Contact information of arXiv.org
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Content
2016
- 1608.06045 Optimal Switching under Ambiguity and Its Applications in Finance
by Yuki Shigeta
- 1608.05900 A String Model of Liquidity in Financial Markets
by Sergey Lototsky & Henry Schellhorn & Ran Zhao
- 1608.05851 The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation
by Bruce M. Boghosian & Adrian Devitt-Lee & Hongyan Wang
- 1608.05814 Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation
by Zdzislaw Brzezniak & Tayfun Kok
- 1608.05650 Poverty Index With Time Varying Consumption and Income Distributions
by Amit K Chattopadhyay & T Krishna Kumar & Sushanta K Mallick
- 1608.05597 The structure of the climate debate
by Richard S. J. Tol
- 1608.05585 Consistency of option prices under bid-ask spreads
by Stefan Gerhold & I. Cetin Gulum
- 1608.05498 Elicitability and backtesting: Perspectives for banking regulation
by Natalia Nolde & Johanna F. Ziegel
- 1608.05378 A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes
by V. G. Filev & P. Neykov & G. S. Vasilev
- 1608.05145 Filling the gaps smoothly
by Andrey Itkin & Alexander Lipton
- 1608.05142 Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes
by Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly & Kaspar Wuthrich
- 1608.05060 General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
by Anatoliy Swishchuk & Katharina Cera & Julia Schmidt & Tyler Hofmeister
- 1608.05038 Electoral Stability and Rigidity
by Michael Y. Levy
- 1608.05024 Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit
by Gilles Boevi Koumou
- 1608.05002 Bayesian Posteriors For Arbitrarily Rare Events
by Drew Fudenberg & Kevin He & Lorens Imhof
- 1608.04832 Monetary economics from econophysics perspective
by Victor M. Yakovenko
- 1608.04683 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen
- 1608.04621 Optimal importance sampling for L\'evy Processes
by Adrien Genin & Peter Tankov
- 1608.04556 Rank-optimal weighting or "How to be best in the OECD Better Life Index?"
by Jan Lorenz & Christoph Brauer & Dirk A. Lorenz
- 1608.04537 Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion
by Luis H. R. Alvarez E. & Paavo Salminen
- 1608.04522 Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk
by Takashi Shinzato
- 1608.04506 Time-scale effects on the gain-loss asymmetry in stock indices
by Bulcs'u S'andor & Ingve Simonsen & B'alint Zsolt Nagy & Zolt'an N'eda
- 1608.03985 Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)
by Peter Richmond & Bertrand M. Roehner
- 1608.03636 A General Framework for Pairs Trading with a Control-Theoretic Point of View
by Atul Deshpande & B. Ross Barmish
- 1608.03521 Emergent organization in a model market
by Avinash Chand Yadav & Kaustubh Manchanda & Ramakrishna Ramaswamy
- 1608.03428 A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives
by Daniel Conus & Mackenzie Wildman
- 1608.03352 Some Contributions to Sequential Monte Carlo Methods for Option Pricing
by Deborshee Sen & Ajay Jasra & Yan Zhou
- 1608.03237 Managing counterparty credit risk via BSDEs
by Andrew Lesniewski & Anja Richter
- 1608.03058 Dynamic portfolio strategy using clustering approach
by Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu
- 1608.03053 Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
by Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren
- 1608.02740 Bayesian nonparametric sparse VAR models
by Monica Billio & Roberto Casarin & Luca Rossini
- 1608.02706 Another example of duality between game-theoretic and measure-theoretic probability
by Vladimir Vovk
- 1608.02690 Arbitrage-Free XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1608.02550 A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes
by Camilo Hernandez & Mauricio Junca & Harold Moreno-Franco
- 1608.02523 Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data
by Ali Hosseiny & Mauro Gallegati
- 1608.02446 Who would invest only in the risk-free asset?
by Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos
- 1608.02428 The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates
by Eugen Tarnow
- 1608.02365 Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
by Bernardi Mauro & Roy Cerqueti & Arsen Palestini
- 1608.02068 Arbitrage and utility maximization in market models with an insider
by Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov
- 1608.02028 Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing
by Michael A. Kouritzin
- 1608.01900 Serendipity and strategy in rapid innovation
by T. M. A. Fink & M. Reeves & R. Palma & R. S. Farr
- 1608.01895 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
by Mikkel Bennedsen
- 1608.01891 Toward Development of a New Health Economic Evaluation Definition
by Alexei Botchkarev
- 1608.01795 A diffusion approximation for limit order book models
by Ulrich Horst & Dorte Kreher
- 1608.01535 Optimal Population in a Finite Horizon
by Satoshi Nakano & Kazuhiko Nishimura
- 1608.01532 Fixed-Effect Regressions on Network Data
by Koen Jochmans & Martin Weidner
- 1608.01415 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
by Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang
- 1608.01365 Multifactor CES General Equilibrium: Models and Applications
by Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura
- 1608.01351 Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma
by Fuad Aleskerov & Victoria Oleynik
- 1608.01197 Efficient exposure computation by risk factor decomposition
by Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger
- 1608.01133 The boundary non-Crossing probabilities for Slepian process
by Pingjin Deng
- 1608.01103 Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method
by Susmita Bhaduri & Dipak Ghosh & Subhadeep Ghosh
- 1608.00878 On the Use of Computer Programs as Money
by Ross D. King
- 1608.00814 SPDE limit of the global fluctuations in rank-based models
by Praveen Kolli & Mykhaylo Shkolnikov
- 1608.00768 On optimal investment with processes of long or negative memory
by Huy N. Chau & Miklos Rasonyi
- 1608.00756 A continuous and efficient fundamental price on the discrete order book grid
by Julius Bonart & Fabrizio Lillo
- 1608.00354 hdm: High-Dimensional Metrics
by Victor Chernozhukov & Chris Hansen & Martin Spindler
- 1608.00280 Pricing Weakly Model Dependent Barrier Products
by Jan Kuklinski & Panagiotis Papaioannou & Kevin Tyloo
- 1608.00275 Metastable Features of Economic Networks and Responses to Exogenous Shocks
by Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati
- 1608.00230 Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
by S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak
- 1608.00213 Self-organization in a distributed coordination game through heuristic rules
by S. Agarwal & D. Ghosh & A. S. Chakrabarti
- 1608.00060 Double/Debiased Machine Learning for Treatment and Causal Parameters
by Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins
- 1608.00033 Locally Robust Semiparametric Estimation
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins
- 1607.08287 The effect of heterogeneity on flocking behavior and systemic risk
by Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos
- 1607.08214 Asymmetric volatility connectedness on forex markets
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1607.07582 Modelling the impact of financialization on agricultural commodity markets
by Maria d'Errico & Alessandro Laio & Guido L. Chiarotti
- 1607.07510 The Rank Effect for Commodities
by Ricardo T. Fernholz & Christoffer Koch
- 1607.07197 On the support of extremal martingale measures with given marginals: the countable case
by Luciano Campi & Claude Martini
- 1607.07108 Model-Independent Price Bounds for Catastrophic Mortality Bonds
by Raj Kumari Bahl & Sotirios Sabanis
- 1607.07099 Inverse Optimization of Convex Risk Functions
by Jonathan Yu-Meng Li
- 1607.06847 Decentralized Bayesian learning in dynamic games: A framework for studying informational cascades
by Deepanshu Vasal & Achilleas Anastasopoulos
- 1607.06644 On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
by Dirk Becherer & Martin Buttner & Klebert Kentia
- 1607.06373 Systemic Risk and Stochastic Games with Delay
by Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun
- 1607.06247 Effects of Sea Level Rise on Economy of the United States
by Monika Novackova & Richard S. J. Tol
- 1607.06163 Indirect Inference With(Out) Constraints
by David T. Frazier & Eric Renault
- 1607.06158 Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
by Andrew Papanicolaou & Konstantinos Spiliopoulos
- 1607.05831 Statistical inference for the doubly stochastic self-exciting process
by Simon Clinet & Yoann Potiron
- 1607.05660 A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey
by T. O. Benli
- 1607.05608 Identification of market trends with string and D2-brane maps
by Erik Bartov{s} & Richard Pinv{c}'ak
- 1607.05572 Smoothing the payoff for efficient computation of Basket option prices
by Christian Bayer & Markus Siebenmorgen & Raul Tempone
- 1607.05514 Sectoral co-movements in the Indian stock market: A mesoscopic network analysis
by Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti
- 1607.05235 Extracting Geography from Trade Data
by Yuke Li & Tianhao Wu & Nicholas Marshall & Stefan Steinerberger
- 1607.04968 Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
by Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic
- 1607.04883 Statistical Industry Classification
by Zura Kakushadze & Willie Yu
- 1607.04739 Multiple risk factor dependence structures: Distributional properties
by Jianxi Su & Edward Furman
- 1607.04737 A form of multivariate Pareto distribution with applications to financial risk measurement
by Jianxi Su & Edward Furman
- 1607.04553 Generalized Optimal Liquidation Problems Across Multiple Trading Venues
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu
- 1607.04532 Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
by Florian Huber & Gregor Kastner & Martin Feldkircher
- 1607.04488 Hedging under generalized good-deal bounds and model uncertainty
by Dirk Becherer & Klebert Kentia
- 1607.04484 The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games
by Bent Flyvbjerg & Allison Stewart & Alexander Budzier
- 1607.04214 Existence and uniqueness results for BSDEs with jumps: the whole nine yards
by Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras
- 1607.04155 Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory
by Jean-Francois Mercure
- 1607.04153 On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
by Giorgio Ferrari
- 1607.04100 Insurance valuation: a computable multi-period cost-of-capital approach
by Hampus Engsner & Mathias Lindholm & Filip Lindskog
- 1607.04047 A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
by Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg
- 1607.03522 Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
by Antonis Papapantoleon & Robert Wardenga
- 1607.03430 Dual representations for systemic risk measures
by c{C}au{g}{i}n Ararat & Birgit Rudloff
- 1607.03205 Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
by Taisei Kaizoji & Michiko Miyano
- 1607.03161 A mathematical model for a gaming community
by Romulus Breban
- 1607.02743 Information uncertainty related to marked random times and optimal investment
by Ying Jiao & Idris Kharroubi
- 1607.02688 On the time consistency of collective preferences
by Luis A. Alcala
- 1607.02481 Inferring monopartite projections of bipartite networks: an entropy-based approach
by Fabio Saracco & Mika J. Straka & Riccardo Di Clemente & Andrea Gabrielli & Guido Caldarelli & Tiziano Squartini
- 1607.02470 Deep Learning for Mortgage Risk
by Justin Sirignano & Apaar Sadhwani & Kay Giesecke
- 1607.02423 Fair division with divisible and indivisible items
by Alexander Rubchinsky
- 1607.02422 Rating models: emerging market distinctions
by Alexander Karminsky
- 1607.02421 Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
by Andrey Subochev & Igor Zakhlebin
- 1607.02419 Divisive-agglomerative algorithm and complexity of automatic classification problems
by Alexander Rubchinsky
- 1607.02410 Tail protection for long investors: Trend convexity at work
by Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters
- 1607.02378 Matrix-vector representation of various solution concepts
by Fuad Aleskerov & Andrey Subochev
- 1607.02349 Toward an integrated workforce planning framework using structured equations
by Marie Doumic & Beno^it Perthame & Edouard Ribes & Delphine Salort & Nathan Toubiana
- 1607.02319 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
by Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle
- 1607.02289 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
by Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou
- 1607.02093 Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework
by Tamal Datta Chaudhuri & Indranil Ghosh
- 1607.02067 On the American swaption in the linear-rational framework
by Damir Filipovic & Yerkin Kitapbayev
- 1607.01999 Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction
by Somwrita Sarkar & Sanjay Chawla
- 1607.01902 On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models
by Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki
- 1607.01751 Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
by Sylwester Arabas & Ahmad Farhat
- 1607.01619 Swaption Prices in HJM model. Nonparametric fit
by V. M. Belyaev
- 1607.01519 Granger Independent Martingale Processes
by Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli
- 1607.01317 Dynamic optimization and its relation to classical and quantum constrained systems
by Mauricio Contreras & Rely Pellicer & Marcelo Villena
- 1607.01207 Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching
by Nemat Safarov & Colin Atkinson
- 1607.01110 Utility Indifference Pricing of Insurance Catastrophe Derivatives
by Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi
- 1607.00830 A probability-free and continuous-time explanation of the equity premium and CAPM
by Vladimir Vovk & Glenn Shafer
- 1607.00756 Comments on the BCBS proposal for a New Standardized Approach for Operational Risk
by Giulio Mignola & Roberto Ugoccioni & Eric Cope
- 1607.00721 Recursive utility optimization with concave coefficients
by Shaolin Ji & Xiaomin Shi
- 1607.00699 The State of Applied Econometrics - Causality and Policy Evaluation
by Susan Athey & Guido Imbens
- 1607.00698 The Econometrics of Randomized Experiments
by Susan Athey & Guido Imbens
- 1607.00638 Time-Inconsistent Stochastic Linear-quadratic Differential Game
by Qinglong Zhou & Gaofeng Zong
- 1607.00454 Limit order trading with a mean reverting reference price
by Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang
- 1607.00448 Estimation and prediction of credit risk based on rating transition systems
by Jinghai Shao & Siming Li & Yong Li
- 1607.00393 Frequentist properties of Bayesian inequality tests
by David M. Kaplan & Longhao Zhuo
- 1607.00286 Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk
by Alexandre Belloni & Mingli Chen & Victor Chernozhukov
- 1607.00077 Existence of a calibrated regime switching local volatility model and new fake Brownian motions
by Benjamin Jourdain & Alexandre Zhou
- 1607.00035 Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information
by Albina Danilova
- 1606.09194 A multilayer approach for price dynamics in financial markets
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda
- 1606.08984 Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
by Johan G. Andreasson & Pavel V. Shevchenko & Alex Novikov
- 1606.08679 Replica approach to mean-variance portfolio optimization
by Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor
- 1606.08562 Complex Systems and a Computational Social Science Perspective on the Labor Market
by Abdullah Almaatouq
- 1606.08381 Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements
by Sinem Kozp{i}nar & Murat Uzunca & Bulent Karasozen
- 1606.08269 An agent behavior based model for diffusion price processes with application to phase transition and oscillations
by Christof Henkel
- 1606.07831 A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities
by Seyed Amir Hejazi & Kenneth R. Jackson
- 1606.07684 Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks
by Tiziano Squartini & Assaf Almog & Guido Caldarelli & Iman van Lelyveld & Diego Garlaschelli & Giulio Cimini
- 1606.07381 Spread, volatility, and volume relationship in financial markets and market making profit optimization
by Jack Sarkissian
- 1606.07311 Skorohod's representation theorem and optimal strategies for markets with frictions
by Huy N. Chau & Mikl'os R'asonyi
- 1606.07277 Validation of the Replica Trick for Simple Models
by Takashi Shinzato
- 1606.06948 A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor
by Boliang Lin & Ruixi Lin
- 1606.06829 Brexit or Bremain ? Evidence from bubble analysis
by Marco Bianchetti & Davide Galli & Camilla Ricci & Angelo Salvatori & Marco Scaringi
- 1606.06720 A mathematical model of demand-supply dynamics with collectability and saturation factors
by Y. Charles Li & Hong Yang
- 1606.06578 Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
by Byung-Geun Choi & Napat Rujeerapaiboon & Ruiwei Jiang
- 1606.06143 Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options
by Gilles Pag`es & Olivier Pironneau & Guillaume Sall
- 1606.06111 Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market
by Abhijit Chakraborty & Soumya Easwaran & Sitabhra Sinha
- 1606.06051 Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?
by Kiran Sharma & Anirban Chakraborti
- 1606.06003 Using String Invariants for Prediction Searching for Optimal Parameters
by Marek Bundzel & Tomas Kasanicky & Richard Pincak
- 1606.05877 A new decomposition of portfolio return
by Robert Fernholz
- 1606.05488 Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
by Shaolin Ji & Xiaomin Shi
- 1606.05164 Network Valuation in Financial Systems
by Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston
- 1606.05079 Optimal Liquidation under Partial Information with Price Impact
by Katia Colaneri & Zehra Eksi & Rudiger Frey & Michaela Szolgyenyi
- 1606.04872 The multiplex dependency structure of financial markets
by Nicol'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora
- 1606.04819 Nonparametric Analysis of Random Utility Models
by Yuichi Kitamura & Jorg Stoye
- 1606.04816 Note on level r consensus
by Nikolay L. Poliakov
- 1606.04796 Kinetic and mean field description of Gibrat's law
by Giuseppe Toscani
- 1606.04790 Local Operators in Kinetic Wealth Distribution
by M. Andrecut
- 1606.04285 Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions
by Masaaki Fujii & Akihiko Takahashi
- 1606.04139 Credit allocation based on journal impact factor and coauthorship contribution
by Javier E. Contreras-Reyes
- 1606.04039 The Sound of Silence: equilibrium filtering and optimal censoring in financial markets
by Miles B. Gietzmann & Adam J. Ostaszewski
- 1606.03901 Kolmogorov Space in Time Series Data
by K. Kanjamapornkul & R. Pinv{c}'ak
- 1606.03899 Exact Smooth Term-Structure Estimation
by Damir Filipovi'c & Sander Willems
- 1606.03709 Mean field games of timing and models for bank runs
by Rene Carmona & Francois Delarue & Daniel Lacker
- 1606.03597 Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
by Mihaly Ormos & Dusan Timotity
- 1606.03595 Incentivizing Resilience in Financial Networks
by Matt V. Leduc & Stefan Thurner
- 1606.03590 Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
by Mihaly Ormos & Dusan Timotity
- 1606.03388 Optimal Resource Extraction in Regime Switching L\'evy Markets
by Moustapha Pemy
- 1606.03325 Model-free portfolio theory and its functional master formula
by Alexander Schied & Leo Speiser & Iryna Voloshchenko
- 1606.03261 Socio-economic inequality: Relationship between Gini and Kolkata indices
by Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti
- 1606.02871 The study of Thai stock market across the 2008 financial crisis
by K. Kanjamapornkul & Richard Pinv{c}'ak & Erik Bartov{s}
- 1606.02783 A non-equilibrium formulation of food security resilience
by Matteo Smerlak & Bapu Vaitla
- 1606.02748 A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine
by Olga Nicoara & David White
- 1606.02045 On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis
by Marcel Ausloos & Franck Jovanovic & Christophe Schinckus
- 1606.01495 The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
by Donovan Platt & Tim Gebbie
- 1606.01343 The Zero-Coupon Rate Model for Derivatives Pricing
by Xiao Lin
- 1606.01270 A data driven network approach to rank countries production diversity and food specialization
by Chengyi Tu & Joel Carr & Samir Suweis
- 1606.01218 World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
by Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka
- 1606.00908 A/B Testing of Auctions
by Shuchi Chawla & Jason D. Hartline & Denis Nekipelov
- 1606.00631 The space of outcomes of semi-static trading strategies need not be closed
by Beatrice Acciaio & Martin Larsson & Walter Schachermayer
- 1606.00530 On American VIX options under the generalized 3/2 and 1/2 models
by Jerome Detemple & Yerkin Kitapbayev
- 1606.00424 Residential income segregation: A behavioral model of the housing market
by Marco Pangallo & Jean Pierre Nadal & Annick Vignes
- 1606.00142 Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso
by Ning Xu & Jian Hong & Timothy C. G. Fisher
- 1606.00092 Testing for Common Breaks in a Multiple Equations System
by Tatsushi Oka & Pierre Perron
- 1605.09720 Endogenous Formation of Limit Order Books: Dynamics Between Trades
by Roman Gayduk & Sergey Nadtochiy
- 1605.09484 A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko
- 1605.09181 The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
by Krzysztof Domino
- 1605.09112 A Mean Field Game of Optimal Stopping
by Marcel Nutz
- 1605.08908 What does past correlation structure tell us about the future? An answer from network filtering
by Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo
- 1605.08899 Modelling Trading Networks and the Role of Trust
by Rafael A. Barrio & Tzipe Govezensky & 'Elfego Ruiz-Guti'errez & Kimmo K. Kaski
- 1605.08354 Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?
by Anirban Chakraborti & Dhruv Raina & Kiran Sharma
- 1605.08166 A constraint-based framework to study rationality, competition and cooperation in fisheries
by Christian Mullon & Charles Mullon
- 1605.08099 Contracting theory with competitive interacting agents
by Romuald Elie & Dylan Possamai
- 1605.08025 Foreign exchange risk premia: from traditional to state-space analyses
by Siwat Nakmai
Printed from https://ideas.repec.org/s/arx/papers109.html
