# arXiv.org

# Papers

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

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

**Citations RSS feed:**at CitEc

### Impact factors

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

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2014

**1405.5695 Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index***by*Rickard Nyman & Paul Ormerod**1405.5294 Valuation of Barrier Options using Sequential Monte Carlo***by*Pavel V. Shevchenko & Pierre Del Moral**1405.5230 A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics***by*Christian Bayer & Ulrich Horst & Jinniao Qiu**1405.5000 Correlation structure and principal components in global crude oil market***by*Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou**1405.4905 Set-valued shortfall and divergence risk measures***by*\c{C}a\u{g}{\i}n Ararat & Andreas H. Hamel & Birgit Rudloff**1405.4716 Combining Alpha Streams with Costs***by*Zura Kakushadze**1405.4537 Rough paths, Signatures and the modelling of functions on streams***by*Terry Lyons**1405.4498 The Economics of BitCoin Price Formation***by*Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs**1405.4490 Quantum spatial-periodic harmonic model for daily price-limited stock markets***by*Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo**1405.4474 Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$***by*Shiqi Song**1405.4421 Local times for typical price paths and pathwise Tanaka formulas***by*Nicolas Perkowski & David J. Pr\"omel**1405.4301 Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions***by*Stanislav Sobolevsky & Izabela Sitko & Sebastian Grauwin & Remi Tachet des Combes & Bartosz Hawelka & Juan Murillo Arias & Carlo Ratti**1405.4079 Valuation and Hedging of Contracts with Funding Costs and Collateralization***by*Tomasz R. Bielecki & Marek Rutkowski**1405.3812 Optimal investment under behavioural criteria -- a dual approach***by*Mikl\'os R\'asonyi & Jos\'e G. Rodr\'iguez-Villarreal**1405.3769 Distortion Risk Measures and Elicitability***by*Ruodu Wang & Johanna F. Ziegel**1405.3767 Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information***by*Xin Dong & Harry Zheng**1405.3566 A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities***by*Yal\c{c}in Aktar & Erik Taflin**1405.3561 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients***by*Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov**1405.3512 Quantum Brownian motion model for the stock market***by*Xiangyi Meng & Jian-Wei Zhang & Hong Guo**1405.3225 Can Analysts Predict Rallies Better Than Crashes?***by*Ivan Medovikov**1405.3202 The systematic structure and predictability of urban business diversity***by*Hyejin Youn & Lu\'is M. A. Bettencourt & Jos\'e Lobo & Deborah Strumsky & Horacio Samaniego & Geoffrey B. West**1405.2718 Arbitrage Pricing of Multi-person Game Contingent Claims***by*Ivan Guo & Marek Rutkowski**1405.2669 Simple examples of pure-jump strict local martingales***by*Martin Keller-Ressel**1405.2609 Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets***by*Nassim N. Taleb**1405.2459 Interest rate models and Whittaker functions***by*Dmitry Muravey**1405.2450 Affine LIBOR models with multiple curves: theory, examples and calibration***by*Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand**1405.2445 How does bad and good volatility spill over across petroleum markets?***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1405.2442 A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries***by*Tiziano De Angelis & Giorgio Ferrari & John Moriarty**1405.2384 A Multi-factor Adaptive Statistical Arbitrage Model***by*Wenbin Zhang & Zhen Dai & Bindu Pan & Milan Djabirov**1405.2240 Optimal stopping under model uncertainty: randomized stopping times approach***by*Denis Belomestny & Volker Kraetschmer**1405.2220 Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market***by*Li-Xin Wang**1405.2051 Merchant Sharing Towards a Zero Marginal Cost Economy***by*Laurent Fournier**1405.2023 Simultaneous Trading in 'Lit' and Dark Pools***by*M. Alessandra Crisafi & Andrea Macrina**1405.1948 Phynance***by*Zura Kakushadze**1405.1791 On the Super-Additivity and Estimation Biases of Quantile Contributions***by*Nassim N Taleb & Raphael Douady**1405.1326 Paths and indices of maximal tail dependence***by*Edward Furman & Jianxi Su & Ri\v{c}ardas Zitikis**1405.1309 Default Probability Estimation via Pair Copula Constructions***by*Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli**1405.1266 The super-replication theorem under proportional transaction costs revisited***by*Walter Schachermayer**1405.1247 Stylized facts of price gaps in limit order books: Evidence from Chinese stocks***by*Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou**1405.1212 Market risk modelling in Solvency II regime and hedging options not using underlying***by*Przemys{\l}aw Klusik**1405.0878 Market Coupling as the Universal Algorithm to Assess Zonal Divisions***by*Grzegorz Orynczak & Marcin Jakubek & Karol Wawrzyniak & Michal Klos**1405.0733 Spatial interactions in agent-based modeling***by*Marcel Ausloos & Herbert Dawid & Ugo Merlone**1405.0732 Hedging of equity-linked with maximal success factor***by*Klusik Przemyslaw**1405.0585 Evaluating gambles using dynamics***by*Ole Peters & Murray Gell-Mann**1405.0515 KVA: Capital Valuation Adjustment***by*Andrew Green & Chris Kenyon**1405.0508 MVA: Initial Margin Valuation Adjustment by Replication and Regression***by*Andrew Green & Chris Kenyon**1405.0378 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing***by*Masaaki Fujii**1404.7698 An Optimal Consumption-Investment Model with Constraint on Consumption***by*Zuo Quan Xu & Fahuai Yi**1404.7653 The role of the information set for forecasting - with applications to risk management***by*Hajo Holzmann & Matthias Eulert**1404.7642 Predictive regressions for macroeconomic data***by*Fukang Zhu & Zongwu Cai & Liang Peng**1404.7632 A multivariate model for financial indices and an algorithm for detection of jumps in the volatility***by*Mario Bonino & Matteo Camelia & Paolo Pigato**1404.7493 Drawdown: From Practice to Theory and Back Again***by*Lisa R. Goldberg & Ola Mahmoud**1404.7438 The least squares method for option pricing revisited***by*Maciej Klimek & Marcin Pitera**1404.7406 Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs***by*Erhan Bayraktar & Yuchong Zhang**1404.7377 The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research***by*Stefano Olgiati & Gilberto Bronzini & Alessandro Danovi**1404.7364 Predictable markets? A news-driven model of the stock market***by*Maxim Gusev & Dimitri Kroujiline & Boris Govorkov & Sergey V. Sharov & Dmitry Ushanov & Maxim Zhilyaev**1404.7356 Analysis of a decision model in the context of equilibrium pricing and order book pricing***by*Daniel C. Wagner & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr & Dietrich E. Wolf**1404.7320 Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context***by*Qinghua Li**1404.7314 Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes***by*Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth**1404.6792 Leveraged {ETF} implied volatilities from {ETF} dynamics***by*Tim Leung & Matthew Lorig & Andrea Pascucci**1404.6637 Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes***by*Ovidiu Racorean**1404.6227 A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries***by*Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet**1404.6190 Polynomial Term Structure Models***by*Si Cheng & Michael R. Tehranchi**1404.6120 Incorporating a Volatility Smile into the Markov-Functional Model***by*Feijia Wang**1404.5689 Measurement and Internalization of Systemic Risk in a Global Banking Network***by*Xiaobing Feng & Haibo Hu**1404.5408 Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case***by*Jakub Trybu{\l}a & Dariusz Zawisza**1404.5381 The Futures Premium and Rice Market Efficiency in Prewar Japan***by*Mikio Ito & Kiyotaka Maeda & Akihiko Noda**1404.5271 Reconstruction of density functions by sk-splines***by*A. Kushpel & J. Levesley**1404.5222 Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model***by*Takashi Shinzato**1404.5203 Towards a Monotonicity-Compliant Price Index for the Art Market***by*Ventura Charlin & Arturo Cifuentes**1404.5140 High-order compact finite difference scheme for option pricing in stochastic volatility models***by*Bertram D\"uring & Michel Fourni\'e**1404.5138 High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids***by*Bertram D\"uring & Michel Fourni\'e & Christof Heuer**1404.5050 A Spectral Model of Turnover Reduction***by*Zura Kakushadze**1404.4950 Expected Cash Flow: A Novel Model Of Evaluating Financial Assets***by*Magomet Yandiev**1404.4798 Signal-wise performance attribution for constrained portfolio optimisation***by*Bruno Durin**1404.4665 Approximate aggregation in the neoclassical growth model with ideosyncratic shocks***by*Karsten Chipeniuk & Nets Hawk Katz & Todd Walker**1404.4659 Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models***by*Jan Kuklinski & Doinita Negru & Pawel Pliszka**1404.4550 Macroprudential oversight, risk communication and visualization***by*Peter Sarlin**1404.4464 On small-noise equations with degenerate limiting system arising from volatility models***by*Giovanni Conforti & Stefano De Marco & Jean-Dominique Deuschel**1404.4275 A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system***by*Xiaochao Qian**1404.4150 The Master Equation in Mean Field Theory***by*Alain Bensoussan & Jens Frehse & Phillip Yam**1404.4068 Directed Random Market: the equilibrium distribution***by*Guy Katriel**1404.4040 $L_p$ regularized portfolio optimization***by*Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still**1404.4028 Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing***by*Mark Higgins**1404.4014 Option Pricing Accuracy for Estimated Heston Models***by*Robert Azencott & Yutheeka Gadhyan & Roland Glowinski**1404.3678 On the properties of nodal price response matrix in electricity markets***by*Vadim Borokhov**1404.3555 Smile from the Past: A general option pricing framework with multiple volatility and leverage components***by*Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi**1404.3347 Stability and Identification with Optimal Macroprudential Policy Rules***by*Jean-Bernard Chatelain & Kirsten Ralf**1404.3274 Two centuries of trend following***by*Y. Lemp\'eri\`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud**1404.3258 Regularizing Portfolio Risk Analysis: A Bayesian Approach***by*Sourish Das & Aritra Halder & Dipak K. Dey**1404.3229 A Note on the Pricing of Basket Options Using Taylor Approximations***by*Pablo Olivares & Alexander Alvarez**1404.3219 Estimating nonlinear regression errors without doing regression***by*Hong Pi & Carsten Peterson**1404.3167 A Dynamical Model of the Industrial Economy of the Humber Region***by*Christopher J. K. Knight & Alexandra S. Penn & Rebecca B. Hoyle**1404.3160 Pricing of Basket Options Using Polynomial Approximations***by*Pablo Olivares**1404.3153 Asymptotics for $d$-dimensional L\'evy-type processes***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1404.2227 Facelifting in Utility Maximization***by*Kasper Larsen & H. Mete Soner & Gordan Zitkovic**1404.2140 Financial bubbles: mechanisms and diagnostics***by*Didier Sornette & Peter Cauwels**1404.2050 Bayesian DEJD model and detection of asymmetric jumps***by*Maciej Kostrzewski**1404.1913 Ramsey Rule with Progressive utility and Long Term Affine Yields Curves***by*Nicole El Karoui & Mohamed Mrad & Caroline Hillairet**1404.1895 Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling***by*Nicole El Karoui & Caroline Hillairet & Mohamed Mrad**1404.1773 Derivative pricing under the possibility of long memory in the supOU stochastic volatility model***by*Robert Stelzer & Jovana Zavi\v{s}in**1404.1761 Impulse Control of a Diffusion with a Change Point***by*Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li**1404.1730 Stochastic Evolution of Stock Market Volume-Price Distributions***by*Paulo Rocha & Frank Raischel & Jo\~ao P. da Cruz & Pedro G. Lind**1404.1516 Martingale optimal transport in the Skorokhod space***by*Y. Dolinsky & H. M. Soner**1404.1441 A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control***by*Boualem Djehiche & Hamidou Tembine & Raul Tempone**1404.1367 Emergence of communities on a coevolutive model of wealth interchange***by*A. Agreda & K. Tucci**1404.1351 Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia***by*Carol Alexander & Johannes Rauch**1404.1180 Parallel American Monte Carlo***by*Calypso Herrera & Louis Paulot**1404.1164 Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets***by*Mikio Ito & Kiyotaka Maeda & Akihiko Noda**1404.1052 An agent-based computational model for China's stock market and stock index futures market***by*Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou**1404.1051 Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market***by*Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Zhang & Wei-Xing Zhou**1404.0879 Utility indifference pricing of derivatives written on industrial loss indexes***by*Gunther Leobacher & Philip Ngare**1404.0746 Is It Possible to OD on Alpha?***by*Zura Kakushadze & Jim Kyung-Soo Liew**1404.0651 On parameter identification in stochastic differential equations by penalized maximum likelihood***by*Fabian Dunker & Thorsten Hohage**1404.0648 Dynamic optimal execution in a mixed-market-impact Hawkes price model***by*Aur\'elien Alfonsi & Pierre Blanc**1404.0601 Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility***by*Jos\'e E. Figueroa-L\'opez & Sveinn \'Olafsson**1404.0410 Non-Arbitrage under a Class of Honest Times***by*Tahir Choulli & Anna Aksamit & Jun Deng & Monique Jeanblanc**1404.0375 Principal wind turbines for a conditional portfolio approach to wind farms***by*Vitor V. Lopes & Teresa Scholz & Frank Raischel & Pedro G. Lind**1404.0340 On the range of admissible term-structures***by*Areski Cousin & Ibrahima Niang**1404.0243 Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models***by*D. Sornette**1403.8125 Maximum drawdown, recovery and momentum***by*Jaehyung Choi**1403.8018 Are credit ratings time-homogeneous and Markov?***by*Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers**1403.7830 Pseudo Linear Pricing Rule for Utility Indifference Valuation***by*Vicky Henderson & Gechun Liang**1403.7800 Evolution of wealth in a nonconservative economy driven by local Nash equilibria***by*Pierre Degond & Jian-Guo Liu & Christian Ringhofer**1403.7799 Inflation securities valuation with macroeconomic-based no-arbitrage dynamics***by*Gabriele Sarais & Damiano Brigo**1403.7680 Omega risk model with tax***by*Zhenyu Cui**1403.7628 Anatomy of a Bail-In***by*Thomas Conlon & John Cotter**1403.7269 A Note on the Quantile Formulation***by*Zuo Quan Xu**1403.7179 Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach***by*Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti**1403.7021 Contextual and Structural Representations of Market-mediated Economic Value***by*Bradly Alicea**1403.6531 Credit acceptance process strategy case studies - the power of Credit Scoring***by*Karol Przanowski**1403.6378 Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies***by*Stefan Bornholdt & Kim Sneppen**1403.6342 Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World***by*Benedikt Fuchs & Stefan Thurner**1403.6175 Utility maximization in the large markets***by*Oleksii Mostovyi**1403.6112 The role of the "Maximizing Output Growth Inflation Rate" in monetary policy***by*Dominique Pepin**1403.6093 Reward-risk momentum strategies using classical tempered stable distribution***by*Jaehyung Choi & Young Shin Kim & Ivan Mitov**1403.5965 The Implied Volatility Analysis: The South African Experience***by*Romuald N. Kenmoe S & Carine D. Tafou**1403.5833 Sophisticated gamblers ruin and survival chances***by*Salil Mehta**1403.5685 Trajectory Based Models, Arbitrage and Continuity***by*Alexander Alvarez & Sebastian Ferrando**1403.5623 Systemic risk in dynamical networks with stochastic failure criterion***by*B. Podobnik & D. Horvatic & M. Bertella & L. Feng & X. Huang & B. Li**1403.5599 The acceptance-rejection method for low-discrepancy sequences***by*Nguyet Nguyen & Giray \"Okten**1403.5402 Time-changed CIR default intensities with two-sided mean-reverting jumps***by*Rafael Mendoza-Arriaga & Vadim Linetsky**1403.5309 Multilevel Monte Carlo For Exponential L\'{e}vy Models***by*Mike Giles & Yuan Xia**1403.5302 Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models***by*Archil Gulisashvili & Josep Vives**1403.5247 Portfolio Optimization in Affine Models with Markov Switching***by*Marcos Escobar & Daniela Neykova & Rudi Zagst**1403.5236 A change of measure preserving the affine structure in the BNS model for commodity markets***by*Fred Espen Benth & Salvador Ortiz-Latorre**1403.5227 Branching ratio approximation for the self-exciting Hawkes process***by*Stephen J. Hardiman & Jean-Philippe Bouchaud**1403.5193 Predicting market instability: New dynamics between volume and volatility***by*Zeyu Zheng & Zhi Qiao & Joel N. Tenenbaum & H. Eugene Stanley & Baowen Li**1403.5179 Collective behaviours in the stock market -- A maximum entropy approach***by*Thomas Bury**1403.4460 Stationarity, non-stationarity and early warning signals in economic networks***by*Tiziano Squartini & Diego Garlaschelli**1403.4329 On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market***by*Alexandra Rodkina & Nikolai Dokuchaev**1403.4305 Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry***by*Yaya Li & Yongli Li & Yulin Zhao & Fang Wang**1403.4291 An importance sampling approach for copula models in insurance***by*Philipp Arbenz & Mathieu Cambou & Marius Hofert**1403.4171 Least quartic Regression Criterion with Application to Finance***by*Giuseppe arbia**1403.4111 Representation of infinite dimensional forward price models in commodity markets***by*Fred Espen Benth & Paul Kr\"uhner**1403.4099 High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm***by*Dieter Hendricks & Diane Wilcox & Tim Gebbie**1403.4069 Momentum Strategies with L1 Filter***by*Tung-Lam Dao**1403.3756 A fast Fourier transform method for Mellin-type option pricing***by*D. J. Manuge & P. T. Kim**1403.3638 Networked relationships in the e-MID Interbank market: A trading model with memory***by*Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello**1403.3627 A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests***by*Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari**1403.3584 Testing for Detailed Balance in a Financial Market***by*Rudolf Fiebig & David Musgrove**1403.3571 Anomalous impact in reaction-diffusion models***by*Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud**1403.3478 Empirical properties of inter-cancellation durations in the Chinese stock market***by*Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou**1403.3459 Structural Models under Additional Information***by*Tahir Choulli & Jun Deng**1403.3362 Coherent Chaos Interest Rate Models***by*Dorje C. Brody & Stala Hadjipetri**1403.3294 Detecting informed activities in European-style option tradings***by*Lyudmila A. Glik & Oleg L. Kritski**1403.3223 Merton problem with one additional indivisible asset***by*Jakub Trybu{\l}a**1403.3212 Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case***by*Jakub Trybu{\l}a & Dariusz Zawisza**1403.3138 Distribution of the asset price movement and market potential***by*Dong Han Kim & Stefano Marmi**1403.2730 Quadratic BSDEs with jumps: related non-linear expectations***by*M. Nabil Kazi-Tani & Dylan Possama\"i & Chao Zhou**1403.2229 A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution***by*Dieter Hendricks & Diane Wilcox**1403.2060 Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models***by*Michael B. Walker**1403.2050 Partial Mutual Information Analysis of Financial Networks***by*Pawe{\l} Fiedor**1403.1889 Introduction to Risk Parity and Budgeting***by*Thierry Roncalli**1403.1822 Zipf's law in city size from a resource utilization model***by*Asim Ghosh & Arnab Chatterjee & Anindya S. Chakrabarti & Bikas K Chakrabarti**1403.1804 High-Order Splitting Methods for Forward PDEs and PIDEs***by*Andrey Itkin**1403.1715 Do Google Trend data contain more predictability than price returns?***by*Damien Challet & Ahmed Bel Hadj Ayed**1403.1637 Inside Money, Procyclical Leverage, and Banking Catastrophes***by*Charles D. Brummitt & Rajiv Sethi & Duncan J. Watts**1403.1574 Consentaneous agent-based and stochastic model of the financial markets***by*V. Gontis & A. Kononovicius**1403.1548 To bail-out or to bail-in? Answers from an agent-based model***by*Peter Klimek & Sebastian Poledna & J. Doyne Farmer & Stefan Thurner**1403.1509 Modelling the Bid and Ask Prices of Illiquid CDSs***by*Michael B. Walker**1403.1363 International Transmission of Shocks and Fragility of a Bank Network***by*Xiaobing Feng & Woo Seong Jo & Beom Jun Kim**1403.1183 On the Frequency of Drawdowns for Brownian Motion Processes***by*David Landriault & Bin Li & Hongzhong Zhang**1403.1086 Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging***by*Johan Gunnesson & Alberto Fern\'andez Mu\~noz de Morales**1403.0994 On the Hawkes Process with Different Exciting Functions***by*Behzad Mehrdad & Lingjiong Zhu**1403.0851 Asset Prices and Risk Aversion***by*Dominique Pepin**1403.0848 Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics***by*Andreas Joseph & Irena Vodenska & Eugene Stanley & Guanrong Chen**1403.0842 The adaptive nature of liquidity taking in limit order books***by*Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo**1403.0718 Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure***by*Xiangyu Cui & Duan Li & Xun Li**1403.0648 Multi-period Trading Prediction Markets with Connections to Machine Learning***by*Jinli Hu & Amos Storkey**1403.0627 Exchange Rate Predictability in a Changing World***by*Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro**1403.0527 Parameter estimation for the subcritical Heston model based on discrete time observations***by*Matyas Barczy & Gyula Pap & Tamas T. Szabo**1403.0333 Intrinsic Prices Of Risk***by*Truc Le**1403.0202 Investing and Stopping***by*Moritz Duembgen & L. C. G. Rogers**1403.0064 Leverage effect in energy futures***by*Ladislav Kristoufek**1403.0015 Micro to macro models for income distribution in the absence and in the presence of tax evasion***by*Maria Letizia Bertotti & Giovanni Modanese**1402.7027 Efficient Modeling and Forecasting of the Electricity Spot Price***by*Florian Ziel & Rick Steinert & Sven Husmann**1402.6760 Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target***by*Hanqing Jin & Yimin Yang**1402.6583 Finding informed traders in futures and their inderlying assets in intraday trading***by*Lyudmila A. Glik & Oleg L. Kritski**1402.6444 A First-Order BSPDE for Swing Option Pricing: Classical Solutions***by*Christian Bender & Nikolai Dokuchaev