Printed from https://ideas.repec.org/s/arx/papers118.html
Content
2015
- 1509.06210 The pricing of contingent claims and optimal positions in asymptotically complete markets
by Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos - 1509.05954 Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility
by Marco Cuturi & Alexandre d'Aspremont - 1509.05952 Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
by Wen-Jie Xie & Zhi-Qiang Jiang & Gao-Feng Gu & Xiong Xiong & Wei-Xing Zhou - 1509.05943 Managing Cellular Billing Plan Switchings
by Valery Vilisov - 1509.05894 A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy
by Franco Ruzzenenti & Francesco Picciolo & Andreas Papandreou - 1509.05638 Stochastic Optimal Growth Model with Risk Sensitive Preferences
by Nicole Bauerle & Anna Ja'skiewicz - 1509.05475 A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series
by Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen - 1509.05471 Measuring multiscaling in financial time-series
by Riccardo Junior Buonocore & Tomaso Aste & Tiziana Di Matteo - 1509.05024 Modeling Concordances of Company's Investment Directions With Its Market Attraction
by Valery Vilisov - 1509.04952 Estimating Tipping Points in Feedback-Driven Financial Networks
by Zvonko Kostanjcar & Stjepan Begusic & H. E. Stanley & Boris Podobnik - 1509.04839 Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities
by Xu Zuo Quan & Zhou Xun Yu & Zhuang Sheng Chao - 1509.04564 Effect of religious rules on time of conception in Romania from 1905 to 2001
by Claudiu Herteliu & Bogdan Vasile Ileanu & Marcel Ausloos & Giulia Rotundo - 1509.04333 An Introduction to Business Mathematics
by Henk van Elst - 1509.04264 Agent based simulations visualize Adam Smith's invisible hand by solving Friedrich Hayek's Economic Calculus
by Klaus Jaffe - 1509.04135 Analytical solution to an investment problem under uncertainties with shocks
by Cl'audia Nunes & Rita Pimentel - 1509.03864 Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions
by Paul M. N. Feehan & Ruoting Gong & Jian Song - 1509.03703 Production Function of the Mining Sector of Iran
by Seyyed Ali Zeytoon Nejad Moosavian - 1509.03577 A Hedged Monte Carlo Approach to Real Option Pricing
by Edgardo Brigatti & Felipe Macias & Max O. Souza & Jorge P. Zubelli - 1509.03264 Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory
by Simone Farinelli & Hideyuki Takada - 1509.02727 Utility Maximisation for Exponential Levy Models with option and information processes
by Lioudmila Vostrikova - 1509.02711 Inequality measures in kinetic exchange models of wealth distributions
by Asim Ghosh & Arnab Chatterjee & Jun-ichi Inoue & Bikas K. Chakrabarti - 1509.02686 Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
by Ludovic Goudenege & Andrea Molent & Antonino Zanette - 1509.02179 Kriging Metamodels and Experimental Design for Bermudan Option Pricing
by Michael Ludkovski - 1509.01966 Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure
by Florian Ziel - 1509.01839 Efficiency and credit ratings: a permutation-information-theory analysis
by Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso - 1509.01741 IMF Lending and Economic Growth: An Empirical Analysis of Ukraine
by Roman Kononenko - 1509.01694 Minimizing Lifetime Poverty with a Penalty for Bankruptcy
by Asaf Cohen & Virginia R. Young - 1509.01672 Optimal investment with intermediate consumption under no unbounded profit with bounded risk
by Huy N. Chau & Andrea Cosso & Claudio Fontana & Oleksii Mostovyi - 1509.01526 The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large
by Bent Flyvbjerg & Cass R. Sunstein - 1509.01484 Interdisciplinary Business Games on Sustainable Development: Theoretical Foundations and Prospects of Implementation
by Boris Bolshakov & Ekaterina Shamaeva & Eugene Popov - 1509.01483 On the emergence of scale-free production networks
by Stanislao Gualdi & Antoine Mandel - 1509.01482 Measuring economic complexity of countries and products: which metric to use?
by Manuel Sebastian Mariani & Alexandre Vidmer & Matus Medo & Yi-Cheng Zhang - 1509.01479 A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
by Andrei Cozma & Christoph Reisinger - 1509.01218 Tax Bond Creation Using a Structural Model and its Extensions
by Suren Harutyunyan - 1509.01217 Wealth distribution across communities of adaptive financial agents
by Pietro DeLellis & Franco Garofalo & Francesco Lo Iudice & Elena Napoletano - 1509.01216 Dynamic Model of the Price Dispersion of Homogeneous Goods
by Joachim Kaldasch - 1509.01215 Assessing Consistency of Consumer Confidence Data using Dynamic Latent Class Analysis
by Sunil Kumar & Zakir Husain & Diganta Mukherjee - 1509.01214 The Poker-Litigation Game
by Enrique Guerra-Pujol - 1509.01213 Impact of Artificial Intelligence on Economic Theory
by Tshilidzi Marwala - 1509.01212 Stochastic Frontier I & D of fractal dimensions for technological innovation
by Maria Ramos-Escamilla - 1509.01175 Correction to Black-Scholes formula due to fractional stochastic volatility
by Josselin Garnier & Knut Solna - 1509.01157 An Insurance-Led Response to Climate Change
by Anthony J. Webster & Richard H. Clarke - 1509.01144 Cointegrating Jumps: an Application to Energy Facilities
by Nicola Cufaro Petroni & Piergiacomo Sabino - 1509.00980 Sequential Design for Ranking Response Surfaces
by Ruimeng Hu & Mike Ludkovski - 1509.00959 The scaling of income inequality in cities
by Somwrita Sarkar & Peter Phibbs & Roderick Simpson & Sachin Wasnik - 1509.00686 Optimal liquidation of an asset under drift uncertainty
by Erik Ekstrom & Juozas Vaicenavicius - 1509.00629 Correlated Poisson processes and self-decomposable laws
by Nicola Cufaro Petroni & Piergiacomo Sabino - 1509.00607 Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
by Domenico Di Gangi & Fabrizio Lillo & Davide Pirino - 1509.00372 Electricity Price Forecasting using Sale and Purchase Curves: The X-Model
by Florian Ziel & Rick Steinert - 1509.00217 A permutation Information Theory tour through different interest rate maturities: the Libor case
by Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso - 1509.00136 The effect of stock market indexing on corporate tax avoidance
by Alex Young - 1508.07914 Liquidity Effects of Trading Frequency
by Roman Gayduk & Sergey Nadtochiy - 1508.07891 A reduced-form model for level-1 limit order books
by Tzu-Wei Yang & Lingjiong Zhu - 1508.07761 Maximizing expected utility in the Arbitrage Pricing Model
by Miklos Rasonyi - 1508.07582 Approximating the Sum of Correlated Lognormals: An Implementation
by Christopher J. Rook & Mitchell Kerman - 1508.07561 A BSDE arising in an exponential utility maximization problem in a pure jump market model
by Carla Mereu & Robert Stelzer - 1508.07534 Forecasting Exchange Rates Using Time Series Analysis: The sample of the currency of Kazakhstan
by Daniya Tlegenova - 1508.07505 Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
by Zhi-Qiang Jiang & Askery A. Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou - 1508.07428 Time-dependent scaling patterns in high frequency financial data
by Noemi Nava & Tiziana Di Matteo & Tomaso Aste - 1508.06797 Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
by A. Paliathanasis & K. Krishnakumar & K. M. Tamizhmani & P. G. L. Leach - 1508.06586 Financial Market Modeling with Quantum Neural Networks
by Carlos Pedro Gonc{c}alves - 1508.06492 Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
by Anis Al Gerbi & Benjamin Jourdain & Emmanuelle Cl'ement - 1508.06376 A white noise approach to insider trading
by Bernt {O}ksendal & Elin R{o}se - 1508.06339 A General Framework for the Benchmark pricing in a Fully Collateralized Market
by Masaaki Fujii & Akihiko Takahashi - 1508.06236 A computational spectral approach to interest rate models
by Luca Di Persio & Michele Bonollo & Gregorio Pellegrini - 1508.06182 Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
by Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado - 1508.06117 Bermudan options by simulation
by L. C. G. Rogers - 1508.06032 Non-zero-sum stopping games in discrete time
by Zhou Zhou - 1508.06024 Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information
by Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu - 1508.05948 On the reversal bias of the Minimax social choice correspondence
by Daniela Bubboloni & Michele Gori - 1508.05837 Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective
by Simone Farinelli & Luisa Tibiletti - 1508.05751 Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making
by Daniel Martin Katz & Michael J Bommarito II & Tyler Soellinger & James Ming Chen - 1508.05460 Long run risk sensitive portfolio with general factors
by Marcin Pitera & {L}ukasz Stettner - 1508.05357 Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis
by Paul Ormerod & Rickard Nyman & David Tuckett - 1508.05355 Autonomics: an autonomous and intelligent economic platform and next generation money tool
by Benjamin Munro & Julia McLachlan - 1508.05353 Is Collusion-Proof Procurement Expensive?
by Gaurab Aryal & Maria F. Gabrielli - 1508.05241 Volatility Harvesting: Extracting Return from Randomness
by Jan Hendrik Witte - 1508.05233 Super-replication in Fully Incomplete Markets
by Yan Dolinsky & Ariel Neufeld - 1508.05114 The nonlinear Bernstein-Schr\"odinger equation in Economics
by Alfred Galichon & Scott Kominers & Simon Weber - 1508.04900 Detecting intraday financial market states using temporal clustering
by Dieter Hendricks & Tim Gebbie & Diane Wilcox - 1508.04883 Heterotic Risk Models
by Zura Kakushadze - 1508.04754 Currency target zone modeling: An interplay between physics and economics
by Sandro Claudio Lera & Didier Sornette - 1508.04748 The (in)visible hand in the Libor market: an Information Theory approach
by Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso - 1508.04512 LIBOR troubles: anomalous movements detection based on Maximum Entropy
by Aurelio F. Bariviera & M. T. Martin & A. Plastino & V. Vampa - 1508.04487 Dynamic Mode Decomposition for Financial Trading Strategies
by Jordan Mann & J. Nathan Kutz - 1508.04392 The Similarity of Global Value Chains: A Network-Based Measure
by Zhen Zhu & Greg Morrison & Michelangelo Puliga & Alessandro Chessa & Massimo Riccaboni - 1508.04351 Implied volatility in strict local martingale models
by Antoine Jacquier & Martin Keller-Ressel - 1508.04348 Designating market maker behaviour in Limit Order Book markets
by Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand - 1508.04332 Forecasting stock market returns over multiple time horizons
by Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov - 1508.04321 FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
by Nicola Moreni & Andrea Pallavicini - 1508.04246 Why is GDP growth linear?
by Jorg D. Becker - 1508.03924 Optimal Taxation with Endogenous Default under Incomplete Markets
by Demian Pouzo & Ignacio Presno - 1508.03853 Transfer pricing manipulation, tax penalty cost and the impact of foreign profit taxation
by Alex Augusto Timm Rathke - 1508.03841 New Analytical Solutions of a Modified Black-Scholes Equation with the European Put Option
by Juan Ospina - 1508.03677 How Market Structure Drives Commodity Prices
by Bin Li & K. Y. Michael Wong & Amos H. M. Chan & Tsz Yan So & Hermanni Heimonen & Junyi Wei & David Saad - 1508.03651 A conjecture about the efficiency of first price mechanisms
by Endre Cs'oka - 1508.03571 From innovation to diversification: a simple competitive model
by Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Luciano Pietronero - 1508.03533 Detecting early signs of the 2007-2008 crisis in the world trade
by Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini - 1508.03373 A martingale analysis of first passage times of time-dependent Wiener diffusion models
by Vaibhav Srivastava & Samuel F. Feng & Jonathan D. Cohen & Naomi Ehrich Leonard & Amitai Shenhav - 1508.03365 Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
by Xiaohong Chen & Timothy M. Christensen - 1508.03282 The strong predictable representation property in initially enlarged filtrations under the density hypothesis
by Claudio Fontana - 1508.02973 On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell - 1508.02919 Identification of Insurance Models with Multidimensional Screening
by Gaurab Aryal & Isabelle Perrigne & Quang Vuong - 1508.02824 Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk
by Paul Larsen - 1508.02749 Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
by Georg Mainik - 1508.02636 Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach
by Maojiao Ye & Guoqiang Hu - 1508.02476 A Model for Tax Evasion with Some Realistic Properties
by Richard Vale - 1508.02473 Bridging AIC and BIC: a new criterion for autoregression
by Jie Ding & Vahid Tarokh & Yuhong Yang - 1508.02367 A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
by Zachary Feinstein & Birgit Rudloff - 1508.02203 The Intrinsic Instability of Financial Markets
by Sabiou Inoua - 1508.02056 Role of non-timber forest products in sustaining forest-based livelihoods and rural households' resilience capacity in and around protected area- a Bangladesh study
by S. A. Mukul & A. Z. M. M. Rashid & M. B. Uddin & N. A. Khan - 1508.01914 Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - 1508.01661 GMM Estimation of Affine Term Structure Models
by Jaroslava Hlouskova & Leopold Sogner - 1508.00975 Symmetry restoration by pricing in a duopoly of perishable goods
by Su Do Yi & Seung Ki Baek & Guillaume Chevereau & Eric Bertin - 1508.00893 Information Cascades and Online Rating Games
by Oussama Fadil & Jake Soloff - 1508.00668 Valuation of capital protection options
by Xiaolin Luo & Pavel V. Shevchenko - 1508.00632 Robust replication of barrier-style claims on price and volatility
by Peter Carr & Roger Lee & Matthew Lorig - 1508.00607 Existence of continuous euclidean embeddings for a weak class of orders
by Lawrence Carr - 1508.00511 Mod\'{e}lisation spatiale de la formation des agglom\'{e}rations dans la zone alg\'{e}roise
by Smicha Ait Amokthar & Nadjia El Saadi & Yacine Belarbi - 1508.00322 A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko - 1508.00310 Statistical Emulators for Pricing and Hedging Longevity Risk Products
by James Risk & Michael Ludkovski - 1508.00275 On growth-optimal tax rates and the issue of wealth inequalities
by Jean-Philippe Bouchaud - 1508.00108 Modelling the Uruguayan debt through gaussians models
by Andr'es Sosa & Ernesto Mordecki - 1508.00090 Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
by Man Chung Fung & Katja Ignatieva & Michael Sherris - 1507.08937 Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm
by Stefan Haring & Ronald Hochreiter - 1507.08863 Keeping up with the e-Joneses: Do online social networks raise social comparisons?
by Fabio Sabatini & Francesco Sarracino - 1507.08779 Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - 1507.08738 Variable Annuity with GMWB: surrender or not, that is the question
by Xiaolin Luo & Pavel Shevchenko - 1507.08713 Minimizing the Probability of Lifetime Drawdown under Constant Consumption
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - 1507.08333 A risk analysis for a system stabilized by a central agent
by Josselin Garnier & George Papanicolaou & Tzu-Wei Yang - 1507.07870 Detect & Describe: Deep learning of bank stress in the news
by Samuel Ronnqvist & Peter Sarlin - 1507.07219 Why Quantitative Structuring?
by Andrei N. Soklakov - 1507.07216 Model Risk Analysis via Investment Structuring
by Andrei N. Soklakov - 1507.07214 One trade at a time -- unraveling the Equity Premium Puzzle
by Andrei N. Soklakov - 1507.07162 Forecasting Leading Death Causes in Australia using Extended CreditRisk$+$
by Pavel V. Shevchenko & Jonas Hirz & Uwe Schmock - 1507.07052 How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
by Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum - 1507.06850 Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio
by Xun Li & Zuo Quan Xu - 1507.06514 Optimum Liquidation Problem Associated with the Poisson Cluster Process
by A. Sadoghi & J. Vecer - 1507.06477 Novel and topical business news and their impact on stock market activities
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - 1507.06242 Return spillovers around the globe: A network approach
by Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl - 1507.06219 Multi-scaling of wholesale electricity prices
by Francesco Caravelli & James Requeima & Cozmin Ududec & Ali Ashtari & Tiziana Di Matteo & Tomaso Aste - 1507.06015 Risk Quantification in Stochastic Simulation under Input Uncertainty
by Helin Zhu & Tianyi Liu & Enlu Zhou - 1507.05865 Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure
by Dmitry Kramkov & Kim Weston - 1507.05687 A General Framework for Complex Network Applications
by Xiao Fan Liu & Chi Kong Tse - 1507.05415 Endogenous Derivation and Forecast of Lifetime PDs
by Volodymyr Perederiy - 1507.05376 The time scales of the aggregate learning and sorting in market entry games with large number of players
by Misha Perepelitsa - 1507.05351 Multivariate Shortfall Risk Allocation and Systemic Risk
by Yannick Armenti & Stephane Crepey & Samuel Drapeau & Antonis Papapantoleon - 1507.05311 Dynamical system theory of periodically collapsing bubbles
by V. I. Yukalov & E. P. Yukalova & D. Sornette - 1507.05270 Nonparametric instrumental variable estimation under monotonicity
by Denis Chetverikov & Daniel Wilhelm - 1507.05203 Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
by Vygintas Gontis & Shlomo Havlin & Aleksejus Kononovicius & Boris Podobnik & H. Eugene Stanley - 1507.05055 Pricing American and Asian Options
by Pat Muldowney - 1507.04990 Quantile Correlations: Uncovering temporal dependencies in financial time series
by Thilo A. Schmitt & Rudi Schafer & Holger Dette & Thomas Guhr - 1507.04934 Darwinian Adverse Selection
by Wolfgang Kuhle - 1507.04848 Violation of Invariance of Measurement for GDP Growth Rate and its Consequences
by Ali Hosseiny - 1507.04797 Symmetric Equilibria in Stochastic Timing Games
by Jan-Henrik Steg - 1507.04767 Semi-parametric time series modelling with autocopulas
by Antony Ware & Ilnaz Asadzadeh - 1507.04655 Insurance makes wealth grow faster
by Ole Peters & Alexander Adamou - 1507.04478 Antimonopoly regulation method in energy markets based on the Vickrey-Clarke-Groves mechanism
by Vadim Borokhov - 1507.04387 One bank problem in the federal funds market
by Traian A. Pirvu & Elena Cristina Canepa - 1507.04298 Modelling Financial Markets by Self-Organized Criticality
by A. E. Biondo & A. Pluchino & A. Rapisarda - 1507.04236 Invariant features of spatial inequality in consumption: the case of India
by Arnab Chatterjee & Anindya S. Chakrabarti & Asim Ghosh & Anirban Chakraborti & Tushar K. Nandi - 1507.04167 Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets
by Mikhail Timonin - 1507.04136 Taming the Basel Leverage Cycle
by Christoph Aymanns & Fabio Caccioli & J. Doyne Farmer & Vincent W. C. Tan - 1507.04065 Reputational Learning and Network Dynamics
by Simpson Zhang & Mihaela van der Schaar - 1507.03378 Analysis of cyclical behavior in time series of stock market returns
by Djordje Stratimirovic & Darko Sarvan & Vladimir Miljkovic & Suzana Blesic - 1507.03278 Contagion effects in the world network of economic activities
by V. Kandiah & H. Escaith & D. L. Shepelyansky - 1507.03169 Intransitivity in Theory and in the Real World
by A. Y. Klimenko - 1507.03141 Bifurcation patterns of market regime transition
by Sergey Kamenshchikov - 1507.03004 Hybrid scheme for Brownian semistationary processes
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen - 1507.02974 Radner equilibrium in incomplete Levy models
by Kasper Larsen & Tanawit Sae Sue - 1507.02847 Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
by Nicolas Langren'e & Geoffrey Lee & Zili Zhu - 1507.02822 Hawkes Processes
by Patrick J. Laub & Thomas Taimre & Philip K. Pollett - 1507.02651 Model-independent bounds for Asian options: a dynamic programming approach
by Alexander M. G. Cox & Sigrid Kallblad - 1507.02493 Inference in Linear Regression Models with Many Covariates and Heteroskedasticity
by Matias D. Cattaneo & Michael Jansson & Whitney K. Newey - 1507.02310 Quantum Gates and Quantum Circuits of Stock Portfolio
by Ovidiu Racorean - 1507.02203 Modified Brownian Motion Approach to Modelling Returns Distribution
by Gurjeet Dhesi & Muhammad Bilal Shakeel & Ling Xiao - 1507.02025 Diversification Preferences in the Theory of Choice
by Enrico G. De Giorgi & Ola Mahmoud - 1507.01901 Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries
by Diego Aparicio & Daniel Fraiman - 1507.01847 The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks
by Zachary Feinstein & Fatena El-Masri - 1507.01729 Measuring the frequency dynamics of financial connectedness and systemic risk
by Jozef Barunik & Tomas Krehlik - 1507.01610 Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops
by Grigory Temnov - 1507.01175 Impact of dependence on some multivariate risk indicators
by V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said - 1507.01125 Tightness and duality of martingale transport on the Skorokhod space
by Gaoyue Guo & Xiaolu Tan & Nizar Touzi - 1507.01033 Estimation of integrated quadratic covariation with endogenous sampling times
by Yoann Potiron & Per Mykland - 1507.00894 Inequality and risk aversion in economies open to altruistic attitudes
by Eleonora Perversi & Eugenio Regazzini - 1507.00846 Variance Dynamics - An empirical journey
by Florent S'egonne - 1507.00784 Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry
by Th'arsis Tuani Pinto Souza & Olga Kolchyna & Philip C. Treleaven & Tomaso Aste - 1507.00671 Complete Duality for Martingale Optimal Transport on the Line
by Mathias Beiglbock & Marcel Nutz & Nizar Touzi - 1507.00578 Analysis of Professional Trajectories using Disconnected Self-Organizing Maps
by Etienne C^ome & Marie Cottrell & Patrice Gaubert - 1507.00294 It\^o's formula for finite variation L\'evy processes: The case of non-smooth functions
by Ramin Okhrati & Uwe Schmock - 1507.00250 Asset Allocation Strategies Based on Penalized Quantile Regression
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - 1507.00244 Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
by Tobias Fissler & Johanna F. Ziegel & Tilmann Gneiting - 1507.00208 The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
by Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel - 1506.09184 On the Robust Dynkin Game
by Erhan Bayraktar & Song Yao - 1506.08847 Multifractal characterization of gold market: a multifractal detrended fluctuation analysis
by Provash Mali & Amitabha Mukhopadhyay - 1506.08743 Note on tax enforcement and transfer pricing manipulation
by Alex Augusto Timm Rathke - 1506.08740 Extension and calibration of a Hawkes-based optimal execution model
by Aur'elien Alfonsi & Pierre Blanc - 1506.08692 Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
by Jaroslaw Kwapien & Pawel Oswiecimka & Stanislaw Drozdz