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Content
2016
- 1611.02961 A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
by Maarten Wyns & Jacques Du Toit
- 1611.02952 Unexpected Default in an Information Based Model
by Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert
- 1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
by Damiano Brigo & Fr'ed'eric Vrins
- 1611.02760 The missing assets and the size of Shadow Banking: an update
by Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati
- 1611.02556 Application of the Generalized Linear Models in Actuarial Framework
by Murwan H. M. A. Siddig
- 1611.02549 Emerging interdependence between stock values during financial crashes
by Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad
- 1611.02547 Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
by Moustapha Pemy
- 1611.02270 Functional Forms for Tractable Economic Models and the Cost Structure of International Trade
by Michal Fabinger & E. Glen Weyl
- 1611.02026 Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
by Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar
- 1611.01958 Optimal shrinkage-based portfolio selection in high dimensions
by Taras Bodnar & Yarema Okhrin & Nestor Parolya
- 1611.01771 An Equilibrium Model with Computationally Constrained Agents
by Wolfgang Kuhle
- 1611.01767 EM Algorithm and Stochastic Control in Economics
by Steven Kou & Xianhua Peng & Xingbo Xu
- 1611.01531 Effects of income redistribution on the evolution of cooperation in spatial public goods games
by Zhenhua Pei & Baokui Wang & Jinming Du
- 1611.01524 `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
by Vasyl Golosnoy & Nestor Parolya
- 1611.01471 A fair monetization model to reconcile authors and consumers of intellectual property
by Evgeny Ivanko
- 1611.01463 International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
by Nonthachote Chatsanga & Andrew J. Parkes
- 1611.01440 Liquidity induced asset bubbles via flows of ELMMs
by Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis
- 1611.01381 Revealing the Anatomy of Vote Trading
by Omar A. Guerrero & Ulrich Matter
- 1611.01379 Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
by Bertram During & Christian Hendricks & James Miles
- 1611.01285 Naive Diversification Preferences and their Representation
by Enrico G. De Giorgi & Ola Mahmoud
- 1611.01280 Optimal portfolio selection under vanishing fixed transaction costs
by Soren Christensen & Albrecht Irle & Andreas Ludwig
- 1611.00997 LQG for portfolio optimization
by M. Abeille & E. Serie & A. Lazaric & X. Brokmann
- 1611.00970 Working Paper on Organizational Dynamics within Corporate Venture Capital Firms
by Michael Rolfes & Alex Sandy Pentland
- 1611.00897 Joint multifractal analysis based on wavelet leaders
by Zhi-Qiang Jiang & Yan-Hong Yang & Gang-Jin Wang & Wei-Xing Zhou
- 1611.00885 Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic
- 1611.00723 Socio-economic inequality and prospects of institutional Econophysics
by Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti
- 1611.00464 Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
by Ivan Guo & Gregoire Loeper
- 1611.00389 Option pricing in exponential L\'evy models with transaction costs
by Nicola Cantarutti & Jo~ao Guerra & Manuel Guerra & Maria do Ros'ario Grossinho
- 1611.00316 Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
by Bertram During & Christof Heuer
- 1611.00156 Globalization Process in Emerging Capital Markets -- Lessons and Implications to China
by Zichong Li & Pengyu Huang
- 1610.10078 Optimal retirement income tontines
by Moshe A. Milevsky & Thomas S. Salisbury
- 1610.10029 Meta-CTA Trading Strategies based on the Kelly Criterion
by Bernhard K. Meister
- 1610.09904 Mean Field Game of Controls and An Application To Trade Crowding
by Pierre Cardaliaguet & Charles-Albert Lehalle
- 1610.09875 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
by Eckhard Platen & David Taylor
- 1610.09812 Long-range Correlation and Market Segmentation in Bond Market
by Zhongxing Wang & Yan Yan & Xiaosong Chen
- 1610.09734 Model-free bounds on Value-at-Risk using extreme value information and statistical distances
by Thibaut Lux & Antonis Papapantoleon
- 1610.09714 Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
by Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao
- 1610.09622 Numerical study of splitting methods for American option valuation
by Karel in 't Hout & Radoslav Valkov
- 1610.09542 Managing Default Contagion in Inhomogeneous Financial Networks
by Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter
- 1610.09519 Multifractal cross wavelet analysis
by Zhi-Qiang Jiang & Xing-Lu Gao & Wei-Xing Zhou & H. Eugene Stanley
- 1610.09404 Understanding the Tracking Errors of Commodity Leveraged ETFs
by Kevin Guo & Tim Leung
- 1610.09403 Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
by Kevin Guo & Tim Leung
- 1610.09384 Equitable retirement income tontines: Mixing cohorts without discriminating
by M. A. Milevsky & T. S. Salisbury
- 1610.09306 Calls, zonoids, peacocks and log-concavity
by Michael R. Tehranchi
- 1610.09292 Optimal Shrinkage Estimator for High-Dimensional Mean Vector
by Taras Bodnar & Ostap Okhrin & Nestor Parolya
- 1610.09234 Super-Replication with Fixed Transaction Costs
by Peter Bank & Yan Dolinsky
- 1610.09230 Robust Utility Maximization in Discrete-Time Markets with Friction
by Ariel Neufeld & Mario Sikic
- 1610.09124 Model-independent pricing with insider information: a Skorokhod embedding approach
by Beatrice Acciaio & Alexander M. G. Cox & Martin Huesmann
- 1610.09085 On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
by Takuji Arai & Yuto Imai
- 1610.08921 Theory of earthquakes interevent times applied to financial markets
by Maciej Jagielski & Ryszard Kutner & Didier Sornette
- 1610.08918 Income and wealth distribution of the richest Norwegian individuals: An inequality analysis
by Maciej Jagielski & Kordian Czy.zewski & Ryszard Kutner & H. Eugene Stanley
- 1610.08878 Asymptotics for rough stochastic volatility models
by Martin Forde & Hongzhong Zhang
- 1610.08818 Agnostic Risk Parity: Taming Known and Unknown-Unknowns
by Raphael Benichou & Yves Lemp'eri`ere & Emmanuel S'eri'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters
- 1610.08806 Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures
by Niushan Gao & Denny H. Leung & Foivos Xanthos
- 1610.08782 Intrinsic risk measures
by W. Farkas & A. Smirnow
- 1610.08767 Equity Market Impact Modeling: an Empirical Analysis for Chinese Market
by Shiyu Han & Lan Wu & Yuan Cheng
- 1610.08732 On exponential functionals of processes with independent increments
by P. Salminen & L. Vostrikova
- 1610.08676 $\kappa$-generalized models of income and wealth distributions: A survey
by F. Clementi & M. Gallegati & G. Kaniadakis & S. Landini
- 1610.08644 Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point
by Oliver Janke
- 1610.08558 Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
by Ankush Agarwal & Ronnie Sircar
- 1610.08416 Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
by Jaroslaw Kwapien & Pawel Oswiecimka & Marcin Forczek & Stanislaw Drozdz
- 1610.08415 A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods
by T. O. Benli
- 1610.08414 The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function
by Peter B. Lerner
- 1610.08329 quantreg.nonpar: An R Package for Performing Nonparametric Series Quantile Regression
by Michael Lipsitz & Alexandre Belloni & Victor Chernozhukov & Iv'an Fern'andez-Val
- 1610.08230 Short term prediction of extreme returns based on the recurrence interval analysis
by Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou
- 1610.08143 Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
by Tim Leung & Zheng Wang
- 1610.08104 Cleaning large correlation matrices: tools from random matrix theory
by Joel Bun & Jean-Philippe Bouchaud & Marc Potters
- 1610.07894 Counterfactual: An R Package for Counterfactual Analysis
by Mingli Chen & Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly
- 1610.07714 probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects
by Mario Cruz-Gonzalez & Ivan Fernandez-Val & Martin Weidner
- 1610.07694 Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
- 1610.07292 Population growth, interest rate, and housing tax in the transitional China
by Ling-Yun He & Xing-Chun Wen
- 1610.07287 The asset price bubbles in emerging financial markets: a new statistical approach
by Shu-Peng Chen & Ling-Yun He
- 1610.07131 Asymptotic of Non-Crossings probability of Additive Wiener Fields
by Pingjin Deng
- 1610.07028 Techniques for multifractal spectrum estimation in financial time series
by Petr Jizba & Jan Korbel
- 1610.06805 Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
by Amine Ismail & Huy^en Pham
- 1610.05892 Centrality measures in networks based on nodes attributes, long-range interactions and group influence
by F. Aleskerov & N. Meshcheryakova & S. Shvydun
- 1610.05728 Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
by Weston Barger & Matthew Lorig
- 1610.05703 Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques
by A. Belenky & L. Egorova
- 1610.05697 "Butterfly Effect" vs Chaos in Energy Futures Markets
by Loretta Mastroeni & Pierluigi Vellucci
- 1610.05583 Price Dynamics Via Expectations, and the Role of Money Therein
by Gesine A. Steudle & Saini Yang & Carlo C. Jaeger
- 1610.05494 Network reconstruction via density sampling
by Tiziano Squartini & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli
- 1610.05448 Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1610.05383 Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
by Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo
- 1610.05171 Urban-rural gap and poverty traps in China: A prefecture level analysis
by Jian-Xin Wu & Ling-Yun He
- 1610.05018 An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach
by Kristoffer Lindensjo
- 1610.04760 Uncertainty Estimates in the Heston Model via Fisher Information
by Oliver Pfante & Nils Bertschinger
- 1610.04458 Optimal trading policies for wind energy producer
by Zongjun Tan & Peter Tankov
- 1610.04334 Time-Varying Comovement of Foreign Exchange Markets
by Mikio Ito & Akihiko Noda & Tatsuma Wada
- 1610.04085 The Fatou Closedness under Model Uncertainty
by Marco Maggis & Thilo Meyer-Brandis & Gregor Svindland
- 1610.04051 Time value of extra information against its timely value
by N. Serhan Aydin
- 1610.03958 Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
by Albert Altarovici & Max Reppen & H. Mete Soner
- 1610.03936 A framework for analyzing contagion in assortative banking networks
by Thomas R. Hurd & James P. Gleeson & Sergey Melnik
- 1610.03769 On Origins of Bubbles
by Zura Kakushadze
- 1610.03718 Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
by J. D. Opdyke
- 1610.03259 Epidemics of Liquidity Shortages in Interbank Markets
by Giuseppe Brandi & Riccardo Di Clemente & Giulio Cimini
- 1610.03230 Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
by R'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra
- 1610.03086 Option pricing with Legendre polynomials
by Julien Hok & Tat Lung Chan
- 1610.03050 Dependent Defaults and Losses with Factor Copula Models
by Damien Ackerer & Thibault Vatter
- 1610.02940 Constrained Optimal Transport
by Ibrahim Ekren & H. Mete Soner
- 1610.02863 Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
by F Blasques & P Gorgi & S Koopman & O Wintenberger
- 1610.02738 Best Subset Binary Prediction
by Le-Yu Chen & Sokbae Lee
- 1610.02456 Volatility Smile as Relativistic Effect
by Zura Kakushadze
- 1610.02126 Multiple risk factor dependence structures: Copulas and related properties
by Jianxi Su & Edward Furman
- 1610.01946 Efficient Valuation of SCR via a Neural Network Approach
by Seyed Amir Hejazi & Kenneth R. Jackson
- 1610.01937 Trading against disorderly liquidation of a large position under asymmetric information and market impact
by Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang
- 1610.01645 Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation
by David R Walwyn
- 1610.01450 Asset Pricing with Random Volatility
by Xin Liu
- 1610.01338 The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?
by Ananjan Bhattacharyya & Abhijeet Chandra
- 1610.01271 Generalized Random Forests
by Susan Athey & Julie Tibshirani & Stefan Wager
- 1610.01270 Information inefficiency in a random linear economy model
by Joao Pedro Jerico & Renato Vicente
- 1610.01227 A Duality Result for Robust Optimization with Expectation Constraints
by Christopher W. Miller
- 1610.01149 Taylor's Law of temporal fluctuation scaling in stock illiquidity
by Qing Cai & Hai-Chuan Xu & Wei-Xing Zhou
- 1610.00999 Exponential utility maximization under model uncertainty for unbounded endowments
by Daniel Bartl
- 1610.00955 Inventory growth cycles with debt-financed investment
by Matheus Grasselli & Adrien Nguyen-Huu
- 1610.00937 Sharpe portfolio using a cross-efficiency evaluation
by Juan F. Monge & Mercedes Landete & Jos'e L. Ruiz
- 1610.00818 The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models
by Likuan Qin & Vadim Linetsky
- 1610.00795 A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks
by Daniele Petrone & Vito Latora
- 1610.00778 Long-Term Factorization of Affine Pricing Kernels
by Likuan Qin & Vadim Linetsky
- 1610.00577 Exponential functionals of Levy processes and variable annuity guaranteed benefits
by Runhuan Feng & Alexey Kuznetsov & Fenghao Yang
- 1610.00395 Optimal Portfolios of Illiquid Assets
by T. R. Hurd & Quentin H. Shao & Tuan Tran
- 1610.00332 Decoupling the short- and long-term behavior of stochastic volatility
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen
- 1610.00312 Volatility Inference and Return Dependencies in Stochastic Volatility Models
by Oliver Pfante & Nils Bertschinger
- 1610.00274 The complex dynamics of products and its asymptotic properties
by Orazio Angelini & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero
- 1610.00261 Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
by Charles-Albert Lehalle & Othmane Mounjid
- 1610.00259 Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016
by Rui Menezes & Sonia Bentes
- 1610.00256 XVA at the Exercise Boundary
by Andrew Green & Chris Kenyon
- 1609.09601 Biased Roulette Wheel: A Quantitative Trading Strategy Approach
by Giancarlo Salirrosas Mart'inez
- 1609.09571 The Role of Rating and Loan Characteristics in Online Microfunding Behaviors
by Gaurav Paruthi & Enrique Frias-Martinez & Vanessa Frias-Martinez
- 1609.09205 Robust Optimal Investment in Discrete Time for Unbounded Utility Function
by Laurence Carassus & Romain Blanchard
- 1609.09035 Fractional order statistic approximation for nonparametric conditional quantile inference
by Matt Goldman & David M. Kaplan
- 1609.09033 Smoothed estimating equations for instrumental variables quantile regression
by David M. Kaplan & Yixiao Sun
- 1609.08978 A stylized model for wealth distribution
by Bertram During & Nicos Georgiou & Enrico Scalas
- 1609.08746 When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources
by V. Sasidevan & Appilineni Kushal & Sitabhra Sinha
- 1609.08520 Clustering Approaches for Financial Data Analysis: a Survey
by Fan Cai & Nhien-An Le-Khac & Tahar Kechadi
- 1609.07903 Strongly Consistent Multivariate Conditional Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland
- 1609.07897 Risk-Consistent Conditional Systemic Risk Measures
by Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland
- 1609.07559 Short Maturity Asian Options in Local Volatility Models
by Dan Pirjol & Lingjiong Zhu
- 1609.07558 Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
by Dan Pirjol & Lingjiong Zhu
- 1609.07472 Gated Neural Networks for Option Pricing: Rationality by Design
by Yongxin Yang & Yu Zheng & Timothy M. Hospedales
- 1609.07051 Multivariate Garch with dynamic beta
by Matthias Raddant & Friedrich Wagner
- 1609.06545 Data-driven nonlinear expectations for statistical uncertainty in decisions
by Samuel N. Cohen
- 1609.05939 Crises and Physical Phases of a Bipartite Market Model
by Nima Dehmamy & Sergey Buldyrev & Shlomo Havlin & Harry Eugene Stanley & Irena Vodenska
- 1609.05865 Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
by Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap
- 1609.05832 Bounds for VIX Futures given S&P 500 Smiles
by Julien Guyon & Romain Menegaux & Marcel Nutz
- 1609.05523 Static vs adapted optimal execution strategies in two benchmark trading models
by Damiano Brigo & Clement Piat
- 1609.05475 Replica Analysis for the Duality of the Portfolio Optimization Problem
by Takashi Shinzato
- 1609.05394 Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016
by Barack Wamkaya Wanjawa
- 1609.05286 From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes
by Christof Henkel
- 1609.05200 Chinese Medical Device Market and The Investment Vector
by Weifan Zhang & Rebecca Liu & Chris Chatwin
- 1609.05177 The microstructural foundations of leverage effect and rough volatility
by El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu
- 1609.05056 Copula-Based Univariate Time Series Structural Shift Identification Test
by Henry Penikas
- 1609.05055 A Simple Model of Credit Expansion
by Alexander Smirnov
- 1609.04956 Export dynamics as an optimal growth problem in the network of global economy
by Michele Caraglio & Fulvio Baldovin & Attilio L. Stella
- 1609.04944 Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results
by Alan Roncoroni & Matus Medo
- 1609.04907 Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
by Tanmay S. Patankar
- 1609.04890 Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
by Shanshan Wang & Thomas Guhr
- 1609.04640 Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
by Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis
- 1609.04629 Institutionalization in Efficient Markets: The Case of Price Bubbles
by Sheen S. Levine & Edward J. Zajac
- 1609.04620 Price impact without order book: A study of the OTC credit index market
by Zoltan Eisler & Jean-Philippe Bouchaud
- 1609.04529 The joint distributions of running maximum of a Slepian processes
by Pingjin Deng
- 1609.04199 Entropy and efficiency of the ETF market
by Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi
- 1609.04065 Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
by Jonathan Yu-Meng Li
- 1609.03996 SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab
by Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt & Alexandre Messa
- 1609.03471 The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets
by Joachim R. Groeger
- 1609.03344 Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1609.03223 The Solution to Science's Replication Crisis
by Bruce Knuteson
- 1609.03167 Model Selection for Treatment Choice: Penalized Welfare Maximization
by Eric Mbakop & Max Tabord-Meehan
- 1609.03029 Covariance of random stock prices in the Stochastic Dividend Discount Model
by Arianna Agosto & Alessandra Mainini & Enrico Moretto
- 1609.02867 Canonical Supermartingale Couplings
by Marcel Nutz & Florian Stebegg
- 1609.02774 Value at risk and the diversification dogma
by Arturo Erdely
- 1609.02395 Dissecting cross-impact on stock markets: An empirical analysis
by Michael Benzaquen & Iacopo Mastromatteo & Zoltan Eisler & Jean-Philippe Bouchaud
- 1609.02369 Stochastic Tail Exponent For Asymmetric Power Laws
by Nassim Nicholas Taleb
- 1609.02354 Generalized Autoregressive Score Models in R: The GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania
- 1609.02349 A superhedging approach to stochastic integration
by Rafa{l} M. {L}ochowski & Nicolas Perkowski & David J. Promel
- 1609.02334 The interaction between trade and FDI: the CEE countries experience
by Claudiu Tiberiu Albulescu & Daniel Goyeau
- 1609.02108 The characteristic function of rough Heston models
by Omar El Euch & Mathieu Rosenbaum
- 1609.01900 The loss of interest for the euro in Romania
by Claudiu Albulescu & Dominique P'epin
- 1609.01655 The dividend problem with a finite horizon
by Tiziano De Angelis & Erik Ekstrom
- 1609.01621 Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
by David Criens
- 1609.01274 Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
by Ravi Kashyap
- 1609.00987 Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model
by Jean-Philippe Aguilar & Cyril Coste & Jan Korbel
- 1609.00926 Multivariate Mixed Tempered Stable Distribution
by Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji
- 1609.00869 Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions
by Antoine Emil Zambelli
- 1609.00819 Option-Based Pricing of Wrong Way Risk for CVA
by Chris Kenyon & Andrew Green
- 1609.00702 Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
by Mourad Lazgham
- 1609.00599 Optimal Execution in a Multiplayer Model of Transient Price Impact
by Elias Strehle
- 1609.00554 On Jensen's inequality for generalized Choquet integral with an application to risk aversion
by Wioletta Szeligowska & Marek Kaluszka
- 1609.00415 Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn
- 1609.00232 An adjoint method for the exact calibration of Stochastic Local Volatility models
by Maarten Wyns & Karel in 't Hout
- 1608.08582 Discrete hierarchy of sizes and performances in the exchange-traded fund universe
by Benjamin Vandermarliere & Jan Ryckebusch & Koen Schoors & Peter Cauwels & Didier Sornette
- 1608.08490 Multi-period investment strategies under Cumulative Prospect Theory
by Liurui Deng & Traian A. Pirvu
- 1608.08468 Sparse Bayesian time-varying covariance estimation in many dimensions
by Gregor Kastner
- 1608.08283 Risk measures and Margining control
by Giuseppe Carlo Calafiore & Leonardo Massai
- 1608.08268 On the Market-Neutrality of Optimal Pairs-Trading Strategies
by Bahman Angoshtari
- 1608.08210 What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013
by Deepak Malghan & Hema Swaminathan
- 1608.07901 Networks: An Economic Perspective
by Matthew O. Jackson & Brian W. Rogers & Yves Zenou
- 1608.07863 Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility
by Jos'e E. Figueroa-L'opez & Ruoting Gong & Matthew Lorig
- 1608.07831 Rethinking Financial Contagion
by Gabriele Visentin & Stefano Battiston & Marco D'Errico