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### 2016

**1609.09205 Robust Optimal Investment in Discrete Time for Unbounded Utility Function***by*Laurence Carassus & Romain Blanchard**1609.08978 A stylized model for wealth distribution***by*Bertram D\"uring & 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 for a large number of stocks***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 Trader lead-lag networks and order flow prediction***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**1609.03029 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. Pr\"omel**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 Ekstr\"om**1609.01621 Criteria for the Absense and Existence of Arbitrage in Multidimensional Diffusion Models***by*David Criens**1609.01274 Securities Lending Strategies, Valuation of Term Loans 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**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 Are Order Anticipation Strategies Harmful? A Theoretical Approach***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**1608.08283 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**1608.07796 Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship***by*Neeraj & Prasanta K. Panigrahi**1608.07752 Financial Market Dynamics: Superdiffusive or not?***by*Sandhya Devi**1608.07694 Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach***by*Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail**1608.07226 On the hedging strategies for defaultable claims under incomplete information***by*Claudia Ceci & Katia Colaneri & Alessandra Cretarola**1608.07193 Quantile Dependence between Stock Markets and its Application in Volatility Forecasting***by*Heejoon Han**1608.07158 The randomised Heston model***by*Antoine Jacquier & Fangwei Shi**1608.06959 Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience***by*Luis Alcala & Fernando Tohme & Carlos Dabus**1608.06781 Fractal approach towards power-law coherency to measure cross-correlations between time series***by*Ladislav Kristoufek**1608.06416 RELARM: A rating model based on relative PCA attributes and k-means clustering***by*Elnura Irmatova**1608.06376 L\'evy-Vasicek Models and the Long-Bond Return Process***by*Dorje C. Brody & Lane P. Hughston & David M. Meier**1608.06121 Volatility and Arbitrage***by*E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf**1608.06076 New economic windows on income and wealth: The k-generalized family of distributions***by*F. Clementi & M. Gallegati**1608.06045 Optimal Switching under Ambiguity and Its Applications in Finance***by*Yuki Shigeta**1608.05900 A String Model of Liquidity in Financial Markets***by*Henry Schellhorn & Ran Zhao**1608.05851 The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation***by*Bruce M. Boghosian & Adrian Devitt-Lee & Hongyan Wang**1608.05814 Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation***by*Zdzislaw Brzezniak & Tayfun Kok**1608.05650 Poverty Index With Time Varying Consumption and Income Distributions***by*Amit K Chattopadhyay & T Krishna Kumar & Sushanta K Mallick**1608.05597 The structure of the climate debate***by*Richard S. J. Tol**1608.05585 Consistency of option prices under bid-ask spreads***by*Stefan Gerhold & I. Cetin G\"ul\"um**1608.05498 Elicitability and backtesting***by*Natalia Nolde & Johanna F. Ziegel**1608.05378 A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes***by*V. G. Filev & P. Neykov & G. S. Vasilev**1608.05145 Filling the gaps smoothly***by*Andrey Itkin & Alexander Lipton**1608.05060 General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics***by*Anatoliy Swishchuk & Katharina Cera & Julia Schmidt & Tyler Hofmeister**1608.05038 Electoral Stability and Rigidity***by*Michael Y. Levy**1608.05024 Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit***by*Gilles Boevi Koumou**1608.05002 Bayesian Posteriors For Arbitrarily Rare Events***by*Drew Fudenberg & Kevin He & Lorens Imhof**1608.04832 Monetary economics from econophysics perspective***by*Victor M. Yakovenko**1608.04683 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds***by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen**1608.04621 Optimal importance sampling for L\'evy Processes***by*Adrien Genin & Peter Tankov**1608.04556 Rank-optimal weighting or "How to be best in the OECD Better Life Index?"***by*Jan Lorenz & Christoph Brauer & Dirk A. Lorenz**1608.04537 Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion***by*Luis H. R. Alvarez E. & Paavo Salminen**1608.04522 Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk***by*Takashi Shinzato**1608.04506 Time-scale effects on the gain-loss asymmetry in stock indices***by*Bulcs\'u S\'andor & Ingve Simonsen & B\'alint Zsolt Nagy & Zolt\'an N\'eda**1608.03985 Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)***by*Peter Richmond & Bertrand M. Roehner**1608.03636 A General Framework for Pairs Trading with a Control-Theoretic Point of View***by*Atul Deshpande & B. Ross Barmish**1608.03521 Emergent organization in a model market***by*Avinash Chand Yadav & Kaustubh Manchanda & Ramakrishna Ramaswamy**1608.03428 A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives***by*Daniel Conus & Mackenzie Wildman**1608.03352 Some Contributions to Sequential Monte Carlo Methods for Option Pricing***by*Deborshee Sen & Ajay Jasra & Yan Zhou**1608.03237 Managing counterparty credit risk via BSDEs***by*Andrew Lesniewski & Anja Richter**1608.03058 Dynamic portfolio strategy using clustering approach***by*Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu**1608.03053 Dynamic structure of stock communities: A comparative study between stock returns and turnover rates***by*Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren**1608.02740 Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)***by*Monica Billio & Roberto Casarin & Luca Rossini**1608.02706 Another example of duality between game-theoretic and measure-theoretic probability***by*Vladimir Vovk**1608.02690 Arbitrage-Free XVA***by*Maxim Bichuch & Agostino Capponi & Stephan Sturm**1608.02550 A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes***by*Camilo Hernandez & Mauricio Junca**1608.02523 The Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data***by*Ali Hosseiny & Mauro Gallegati**1608.02446 Who would invest only in the risk-free asset?***by*Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos**1608.02428 The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates***by*Eugen Tarnow**1608.02365 Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall***by*Bernardi Mauro & Roy Cerqueti & Arsen Palestini**1608.02068 Arbitrage and utility maximization in market models with an insider***by*Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov**1608.02028 Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples***by*Michael A. Kouritzin**1608.01900 Dynamics of rapid innovation***by*T. M. A. Fink & M. Reeves & R. Palma & R. S. Farr**1608.01895 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data***by*Mikkel Bennedsen**1608.01891 Toward Development of a New Health Economic Evaluation Definition***by*Alexei Botchkarev**1608.01795 A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion***by*Ulrich Horst & D\"orte Kreher**1608.01535 Optimal Population in a Finite Horizon***by*Satoshi Nakano & Kazuhiko Nishimura**1608.01415 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs***by*Christoph Czichowsky & R\'emi Peyre & Walter Schachermayer & Junjian Yang**1608.01365 Multi-factor CES Elasticity and Productivity Growth: A Cross-Sectional Approach***by*Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura**1608.01351 Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma***by*Fuad Aleskerov & Victoria Oleynik**1608.01197 Efficient exposure computation by risk factor decomposition***by*Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger**1608.01133 The boundary non-Crossing probabilities for Slepian process***by*Pingjin Deng**1608.01103 Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method***by*Susmita Bhaduri & Dipak Ghosh & Subhadeep Ghosh**1608.00878 On the Use of Computer Programs as Money***by*Ross D. King**1608.00814 SPDE limit of the global fluctuations in rank-based models***by*Praveen Kolli & Mykhaylo Shkolnikov**1608.00768 On optimal investment with processes of long or negative memory***by*Huy N. Chau & Miklos Rasonyi**1608.00756 A continuous and efficient fundamental price on the discrete order book grid***by*Julius Bonart & Fabrizio Lillo**1608.00280 Pricing Weakly Model Dependent Barrier Products***by*Jan Kuklinski & Panagiotis Papaioannou & Kevin Tyloo**1608.00275 Metastable Features of Economic Networks and Responses to Exogenous Shocks***by*Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati**1608.00230 Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility***by*S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak**1608.00213 Self-organization in a distributed coordination game through heuristic rules***by*S. Agarwal & D. Ghosh & A. S. Chakrabarti**1607.08287 The effect of heterogeneity on flocking behavior and systemic risk***by*Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos**1607.08214 Asymmetric volatility connectedness on forex markets***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1607.07582 Modelling the impact of financialization on agricultural commodity markets***by*Maria d'Errico & Alessandro Laio & Guido L. Chiarotti**1607.07510 The Rank Effect for Commodities***by*Ricardo T. Fernholz & Christoffer Koch**1607.07197 On the support of extremal martingale measures with given marginals: the countable case***by*Luciano Campi & Claude Martini**1607.07108 Model-Independent Price Bounds for Catastrophic Mortality Bonds***by*Raj Kumari Bahl & Sotirios Sabanis**1607.07099 Inverse Optimization of Convex Risk Functions***by*Jonathan Yu-Meng Li**1607.06644 On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples***by*Dirk Becherer & Martin B\"uttner & Klebert Kentia**1607.06373 Systemic Risk and Stochastic Games with Delay***by*Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun**1607.06247 Effects of Sea Level Rise on Economy of the United States***by*Monika Novackova & Richard S. J. Tol**1607.06163 Indirect Inference With(Out) Constraints***by*David T. Frazier & Eric Renault**1607.06158 Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes***by*Andrew Papanicolaou & Konstantinos Spiliopoulos**1607.05831 Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process***by*Simon Clinet & Yoann Potiron**1607.05660 A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey***by*T. O. Benli**1607.05608 Identification of market trends with string and D2-brane maps***by*Erik Barto\v{s} & Richard Pin\v{c}\'ak**1607.05572 Smoothing the payoff for efficient computation of Basket option prices***by*Christian Bayer & Markus Siebenmorgen & Raul Tempone**1607.05514 Sectoral co-movements in the Indian stock market: A mesoscopic network analysis***by*Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti**1607.05235 Extracting Geography from Trade Data***by*Yuke Li & Tianhao Wu & Nicholas Marshall & Stefan Steinerberger**1607.04968 Numerical and analytical methods for bond pricing in short rate convergence models of interest rates***by*Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic**1607.04883 Statistical Industry Classification***by*Zura Kakushadze & Willie Yu**1607.04739 Multiple risk factor dependence structures: Distributional properties***by*Jianxi Su & Edward Furman**1607.04737 A form of multivariate Pareto distribution with applications to financial risk measurement***by*Jianxi Su & Edward Furman**1607.04553 Optimal Liquidation Strategy Across Multiple Exchanges under a Jump-Diffusion Fast Mean-Reverting Model***by*Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu**1607.04488 Hedging under generalized good-deal bounds and model uncertainty***by*Dirk Becherer & Klebert Kentia**1607.04484 The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games***by*Bent Flyvbjerg & Allison Stewart & Alexander Budzier**1607.04155 Fashion, fads and the popularity of choices: micro-foundations for non-equilibrium consumer theory***by*Jean-Francois Mercure**1607.04153 Controlling Public Debt without Forgetting Inflation***by*Giorgio Ferrari**1607.04100 Insurance valuation: a computable multi-period cost-of-capital approach***by*Hampus Engsner & Mathias Lindholm & Filip Lindskog**1607.04047 A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-***by*Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg**1607.03522 Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA***by*Antonis Papapantoleon & Robert Wardenga**1607.03430 Dual representations for systemic risk measures***by*\c{C}a\u{g}{\i}n Ararat & Birgit Rudloff**1607.03205 Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals***by*Taisei Kaizoji & Michiko Miyano**1607.03161 A mathematical model for a gaming community***by*Romulus Breban**1607.02743 Information uncertainty related to marked random times and optimal investment***by*Ying Jiao & Idris Kharroubi**1607.02688 On the time consistency of collective preferences***by*Luis A. Alcala**1607.02470 Deep Learning for Mortgage Risk***by*Justin Sirignano & Apaar Sadhwani & Kay Giesecke**1607.02423 Fair division with divisible and indivisible items***by*Alexander Rubchinsky**1607.02422 Rating models: emerging market distinctions***by*Alexander Karminsky**1607.02421 Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory***by*Andrey Subochev & Igor Zakhlebin**1607.02419 Divisive-agglomerative algorithm and complexity of automatic classification problems***by*Alexander Rubchinsky**1607.02410 Tail protection for long investors: Trend convexity at work***by*Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp\'eri\`ere & Jean-Philippe Bouchaud & Marc Potters**1607.02378 Matrix-vector representation of various solution concepts***by*Fuad Aleskerov & Andrey Subochev**1607.02349 Toward an integrated workforce planning framework using structured equations***by*Marie Doumic & Beno\"et Perthame & Edouard Ribes & Delphine Salort & Nathan Toubiana**1607.02319 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?***by*Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle**1607.02289 An ergodic BSDE approach to entropic risk measure and its large time behavior***by*Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou**1607.02093 Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework***by*Tamal Datta Chaudhuri & Indranil Ghosh**1607.02067 On the American swaption in the linear-rational framework***by*Damir Filipovic & Yerkin Kitapbayev**1607.01999 Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction***by*Somwrita Sarkar & Sanjay Chawla**1607.01902 On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy processes***by*Benjamin Avanzi & Jos\'e-Luis P\'erez & Bernard Wong & Kazutoshi Yamazaki**1607.01751 MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem***by*Sylwester Arabas & Ahmad Farhat**1607.01619 Swaption Prices in HJM model. Nonparametric fit***by*V. M. Belyaev**1607.01519 Granger Independent Martingale Processes***by*Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli**1607.01317 Dynamic optimization and its relation to classical and quantum constrained systems***by*Mauricio Contreras & Rely Pellicer & Marcelo Villena**1607.01207 Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching***by*Nemat Safarov & Colin Atkinson**1607.01110 Utility Indifference Pricing of Insurance Catastrophe Derivatives***by*Andreas Eichler & Gunther Leobacher & Michaela Sz\"olgyenyi**1607.00830 A probability-free and continuous-time explanation of the equity premium and CAPM***by*Vladimir Vovk & Glenn Shafer**1607.00756 Comments on the BCBS proposal for a New Standardized Approach for Operational Risk***by*Giulio Mignola & Roberto Ugoccioni & Eric Cope**1607.00721 Recursive utility optimization with concave coefficients***by*Shaolin Ji & Xiaomin Shi**1607.00638 Time-Inconsistent Stochastic Linear-quadratic Differential Game***by*Qinglong Zhou & Gaofeng Zong**1607.00454 Limit order trading with a mean reverting reference price***by*Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang**1607.00448 Estimation and prediction of credit risk based on rating transition systems***by*Jinghai Shao & Siming Li & Yong Li**1607.00077 Fake Brownian motion and calibration of a Regime Switching Local Volatility model***by*Benjamin Jourdain & Alexandre Zhou**1607.00035 Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information***by*Albina Danilova**1606.09194 A multilayer approach for price dynamics in financial markets***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda