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Content
2017
- 1707.05253 An Optimal Stopping Problem Modeling Technical Analysis
by Jun Maeda & Saul D. Jacka
- 1707.05250 Discrete-type approximations for non-Markovian optimal stopping problems: Part II
by S'ergio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys de Souza
- 1707.05234 Discrete-type approximations for non-Markovian optimal stopping problems: Part I
by Dorival Le~ao & Alberto Ohashi & Francesco Russo
- 1707.05146 Unfolding the innovation system for the development of countries: co-evolution of Science, Technology and Production
by Emanuele Pugliese & Giulio Cimini & Aurelio Patelli & Andrea Zaccaria & Luciano Pietronero & Andrea Gabrielli
- 1707.05108 Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
by Andrew J. Patton & Johanna F. Ziegel & Rui Chen
- 1707.05096 Effective risk aversion in thin risk-sharing markets
by Michail Anthropelos & Constantinos Kardaras & Georgios Vichos
- 1707.05061 Pricing formulae for derivatives in insurance using the Malliavin calculus
by Caroline Hillairet & Ying Jiao & Anthony R'eveillac
- 1707.04981 The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
by Yu-Jui Huang & Zhou Zhou
- 1707.04949 Surplus-invariant risk measures
by Niushan Gao & Cosimo Munari
- 1707.04942 Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
by Christian P. Fries
- 1707.04870 Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE
by J-F Mercure & H. Pollitt & N. R. Edwards & P. B. Holden & U. Chewpreecha & P. Salas & A. Lam & F. Knobloch & J. Vinuales
- 1707.04868 Forecasting the U.S. Real House Price Index
by Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou
- 1707.04838 Transitions between superstatistical regimes: validity, breakdown and applications
by Petr Jizba & Jan Korbel & Hynek Laviv{c}ka & Martin Prokv{s} & V'aclav Svoboda & Christian Beck
- 1707.04831 Machine learning application in online lending risk prediction
by Xiaojiao Yu
- 1707.04699 Good signals gone bad: dynamic signalling with switching efforts
by Sander Heinsalu
- 1707.04475 Reduced-form framework under model uncertainty
by Francesca Biagini & Yinglin Zhang
- 1707.04293 A short introduction to quasi-Monte Carlo option pricing
by Gunther Leobacher
- 1707.04285 Zipf's Law for Atlas Models
by Ricardo T. Fernholz & Robert Fernholz
- 1707.04149 Asymptotics for Greeks under the constant elasticity of variance model
by Oleg L. Kritski & Vladimir F. Zalmezh
- 1707.03960 How do fishery policies affect Hawaii's longline fishing industry? Calibrating a positive mathematical programming model
by Jonathan R. Sweeney & Richard E. Howitt & Hing Ling Chan & Minling Pan & PingSun Leung
- 1707.03746 Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach
by Mariusz Tarnopolski
- 1707.03715 Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution
by Chao Wang & Qian Chen & Richard Gerlach
- 1707.03588 On Markowitz Geometry
by Valentin Vankov Iliev
- 1707.03542 Modeling Financial System with Interbank Flows, Borrowing, and Investing
by Aditya Maheshwari & Andrey Sarantsev
- 1707.03516 Portfolio Risk Assessment using Copula Models
by Mikhail Semenov & Daulet Smagulov
- 1707.03500 Banking risk as an epidemiological model: an optimal control approach
by Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres
- 1707.03498 Mean Reversion Trading with Sequential Deadlines and Transaction Costs
by Yerkin Kitapbayev & Tim Leung
- 1707.03436 Smoothed GMM for quantile models
by Luciano de Castro & Antonio F. Galvao & David M. Kaplan & Xin Liu
- 1707.03391 The partial damage loss cover ratemaking of the automobile insurance using generalized linear models
by William Guevara-Alarc'on & Luz Mery Gonz'alez & Armando Antonio Zarruk
- 1707.03335 Viability and Arbitrage under Knightian Uncertainty
by Matteo Burzoni & Frank Riedel & H. Mete Soner
- 1707.02853 The Wealth of Nations: Complexity Science for an Interdisciplinary Approach in Economics
by Klaus Jaffe
- 1707.02736 Residual Value Forecasting Using Asymmetric Cost Functions
by Korbinian Dress & Stefan Lessmann & Hans-Jorg von Mettenheim
- 1707.02689 The speed of sequential asymptotic learning
by Wade Hann-Caruthers & Vadim V. Martynov & Omer Tamuz
- 1707.02587 Dynamic Quantile Function Models
by Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson
- 1707.02496 Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models
by Patricia Kisbye & Karem Meier
- 1707.02188 Coherent diversification in corporate technological portfolios
by Emanuele Pugliese & Lorenzo Napolitano & Andrea Zaccaria & Luciano Pietronero
- 1707.02087 Model for Constructing an Options Portfolio with a Certain Payoff Function
by Margarita E. Fatyanova & Mikhail E. Semenov
- 1707.02019 Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
by Massimo Caccia & Bruno R'emillard
- 1707.01600 Option Pricing with Delayed Information
by Tomoyuki Ichiba & Seyyed Mostafa Mousavi
- 1707.01473 Machine-Learning Tests for Effects on Multiple Outcomes
by Jens Ludwig & Sendhil Mullainathan & Jann Spiess
- 1707.01457 You are in a drawdown. When should you start worrying?
by Adam Rej & Philip Seager & Jean-Philippe Bouchaud
- 1707.01436 Nonlinear Parabolic Equations arising in Mathematical Finance
by Daniel Sevcovic
- 1707.01370 Gini estimation under infinite variance
by Andrea Fontanari & Nassim Nicholas Taleb & Pasquale Cirillo
- 1707.01284 The Bitcoin price formation: Beyond the fundamental sources
by Jamal Bouoiyour & Refk Selmi
- 1707.01237 Option Pricing in a Regime Switching Stochastic Volatility Model
by Arunangshu Biswas & Anindya Goswami & Ludger Overbeck
- 1707.01178 Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
by Ariel Neufeld
- 1707.01167 Instantaneous order impact and high-frequency strategy optimization in limit order books
by Federico Gonzalez & Mark Schervish
- 1707.01028 Multi-state models for evaluating conversion options in life insurance
by Guglielmo D'Amico & Montserrat Guillen & Raimondo Manca & Filippo Petroni
- 1707.00996 Accumulation of individual fitness or wealth as a population game
by Sylvain Gibaud & Jorgen W. Weibull
- 1707.00947 The Role of Money in the Business Cycle
by Zhao Jianglin
- 1707.00917 Bonus--malus systems with different claim types and varying deductibles
by Olena Ragulina
- 1707.00899 Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
by Dan Pirjol & Lingjiong Zhu
- 1707.00807 General Price Bounds for Guaranteed Annuity Options
by Raj Kumari Bahl & Sotirios Sabanis
- 1707.00757 Checking account activity and credit default risk of enterprises: An application of statistical learning methods
by Jinglun Yao & Maxime Levy-Chapira & Mamikon Margaryan
- 1707.00610 Option Pricing under Fast-varying and Rough Stochastic Volatility
by Josselin Garnier & Knut Solna
- 1707.00529 An Investigation into Laboucheres Betting System to Improve Odds of Favorable Outcomes to Generate a Positive Externality Empirically
by Jake Billings & Sebastian Del Barco
- 1707.00358 Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosario Grossinho & Yaser Faghan Kord & Daniel Sevcovic
- 1707.00356 Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
by Maria do Rosario Grossinho & Yaser Faghan Kord & Daniel Sevcovic
- 1707.00296 Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science
by Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo
- 1707.00203 Foreign exchange market modelling and an on-line portfolio selection algorithm
by Panpan Ren & Jiang-Lun Wu
- 1707.00199 Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by Ying Hu & Gechun Liang & Shanjian Tang
- 1706.10186 Computational aspects of robust optimized certainty equivalents and option pricing
by Daniel Bartl & Samuel Drapeau & Ludovic Tangpi
- 1706.10180 Regret-based Selection for Sparse Dynamic Portfolios
by David Puelz & P. Richard Hahn & Carlos Carvalho
- 1706.10141 Oscillations in the Tsallis income distribution
by Everton M. C. Abreu & Newton J. Moura Jr. & Abner D. Soares & Marcelo B. Ribeiro
- 1706.10059 A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
by Zhengyao Jiang & Dixing Xu & Jinjun Liang
- 1706.09809 Extreme portfolio loss correlations in credit risk
by Andreas Muhlbacher & Thomas Guhr
- 1706.09763 Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria
by Robin Nicole & Peter Sollich
- 1706.09756 Parameter estimation for stable distributions with application to commodity futures log returns
by Michael Kateregga & Sure Mataramvura & David Taylor
- 1706.09755 Hilbert transform, spectral filters and option pricing
by Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano
- 1706.09659 Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options
by Dan Pirjol & Lingjiong Zhu
- 1706.09365 Bilateral multifactor CES general equilibrium with state-replicating Armington elasticities
by Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura
- 1706.09240 Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
by Shanshan Wang & Thomas Guhr
- 1706.09224 An Optimal Execution Problem with S-shaped Market Impact Functions
by Takashi Kato
- 1706.09038 Risk Model Based on General Compound Hawkes Process
by Anatoliy Swishchuk
- 1706.08588 Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty"
by Anis Matoussi & Dylan Possamai & Chao Zhou
- 1706.08479 A Partial Solution to Continuous Blotto
by Kostyantyn Mazur
- 1706.08418 Nonseparable Multinomial Choice Models in Cross-Section and Panel Data
by Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey
- 1706.08361 Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds
by Jaydip Sen & Tamal Datta Chaudhuri
- 1706.07821 An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector: An Application of the R Programming in Time Series Decomposition and Forecasting
by Jaydip Sen & Tamal Datta Chaudhuri
- 1706.07783 Intergenerational mobility measures in a bivariate normal model
by Yonatan Berman
- 1706.07760 A Possibilistic and Probabilistic Approach to Precautionary Saving
by Irina Georgescu & Adolfo Crist'obal Campoamor & Ana Maria Lucia Casademunt
- 1706.07759 The effect of the behavior of an average consumer on the public debt dynamics
by Roberto De Luca & Marco Di Mauro & Angelo Falzarano & Adele Naddeo
- 1706.07758 Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves
by Victor Olkhov
- 1706.07466 Identification of Credit Risk Based on Cluster Analysis of Account Behaviours
by Maha Bakoben & Tony Bellotti & Niall Adams
- 1706.07459 General Compound Hawkes Processes in Limit Order Books
by Anatoliy Swishchuk
- 1706.07375 Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
by Andrei Cozma & Christoph Reisinger
- 1706.07216 Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets
by Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs
- 1706.07021 Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market
by Roberto Baviera & Tommaso Santagostino Baldi
- 1706.06832 Market Efficiency and Growth Optimal Portfolio
by Eckhard Platen & Renata Rendek
- 1706.06709 Singular Fourier-Pad\'e Series Expansion of European Option Prices
by Tat Lung Chan
- 1706.06355 Complex Correlation Approach for High Frequency Financial Data
by Mateusz Wilinski & Yuichi Ikeda & Hideaki Aoyama
- 1706.06302 Deep Learning in (and of) Agent-Based Models: A Prospectus
by Sander van der Hoog
- 1706.06285 An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
by Dianfa Chen & Jun Deng & Jianfen Feng & Bin Zou
- 1706.06007 Symbolic dynamics techniques for complex systems: Application to share price dynamics
by Dan Xu & Christian Beck
- 1706.05982 On Heckits, LATE, and Numerical Equivalence
by Patrick Kline & Christopher R. Walters
- 1706.05935 Speed and biases of Fourier-based pricing choices: A numerical analysis
by Ricardo Cris'ostomo
- 1706.05912 An\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda en Estados Unidos, Canad\'a y M\'exico
by Emiliano Diaz
- 1706.05911 Food Productivity Trends from Hybrid Corn: Statistical Analysis of Patents and Field-test data
by Mariam Barry & Giorgio Triulzi & Christopher L. Magee
- 1706.05877 General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences
by Tyler Abbot
- 1706.05812 News-sentiment networks as a risk indicator
by Thomas Forss & Peter Sarlin
- 1706.05735 Quantifying the Benefits of Infrastructure Sharing
by Matthew Andrews & Milan Bradonjic & Iraj Saniee
- 1706.05703 Modeling credit default swap premiums with stochastic recovery rate
by Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad
- 1706.05543 Transfer entropy between communities in complex networks
by Jan Korbel & Xiongfei Jiang & Bo Zheng
- 1706.05291 Pathwise large deviations for the Rough Bergomi model
by Antoine Jacquier & Mikko S. Pakkanen & Henry Stone
- 1706.05280 Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
by Gregor Kastner & Sylvia Fruhwirth-Schnatter
- 1706.04844 On the minimizers of energy forms with completely monotone kernel
by Alexander Schied & Elias Strehle
- 1706.04566 Realized volatility and parametric estimation of Heston SDEs
by Robert Azencott & Peng Ren & Ilya Timofeyev
- 1706.04518 Effect of Intellectual Property Policy on the Speed of Technological Advancement
by Ivan D. Breslavsky
- 1706.04229 Picking Winners: A Data Driven Approach to Evaluating the Quality of Startup Companies
by David Scott Hunter & Ajay Saini & Tauhid Zaman
- 1706.04210 Open Source Fundamental Industry Classification
by Zura Kakushadze & Willie Yu
- 1706.04163 Universal scaling and nonlinearity of aggregate price impact in financial markets
by Felix Patzelt & Jean-Philippe Bouchaud
- 1706.03724 Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models
by Neofytos Rodosthenous & Hongzhong Zhang
- 1706.03567 Portfolio optimization for a large investor controlling market sentiment under partial information
by Suhan Altay & Katia Colaneri & Zehra Eksi
- 1706.03502 Economics of limiting cumulative CO2 emissions
by Ashwin K Seshadri
- 1706.03411 Analysis of order book flows using a nonparametric estimation of the branching ratio matrix
by Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi
- 1706.03246 Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014
by Vasilya Usmanova & Yury V. Lysogorskiy & Sumiyoshi Abe
- 1706.03139 Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1706.02985 Stock Trading Using PE ratio: A Dynamic Bayesian Network Modeling on Behavioral Finance and Fundamental Investment
by Haizhen Wang & Ratthachat Chatpatanasiri & Pairote Sattayatham
- 1706.02936 Principal-Agent Problem with Common Agency without Communication
by Thibaut Mastrolia & Zhenjie Ren
- 1706.02795 A Deep Causal Inference Approach to Measuring the Effects of Forming Group Loans in Online Non-profit Microfinance Platform
by Thai T. Pham & Yuanyuan Shen
- 1706.02408 Most-likely-path in Asian option pricing under local volatility models
by Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang
- 1706.02227 Adaptive Robust Control Under Model Uncertainty
by Tomasz R. Bielecki & Tao Chen & Igor Cialenco & Areski Cousin & Monique Jeanblanc
- 1706.02168 Testing Ambiguity and Machina Preferences Within a Quantum-theoretic Framework for Decision-making
by Diederik Aerts & Suzette Geriente & Catarina Moreira & Sandro Sozzo
- 1706.02090 Informing Additive Manufacturing technology adoption: total cost and the impact of capacity utilisation
by Martin Baumers & Luca Beltrametti & Angelo Gasparre & Richard Hague
- 1706.01934 An adverse selection approach to power pricing
by Cl'emence Alasseur & Ivar Ekeland & Romuald Elie & Nicol'as Hern'andez Santib'a~nez & Dylan Possamai
- 1706.01833 Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling
by Yaxiong Zeng & Diego Klabjan
- 1706.01813 Optimal dividend policies with random profitability
by Max Reppen & Jean-Charles Rochet & H. Mete Soner
- 1706.01778 Sampling-based vs. Design-based Uncertainty in Regression Analysis
by Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge
- 1706.01748 Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables
by Victor Olkhov
- 1706.01666 A predictive pan-European economic and production dispatch model for the energy transition in the electricity sector
by Laurent Pagnier & Philippe Jacquod
- 1706.01562 Pricing Asian options for NIG and VG Levy markets
by Belkacem Berdjane
- 1706.01534 Hedging in fractional Black-Scholes model with transaction costs
by Foad Shokrollahi & Tommi Sottinen
- 1706.01437 Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series
by Obryan Poyser
- 1706.01254 Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions
by Thibaut Mastrolia
- 1706.00948 Financial Series Prediction: Comparison Between Precision of Time Series Models and Machine Learning Methods
by Xin-Yao Qian
- 1706.00873 Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
by Jean-Pierre Fouque & Yuri F. Saporito
- 1706.00849 A Game of Nontransitive Dice
by Artem Hulko & Mark Whitmeyer
- 1706.00467 Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality
by Hynek Lavicka & Jiri Kracik
- 1706.00330 How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid
by Laurent Pagnier & Philippe Jacquod
- 1706.00284 Clearing algorithms and network centrality
by Christoph Siebenbrunner
- 1706.00263 Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
by Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued
- 1706.00203 Characterization of the community structure in a large-scale production network in Japan
by Abhijit Chakraborty & Hazem Krichene & Hiroyasu Inoue & Yoshi Fujiwara
- 1705.10974 Trends in Banking 2017 and onwards
by Peter Mitic
- 1705.10454 Dynamic Index Tracking and Risk Exposure Control Using Derivatives
by Tim Leung & Brian Ward
- 1705.10294 The Impact of Digital Financial Services on Firm's Performance: a Literature Review
by Tariq Abbasi & Hans Weigand
- 1705.09965 The Action Principle in Market Mechanics
by J. T. Manhire
- 1705.09955 Standardised Reputation Measurement
by Peter Mitic
- 1705.09952 Optimal sequential treatment allocation
by Anders Bredahl Kock & Martin Thyrsgaard
- 1705.09827 Mini-Flash Crashes, Model Risk, and Optimal Execution
by Erhan Bayraktar & Alexander Munk
- 1705.09800 Growth-Optimal Portfolio Selection under CVaR Constraints
by Guy Uziel & Ran El-Yaniv
- 1705.09505 The geometry of multi-marginal Skorokhod Embedding
by Mathias Beiglboeck & Alexander Cox & Martin Huesmann
- 1705.09418 Nonparametric Regression with Multiple Thresholds: Estimation and Inference
by Yan-Yu Chiou & Mei-Yuan Chen & Jau-er Chen
- 1705.08955 Classifications of Innovations Survey and Future Directions
by Mario Coccia
- 1705.08545 Financial Time Series Forecasting: Semantic Analysis Of Economic News
by Kateryna Kononova & Anton Dek
- 1705.08536 A Quantum-like Model of Selection Behavior
by Masanari Asano & Irina Basieva & Andrei Khrennikov & Masanori Ohya & Yoshiharu Tanaka
- 1705.08411 Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
by Zailei Cheng
- 1705.08301 Data and uncertainty in extreme risks - a nonlinear expectations approach
by Samuel N. Cohen
- 1705.08291 Sensitivity analysis of the utility maximization problem with respect to model perturbations
by Oleksii Mostovyi & Mihai S^irbu
- 1705.08240 Herding boosts too-connected-to-fail risk in stock market of China
by Shan Lu & Jichang Zhao & Huiwen Wang & Ruoen Ren
- 1705.08033 Social Integration in Two-Sided Matching Markets
by Josue Ortega
- 1705.08022 Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
by Yash Sharma
- 1705.07472 On the Black's equation for the risk tolerance function
by Sigrid Kallblad & Thaleia Zariphopoulou
- 1705.07352 A Dynkin game on assets with incomplete information on the return
by Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve
- 1705.07155 Compressing Over-the-Counter Markets
by Marco D'Errico & Tarik Roukny
- 1705.07092 Wealth dynamics in a sentiment-driven market
by Mikhail Goykhman
- 1705.06918 Local risk-minimization with multiple assets under illiquidity with applications in energy markets
by Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis
- 1705.06899 CDS Rate Construction Methods by Machine Learning Techniques
by Raymond Brummelhuis & Zhongmin Luo
- 1705.06868 Conduct Risk - distribution models with very thin Tails
by Peter Mitic
- 1705.06557 Application of Differential Equations in Projecting Growth Trajectories
by Ron W. Nielsen
- 1705.06533 Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid
- 1705.06208 Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation
by Stanislaw Drozdz & Andrzej Kulig & Jaroslaw Kwapien & Artur Niewiarowski & Marek Stanuszek
- 1705.06141 Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
by Shaolin Ji & Hanqing Jin & Xiaomin Shi
- 1705.05943 Banks as Tanks: A Continuous-Time Model of Financial Clearing
by Isaac M. Sonin & Konstantin Sonin
- 1705.05934 Analytic techniques for option pricing under a hyperexponential L\'{e}vy model
by Daniel Hackmann
- 1705.05882 Shorting in Speculative Markets
by Marcel Nutz & Jos'e A. Scheinkman
- 1705.05666 Minimum R\'enyi Entropy Portfolios
by Nathan Lassance & Fr'ed'eric Vrins
- 1705.05572 A Novel Approach to Quantification of Model Risk for Practitioners
by Zuzana Krajcovicova & Pedro Pablo Perez-Velasco & Carlos Vazquez
- 1705.05334 Evolutionary dynamics of the cryptocurrency market
by Abeer ElBahrawy & Laura Alessandretti & Anne Kandler & Romualdo Pastor-Satorras & Andrea Baronchelli
- 1705.04780 Calibration and Filtering of Exponential L\'evy Option Pricing Models
by Stavros J. Sioutis
- 1705.04765 Inference on Breakdown Frontiers
by Matthew A. Masten & Alexandre Poirier
- 1705.04537 Murphy Diagrams: Forecast Evaluation of Expected Shortfall
by Johanna F. Ziegel & Fabian Kruger & Alexander Jordan & Fernando Fasciati
- 1705.03929 Investing for the Long Run
by Dietmar Leisen & Eckhard Platen
- 1705.03848 Propensity to spending of an average consumer over a brief period
by Roberto De Luca & Marco Di Mauro & Angelo Falzarano & Adele Naddeo
- 1705.03787 A note on the impact of management fees on the pricing of variable annuity guarantees
by Jin Sun & Pavel V. Shevchenko & Man Chung Fung
- 1705.03724 Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
by Miryana Grigorova & Marie-Claire Quenez
- 1705.03666 Hybrid PDE solver for data-driven problems and modern branching
by Francisco Bernal & Gonc{c}alo dos Reis & Greig Smith
- 1705.03647 Polynomial processes in stochastic portfolio theory
by Christa Cuchiero
- 1705.03458 Maximum Entropy Principle underlying the dynamics of automobile sales
by A. Hernando & D. Villuendas & M. Sulc & R. Hernando & R. Seoane & A. Plastino
- 1705.03423 Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
by Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer
- 1705.03396 Machine Learning Techniques for Mortality Modeling
by Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich
- 1705.03233 Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
by Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1705.02933 Duality for pathwise superhedging in continuous time
by Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi
- 1705.02789 Unspanned Stochastic Volatility in the Multi-factor CIR Model
by Damir Filipovi'c & Martin Larsson & Francesco Statti
- 1705.02559 An equation for a time-dependent profit rate
by Rafael D. Sorkin
- 1705.02473 Computation of second order price sensitivities in depressed markets
by Youssef El-Khatib & Abdulnasser Hatemi-J
- 1705.02440 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
by Masaaki Fujii & Akihiko Takahashi
- 1705.02344 Noisy independent component analysis of auto-correlated components
by Jakob Knollmuller & Torsten A. En{ss}lin
- 1705.02291 Optimal consumption of multiple goods in incomplete markets
by Oleksii Mostovyi
Printed from https://ideas.repec.org/s/arx/papers105.html
