Printed from https://ideas.repec.org/s/arx/papers111.html
Content
2018
- 1806.08386 Critical slowing down associated with critical transition and risk of collapse in cryptocurrency
by Chengyi Tu & Paolo DOdorico & Samir Suweis - 1806.08278 The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
by Manfred M. Fischer & Florian Huber & Michael Pfarrhofer - 1806.08161 Explicit Asymptotics on First Passage Times of Diffusion Processes
by Angelos Dassios & Luting Li - 1806.08107 Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
by Erik Schlogl - 1806.08005 Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
by Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid - 1806.07983 Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor
by Will Hicks - 1806.07928 Shift-Share Designs: Theory and Inference
by Rodrigo Ad~ao & Michal Koles'ar & Eduardo Morales - 1806.07830 National debts and government deficits within European Monetary Union: Statistical evidence of economic issues
by Mario Coccia - 1806.07829 The evolving networks of debtor-creditor relationships with addition and deletion of nodes: a case of P2P lending
by Lin Chen & Ping Li & Qiang Li - 1806.07791 The Multivariate Kyle model: More is different
by Luis Carlos Garc'ia del Molino & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud - 1806.07667 Credit Value Adjustment for Counterparties with Illiquid CDS
by Ola Hammarlid & Marta Leniec - 1806.07626 Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
by Takeru Matsuda & Akimichi Takemura - 1806.07623 Measuring the response of gold prices to uncertainty: An analysis beyond the mean
by Jamal Bouoiyour & Refk Selmi & Mark Wohar - 1806.07604 Multifractal characteristics and return predictability in the Chinese stock markets
by Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou - 1806.07556 Is VIX still the investor fear gauge? Evidence for the US and BRIC markets
by Marco Neffelli & Marina Resta - 1806.07499 Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - 1806.07484 Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity
by Andriy Norets & Justinas Pelenis - 1806.07436 Two Different Methods for Modelling the Likely Upper Economic Limit of the Future United Kingdom Wind Fleet
by Anthony D Stephens & David R Walwyn - 1806.07343 Quantum Nash equilibrium in the thermodynamic limit
by Shubhayan Sarkar & Colin Benjamin - 1806.07314 Cluster-Robust Standard Errors for Linear Regression Models with Many Controls
by Riccardo D'Adamo - 1806.07253 On the relation between Sion's minimax theorem and existence of Nash equilibrium in asymmetric multi-players zero-sum game with only one alien
by Atsuhiro Satoh & Yasuhito Tanaka - 1806.07203 Minimax theorem and Nash equilibrium of symmetric multi-players zero-sum game with two strategic variables
by Masahiko Hattori & Atsuhiro Satoh & Yasuhito Tanaka - 1806.07175 Portfolio Choice with Market-Credit Risk Dependencies
by Lijun Bo & Agostino Capponi - 1806.06947 Forecasting the value of battery electric vehicles compared to internal combustion engine vehicles: the influence of driving range and battery technology
by JongRoul Woo & Christopher L. Magee - 1806.06941 Reconstruction methods for networks: the case of economic and financial systems
by Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli - 1806.06883 Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
by Aur'elien Alfonsi & David Krief & Peter Tankov - 1806.06657 The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations
by John G. Thistle - 1806.06632 Exploring the Interconnectedness of Cryptocurrencies using Correlation Networks
by Andrew Burnie - 1806.06358 Effect of Climate and Geography on worldwide fine resolution economic activity
by Alberto Troccoli - 1806.06148 Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
by Jozef Barun'ik & Matv{e}j Nevrla - 1806.06105 Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\'evy Models
by Moustapha Pemy - 1806.06061 Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
by Bilgi Yilmaz - 1806.05939 Generalized Log-Normal Chain-Ladder
by D. Kuang & B. Nielsen - 1806.05876 Financial Risk and Returns Prediction with Modular Networked Learning
by Carlos Pedro Gonc{c}alves - 1806.05849 Optimal Market Making in the Presence of Latency
by Xuefeng Gao & Yunhan Wang - 1806.05579 A new approach for American option pricing: The Dynamic Chebyshev method
by Kathrin Glau & Mirco Mahlstedt & Christian Potz - 1806.05561 A Generalized Framework for Simultaneous Long-Short Feedback Trading
by Joseph D. O'Brien & Mark E. Burke & Kevin Burke - 1806.05557 Martingales and Super-martingales Relative to a Convex Set of Equivalent Measures
by Nicholas S. Gonchar - 1806.05542 Status maximization as a source of fairness in a networked dictator game
by Jan E. Snellman & Gerardo I~niguez & J'anos Kert'esz & R. A. Barrio & Kimmo K. Kaski - 1806.05401 The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards
by Masahiro Fujimoto - 1806.05387 Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
by Karol Gellert & Erik Schlogl - 1806.05293 Generalized framework for applying the Kelly criterion to stock markets
by Tim Byrnes & Tristan Barnett - 1806.05262 How much income inequality is fair? Nash bargaining solution and its connection to entropy
by Venkat Venkatasubramanian & Yu Luo - 1806.05211 A Profit Optimization Approach Based on the Use of Pumped-Hydro Energy Storage Unit and Dynamic Pricing
by Ak{i}n Tac{s}cikaraou{g}lu & Ozan Erdinc{c} - 1806.05160 Weak Correlations of Stocks Future Returns
by Ludovico Latmiral - 1806.05127 Stratification Trees for Adaptive Randomization in Randomized Controlled Trials
by Max Tabord-Meehan - 1806.05101 Order-book modelling and market making strategies
by Xiaofei Lu & Fr'ed'eric Abergel - 1806.05081 LASSO-Driven Inference in Time and Space
by Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang - 1806.05028 Socioeconomic driving forces of scientific research
by Mario Coccia - 1806.04823 Regularized Orthogonal Machine Learning for Nonlinear Semiparametric Models
by Denis Nekipelov & Vira Semenova & Vasilis Syrgkanis - 1806.04517 A hybrid econometric-machine learning approach for relative importance analysis: Prioritizing food policy
by Akash Malhotra - 1806.04472 Trading algorithms with learning in latent alpha models
by Philippe Casgrain & Sebastian Jaimungal - 1806.04460 Foreign Exchange Markets with Last Look
by Alvaro Cartea & Sebastian Jaimungal & Jamie Walton - 1806.04363 State and Network Structures of Stock Markets around the Global Financial Crisis
by Jae Woo Lee & Ashadun Nobi - 1806.04351 Network Subgraphs of the heterogeneous Chinese credit system
by Yingli Wang & Qingpeng Zhang & Xiaoguang Yang - 1806.04347 Asymmetric response to PMI announcements in China's stock returns
by Yingli Wang & Xiaoguang Yang - 1806.04238 Estimating Trade-Related Adjustment Costs in the Agricultural Sector in Iran
by Omid Karami & Mina Mahmoudi - 1806.04235 The Role of Agricultural Sector Productivity in Economic Growth: The Case of Iran's Economic Development Plan
by Morteza Tahamipour & Mina Mahmoudi - 1806.04228 A Growth Model with Unemployment
by Mina Mahmoudi & Mark Pingle - 1806.04206 Inference under Covariate-Adaptive Randomization with Multiple Treatments
by Federico A. Bugni & Ivan A. Canay & Azeem M. Shaikh - 1806.04025 BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
by Yushi Hamaguchi - 1806.03887 Time-inhomogeneous polynomial processes
by Mar'ia Fernanda del Carmen Agoitia Hurtado & Thorsten Schmidt - 1806.03758 On critical dynamics and thermodynamic efficiency of urban transformations
by Emanuele Crosato & Ramil Nigmatullin & Mikhail Prokopenko - 1806.03683 On The Calibration of Short-Term Interest Rates Through a CIR Model
by Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo - 1806.03647 Determining the dimension of factor structures in non-stationary large datasets
by Matteo Barigozzi & Lorenzo Trapani - 1806.03624 Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications
by Weiping Wu & Jianjun Gao & Junguo Lu & Xun Li - 1806.03543 Perturbation analysis of sub/super hedging problems
by Sergey Badikov & Mark H. A. Davis & Antoine Jacquier - 1806.03496 Optimal portfolio selection in an It\^o-Markov additive market
by Zbigniew Palmowski & {L}ukasz Stettner & Anna Sulima - 1806.03467 Orthogonal Random Forest for Causal Inference
by Miruna Oprescu & Vasilis Syrgkanis & Zhiwei Steven Wu - 1806.03294 Applications of Gaussian Process Latent Variable Models in Finance
by Rajbir-Singh Nirwan & Nils Bertschinger - 1806.03285 Pricing Engine: Estimating Causal Impacts in Real World Business Settings
by Matt Goldman & Brian Quistorff - 1806.03254 Driving by the Elderly and their Awareness of their Driving Difficulties (Hebrew)
by Idit Sohlberg - 1806.03153 On the Relation Between Linearity-Generating Processes and Linear-Rational Models
by Damir Filipovic & Martin Larsson & Anders B. Trolle - 1806.02991 Stochastic Deflator for an Economic Scenario Generator with Five Factors
by Po-Keng Cheng & Fr'ed'eric Planchet - 1806.02912 Affine processes under parameter uncertainty
by Tolulope Fadina & Ariel Neufeld & Thorsten Schmidt - 1806.02627 Role of Symmetry in Irrational Choice
by Ivan Kozic - 1806.02083 Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process
by B. A. Surya - 1806.01924 Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices
by Alain B'elanger & Ndoun'e Ndoun'e & Roland Pongou - 1806.01888 High-Dimensional Econometrics and Regularized GMM
by Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Christian Hansen & Kengo Kato - 1806.01781 Comparing Alternatives to Measure the Impact of DDoS Attack Announcements on Target Stock Prices
by Abhishta & Reinoud Joosten & Lambert J. M. Nieuwenhuis - 1806.01743 A Machine Learning Framework for Stock Selection
by XingYu Fu & JinHong Du & YiFeng Guo & MingWen Liu & Tao Dong & XiuWen Duan - 1806.01734 Estimating option prices using multilevel particle filters
by P. P. Osei & A. Jasra - 1806.01731 Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
by Greg Kirczenow & Ali Fathi & Matt Davison - 1806.01728 Financial asset bubbles in banking networks
by Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis - 1806.01696 A Quantitative Analysis of Possible Futures of Autonomous Transport
by Christopher L. Benson & Pranav D Sumanth & Alina P Colling - 1806.01616 Power-law cross-correlations: Issues, solutions and future challenges
by Ladislav Kristoufek - 1806.01495 Dynamic optimal contract under parameter uncertainty with risk averse agent and principal
by Kerem Ugurlu - 1806.01494 Leave-out estimation of variance components
by Patrick Kline & Raffaele Saggio & Mikkel S{o}lvsten - 1806.01457 A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs
by Seojeong Lee - 1806.01450 Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators
by Seojeong Lee - 1806.01332 The Impact of Supervision and Incentive Process in Explaining Wage Profile and Variance
by Nitsa Kasir & Idit Sohlberg - 1806.01229 Limit Theory for Moderate Deviation from Integrated GARCH Processes
by Yubo Tao - 1806.01223 Optimal proportional reinsurance and investment for stochastic factor models
by Matteo Brachetta & Claudia Ceci - 1806.01221 Quasi-Experimental Shift-Share Research Designs
by Kirill Borusyak & Peter Hull & Xavier Jaravel - 1806.01172 Stability results for martingale representations: the general case
by Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras - 1806.01166 Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space
by Fei Sun & Jingchao Li & Jieming Zhou - 1806.01072 A rational decentralized generalized Nash equilibrium seeking for energy markets
by Lorenzo Nespoli & Matteo Salani & Vasco Medici - 1806.01070 Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility
by Jos'e Igor Morlanes - 1806.00997 A Feynman-Kac type formula for a fixed delay CIR model
by Federico Flore & Giovanna Nappo - 1806.00953 Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators
by Seojeong Lee - 1806.00898 Competitive pricing despite search costs if lower price signals quality
by Sander Heinsalu - 1806.00817 Convergence to the Mean Field Game Limit: A Case Study
by Marcel Nutz & Jaime San Martin & Xiaowei Tan - 1806.00799 Identification of Conduit Countries and Community Structures in the Withholding Tax Networks
by Tembo Nakamoto & Yuichi Ikeda - 1806.00666 Ill-posed Estimation in High-Dimensional Models with Instrumental Variables
by Christoph Breunig & Enno Mammen & Anna Simoni - 1806.00605 Trade Network Reconstruction and Simulation with Changes in Trade Policy
by Yuichi Ikeda & Hiroshi Iyetomi - 1806.00529 The Stock Market Has Grown Unstable Since February 2018
by Blake C. Stacey & Yaneer Bar-Yam - 1805.12587 Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
by Callegaro Giorgia & Grasselli Martino & Pag`es Gilles - 1805.12222 Cascading Losses in Reinsurance Networks
by Ariah Klages-Mundt & Andreea Minca - 1805.12217 Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
by Florian Huber & Gregor Kastner & Michael Pfarrhofer - 1805.12113 Implications of EMU for the European Community
by Chris Kirrane - 1805.12112 Lessons from the History of European EMU
by Chris Kirrane - 1805.12111 Dynamic Advisor-Based Ensemble (dynABE): Case study in stock trend prediction of critical metal companies
by Zhengyang Dong - 1805.12110 A Data-Driven Approach for Modeling Stochasticity in Oil Market
by Sina Aghaei - 1805.12109 Critical factors and enablers of food quality and safety compliance risk management in the Vietnamese seafood supply chain
by Thi Huong Tran - 1805.12108 Are Biotechnology Startups Different?
by Herv'e Lebret - 1805.12107 Information Technologies in Public Administration
by V. I. Gorelov - 1805.12106 Report for the Edinburgh Tram Inquiry
by Bent Flyvbjerg & Alexander Budzier - 1805.12105 A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps
by Tingting Ye & Liangliang Zhang - 1805.12102 A Physical Review on Currency
by Ran Huang - 1805.12101 Unravelling Airbnb Predicting Price for New Listing
by Paridhi Choudhary & Aniket Jain & Rahul Baijal - 1805.12083 Elephants, Donkeys, and Colonel Blotto
by Ivan P. Yamshchikov & Sharwin Rezagholi - 1805.12066 The effect of prudence on the optimal allocation in possibilistic and mixed models
by Irina Georgescu - 1805.12035 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
by Tiziano De Angelis - 1805.11981 A New Model for Pricing Collateralized Financial Derivatives
by Tim Xiao - 1805.11954 Long Short-Term Memory Networks for CSI300 Volatility Prediction with Baidu Search Volume
by Yu-Long Zhou & Ren-Jie Han & Qian Xu & Wei-Ke Zhang - 1805.11932 How do public research labs use funding for research? A case study
by Mario Coccia - 1805.11909 Quantitative approach to multifractality induced by correlations and broad distribution of data
by Rafal Rak & Dariusz Grech - 1805.11844 Mortality/longevity Risk-Minimization with or without securitization
by Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele - 1805.11804 A Markov Chain Model for the Cure Rate of Non-Performing Loans
by Vilislav Boutchaktchiev - 1805.11562 Justifying the Adoption and Relevance of Inflation Targeting Framework: A Time-Varying Evidence from Ghana
by Nana Kwame Akosah & Francis W. Loloh & Maurice Omane-Adjepong - 1805.11503 Estimation and Inference for Policy Relevant Treatment Effects
by Yuya Sasaki & Takuya Ura - 1805.11317 Neural networks for stock price prediction
by Yue-Gang Song & Yu-Long Zhou & Ren-Jie Han - 1805.11311 Stationarity and ergodicity of vector STAR models
by Igor L. Kheifets & Pentti J. Saikkonen - 1805.11138 Modeling the residential electricity consumption within a restructured power market
by Chelsea Sun - 1805.11036 A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality
by Torsten Trimborn - 1805.10869 Tilting Approximate Models
by Andreas Tryphonides - 1805.10822 Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
by Michael Pfarrhofer & Philipp Piribauer - 1805.10300 A Double Machine Learning Approach to Estimate the Effects of Musical Practice on Student's Skills
by Michael C. Knaus - 1805.10128 Cryptocurrency Equilibria Through Game Theoretic Optimization
by Carey Caginalp & Gunduz Caginalp - 1805.09996 Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
by Michele Leonardo Bianchi - 1805.09937 Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
by Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron - 1805.09763 A self-organized criticality participative pricing mechanism for selling zero-marginal cost products
by Daniel Fraiman - 1805.09686 Forecasting the sustainable status of the labor market in agriculture
by O. A. Malafeyev & V. E. Onishenko & I. V. Zaytseva - 1805.09427 General multilevel Monte Carlo methods for pricing discretely monitored Asian options
by Nabil Kahale - 1805.09397 Identification in Nonparametric Models for Dynamic Treatment Effects
by Sukjin Han - 1805.09068 Optimal investment for participating insurance contracts under VaR-Regulation
by Thai Nguyen & Mitja Stadje - 1805.09014 Concentration of dynamic risk measures in a Brownian filtration
by Ludovic Tangpi - 1805.08991 Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing
by R. Scott Hacker & Abdulnasser Hatemi-J - 1805.08883 Sensitivity of Regular Estimators
by Yaroslav Mukhin - 1805.08758 Complexity of Stability in Trading Networks
by Tam'as Fleiner & Zsuzsanna Jank'o & Ildik'o Schlotter & Alexander Teytelboym - 1805.08653 Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures
by Richard Gerlach & Chao Wang - 1805.08550 Anticipating cryptocurrency prices using machine learning
by Laura Alessandretti & Abeer ElBahrawy & Luca Maria Aiello & Andrea Baronchelli - 1805.08544 Impact of Contingent Payments on Systemic Risk in Financial Networks
by Tathagata Banerjee & Zachary Feinstein - 1805.08454 Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach
by James Paulin & Anisoara Calinescu & Michael Wooldridge - 1805.08275 Multiple Treatments with Strategic Interaction
by Jorge Balat & Sukjin Han - 1805.07642 On testing substitutability
by Cosmina Croitoru & Kurt Mehlhorn - 1805.07610 Bitcoin price and its marginal cost of production: support for a fundamental value
by Adam Hayes - 1805.07532 Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
by Yu-Jui Huang & Saeed Khalili - 1805.07478 Algorithmic Trading with Fitted Q Iteration and Heston Model
by Son Le - 1805.07403 Asset Price Bubbles: An Option-based Indicator
by Petteri Piiroinen & Lassi Roininen & Tobias Schoden & Martin Simon - 1805.07194 Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
by Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani - 1805.07134 No-arbitrage implies power-law market impact and rough volatility
by Paul Jusselin & Mathieu Rosenbaum - 1805.06929 A new $\kappa$-deformed parametric model for the size distribution of wealth
by Adams Vallejos & Ignacio Ormazabal & Felix A. Borotto & Hernan F. Astudillo - 1805.06855 Learning non-smooth models: instrumental variable quantile regressions and related problems
by Yinchu Zhu - 1805.06829 Multi-layered Network Structure: Relationship Between Financial and Macroeconomic Dynamics
by Kiran Sharma & Anindya S. Chakrabarti & Anirban Chakraborti - 1805.06687 Happy family of stable marriages
by Gershon Wolansky - 1805.06682 Analyzing order flows in limit order books with ratios of Cox-type intensities
by Ioane Muni Toke & Nakahiro Yoshida - 1805.06649 Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
by Florian Ziel & Rafal Weron - 1805.06632 Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions
by William B. Haskell & Wenjie Huang & Huifu Xu - 1805.06498 Utility maximization with proportional transaction costs under model uncertainty
by Shuoqing Deng & Xiaolu Tan & Xiang Yu - 1805.06345 Which portfolio is better? A discussion of several possible comparison criteria
by Henryk Gzyl & Alfredo Rios - 1805.06339 Data-Driven Investment Decision-Making: Applying Moore's Law and S-Curves to Business Strategies
by Christopher L. Benson & Christopher L. Magee - 1805.06226 Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
by Ben-zhang Yang & Jia Yue & Ming-hui Wang & Nan-jing Huang - 1805.06129 Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis
by Yoshiaki Nakada - 1805.06126 Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
by Igor Halperin & Ilya Feldshteyn - 1805.06080 Can Insider Trading Be Committed Without Trading?
by Russell Stanley Q. Geronimo - 1805.05617 Aggregating multiple types of complex data in stock market prediction: A model-independent framework
by Huiwen Wang & Shan Lu & Jichang Zhao - 1805.05606 Nonparametric Bayesian volatility learning under microstructure noise
by Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij - 1805.05584 Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
by Michele Leonardo Bianchi & Gian Luca Tassinari - 1805.05465 Rethinking value creation from the resource based view: the case of human capital in moroccan hotels
by Youssef Ifleh & Mohamed Lotfi & Mounime Elkabbouri - 1805.05327 'Bosons' and 'fermions' in social and economic systems
by Sergey A. Rashkovskiy - 1805.05259 The strong Fatou property of risk measures
by Shengzhong Chen & Niushan Gao & Foivos Xanthos - 1805.05077 Discrete dividend payments in continuous time
by Jussi Keppo & Max Reppen & H. Mete Soner - 1805.05067 The Finite Sample Performance of Treatment Effects Estimators based on the Lasso
by Michael Zimmert - 1805.04898 Net gains in evolutionary dynamics: A unifying and intuitive approach to dynamic stability
by Dai Zusai - 1805.04897 Evolutionary dynamics in heterogeneous populations: a general framework for an arbitrary type distribution
by Dai Zusai - 1805.04895 Distributional stability and deterministic equilibrium selection under heterogeneous evolutionary dynamics
by Dai Zusai - 1805.04750 Multifractal analysis of financial markets
by Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou & Didier Sornette - 1805.04733 A Dynamic Analysis of Nash Equilibria in Search Models with Fiat Money
by Federico Bonetto & Maurizio Iacopetta - 1805.04728 Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market
by Wonse Kim & Sungjae Jun - 1805.04704 The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
by Daniel Guterding & Wolfram Boenkost - 1805.04698 Bitcoin Risk Modeling with Blockchain Graphs
by Cuneyt Akcora & Matthew Dixon & Yulia Gel & Murat Kantarcioglu - 1805.04535 Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
by Levon Avanesyan & Mykhaylo Shkolnikov & Ronnie Sircar - 1805.04460 Network-based indicators of Bitcoin bubbles
by Alexandre Bovet & Carlo Campajola & Jorge F. Lazo & Francesco Mottes & Iacopo Pozzana & Valerio Restocchi & Pietro Saggese & Nicol'o Vallarano & Tiziano Squartini & Claudio J. Tessone - 1805.04325 Network Sensitivity of Systemic Risk
by Amanah Ramadiah & Domenico Di Gangi & D. Ruggiero Lo Sardo & Valentina Macchiati & Tuan Pham Minh & Francesco Pinotti & Mateusz Wilinski & Paolo Barucca & Giulio Cimini - 1805.04225 Efficiency in Micro-Behaviors and FL Bias
by Kurihara Kazutaka & Yohei Tutiya - 1805.04178 Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
by Laura Liu - 1805.04160 News Sentiment as Leading Indicators for Recessions
by Melody Y. Huang & Randall R. Rojas & Patrick D. Convery