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Content
2017
- 1712.00131 Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries
by Jing Shi & Marcel Ausloos & Tingting Zhu
- 1712.00130 Hint of a Universal Law for the Financial Gains of Competitive Sport Teams. The case of Tour de France cycle race
by Marcel Ausloos
- 1712.00077 Fluctuation identities with continuous monitoring and their application to price barrier options
by Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano
- 1712.00064 A Short-term Intervention for Long-term Fairness in the Labor Market
by Lily Hu & Yiling Chen
- 1712.00001 Some Physics Notions on Monetary Standard
by Tiago Fernandes
- 1711.11429 Factor endowment -- commodity output relationships in a three-factor, two-good general equilibrium trade model
by Yoshiaki Nakada
- 1711.11003 Distributions of Historic Market Data - Stock Returns
by Zhiyuan Liu & M. Dashti Moghaddam & R. A. Serota
- 1711.10640 Notes on Fano Ratio and Portfolio Optimization
by Zura Kakushadze & Willie Yu
- 1711.10602 The Effect of Partisanship and Political Advertising on Close Family Ties
by M. Keith Chen & Ryne Rohla
- 1711.10552 Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece
by George P Papaioannou & Christos Dikaiakos & Anargyros Dramountanis & Dionysios S Georgiadis & Panagiotis G Papaioannou
- 1711.10527 Identification of and correction for publication bias
by Isaiah Andrews & Maximilian Kasy
- 1711.10303 Conditional cores and conditional convex hulls of random sets
by Emmanuel Lepinette & Ilya Molchanov
- 1711.10210 Optimal Risk Allocation in Reinsurance Networks
by Nicole Bauerle & Alexander Glauner
- 1711.10138 Comment on Suzuki's rebuttal of Batra and Casas
by Yoshiaki Nakada
- 1711.10096 The effects of energy and commodity prices on commodity output in a three-factor, two-good general equilibrium trade model
by Yoshiaki Nakada
- 1711.10031 Constructive Identification of Heterogeneous Elasticities in the Cobb-Douglas Production Function
by Tong Li & Yuya Sasaki
- 1711.10013 Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model
by Olivares Pablo & Villamor Enrique
- 1711.09852 Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods
by Slobodan Milovanovi'c & Victor Shcherbakov
- 1711.09445 Option pricing for Informed Traders
by Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi
- 1711.09193 Option Pricing with Orthogonal Polynomial Expansions
by Damien Ackerer & Damir Filipovic
- 1711.08883 A Direct Solution Method for Pricing Options in Regime-switching Models
by Masahiko Egami & Rusudan Kevkhishvili
- 1711.08877 The Research on the Stagnant Development of Shantou Special Economic Zone Under Reform and Opening-Up Policy
by Bowen Cai
- 1711.08799 Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison
by Kamilla Sabitova
- 1711.08633 Equivalence Between Time Consistency and Nested Formula
by Henri G'erard & Michel de Lara & Jean-Philippe Chancelier
- 1711.08356 Valuation of equity warrants for uncertain financial market
by Foad Shokrollahi
- 1711.08282 Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model
by F. M. Stefan & A. P. F. Atman
- 1711.08245 Interpreting Economic Complexity
by Penny Mealy & J. Doyne Farmer & Alexander Teytelboym
- 1711.08043 Polynomial Jump-Diffusion Models
by Damir Filipovi'c & Martin Larsson
- 1711.07753 Price Optimisation for New Business
by Maissa Tamraz & Yaming Yang
- 1711.07731 A New Approach to Electricity Market Clearing With Uniform Purchase Price and Curtailable Block Orders
by Iacopo Savelli & Bertrand Corn'elusse & Antonio Giannitrapani & Simone Paoletti & Antonio Vicino
- 1711.07677 Corporate payments networks and credit risk rating
by Elisa Letizia & Fabrizio Lillo
- 1711.07630 Statistical properties of market collective responses
by Shanshan Wang & Sebastian Neusu{ss} & Thomas Guhr
- 1711.07335 Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level
by Takashi Kato
- 1711.07327 Economic Complexity Unfolded: Interpretable Model for the Productive Structure of Economies
by Zoran Utkovski & Melanie F. Pradier & Viktor Stojkoski & Fernando Perez-Cruz & Ljupco Kocarev
- 1711.07279 Information and Arbitrage: Applications of Quantum Groups in Mathematical Finance
by Paul McCloud
- 1711.07133 Influence of jump-at-default in IR and FX on Quanto CDS prices
by A. Itkin & V. Shcherbakov & A. Veygman
- 1711.07077 Estimation Considerations in Contextual Bandits
by Maria Dimakopoulou & Zhengyuan Zhou & Susan Athey & Guido Imbens
- 1711.06940 Robust Synthetic Control
by Muhammad Jehangir Amjad & Devavrat Shah & Dennis Shen
- 1711.06679 Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
by Martin Herdegen & Sebastian Herrmann
- 1711.06565 Calibration of Distributionally Robust Empirical Optimization Models
by Jun-Ya Gotoh & Michael Jong Kim & Andrew E. B. Lim
- 1711.06466 Robust bounds for the American Put
by David Hobson & Dominykas Norgilas
- 1711.06403 Multi-objective risk-averse two-stage stochastic programming problems
by c{C}au{g}{i}n Ararat & Ozlem c{C}avuc{s} & Ali .Irfan Mahmutou{g}ullar{i}
- 1711.06185 Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees
by A. Q. Barbi & G. A. Prataviera
- 1711.06164 Rich or poor: Who should pay higher tax rates?
by Paulo Murilo Castro de Oliveira
- 1711.05784 Identifying the community structure of the international food-trade multi network
by Sofia Torreggiani & Giuseppe Mangioni & Michael J. Puma & Giorgio Fagiolo
- 1711.05681 Forecasting dynamic return distributions based on ordered binary choice
by Stanislav Anatolyev & Jozef Barunik
- 1711.05598 Customer Selection Model with Grouping and Hierarchical Ranking Analysis
by Bowen Cai
- 1711.05289 Bank Panics and Fire Sales, Insolvency and Illiquidity
by T. R. Hurd
- 1711.04793 Improved Density and Distribution Function Estimation
by Vitaliy Oryshchenko & Richard J. Smith
- 1711.04717 Black was right: Price is within a factor 2 of Value
by J. P. Bouchaud & S. Ciliberti & Y. Lemp'eri`ere & A. Majewski & P. Seager & K. Sin Ronia
- 1711.04392 Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
by Yuan Liao & Xiye Yang
- 1711.04219 Closed-form Solutions of Relativistic Black-Scholes Equations
by Yanlin Qu & Randall R. Rojas
- 1711.04174 Financial Time Series Prediction Using Deep Learning
by Ariel Navon & Yosi Keller
- 1711.04024 How fragile are information cascades?
by Yuval Peres & Miklos Z. Racz & Allan Sly & Izabella Stuhl
- 1711.03959 Testing for observation-dependent regime switching in mixture autoregressive models
by Mika Meitz & Pentti Saikkonen
- 1711.03875 Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
by Ariel Neufeld & Mario Sikic
- 1711.03744 Efficient Exponential Tilting for Portfolio Credit Risk
by Cheng-Der Fuh & Chuan-Ju Wang
- 1711.03733 Variance optimal hedging with application to Electricity markets
by Xavier Warin
- 1711.03642 Valuing the anticipative information on the stochastic short interest rates
by Bernardo D'Auria & Jos'e Antonio Salmer'on
- 1711.03560 SHOPPER: A Probabilistic Model of Consumer Choice with Substitutes and Complements
by Francisco J. R. Ruiz & Susan Athey & David M. Blei
- 1711.03534 Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
by Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen
- 1711.03506 Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets
by Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia
- 1711.03291 Portfolio Optimization and Model Predictive Control: A Kinetic Approach
by Torsten Trimborn & Lorenzo Pareschi & Martin Frank
- 1711.03188 Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon
by Alon Dourban & Liron Yedidsion
- 1711.03078 Functional central limit theorems for rough volatility
by Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark
- 1711.03023 The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
by Yuri F. Saporito & Xu Yang & Jorge P. Zubelli
- 1711.02939 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
by Zhou Yang & Gechun Liang & Chao Zhou
- 1711.02925 Implied volatility smile dynamics in the presence of jumps
by Martin Magris & Perttu Barholm & Juho Kanniainen
- 1711.02808 Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
by Kevin Fergusson & Eckhard Platen
- 1711.02784 Optimal Brownian Stopping between radially symmetric marginals in general dimensions
by Nassif Ghoussoub & Young-Heon Kim & Tongseok Lim
- 1711.02764 Pathwise superhedging on prediction sets
by Daniel Bartl & Michael Kupper & Ariel Neufeld
- 1711.02745 Identification and Estimation of Spillover Effects in Randomized Experiments
by Gonzalo Vazquez-Bare
- 1711.02695 The Limits of Citation Counts
by Antonin Mac'e
- 1711.02626 Dis-embedded Openness: Inequalities in European Economic Integration at the Sectoral Level
by Balazs Vedres & Carl Nordlund
- 1711.02625 In search of a new economic model determined by logistic growth
by Roman G. Smirnov & Kunpeng Wang
- 1711.02600 The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes
by Brian P. Hanley
- 1711.02573 Mean Field Limit of a Behavioral Financial Market Model
by Torsten Trimborn & Martin Frank & Stephan Martin
- 1711.02184 Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models
by Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey & Sami Stouli & Francis Vella
- 1711.02140 Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
by Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap
- 1711.02048 Identifying the Effects of a Program Offer with an Application to Head Start
by Vishal Kamat
- 1711.01760 Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
by Calisto Guambe & Rodwell Kufakunesu
- 1711.01756 Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals
by Renko Siebols
- 1711.01017 A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs
by Arash Fahim & Wan-Yu Tsai
- 1711.00737 Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
by Martin Keller-Ressel
- 1711.00708 On Game-Theoretic Risk Management (Part Three) - Modeling and Applications
by Stefan Rass
- 1711.00661 Equity in Startups
by Herv'e Lebret
- 1711.00644 Startups and Stanford University
by Herv'e Lebret
- 1711.00564 Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
by Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner
- 1711.00443 Optimizing S-shaped utility and implications for risk management
by John Armstrong & Damiano Brigo
- 1711.00427 Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
by Eyal Neuman & Mathieu Rosenbaum
- 1711.00370 A continuous selection for optimal portfolios under convex risk measures does not always exist
by Michel Baes & Cosimo Munari
- 1711.00342 Orthogonal Machine Learning: Power and Limitations
by Lester Mackey & Vasilis Syrgkanis & Ilias Zadik
- 1711.00307 Pricing of commodity derivatives on processes with memory
by Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele
- 1711.00171 On some further properties and application of Weibull-R family of distributions
by Indranil Ghosh & Saralees Nadarajah
- 1710.11512 Network models of financial systemic risk: A review
by Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi
- 1710.11435 Quantization goes Polynomial
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini
- 1710.11432 Stochastic maximum principle under probability distortion
by Qizhu Liang & Jie Xiong
- 1710.11283 Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending
by Jessica Foo & Lek-Heng Lim & Ken Sze-Wai Wong
- 1710.11232 The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
by Elisa Alos & Antoine Jacquier & Jorge Leon
- 1710.11230 Nonparametric Identification in Index Models of Link Formation
by Wayne Yuan Gao
- 1710.11184 Correlations and Clustering in Wholesale Electricity Markets
by Tianyu Cui & Francesco Caravelli & Cozmin Ududec
- 1710.11065 On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
by Zied Ben Salah & Jos'e Garrido
- 1710.11019 Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C
by Florian Knobloch & Hector Pollitt & Unnada Chewpreecha & Vassilis Daioglou & Jean-Francois Mercure
- 1710.10980 Statistical validation of financial time series via visibility graph
by Matteo Serafino & Andrea Gabrielli & Guido Caldarelli & Giulio Cimini
- 1710.10967 Artificial Intelligence as Structural Estimation: Economic Interpretations of Deep Blue, Bonanza, and AlphaGo
by Mitsuru Igami
- 1710.10711 Large deviation principle for Volterra type fractional stochastic volatility models
by Archil Gulisashvili
- 1710.10692 Research on ruin probability of risk model based on AR(1) series
by Wenhao Li & Bolong Wang & Tianxiang Shen & Ronghua Zhu & Dehui Wang
- 1710.10487 Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
by Jingtang Ma & Wenyuan Li & Harry Zheng
- 1710.10377 Quantum attacks on Bitcoin, and how to protect against them
by Divesh Aggarwal & Gavin K. Brennen & Troy Lee & Miklos Santha & Marco Tomamichel
- 1710.10293 Polynomial processes for power prices
by Damir Filipovic & Martin Larsson & Tony Ware
- 1710.10251 Matrix Completion Methods for Causal Panel Data Models
by Susan Athey & Mohsen Bayati & Nikolay Doudchenko & Guido Imbens & Khashayar Khosravi
- 1710.10143 From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks
by Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco
- 1710.09707 Calibrated Projection in MATLAB: Users' Manual
by Hiroaki Kaido & Francesca Molinari & Jorg Stoye & Matthew Thirkettle
- 1710.09678 Do Classics Exist in Megaproject Management?
by Bent Flyvbjerg & J. Rodney Turner
- 1710.09587 Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
by Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid
- 1710.09476 A Mathematical Analysis of Technical Analysis
by Matthew Lorig & Zhou Zhou & Bin Zou
- 1710.09419 Reference Class Forecasting for Hong Kong's Major Roadworks Projects
by Bent Flyvbjerg & Chi-keung Hon & Wing Huen Fok
- 1710.09069 Shape-Constrained Density Estimation via Optimal Transport
by Ryan Cumings-Menon
- 1710.09009 Asymptotic Distribution and Simultaneous Confidence Bands for Ratios of Quantile Functions
by Fabian Dunker & Stephan Klasen & Tatyana Krivobokova
- 1710.08901 Calibration of Machine Learning Classifiers for Probability of Default Modelling
by Pedro G. Fonseca & Hugo D. Lopes
- 1710.08860 A Topological Approach to Scaling in Financial Data
by Jean de Carufel & Martin Brooks & Michael Stieber & Paul Britton
- 1710.08558 Propensity score matching for multiple treatment levels: A CODA-based contribution
by Hajime Seya & Takahiro Yoshida
- 1710.08549 Existence in Multidimensional Screening with General Nonlinear Preferences
by Kelvin Shuangjian Zhang
- 1710.08450 $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance
by Peter A. Forsyth & George Labahn
- 1710.07959 Grasping asymmetric information in market impacts
by Shanshan Wang & Sebastian Neusu{ss} & Thomas Guhr
- 1710.07918 Electricity Market Theory Based on Continuous Time Commodity Model
by Haoyong Chen & Lijia Han
- 1710.07911 Computational Methods for Martingale Optimal Transport problems
by Gaoyue Guo & Jan Obloj
- 1710.07894 On the quadratic variation of the model-free price paths with jumps
by Lesiba Ch. Galane & Rafa{l} M. {L}ochowski & Farai J. Mhlanga
- 1710.07492 Multilevel estimation of expected exit times and other functionals of stopped diffusions
by Michael B. Giles & Francisco Bernal
- 1710.07481 A regularity structure for rough volatility
by Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper
- 1710.07470 Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures
by Jing-Chao Chen & Yu Zhou & Xi Wang
- 1710.07340 Frequency Based Index Estimating the Subclusters' Connection Strength
by Lukas Pastorek
- 1710.07331 Information measure for financial time series: quantifying short-term market heterogeneity
by Linda Ponta & Anna Carbone
- 1710.07030 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi
- 1710.07004 Modal Regression using Kernel Density Estimation: a Review
by Yen-Chi Chen
- 1710.06893 The tipping point: a mathematical model for the profit-driven abandonment of restaurant tipping
by Sara M. Clifton & Eileen Herbers & Jack Chen & Daniel M. Abrams
- 1710.06809 Minimax Linear Estimation at a Boundary Point
by Wayne Yuan Gao
- 1710.06561 Revenue-based Attribution Modeling for Online Advertising
by Kaifeng Zhao & Seyed Hanif Mahboobi & Saeed Bagheri
- 1710.06526 Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
by Jaroslav Borovicka & John Stachurski
- 1710.06350 Navigating dark liquidity (How Fisher catches Poisson in the Dark)
by Ilija I. Zovko
- 1710.06285 Preliminary steps toward a universal economic dynamics for monetary and fiscal policy
by Yaneer Bar-Yam & Jean Langlois-Meurinne & Mari Kawakatsu & Rodolfo Garcia
- 1710.06132 Disruptive firms
by Mario Coccia
- 1710.05829 Non-Euclidean Conditional Expectation and Filtering
by Anastasis Kratsios & Cody B. Hyndman
- 1710.05542 Efficient hedging in Bates model using high-order compact finite differences
by Bertram During & Alexander Pitkin
- 1710.05513 Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model
by Ziping Zhao & Daniel P. Palomar
- 1710.05204 Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
by Michael Ludkovski & James Risk
- 1710.05168 Dynamic Portfolio Optimization with Looping Contagion Risk
by Longjie Jia & Martijn Pistorius & Harry Zheng
- 1710.05131 Mean Field Game Approach to Production and Exploration of Exhaustible Commodities
by Michael Ludkovski & Xuwei Yang
- 1710.05114 Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization
by Anastasis Kratsios & Cody B. Hyndman
- 1710.04818 A General Framework for Portfolio Theory. Part II: drawdown risk measures
by Stanislaus Maier-Paape & Qiji Jim Zhu
- 1710.04579 A General Framework for Portfolio Theory. Part I: theory and various models
by Stanislaus Maier-Paape & Qiji Jim Zhu
- 1710.04455 Computational Analysis of the structural properties of Economic and Financial Networks
by Frank Emmert-Streib & Aliyu Musa & Kestutis Baltakys & Juho Kanniainen & Shailesh Tripathi & Olli Yli-Harja & Herbert Jodlbauer & Matthias Dehmer
- 1710.04363 Utility maximization problem under transaction costs: optimal dual processes and stability
by Lingqi Gu & Yiqing Lin & Junjian Yang
- 1710.04273 Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem
by Justin Sirignano & Konstantinos Spiliopoulos
- 1710.03870 A High Frequency Trade Execution Model for Supervised Learning
by Matthew F Dixon
- 1710.03830 Inference on Auctions with Weak Assumptions on Information
by Vasilis Syrgkanis & Elie Tamer & Juba Ziani
- 1710.03820 A 700-seat no-loss composition for the 2019 European Parliament
by G. R. Grimmett & F. Pukelsheim & V. Ram'irez Gonz'alez & W. S{l}omczy'nski & K. .Zyczkowski
- 1710.03734 Market impact with multi-timescale liquidity
by Michael Benzaquen & Jean-Philippe Bouchaud
- 1710.03526 Measuring the gradualist approach to internationalization
by M'onica Clavel & Jes'us Arteaga-Ortiz & Rub'en Fern'andez-Ortiz & Pablo Dorta-Gonz'alez
- 1710.03506 A buffer Hawkes process for limit order books
by Ingemar Kaj & Mine Caglar
- 1710.03267 A Strategic Investment Framework for Biotechnology Markets via Dynamic Asset Allocation and Class Diversification
by Abhishek Mohan & Agnibho Roy
- 1710.03252 Large deviations for risk measures in finite mixture models
by Valeria Bignozzi & Claudio Macci & Lea Petrella
- 1710.03222 Forecasting Across Time Series Databases using Recurrent Neural Networks on Groups of Similar Series: A Clustering Approach
by Kasun Bandara & Christoph Bergmeir & Slawek Smyl
- 1710.03211 Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
by Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani
- 1710.03205 Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
by Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi
- 1710.03161 Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL
by Chris Kenyon & Mourad Berrahoui & Benjamin Poncet
- 1710.03160 Short Maturity Forward Start Asian Options in Local Volatility Models
by Dan Pirjol & Jing Wang & Lingjiong Zhu
- 1710.02944 A Unified Approach on the Local Power of Panel Unit Root Tests
by Zhongwen Liang
- 1710.02926 When Should You Adjust Standard Errors for Clustering?
by Alberto Abadie & Susan Athey & Guido Imbens & Jeffrey Wooldridge
- 1710.02838 Robust Forecast Aggregation
by Itai Areili & Yakov Babichenko & Rann Smorodinsky
- 1710.02755 An Optimized Microeconomic Modeling System for Analyzing Industrial Externalities in Non-OECD Countries
by Agnibho Roy & Abhishek Mohan
- 1710.02669 Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors
by Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski
- 1710.02435 Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm
by Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini
- 1710.02326 A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games
by Shuige Liu
- 1710.02127 Intervention On Default Contagion Under Partial Information
by Yang Xu
- 1710.01852 Finite Time Identification in Unstable Linear Systems
by Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis
- 1710.01797 The Chebyshev method for the implied volatility
by Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz
- 1710.01787 On Kelly Betting: Some Limitations
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01786 Kelly Betting Can Be Too Conservative
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner
- 1710.01768 Explaining the Mechanism of Growth in the Past Two Million Years Vol. I
by Ron W. Nielsen
- 1710.01578 The Computational Complexity of Financial Networks with Credit Default Swaps
by Steffen Schuldenzucker & Sven Seuken & Stefano Battiston
- 1710.01503 On Drawdown-Modulated Feedback Control in Stock Trading
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01501 On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
by Chung-Han Hsieh & B. Ross Barmish
- 1710.01452 Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading
by Xuefeng Gao & Xiang Zhou & Lingjiong Zhu
- 1710.01423 Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model
by Chuan Goh
- 1710.01227 Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions
by Igor Halperin
- 1710.01141 A series representation for the Black-Scholes formula
by Jean-Philippe Aguilar
- 1710.00897 Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging
by Kamil Kladivko & Mihail Zervos
- 1710.00859 Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation
by Jinglun Yao & Sabine Laurent & Brice B'enaben
- 1710.00643 A Justification of Conditional Confidence Intervals
by Eric Beutner & Alexander Heinemann & Stephan Smeekes
- 1710.00431 Kelly's Criterion in Portfolio Optimization: A Decoupled Problem
by Zachariah Peterson
- 1710.00377 A Note on the Multi-Agent Contracts in Continuous Time
by Qi Luo & Romesh Saigal
- 1710.00231 Systemic risk in a mean-field model of interbank lending with self-exciting shocks
by Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere
- 1709.10478 The Strength of Absent Ties: Social Integration via Online Dating
by Josue Ortega & Philipp Hergovich
- 1709.10402 Distributions of Centrality on Networks
by Krishna Dasaratha
- 1709.10384 Obstacle problems for nonlocal operators
by Donatella Danielli & Arshak Petrosyan & Camelia A. Pop
- 1709.10295 Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps
by J'er^ome Spielmann
- 1709.10279 Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach
by Michael Knaus & Michael Lechner & Anthony Strittmatter