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Content
2017
2016
- 1701.07323 Les produits Halal dans les {\'e}conomies occidentales
by Abdelatif Kerzabi
- 1701.07322 Heterogeneity of the educational system: an introduction to the problem
by F. Aleskerov & I. Frumin & E. Kardanova
- 1701.07321 An analysis of potential conflict zones in the arctic region
by F. Aleskerov & E. Victorova
- 1701.07318 Research and Teaching Efficiencies of Turkish Universities with Heterogeneity Considerations: Application of Multi-Activity DEA and DEA by Sequential Exclusion of Alternatives Methods
by Y. c{C}inar
- 1701.06624 Revenue Forecasting for Enterprise Products
by Amita Gajewar & Gagan Bansal
- 1701.06410 Economics cannot isolate itself from political theory: a mathematical demonstration
by Brendan Markey-Towler
- 1701.02662 Mathematical models describing the effects of different tax evasion behaviors
by M. L. Bertotti & G. Modanese
- 1701.02649 Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e
by Gane Samb Lo & Cheikh Mohamed Haidara
- 1701.02647 The Influence of Collaboration in Procurement Relationships
by Wesley S. Boyce & Haim Mano & John L. Kent
- 1701.02646 Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price
by Yang Yu & Guangyi Liu & Wendong Zhu & Fei Wang & Bin Shu & Kai Zhang & Ram Rajagopal & Nicolas Astier
- 1701.00112 Multinomial method for option pricing under Variance Gamma
by Nicola Cantarutti & Jo~ao Guerra
- 1701.00030 Numerical analysis of an extended structural default model with mutual liabilities and jump risk
by Vadim Kaushansky & Alexander Lipton & Christoph Reisinger
- 1612.09553 Investor Experiences and Financial Market Dynamics
by Ulrike Malmendier & Demian Pouzo & Victoria Vanasco
- 1612.09549 The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms
by Ignacio Esponda & Demian Pouzo
- 1612.09469 A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
by Javier de Frutos & Victor Gaton
- 1612.09344 The Random Walk behind Volatility Clustering
by Sabiou Inoua
- 1612.09244 Measuring the temperature and diversity of the U.S. regulatory ecosystem
by Michael J Bommarito II & Daniel Martin Katz
- 1612.09189 Global economic dynamics of the forthcoming years. A forecast
by Askar Akaev & Andrey Korotayev
- 1612.09152 A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
by Johannes Muhle-Karbe & Marcel Nutz
- 1612.09123 Population and trends in the global mean temperature
by Richard S. J. Tol
- 1612.09103 Conditional nonlinear expectations
by Daniel Bartl
- 1612.09060 Fractional Dynamics of Natural Growth and Memory Effect in Economics
by Valentina V. Tarasova & Vasily E. Tarasov
- 1612.08767 Pricing of Asian-type and Basket Options via Upper and Lower Bounds
by Alexander Novikov & Scott Alexander & Nino Kordzakhia & Timothy Ling
- 1612.08705 Speculation and Power Law
by Sabiou Inoua
- 1612.08689 Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse
by Hristian Daskalov
- 1612.08583 A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
by Diederik Aerts & Emmanuel Haven & Sandro Sozzo
- 1612.08488 Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures
by Richard Gerlach & Chao Wang
- 1612.08486 Understanding the Impacts of Dark Pools on Price Discovery
by Linlin Ye
- 1612.08338 A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts
by James PL Tan
- 1612.08111 The prevalence of chaotic dynamics in games with many players
by James B. T. Sanders & J. Doyne Farmer & Tobias Galla
- 1612.07913 Economic Accelerator with Memory: Discrete Time Approach
by Valentina V. Tarasova & Vasily E. Tarasov
- 1612.07903 Long and Short Memory in Economics: Fractional-Order Difference and Differentiation
by Vasily E. Tarasov & Valentina V. Tarasova
- 1612.07802 How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights
by Michele Caraglio & Fulvio Baldovin & Attilio L. Stella
- 1612.07742 Cross-impact and no-dynamic-arbitrage
by Michael Schneider & Fabrizio Lillo
- 1612.07618 Pointwise Arbitrage Pricing Theory in Discrete Time
by Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Ob{l}'oj
- 1612.07543 Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football
by Ilya Solntsev & Anatoly Vorobyev & Elnura Irmatova & Nikita Osokin
- 1612.07194 Leverage and Uncertainty
by Mihail Turlakov
- 1612.07132 Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits
by Claudia Kluppelberg & Miriam Isabel Seifert
- 1612.07067 Analytic solution to variance optimization with no short-selling
by Imre Kondor & G'abor Papp & Fabio Caccioli
- 1612.07016 Pricing Derivatives in Hermite Markets
by Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi
- 1612.06855 Information, Impact, Ignorance, Illegality, Investing, and Inequality
by Bruce Knuteson
- 1612.06850 Extremal Quantile Regression: An Overview
by Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji
- 1612.06665 Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs
by Foad Shokrollahi
- 1612.06654 The Impact of Negative Interest Rates on Optimal Capital Injections
by Julia Eisenberg & Paul Kruhner
- 1612.06616 Shot-Noise Processes in Finance
by Thorsten Schmidt
- 1612.06451 Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013
by Chiara Perillo & Angelos Antonopoulos & Christos Verikoukis
- 1612.06441 Quantifying Retail Agglomeration using Diverse Spatial Data
by Duccio Piovani & Vassilis Zachariadis & Michael Batty
- 1612.06291 The Topology of Inter-industry Relations from the Portuguese National Accounts
by Tanya Ara'ujo & Rui Faustino
- 1612.06244 The Blockchain: A Gentle Four Page Introduction
by Jan Hendrik Witte
- 1612.06200 The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets
by Jamal Bouoiyour & Refk Selmi
- 1612.06186 A Markovian Model of the Evolving World Input-Output Network
by Vahid Moosavi & Giulio Isacchini
- 1612.06133 Optimal Investment under Information Driven Contagious Distress
by Lijun Bo & Agostino Capponi
- 1612.05952 Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
by Kiran Sharma & Balagopal Gopalakrishnan & Anindya S. Chakrabarti & Anirban Chakraborti
- 1612.05855 Should we opt for the Black Friday discounted price or wait until the Boxing Day?
by Jiang Wu & Ricardas Zitikis
- 1612.05681 BSDEs with default jump
by Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem
- 1612.05525 Extreme prices in electricity balancing markets from an approach of statistical physics
by Mario Mureddu & Hildegard Meyer-Ortmanns
- 1612.05255 Stratified regression-based variance reduction approach for weak approximation schemes
by Denis Belomestny & Stefan Hafner & Mikhail Urusov
- 1612.05229 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kramer
- 1612.05227 European banking supervision, the role of stress test. Some brief considerations
by Simone Manduchi
- 1612.05072 Predictability Hidden by Anomalous Observations
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani
- 1612.05021 Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis
by Jaeyong An & P. R. Kumar & Le Xie
- 1612.04990 A diagnostic criterion for approximate factor structure
by Patrick Gagliardini & Elisa Ossola & Olivier Scaillet
- 1612.04932 Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities
by Demian Pouzo & Zacharias Psaradakis & Martin Sola
- 1612.04512 Agent-based Model for Spot and Balancing Electricity Markets
by Florian Kuhnlenz & Pedro H. J. Nardelli
- 1612.04507 Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
by Jos'e E. Figueroa-L'opez & Cheng Li
- 1612.04407 Dynamic Convex Duality in Constrained Utility Maximization
by Yusong Li & Harry Zheng
- 1612.04370 S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes
by Panagiotis Papaioannou & Thomas Dionysopoulos & Dietmar Janetzko & Constantinos Siettos
- 1612.04126 The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company
by Alicja Wolny-Dominiak
- 1612.03698 Fractal Optimization of Market Neutral Portfolio
by Sergey Kamenshchikov & Ilia Drozdov
- 1612.03347 Dual Moments and Risk Attitudes
by Louis R. Eeckhoudt & Roger J. A. Laeven
- 1612.03066 Parameter uncertainty and reserve risk under Solvency II
by Andreas Frohlich & Annegret Weng
- 1612.03031 Early exercise decision in American options with dividends, stochastic volatility and jumps
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet
- 1612.02985 Risk averse fractional trading using the current drawdown
by Stanislaus Maier-Paape
- 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 Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
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
- 1612.02090 Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes
by Pedro H. C. Sant'Anna
- 1612.02024 Impossible Inference in Econometrics: Theory and Applications
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 Exponential Structure of Income Inequality: Evidence from 67 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 much market making does a market need?
by V'it Perv{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 Abootaleb Shirvani & Stoyan V. Stoyanov & 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
- 1611.09420 The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
by Christian Hansen & Yuan Liao
- 1611.09300 Asymptotic approximation of optimal portfolio for small time horizons
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, portfolio liquidation, and portfolio transition under drift uncertainty
by Alexis Bismuth & Olivier Gu'eant & Jiang Pu
- 1611.07741 The Markowitz Category
by John Armstrong
- 1611.07432 "Chaos" in energy and commodity 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 nested Monte Carlo methods
by Denis Belomestny & Stefan Hafner & Mikhail Urusov
- 1611.06218 Convex functions on dual Orlicz spaces
by Freddy Delbaen & Keita Owari
- 1611.06217 Specification Tests for the Propensity Score
by Pedro H. C. Sant'Anna & Xiaojun Song
- 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 & Montserrat Guillen & 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
- 1611.03015 Honest Confidence Sets in Nonparametric IV Regression and Other Ill-Posed Models
by Andrii Babii
- 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-Jurgen Engelbert
- 1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
by Damiano Brigo & Fr'ed'eric Vrins
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