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July 2021, Volume 21, Issue 7
- 1087-1108 Computation of expected shortfall by fast detection of worst scenarios
by Bruno Bouchard & Adil Reghai & Benjamin Virrion - 1109-1125 Backtesting expected shortfall and beyond
by Kaihua Deng & Jie Qiu - 1127-1146 Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
by Masaaki Fukasawa & Asuto Hirano - 1147-1161 Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
by Yuji Shinozaki - 1163-1185 Multilayer information spillover networks: measuring interconnectedness of financial institutions
by Gang-Jin Wang & Shuyue Yi & Chi Xie & H. Eugene Stanley - 1187-1206 Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
by Lijun Bo & Yanchu Liu & Tingting Zhang - 1207-1221 Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
by M. Bee & J. Hambuckers & L. Trapin - 1223-1233 Bond indifference prices
by Matthew Lorig & Bin Zou
June 2021, Volume 21, Issue 6
- 881-889 Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle
by Andrew F. Siegel - 891-892 Handbook of Financial Risk Management
by Allan M. Malz - 893-909 Smart Alpha: active management with unstable and latent factors
by C. Boucher & A. Jasinski & P. Kouontchou & S. Tokpavi - 911-928 A practical guide to robust portfolio optimization
by C. Yin & R. Perchet & F. Soupé - 929-943 The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics
by Gurupdesh Pandher - 945-965 Informative option portfolios in filter design for option pricing models
by Piotr Orłowski - 967-989 Effects of a government subsidy and labor flexibility on portfolio selection and retirement
by Kyunghyun Park & Hyoseob Lee & Yong Hyun Shin - 991-1010 Robust portfolios with commodities and stochastic interest rates
by Junhe Chen & Matt Davison & M. Escobar-Anel & Golara Zafari - 1011-1025 Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis
by Kerstin Bergk & Mario Brandtner & Wolfgang Kürsten - 1027-1035 Portfolio choices: comparative statics under both expected return and volatility uncertainty
by Qian Lin & Dejian Tian - 1037-1065 Call auction, continuous trading and closing price formation
by Jiayi Li & Sumei Luo & Guangyou Zhou
May 2021, Volume 21, Issue 5
- 697-710 Lattice-based hedging schemes under GARCH models
by Maciej Augustyniak & Alexandru Badescu & Zhiyu Guo - 711-712 Financial Modeling in Commodity Markets
by Stein Frydenberg - 713-727 Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
by Ana González-Urteaga & Belén Nieto & Gonzalo Rubio - 729-752 Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
by Alexander Wehrli & Spencer Wheatley & Didier Sornette - 753-770 Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
by J. L. Ma & S. S. Zhu & Y. Wu - 771-796 Improvements in estimating the probability of informed trading models
by Tsung-Chi Cheng & Hung-Neng Lai - 797-813 Generative adversarial networks for financial trading strategies fine-tuning and combination
by Adriano Koshiyama & Nick Firoozye & Philip Treleaven - 815-835 The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
by Minjoo Kim & Junhong Yang & Pengcheng Song & Yang Zhao - 837-852 Effective stochastic volatility: applications to ZABR-type models
by M. Felpel & J. Kienitz & T. A. McWalter - 853-863 Jumps and oil futures volatility forecasting: a new insight
by Feng Ma & Chao Liang & Qing Zeng & Haibo Li - 865-879 Uncertainty shocks of Trump election in an interval model of stock market
by Yuying Sun & Kenan Qiao & Shouyang Wang
April 2021, Volume 21, Issue 4
- 1-1 Correction
by The Editors - 523-537 Graph theoretical representations of equity indices and their centrality measures
by Luca F. Di Cerbo & Stephen Taylor - 539-540 Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models
by Artem Dyachenko - 541-563 Rough volatility, CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime
by Martin Forde & Benjamin Smith & Lauri Viitasaari - 565-574 Fractional stochastic volatility correction to CEV implied volatility
by Hyun-Gyoon Kim & Se-Jin Kwon & Jeong-Hoon Kim - 575-592 Artificial neural network for option pricing with and without asymptotic correction
by Hideharu Funahashi - 593-608 Equal risk pricing of derivatives with deep hedging
by Alexandre Carbonneau & Frédéric Godin - 609-635 Application of power series approximation techniques to valuation of European style options
by Nikolay Gudkov & Jonathan Ziveyi - 637-655 A functional analysis approach to the static replication of European options
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - 657-671 Mean-variance portfolio selection with non-negative state-dependent risk aversion
by Tianxiao Wang & Zhuo Jin & Jiaqin Wei - 673-684 Efficient computation of mean reverting portfolios using cyclical coordinate descent
by T. Griveau-Billion & B. Calderhead - 685-696 An alternative nonparametric tail risk measure
by Keith K.F. Law & W.K. Li & Philip L.H. Yu
March 2021, Volume 21, Issue 3
- 361-376 Quantization goes polynomial
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini - 377-378 Metals and Energy Finance
by Jacco Thijssen - 379-402 Robust statistical arbitrage strategies
by Eva Lütkebohmert & Julian Sester - 403-419 G-expected utility maximization with ambiguous equicorrelation
by Chi Seng Pun - 421-429 Realized higher-order comoments
by Kwangil Bae & Soonhee Lee - 431-447 A cost-effective approach to portfolio construction with range-based risk measures
by Chi Seng Pun & Lei Wang - 449-460 TERES: Tail Event Risk Expectile Shortfall
by Andrija Mihoci & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen - 461-480 A Markov chain approximation scheme for option pricing under skew diffusions
by Kailin Ding & Zhenyu Cui & Yongjin Wang - 481-499 Speed-up credit exposure calculations for pricing and risk management
by Kathrin Glau & Ricardo Pachon & Christian Pötz - 501-522 Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
by W. Dong & B. Kang
February 2021, Volume 21, Issue 2
- 185-195 Optimal multi-asset trading with linear costs: a mean-field approach
by Matt Emschwiller & Benjamin Petit & Jean-Philippe Bouchaud - 197-198 A Course on Rough Paths: With an Introduction to Regularity Structures
by Antoine Lejay - 199-219 Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
by John R. Birge & L. Chavez-Bedoya - 221-242 Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 243-261 Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
by R. Giacometti & G. Torri & S. Paterlini - 263-270 A note on - vs. -expected loss portfolio constraints
by Jia-Wen Gu & Mogens Steffensen & Harry Zheng - 271-280 Martingale transport with homogeneous stock movements
by Stephan Eckstein & Michael Kupper - 281-294 Static replication of barrier-type options via integral equations
by Kyoung-Kuk Kim & Dong-Young Lim - 295-304 The market nanostructure origin of asset price time reversal asymmetry
by Marcus Cordi & Damien Challet & Serge Kassibrakis - 305-322 Pricing and hedging performance on pegged FX markets based on a regime switching model
by Yunbo Zhang & Samuel Drapeau - 323-340 Design of adaptive Elman networks for credit risk assessment
by Marco Corazza & Davide De March & Giacomo di Tollo - 341-360 Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
by Viktor Manahov
January 2021, Volume 21, Issue 1
- 1-8 Volatility has to be rough
by Masaaki Fukasawa - 9-10 Machine Learning in Finance: From Theory to Practice
by Guillaume Coqueret - 11-27 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
by Blanka Horvath & Aitor Muguruza & Mehdi Tomas - 29-44 Dynamic programming for optimal stopping via pseudo-regression
by Christian Bayer & Martin Redmann & John Schoenmakers - 45-67 Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
by Yangang Chen & Justin W. L. Wan - 69-84 Market impact: a systematic study of the high frequency options market
by Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Frédéric Abergel - 85-97 Algorithmic market making for options
by Bastien Baldacci & Philippe Bergault & Olivier Guéant - 99-123 XVA analysis from the balance sheet
by Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine - 125-142 Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities
by Jimmy E. Hilliard & Jitka Hilliard & Yinan Ni - 143-163 Mechanics of good trade execution in the framework of linear temporary market impact
by Claudio Bellani & Damiano Brigo - 165-183 Multivariate continuous-time modeling of wind indexes and hedging of wind risk
by Fred E. Benth & Troels S. Christensen & Victor Rohde
December 2020, Volume 20, Issue 12
- 1889-1898 Modeling and solving portfolio selection problems based on PVaR
by Yanli Huo & Chunhui Xu & Takayuki Shiina - 1901-1902 Editor’s foreword
by Ke Tang - 1903-1925 Bond flotation with exotic commodity collateral
by M. A. H. Dempster - 1927-1966 The impact of US macroeconomic news announcements on Chinese commodity futures
by Haidong Cai & Shamim Ahmed & Ying Jiang & Xiaoquan Liu - 1967-1981 Identifying the influential factors of commodity futures prices through a new text mining approach
by Jianping Li & Guowen Li & Xiaoqian Zhu & Yanzhen Yao - 1983-1996 Index volatility and the put-call ratio: a tale of three markets
by Jianhua Gang & Nan Huang & Ke Song & Ruyi Zhang - 1997-2013 Hedging housing price risks: some empirical evidence from the US
by Li Bao & William Cheung & Stephan Unger - 2015-2024 The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets
by Gideon Bruce Arkorful & Haiqiang Chen & Xiaoqun Liu & Chuanhai Zhang - 2025-2036 Volatility information difference between CDS, options, and the cross section of options returns
by Biao Guo & Yukun Shi & Yaofei Xu - 2037-2053 Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
by Changfu Ma & Wei Xu & George Yuan - 2055-2065 Chinese write-down bonds: issuance and bank capital structure
by P. Li & Y. Han & S. Lin & T. Qiao - 2067-2083 Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
by Feng He & Baiao Liu-Chen & Xiangtong Meng & Xiong Xiong & Wei Zhang - 2085-2100 Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
by Shimeng Shi & Pei Liu & Jiayuan Xin - 2101-2114 Neural network-based automatic factor construction
by Jie Fang & Jianwu Lin & Shutao Xia & Zhikang Xia & Shenglei Hu & Xiang Liu & Yong Jiang
November 2020, Volume 20, Issue 11
- 1749-1760 Pricing American options by exercise rate optimization
by Christian Bayer & Raúl Tempone & Sören Wolfers - 1761-1762 Machine Learning for Asset Managers
by Kris Boudt - 1765-1778 Unveiling the relation between herding and liquidity with trader lead-lag networks
by Carlo Campajola & Fabrizio Lillo & Daniele Tantari - 1779-1794 The information content of high-frequency traders aggressive orders: recent evidence
by Pamela Saliba - 1795-1809 Testing for jumps based on high-frequency data: a method exploiting microstructure noise
by Guangying Liu & Jing Xiang & Yuquan Cang - 1811-1823 Pricing exchange options with correlated jump diffusion processes
by Nicola Cufaro Petroni & Piergiacomo Sabino - 1825-1837 A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
by Toshihiro Yamada & Kenta Yamamoto - 1839-1848 On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
by Fabio Bellini & Lorenzo Mercuri & Edit Rroji - 1849-1878 Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
by Richard Gerlach & Antonio Naimoli & Giuseppe Storti - 1879-1887 Forecasting high-dimensional realized volatility matrices using a factor model
by Keren Shen & Jianfeng Yao & Wai Keung Li
October 2020, Volume 20, Issue 10
- 1583-1589 An options-pricing approach to election prediction
by John Fry & Matt Burke - 1591-1594 High-Dimensional Probability: An Introduction with Applications in Data Science
by Omiros Papaspiliopoulos - 1597-1623 Inversion of convex ordering in the VIX market
by Julien Guyon - 1625-1644 Optimal and equilibrium execution strategies with generalized price impact
by Masamitsu Ohnishi & Makoto Shimoshimizu - 1645-1661 Forward-looking portfolio selection with multivariate non-Gaussian models
by Michele Leonardo Bianchi & Gian Luca Tassinari - 1663-1679 m-Double Poisson Lévy markets
by W. Buckley & H. Long & S. Perera - 1681-1699 Adjusting covariance matrix for risk management
by Philip L. H. Yu & F.C. Ng & Jessica K.W. Ting - 1701-1720 Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
by Jiangming Xiang & Xiaoqun Wang - 1721-1748 An agent-based model for the assessment of LTV caps
by Dimitrios Laliotis & Alejandro Buesa & Miha Leber & Javier Población
September 2020, Volume 20, Issue 9
- 1405-1413 A neural network approach to understanding implied volatility movements
by Jay Cao & Jacky Chen & John Hull - 1415-1416 Behavioral Finance: What Everyone Needs to Know
by The Editors - 1419-1440 Quant GANs: deep generation of financial time series
by Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer - 1441-1456 Modelling the joint behaviour of electricity prices in interconnected markets
by Troels Sønderby Christensen & Fred Espen Benth - 1457-1473 Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
by Christian Bayer & Chiheb Ben Hammouda & Raúl Tempone - 1475-1493 Clearing price distributions in call auctions
by M. Derksen & B. Kleijn & R. de Vilder - 1495-1512 Optimal market making in the presence of latency
by Xuefeng Gao & Yunhan Wang - 1513-1530 High-dimensional index tracking based on the adaptive elastic net
by Lianjie Shu & Fangquan Shi & Guoliang Tian - 1531-1551 Stock-specific sentiment and return predictability
by Guillaume Coqueret - 1553-1566 Measuring liquidity commonality in financial markets
by Chenlu Li & Baibing Li & Kai-Hong Tee - 1567-1581 Deep learning for ranking response surfaces with applications to optimal stopping problems
by Ruimeng Hu
August 2020, Volume 20, Issue 8
- 1227-1235 Strike from volatility and delta-with-premium
by Peter Jäckel - 1237-1238 Book review
by The Editors - 1239-1261 Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
by John M. Mulvey & Yifan Sun & Mengdi Wang & Jing Ye - 1263-1283 Algorithmic trading in a microstructural limit order book model
by Frédéric Abergel & Côme Huré & Huyên Pham - 1285-1306 Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process
by Lan Wu & Xin Zang & Hongxin Zhao - 1307-1324 Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
by Tat Lung (Ron) Chan & Nicholas Hale - 1325-1343 An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
by Tat Lung (Ron) Chan - 1345-1371 Macroeconomic fundamentals, jump dynamics and expected volatility
by Zhiyuan Pan & Ruijun Bu & Li Liu & Yudong Wang - 1373-1388 From equity to default correlation with taxes
by Sheen Liu & Howard Qi & Yan Alice Xie - 1389-1404 Accelerated share repurchase and other buyback programs: what neural networks can bring
by Olivier Guéant & Iuliia Manziuk & Jiang Pu
July 2020, Volume 20, Issue 7
- 1045-1056 Shock amplification in financial networks with applications to the CCP feasibility
by Dohyun Ahn - 1057-1058 Stochastic Disorder Problems
by Sébastien Lleo - 1059-1068 Are trading invariants really invariant? Trading costs matter
by Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen - 1069-1083 Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
by G. dos Reis & M. Pfeuffer & G. Smith - 1085-1100 Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
by Yang-Che Wu & Ting-Fu Chen & Shih-Kuei Lin - 1101-1122 Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective
by George Chalamandaris - 1123-1148 Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
by Robert Matthijs Verschuren - 1149-1167 Stock volatility predictability in bull and bear markets
by Xingyi Li & Valeriy Zakamulin - 1169-1184 Effects of intervaling on high-frequency realized higher-order moments
by Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan - 1185-1197 Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
by Jean-Michel Maeso & Lionel Martellini - 1199-1211 Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
by Jingtang Ma & Zhengyang Lu & Wenyuan Li & Jie Xing - 1213-1226 Forward or backward simulation? A comparative study
by Piergiacomo Sabino
June 2020, Volume 20, Issue 6
- 887-894 From risk bearing to propheteering
by Ilia Bouchouev - 895-897 Stochastic Flows and Jump-Diffusions
by Tak Kuen Siu - 899-918 Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
by C. E. Phelan & D. Marazzina & G. Germano - 919-933 A comparison principle between rough and non-rough Heston models—with applications to the volatility surface
by M. Keller-Ressel & A. Majid - 935-948 A revised option pricing formula with the underlying being banned from short selling
by Xin-Jiang He & Song-Ping Zhu - 949-967 Exchange options under clustered jump dynamics
by Yong Ma & Dongtao Pan & Tianyang Wang - 969-984 Slow-moving capital and stock returns
by Sergey Isaenko - 985-1007 Trend following with momentum versus moving averages: a tale of differences
by Valeriy Zakamulin & Javier Giner - 1009-1026 The implied Sharpe ratio
by Ankush Agarwal & Matthew Lorig - 1027-1043 Noise fit, estimation error and a Sharpe information criterion
by Dirk Paulsen & Jakob Söhl
May 2020, Volume 20, Issue 5
- 709-719 Option pricing methods in the City of London during the late 19th century
by George Dotsis - 721-722 Collected Works of Marida Bertocchi
by Costanza Torricelli - 723-743 On the first hitting time density for a reducible diffusion process
by Alexander Lipton & Vadim Kaushansky - 745-767 Probability weighting and default risk: a possible explanation for distressed stock puzzles
by Akira Yamazaki - 769-781 Random matrix models for datasets with fixed time horizons
by G. L. Zitelli - 783-797 A neural network enhanced volatility component model
by Jia Zhai & Yi Cao & Xiaoquan Liu - 799-821 Dynamic principal component CAW models for high-dimensional realized covariance matrices
by Bastian Gribisch & Michael Stollenwerk - 823-849 Implied volatility sentiment: a tale of two tails
by Luiz Félix & Roman Kräussl & Philip Stork - 851-865 Pricing high-dimensional American options by kernel ridge regression
by Wenbin Hu & Tomasz Zastawniak - 867-886 Variable annuities in a Lévy-based hybrid model with surrender risk
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine
April 2020, Volume 20, Issue 4
- 531-542 Conic quantization: stochastic volatility and market implied liquidity
by Lucio Fiorin & Wim Schoutens - 543-544 Infinite Powers: The Story of Calculus - The Language of the Universe
by Sébastien Lleo - 545-545 Calendar
by The Editors - 547-571 Scenario analysis for derivative portfolios via dynamic factor models
by Martin B. Haugh & Octavio Ruiz Lacedelli - 573-591 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 593-617 The dynamics of ex-ante weighted spread: an empirical analysis
by Georges Dionne & Xiaozhou Zhou - 619-638 VIX futures term structure and the expectations hypothesis
by Ivan Oscar Asensio - 639-652 Index tracking through deep latent representation learning
by Saejoon Kim & Soong Kim - 653-668 The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
by Qingfu Liu & Pan Jiang & Yunbi An & Keith Cheung - 669-689 A set-valued Markov chain approach to credit default
by Dianfa Chen & Jun Deng & Jianfen Feng & Bin Zou - 691-707 On the propensity to issue contingent convertible (CoCo) bonds
by José Fajardo & Layla Mendes
March 2020, Volume 20, Issue 3
- 347-357 A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
by W.J. Hinderks & R. Korn & A. Wagner - 359-360 Machine Learning: An Applied Mathematics Introduction
by Sébastien Lleo - 361-361 Calendar
by The Editors - 363-378 Buy rough, sell smooth
by Paul Glasserman & Pu He - 379-392 Calibrating rough volatility models: a convolutional neural network approach
by Henry Stone - 393-408 A PDE method for estimation of implied volatility
by Ivan Matić & Radoš Radoičić & Dan Stefanica - 409-423 Equilibrium implications of interest rate smoothing
by Diogo Duarte & Rodolfo Prieto - 425-446 Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
by Marcus Scheffer & Gregor N. F. Weiß - 447-461 Market or limit orders?
by Daniel Mitchell & Jingnan Chen - 463-482 Agent-based modelling in directional-change intrinsic time
by V. Petrov & A. Golub & R. Olsen - 483-497 A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
by Juan Dong & Lyudmila Korobenko & A. Deniz Sezer - 499-513 Investment decisions when utility depends on wealth and other attributes
by Andrew Grant & Steve Satchell - 515-526 Personalized goal-based investing via multi-stage stochastic goal programming
by Woo Chang Kim & Do-Gyun Kwon & Yongjae Lee & Jang Ho Kim & Changle Lin - 527-529 Correction
by The Editors
February 2020, Volume 20, Issue 2
- 1-1 Correction
by The Editors - 173-188 A critical investigation of cryptocurrency data and analysis
by C. Alexander & M. Dakos - 189-190 Advances in Financial Machine Learning
by Peter Schwendner - 191-191 Calendar
by The Editors - 193-205 Co-impact: crowding effects in institutional trading activity
by F. Bucci & I. Mastromatteo & Z. Eisler & F. Lillo & J.-P. Bouchaud & C.-A. Lehalle - 207-234 Estimating the money market microstructure with negative and zero interest rates
by Edoardo Rainone & Francesco Vacirca - 235-241 The Zumbach effect under rough Heston
by Omar El Euch & Jim Gatheral & Radoš Radoičić & Mathieu Rosenbaum - 243-254 A closed-form formula characterization of the Epps effect
by Giuseppe Buccheri & Giulia Livieri & Davide Pirino & Alessandro Pollastri - 255-274 Adaptive Lasso for vector Multiplicative Error Models
by Luca Cattivelli & Giampiero M. Gallo - 275-290 Loss aversion in an agent-based asset pricing model
by Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings - 291-310 Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
by Gerald H. L. Cheang & Len Patrick Dominic M. Garces - 311-328 Bayesian regularized artificial neural networks for the estimation of the probability of default
by Eduard Sariev & Guido Germano