# arXiv.org

# Papers

**For corrections or technical questions regarding this series, please contact (arXiv administrators)**

**Series handle:**repec:arx:papers

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2016

**1612.02666 Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016***by*Barack Wamkaya Wanjawa**1612.02658 The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach***by*Jian-Xin Wu & Ling-Yun He**1612.02657 How do Chinese cities grow? A distribution dynamics approach***by*Jian-Xin Wu & Ling-Yun He**1612.02656 The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection***by*Ling-yun He & Li Liu**1612.02654 China building energy consumption: definitions and measures from an operational perspective***by*Ling-Yun He & Wei Wei**1612.02653 Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector***by*Lu-Yi Qiu & Ling-Yun He**1612.02567 Order statistics of horse racing and the randomly broken stick***by*Peter A. Bebbington & Julius Bonart**1612.02444 Optimality of hybrid continuous and periodic barrier strategies in the dual model***by*Jos\'e-Luis P\'erez & Kazutoshi Yamazaki**1612.02312 Game options with gradual exercise and cancellation under proportional transaction costs***by*Alet Roux & Tomasz Zastawniak**1612.02112 Financial market with no riskless (safe) asset***by*Svetlozar Rachev & Frank Fabozzi**1612.02024 Impossible Inference in Econometrics: Theory and Applications to Regression Discontinuity, Bunching, and Exogeneity Tests***by*Marinho Bertanha & Marcelo J. Moreira**1612.01979 Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion***by*Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi**1612.01951 Stability of calibration procedures: fractals in the Black-Scholes model***by*Yiran Cui & Sebastian del Bano Rollin & Guido Germano**1612.01624 Universal Exponential Structure of Income Inequality: Evidence from 60 Countries***by*Yong Tao & Xiangjun Wu & Tao Zhou & Weibo Yan & Yanyuxiang Huang & Han Yu & Benedict Mondal & Victor M. Yakovenko**1612.01327 A multi-asset investment and consumption problem with transaction costs***by*David Hobson & Alex S. L. Tse & Yeqi Zhu**1612.01302 A Primer on Portfolio Choice with Small Transaction Costs***by*Johannes Muhle-Karbe & Max Reppen & H. Mete Soner**1612.01232 Wavelet-based methods for high-frequency lead-lag analysis***by*Takaki Hayashi & Yuta Koike**1612.01155 A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade***by*Xu Wang & Ryan P. Badman**1612.01132 A Model of Synchronization for Self-Organized Crowding Behavior***by*Jake J. Xia**1612.01013 Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach***by*Tim Leung & Hyungbin Park**1612.00981 How many market makers does a market need?***by*V\'it Per\v{z}ina & Jan M. Swart**1612.00833 Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach***by*Mahmood Mahmoudzadeh & Seyyed Ali Zeytoon Nejad Moosavian**1612.00828 A New Set of Financial Instruments***by*Svetlozar & T. Rachev & Frank J. Fabozzi**1612.00780 A Market Driver Volatility Model via Policy Improvement Algorithm***by*Jun Maeda & Saul D. Jacka**1612.00720 Optimal consumption and investment under transaction costs***by*David Hobson & Alex S. L. Tse & Yeqi Zhu**1612.00402 Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models***by*Maciej Balajewicz & Jari Toivanen**1612.00270 Predicting the rise of right-wing populism in response to unbalanced immigration***by*Boris Podobnik & Marko Jusup & H. Eugene Stanley**1612.00221 The Coconut Model with Heterogeneous Strategies and Learning***by*Sven Banisch & Eckehard Olbrich**1611.09926 Choquet integral in decision analysis - lessons from the axiomatization***by*Mikhail Timonin**1611.09893 Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data***by*Michele Coscia & Ricardo Hausmann & Frank Neffke**1611.09631 Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio***by*Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong**1611.09300 Portfolio optimization near horizon***by*Rohini Kumar & Hussein Nasralah**1611.09179 Optimal stopping with f -expectations: the irregular case***by*Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez**1611.09062 Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets***by*N. S. Gonchar**1611.08510 Can Agent-Based Models Probe Market Microstructure?***by*Donovan Platt & Tim Gebbie**1611.08393 Mean-Reverting Portfolio Design via Majorization-Minimization Method***by*Ziping Zhao & Daniel P. Palomar**1611.08330 The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement***by*Johan G. Andreasson & Pavel V. Shevchenko**1611.08088 Multiple Time Series Ising Model for Financial Market Simulations***by*Tetsuya Takaishi**1611.07843 Portfolio choice under drift uncertainty: a Bayesian learning and stochastic optimal control approach***by*Olivier Gu\'eant & Jiang Pu**1611.07741 The Markowitz Category***by*John Armstrong**1611.07432 "Chaos" in energy futures markets: a controversial matter***by*Loretta Mastroeni & Pierluigi Vellucci**1611.06698 Dynamical Stationarity as a Result of Sustained Random Growth***by*Tam\'as Bir\'o & Zolt\'an N\'eda**1611.06672 Systemic Risk and Interbank Lending***by*Li-Hsien Sun**1611.06666 Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks***by*Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley**1611.06452 Model reduction for calibration of American options***by*Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth**1611.06407 Interplay between endogenous and exogenous fluctuations in financial markets***by*Vygintas Gontis**1611.06344 Regression-based complexity reduction of the dual nested Monte Carlo methods***by*Denis Belomestny & Stefan H\"afner & Mikhail Urusov**1611.06218 On convex functions on the duals of $\Delta_2$-Orlicz spaces***by*Freddy Delbaen & Keita Owari**1611.06181 Calibration to American Options: Numerical Investigation of the de-Americanization***by*Olena Burkovska & Maximilian Ga{\ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth**1611.06098 On the wavelets-based SWIFT method for backward stochastic differential equations***by*Ki Wai Chau & Cornelis W. Oosterlee**1611.06010 Value-at-Risk Prediction in R with the GAS Package***by*David Ardia & Kris Boudt & Leopoldo Catania**1611.05690 A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case***by*Javiera Barrera & Eduardo Moreno & Sebastian Varas**1611.05571 Random matrix approach to estimation of high-dimensional factor models***by*Joongyeub Yeo & George Papanicolaou**1611.05518 Robust Trading of Implied Skew***by*Sergey Nadtochiy & Jan Obloj**1611.05288 Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach***by*Kathia Pinz\'on**1611.05280 Toward Economics as a New Complex System***by*Taisei Kaizoji**1611.05194 Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals***by*Kensuke Ishitani**1611.04941 Empirical analysis of daily cash flow time series and its implications for forecasting***by*Francisco Salas-Molina & Juan A. Rodr\'iguez-Aguilar & Joan Serr\`a & Francisco J. Martin**1611.04877 The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach***by*Xavier Warin**1611.04851 Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall***by*Marie Kratz & Yen H. Lok & Alexander J McNeil**1611.04494 Predictable Forward Performance Processes: The Binomial Case***by*Bahman Angoshtari & Thaleia Zariphopoulou & Xun Yu Zhou**1611.04320 Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry***by*Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel**1611.04311 How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation***by*Matteo Serri & Guido Caldarelli & Giulio Cimini**1611.04091 Immediate price impact of a stock and its warrant: Power-law or logarithmic model?***by*Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou**1611.04090 Time-varying return predictability in the Chinese stock market***by*Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou**1611.03782 What do central counterparties default funds really cover? A network-based stress test answer***by*Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini**1611.03740 Properties of the financial break-even point in a simple investment project as a function of the discount rate***by*Domingo A. Tarzia**1611.03435 Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience***by*Paulwin Graewe & Ulrich Horst**1611.03239 Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing***by*Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel**1611.03110 Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies***by*Tim Leung & Jamie Kang**1611.02961 A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models***by*Maarten Wyns & Jacques Du Toit**1611.02952 Unexpected Default in an Information Based Model***by*Matteo Ludovico Bedini & Rainer Buckdahn & Hans-J\"urgen Engelbert**1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment***by*Damiano Brigo & Fr\'ed\'eric Vrins**1611.02760 The missing assets and the size of Shadow Banking: an update***by*Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati**1611.02556 Application of the Generalized Linear Models in Actuarial Framework***by*Murwan H. M. A. Siddig**1611.02549 Emerging interdependence between stock values during financial crashes***by*Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad**1611.02547 Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach***by*Moustapha Pemy**1611.02270 The Average-Marginal Relationship and Tractable Equilibrium Forms***by*Michal Fabinger & E. Glen Weyl**1611.02026 Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility***by*Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar**1611.01958 Optimal shrinkage-based portfolio selection in high dimensions***by*Taras Bodnar & Yarema Okhrin & Nestor Parolya**1611.01771 An Equilibrium Model with Computationally Constrained Agents***by*Wolfgang Kuhle**1611.01767 EM Algorithm and Stochastic Control in Economics***by*Steven Kou & Xianhua Peng & Xingbo Xu**1611.01531 Effects of income redistribution on the evolution of cooperation in spatial public goods games***by*Zhenhua Pei & Baokui Wang & Jinming Du**1611.01524 `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers***by*Vasyl Golosnoy & Nestor Parolya**1611.01471 A fair monetization model to reconcile authors and consumers of intellectual property***by*Evgeny Ivanko**1611.01463 International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints***by*Nonthachote Chatsanga & Andrew J. Parkes**1611.01440 Liquidity induced asset bubbles via flows of ELMMs***by*Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis**1611.01381 Revealing the Anatomy of Vote Trading***by*Omar A. Guerrero & Ulrich Matter**1611.01379 Sparse grid high-order ADI scheme for option pricing in stochastic volatility models***by*Bertram D\"uring & Christian Hendricks & James Miles**1611.01285 Naive Diversification Preferences and their Representation***by*Enrico G. De Giorgi & Ola Mahmoud**1611.01280 Optimal portfolio selection under vanishing fixed transaction costs***by*S\"oren Christensen & Albrecht Irle & Andreas Ludwig**1611.00997 LQG for portfolio optimization***by*M. Abeille & E. Serie & A. Lazaric & X. Brokmann**1611.00970 Working Paper on Organizational Dynamics within Corporate Venture Capital Firms***by*Michael Rolfes & Alex "Sandy" Pentland**1611.00897 Joint multifractal analysis based on wavelet leaders***by*Zhi-Qiang Jiang & Yan-Hong Yang & Gang-Jin Wang & Wei-Xing Zhou**1611.00885 Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function***by*Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic**1611.00723 Socio-economic inequality and prospects of institutional Econophysics***by*Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti**1611.00464 Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo***by*Ivan Guo & Gregoire Loeper**1611.00389 Option pricing in exponential L\'{e}vy models with transaction costs***by*Nicola Cantarutti & Jo\~ao Guerra & Manuel Guerra & Maria do Ros\'ario Grossinho**1611.00316 Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids***by*Bertram D\"uring & Christof Heuer**1611.00156 Globalization Process in Emerging Capital Markets -- Lessons and Implications to China***by*Zichong Li & Pengyu Huang**1610.10078 Optimal retirement income tontines***by*Moshe A. Milevsky & Thomas S. Salisbury**1610.10029 Meta-CTA Trading Strategies based on the Kelly Criterion***by*Bernhard K. Meister**1610.09904 Mean Field Game of Controls and An Application To Trade Crowding***by*Pierre Cardaliaguet & Charles-Albert Lehalle**1610.09875 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts***by*Eckhard Platen & David Taylor**1610.09812 Long-range Correlation and Market Segmentation in Bond Market***by*Zhongxing Wang & Yan Yan & Xiaosong Chen**1610.09734 Model-free bounds on Value-at-Risk using partial dependence information***by*Thibaut Lux & Antonis Papapantoleon**1610.09714 Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure***by*Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao**1610.09622 Numerical study of splitting methods for American option valuation***by*Karel in 't Hout & Radoslav Valkov**1610.09542 Managing Systemic Risk in Financial Networks***by*Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter**1610.09519 Multifractal cross wavelet analysis***by*Zhi-Qiang Jiang & Wei-Xing Zhou & H. Eugene Stanley**1610.09404 Understanding the Tracking Errors of Commodity Leveraged ETFs***by*Kevin Guo & Tim Leung**1610.09403 Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options***by*Kevin Guo & Tim Leung**1610.09384 Equitable retirement income tontines: Mixing cohorts without discriminating***by*M. A. Milevsky & T. S. Salisbury**1610.09306 Calls, zonoids, peacocks and log-concavity***by*Michael R. Tehranchi**1610.09292 Optimal Shrinkage Estimator for High-Dimensional Mean Vector***by*Taras Bodnar & Ostap Okhrin & Nestor Parolya**1610.09234 Super-Replication with Fixed Transaction Costs***by*Peter Bank & Yan Dolinsky**1610.09230 Robust Utility Maximization in Discrete-Time Markets with Friction***by*Ariel Neufeld & Mario Sikic**1610.09124 Model-independent pricing with insider information: a Skorokhod embedding approach***by*Beatrice Acciaio & Alexander M. G. Cox & Martin Huesmann**1610.09085 On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models***by*Takuji Arai & Yuto Imai**1610.08921 Theory of earthquakes interevent times applied to financial markets***by*Maciej Jagielski & Ryszard Kutner & Didier Sornette**1610.08918 Income and wealth distribution of the richest Norwegian individuals: An inequality analysis***by*Maciej Jagielski & Kordian Czy\.zewski & Ryszard Kutner & H. Eugene Stanley**1610.08878 Asymptotics for rough stochastic volatility models***by*Martin Forde & Hongzhong Zhang**1610.08818 Agnostic Risk Parity: Taming Known and Unknown-Unknowns***by*Raphael Benichou & Yves Lemp\'eri\`ere & Emmanuel S\'eri\'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters**1610.08806 The dual representation problem of risk measures***by*Niushan Gao & Denny H. Leung & Foivos Xanthos**1610.08782 Intrinsic risk measures***by*W. Farkas & A. Smirnow**1610.08767 Equity Market Impact Modeling: an Empirical Analysis for Chinese Market***by*Shiyu Han & Lan Wu & Yuan Cheng**1610.08732 On exponential functionals of processes with independent increments***by*Paavo Salminen & L Vostrikova**1610.08676 $\kappa$-generalized models of income and wealth distributions: A survey***by*F. Clementi & M. Gallegati & G. Kaniadakis & S. Landini**1610.08644 Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point***by*Oliver Janke**1610.08558 Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio***by*Ankush Agarwal & Ronnie Sircar**1610.08416 Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations***by*Jaroslaw Kwapien & Pawel Oswiecimka & Marcin Forczek & Stanislaw Drozdz**1610.08415 A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods***by*T. O. Benli**1610.08414 The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function***by*Peter B. Lerner**1610.08230 Short term prediction of extreme returns based on the recurrence interval analysis***by*Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou**1610.08143 Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics***by*Tim Leung & Zheng Wang**1610.08104 Cleaning large correlation matrices: tools from random matrix theory***by*Jo\"el Bun & Jean-Philippe Bouchaud & Marc Potters**1610.07694 Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact***by*Rongju Zhang & Nicolas Langren\'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza**1610.07292 Population growth, interest rate, and housing tax in the transitional China***by*Ling-Yun He & Xing-Chun Wen**1610.07287 The asset price bubbles in emerging financial markets: a new statistical approach***by*Shu-Peng Chen & Ling-Yun He**1610.07131 Asymptotic of Non-Crossings probability of Additive Wiener Fields***by*Pingjin Deng**1610.07028 Techniques for multifractal spectrum estimation in financial time series***by*Petr Jizba & Jan Korbel**1610.06805 Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation***by*Amine Ismail & Huy\^en Pham**1610.05892 Centrality measures in networks based on nodes attributes, long-range interactions and group influence***by*F. Aleskerov & N. Meshcheryakova & S. Shvydun**1610.05728 Approximate pricing of European and Barrier claims in a local-stochastic volatility setting***by*Weston Barger & Matthew Lorig**1610.05703 Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques***by*A. Belenky & L. Egorova**1610.05697 "Butterfly Effect" vs Chaos in Energy Futures Markets***by*Loretta Mastroeni & Pierluigi Vellucci**1610.05583 Price Dynamics Via Expectations, and the Role of Money Therein***by*Gesine A. Steudle & Saini Yang & Carlo C. Jaeger**1610.05494 Network reconstruction via density sampling***by*Tiziano Squartini & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli**1610.05448 Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression***by*Ning Xu & Jian Hong & Timothy C. G. Fisher**1610.05383 Detection of intensity bursts using Hawkes processes: an application to high frequency financial data***by*Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo**1610.05171 Urban-rural gap and poverty traps in China: A prefecture level analysis***by*Jian-Xin Wu & Ling-Yun He**1610.05018 An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach***by*Kristoffer Lindensj\"o**1610.04760 Uncertainty Estimates in the Heston Model via Fisher Information***by*Oliver Pfante & Nils Bertschinger**1610.04458 Optimal trading policies for wind energy producer***by*Zongjun Tan & Peter Tankov**1610.04334 Time-Varying Comovement of Foreign Exchange Markets***by*Mikio Ito & Akihiko Noda & Tatsuma Wada**1610.04085 The Fatou Property under Model Uncertainty***by*Marco Maggis & Thilo Meyer-Brandis & Gregor Svindland**1610.04051 Time value of extra information against its timely value***by*N. Serhan Aydin**1610.03958 Optimal Consumption and Investment with Fixed and Proportional Transaction Costs***by*Albert Altarovici & Max Reppen & H. Mete Soner**1610.03936 A framework for analyzing contagion in assortative banking networks***by*Thomas R. Hurd & James P. Gleeson & Sergey Melnik**1610.03769 On Origins of Bubbles***by*Zura Kakushadze**1610.03718 Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions***by*J. D. Opdyke & Kirill Mayorov**1610.03259 Epidemics of Liquidity Shortages in Interbank Markets***by*Giuseppe Brandi & Riccardo Di Clemente & Giulio Cimini**1610.03230 Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model***by*R\'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra**1610.03086 Option pricing with Legendre polynomials***by*Julien Hok**1610.03050 Dependent Defaults and Losses with Factor Copula Models***by*Damien Ackerer & Thibault Vatter**1610.02940 Constrained Optimal Transport***by*Ibrahim Ekren & H. Mete Soner**1610.02863 Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models***by*F Blasques & P Gorgi & S Koopman & O Wintenberger**1610.02456 Volatility Smile as Relativistic Effect***by*Zura Kakushadze**1610.02126 Multiple risk factor dependence structures: Copulas and related properties***by*Jianxi Su & Edward Furman**1610.01946 Efficient Valuation of SCR via a Neural Network Approach***by*Seyed Amir Hejazi & Kenneth R. Jackson**1610.01937 Trading against disorderly liquidation of a large position under asymmetric information and market impact***by*Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang**1610.01645 Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation***by*David R Walwyn**1610.01450 Mixture Diffusion for Asset Pricing***by*Xin Liu**1610.01338 The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?***by*Ananjan Bhattacharyya & Abhijeet Chandra**1610.01270 Information inefficiency in a random linear economy model***by*Joao Pedro Jerico & Renato Vicente**1610.01227 A Duality Result for Robust Optimization with Expectation Constraints***by*Christopher W. Miller**1610.01149 Taylor's Law of temporal fluctuation scaling in stock illiquidity***by*Qing Cai & Hai-Chuan Xu & Wei-Xing Zhou**1610.00999 Exponential utility maximization under model uncertainty for unbounded endowments***by*Daniel Bartl**1610.00955 Inventory growth cycles with debt-financed investment***by*Matheus Grasselli & Adrien Nguyen-Huu**1610.00937 Sharpe portfolio using a cross-efficiency evaluation***by*Juan F. Monge & Mercedes Landete & Jos\'e L. Ruiz**1610.00818 The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models***by*Likuan Qin & Vadim Linetsky**1610.00795 A hybrid approach to assess systemic risk in financial networks***by*Daniele Petrone & Vito Latora**1610.00778 Long-Term Factorization of Affine Pricing Kernels***by*Likuan Qin & Vadim Linetsky**1610.00577 Exponential functionals of Levy processes and variable annuity guaranteed benefits***by*Runhuan Feng & Alexey Kuznetsov & Fenghao Yang**1610.00395 Optimal Portfolios of Illiquid Assets***by*T. R. Hurd & Quentin H. Shao & Tuan Tran**1610.00332 Decoupling the short- and long-term behavior of stochastic volatility***by*Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen**1610.00312 Volatility Inference and Return Dependencies in Stochastic Volatility Models***by*Oliver Pfante & Nils Bertschinger**1610.00274 The complex dynamics of products and its asymptotic properties***by*Orazio Angelini & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero**1610.00261 Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency***by*Charles-Albert Lehalle & Othmane Mounjid**1610.00259 Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016***by*Rui Menezes & Sonia Bentes**1610.00256 XVA at the Exercise Boundary***by*Andrew Green & Chris Kenyon**1609.09601 Biased Roulette Wheel: A Quantitative Trading Strategy Approach***by*Giancarlo Salirrosas Mart\'inez**1609.09571 The Role of Rating and Loan Characteristics in Online Microfunding Behaviors***by*Gaurav Paruthi & Enrique Frias-Martinez & Vanessa Frias-Martinez**1609.09205 Robust Optimal Investment in Discrete Time for Unbounded Utility Function***by*Laurence Carassus & Romain Blanchard**1609.08978 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