# arXiv.org

# Papers

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

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

**Citations RSS feed:**at CitEc

### Impact factors

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

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2014

**1402.6393 Prospect Theory for Online Financial Trading***by*Yang-Yu Liu & Jose C. Nacher & Tomoshiro Ochiai & Mauro Martino & Yaniv Altshuler**1402.6313 Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift***by*Abdelali Gabih & Hakam Kondakji & J\"orn Sass & Ralf Wunderlich**1402.6204 The role of information in a two-traders market***by*F. Bagarello & E. Haven**1402.5679 Time-dependent Heston model***by*G. S. Vasilev**1402.5534 Estimation Error of Expected Shortfall***by*Imre Kondor**1402.5373 Technology Parks Potential for Small and Medium Enterprises***by*Anna V. Vilisova & Qiang Fu**1402.5352 Systemic Risk and Default Clustering for Large Financial Systems***by*Konstantinos Spiliopoulos**1402.5306 Rebalancing with Linear and Quadratic Costs***by*Ren Liu & Johannes Muhle-Karbe & Marko Weber**1402.5304 Trading with Small Price Impact***by*Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner**1402.5300 Purchasing Life Insurance to Reach a Bequest Goal***by*Erhan Bayraktar & David Promislow & Virginia Young**1402.5208 Densely Entangled Financial Systems***by*Bhaskar DasGupta & Lakshmi Kaligounder**1402.5094 Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs***by*Samuel Palmer**1402.4783 Mapping systemic risk: critical degree and failures distribution in financial networks***by*Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz**1402.4683 Tails of weakly dependent random vectors***by*Peter Tankov**1402.4551 A debt behaviour model***by*Wenjun Zhang & John Holt**1402.4171 Reconstructing the world trade multiplex: the role of intensive and extensive biases***by*Rossana Mastrandrea & Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli**1402.4150 On Simulation of Various Effects in Consolidated Order Book***by*A. O. Glekin & A. Lykov & K. L. Vaninsky**1402.4047 Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach***by*M. Koz{\l}owska & T. Gubiec & T. R. Werner & M. Denys & A. Sienkiewicz & R. Kutner & Z. Struzik**1402.3820 Information-theoretic approach to lead-lag effect on financial markets***by*Pawe{\l} Fiedor**1402.3725 On the shortfall risk control -- a refinement of the quantile hedging method***by*Micha{\l} Barski**1402.3720 The geometry of relative arbitrage***by*Soumik Pal & Ting-Kam Leonard Wong**1402.3688 Systemic Losses Due to Counter Party Risk in a Stylized Banking System***by*Annika Birch & Tomaso Aste**1402.3562 Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching***by*Bin Zou & Abel Cadenillas**1402.3560 Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization***by*Bin Zou & Abel Cadenillas**1402.3483 News Cohesiveness: an Indicator of Systemic Risk in Financial Markets***by*Matija Pi\v{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozeti\v{c} & Miha Gr\v{c}ar & Irena Vodenska & Tomislav \v{S}muc**1402.3464 Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time***by*Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao**1402.3424 Reference Vectors in Economic Choice***by*Teycir Abdelghani Goucha**1402.3030 Information ratio analysis of momentum strategies***by*Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen**1402.2599 Model-independent Superhedging under Portfolio Constraints***by*Arash Fahim & Yu-Jui Huang**1402.2596 On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints***by*Erhan Bayraktar & Zhou Zhou**1402.2494 Stock portfolio structure of individual investors infers future trading behavior***by*Ludvig Bohlin & Martin Rosvall**1402.2492 Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression***by*Alice X. D. Dong & Jennifer S. K. Chan & Gareth W. Peters**1402.2273 Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate***by*Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang**1402.2198 Multi-scale Representation of High Frequency Market Liquidity***by*Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard**1402.2046 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading***by*Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo**1402.1953 Pricing Currency Derivatives with Markov-modulated Levy Dynamics***by*Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott**1402.1809 Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion***by*Erhan Bayraktar & Yuchong Zhang**1402.1624 Using Twitter to Model the EUR/USD Exchange Rate***by*Dietmar Janetzko**1402.1554 Option Pricing for Symmetric L\'evy Returns with Applications***by*Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan**1402.1552 Correlation and Network Topologies in Global and Local Stock Indices***by*Ashadun Nobi & Sungmin Lee & Doo Hwan Kim & Jae Woo Lee**1402.1440 Are European equity markets efficient? New evidence from fractal analysis***by*Enrico Onali & John Goddard**1402.1405 Partial correlation analysis: Applications for financial markets***by*Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley**1402.1288 Market impact as anticipation of the order flow imbalance***by*Thibault Jaisson**1402.1281 Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market***by*Ovidiu Racorean**1402.1255 Option Pricing, Historical Volatility and Tail Risks***by*Samuel E. Vazquez**1402.1052 Optimal allocation of wealth for two consuming agents sharing a portfolio***by*Oumar Mbodji & Adrien Nguyen Huu & Traian A. Pirvu**1402.1046 Spatial and temporal structures of four financial markets in Greater China***by*F. Y. Ouyang & B. Zheng & X. F. Jiang**1402.0910 The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis***by*Yavni Bar-Yam & Marcus A. M. de Aguiar & Yaneer Bar-Yam**1402.0243 Faster Comparison of Stopping Times by Nested Conditional Monte Carlo***by*Fabian Dickmann & Nikolaus Schweizer**1402.0176 Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium***by*Sorin Solomon & Natasa Golo**1402.0139 The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?***by*Arslan Tariq Rana & Mazen Kebewar**1401.8271 Hedging Expected Losses on Derivatives in Electricity Futures Markets***by*Adrien Nguyen Huu & Nadia Oudjane**1401.8142 The Integrated Size and Price Optimization Problem***by*Miriam Kie{\ss}ling & Sascha Kurz & J\"org Rambau**1401.8106 Cross-correlation asymmetries and causal relationships between stock and market risk***by*Stanislav S. Borysov & Alexander V. Balatsky**1401.8065 Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations***by*Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu**1401.8026 Elimination of systemic risk in financial networks by means of a systemic risk transaction tax***by*Sebastian Poledna & Stefan Thurner**1401.7913 From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options***by*Lorenz Schneider & Bertrand Tavin**1401.7615 Testing for rational speculative bubbles in the Brazilian residential real-estate market***by*Marcelo M. de Oliveira & Alexandre C. L. Almeida**1401.7496 Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent***by*Sorin Solomon & Natasa Golo**1401.7450 Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks***by*B. Podobnik & A. Majdandzic & C. Curme & Z. Qiao & W. -X. Zhou & H. E. Stanley & B. Li**1401.7344 Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking***by*Brian P. Hanley**1401.7198 Arbitrage of the first kind and filtration enlargements in semimartingale financial models***by*Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras**1401.7170 Self-affinity in financial asset returns***by*John Goddard & Enrico Onali**1401.6955 Modeling Credit Spreads Using Nonlinear Regression***by*Radoslava Mirkov & Thomas Maul & Ronald Hochreiter & Holger Thomae**1401.6735 Option Pricing of Twin Assets***by*Marcelo J. Villena & Axel A. Araneda**1401.6408 Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors***by*M. Bernardi & L. Petrella**1401.6383 Multidimensional Breeden-Litzenberger representation for state price densities and static hedging***by*Jarno Talponen & Lauri Viitasaari**1401.5666 Estimate nothing***by*M. Duembgen & L. C. G. Rogers**1401.5452 Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market***by*G. Papaioannou & P. Papaioannou & N. Parliaris**1401.5431 On multicurve models for the term structure***by*Laura Morino & Wolfgang J. Ruggaldier**1401.5314 Why free markets die: An evolutionary perspective***by*Eduardo Viegas & Stuart P. Cockburn & Henrik Jeldtoft Jensen & Geoffrey B. West**1401.4887 On Convergence in the Spatial AK Growth Models***by*Gani Aldashev & Serik Aldashev & Timoteo Carletti**1401.4787 On the Measurement of Economic Tail Risk***by*Steven Kou & Xianhua Peng**1401.4704 Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis***by*Martha G. Alatriste Contreras & Giorgio Fagiolo**1401.4698 Martingale Inequalities and Deterministic Counterparts***by*Mathias Beiglb\"ock & Marcel Nutz**1401.4664 Mathematical Foundations for the Economy of Giving***by*W. P. Weijland**1401.4550 Wealth distribution and collective knowledge. A Boltzmann approach***by*Lorenzo Pareschi & Giuseppe Toscani**1401.4387 A Multiple Network Approach to Corporate Governance***by*Fausto Bonacina & Marco D'Errico & Enrico Moretto & Silvana Stefani & Anna Torriero**1401.4331 Diversity of scales makes an advantage: The case of the Minority Game***by*Miroslav Pi\v{s}t\v{e}k & Frantisek Slanina**1401.3994 CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach***by*Damiano Brigo & Andrea Pallavicini**1401.3921 A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options***by*A. Galichon & P. Henry-Labord\`ere & N. Touzi**1401.3911 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures***by*Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin**1401.3589 Risk aggregation and stochastic claims reserving in disability insurance***by*Boualem Djehiche & Bj\"orn L\"ofdahl**1401.3316 Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms***by*Petr Jizba & Jan Korbel**1401.3281 A Creepy World***by*Didier Sornette & Peter Cauwels**1401.3261 General indifference pricing with small transaction costs***by*Dylan Possama\"i & Guillaume Royer**1401.3167 Quasi-Hadamard differentiability of general risk functionals and its application***by*Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle**1401.3145 Bartering integer commodities with exogenous prices***by*Stefano Nasini & Jordi Castro & Pau Fonseca i Casas**1401.3133 Capital adequacy tests and limited liability of financial institutions***by*Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari**1401.3121 Law-invariant risk measures: extension properties and qualitative robustness***by*Pablo Koch-Medina & Cosimo Munari**1401.3103 Hierarchicality of Trade Flow Networks Reveals Complexity of Products***by*Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo**1401.2982 When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation***by*James J. Angel**1401.2954 Information theoretic approach for accounting classification***by*E. M. S. Ribeiro & G. A. Prataviera**1401.2900 Efficient tree methods for pricing digital barrier options***by*Elisa Appolloni & Andrea Ligori**1401.2867 Bayesian analysis of redistribution policy with a fixed scale***by*Guy Cirier**1401.2860 Complex temporal structure of activity in on-line electronic auctions***by*Frantisek Slanina**1401.2548 Mutual Information Rate-Based Networks in Financial Markets***by*Pawe{\l} Fiedor**1401.2531 Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions***by*Weiyin Fei**1401.2524 Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile***by*Nassim Nicholas Taleb**1401.2314 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows***by*Masaaki Fujii & Akihiko Takahashi**1401.1954 Refined wing asymptotics for the Merton and Kou jump diffusion models***by*Stefan Gerhold & Johannes F. Morgenbesser & Axel Zrunek**1401.1916 Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting***by*Tao Xiong & Yukun Bao & Zhongyi Hu**1401.1892 Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks***by*Li-Xin Wang**1401.1891 Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models***by*Li-Xin Wang**1401.1888 Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models***by*Li-Xin Wang**1401.1856 Pricing of basket options I***by*Alexander Kushpel**1401.1851 Informational Efficiency under Short Sale Constraints***by*Robert A. Jarrow & Martin Larsson**1401.1757 An efficient algorithm for the calculation of reserves for non-unit linked life policies***by*Mark Tucker & J. Mark Bull**1401.1639 Optimal consumption and portfolio choice with ambiguity***by*Qian Lin & Frank Riedel**1401.1610 Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula***by*Luxi Chen**1401.1457 Measures of Causality in Complex Datasets with application to financial data***by*Anna Zaremba & Tomaso Aste**1401.1292 An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series***by*Chih-Hao Lin & Chia-Seng Chang & Sai-Ping Li**1401.0903 Second order statistics characterization of Hawkes processes and non-parametric estimation***by*Emmanuel Bacry & Jean-Francois Muzy**1401.0562 Optimal Investment with Transaction Costs and Stochastic Volatility***by*Maxim Bichuch & Ronnie Sircar**1401.0462 Emergence of statistically validated financial intraday lead-lag relationships***by*Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett**1401.0301 IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax***by*Reza Farrahi Moghaddam & Fereydoun Farrahi Moghaddam & Mohamed Cheriet

### 2013

**1401.0677 G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty***by*Wei Chen**1401.0124 Mean field approximation for biased diffusion on Japanese inter-firm trading network***by*Hayafumi Watanabe**1312.7860 A Global Game with Heterogenous Priors***by*Wolfgang Kuhle**1312.7545 The process of macroprudential oversight in Europe***by*Peter Sarlin & Henrik J. Nyman**1312.7460 What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary***by*Yuri Biondi & Simone Righi**1312.7360 A state-constrained differential game arising in optimal portfolio liquidation***by*Alexander Schied & Tao Zhang**1312.7346 Bankruptcy Risk Induced by Career Concerns of Regulators***by*Godfrey Charles-Cadogan & John A. Cole**1312.7328 A family of density expansions for L\'evy-type processes***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1312.7057 Empirical Study of the GARCH model with Rational Errors***by*Ting Ting Chen & Tetsuya Takaishi**1312.6841 Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement***by*Zhongliang Tuo**1312.6804 A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades***by*Teruyoshi Kobayashi**1312.6456 Exact Simulation of Non-stationary Reflected Brownian Motion***by*Mohammad Mousavi & Peter W. Glynn**1312.6443 Global inequality in energy consumption from 1980 to 2010***by*Scott Lawrence & Qin Liu & Victor M. Yakovenko**1312.6350 Sparse Portfolio Selection via Quasi-Norm Regularization***by*Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye**1312.6032 Information and optimal investment in defaultable assets***by*Giulia Di Nunno & Steffen Sjursen**1312.5919 A Monte Carlo method for optimal portfolio executions***by*Nico Achtsis & Dirk Nuyens**1312.5911 Estimating time-changes in noisy L\'evy models***by*Adam D. Bull**1312.5807 Block Sampling under Strong Dependence***by*Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu**1312.5693 Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results***by*Alexander Lipton & Andrey Gal & Andris Lasis**1312.5660 Capital distribution and portfolio performance in the mean-field Atlas model***by*Benjamin Jourdain & Julien Reygner**1312.5617 Accelerated Share Repurchase: pricing and execution strategy***by*Olivier Gu\'eant & Jiang Pu & Guillaume Royer**1312.5496 On idiosyncratic stochasticity of financial leverage effects***by*Carles Bret\'o**1312.5271 Systematic and multifactor risk models revisited***by*Michel Fliess & C\'edric Join**1312.5116 Sensitivity analysis in a market with memory***by*David R. Banos & Giulia Di Nunno & Frank Proske**1312.5073 Extrapolating the term structure of interest rates with parameter uncertainty***by*Anne Balter & Antoon Pelsser & Peter Schotman**1312.4979 Market models with optimal arbitrage***by*Huy N. Chau & Peter Tankov**1312.4803 Multiscaling edge effects in an agent-based money emergence model***by*Pawe{\l} O\'swi\k{e}cimka & Stanis{\l}aw Dro\.zd\.z & Robert G\k{e}barowski & Andrzej Z. G\'orski & Jaros{\l}aw Kwapie\'n**1312.4622 Coupled mode theory of stock price formation***by*Jack Sarkissian**1312.4443 Pricing and Hedging Basket Options with Exact Moment Matching***by*Tommaso Paletta & Arturo Leccadito & Radu Tunaru**1312.4385 Local risk-minimization under restricted information to asset prices***by*Claudia Ceci & Katia Colaneri & Alessandra Cretarola**1312.4296 No-arbitrage conditions and absolutely continuous changes of measure***by*Claudio Fontana**1312.4227 On static hedging, real options and valuation of cash flows with skewed distributions***by*Jarno Talponen**1312.3917 On the Market Viability under Proportional Transaction Costs***by*Erhan Bayraktar & Xiang Yu**1312.3894 Semi-Markov Models in High Frequency Finance: A Review***by*G. D'Amico & F. Petroni & F. Prattico**1312.3826 Firm competition in a probabilistic framework of consumer choice***by*Hao Liao & Rui Xiao & Duanbing Chen & Matus Medo & Yi-Cheng Zhang**1312.3789 Gas storage valuation and hedging. A quantification of the model risk***by*Patrick Henaff & Ismail Laachir & Francesco Russo**1312.3349 Market Impact Paradoxes***by*Igor Skachkov**1312.3314 Analytical expansions for parabolic equations***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1312.3247 Emergent quantum mechanics of finances***by*Vadim Nastasiuk**1312.3211 Barrier Option Pricing***by*A. H. Davison & T. Sidogi**1312.2754 Liquidation of an indivisible asset with independent investment***by*Emilie Fabre & Guillaume Royer & Nizar Touzi**1312.2722 Modelling of the European Union income distribution by extended Yakovenko formula***by*Maciej Jagielski & Ryszard Kutner**1312.2693 Fiscal shocks and asymmetric effects: a comparative analysis***by*Ioannis Praggidis & Periklis Gogas & Vasilios Plakandaras & Theophilos Papadimitriou**1312.2641 Simultaneous auctions for complementary goods***by*Wiroy Shin**1312.2433 Arbitrages in a Progressive Enlargement Setting***by*Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc**1312.2362 Modelling the income distribution in the European Union: An application for the initial analysis of the recent worldwide financial crisis***by*Maciej Jagielski & Ryszard Kutner**1312.2302 The Self-Financing Equation in High Frequency Markets***by*Rene Carmona & Kevin Webster**1312.2281 Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion***by*John Armstrong & Martin Forde & Matthew Lorig & Hongzhong Zhang**1312.2203 Research on fresh agriculture product based on overconfidence of the retailer under options and spot markets dominated***by*Kai Nie & Man Yu**1312.2179 On the implicit interest rate in the Yunus equation***by*Marc Diener & Pheakdei Mauk**1312.2048 The False Premises and Promises of Bitcoin***by*Brian P. Hanley**1312.2004 Optimal Trading Strategies as Measures of Market Disequilibrium***by*Valerii Salov**1312.1645 What is the best risk measure in practice? A comparison of standard measures***by*Susanne Emmer & Marie Kratz & Dirk Tasche**1312.1578 Credit Portfolio Management in a Turning Rates Environment***by*Arthur M. Berd & Elena Ranguelova & Antonio Baldaque da Silva**1312.1473 Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models***by*Francesco Audrino & Lorenzo Camponovo**1312.1006 Dynamic Limit Growth Indices in Discrete Time***by*Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera**1312.0690 Self-organization and phase transition in financial markets with multiple choices***by*Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu**1312.0563 Simulating and analyzing order book data: The queue-reactive model***by*Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum**1312.0557 Asymptotic distribution of the Markowitz portfolio***by*Steven E. Pav**1312.0514 Trade arrival dynamics and quote imbalance in a limit order book***by*Alexander Lipton & Umberto Pesavento & Michael G Sotiropoulos**1312.0506 The impact of systemic risk on the diversification benefits of a risk portfolio***by*Marc Busse & Michel Dacorogna & Marie Kratz**1312.0424 Optimal insurance purchase strategies via optimal multiple stopping times***by*Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko**1312.0323 Towards a microeconomic theory of the finance-driven business cycle***by*Alejandro Jenkins**1312.0283 Stochastic areas of diffusions and applications in risk theory***by*Zhenyu Cui**1312.0161 Science and the Future: Introduction***by*Angelo Tartaglia**1312.0128 CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?***by*Damiano Brigo & Andrea Pallavicini**1311.7419 Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals***by*Sigrid K\"allblad**1311.7027 A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing***by*Claudio Fontana**1311.6262 Agent-based models for latent liquidity and concave price impact***by*Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud**1311.6257 Filters and smoothers for self-exciting Markov modulated counting processes***by*Samuel N. Cohen & Robert J. Elliott**1311.6187 Pathwise stochastic integrals for model free finance***by*Nicolas Perkowski & David J. Pr\"omel**1311.6179 Optimal Strategies for a Long-Term Static Investor***by*Lingjiong Zhu**1311.6080 A New Characterization of Comonotonicity and its Application in Behavioral Finance***by*Zuo Quan Xu**1311.6027 Left-wing asymptotics of the implied volatility in the presence of atoms***by*Archil Gulisashvili**1311.5753 Nucleation, condensation and lambda-transition on a real-life stock market***by*M. Wilinski & B. Szewczak & T. Gubiec & R. Kutner & Z. R. Struzik**1311.5661 The order book as a queueing system: average depth and influence of the size of limit orders***by*Ioane Muni Toke**1311.5511 Unified Growth Theory: A puzzling collection of myths based on hyperbolic illusions***by*Ron W Nielsen**1311.5211 Remark on repo and options***by*Andrei Kapaev**1311.5120 Actuarial fairness and solidarity in pooled annuity funds***by*Catherine Donnelly**1311.5101 Copulas and time series with long-ranged dependences***by*R\'emy Chicheportiche & Anirban Chakraborti**1311.5036 Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data***by*Kyungsub Lee**1311.4977 Conditional correlation in asset return and GARCH intensity model***by*Geon Ho Choe & Kyungsub Lee**1311.4973 High moment variations and their application***by*Geon Ho Choe & Kyungsub Lee**1311.4969 Recursive formula for arithmetic Asian option prices***by*Kyungsub Lee