Printed from https://ideas.repec.org/s/arx/papers120.html
Content
2014
- 1402.6313 Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
by Abdelali Gabih & Hakam Kondakji & Jorn 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 H. 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 Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{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 Sharing Rule for a Household with a Portfolio Management Problem
by Adrien Nguyen Huu & Oumar Mbodji & A 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 & Jorg 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 Beiglbock & 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 Piv{s}tv{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 & Bjorn Lofdahl - 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 Possamai & Guillaume Royer - 1401.3167 Quasi-Hadamard differentiability of general risk functionals and its application
by Volker Kratschmer & Alexander Schied & Henryk Zahle - 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 - 1508.06225 Theory of pricing as relativistic kinematics
by S. I. Melnyk & I. G. Tuluzov - 1502.06434 ANN Model to Predict Stock Prices at Stock Exchange Markets
by B. W. Wanjawa & L. Muchemi - 1501.02216 Analyses of Statistical Structures in Economic Indices
by Frank W. K. Firk - 1501.00882 Observing Each Other's Observations in the Electronic Mail Game
by Dominik Grafenhofer & Wolgang Kuhle - 1501.00040 Community detection in temporal multilayer networks, with an application to correlation networks
by Marya Bazzi & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison - 1501.00026 Optimal Selling Time of a Stock under Capital Gains Taxes
by Christoph Kuhn & Budhi Arta Surya & Bjorn Ulbricht
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 - 1312.7614 Inference on causal and structural parameters using many moment inequalities
by Victor Chernozhukov & Denis Chetverikov & Kengo Kato - 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 - 1312.7186 Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models
by Alexandre Belloni & Victor Chernozhukov & Kengo Kato - 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'swik{e}cimka & Stanis{l}aw Dro.zd.z & Robert Gk{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 Matching distributions: Asset pricing with density shape correction
by Jarno Talponen - 1312.4094 Nonparametric Identification in Panels using Quantiles
by Victor Chernozhukov & Ivan Fernandez-Val & Stefan Hoderlein & Hajo Holzmann & Whitney Newey - 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 Kallblad - 1311.7065 Individual and Time Effects in Nonlinear Panel Models with Large N, T
by Ivan Fernandez-Val & Martin Weidner - 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. Promel - 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