Content
2018
- 1801.08222 A bright future for financial agent-based models
by J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin - 1801.08215 Target volatility option pricing in lognormal fractional SABR model
by Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang - 1801.08007 Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
by Ricardo Crisostomo & Lorena Couso - 1801.07960 Stock returns forecast: an examination by means of Artificial Neural Networks
by Martin Iglesias Caride & Aurelio F. Bariviera & Laura Lanzarini - 1801.07941 Spurious seasonality detection: a non-parametric test proposal
by Aurelio F. Bariviera & Angelo Plastino & George Judge - 1801.07826 Estimating Heterogeneous Consumer Preferences for Restaurants and Travel Time Using Mobile Location Data
by Susan Athey & David Blei & Robert Donnelly & Francisco Ruiz & Tobias Schmidt - 1801.07817 Generalised Lyapunov Functions and Functionally Generated Trading Strategies
by Johannes Ruf & Kangjianan Xie - 1801.07784 Protecting Pegged Currency Markets from Speculative Investors
by Eyal Neuman & Alexander Schied - 1801.07595 Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims
by Zailei Cheng & Youngsoo Seol - 1801.07512 Alonso and the Scaling of Urban Profiles
by Justin Delloye & R'emi Lemoy & Geoffrey Caruso - 1801.07358 Capital allocation under the Fundamental Review of Trading Book
by Luting Li & Hao Xing - 1801.07309 Numeraire markets
by Robert Fernholz - 1801.07213 Characterization of catastrophic instabilities: Market crashes as paradigm
by Anirban Chakraborti & Kiran Sharma & Hirdesh K. Pharasi & Sourish Das & Rakesh Chatterjee & Thomas H. Seligman - 1801.07044 Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen - 1801.06966 Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
by Farouq Abdulaziz Masoudy - 1801.06936 Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?
by Jinwen Qiu & Wenjian Liu & Ning Ning - 1801.06896 Ranking Causal Influence of Financial Markets via Directed Information Graphs
by Theo Diamandis & Yonathan Murin & Andrea Goldsmith - 1801.06862 Testing the Number of Regimes in Markov Regime Switching Models
by Hiroyuki Kasahara & Katsumi Shimotsu - 1801.06860 On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
by Mikl'os R'asonyi & Andrea Meireles-Rodrigues - 1801.06737 At What Frequency Should the Kelly Bettor Bet?
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner - 1801.06727 A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity
by Denisa Roberts & Douglas Patterson - 1801.06677 Nonfractional Memory: Filtering, Antipersistence, and Forecasting
by J. Eduardo Vera-Vald'es - 1801.06651 Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts
by Andreas Kaloudis & Dimitrios Tsolis - 1801.06595 Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity)
by Ricardo Antunes & Daniel Birchal & Jo~ao M'arcio Abijaodi & Paulo Abreu & Rog'erio Peixoto - 1801.06575 USDA Forecasts: A meta-analysis study
by Bahram Sanginabadi - 1801.06425 Ergodic robust maximization of asymptotic growth
by Constantinos Kardaras & Scott Robertson - 1801.06416 Affine forward variance models
by Jim Gatheral & Martin Keller-Ressel - 1801.06373 Predicting crypto-currencies using sparse non-Gaussian state space models
by Christian Hotz-Behofsits & Florian Huber & Thomas O. Zorner - 1801.06296 A Dirichlet Process Mixture Model of Discrete Choice
by Rico Krueger & Akshay Vij & Taha H. Rashidi - 1801.06141 A First Option Calibration of the GARCH Diffusion Model by a PDE Method
by Yiannis A. Papadopoulos & Alan L. Lewis - 1801.06077 The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
by Igor Halperin - 1801.06028 A closed-form formula for pricing bonds between coupon payments
by Sylvia Gottschalk - 1801.05947 Large-Scale Simulation of Multi-Asset Ising Financial Markets
by Tetsuya Takaishi - 1801.05770 The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
by Anas Yassine & Abdelmadjid Ibenrissoul - 1801.05760 CryptoRuble: From Russia with Love
by Zura Kakushadze & Jim Kyung-Soo Liew - 1801.05759 Evaluating the role of risk networks on risk identification, classification and emergence
by Christos Ellinas & Neil Allan & Caroline Coombe - 1801.05734 Eliminating the effect of rating bias on reputation systems
by Leilei Wu & Zhuoming Ren & Xiao-Long Ren & Jianlin Zhang & Linyuan Lu - 1801.05673 A subordinated CIR intensity model with application to Wrong-Way risk CVA
by Cheikh Mbaye & Fr'ed'eric Vrins - 1801.05597 Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
by Takuji Arai & Yuto Imai & Ryo Nakashima - 1801.05446 The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient
by Martin Falcke & V. Nicolai Friedhoff - 1801.05409 The Influence of Seed Selection on the Solvency II Ratio
by Quinn Culver & Dennis Heitmann & Christian Wei{ss} - 1801.05352 Shooting High or Low: Do Countries Benefit from Entering Unrelated Activities?
by Fl'avio L. Pinheiro & Aamena Alshamsi & Dominik Hartmann & Ron Boschma & C'esar A. Hidalgo - 1801.05305 Censored Quantile Instrumental Variable Estimation with Stata
by Victor Chernozhukov & Iv'an Fern'andez-Val & Sukjin Han & Amanda Kowalski - 1801.05295 Social Network based Short-Term Stock Trading System
by Paolo Cremonesi & Chiara Francalanci & Alessandro Poli & Roberto Pagano & Luca Mazzoni & Alberto Maggioni & Mehdi Elahi - 1801.05279 Greedy algorithms and Zipf laws
by Jos'e Moran & Jean-Philippe Bouchaud - 1801.05041 Panel Data Quantile Regression with Grouped Fixed Effects
by Jiaying Gu & Stanislav Volgushev - 1801.04994 Consistent Valuation Across Curves Using Pricing Kernels
by Andrea Macrina & Obeid Mahomed - 1801.04714 Characterizing Assumption of Rationality by Incomplete Information
by Shuige Liu - 1801.04672 Heterogeneous structural breaks in panel data models
by Ryo Okui & Wendun Wang - 1801.04491 Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
by Salvatore Federico & Mauro Rosestolato & Elisa Tacconi - 1801.04218 Coexistence of several currencies in presence of increasing returns to adoption
by Alex Lamarche-Perrin & Andr'e Orl'ean & Pablo Jensen - 1801.04112 Regression Based Expected Shortfall Backtesting
by Sebastian Bayer & Timo Dimitriadis - 1801.04080 Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
by N. Packham - 1801.04045 Asymptotic Static Hedge via Symmetrization
by Jiro Akahori & Flavia Barsotti & Yuri Imamura - 1801.03978 Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?
by Patrick Kofod Mogensen - 1801.03873 Characterisation of honest times and optional semimartingales of class-($\Sigma$)
by Libo Li - 1801.03720 Viable Insider Markets
by Olfa Draouil & Bernt {O}ksendal - 1801.03680 The time interpretation of expected utility theory
by Ole Peters & Alexander Adamou - 1801.03678 Is there a housing bubble in China
by Tianhao Zhi & Zhongfei Li & Zhiqiang Jiang & Lijian Wei & Didier Sornette - 1801.03574 Robust martingale selection problem and its connections to the no-arbitrage theory
by Matteo Burzoni & Mario Sikic - 1801.03523 Generative Models for Stochastic Processes Using Convolutional Neural Networks
by Fernando Fernandes Neto - 1801.03050 Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model
by V'ictor Gallego & Pablo Su'arez-Garc'ia & Pablo Angulo & David G'omez-Ullate - 1801.03018 Predict Forex Trend via Convolutional Neural Networks
by Yun-Cheng Tsai & Jun-Hao Chen & Jun-Jie Wang - 1801.02994 On a Constructive Theory of Markets
by Steven D. Moffitt - 1801.02959 Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design
by Steven D. Moffitt & William T. Ziemba - 1801.02958 A Method for Winning at Lotteries
by Steven D. Moffitt & William T. Ziemba - 1801.02935 Modeling the number of hidden events subject to observation delay
by Jonas Crevecoeur & Katrien Antonio & Roel Verbelen - 1801.02925 Implications of macroeconomic volatility in the Euro area
by Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens - 1801.02783 Dynamic Pricing and Energy Management Strategy for EV Charging Stations under Uncertainties
by Chao Luo & Yih-Fang Huang & Vijay Gupta - 1801.02719 Dirichlet Forms and Finite Element Methods for the SABR Model
by Blanka Horvath & Oleg Reichmann - 1801.02702 Revealed Price Preference: Theory and Empirical Analysis
by Rahul Deb & Yuichi Kitamura & John K. -H. Quah & Jorg Stoye - 1801.02681 Diversification, economies of scope, and exports growth of Chinese firms
by Mercedes Campi & Marco Due~nas & Le Li & Huabin Wu - 1801.02422 A quantitative approach to choose among multiple mutually exclusive decisions: comparative expected utility theory
by Pengyu Zhu - 1801.02205 The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis
by Danilo Delpini & Stefano Battiston & Guido Caldarelli & Massimo Riccaboni - 1801.02135 A Consumer Behavior Based Approach to Multi-Stage EV Charging Station Placement
by Chao Luo & Yih-Fang Huang & Vijay Gupta - 1801.02129 Placement of EV Charging Stations --- Balancing Benefits among Multiple Entities
by Chao Luo & Yih-Fang Huang & Vijay Gupta - 1801.02128 Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage
by Chao Luo & Yih-Fang Huang & Vijay Gupta - 1801.02091 Dynamic Clearing and Contagion in Financial Networks
by Tathagata Banerjee & Alex Bernstein & Zachary Feinstein - 1801.02042 Learning from Neighbors about a Changing State
by Krishna Dasaratha & Benjamin Golub & Nir Hak - 1801.01948 Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists
by Steven D. Moffitt - 1801.01811 SABCEMM-A Simulator for Agent-Based Computational Economic Market Models
by Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank - 1801.01792 Dynamic and granular loss reserving with copulae
by Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta - 1801.01777 Deep Learning for Forecasting Stock Returns in the Cross-Section
by Masaya Abe & Hideki Nakayama - 1801.01243 Constructing Metropolis-Hastings proposals using damped BFGS updates
by Johan Dahlin & Adrian Wills & Brett Ninness - 1801.01205 Expansion formulas for European quanto options in a local volatility FX-LIBOR model
by Julien Hok & Philip Ngare & Antonis Papapantoleon - 1801.01093 Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
by Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini - 1801.00980 Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
by Alev{s} v{C}ern'y & Igor Melicherv{c}'ik - 1801.00973 A New Wald Test for Hypothesis Testing Based on MCMC outputs
by Yong Li & Xiaobin Liu & Jun Yu & Tao Zeng - 1801.00734 Complexity Theory, Game Theory, and Economics: The Barbados Lectures
by Tim Roughgarden - 1801.00681 A novel improved fuzzy support vector machine based stock price trend forecast model
by Shuheng Wang & Guohao Li & Yifan Bao - 1801.00597 Exploiting Investors Social Network for Stock Prediction in China's Market
by Xi Zhang & Jiawei Shi & Di Wang & Binxing Fang - 1801.00588 Improving Stock Market Prediction via Heterogeneous Information Fusion
by Xi Zhang & Yunjia Zhang & Senzhang Wang & Yuntao Yao & Binxing Fang & Philip S. Yu
2017
- 1801.05752 Part 1: Training Sets & ASG Transforms
by Rilwan Adewoyin - 1801.04910 Urn model for products' shares in international trade
by Matthieu Barbier & D. -S. Lee - 1801.04841 Demographic Modeling Via 3-dimensional Markov Chains
by Juan Jose Viquez & Alexander Campos & Jorge Loria & Luis Alfredo Mendoza & Jorge Aurelio Viquez - 1801.02444 Games of Incomplete Information and Myopic Equilibria
by R. Simon & S. Spiez & H. Torunczyk - 1801.00372 Optimal Timing to Trade Along a Randomized Brownian Bridge
by Tim Leung & Jiao Li & Xin Li - 1801.00369 Resource Abundance and Life Expectancy
by Bahram Sanginabadi - 1801.00364 Estimation and Inference of Treatment Effects with $L_2$-Boosting in High-Dimensional Settings
by Jannis Kueck & Ye Luo & Martin Spindler & Zigan Wang - 1801.00362 Transition probability of Brownian motion in the octant and its application to default modeling
by Vadim Kaushansky & Alexander Lipton & Christoph Reisinger - 1801.00332 Confidence set for group membership
by Andreas Dzemski & Ryo Okui - 1801.00266 Double continuation regions for American and Swing options with negative discount rate in L\'evy models
by Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz - 1801.00253 Global Income Inequality and Savings: A Data Science Perspective
by Kiran Sharma & Subhradeep Das & Anirban Chakraborti - 1801.00185 A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
by Piero Mazzarisi & Paolo Barucca & Fabrizio Lillo & Daniele Tantari - 1801.00091 PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation from Financial News using Machine Learning
by Raeid Saqur & Nicole Langballe - 1801.00058 A simple mathematical model for unemployment: a case study in Portugal with optimal control
by Anibal Galindro & Delfim F. M. Torres - 1712.10287 Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity
by Reginald D. Smith - 1712.10274 Foreign Portfolio Investment and Economy: The Network Perspective
by Muhammad Mohsin Hakeem & Ken-ichi Suzuki - 1712.10105 Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets
by Ben-zhang Yang & Jia Yue & Nan-jing Huang - 1712.10024 Debiased Machine Learning of Set-Identified Linear Models
by Vira Semenova - 1712.09987 How Short Sales Circumvent the Capital Gains Tax System
by Russell Stanley Q. Geronimo - 1712.09978 Why Long-Term Debt Instruments Cannot Be Deposit Substitutes
by Russell Stanley Q. Geronimo - 1712.09969 De Facto Control: Applying Game Theory to the Law on Corporate Nationality
by Russell Stanley Q. Geronimo - 1712.09854 No arbitrage and lead-lag relationships
by Takaki Hayashi & Yuta Koike - 1712.09605 Accelerators in macroeconomics: Comparison of discrete and continuous approaches
by Valentina V. Tarasova & Vasily E. Tarasov - 1712.09592 An Artificial Neural Network-based Stock Trading System Using Technical Analysis and Big Data Framework
by O. B. Sezer & M. Ozbayoglu & E. Dogdu - 1712.09575 Economic interpretation of fractional derivatives
by Valentina V. Tarasova & Vasily E. Tarasov - 1712.09201 Approximation methods for piecewise deterministic Markov processes and their costs
by Peter Kritzer & Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser - 1712.09150 Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series
by Ruben Loaiza-Maya & Michael Stanley Smith - 1712.09108 Non-stochastic portfolio theory
by Vladimir Vovk - 1712.09092 Logistic map with memory from economic model
by Valentina V. Tarasova & Vasily E. Tarasov - 1712.09089 An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
by Victor Chernozhukov & Kaspar Wuthrich & Yinchu Zhu - 1712.09088 Concept of dynamic memory in economics
by Valentina V. Tarasova & Vasily E. Tarasov - 1712.09087 Dynamic intersectoral models with power-law memory
by Valentina V. Tarasova & Vasily E. Tarasov - 1712.08973 The Better Half of Selling Separately
by Sergiu Hart & Philip J. Reny - 1712.08954 Player-Compatible Learning and Player-Compatible Equilibrium
by Drew Fudenberg & Kevin He - 1712.08876 Maximizing the Collective Learning Effects in Regional Economic Development
by Jian Gao - 1712.08716 A Game of Random Variables
by Artem Hulko & Mark Whitmeyer - 1712.08654 Closed-form Solutions for the Lucas-Uzawa model: Unique or Multiple
by Rehana Naz - 1712.08329 A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
by Antoine Lejay & Paolo Pigato - 1712.08247 Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
by Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias - 1712.08137 Efficient European and American option pricing under a jump-diffusion process
by Marcellino Gaudenzi & Alice Spangaro & Patrizia Stucchi - 1712.08102 Simultaneous Confidence Intervals for High-dimensional Linear Models with Many Endogenous Variables
by Alexandre Belloni & Christian Hansen & Whitney Newey - 1712.08057 On Long Memory Origins and Forecast Horizons
by J. Eduardo Vera-Vald'es - 1712.07806 Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
by Yu-Jui Huang & Zhou Zhou - 1712.07796 Gibbs sampler with jump diffusion model: application in European call option and annuity
by Kein Joe Lau & Yong Kheng Goh & An-Chow Lai - 1712.07699 Robust expected utility maximization with medial limits
by Daniel Bartl & Patrick Cheridito & Michael Kupper - 1712.07649 Trading Strategies with Position Limits
by Valerii Salov - 1712.07522 Cointegration in functional autoregressive processes
by Massimo Franchi & Paolo Paruolo - 1712.07383 Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
by Bruno Bouchard & Ki Chau & Arij Manai & Ahmed Sid-Ali - 1712.07364 Transformation Models in High-Dimensions
by Sven Klaassen & Jannis Kueck & Martin Spindler - 1712.07320 First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment
by Yuri F. Saporito - 1712.07248 Towards a General Large Sample Theory for Regularized Estimators
by Michael Jansson & Demian Pouzo - 1712.06664 Another Look at the Ho-Lee Bond Option Pricing Model
by Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi - 1712.06466 Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model
by Roberto Baviera - 1712.06358 The Saga of KPR: Theoretical and Experimental developments
by Kiran Sharma & Anamika & Anindya S. Chakrabarti & Anirban Chakraborti & Sujoy Chakravarty - 1712.06263 The relationship between trading volumes, number of transactions, and stock volatility in GARCH models
by Tetsuya Takaishi & Ting Ting Chen - 1712.05840 Behavior Revealed in Mobile Phone Usage Predicts Loan Repayment
by Daniel Bjorkegren & Darrell Grissen - 1712.05676 Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
by Lijun Bo & Huafu Liao & Xiang Yu - 1712.05527 A nonparametric copula approach to conditional Value-at-Risk
by Gery Geenens & Richard Dunn - 1712.05470 Assessment Voting in Large Electorates
by Hans Gersbach & Akaki Mamageishvili & Oriol Tejada - 1712.05254 The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
by Foad Shokrollahi - 1712.05121 The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
by Vygintas Gontis & Aleksejus Kononovicius - 1712.05031 The Mathematics of Market Timing
by Guy Metcalfe - 1712.04990 Series representation of the pricing formula for the European option driven by space-time fractional diffusion
by Jean-Philippe Aguilar & Cyril Coste & Jan Korbel - 1712.04912 Quasi-Oracle Estimation of Heterogeneous Treatment Effects
by Xinkun Nie & Stefan Wager - 1712.04863 Stock market as temporal network
by Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley - 1712.04844 Optimal Stochastic Decensoring and Applications to Calibration of Market Models
by Anastasis Kratsios - 1712.04802 Fisher-Schultz Lecture: Generic Machine Learning Inference on Heterogenous Treatment Effects in Randomized Experiments, with an Application to Immunization in India
by Victor Chernozhukov & Mert Demirer & Esther Duflo & Iv'an Fern'andez-Val - 1712.04612 Inverse Reinforcement Learning for Marketing
by Igor Halperin - 1712.04609 QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
by Igor Halperin - 1712.04594 Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness
by Timothy B. Armstrong & Michal Koles'ar - 1712.04418 Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions
by Zbigniew Palmowski & Joanna Tumilewicz - 1712.04117 The Calculus of Democratization and Development
by Jacob Ferguson - 1712.03797 Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview
by Daniel Kosiorowski & Dominik Mielczarek & Jerzy. P. Rydlewski - 1712.03681 Revisiting the determinacy on New Keynesian Models: A survey
by Alberto F. Boix & Adri'an Segura Moreiras - 1712.03675 Set Identified Dynamic Economies and Robustness to Misspecification
by Andreas Tryphonides - 1712.03566 Enhancing Binomial and Trinomial Equity Option Pricing Models
by Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi - 1712.03553 RNN-based counterfactual prediction, with an application to homestead policy and public schooling
by Jason Poulos & Shuxi Zeng - 1712.03448 A Random Attention Model
by Matias D. Cattaneo & Xinwei Ma & Yusufcan Masatlioglu & Elchin Suleymanov - 1712.03152 Aggregating Google Trends: Multivariate Testing and Analysis
by Stephen L. France & Yuying Shi - 1712.03106 Compound Hawkes Processes in Limit Order Books
by Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas - 1712.03044 Mixed Models as an Alternative to Farima
by Jos'e Igor Morlanes - 1712.02937 On Metropolis Growth
by Syed Amaar Ahmad - 1712.02926 Online Red Packets: A Large-scale Empirical Study of Gift Giving on WeChat
by Yuan Yuan & Tracy Xiao Liu & Chenhao Tan & Jie Tang - 1712.02860 Remarks on Bayesian Control Charts
by Amir Ahmadi-Javid & Mohsen Ebadi - 1712.02735 Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models
by Anatoliy Swishchuk & Zijia Wang - 1712.02661 Linear and nonlinear market correlations: characterizing financial crises and portfolio optimization
by Alexander Haluszczynski & Ingo Laut & Heike Modest & Christoph Rath - 1712.02282 On monitoring development indicators using high resolution satellite images
by Potnuru Kishen Suraj & Ankesh Gupta & Makkunda Sharma & Sourabh Bikas Paul & Subhashis Banerjee - 1712.02182 Risk Apportionment: The Dual Story
by Louis R. Eeckhoudt & Roger J. A. Laeven & Harris Schlesinger - 1712.02164 On the Singular Control of Exchange Rates
by Giorgio Ferrari & Tiziano Vargiolu - 1712.02138 A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
by Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo - 1712.02136 Listening to Chaotic Whispers: A Deep Learning Framework for News-oriented Stock Trend Prediction
by Ziniu Hu & Weiqing Liu & Jiang Bian & Xuanzhe Liu & Tie-Yan Liu - 1712.02003 Universal fluctuations in growth dynamics of economic systems
by Nathan C. Frey & Sakib Matin & H. Eugene Stanley & Michael Salinger - 1712.01479 Estimation for high-frequency data under parametric market microstructure noise
by Simon Clinet & Yoann Potiron - 1712.01431 Determination of Pareto exponents in economic models driven by Markov multiplicative processes
by Brendan K. Beare & Alexis Akira Toda - 1712.01385 Quantum Bounds for Option Prices
by Paul McCloud - 1712.01319 Multi-currency reserving for coherent risk measures
by Saul Jacka & Seb Armstrong & Abdel Berkaoui - 1712.01137 Inferring agent objectives at different scales of a complex adaptive system
by Dieter Hendricks & Adam Cobb & Richard Everett & Jonathan Downing & Stephen J. Roberts - 1712.01085 A particle model for the herding phenomena induced by dynamic market signals
by Hyeong-Ohk Bae & Seung-yeon Cho & Sang-hyeok Lee & Seok-Bae Yun - 1712.01060 A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node
by Amirhossein Sobhani & Mariyan Milev - 1712.00979 The balance of growth and risk in population dynamics
by Thomas Gueudr'e & David Martin - 1712.00975 Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis
by Dat Thanh Tran & Alexandros Iosifidis & Juho Kanniainen & Moncef Gabbouj - 1712.00602 An Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate Governance and Capital Structure in Emerging Markets: Evidence from Chinese Listed Companies
by ManYing Kang & Marcel Ausloos - 1712.00585 Dynamic optimization of a portfolio
by Oleg Malafeyev & Achal Awasthi - 1712.00504 A Neural Stochastic Volatility Model
by Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang - 1712.00463 Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility
by Lena Schutte - 1712.00235 Empirical comparison of three models for determining market clearing prices in Turkish day-ahead electricity market
by Gokhan Ceyhan & Nermin Elif Kurt & H. Bahadir Sahin & Kurc{s}ad Derinkuyu