sanchez-Granero & Juan E. Trinidad-Segovia & F. Javier de las Nieves
- 1703.03016 Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network
by Javier Garcia-Bernardo & Jan Fichtner & Eelke M. Heemskerk & Frank W. Takes
- 1703.02865 Networks as Proxies: a relational approach towards economic complexity in the Roman period
by Johannes Preiser-Kapeller
- 1703.02777 Pythagorean theorem of Sharpe ratio
by Takashi Shinzato
- 1703.02720 Model Selection for Explosive Models
by Yubo Tao & Jun Yu
- 1703.02715 Joint News, Attention Spillover,and Market Returns
by Li Guo & Lin Peng & Yubo Tao & Jun Tu
- 1703.02694 Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
by Samuel Drapeau & Peng Luo & Dewen Xiong
- 1703.02311 Mini-symposium on automatic differentiation and its applications in the financial industry
by S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai
- 1703.02105 Network Structure and Naive Sequential Learning
by Krishna Dasaratha & Kevin He
- 1703.02104 Long-run dynamics of the U.S. patent classification system
by Francois Lafond & Daniel Kim
- 1703.01989 Wisdom of the institutional crowd
by Kevin Primicerio & Damien Challet & Stanislao Gualdi
- 1703.01984 Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
by Danping Li & Dongchen Li & Virginia R. Young
- 1703.01574 Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading
by Dmitry Muravey
- 1703.01505 Blockchains and Distributed Ledgers in Retrospective and Perspective
by Alexander Lipton
- 1703.01369 Collective Learning in China's Regional Economic Development
by Jian Gao & Bogang Jun & Alex Sandy Pentland & Tao Zhou & Cesar A. Hidalgo
- 1703.01329 Disentangling Price, Risk and Model Risk: V&R measures
by Marco Frittelli & Marco Maggis
- 1703.01292 Quantifying China's Regional Economic Complexity
by Jian Gao & Tao Zhou
- 1703.01291 Swarm behavior of traders with different subjective predictions in the Market
by Hiroshi Toyoizumi
- 1703.01137 Model Spaces for Risk Measures
by Felix-Benedikt Liebrich & Gregor Svindland
- 1703.00957 Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
by Stefano De Marco & Claude Martini
- 1703.00923 Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies
by Jorge Inigo
- 1703.00918 A note on conditional covariance matrices for elliptical distributions
by Piotr Jaworski & Marcin Pitera
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