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Content
2022
2021
- 2202.00127 On Market Design and Latency Arbitrage
by Wolfgang Kuhle
- 2202.00109 Measuring poverty in India with machine learning and remote sensing
by Adel Daoud & Felipe Jordan & Makkunda Sharma & Fredrik Johansson & Devdatt Dubhashi & Sourabh Paul & Subhashis Banerjee
- 2201.11507 Stock exchange shares ranking and binary-ternary compressive coding
by Igor Nesiolovskiy
- 2201.11214 Democratising Risk: In Search of a Methodology to Study Existential Risk
by Carla Zoe Cremer & Luke Kemp
- 2201.11122 Multivariate matrix-exponential affine mixtures and their applications in risk theory
by Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo
- 2201.11070 The theory of quantitative trading
by Andrea Berdondini
- 2201.09058 DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities
by Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An
- 2201.08276 Applicability of Large Corporate Credit Models to Small Business Risk Assessment
by Khalid El-Awady
- 2201.07975 Effect Structure and Thermodynamics Formulation of Demand-side Economics
by Burin Gumjudpai
- 2201.07880 Deep self-consistent learning of local volatility
by Zhe Wang & Nicolas Privault & Claude Guet
- 2201.02587 Pricing Bermudan options using regression trees/random forests
by Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & J'er^ome Lelong
- 2201.02568 Stationary GE-Process and its Application in Analyzing Gold Price Data
by Debasis Kundu
- 2201.02045 Stochastic measure distortions induced by quantile processes for risk quantification and valuation
by Holly Brannelly & Andrea Macrina & Gareth W. Peters
- 2201.00013 The International Monetary Funds intervention in education systems and its impact on childrens chances of completing school
by Adel Daoud
- 2112.15539 Fuzzy Core Equivalence in Large Economies: A Role for the Infinite-Dimensional Lyapunov Theorem
by M. Ali Khan & Nobusumi Sagara
- 2112.15499 Dynamic Portfolio Optimization with Inverse Covariance Clustering
by Yuanrong Wang & Tomaso Aste
- 2112.15448 Exact Post-selection Inference For Tracking S&P500
by Farshad Noravesh & Hamid Boustanifar
- 2112.15447 Analysis of Performance of Drivers and Usage of Overtime Hours: A Case Study of a Higher Educational Institution
by K. C. Sanjeevani Perera
- 2112.15431 Forecasting pandemic tax revenues in a small, open economy
by Fabio Ashtar Telarico
- 2112.15426 Lunatic Stocks: Moon Phases as Irregular Sampling Features for Pattern Recognition in the Stock Markets
by Luis A. Mateos
- 2112.15401 Towards the global vision of engagement of Generation Z at the workplace: Mathematical modeling
by Rados{l}aw A. Kycia & Agnieszka Niemczynowicz & Joanna Nie.zurawska-Zajk{a}c
- 2112.15321 Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities
by Nick James
- 2112.15315 Bayesian Testing Of Granger Causality In Functional Time Series
by Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria
- 2112.15294 Macroeconomic and financial management in an uncertain world: What can we learn from complexity science?
by Thitithep Sitthiyot
- 2112.15291 A simple method for estimating the Lorenz curve
by Thitithep Sitthiyot & Kanyarat Holasut
- 2112.15284 A simple method for measuring inequality
by Thitithep Sitthiyot & Kanyarat Holasut
- 2112.15155 Auction Throttling and Causal Inference of Online Advertising Effects
by George Gui & Harikesh Nair & Fengshi Niu
- 2112.15129 Measure-valued affine and polynomial diffusions
by Christa Cuchiero & Francesco Guida & Luca di Persio & Sara Svaluto-Ferro
- 2112.15114 Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach
by Tadao Hoshino
- 2112.15108 Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach
by Iuri H. Ferreira & Marcelo C. Medeiros
- 2112.15036 Dimensionality reduction for prediction: Application to Bitcoin and Ethereum
by Hugo Inzirillo & Benjamin Mat
- 2112.14902 Thirty Years of Academic Finance
by David Ardia & Keven Bluteau & Mohammad Abbas Meghani
- 2112.14849 Institutional Quality and the Wealth of Autocrats
by Christopher Boudreaux & Randall Holcombe
- 2112.14846 An Analysis of an Alternative Pythagorean Expected Win Percentage Model: Applications Using Major League Baseball Team Quality Simulations
by Justin Ehrlich & Christopher Boudreaux & James Boudreau & Shane Sanders
- 2112.14748 Adaptive Transit Design: Optimizing Fixed and Demand Responsive Multi-Modal Transportation via Continuous Approximation
by Giovanni Calabro' & Andrea Araldo & Simon Oh & Ravi Seshadri & Giuseppe Inturri & Moshe Ben-Akiva
- 2112.14713 Perspectives in Public and University Sector Co-operation in the Change of Higher Education Model in Hungary, in Light of China's Experience
by Attila Lajos Makai & Szabolcs Ramhap
- 2112.14697 The Inflation Game
by Wolfgang Kuhle
- 2112.14529 Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
by Giacomo Toscano & Giulia Livieri & Maria Elvira Mancino & Stefano Marmi
- 2112.14514 Technology, Institution, and Regional Growth: Evidence from Mineral Mining Industry in Industrializing Japan
by Kota Ogasawara
- 2112.14462 Equilibrium master equations for time-inconsistent problems with distribution dependent rewards
by Zongxia Liang & Fengyi Yuan
- 2112.14451 Dynamic growth-optimum portfolio choice under risk control
by Pengyu Wei & Zuo Quan Xu
- 2112.14409 Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games
by Qian Lei & Chi Seng Pun
- 2112.14377 DeepHAM: A Global Solution Method for Heterogeneous Agent Models with Aggregate Shocks
by Jiequn Han & Yucheng Yang & Weinan E
- 2112.14356 Private Private Information
by Kevin He & Fedor Sandomirskiy & Omer Tamuz
- 2112.14310 Rough multifactor volatility for SPX and VIX options
by Antoine Jacquier & Aitor Muguruza & Alexandre Pannier
- 2112.14265 Learning in Repeated Interactions on Networks
by Wanying Huang & Philipp Strack & Omer Tamuz
- 2112.14249 Nested Nonparametric Instrumental Variable Regression: Long Term, Mediated, and Time Varying Treatment Effects
by Isaac Meza & Rahul Singh
- 2112.14247 Importance sampling for option pricing with feedforward neural networks
by Aleksandar Arandjelovi'c & Thorsten Rheinlander & Pavel V. Shevchenko
- 2112.14161 On Hawkes Processes with Infinite Mean Intensity
by Cecilia Aubrun & Michael Benzaquen & Jean-Philippe Bouchaud
- 2112.14074 On the Equivalence of Two Competing Affirmative Actions in School Choice
by Yun Liu
- 2112.14054 Uniformly Self-Justified Equilibria
by Felix Kubler & Simon Scheidegger
- 2112.14033 Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization
by Marek Rutkowski & Matthew Bickersteth
- 2112.13911 The Economics of Interstellar Flight
by Philip Lubin & Alexander N. Cohen
- 2112.13850 Using maps to predict economic activity
by Imryoung Jeong & Hyunjoo Yang
- 2112.13849 The Long-Run Impact of Electoral Violence on Health and Human Capital in Kenya
by Roxana Guti'errez-Romero
- 2112.13844 Stability analysis of heterogeneous oligopoly games of increasing players with quadratic costs
by Xiaoliang Li
- 2112.13842 Economics of Innovation and Perceptions of Renewed Education and Curriculum Design in Bangladesh
by Shifa Taslim Chowdhury & Mohammad Nur Nobi & Anm Moinul Islam
- 2112.13649 Random Rank-Dependent Expected Utility
by Nail Kashaev & Victor Aguiar
- 2112.13593 Multi-modal Attention Network for Stock Movements Prediction
by Shwai He & Shi Gu
- 2112.13506 Estimation based on nearest neighbor matching: from density ratio to average treatment effect
by Zhexiao Lin & Peng Ding & Fang Han
- 2112.13495 Multiple Randomization Designs
by Patrick Bajari & Brian Burdick & Guido W. Imbens & Lorenzo Masoero & James McQueen & Thomas Richardson & Ido M. Rosen
- 2112.13414 Reinforcement Learning with Dynamic Convex Risk Measures
by Anthony Coache & Sebastian Jaimungal
- 2112.13398 Long Story Short: Omitted Variable Bias in Causal Machine Learning
by Victor Chernozhukov & Carlos Cinelli & Whitney Newey & Amit Sharma & Vasilis Syrgkanis
- 2112.13383 Community detection and portfolio optimization
by Longfeng Zhao & Chao Wang & Gang-Jin Wang & H. Eugene Stanley & Lin Chen
- 2112.13228 Robust Estimation of Average Treatment Effects from Panel Data
by Sayoni Roychowdhury & Indrila Ganguly & Abhik Ghosh
- 2112.13213 Cross-Impact of Order Flow Imbalance in Equity Markets
by Rama Cont & Mihai Cucuringu & Chao Zhang
- 2112.13127 Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market
by Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook
- 2112.13041 Regime Switching Entropic Risk Measures on Crude Oil Pricing
by Babacar Seck & Robert J. Elliott
- 2112.12975 Identification of misreported beliefs
by Elias Tsakas
- 2112.12766 Intra-Household Management of Joint Resources: Evidence from Malawi
by Anna Josephson
- 2112.12621 Should transparency be (in-)transparent? On monitoring aversion and cooperation in teams
by Michalis Drouvelis & Johannes Jarke-Neuert & Johannes Lohse
- 2112.12464 A meta-analysis of residential PV adoption: the important role of perceived benefits, intentions and antecedents in solar energy acceptance
by Emily Schulte & Fabian Scheller & Daniel Sloot & Thomas Bruckner
- 2112.12459 Stationarity analysis of the stock market data and its application to mechanical trading
by Kazuki Kanehira & Norikazu Todoroki
- 2112.12179 Henderson--Chu model extended to two heterogeneous groups
by Oliver Chiriac & Jonathan Hall
- 2112.12031 Optimal Portfolio Choice and Stock Centrality for Tail Risk Events
by Christis Katsouris
- 2112.11968 An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model
by Edoardo Berton & Lorenzo Mercuri
- 2112.11963 Principal agent mean field games in REC markets
by Dena Firoozi & Arvind V Shrivats & Sebastian Jaimungal
- 2112.11931 Startup Ecosystem Rankings
by Attila Lajos Makai
- 2112.11867 Product traits, decision-makers, and household low-carbon technology adoptions: moving beyond single empirical studies
by Emily Schulte & Fabian Scheller & Wilmer Pasut & Thomas Bruckner
- 2112.11822 The co-evolutionary relationship between digitalization and organizational agility: Ongoing debates, theoretical developments and future research perspectives
by Francesco Ciampi & Monica Faraoni & Jacopo Ballerini & Francesco Meli
- 2112.11808 Mild to classical solutions for XVA equations under stochastic volatility
by Damiano Brigo & Federico Graceffa & Alexander Kalinin
- 2112.11751 Bayesian Approaches to Shrinkage and Sparse Estimation
by Dimitris Korobilis & Kenichi Shimizu
- 2112.11565 Double Standards: The Implications of Near Certainty Drone Strikes in Pakistan
by Shyam Raman & Paul Lushenko & Sarah Kreps
- 2112.11564 Associational and plausible causal effects of COVID-19 public health policies on economic and mental distress
by Reka Sundaram-Stukel & Richard J Davidson
- 2112.11563 Cultural Diversity and Its Impact on Governance
by Tom'av{s} Evan & Vladim'ir Hol'y
- 2112.11562 Can large-scale R&I funding stimulate post-crisis recovery growth? Evidence for Finland during COVID-19
by Timo Mitze & Teemu Makkonen
- 2112.11499 The Changing Role of Entrepreneurial Universities in the Altering Innovation Policy: Opportunities Arising from the Paradigm Change in Light of the Experience of Sz\'echenyi Istv\'an University
by Attila Lajos Makai & Szabolcs R'amh'ap
- 2112.11449 Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confounding
by Jacob Dorn & Kevin Guo & Nathan Kallus
- 2112.11338 Role of Variable Renewable Energy Penetration on Electricity Price and its Volatility Across Independent System Operators in the United States
by Olukunle O. Owolabi & Toryn L. J. Schafer & Georgia E. Smits & Sanhita Sengupta & Sean E. Ryan & Lan Wang & David S. Matteson & Mila Getmansky Sherman & Deborah A. Sunter
- 2112.11320 Bidding in Multi-Unit Auctions under Limited Information
by Bernhard Kasberger & Kyle Woodward
- 2112.11315 Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
by Joshua C. C. Chan & Aubrey Poon & Dan Zhu
- 2112.11265 On the decomposition of an insurer's profits and losses
by Marcus C. Christiansen
- 2112.11263 Estimating economic severity of Air Traffic Flow Management regulations
by Luis Delgado & G'erald Gurtner & Tatjana Boli'c & Lorenzo Castelli
- 2112.11064 Ranking and Selection from Pairwise Comparisons: Empirical Bayes Methods for Citation Analysis
by Jiaying Gu & Roger Koenker
- 2112.11059 A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
by Maximilien Germain & Huy^en Pham & Xavier Warin
- 2112.10993 Learning in Random Utility Models Via Online Decision Problems
by Emerson Melo
- 2112.10812 Contextually Private Mechanisms
by Andreas Haupt & Zoe Hitzig
- 2112.10672 Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems
by Jorgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni
- 2112.10584 A dynamic theory of spatial externalities
by Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi
- 2112.10542 Heckman-Selection or Two-Part models for alcohol studies? Depends
by Reka Sundaram-Stukel
- 2112.10447 Rainbow Options under Bayesian MS-VAR Process
by Battulga Gankhuu
- 2112.10213 Nonzero-sum stochastic impulse games with an application in competitive retail energy markets
by Ren'e Aid & Lamia Ben Ajmia & M'hamed Gaigi & Mohamed Mnif
- 2112.10209 Option Pricing Model with Transaction Costs
by F. G. Bellora & G. Mazzei & M. Maurette
- 2112.10139 Denoised Labels for Financial Time-Series Data via Self-Supervised Learning
by Yanqing Ma & Carmine Ventre & Maria Polukarov
- 2112.10084 Neural Networks for Delta Hedging
by Guijin Son & Joocheol Kim
- 2112.09975 Algorithm Design: A Fairness-Accuracy Frontier
by Annie Liang & Jay Lu & Xiaosheng Mu
- 2112.09959 Mean-Covariance Robust Risk Measurement
by Viet Anh Nguyen & Soroosh Shafiee & Damir Filipovi'c & Daniel Kuhn
- 2112.09850 Paternalism, Autonomy, or Both? Experimental Evidence from Energy Saving Programs
by Takanori Ida & Takunori Ishihara & Koichiro Ito & Daido Kido & Toru Kitagawa & Shosei Sakaguchi & Shusaku Sasaki
- 2112.09816 Potential utilization of Battery Energy Storage Systems (BESS) in the major European electricity markets
by Yu Hu & Miguel Armada & Maria Jesus Sanchez
- 2112.09807 Dollar Cost Averaging Returns Estimation
by Hayden Brown
- 2112.09783 More Reviews May Not Help: Evidence from Incentivized First Reviews on Airbnb
by Andrey Fradkin & David Holtz
- 2112.09534 Path Integral Method for Proportional Step and Proportional Double-Barrier Step Option Pricing
by Qi Chen & Chao Guo
- 2112.09478 Free-Riding for Future: Field Experimental Evidence of Strategic Substitutability in Climate Protest
by Johannes Jarke-Neuert & Grischa Perino & Henrike Schwickert
- 2112.09465 An adaptive splitting method for the Cox-Ingersoll-Ross process
by C'onall Kelly & Gabriel J. Lord
- 2112.09443 Distance Functions and Generalized Means: Duality and Taxonomy
by Walter Briec
- 2112.09342 Discrete signature and its application to finance
by Takanori Adachi & Yusuke Naritomi
- 2112.09259 Robustness, Heterogeneous Treatment Effects and Covariate Shifts
by Pietro Emilio Spini
- 2112.09170 Reinforcing RCTs with Multiple Priors while Learning about External Validity
by Frederico Finan & Demian Pouzo
- 2112.09065 Macroscopic properties of buyer-seller networks in online marketplaces
by Alberto Bracci & Jorn Boehnke & Abeer ElBahrawy & Nicola Perra & Alexander Teytelboym & Andrea Baronchelli
- 2112.09015 Multivariate Realized Volatility Forecasting with Graph Neural Network
by Qinkai Chen & Christian-Yann Robert
- 2112.08934 Lassoed Boosting and Linear Prediction in Equities Market
by Xiao Huang
- 2112.08546 Uniform Convergence Results for the Local Linear Regression Estimation of the Conditional Distribution
by Haitian Xie
- 2112.08534 Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
by Kieran Wood & Sven Giegerich & Stephen Roberts & Stefan Zohren
- 2112.08291 A fast Monte Carlo scheme for additive processes and option pricing
by Michele Azzone & Roberto Baviera
- 2112.08153 Taxes and Market Power: A Principal Components Approach
by Andrea Galeotti & Benjamin Golub & Sanjeev Goyal & Eduard Talam`as & Omer Tamuz
- 2112.08092 Testing Instrument Validity with Covariates
by Thomas Carr & Toru Kitagawa
- 2112.08071 Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context
by Dhruv Rawat & Sujay Patni & Ram Mehta
- 2112.07985 Solving the Data Sparsity Problem in Predicting the Success of the Startups with Machine Learning Methods
by Dafei Yin & Jing Li & Gaosheng Wu
- 2112.07521 Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation
by Christian Bongiorno & Damien Challet
- 2112.07464 Efficient differentiable quadratic programming layers: an ADMM approach
by Andrew Butler & Roy Kwon
- 2112.07386 On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
by Andrea Barbon & Angelo Ranaldo
- 2112.07335 Deep Partial Hedging
by Songyan Hou & Thomas Krabichler & Marcus Wunsch
- 2112.07314 The road to safety- Examining the nexus between road infrastructure and crime in rural India
by Ritika Jain & Shreya Biswas
- 2112.07278 Compensatory model for quantile estimation and application to VaR
by Shuzhen Yang
- 2112.07277 Modal equilibrium of a tradable credit scheme with a trip-based MFD and logit-based decision-making
by Louis Balzer & Ludovic Leclercq
- 2112.07273 Urban Housing Prices and Migration's Fertility Intentions: Based on the 2018 China Migrants' Dynamic Survey
by Jingwen Tan & Shixi Kang
- 2112.07268 Finding the Instrumental Variables of Household Registration: A discussion of the impact of China's household registration system on the citizenship of the migrant population
by Jingwen Tan & Shixi Kang
- 2112.07247 30.000 ways to reach 55% decarbonization of the European electricity sector
by Tim T. Pedersen & Mikael Skou Andersen & Marta Victoria & Gorm B. Andresen
- 2112.07218 Regulating Transportation Network Companies with a Mixture of Autonomous Vehicles and For-Hire Human Drivers
by Di Ao & Jing Gao & Zhijie Lai & Sen Li
- 2112.07155 Behavioral Foundations of Nested Stochastic Choice and Nested Logit
by Matthew Kovach & Gerelt Tserenjigmid
- 2112.07149 Factor Models with Sparse VAR Idiosyncratic Components
by Jonas Krampe & Luca Margaritella
- 2112.07121 Semiparametric Conditional Factor Models: Estimation and Inference
by Qihui Chen & Nikolai Roussanov & Xiaoliang Wang
- 2112.07016 Data-driven integration of norm-penalized mean-variance portfolios
by Andrew Butler & Roy H. Kwon
- 2112.07014 Identifying Marginal Treatment Effects in the Presence of Sample Selection
by Ot'avio Bartalotti & D'esir'e K'edagni & Vitor Possebom
- 2112.06823 Multi-Asset Spot and Option Market Simulation
by Magnus Wiese & Ben Wood & Alexandre Pachoud & Ralf Korn & Hans Buehler & Phillip Murray & Lianjun Bai
- 2112.06822 Quantile Regression under Limited Dependent Variable
by Javier Alejo & Gabriel Montes-Rojas
- 2112.06817 Insurance design and arson-type risks
by Jean-Gabriel Lauzier
- 2112.06815 Envelope theorem and discontinuous optimisation: the case of positioning choice problems
by Jean-Gabriel Lauzier
- 2112.06811 Ex-post moral hazard and manipulation-proof contracts
by Jean-Gabriel Lauzier