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Content
2018
- 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 - 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 Optimal portfolios with anticipating information on the stochastic interest rate
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