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Content
2013
- 1310.8431 Multiagent's model of stock market with p-adic description of prices
by Viktor Zharkov
- 1310.8296 The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations
by Hyong-chol O & Yong-hwa Ro & Ning Wan
- 1310.8169 Predicting trend reversals using market instantaneous state
by Thomas Bury
- 1310.7857 Sticky continuous processes have consistent price systems
by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit
- 1310.7280 The stochastic field of aggregate utilities and its saddle conjugate
by Peter Bank & Dmitry Kramkov
- 1310.7128 Restructuring the "one-way CSA" counterparty risk in a CDO
by Lorenzo Giada & Claudio Nordio
- 1310.7018 Stock returns versus trading volume: is the correspondence more general?
by Rafal Rak & Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka
- 1310.6873 Double Cascade Model of Financial Crises
by Thomas R. Hurd & Davide Cellai & Sergey Melnik & Quentin Shao
- 1310.6822 Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion among Multiple Assets
by Yiran Sheng & Ruokun Huang
- 1310.6819 Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation
by Yiran Sheng
- 1310.6526 Exact simulation pricing with Gamma processes and their extensions
by Lancelot F. James & Dohyun Kim & Zhiyuan Zhang
- 1310.6486 Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach
by Antoaneta Sergueiva
- 1310.6320 Epidemics in markets with trade friction and imperfect transactions
by Mathieu Moslonka-Lefebvre & Herv'e Monod & Christopher A. Gilligan & Elisabeta Vergu & Jo~ao A. N. Filipe
- 1310.6025 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
by Iosif Pinelis
- 1310.5540 Frequency Effects on Predictability of Stock Returns
by Pawe{l} Fiedor
- 1310.5388 Structure and causality relations in a global network of financial companies
by Leonidas Sandoval Junior
- 1310.5306 Can social microblogging be used to forecast intraday exchange rates?
by Panagiotis Papaioannnou & Lucia Russo & George Papaioannou & Constantinos Siettos
- 1310.5114 Explore or exploit? A generic model and an exactly solvable case
by Thomas Gueudr'e & Alexander Dobrinevski & Jean-Philippe Bouchaud
- 1310.4994 Asymptotic Glosten Milgrom equilibrium
by Cheng Li & Hao Xing
- 1310.4783 Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
by Matyas Barczy & Gyula Pap
- 1310.4539 Modeling the coupled return-spread high frequency dynamics of large tick assets
by Gianbiagio Curato & Fabrizio Lillo
- 1310.4538 The Origin of Fat Tails
by Martin Gremm
- 1310.4471 Multivariate transient price impact and matrix-valued positive definite functions
by Aur'elien Alfonsi & Alexander Schied & Florian Klock
- 1310.4403 Complexity, economic science and possible economic benefits of climate change mitigation policy
by J. F. Mercure & H. Pollitt & U. Chewpreecha & P. Salas & A. Foley & P. B. Holden & N. R. Edwards
- 1310.4142 Quantum harmonic oscillator in option pricing
by Liviu-Adrian Cotfas & Nicolae Cotfas
- 1310.4067 On pricing kernels, information and risk
by D. L. Wilcox & T. J. Gebbie
- 1310.3984 Measuring correlations between non-stationary series with DCCA coefficient
by Ladislav Kristoufek
- 1310.3860 Stochastic Modeling and Fair Valuation of Drawdown Insurance
by Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis
- 1310.3716 The Relation Between Global Migration and Trade Networks
by Paolo Sgrignoli & Rodolfo Metulini & Stefano Schiavo & Massimo Riccaboni
- 1310.3694 A primal-dual algorithm for BSDEs
by Christian Bender & Nikolaus Schweizer & Jia Zhuo
- 1310.3572 Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
by Ankush Agarwal
- 1310.3397 Regression techniques for Portfolio Optimisation using MOSEK
by Thomas Schmelzer & Raphael Hauser & Erling Andersen & Joachim Dahl
- 1310.3396 Seven Sins in Portfolio Optimization
by Thomas Schmelzer & Raphael Hauser
- 1310.3386 Regulatory-Optimal Funding
by Chris Kenyon & Andrew Green
- 1310.3347 Order Estimates for the Exact Lugannani-Rice Expansion
by Takashi Kato & Jun Sekine & Kenichi Yoshikawa
- 1310.3113 Superreplication when trading at market indifference prices
by Peter Bank & Selim Gokay
- 1310.3083 A note on the policy implications of the fiscal multiplier
by Evangelos F. Magirou
- 1310.3077 Optimal Order Scheduling for Deterministic Liquidity Patterns
by Peter Bank & Antje Fruth
- 1310.3061 Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models
by Stefan Gerhold & I. Cetin Gulum & Arpad Pinter
- 1310.3052 Power identities for L\'evy risk models under taxation and capital injections
by Hansjoerg Albrecher & Jevgenijs Ivanovs
- 1310.2973 Taylor approximation of incomplete Radner equilibrium models
by Jin Hyuk Choi & Kasper Larsen
- 1310.2964 Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point
by Si Chen
- 1310.2798 Reciprocity as the foundation of Financial Economics
by Timothy C. Johnson
- 1310.2567 Is it a power law distribution? The case of economic contractions
by Salvador Pueyo
- 1310.2446 A statistical physics perspective on criticality in financial markets
by Thomas Bury
- 1310.2220 Geometrization of Econophysics : An Alternative Approach for Measuring Elements of Risk Management of an Economic System
by M. E. Kahil
- 1310.2033 Limit theorems for nearly unstable Hawkes processes
by Thibault Jaisson & Mathieu Rosenbaum
- 1310.1882 Implicit transaction costs and the fundamental theorems of asset pricing
by Erindi Allaj
- 1310.1786 Inflation, unemployment, and labour force. Phillips curves and long-term projections for Austria
by Ivan Kitov & Oleg Kitov
- 1310.1756 High frequency trading and asymptotics for small risk aversion in a Markov renewal model
by Pietro Fodra & Huy^en Pham
- 1310.1634 Cascades in real interbank markets
by Fariba Karimi & Matthias Raddant
- 1310.1601 Random Matrix Application to Correlations Among Volatility of Assets
by Ajay Singh & Dinghai Xu
- 1310.1446 Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
by Ladislav Kristoufek
- 1310.1444 Can Google Trends search queries contribute to risk diversification?
by Ladislav Kristoufek
- 1310.1342 Estimating the FDI Impact on Economic Growth and Export Performances of the European Economies in Transition
by Olivera Kostoska & Pece Mitrevski
- 1310.1142 Non-Arbitrage up to Random Horizon for Semimartingale Models
by Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc
- 1310.1103 Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books
by Jose Blanchet & Xinyun Chen
- 1310.1102 Arbitrage-Free Pricing Before and Beyond Probabilities
by Louis Paulot
- 1310.1020 Shapes of implied volatility with positive mass at zero
by Stefano De Marco & Caroline Hillairet & Antoine Jacquier
- 1310.0762 Agent-Based Stock Market Model with Endogenous Agents' Impact
by Jan A. Lipski & Ryszard Kutner
- 1310.0099 Convergence of the discrete variance swap in time-homogeneous diffusion models
by Carole Bernard & Zhenyu Cui & Don McLeish
- 1310.0092 On the martingale property in stochastic volatility models based on time-homogeneous diffusions
by Carole Bernard & Zhenyu Cui & Don McLeish
- 1310.0057 Corporations and Regulators: The Game of Influence in Regulatory Capture
by Dominic K. Albino & Anzi Hu & Yaneer Bar-Yam
- 1310.0032 When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms
by Irene Klein & Thorsten Schmidt & Josef Teichmann
- 1309.7833 Hedging in L\'evy Models and the Time Step Equivalent of Jumps
by Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen
- 1309.7759 Probabilistic aspects of finance
by Hans Follmer & Alexander Schied
- 1309.7507 When to sell a Markov chain asset?
by Qing Zhang
- 1309.7374 The impact of lead time forecasting on the bullwhip effect
by Zbigniew Michna & Peter Nielsen
- 1309.7368 Modeling capital gains taxes for trading strategies of infinite variation
by Christoph Kuhn & Bjorn Ulbricht
- 1309.7222 Continuous compliance: a proxy-based monitoring framework
by Julien Vedani & Fabien Ramaharobandro
- 1309.7119 Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI
by Yanshan Wang
- 1309.6929 A new financial metric for the art market
by Ventura Charlin & Arturo Cifuentes
- 1309.6725 Optimal Execution Trajectories. Linear Market Impact with Exponential Decay
by Igor Skachkov
- 1309.6505 General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application
by Hyong-Chol O & Ji-Sok Kim
- 1309.6287 A stochastic model for speculative bubbles
by S'ebastien Gadat & Laurent Miclo & Fabien Panloup
- 1309.6164 Pricing and Hedging Derivative Securities with Unknown Local Volatilities
by Kerry W. Fendick
- 1309.6141 Change of measure up to a random time: Details
by Dorte Kreher
- 1309.6105 Control of the socio-economic systems using herding interactions
by Aleksejus Kononovicius & Vygintas Gontis
- 1309.5859 Migration and Trade: A Complex-Network Approach
by Giorgio Fagiolo & Marina Mastrorillo
- 1309.5806 The fine structure of volatility feedback II: overnight and intra-day effects
by Pierre Blanc & R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1309.5703 The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence
by Magomet Yandiev & Alexander Pakhalov
- 1309.5565 Call option on the maximum of the interest rate in the one factor affine model
by Mohamad Houda
- 1309.5466 New measure of multifractality and its application in finances
by Dariusz Grech & Grzegorz Pamu{l}a
- 1309.5274 Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
by Eric Beutner & Janina Schweizer & Antoon Pelsser
- 1309.5245 Credit Risk and the Instability of the Financial System: an Ensemble Approach
by Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr
- 1309.5235 Optimal Liquidity Provision
by Christoph Kuhn & Johannes Muhle-Karbe
- 1309.5158 Dynamics of probabilistic labor markets: statistical physics perspective
by He Chen & Jun-ichi Inoue
- 1309.5156 Statistical Mechanics of Labor Markets
by He Chen & Jun-ichi Inoue
- 1309.5094 Hedging under multiple risk constraints
by Ying Jiao & Olivier Klopfenstein & Peter Tankov
- 1309.5073 Non-linear dependences in finance
by R'emy Chicheportiche
- 1309.5053 Learning curve for collective behavior of zero-intelligence agents in successive job-hunting processes with a diversity of Jaynes-Shannon's MaxEnt principle
by He Chen & Jun-ichi Inoue
- 1309.5046 A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)
by Jackie Jianhong Shen
- 1309.5030 Characterizing financial crisis by means of the three states random field Ising model
by Mitsuaki Murota & Jun-ichi Inoue
- 1309.4916 Hedging under an expected loss constraint with small transaction costs
by Bruno Bouchard & Ludovic Moreau & Mete H. Soner
- 1309.4686 Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations
by Max H. Farrell
- 1309.4156 Trade integration and trade imbalances in the European Union: a network perspective
by Gautier M. Krings & Jean-Franc{c}ois Carpantier & Jean-Charles Delvenne
- 1309.4050 Analytical solution for a class of network dynamics with mechanical and financial applications
by Pavel Krejv{c}'i & Harbir Lamba & Sergey Melnik & Dmitrii Rachinskii
- 1309.3844 Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study
by Mikhail Kopytin & Evgeniy Kazantsev
- 1309.3832 Sequential Design for Optimal Stopping Problems
by Robert B. Gramacy & Mike Ludkovski
- 1309.3771 New models of income distribution, graduation as the explanation of Gini coefficient
by Dmitry Schmerling
- 1309.3721 Asymptotic analysis for Merton's problem with transaction costs in power utility case
by Jin Hyuk Choi
- 1309.3639 Reducing Financial Avalanches By Random Investments
by Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda & Dirk Helbing
- 1309.3479 Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach
by Jan Kallsen & Shen Li
- 1309.3399 Grand canonical minority game as a sign predictor
by Karol Wawrzyniak & Wojciech Wi'slicki
- 1309.3102 A nested factor model for non-linear dependences in stock returns
by R'emy Chicheportiche & Jean-Philippe Bouchaud
- 1309.3057 Tail behavior of sums and differences of log-normal random variables
by Archil Gulisashvili & Peter Tankov
- 1309.3035 Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform
by D. J. Manuge
- 1309.2982 On hedging American options under model uncertainty
by Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou
- 1309.2970 Stability analysis of a model for the market dynamics of a smart grid
by F. Sorrentino & D. Tolic & R. Fierro & J. R. Gordon & A. Mammoli
- 1309.2728 A note on the Fundamental Theorem of Asset Pricing under model uncertainty
by Erhan Bayraktar & Yuchong Zhang & Zhou Zhou
- 1309.2416 Modeling of Stock Returns and Trading Volume
by Taisei Kaizoji
- 1309.2411 Dependency Structure and Scaling Properties of Financial Time Series Are Related
by Raffaello Morales & T. Di Matteo & Tomaso Aste
- 1309.2383 On lower and upper bounds for Asian-type options: a unified approach
by Alexander Novikov & Nino Kordzakhia
- 1309.2274 The Entropy Law and the impossibility of perpetual economic growth
by Henrique N. S'a Earp & Ademar R. Romeiro
- 1309.2211 Hedging in a market with jumps - an FBSDE approach
by Evelina Shamarova & Rui S'a Pereira
- 1309.2130 The Interrupted Power Law and The Size of Shadow Banking
by Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati
- 1309.1988 A Systematic Approach to Constructing Market Models With Arbitrage
by Johannes Ruf & Wolfgang Runggaldier
- 1309.1953 Econophysics: Comments on a few Applications, Successes, Methods, & Models
by Marcel Ausloos
- 1309.1871 Statistical inference of co-movements of stocks during a financial crisis
by Takero Ibuki & Shunsuke Higano & Sei Suzuki & Jun-ichi Inoue & Anirban Chakraborti
- 1309.1844 Investment under uncertainty, competition and regulation
by Adrien Nguyen Huu
- 1309.1757 Inflation, unemployment, and labor force. Phillips curves and long-term projections for Japan
by Ivan Kitov & Oleg Kitov
- 1309.1647 Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model)
by Hyong-Chol O & Song-Yon Kim & Dong-Hyok Kim & Chol-Hyok Pak
- 1309.1492 Commodity futures and market efficiency
by Ladislav Kristoufek & Miloslav Vosvrda
- 1309.1420 Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
by Erhan Bayraktar & Yuchong Zhang
- 1309.1138 Short-term Market Reaction after Trading Halts in Chinese Stock Market
by Hai-Chuan Xu & Wei Zhang & Yi-Fang Liu
- 1309.0602 Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates
by Aki-Hiro Sato & Hideki Takayasu
- 1309.0582 Long-term memory in electricity prices: Czech market evidence
by Ladislav Kristoufek & Petra Lunackova
- 1309.0557 Exact Simulation of Wishart Multidimensional Stochastic Volatility Model
by Chulmin Kang & Wanmo Kang
- 1309.0491 Contagion among Central and Eastern European stock markets during the financial crisis
by Jozef Barunik & Lukas Vacha
- 1309.0474 Smooth solutions to portfolio liquidation problems under price-sensitive market impact
by Paulwin Graewe & Ulrich Horst & Eric S'er'e
- 1309.0461 A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
by Paulwin Graewe & Ulrich Horst & Jinniao Qiu
- 1309.0362 Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
by Mikl'os R'asonyi & Andrea Meireles Rodrigues
- 1309.0348 Development Towards Sustainability: How to judge past and proposed policies?
by Michael Dittmar
- 1309.0260 Learning from the past, predicting the statistics for the future, learning an evolving system
by Daniel Levin & Terry Lyons & Hao Ni
- 1309.0218 Exponential and power laws in public procurement markets
by Ladislav Kristoufek & Jiri Skuhrovec
- 1309.0110 ADI schemes for pricing American options under the Heston model
by Tinne Haentjens & Karel in 't Hout
- 1309.0046 The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
by Xiaoshan Chen & Yu-Jui Huang & Qingshuo Song & Chao Zhu
- 1308.6759 Prospect Agents and the Feedback Effect on Price Fluctuations
by Yipeng Yang & Allanus Tsoi
- 1308.6756 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
by Vladimir Filimonov & Didier Sornette
- 1308.6465 Optimal Payoffs under State-dependent Preferences
by Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel
- 1308.6387 Efficient hedging in general Black-Scholes model
by Kyong-Hui Kim & Myong-Guk Sin
- 1308.6256 G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty
by Wei Chen
- 1308.6148 Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
by Pawe{l} O'swic{e}cimka & Stanis{l}aw Dro.zd.z & Marcin Forczek & Stanis{l}aw Jadach & Jaros{l}aw Kwapie'n
- 1308.6120 Can we still benefit from international diversification? The case of the Czech and German stock markets
by Krenar Avdulaj & Jozef Barunik
- 1308.5836 Semiparametric stochastic volatility modelling using penalized splines
by Roland Langrock & Th'eo Michelot & Alexander Sohn & Thomas Kneib
- 1308.5658 Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model
by D. S. Grebenkov & J. Serror
- 1308.5376 Energy, entropy, and arbitrage
by Soumik Pal & Ting-Kam Leonard Wong
- 1308.5152 Computation of ruin probabilities for general discrete-time Markov models
by Ilya Tkachev & Alessandro Abate
- 1308.5064 Analytical models of operational risk and new results on the correlation problem
by Vivien Brunel
- 1308.5019 A Taylor series approach to pricing and implied vol for LSV models
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
- 1308.4363 Optimal robust bounds for variance options
by Alexander M. G. Cox & Jiajie Wang
- 1308.4276 Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
by Filip Zikes & Jozef Barunik
- 1308.3966 Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison
by Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn
- 1308.3961 Portfolio return distributions: Sample statistics with non-stationary correlations
by Desislava Chetalova & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr
- 1308.3892 Do the rich get richer? An empirical analysis of the BitCoin transaction network
by D'aniel Kondor & M'arton P'osfai & Istv'an Csabai & G'abor Vattay
- 1308.3668 Kinetic properties in inhomogeneous self-aware media
by A. Morozovskiy & A. A. Snarskii & I. V. Bezsudnov & V. A. Sevryukov & J. Malinsky
- 1308.3378 A pricing measure to explain the risk premium in power markets
by Fred Espen Benth & Salvador Ortiz-Latorre
- 1308.3331 Measuring risk with multiple eligible assets
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari
- 1308.2957 Over-the-counter market models with several assets
by Alain B'elanger & Gaston Giroux & Miguel Moisan-Poisson
- 1308.2836 Regressions with Berkson errors in covariates - A nonparametric approach
by Susanne M. Schennach
- 1308.2732 A relative information approach to financial time series analysis using binary $N$-grams dictionaries
by Igor Borovikov & Michael Sadovsky
- 1308.2688 American options with gradual exercise under proportional transaction costs
by Alet Roux & Tomasz Zastawniak
- 1308.2608 On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya
- 1308.2572 Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs
by A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway
- 1308.2326 Local Variance Gamma and Explicit Calibration to Option Prices
by Peter Carr & Sergey Nadtochiy
- 1308.2324 Optimal Dynamic Portfolio with Mean-CVaR Criterion
by Jing Li & Mingxin Xu
- 1308.2254 Optimal investment for all time horizons and Martin boundary of space-time diffusions
by Sergey Nadtochiy & Michael Tehranchi
- 1308.2250 Weak reflection principle for L\'evy processes
by Erhan Bayraktar & Sergey Nadtochiy
- 1308.2191 Econophysics Research in India in the last two Decades
by Asim Ghosh
- 1308.2172 Mean Field Games and Systemic Risk
by Rene Carmona & Jean-Pierre Fouque & Li-Hsien Sun
- 1308.1749 Fractality of profit landscapes and validation of time series models for stock prices
by Il Gu Yi & Gabjin Oh & Beom Jun Kim
- 1308.1704 A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility
by Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira
- 1308.1616 Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets
by Varsha S. Kulkarni
- 1308.1492 Admissible Trading Strategies under Transaction Costs
by Walter Schachermayer
- 1308.1321 Asset Allocation under the Basel Accord Risk Measures
by Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai
- 1308.1221 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1308.1154 Dynamic evolution of cross-correlations in the Chinese stock market
by Fei Ren & Wei-Xing Zhou
- 1308.0958 The Skin In The Game Heuristic for Protection Against Tail Events
by Nassim N. Taleb & Constantine Sandis
- 1308.0931 Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya
- 1308.0925 Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
by Ming-Xia Li & Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Wei-Xing Zhou
- 1308.0889 The Financing of Innovative SMEs: a multicriteria credit rating model
by Silvia Angilella & Sebastiano Mazz`u
- 1308.0773 Network versus portfolio structure in financial systems
by Teruyoshi Kobayashi
- 1308.0669 Time-reversal asymmetry in financial systems
by X. F. Jiang & T. T. Chen & B. Zheng
- 1308.0665 Efficient valuation method for the SABR model
by Hyukjae Park
- 1308.0652 Efficient immunization strategies to prevent financial contagion
by Teruyoshi Kobayashi & Kohei Hasui
- 1308.0526 Detecting spatial homogeneity in the world trade web with Detrended Fluctuation Analysis
by Riccardo Chiarucci & Franco Ruzzenenti & Maria I. Loffredo
- 1308.0210 Gold, Oil, and Stocks
by Jozef Barunik & Evzen Kocenda & Lukas Vacha
- 1307.8308 Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)
by Y. Shi & A. N. Gorban & T. Y. Yang
- 1307.8261 Liability-driven investment in longevity risk management
by Helena Aro & Teemu Pennanen
- 1307.8020 Systematic and non-systematic mortality risk in pension portfolios
by Helena Aro
- 1307.7244 Extracting information from the signature of a financial data stream
by Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field
- 1307.7178 A hybrid approach for the implementation of the Heston model
by Maya Briani & Lucia Caramellino & Antonino Zanette
- 1307.7070 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
by Runhuan Feng & Hans W. Volkmer
- 1307.6974 Network Topologies of Financial Market During the Global Financial Crisis
by Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee
- 1307.6727 Quantum Tunneling of Stock Price in Range Bound Market Conditions
by Ovidiu Racorean
- 1307.6695 Where Do Thin Tails Come From?
by Nassim Nicholas Taleb
- 1307.6486 CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
by Cyril Durand & Marek Rutkowski
- 1307.6332 Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
by Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart
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