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Content
2015
2014
- 1412.8725 Towards a formalization of a two traders market with information exchange
by F. Bagarello & E. Haven
- 1412.8624 Optimal Digital Product Maintenance with a Continuous Revenue Stream
by James Fan & Christopher Griffin
- 1412.8434 Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
by Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry
- 1412.8414 Accounting for Earnings Announcements in the Pricing of Equity Options
by Tim Leung & Marco Santoli
- 1412.8017 Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
by Semei Coronado-Ram'irez & Pedro Celso-Arellano & Omar Rojas
- 1412.7943 Derivatives pricing in energy markets: an infinite dimensional approach
by Fred Espen Benth & Paul Kruhner
- 1412.7649 Optimal switching for pairs trading rule: a viscosity solutions approach
by Minh Man Ngo & Huyen Pham
- 1412.7647 Tail Risk Constraints and Maximum Entropy
by Donald Geman & H'elyette Geman & Nassim Nicholas Taleb
- 1412.7562 A new perspective on the fundamental theorem of asset pricing for large financial markets
by Christa Cuchiero & Irene Klein & Josef Teichmann
- 1412.7500 Inflation and speculation in a dynamic macroeconomic model
by Matheus Grasselli & Adrien Nguyen Huu
- 1412.7412 Smile with the Gaussian term structure model
by Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda
- 1412.7269 Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
by Mitsuaki Murota & Jun-ichi Inoue
- 1412.7227 An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange
by Bruce M. Boghosian & Merek Johnson & Jeremy Marcq
- 1412.7172 Rational Groupthink
by Matan Harel & Elchanan Mossel & Philipp Strack & Omer Tamuz
- 1412.7096 Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
by Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy
- 1412.7058 Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets
by Andrei Lebedev & Petr Zabreiko
- 1412.6924 Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions
by Klaus Jaffe
- 1412.6745 Risk measuring under liquidity risk
by Erindi Allaj
- 1412.6459 Dynamic Conic Finance via Backward Stochastic Difference Equations
by Tomasz R. Bielecki & Igor Cialenco & Tao Chen
- 1412.6244 Nonlinear GARCH model and 1/f noise
by Aleksejus Kononovicius & Julius Ruseckas
- 1412.6064 Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
by Jamal Amani Rad & Kourosh Parand
- 1412.6063 Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
by Jamal Amani Rad & Kourosh Parand & Saeid Abbasbandy
- 1412.5647 Nonlinear Factor Models for Network and Panel Data
by Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner
- 1412.5558 Backtest of Trading Systems on Candle Charts
by Stanislaus Maier-Paape & Andreas Platen
- 1412.5520 Indifference prices and implied volatilities
by Matthew Lorig
- 1412.5452 Aggregation operators for the measurement of systemic risk
by Jozsef Mezei & Peter Sarlin
- 1412.5397 Comprehensive Time-Series Regression Models Using GRETL -- U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
by Juehui Shi
- 1412.5351 A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
by Galina Andreeva & Raffaella Calabrese & Silvia Angela Osmetti
- 1412.5332 Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
by Chris Kenyon & Andrew Green
- 1412.5072 Convenient liquidity measure for Financial markets
by Oleh Danyliv & Bruce Bland & Daniel Nicholass
- 1412.4839 Optimal execution with nonlinear transient market impact
by Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo
- 1412.4698 Conditional Analysis and a Principal-Agent problem
by Julio Backhoff & Ulrich Horst
- 1412.4695 On Pareto theory of circulation of elites
by Ricardo P'erez-Marco
- 1412.4503 A Million Metaorder Analysis of Market Impact on the Bitcoin
by Jonathan Donier & Julius Bonart
- 1412.4428 Nonparametric Stochastic Discount Factor Decomposition
by Timothy Christensen
- 1412.4342 Russian-Doll Risk Models
by Zura Kakushadze
- 1412.4208 Equilibrium in risk-sharing games
by Michail Anthropelos & Constantinos Kardaras
- 1412.4045 Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
by Denis Belomestny & Tigran Nagapetyan
- 1412.3948 Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
by Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani
- 1412.3623 Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
by Q. Feng & C. W. Oosterlee
- 1412.3530 Optimal martingale transport between radially symmetric marginals in general dimensions
by Tongseok Lim
- 1412.3230 Max-factor individual risk models with application to credit portfolios
by Michel Denuit & Anna Kiriliouk & Johan Segers
- 1412.3140 Multilevel approximation of backward stochastic differential equations
by Dirk Becherer & Plamen Turkedjiev
- 1412.3126 Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
by Omar Rojas & Carlos Trejo-Pech
- 1412.2746 Taxation as an instrument of stimulation of innovation-active business entities
by Andrey Nechaev
- 1412.2453 A BSDE approach to fair bilateral pricing under endogenous collateralization
by Tianyang Nie & Marek Rutkowski
- 1412.2399 Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
by Werner Ebeling & Andrea Scharnhorst
- 1412.2262 Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
by Erhan Bayraktar & David Promislow & Virginia Young
- 1412.2152 Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
by Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo
- 1412.2124 Competition of Commodities for the Status of Money in an Agent-based Model
by Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka
- 1412.2053 Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
by Erhan Bayraktar & Song Yao
- 1412.1991 Reserve-Dependent Surrender
by Kamille Sofie T{aa}gholt Gad & Jeppe Juhl & Mogens Steffensen
- 1412.1679 Stess-testing the system: Financial shock contagion in the realm of uncertainty
by Stefano Gurciullo
- 1412.1618 Spanning trees of the World Trade Web: real-world data and the gravity model of trade
by Patryk Skowron & Mariusz Karpiarz & Agata Fronczak & Piotr Fronczak
- 1412.1469 A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
by Giovanni Mottola
- 1412.1429 Model-Independent Pricing of Asian Options via Optimal Martingale Transport
by Florian Stebegg
- 1412.1325 Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
by Giovanni Mottola
- 1412.1298 Gas Storage valuation with regime switching
by Nicole Bauerle & Viola Riess
- 1412.1293 Skewness and kurtosis analysis for non-Gaussian distributions
by Ahmet Celikoglu & Ugur Tirnakli
- 1412.1183 Regulatory Capital Modelling for Credit Risk
by Marek Rutkowski & Silvio Tarca
- 1412.0950 Firm size distribution in Italy and employment protection
by Luca Amendola
- 1412.0542 Budget Imbalance Criteria for Auctions: A Formalized Theorem
by Marco B. Caminati & Manfred Kerber & Colin Rowat
- 1412.0217 Market impacts and the life cycle of investors orders
by Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle
- 1412.0148 The impact of startup costs and the grid operator on the power price equilibrium
by Miha Troha & Raphael Hauser
- 1412.0141 A fully consistent, minimal model for non-linear market impact
by Jonathan Donier & Julius Bonart & Iacopo Mastromatteo & Jean-Philippe Bouchaud
- 1412.0127 A biased view of a few possible components when reflecting on the present decade financial and economic crisis
by Marcel Ausloos
- 1412.0064 Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
by Silvio Tarca & Marek Rutkowski
- 1412.0042 Misspecified Recovery
by Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman
- 1411.7991 Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
by Alain Belanger & Ndoune Ndoune
- 1411.7880 Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
by Roy Cerqueti & Marcel Ausloos
- 1411.7805 Improving predictability of time series using maximum entropy methods
by Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard & Anton Golub
- 1411.7670 Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line
by Erwan Pierre & St'ephane Villeneuve & Xavier Warin
- 1411.7653 Asymptotic behaviour of the fractional Heston model
by Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi
- 1411.7613 Systemic risk analysis in reconstructed economic and financial networks
by Giulio Cimini & Tiziano Squartini & Diego Garlaschelli & Andrea Gabrielli
- 1411.7593 Indirect Influences in International Trade
by Rafael Diaz & Laura Gomez
- 1411.7502 Hydrodynamic limit of order book dynamics
by Xuefeng Gao & S. J. Deng
- 1411.7494 An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
by Ronald Hochreiter
- 1411.7231 Risk-Sensitive Mean-Field Type Control under Partial Observation
by Boualem Djehiche & Hamidou Tembine
- 1411.6938 On Trading American Put Options with Interactive Volatility
by Sigurd Assing & Yufan Zhao
- 1411.6657 Risk minimization and portfolio diversification
by Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu
- 1411.6507 Inference in High Dimensional Panel Models with an Application to Gun Control
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur
- 1411.6256 Randomized versions of Mazur lemma and Krein-Smulian theorem
by Jose Miguel Zapata
- 1411.6250 Identification and Estimation of Multidimensional Screening
by Gaurab Aryal & Federico Zincenko
- 1411.6080 Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
by Tim Leung & Xin Li & Zheng Wang
- 1411.5625 Two maxentropic approaches to determine the probability density of compound risk losses
by Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral
- 1411.5453 Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
by Xiaolin Luo & Pavel V. Shevchenko
- 1411.5159 Large deviations of the realized (co-)volatility vector
by Hac`ene Djellout & Arnaud Guillin & Yacouba Samoura
- 1411.5062 Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
by Tim Leung & Xin Li
- 1411.4970 Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
by David Walsh-Jones & Daniel Jones & Christoph Reisinger
- 1411.4851 Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
by Frank Gehmlich & Thorsten Schmidt
- 1411.4756 Diversification versus specialization -- lessons from a noise driven linear dynamical system
by Gabriell Mate & Zoltan Neda
- 1411.4633 Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
by Angus O. Unegbu
- 1411.4606 The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
by Jihun Han & Hyungbin Park
- 1411.4441 On the Coherent Risk Measure Representations in the Discrete Probability Spaces
by Kerem Ugurlu
- 1411.4438 Solving finite time horizon Dynkin games by optimal switching
by Randall Martyr
- 1411.4265 Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting
by Wolfgang Reitgruber
- 1411.4193 Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
by Peter Spoida
- 1411.3977 Multi-curve HJM modelling for risk management
by Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti
- 1411.3947 Incorporating Views on Market Dynamics in Options Hedging
by Antoine E. Zambelli
- 1411.3618 A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
by Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger
- 1411.3615 Kelly criterion for variable pay-off
by Ricardo P'erez-Marco
- 1411.3399 Trend and Fractality Assessment of Mexico's Stock Exchange
by Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer
- 1411.3078 Long Term Risk: A Martingale Approach
by Likuan Qin & Vadim Linetsky
- 1411.3075 Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing
by Likuan Qin & Vadim Linetsky
- 1411.2950 Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
by Peter B. Lerner
- 1411.2835 A continuous auction model with insiders and random time of information release
by Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal
- 1411.2701 Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension
by Demian Pouzo
- 1411.2675 Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems
by Jingnan Fan & Andrzej Ruszczynski
- 1411.2628 Exact solution of a generalized version of the Black-Scholes equation
by Liviu-Adrian Cotfas & Camelia Delcea & Nicolae Cotfas
- 1411.2525 Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method
by Boguk Kim & Chulwoo Han & Frank Chongwoo Park
- 1411.2395 Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
by Giorgio Ferrari & Paavo Salminen
- 1411.2215 Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
by Shingo Ichiki & Katsuhiro Nishinari
- 1411.2167 Comeback kids: an evolutionary approach of the long-run innovation process
by Shidong Wang & Renaud Foucart & Cheng Wan
- 1411.2153 Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
by Simone Cirillo & Stefan Lloyd & Peter Nordin
- 1411.2138 It's not the economy, stupid! How social capital and GDP relate to happiness over time
by Stefano Bartolini & Francesco Sarracino
- 1411.1929 A General Equilibrium Theorem for the Economy of Giving
by W. P. Weijland
- 1411.1924 On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
by Daniel Wilson-Nunn & Hector Zenil
- 1411.1689 Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
by Mateusz Denys & Tomasz Gubiec & Ryszard Kutner
- 1411.1624 General smile asymptotics with bounded maturity
by Francesco Caravenna & Jacopo Corbetta
- 1411.1609 On Stochastic Orders and its applications : Policy limits and Deductibles
by Halim Zeghdoudi & Meriem Bouhadjar & Mohamed Riad Remita
- 1411.1560 Income Distribution in the European Union Versus in the United States
by Maciej Jagielski & Rafa{l} Duczmal & Ryszard Kutner
- 1411.1368 Cooperation under Incomplete Information on the Discount Factors
by Cy Maor & Eilon Solan
- 1411.1356 Impact of credit default swaps on financial contagion
by Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima
- 1411.1348 Modelling cross-border systemic risk in the European banking sector: a copula approach
by Raffaella Calabrese & Silvia Osmetti
- 1411.1229 Super-replication with nonlinear transaction costs and volatility uncertainty
by Peter Bank & Yan Dolinsky & Selim Gokay
- 1411.1152 Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models
by Ignacio Esponda & Demian Pouzo
- 1411.1144 Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
by Xiaohong Chen & Demian Pouzo
- 1411.1103 Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
by Mauricio Junca & Rafael Serrano
- 1411.0849 Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
by Nicole Bauerle & Igor Gilitschenski & Uwe D. Hanebeck
- 1411.0570 Incorporating Views on Marginal Distributions in the Calibration of Risk Models
by Santanu Dey & Sandeep Juneja & Karthyek R. A. Murthy
- 1411.0496 Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
by Ladislav Kristoufek
- 1411.0426 Risk measures with the CxLS property
by Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel
- 1410.8671 Risk in a large claims insurance market with bipartite graph structure
by Oliver Kley & Claudia Kluppelberg & Gesine Reinert
- 1410.8609 Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
by Xiaolin Luo & Pavel Shevchenko
- 1410.8595 A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
by Polynice Oyono Ngou & Cody Hyndman
- 1410.8504 The Model Confidence Set package for R
by Mauro Bernardi & Leopoldo Catania
- 1410.8432 Cycling in stochastic general equilibrium
by Zhijian Wang & Bin Xu
- 1410.8427 When does the stock market listen to economic news? New evidence from copulas and news wires
by Ivan Medovikov
- 1410.8409 Optimal Allocation of Trend Following Strategies
by Denis S. Grebenkov & Jeremy Serror
- 1410.8224 Efficient price dynamics in a limit order market: an utility indifference approach
by Masaaki Fukasawa
- 1410.8160 Pricing and Hedging Long-Term Options
by Hyungbin Park
- 1410.8042 Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
by Vladimir Dombrovskii & Tatyana Obedko
- 1410.7961 Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
by Hao-Che Chen
- 1410.7845 A new multivariate dependence measure based on comonotonicity
by Ying Zhang & Chuancun Yin
- 1410.7799 Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
by Luca Onorante & Adrian E. Raftery
- 1410.7453 GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk
by Cody B. Hyndman & Menachem Wenger
- 1410.7317 Continuous time analysis of fleeting discrete price moves
by Neil Shephard & Justin J. Yang
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