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Content
2016
- 1605.04940 Value-at-Risk: The Effect of Autoregression in a Quantile Process
by Khizar Qureshi
- 1605.04938 The topology of card transaction money flows
by Massimiliano Zanin & David Papo & Miguel Romance & Regino Criado & Santiago Moral
- 1605.04600 Learning zero-cost portfolio selection with pattern matching
by Tim Gebbie & Fayyaaz Loonat
- 1605.04584 On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
by Ewa Marciniak & Zbigniew Palmowski
- 1605.04385 Knight--Walras Equilibria
by Patrick Beissner & Frank Riedel
- 1605.04219 Empowering cash managers to achieve cost savings by improving predictive accuracy
by Francisco Salas-Molina & Francisco J. Martin & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Josep Ll. Arcos
- 1605.03683 Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
by Takashi Kato
- 1605.03653 High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
by Erhan Bayraktar & Alexander Munk
- 1605.03559 Survey on log-normally distributed market-technical trend data
by Ren'e Kempen & Stanislaus Maier-Paape
- 1605.03551 Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate
by Martin Gremm
- 1605.03133 Economic Development and Inequality: a complex system analysis
by Angelica Sbardella & Emanuele Pugliese & Luciano Pietronero
- 1605.03097 Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
by Siyan Zhang & Anna L. Mazzucato & Victor Nistor
- 1605.02654 Stochastic Portfolio Theory: A Machine Learning Perspective
by Yves-Laurent Kom Samo & Alexander Vervuurt
- 1605.02539 Robust framework for quantifying the value of information in pricing and hedging
by Anna Aksamit & Zhaoxu Hou & Jan Obl'oj
- 1605.02472 Generalized semi-Markovian dividend discount model: risk and return
by Guglielmo D'Amico
- 1605.02418 Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
by Sujay Mukhoti & Pritam Ranjan
- 1605.02283 Coherence and incoherence collective behavior in financial market
by Shangmei Zhao & Qiuchao Xie & Qing Lu & Xin Jiang & Wei Chen
- 1605.02188 Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula
by Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi
- 1605.01998 Unbiased Monte Carlo Simulation of Diffusion Processes
by Louis Paulot
- 1605.01976 The Accounting Network: how financial institutions react to systemic crisis
by Andrea Flori & Giuseppe Pappalardo & Michelangelo Puliga & Alessandro Chessa & Fabio Pammolli
- 1605.01949 The wage transition in developed countries and its implications for China
by Belal Baaquie & Bertrand M. Roehner & Qinghai Wang
- 1605.01920 Is it "natural" to expect Economics to become a part of the Natural Sciences?
by Arnab Chatterjee
- 1605.01862 Optimal market making
by Olivier Gu'eant
- 1605.01354 Modeling and Simulation of the Economics of Mining in the Bitcoin Market
by Luisanna Cocco & Michele Marchesi
- 1605.01343 Electoral Systems Used around the World
by Siamak F. Shahandashti
- 1605.01327 No-arbitrage and hedging with liquid American options
by Erhan Bayraktar & Zhou Zhou
- 1605.01071 Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
by A. Paliathanasis & R. M. Morris & P. G. L. Leach
- 1605.01052 Regrets, learning and wisdom
by Damien Challet
- 1605.01028 On Optimal Retirement (How to Retire Early)
by Philip Ernst & Dean Foster & Larry Shepp
- 1605.00868 The Local Fractional Bootstrap
by Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen
- 1605.00762 Revisiting a Theorem of L.A. Shepp on Optimal Stopping
by Philip Ernst & Larry Shepp
- 1605.00634 Why have asset price properties changed so little in 200 years
by Jean-Philippe Bouchaud & Damien Challet
- 1605.00499 Monte Carlo Confidence Sets for Identified Sets
by Xiaohong Chen & Timothy Christensen & Elie Tamer
- 1605.00339 A unified pricing of variable annuity guarantees under the optimal stochastic control framework
by Pavel V. Shevchenko & Xiaolin Luo
- 1605.00307 Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
by Jan Kuklinski & Kevin Tyloo
- 1605.00230 Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
by Leopoldo Catania & Nima Nonejad
- 1605.00173 Robustness of mathematical models and technical analysis strategies
by Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel
- 1605.00080 Depreciation and the Time Value of Money
by Brendon Farrell
- 1605.00039 Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
by Ren'e Aid & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu
- 1604.08895 The puzzle that just isn't
by Christian Mueller-Kademann
- 1604.08824 A new structural stochastic volatility model of asset pricing and its stylized facts
by Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings
- 1604.08743 Factor Models for Cancer Signatures
by Zura Kakushadze & Willie Yu
- 1604.08735 Pricing Bermudan options under local L\'evy models with default
by Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci
- 1604.08677 An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration
by Du Nguyen
- 1604.08224 Utility maximization problem with random endowment and transaction costs: when wealth may become negative
by Yiqing Lin & Junjian Yang
- 1604.08070 Convex Hedging in Incomplete Markets
by Birgit Rudloff
- 1604.08037 On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
by Martijn Pistorius & Mitja Stadje
- 1604.07969 On the Surprising Explanatory Power of Higher Realized Moments in Practice
by Keren Shen & Jianfeng Yao & Wai Keung Li
- 1604.07782 Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil
by Leno S. Rocha & Frederico S. A. Rocha & Th'arsis T. P. Souza
- 1604.07690 Arbitrage without borrowing or short selling?
by Jani Lukkarinen & Mikko S. Pakkanen
- 1604.07556 Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth
- 1604.07125 Approximate Residual Balancing: De-Biased Inference of Average Treatment Effects in High Dimensions
by Susan Athey & Guido W. Imbens & Stefan Wager
- 1604.07042 Entropy and credit risk in highly correlated markets
by Sylvia Gottschalk
- 1604.06917 Concurrent Credit Portfolio Losses
by Joachim Sicking & Thomas Guhr & Rudi Schafer
- 1604.06892 On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums
by Ewa Marciniak & Zbigniew Palmowski
- 1604.06629 Entangling credit and funding shocks in interbank markets
by Giulio Cimini & Matteo Serri
- 1604.06609 Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
by Huy^en Pham
- 1604.06342 Optimal trading with online parameters revisions
by N Baradel & B Bouchard & Ngoc Minh Dang
- 1604.06284 The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth
by Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev
- 1604.05896 Random selection of factors preserves the correlation structure in a linear factor model to a high degree
by Antti J. Tanskanen & Jani Lukkarinen & Kari Vatanen
- 1604.05771 Multidimensional matching
by Pierre-Andr'e Chiappori & Robert McCann & Brendan Pass
- 1604.05598 Regime switching vine copula models for global equity and volatility indices
by Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober
- 1604.05584 Optimal investment and consumption with downside risk constraint in jump-diffusion models
by Thai Nguyen
- 1604.05517 Robust pricing--hedging duality for American options in discrete time financial markets
by Anna Aksamit & Shuoqing Deng & Jan Obl'oj & Xiaolu Tan
- 1604.05406 Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework
by Wujiang Lou
- 1604.05404 Repo Haircuts and Economic Capital: A Theory of Repo Pricing
by Wujiang Lou
- 1604.05178 High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
by Yuri M. Dimitrov & Lubin G. Vulkov
- 1604.04963 Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
by Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward
- 1604.04872 Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
by Ravi Kashyap
- 1604.04608 Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
by Erhan Bayraktar & Zhou Zhou
- 1604.04312 Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory
by Eamon Duede & Victor Zhorin
- 1604.04223 On the survival of poor peasants
by Andrea C. Levi & Ubaldo Garibaldi
- 1604.03996 Evidence of Self-Organization in Time Series of Capital Markets
by Leopoldo S'anchez-Cant'u & Carlos Arturo Soto-Campos & Andriy Kryvko
- 1604.03906 Stochastic Perron for Stochastic Target Problems
by Erhan Bayraktar & Jiaqi Li
- 1604.03776 Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic
by Daniel Kosiorowski & Jerzy P. Rydlewski & Ma{l}gorzata Snarska
- 1604.03522 The Topology of African Exports: emerging patterns on spanning trees
by Tanya Ara'ujo & M. Ennes Ferreira
- 1604.03337 The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
by Dominique Pepin
- 1604.03317 Pricing American options using martingale bases
by J'er^ome Lelong
- 1604.03042 Distribution-Constrained Optimal Stopping
by Erhan Bayraktar & Christopher W. Miller
- 1604.02759 Reconstruction of Order Flows using Aggregated Data
by Ioane Muni Toke
- 1604.02642 Program Evaluation with Right-Censored Data
by Pedro H. C. Sant'Anna
- 1604.02370 The Affine Wealth Model: An agent-based model of asset exchange that allows for negative-wealth agents and its empirical validation
by Jie Li & Bruce M. Boghosian & Chengli Li
- 1604.02274 More on hedging American options under model uncertainty
by David Hobson & Anthony Neuberger
- 1604.02269 On the value of being American
by David Hobson & Anthony Neuberger
- 1604.02237 Kriging of financial term-structures
by Areski Cousin & Hassan Maatouk & Didier Rulli`ere
- 1604.01824 The statistical significance of multivariate Hawkes processes fitted to limit order book data
by Roger Martins & Dieter Hendricks
- 1604.01819 Aggregating time preferences with decreasing impatience
by Nina Anchugina & Matthew Ryan & Arkadii Slinko
- 1604.01557 Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses
by Mario Guti'errez-Roig & Carlota Segura & Jordi Duch & Josep Perell'o
- 1604.01447 Relativistic Quantum Finance
by Juan M. Romero & Ilse B. Zubieta-Mart'inez
- 1604.01338 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
- 1604.01322 Controllability Analyses on Firm Networks Based on Comprehensive Data
by Hiroyasu Inoue
- 1604.01281 Option Pricing in the Moderate Deviations Regime
by Peter Friz & Stefan Gerhold & Arpad Pinter
- 1604.01224 Commodity Dynamics: A Sparse Multi-class Approach
by Luca Barbaglia & Ines Wilms & Christophe Croux
- 1604.00976 From Big Data To Important Information
by Yaneer Bar-Yam
- 1604.00596 Getting rich quick with the Axiom of Choice
by Vladimir Vovk
- 1604.00525 On regularity of primal and dual dynamic value functions related to investment problem
by Michael Mania & Revaz Tevzadze
- 1604.00369 The Mittag-Leffler Fitting of the Phillips Curve
by Tomas Skovranek
- 1604.00254 Systemic Risks in CCP Networks
by Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani
- 1604.00148 Market Integration in the Prewar Japanese Rice Markets
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1604.00105 Option pricing under fast-varying long-memory stochastic volatility
by Josselin Garnier & Knut Solna
- 1603.09666 Low-traffic limit and first-passage times for a simple model of the continuous double auction
by Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c
- 1603.09519 Deterministic Income with Deterministic and Stochastic Interest Rates
by Julia Eisenberg
- 1603.09491 On the properties of the Lambda value at risk: robustness, elicitability and consistency
by Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo
- 1603.09406 Risk contagion under regular variation and asymptotic tail independence
by Bikramjit Das & Vicky Fasen
- 1603.09329 Pricing occupation-time options in a mixed-exponential jump-diffusion model
by Djilali Ait Aoudia & Jean-Franc{c}ois Renaud
- 1603.09326 Estimating Treatment Effects using Multiple Surrogates: The Role of the Surrogate Score and the Surrogate Index
by Susan Athey & Raj Chetty & Guido Imbens & Hyunseung Kang
- 1603.09324 Parisian ruin for a refracted L\'evy process
by Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud
- 1603.09149 Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
by Milan Kumar Das & Anindya Goswami & Nimit Rana
- 1603.09060 The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance
by Ravi Kashyap
- 1603.09049 Numerical approximation of a cash-constrained firm value with investment opportunities
by Erwan Pierre & St'ephane Villeneuve & Xavier Warin
- 1603.09030 A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
by Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera
- 1603.08961 Betting and Belief: Prediction Markets and Attribution of Climate Change
by John J. Nay & Martin Van der Linden & Jonathan M. Gilligan
- 1603.08828 Financial equilibrium with asymmetric information and random horizon
by Umut c{C}etin
- 1603.08383 Modelling income, wealth, and expenditure data by use of Econophysics
by Elvis Oltean
- 1603.08344 The unresolved mystery of the great divergence is solved
by Ron W Nielsen
- 1603.08311 Interest Rates and Inflation
by Michael Coopersmith & Pascal J. Gambardella
- 1603.08289 Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
by Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang
- 1603.08245 Trading Strategies Generated by Lyapunov Functions
by Ioannis Karatzas & Johannes Ruf
- 1603.08216 A Flexible Galerkin Scheme for Option Pricing in L\'evy Models
by Maximilian Ga{ss} & Kathrin Glau
- 1603.08169 Robust Optimization of Credit Portfolios
by Agostino Capponi & Lijun Bo
- 1603.08142 Conjoint axiomatization of the Choquet integral for heterogeneous product sets
by Mikhail Timonin
- 1603.08114 GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model
by Tetsuya Takaishi
- 1603.07822 On clustering financial time series: a need for distances between dependent random variables
by Gautier Marti & Frank Nielsen & Philippe Donnat & S'ebastien Andler
- 1603.07682 Descending Price Optimally Coordinates Search
by Robert Kleinberg & Bo Waggoner & E. Glen Weyl
- 1603.07615 A Note on the Optimal Dividends Paid in a Foreign Currency
by Julia Eisenberg & Paul Kruhner
- 1603.07532 A Short Note on P-Value Hacking
by Nassim Nicholas Taleb
- 1603.07488 Conic Martingales from Stochastic Integrals
by Fr'ed'eric Vrins & Monique Jeanblanc
- 1603.07225 Numerical stability of a hybrid method for pricing options
by Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette
- 1603.07074 On random convex analysis
by Tiexin Guo & Erxin Zhang & Mingzhi Wu & Bixuan Yang & George Yuan & Xiaolin Zeng
- 1603.07041 Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
by Jianqing Fan & Yuan Ke & Yuan Liao
- 1603.07020 Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
by Tomas Krehlik & Jozef Barunik
- 1603.07019 Optimal dividend payments for a two-dimensional insurance risk process
by Pablo Azcue & Nora Muler & Zbigniew Palmowski
- 1603.06888 The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents
by F. Knobloch & J. -F. Mercure
- 1603.06825 First Order BSPDEs in higher dimension for optimal control problems
by Nikolai Dokuchaev
- 1603.06805 Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
by Dieter Hendricks
- 1603.06558 Universal trading under proportional transaction costs
by Richard J Martin
- 1603.06498 Optimal Liquidation under Stochastic Liquidity
by Dirk Becherer & Todor Bilarev & Peter Frentrup
- 1603.06407 The mathematics of non-linear metrics for nested networks
by Rui-Jie Wu & Gui-Yuan Shi & Yi-Cheng Zhang & Manuel Sebastian Mariani
- 1603.06389 No-arbitrage bounds for the forward smile given marginals
by Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome
- 1603.06312 A rank based mean field game in the strong formulation
by Erhan Bayraktar & Yuchong Zhang
- 1603.06202 Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes
by Sid Ghoshal & Stephen Roberts
- 1603.06196 Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications
by Sgouris Sgouridis & Abdulla Kaya & Denes Csala
- 1603.06183 Risk-Constrained Kelly Gambling
by Enzo Busseti & Ernest K. Ryu & Stephen Boyd
- 1603.06050 Tukey's transformational ladder for portfolio management
by Philip Ernst & James Thompson & Yinsen Miao
- 1603.06047 The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle..
by Ravi Kashyap
- 1603.06034 Solving Society's Big Ills, A Small Step
by Ravi Kashyap
- 1603.05937 How to Combine a Billion Alphas
by Zura Kakushadze & Willie Yu
- 1603.05914 Statistically validated network of portfolio overlaps and systemic risk
by Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet
- 1603.05828 Online Networks, Social Interaction and Segregation: An Evolutionary Approach
by Angelo Antoci & Fabio Sabatini & Francesco Sarracino
- 1603.05700 Local Parametric Estimation in High Frequency Data
by Yoann Potiron & Per Mykland
- 1603.05670 Bank distress in the news: Describing events through deep learning
by Samuel Ronnqvist & Peter Sarlin
- 1603.05513 The geometric phase of stock trading
by Claudio Altafini
- 1603.05373 Sharp convex bounds on the aggregate sums--An alternative proof
by Chuancun Yin & Dan Zhu
- 1603.05313 Market Dynamics vs. Statistics: Limit Order Book Example
by Vladislav Gennadievich Malyshkin & Ray Bakhramov
- 1603.05294 Modeling and Estimation of the Risk When Choosing a Provider
by Ekaterina Sorokina
- 1603.05181 Strength of weak layers in cascading failures on multiplex networks: case of the international trade network
by Kyu-Min Lee & Kwang-Il Goh
- 1603.05142 Can banks default overnight? Modeling endogenous contagion on O/N interbank market
by Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec
- 1603.04364 On the overlaps between eigenvectors of correlated random matrices
by Joel Bun & Jean-Philippe Bouchaud & Marc Potters
- 1603.04099 Contagion and Stability in Financial Networks
by Seyyed Mostafa Mousavi & Robert Mackay & Alistair Tucker
- 1603.04017 Clustering Financial Time Series: How Long is Enough?
by Gautier Marti & S'ebastien Andler & Frank Nielsen & Philippe Donnat
- 1603.03874 Analysis of the nonlinear option pricing model under variable transaction costs
by Daniel Sevcovic & Magdalena Zitnanska
- 1603.03747 Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model
by Alev{s} v{C}ern'y
- 1603.03675 Optimal Data Collection for Randomized Control Trials
by Pedro Carneiro & Sokbae Lee & Daniel Wilhelm
- 1603.03538 Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1603.03458 Financial contagion in investment funds
by Leonardo dos Santos Pinheiro & Flavio Codeco Coelho
- 1603.03198 General dynamic term structures under default risk
by Claudio Fontana & Thorsten Schmidt
- 1603.03012 Capital Valuation Adjustment and Funding Valuation Adjustment
by Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey
- 1603.02902 Interacting Default Intensity with Hidden Markov Process
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu
- 1603.02896 Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$
by Martin Forde & Hongzhong Zhang
- 1603.02874 Libor at crossroads: stochastic switching detection using information theory quantifiers
by Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso
- 1603.02867 Convex duality in optimal investment and contingent claim valuation in illiquid markets
by Teemu Pennanen & Ari-Pekka Perkkio
- 1603.02615 Unbiased estimation of risk
by Marcin Pitera & Thorsten Schmidt
- 1603.02438 A Mathematical Model of Foreign Capital Inflow
by Gopal K. Basak & Pranab Kumar Das & Allena Rohit
- 1603.02354 Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX
by Hannah Cheng & Juan Zhan & William Rea & Alethea Rea
- 1603.01865 Exponentially concave functions and high dimensional stochastic portfolio theory
by Soumik Pal
- 1603.01700 High-Dimensional Metrics in R
by Victor Chernozhukov & Chris Hansen & Martin Spindler
- 1603.01685 Mathematical analysis of historical income per capita distributions
by Ron W Nielsen
- 1603.01586 Average cross-responses in correlated financial market
by Shanshan Wang & Rudi Schafer & Thomas Guhr
- 1603.01580 Cross-response in correlated financial markets: individual stocks
by Shanshan Wang & Rudi Schafer & Thomas Guhr
- 1603.01570 Coordination Event Detection and Initiator Identification in Time Series Data
by Chainarong Amornbunchornvej & Ivan Brugere & Ariana Strandburg-Peshkin & Damien Farine & Margaret C. Crofoot & Tanya Y. Berger-Wolf
- 1603.01416 Big is Fragile: An Attempt at Theorizing Scale
by Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn
- 1603.01397 Latent class analyisis for reliable measure of inflation expectation in the indian public
by Sunil Kumar
- 1603.01341 Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs
by Ravi Kashyap
- 1603.01308 Dynamic Adaptive Mixture Models
by Leopoldo Catania
- 1603.01288 Option spanning beyond $L_p$-models
by Niushan Gao & Foivos Xanthos
- 1603.01231 Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes
by Claudiu Albulescu & Christian Aubin & Daniel Goyeau
- 1603.01103 Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
by Marcel Ausloos & Rosella Castellano & Roy Cerqueti
- 1603.01041 Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments
by Gareth W. Peters & Wilson Y. Chen & Richard H. Gerlach
- 1603.00991 Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
by Ravi Kashyap
- 1603.00987 Securities Lending Strategies: Exclusive Valuations and Auction Bids
by Ravi Kashyap
- 1603.00984 David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
by Ravi Kashyap
- 1603.00850 Tipping elements and climate-economic shocks: Pathways toward integrated assessment
by Robert E. Kopp & Rachael Shwom & Gernot Wagner & Jiacan Yuan
- 1603.00751 Equity forecast: Predicting long term stock price movement using machine learning
by Nikola Milosevic
- 1603.00736 Puzzling properties of the historical growth rate of income per capita explained
by Ron W Nielsen
- 1603.00568 The Value of A Statistical Life in Absence of Panel Data: What can we do?
by Andr'es Riquelme & Marcela Parada
- 1603.00527 Affine multiple yield curve models
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto
- 1603.00235 Oracle Estimation of a Change Point in High Dimensional Quantile Regression
by Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin
- 1602.09078 Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
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