Printed from https://ideas.repec.org/s/arx/papers126.html
Content
2017
- 1706.05877 General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences
by Tyler Abbot - 1706.05812 News-sentiment networks as a risk indicator
by Thomas Forss & Peter Sarlin - 1706.05735 Quantifying the Benefits of Infrastructure Sharing
by Matthew Andrews & Milan Bradonjic & Iraj Saniee - 1706.05703 Modeling credit default swap premiums with stochastic recovery rate
by Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad - 1706.05543 Transfer entropy between communities in complex networks
by Jan Korbel & Xiongfei Jiang & Bo Zheng - 1706.05291 Pathwise large deviations for the Rough Bergomi model
by Antoine Jacquier & Mikko S. Pakkanen & Henry Stone - 1706.05280 Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
by Gregor Kastner & Sylvia Fruhwirth-Schnatter - 1706.04844 On the minimizers of energy forms with completely monotone kernel
by Alexander Schied & Elias Strehle - 1706.04566 Realized volatility and parametric estimation of Heston SDEs
by Robert Azencott & Peng Ren & Ilya Timofeyev - 1706.04518 Effect of Intellectual Property Policy on the Speed of Technological Advancement
by Ivan D. Breslavsky - 1706.04229 Picking Winners: A Data Driven Approach to Evaluating the Quality of Startup Companies
by David Scott Hunter & Ajay Saini & Tauhid Zaman - 1706.04210 Open Source Fundamental Industry Classification
by Zura Kakushadze & Willie Yu - 1706.04163 Universal scaling and nonlinearity of aggregate price impact in financial markets
by Felix Patzelt & Jean-Philippe Bouchaud - 1706.03724 Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models
by Neofytos Rodosthenous & Hongzhong Zhang - 1706.03567 Portfolio optimization for a large investor controlling market sentiment under partial information
by Suhan Altay & Katia Colaneri & Zehra Eksi - 1706.03502 Economics of limiting cumulative CO2 emissions
by Ashwin K Seshadri - 1706.03411 Analysis of order book flows using a nonparametric estimation of the branching ratio matrix
by Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi - 1706.03246 Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014
by Vasilya Usmanova & Yury V. Lysogorskiy & Sumiyoshi Abe - 1706.03139 Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu - 1706.02985 Stock Trading Using PE ratio: A Dynamic Bayesian Network Modeling on Behavioral Finance and Fundamental Investment
by Haizhen Wang & Ratthachat Chatpatanasiri & Pairote Sattayatham - 1706.02936 Principal-Agent Problem with Common Agency without Communication
by Thibaut Mastrolia & Zhenjie Ren - 1706.02795 A Deep Causal Inference Approach to Measuring the Effects of Forming Group Loans in Online Non-profit Microfinance Platform
by Thai T. Pham & Yuanyuan Shen - 1706.02408 Most-likely-path in Asian option pricing under local volatility models
by Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang - 1706.02227 Adaptive Robust Control Under Model Uncertainty
by Tomasz R. Bielecki & Tao Chen & Igor Cialenco & Areski Cousin & Monique Jeanblanc - 1706.02168 Testing Ambiguity and Machina Preferences Within a Quantum-theoretic Framework for Decision-making
by Diederik Aerts & Suzette Geriente & Catarina Moreira & Sandro Sozzo - 1706.02090 Informing Additive Manufacturing technology adoption: total cost and the impact of capacity utilisation
by Martin Baumers & Luca Beltrametti & Angelo Gasparre & Richard Hague - 1706.01934 An adverse selection approach to power pricing
by Cl'emence Alasseur & Ivar Ekeland & Romuald Elie & Nicol'as Hern'andez Santib'a~nez & Dylan Possamai - 1706.01833 Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling
by Yaxiong Zeng & Diego Klabjan - 1706.01813 Optimal dividend policies with random profitability
by Max Reppen & Jean-Charles Rochet & H. Mete Soner - 1706.01778 Sampling-based vs. Design-based Uncertainty in Regression Analysis
by Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge - 1706.01748 Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables
by Victor Olkhov - 1706.01666 A predictive pan-European economic and production dispatch model for the energy transition in the electricity sector
by Laurent Pagnier & Philippe Jacquod - 1706.01562 Pricing Asian options for NIG and VG Levy markets
by Belkacem Berdjane - 1706.01534 Hedging in fractional Black-Scholes model with transaction costs
by Foad Shokrollahi & Tommi Sottinen - 1706.01437 Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series
by Obryan Poyser - 1706.01254 Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions
by Thibaut Mastrolia - 1706.00948 Financial Series Prediction: Comparison Between Precision of Time Series Models and Machine Learning Methods
by Xin-Yao Qian - 1706.00873 Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
by Jean-Pierre Fouque & Yuri F. Saporito - 1706.00849 A Game of Nontransitive Dice
by Artem Hulko & Mark Whitmeyer - 1706.00467 Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality
by Hynek Lavicka & Jiri Kracik - 1706.00330 How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid
by Laurent Pagnier & Philippe Jacquod - 1706.00284 Clearing algorithms and network centrality
by Christoph Siebenbrunner - 1706.00263 Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
by Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued - 1706.00203 Characterization of the community structure in a large-scale production network in Japan
by Abhijit Chakraborty & Hazem Krichene & Hiroyasu Inoue & Yoshi Fujiwara - 1705.10974 Trends in Banking 2017 and onwards
by Peter Mitic - 1705.10454 Dynamic Index Tracking and Risk Exposure Control Using Derivatives
by Tim Leung & Brian Ward - 1705.10294 The Impact of Digital Financial Services on Firm's Performance: a Literature Review
by Tariq Abbasi & Hans Weigand - 1705.09965 The Action Principle in Market Mechanics
by J. T. Manhire - 1705.09955 Standardised Reputation Measurement
by Peter Mitic - 1705.09952 Optimal sequential treatment allocation
by Anders Bredahl Kock & Martin Thyrsgaard - 1705.09827 Mini-Flash Crashes, Model Risk, and Optimal Execution
by Erhan Bayraktar & Alexander Munk - 1705.09800 Growth-Optimal Portfolio Selection under CVaR Constraints
by Guy Uziel & Ran El-Yaniv - 1705.09505 The geometry of multi-marginal Skorokhod Embedding
by Mathias Beiglboeck & Alexander Cox & Martin Huesmann - 1705.09418 Nonparametric Regression with Multiple Thresholds: Estimation and Inference
by Yan-Yu Chiou & Mei-Yuan Chen & Jau-er Chen - 1705.08955 Classifications of Innovations Survey and Future Directions
by Mario Coccia - 1705.08545 Financial Time Series Forecasting: Semantic Analysis Of Economic News
by Kateryna Kononova & Anton Dek - 1705.08536 A Quantum-like Model of Selection Behavior
by Masanari Asano & Irina Basieva & Andrei Khrennikov & Masanori Ohya & Yoshiharu Tanaka - 1705.08411 Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
by Zailei Cheng - 1705.08301 Data and uncertainty in extreme risks - a nonlinear expectations approach
by Samuel N. Cohen - 1705.08291 Sensitivity analysis of the utility maximization problem with respect to model perturbations
by Oleksii Mostovyi & Mihai S^irbu - 1705.08240 Herding boosts too-connected-to-fail risk in stock market of China
by Shan Lu & Jichang Zhao & Huiwen Wang & Ruoen Ren - 1705.08033 Social Integration in Two-Sided Matching Markets
by Josue Ortega - 1705.08022 Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
by Yash Sharma - 1705.07472 On the Black's equation for the risk tolerance function
by Sigrid Kallblad & Thaleia Zariphopoulou - 1705.07352 A Dynkin game on assets with incomplete information on the return
by Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve - 1705.07155 Compressing Over-the-Counter Markets
by Marco D'Errico & Tarik Roukny - 1705.07092 Wealth dynamics in a sentiment-driven market
by Mikhail Goykhman - 1705.06918 Local risk-minimization with multiple assets under illiquidity with applications in energy markets
by Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis - 1705.06899 CDS Rate Construction Methods by Machine Learning Techniques
by Raymond Brummelhuis & Zhongmin Luo - 1705.06868 Conduct Risk - distribution models with very thin Tails
by Peter Mitic - 1705.06557 Application of Differential Equations in Projecting Growth Trajectories
by Ron W. Nielsen - 1705.06533 Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 1705.06208 Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation
by Stanislaw Drozdz & Andrzej Kulig & Jaroslaw Kwapien & Artur Niewiarowski & Marek Stanuszek - 1705.06141 Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
by Shaolin Ji & Hanqing Jin & Xiaomin Shi - 1705.05943 Banks as Tanks: A Continuous-Time Model of Financial Clearing
by Isaac M. Sonin & Konstantin Sonin - 1705.05934 Analytic techniques for option pricing under a hyperexponential L\'{e}vy model
by Daniel Hackmann - 1705.05882 Shorting in Speculative Markets
by Marcel Nutz & Jos'e A. Scheinkman - 1705.05666 Minimum R\'enyi Entropy Portfolios
by Nathan Lassance & Fr'ed'eric Vrins - 1705.05572 A Novel Approach to Quantification of Model Risk for Practitioners
by Zuzana Krajcovicova & Pedro Pablo Perez-Velasco & Carlos Vazquez - 1705.05334 Evolutionary dynamics of the cryptocurrency market
by Abeer ElBahrawy & Laura Alessandretti & Anne Kandler & Romualdo Pastor-Satorras & Andrea Baronchelli - 1705.04780 Calibration and Filtering of Exponential L\'evy Option Pricing Models
by Stavros J. Sioutis - 1705.04765 Inference on Breakdown Frontiers
by Matthew A. Masten & Alexandre Poirier - 1705.04537 Murphy Diagrams: Forecast Evaluation of Expected Shortfall
by Johanna F. Ziegel & Fabian Kruger & Alexander Jordan & Fernando Fasciati - 1705.03929 Investing for the Long Run
by Dietmar Leisen & Eckhard Platen - 1705.03848 Propensity to spending of an average consumer over a brief period
by Roberto De Luca & Marco Di Mauro & Angelo Falzarano & Adele Naddeo - 1705.03787 A note on the impact of management fees on the pricing of variable annuity guarantees
by Jin Sun & Pavel V. Shevchenko & Man Chung Fung - 1705.03724 Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
by Miryana Grigorova & Marie-Claire Quenez - 1705.03666 Hybrid PDE solver for data-driven problems and modern branching
by Francisco Bernal & Gonc{c}alo dos Reis & Greig Smith - 1705.03647 Polynomial processes in stochastic portfolio theory
by Christa Cuchiero - 1705.03458 Maximum Entropy Principle underlying the dynamics of automobile sales
by A. Hernando & D. Villuendas & M. Sulc & R. Hernando & R. Seoane & A. Plastino - 1705.03423 Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
by Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer - 1705.03396 Machine Learning Techniques for Mortality Modeling
by Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich - 1705.03233 Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
by Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis - 1705.02933 Duality for pathwise superhedging in continuous time
by Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi - 1705.02789 Unspanned Stochastic Volatility in the Multi-factor CIR Model
by Damir Filipovi'c & Martin Larsson & Francesco Statti - 1705.02559 An equation for a time-dependent profit rate
by Rafael D. Sorkin - 1705.02473 Computation of second order price sensitivities in depressed markets
by Youssef El-Khatib & Abdulnasser Hatemi-J - 1705.02440 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
by Masaaki Fujii & Akihiko Takahashi - 1705.02344 Noisy independent component analysis of auto-correlated components
by Jakob Knollmuller & Torsten A. En{ss}lin - 1705.02291 Optimal consumption of multiple goods in incomplete markets
by Oleksii Mostovyi - 1705.02187 The Indirect Effects of FDI on Trade: A Network Perspective
by Paolo Sgrignoli & Rodolfo Metulini & Zhen Zhu & Massimo Riccaboni - 1705.02154 Leontief Meets Shannon - Measuring the Complexity of the Economic System
by Dave Zachariah & Paul Cockshott - 1705.02087 A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
by Christa Cuchiero & Irene Klein & Josef Teichmann - 1705.01654 Are Unobservables Separable?
by Andrii Babii & Jean-Pierre Florens - 1705.01454 The Payoff Region of a Strategic Game and Its Extreme Points
by Yu-Sung Tu & Wei-Torng Juang - 1705.01446 Algorithmic trading in a microstructural limit order book model
by Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham - 1705.01407 Sparse Portfolio selection via Bayesian Multiple testing
by Sourish Das & Rituparna Sen - 1705.01406 The q-dependent detrended cross-correlation analysis of stock market
by Longfeng Zhao & Wei Li & Andrea Fenu & Boris Podobnik & Yougui Wang & H. Eugene Stanley - 1705.01348 An Alternative Estimation of Market Volatility based on Fuzzy Transform
by Luigi Troiano & Elena Mejuto Villa & Pravesh Kriplani - 1705.01302 A McKean-Vlasov approach to distributed electricity generation development
by Ren'e Aid & Matteo Basei & Huy^en Pham - 1705.01145 Stochastic modelling of non-stationary financial assets
by Joana Estevens & Paulo Rocha & Joao Boto & Pedro Lind - 1705.01144 A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector
by Jaydip Sen & Tamal Datta Chaudhuri - 1705.01142 Machine Learning for Better Models for Predicting Bond Prices
by Swetava Ganguli & Jared Dunnmon - 1705.01069 Pricing Variance Swaps on Time-Changed Markov Processes
by Peter Carr & Roger Lee & Matthew Lorig - 1705.00891 A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes
by Syed Ali Asad Rizvi & Stephen J. Roberts & Michael A. Osborne & Favour Nyikosa - 1705.00864 Towards the Exact Simulation Using Hyperbolic Brownian Motion
by Yuuki Ida & Yuri Imamura - 1705.00691 Particle systems with singular interaction through hitting times: application in systemic risk modeling
by Sergey Nadtochiy & Mykhaylo Shkolnikov - 1705.00672 Portfolio Choice with Small Temporary and Transient Price Impact
by Ibrahim Ekren & Johannes Muhle-Karbe - 1705.00558 Implied Stopping Rules for American Basket Options from Markovian Projection
by Christian Bayer & Juho Happola & Ra'ul Tempone - 1705.00543 Are target date funds dinosaurs? Failure to adapt can lead to extinction
by Peter A. Forsyth & Yuying Li & Kenneth R. Vetzal - 1705.00535 A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?
by Stavros Stavroyiannis - 1705.00340 Risk Minimization, Regret Minimization and Progressive Hedging Algorithms
by Jie Sun & Xinmin Yang & Qiang Yao & Min Zhang - 1705.00336 Stratonovich representation of semimartingale rank processes
by Robert Fernholz - 1705.00284 Periodic strategies in optimal execution with multiplicative price impact
by Daniel Hern'andez-Hern'andez & Harold A. Moreno-Franco & Jos'e Luis P'erez - 1705.00231 Optimal Invariant Tests in an Instrumental Variables Regression With Heteroskedastic and Autocorrelated Errors
by Marcelo J. Moreira & Mahrad Sharifvaghefi & Geert Ridder - 1705.00212 Option pricing: A yet simpler approach
by Jarno Talponen & Minna Turunen - 1705.00109 Multi-Period Trading via Convex Optimization
by Stephen Boyd & Enzo Busseti & Steven Diamond & Ronald N. Kahn & Kwangmoo Koh & Peter Nystrup & Jan Speth - 1704.08612 Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix
by Tetsuya Takaishi - 1704.08523 Economic Neutral Position: How to best replicate not fully replicable liabilities
by Andreas Kunz & Markus Popp - 1704.08488 Optimal client recommendation for market makers in illiquid financial products
by Dieter Hendricks & Stephen J. Roberts - 1704.08234 Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model
by Nian Yao & Zhiming Yang - 1704.08175 High-Frequency Jump Analysis of the Bitcoin Market
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan - 1704.08161 Stability of zero-growth economics analysed with a Minskyan model
by Adam B. Barrett - 1704.08066 Bootstrap-Based Inference for Cube Root Asymptotics
by Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa - 1704.07597 Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles
by Tushar Vaidya & Carlos Murguia & Georgios Piliouras - 1704.07321 Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
by Andrei Cozma & Christoph Reisinger - 1704.07235 Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle
by Umberto Cherubini & Paolo Neri - 1704.07152 Asymptotic multivariate expectiles
by V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said - 1704.06791 The effect of heterogeneity on financial contagion due to overlapping portfolios
by Opeoluwa Banwo & Fabio Caccioli & Paul Harrald & Francesca Medda - 1704.06697 Pairs Trading under Drift Uncertainty and Risk Penalization
by Suhan Altay & Katia Colaneri & Zehra Eksi - 1704.06572 A level-1 Limit Order book with time dependent arrival rates
by Jonathan A. Ch'avez-Casillas & Robert J. Elliott & Bruno R'emillard & Anatoliy V. Swishchuk - 1704.06550 On mean-variance hedging under partial observations and terminal wealth constraints
by Vitalii Makogin & Alexander Melnikov & Yuliya Mishura - 1704.06508 Scaling evidence of the homothetic nature of cities
by R'emi Lemoy & Geoffrey Caruso - 1704.06429 Simple wealth distribution model causing inequality-induced crisis without external shocks
by Henri Benisty - 1704.06388 Fast Quantization of Stochastic Volatility Models
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen - 1704.06027 Structural price model for electricity coupled markets
by Clemence Alasseur & Olivier Feron - 1704.05818 Anomalous Scaling of Stochastic Processes and the Moses Effect
by Lijian Chen & Kevin E. Bassler & Joseph L. McCauley & Gemunu H. Gunaratne - 1704.05729 A generalized Bayesian framework for the analysis of subscription based businesses
by Rahul Madhavan & Ankit Baraskar - 1704.05499 Quantifying instabilities in Financial Markets
by Bruna Amin Gonc{c}alves & Laura Carpi & Osvaldo A. Rosso & Martin G. Ravetti & A. P. F Atman - 1704.05332 The case of 'Less is more': Modelling risk-preference with Expected Downside Risk
by Mihaly Ormos & Dusan Timotity - 1704.05308 High-order compact finite difference scheme for option pricing in stochastic volatility jump models
by Bertram During & Alexander Pitkin - 1704.05276 Best reply structure and equilibrium convergence in generic games
by Marco Pangallo & Torsten Heinrich & J Doyne Farmer - 1704.05015 Measurement of Economic Growth, Development and Under Development: New Model and Application
by Mario Coccia - 1704.04979 Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market
by Vahid Moosavi - 1704.04524 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe - 1704.04450 Simplifying credit scoring rules using LVQ+PSO
by Laura Cristina Lanzarini & Augusto Villa Monte & Aurelio F. Bariviera & Patricia Jimbo Santana - 1704.04442 Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
by Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso - 1704.04354 An empirical behavioural order-driven model with price limit rules
by Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou - 1704.03597 Exploring the relationship between technological improvement and innovation diffusion: An empirical test
by JongRoul Woo & Christopher L. Magee - 1704.03244 Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
by Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva - 1704.03239 Sparse Bayesian vector autoregressions in huge dimensions
by Gregor Kastner & Florian Huber - 1704.03205 On Feature Reduction using Deep Learning for Trend Prediction in Finance
by Luigi Troiano & Elena Mejuto & Pravesh Kriplani - 1704.03110 Bartlett's delta in the SABR model
by Patrick S. Hagan & Andrew Lesniewski - 1704.02638 A fractional reaction-diffusion description of supply and demand
by Michael Benzaquen & Jean-Philippe Bouchaud - 1704.02505 Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility
by Dirk Becherer & Klebert Kentia - 1704.02453 Consistent Approval-Based Multi-Winner Rules
by Martin Lackner & Piotr Skowron - 1704.02392 Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics
by Jennifer Jhun & Patricia Palacios & James Owen Weatherall - 1704.02377 On absence of steady state in the Bouchaud-M\'ezard network model
by Zhiyuan Liu & R. A. Serota - 1704.02213 A Joint Quantile and Expected Shortfall Regression Framework
by Timo Dimitriadis & Sebastian Bayer - 1704.02160 A systemic shock model for too big to fail financial institutions
by Sabrina Mulinacci - 1704.02036 On a pricing problem for a multi-asset option with general transaction costs
by Pablo Amster & Andres P. Mogni - 1704.01840 The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries
by Claudiu Tiberiu Albulescu & Dominique P'epin & Stephen Miller - 1704.01608 Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks
by Andreas Frohlich & Annegret Weng - 1704.01503 Multivariate Geometric Expectiles
by Klaus Herrmann & Marius Hofert & Melina Mailhot - 1704.01366 Replica Analysis for Portfolio Optimization with Single-Factor Model
by Takashi Shinzato - 1704.01316 ICT and Employment in India: A Sectoral Level Analysis
by Dr. Pawan Kumar - 1704.01179 The Wandering of Corn
by Valerii Salov - 1704.01174 Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios
by Nonthachote Chatsanga & Andrew J. Parkes - 1704.01066 Tests for qualitative features in the random coefficients model
by Fabian Dunker & Konstantin Eckle & Katharina Proksch & Johannes Schmidt-Hieber - 1704.01028 Interconnectedness in the Global Financial Market
by Matthias Raddant & Dror Y. Kenett - 1704.00985 Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda - 1704.00847 Incorporating Signals into Optimal Trading
by Charles-Albert Lehalle & Eyal Neuman - 1704.00416 Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza - 1704.00383 How Wave - Wavelet Trading Wins and "Beats" the Market
by Lanh Tran - 1704.00256 Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms
by Visant Ahuja - 1703.10981 On coherency and other properties of MAXVAR
by Jie Sun & Qiang Yao - 1703.10897 Multi-unit Assignment under Dichotomous Preferences
by Josue Ortega - 1703.10832 Social dynamics of financial networks
by Teruyoshi Kobayashi & Taro Takaguchi - 1703.10825 Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja - 1703.10806 Probabilistic Mid- and Long-Term Electricity Price Forecasting
by Florian Ziel & Rick Steinert - 1703.10639 Agent-Based Model Calibration using Machine Learning Surrogates
by Francesco Lamperti & Andrea Roventini & Amir Sani - 1703.10588 Multiperiod Martingale Transport
by Marcel Nutz & Florian Stebegg & Xiaowei Tan - 1703.10469 Harry Potter and the Goblin Bank of Gringotts
by Zachary Feinstein - 1703.10098 Rational Choice and Artificial Intelligence
by Tshilidzi Marwala - 1703.09782 FIEMS: Fast Italian Energy Market Simulator
by Matteo Gardini & Marco Diana - 1703.09748 Smallest order closed sublattices and option spanning
by Niushan Gao & Denny H. Leung - 1703.09667 Biased Risk Parity with Fractal Model of Risk
by Sergey Kamenshchikov & Ilia Drozdov - 1703.09500 Non-parametric and semi-parametric asset pricing
by Peter Erdos & Mihaly Ormos & David Zibriczky