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Content
2019
- 1905.03273 Dependencies and systemic risk in the European insurance sector: Some new evidence based on copula-DCC-GARCH model and selected clustering methods
by Anna Denkowska & Stanis{l}aw Wanat
- 1905.03211 Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena
by C. R. da Cunha & R. da Silva
- 1905.03189 Online reviews can predict long-term returns of individual stocks
by Junran Wu & Ke Xu & Jichang Zhao
- 1905.03108 From Sicilian mafia to Chinese "scam villages"
by Jeff Yan
- 1905.03092 Working women and caste in India: A study of social disadvantage using feature attribution
by Kuhu Joshi & Chaitanya K. Joshi
- 1905.03002 The mitigating role of regulation on the concentric patterns of broadband diffusion. The case of Finland
by Jaume Benseny & Juuso Toyli & Heikki Hammainen & Andr'es Arcia-Moret
- 1905.02956 Economic Performance Through Time: A Dynamical Theory
by Daniel Seligson & Anne McCants
- 1905.02917 Spherical Preferences
by Christopher P. Chambers & Federico Echenique
- 1905.02875 Does Environmental Economics lead to patentable research?
by Xiaojun Hu & Ronald Rousseau & Sandra Rousseau
- 1905.02817 Conditions for stable equilibrium in Cournot duopoly models with tax evasion and time delay
by Raul Villafuerte-Segura & Eduardo Alvarado-Santos & Benjamin A. Itza-Ortiz
- 1905.02810 Decision Making with Machine Learning and ROC Curves
by Kai Feng & Han Hong & Ke Tang & Jingyuan Wang
- 1905.02674 Where does active travel fit within local community narratives of mobility space and place?
by Alec Biehl & Ying Chen & Karla Sanabria-Veaz & David Uttal & Amanda Stathopoulos
- 1905.02650 A class of recursive optimal stopping problems with applications to stock trading
by Katia Colaneri & Tiziano De Angelis
- 1905.02107 Lasso under Multi-way Clustering: Estimation and Post-selection Inference
by Harold D. Chiang & Yuya Sasaki
- 1905.02092 Impact of Artificial Intelligence on Businesses: from Research, Innovation, Market Deployment to Future Shifts in Business Models
by Neha Soni & Enakshi Khular Sharma & Narotam Singh & Amita Kapoor
- 1905.02073 When abstinence increases prevalence
by Sander Heinsalu
- 1905.02061 Estimation of high-dimensional factor models and its application in power data analysis
by Xin Shi & Robert Qiu
- 1905.01894 A Binomial Asset Pricing Model in a Categorical Setting
by Takanori Adachi & Katsushi Nakajima & Yoshihiro Ryu
- 1905.01859 Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
by Martin Brown & Tomasz Zastawniak
- 1905.01805 Computing a Data Dividend
by Eric Bax
- 1905.01798 Non-standard inference for augmented double autoregressive models with null volatility coefficients
by Feiyu Jiang & Dong Li & Ke Zhu
- 1905.01720 Numerical method for model-free pricing of exotic derivatives using rough path signatures
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.01706 Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
by Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee
- 1905.01693 Public goods in networks with constraints on sharing
by Stefanie Gerke & Gregory Gutin & Sung-Ha Hwang & Philip Neary
- 1905.01617 Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study
by Marcel Ausloos & Ali Eskandary & Parmjit Kaur & Gurjeet Dhesi
- 1905.01541 Co-jumping of Treasury Yield Curve Rates
by Jozef Barunik & Pavel Fiser
- 1905.01327 Do Informational Cascades Happen with Non-myopic Agents?
by Ilai Bistritz & Nasimeh Heydaribeni & Achilleas Anastasopoulos
- 1905.01099 PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
by M. C. Calvo-Garrido & S. Diop & A. Pascucci & C. V'azquez
- 1905.01096 A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications
by Grigory Franguridi & Hyungsik Roger Moon
- 1905.01018 Fractal Time Series Analysis of Social Network Activities
by Lyudmyla Kirichenko & Vitalii Bulakh & Tamara Radivilova
- 1905.00853 The Declining Price Anomaly is not Universal in Multi-Buyer Sequential Auctions (but almost is)
by Vishnu V. Narayan & Enguerrand Prebet & Adrian Vetta
- 1905.00744 Sparsity Double Robust Inference of Average Treatment Effects
by Jelena Bradic & Stefan Wager & Yinchu Zhu
- 1905.00728 Optimal execution with rough path signatures
by Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas
- 1905.00711 Nonparametric pricing and hedging of exotic derivatives
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.00556 Data Analytics in Operations Management: A Review
by Velibor V. Miv{s}i'c & Georgia Perakis
- 1905.00545 Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies
by Andr'es Garc'ia Medina & Graciela Gonz'alez-Far'ias
- 1905.00486 Set-valued risk statistics with the time value of money
by Fei Sun & Xiaozhi Fan & Weitao Liu
- 1905.00419 Variational Bayesian Inference for Mixed Logit Models with Unobserved Inter- and Intra-Individual Heterogeneity
by Rico Krueger & Prateek Bansal & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1905.00364 Matching for the Israeli "Mechinot" Gap-Year Programs: Handling Rich Diversity Requirements
by Yannai A. Gonczarowski & Lior Kovalio & Noam Nisan & Assaf Romm
- 1905.00355 Compactification of Extensive Game Structures and Backward Dominance Procedure
by Shuige Liu
- 1905.00238 Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
by Kathrin Glau & Ricardo Pachon & Christian Potz
- 1905.00175 Boosting: Why You Can Use the HP Filter
by Peter C. B. Phillips & Zhentao Shi
- 1905.00107 Statistical Learning for Probability-Constrained Stochastic Optimal Control
by Alessandro Balata & Michael Ludkovski & Aditya Maheshwari & Jan Palczewski
- 1904.13329 Supervised Machine Learning for Eliciting Individual Demand
by John A. Clithero & Jae Joon Lee & Joshua Tasoff
- 1904.13276 Tax Mechanisms and Gradient Flows
by Stefan Steinerberger & Aleh Tsyvinski
- 1904.13257 Risk measures and progressive enlargement of filtration: a BSDE approach
by Alessandro Calvia & Emanuela Rosazza Gianin
- 1904.13194 A Factor-Augmented Markov Switching (FAMS) Model
by Gregor Zens & Maximilian Bock
- 1904.13064 Bessel-like birth-death process
by Vygintas Gontis & Aleksejus Kononovicius
- 1904.12992 Fast Mesh Refinement in Pseudospectral Optimal Control
by N. Koeppen & I. M. Ross & L. C. Wilcox & R. J. Proulx
- 1904.12887 Curriculum Learning in Deep Neural Networks for Financial Forecasting
by Allison Koenecke & Amita Gajewar
- 1904.12834 Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
by Yu Zheng & Yongxin Yang & Bowei Chen
- 1904.12775 Exact Testing of Many Moment Inequalities Against Multiple Violations
by Nick Koning & Paul Bekker
- 1904.12614 Modelling election dynamics and the impact of disinformation
by Dorje C Brody
- 1904.12526 Empirical facts characterizing banking crises: an analysis via binary time series
by Paolo Di Caro & Giuseppe Pernagallo & Antonino Damiano Rossello & Benedetto Torrisi
- 1904.12442 Mean-variance portfolio selection under Volterra Heston model
by Bingyan Han & Hoi Ying Wong
- 1904.12422 Efficiency in Truthful Auctions via a Social Network
by Seiji Takanashi & Takehiro Kawasaki & Taiki Todo & Makoto Yokoo
- 1904.12397 Identification of Key Companies for International Profit Shifting in the Global Ownership Network
by Tembo Nakamoto & Abhijit Chakraborty & Yuichi Ikeda
- 1904.12346 Rough volatility of Bitcoin
by Tetsuya Takaishi
- 1904.12260 Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
by Takuji Arai
- 1904.12134 Regulating AI: do we need new tools?
by Otello Ardovino & Jacopo Arpetti & Marco Delmastro
- 1904.12113 Tail models and the statistical limit of accuracy in risk assessment
by Ingo Hoffmann & Christoph J. Borner
- 1904.12085 The Category of Node-and-Choice Forms, with Subcategories for Choice-Sequence Forms and Choice-Set Forms
by Peter A. Streufert
- 1904.12051 A Multicriteria Decision Making Approach to Study the Barriers to the Adoption of Autonomous Vehicles
by Alok Raj & J Ajith Kumar & Prateek Bansal
- 1904.11911 Optimally stopping at a given distance from the ultimate supremum of a spectrally negative L\'evy process
by M'onica B. Carvajal Pinto & Kees van Schaik
- 1904.11604 A Game Theoretic Setting of Capitation Versus Fee-For-Service Payment Systems
by Allison Koenecke
- 1904.11565 The Black-Scholes Equation in Presence of Arbitrage
by Simone Farinelli & Hideyuki Takada
- 1904.11496 Multiple Benefits through Smart Home Energy Management Solutions -- A Simulation-Based Case Study of a Single-Family House in Algeria and Germany
by Marc Ringel & Roufaida Laidi & Djamel Djenouri
- 1904.11392 Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
by Haoran Wang & Xun Yu Zhou
- 1904.11377 Shared factory: a new production node for social manufacturing in the context of sharing economy
by Pingyu Jiang & Pulin Li
- 1904.11376 Deep Generative Models for Reject Inference in Credit Scoring
by Rogelio A. Mancisidor & Michael Kampffmeyer & Kjersti Aas & Robert Jenssen
- 1904.11252 Risk-neutral pricing for APT
by Laurence Carassus & Miklos Rasonyi
- 1904.11156 Nonparametric Estimation and Inference in Economic and Psychological Experiments
by Raffaello Seri & Samuele Centorrino & Michele Bernasconi
- 1904.11145 Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)
by Ali Habibnia & Esfandiar Maasoumi
- 1904.11143 Identification of Regression Models with a Misclassified and Endogenous Binary Regressor
by Hiroyuki Kasahara & Katsumi Shimotsu
- 1904.11060 Normal Approximation in Large Network Models
by Michael P. Leung & Hyungsik Roger Moon
- 1904.11032 Regulator-based risk statistics with scenario analysis
by Xiaochuan Deng & Fei Sun
- 1904.10744 Observing Actions in Bayesian Games
by Dominik Grafenhofer & Wolfgang Kuhle
- 1904.10625 Optimization of the post-crisis recovery plans in scale-free networks
by Mohammad Bahrami & Narges Chinichian & Ali Hosseiny & Gholamreza Jafari & Marcel Ausloos
- 1904.10554 Deep Q-Learning for Nash Equilibria: Nash-DQN
by Philippe Casgrain & Brian Ning & Sebastian Jaimungal
- 1904.10523 A neural network-based framework for financial model calibration
by Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee
- 1904.10250 Best Portfolio Management Strategies For Synthetic and Real Assets
by Jaros{l}aw Gruszka & Janusz Szwabi'nski
- 1904.10229 Hedging longevity risk in defined contribution pension schemes
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang
- 1904.10182 Copula estimation for nonsynchronous financial data
by Arnab Chakrabarti & Rituparna Sen
- 1904.10063 Optimal valuation of American callable credit default swaps under drawdown of L\'evy insurance risk process
by Zbigniew Palmowski & Budhi Surya
- 1904.09967 Investment in EV charging spots for parking
by Brendan Badia & Randall Berry & Ermin Wei
- 1904.09888 Penney's Game Odds From No-Arbitrage
by Joshua B. Miller
- 1904.09857 ICT Capital-Skill Complementarity and Wage Inequality: Evidence from OECD Countries
by Hiroya Taniguchi & Ken Yamada
- 1904.09799 Prediction Law of Mixed Gaussian Volterra Processes
by Tommi Sottinen & Lauri Viitasaari
- 1904.09586 Limits to green growth and the dynamics of innovation
by Salvador Pueyo
- 1904.09456 Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization
by Birgit Rudloff & Firdevs Ulus
- 1904.09403 On the Evolution of Cryptocurrency Market Efficiency
by Akihiko Noda
- 1904.09379 Horizon-unbiased Investment with Ambiguity
by Qian Lin & Xianming Sun & Chao Zhou
- 1904.09372 Average Density Estimators: Efficiency and Bootstrap Consistency
by Matias D. Cattaneo & Michael Jansson
- 1904.09240 ADOL - Markovian approximation of rough lognormal model
by Peter Carr & Andrey Itkin
- 1904.09214 Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts
by Tarcisio M. Rocha Filho & Paulo M. M. Rocha
- 1904.09165 Location-Sector Analysis of International Profit Shifting on a Multilayer Ownership-Tax Network
by Tembo Nakamoto & Odile Rouhban & Yuichi Ikeda
- 1904.09088 Simulation-based Value-at-Risk for Nonlinear Portfolios
by Junyao Chen & Tony Sit & Hoi Ying Wong
- 1904.08925 The impact of proportional transaction costs on systematically generated portfolios
by Johannes Ruf & Kangjianan Xie
- 1904.08829 Regulator-based risk statistics for portfolios
by Xiaochuan Deng & Fei Sun
- 1904.08780 No-arbitrage with multiple-priors in discrete time
by Romain Blanchard & Laurence Carassus
- 1904.08580 Ridge regularization for Mean Squared Error Reduction in Regression with Weak Instruments
by Karthik Rajkumar
- 1904.08551 Asymptotic Behavior of Bayesian Learners with Misspecified Models
by Ignacio Esponda & Demian Pouzo & Yuichi Yamamoto
- 1904.08522 Sharp Bounds for the Marginal Treatment Effect with Sample Selection
by Vitor Possebom
- 1904.08459 Stock Forecasting using M-Band Wavelet-Based SVR and RNN-LSTMs Models
by Hieu Quang Nguyen & Abdul Hasib Rahimyar & Xiaodi Wang
- 1904.08332 A Generalized Continuous-Multinomial Response Model with a t-distributed Error Kernel
by Subodh Dubey & Prateek Bansal & Ricardo A. Daziano & Erick Guerra
- 1904.08153 A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour
by Th'eophile Griveau-Billion & Ben Calderhead
- 1904.08136 A Pyramid Scheme Model Based on "Consumption Rebate" Frauds
by Yong Shi & Bo Li & Wen Long
- 1904.08131 Averaging plus Learning Models and Their Asymptotics
by Ionel Popescu & Tushar Vaidya
- 1904.08029 Optimal loss-carry-forward taxation for L\'{e}vy risk processes stopped at general draw-down time
by Wenyuan Wang & Zhimin Zhang
- 1904.07987 Can Mobility-on-Demand services do better after discerning reliability preferences of riders?
by Prateek Bansal & Yang Liu & Ricardo Daziano & Samitha Samaranayake
- 1904.07688 P\'olygamma Data Augmentation to address Non-conjugacy in the Bayesian Estimation of Mixed Multinomial Logit Models
by Prateek Bansal & Rico Krueger & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1904.07660 Multiple-interaction kinetic modelling of a virtual-item gambling economy
by Giuseppe Toscani & Andrea Tosin & Mattia Zanella
- 1904.07644 Consumer Privacy and Serial Monopoly
by V. Bhaskar & Nikita Roketskiy
- 1904.07583 Clearing price distributions in call auctions
by M. Derksen & B. Kleijn & R. de Vilder
- 1904.07456 Optimal mechanism for the sale of a durable good
by Laura Doval & Vasiliki Skreta
- 1904.07444 Equilibria in a large production economy with an infinite dimensional commodity space and price dependent preferences
by Hyo Seok Jang & Sangjik Lee
- 1904.07226 From multi-dimensional black scholes to Hamilton jacobi
by Muhammad Naqeeb & Amjad hussain
- 1904.07111 On the construction of confidence intervals for ratios of expectations
by Alexis Derumigny & Lucas Girard & Yannick Guyonvarch
- 1904.07103 Subgeometric ergodicity and $\beta$-mixing
by Mika Meitz & Pentti Saikkonen
- 1904.07089 Subgeometrically ergodic autoregressions
by Mika Meitz & Pentti Saikkonen
- 1904.06843 Estimation of Cross-Sectional Dependence in Large Panels
by Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang
- 1904.06824 Tail probabilities of random linear functions of regularly varying random vectors
by Bikramjit Das & Vicky Fasen-Hartmann & Claudia Kluppelberg
- 1904.06757 Price Setting on a Network
by Toomas Hinnosaar
- 1904.06742 Peer Effects in Random Consideration Sets
by Nail Kashaev & Natalia Lazzati
- 1904.06722 Boomerang: Rebounding the Consequences of Reputation Feedback on Crowdsourcing Platforms
by Snehalkumar & S. Gaikwad & Durim Morina & Adam Ginzberg & Catherine Mullings & Shirish Goyal & Dilrukshi Gamage & Christopher Diemert & Mathias Burton & Sharon Zhou & Mark Whiting & Karolina Ziulkoski & Alipta Ballav & Aaron Gilbee & Senadhipathige S. Niranga & Vibhor Sehgal & Jasmine Lin & Leonardy Kristianto & Angela Richmond-Fuller & Jeff Regino & Nalin Chhibber & Dinesh Majeti & Sachin Sharma & Kamila Mananova & Dinesh Dhakal & William Dai & Victoria Purynova & Samarth Sandeep & Varshine Chandrakanthan & Tejas Sarma & Sekandar Matin & Ahmed Nasser & Rohit Nistala & Alexander Stolzoff & Kristy Milland & Vinayak Mathur & Rajan Vaish & Michael S. Bernstein
- 1904.06695 Eliciting Preferences of Ridehailing Users and Drivers: Evidence from the United States
by Prateek Bansal & Akanksha Sinha & Rubal Dua & Ricardo Daziano
- 1904.06640 Complex Network Construction of Internet Financial risk
by Runjie Xu & Chuanmin Mi & Rafal Mierzwiak & Runyu Meng
- 1904.06628 Nash Bargaining Over Margin Loans to Kelly Gamblers
by Alex Garivaltis
- 1904.06520 Costly Attention and Retirement
by Jamie Hentall-MacCuish
- 1904.06337 Optimal Behaviour in Solar Renewable Energy Certificate (SREC) Markets
by Arvind Shrivats & Sebastian Jaimungal
- 1904.06300 Journal ranking should depend on the level of aggregation
by L'aszl'o Csat'o
- 1904.06298 Dynamic investment model of the life cycle of a company under the influence of factors in a competitive environment
by O. A. Malafeyev & I. I. Pavlov
- 1904.06185 Distribution Regression in Duration Analysis: an Application to Unemployment Spells
by Miguel A. Delgado & Andr'es Garc'ia-Suaza & Pedro H. C. Sant'Anna
- 1904.06007 A Weight-based Information Filtration Algorithm for Stock-Correlation Networks
by Seyed Soheil Hosseini & Nick Wormald & Tianhai Tian
- 1904.05952 Identification of Noncausal Models by Quantile Autoregressions
by Alain Hecq & Li Sun
- 1904.05931 A memory-based method to select the number of relevant components in Principal Component Analysis
by Anshul Verma & Pierpaolo Vivo & Tiziana Di Matteo
- 1904.05921 Deep-learning based numerical BSDE method for barrier options
by Bing Yu & Xiaojing Xing & Agus Sudjianto
- 1904.05656 Pricing under Fairness Concerns
by Erik Eyster & Kristof Madarasz & Pascal Michaillat
- 1904.05554 Understanding consumer demand for new transport technologies and services, and implications for the future of mobility
by Akshay Vij
- 1904.05481 Stochastic Comparative Statics in Markov Decision Processes
by Bar Light
- 1904.05472 Theory of Cryptocurrency Interest Rates
by Dorje C. Brody & Lane P. Hughston & Bernhard K. Meister
- 1904.05422 Optimal excess-of-loss reinsurance for stochastic factor risk models
by Matteo Brachetta & Claudia Ceci
- 1904.05384 Feature Engineering for Mid-Price Prediction with Deep Learning
by Adamantios Ntakaris & Giorgio Mirone & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1904.05317 On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market
by Abhibasu Sen & Karabi Dutta Chaudhury
- 1904.05315 Bitcoin Price Prediction: An ARIMA Approach
by Amin Azari
- 1904.05312 Bayesian prediction of jumps in large panels of time series data
by Angelos Alexopoulos & Petros Dellaportas & Omiros Papaspiliopoulos
- 1904.05232 Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
by Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning
- 1904.05209 Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
by Dennis Kristensen & Young Jun Lee
- 1904.05028 A Normative Dual-value Theory for Bitcoin and other Cryptocurrencies
by Zhiyong Tu & Lan Ju
- 1904.04973 Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey
by Yoshiharu Sato
- 1904.04951 Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models
by Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn
- 1904.04912 Enhancing Time Series Momentum Strategies Using Deep Neural Networks
by Bryan Lim & Stefan Zohren & Stephen Roberts
- 1904.04911 FDI, banking crisis and growth: direct and spill over effects
by Brahim Gaies & Khaled Guesmi & St'ephane Goutte
- 1904.04644 Martingale optimal transport duality
by Patrick Cheridito & Matti Kiiski & David J. Promel & H. Mete Soner
- 1904.04554 From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models
by Pierre Henry-Labordere
- 1904.04546 (Martingale) Optimal Transport And Anomaly Detection With Neural Networks: A Primal-dual Algorithm
by Pierre Henry-Labordere
- 1904.04422 A long-term alternative formula for a stochastic stock price model
by Takuya Okabe & Jin Yoshimura
- 1904.04225 A Forward Electricity Contract Price Projection: A Market Equilibrium Approach
by Mateus A. Cavaliere & Sergio Granville & Gerson C. Oliveira & Mario V. F. Pereira
- 1904.04217 Fixed Effects Binary Choice Models: Estimation and Inference with Long Panels
by Daniel Czarnowske & Amrei Stammann
- 1904.04192 The fragility of decentralised trustless socio-technical systems
by Manlio De Domenico & Andrea Baronchelli
- 1904.04171 Stability of martingale optimal transport and weak optimal transport
by Julio Backhoff-Veraguas & Gudmund Pammer
- 1904.03726 A Theory of Information overload applied to perfectly efficient financial markets
by Giuseppe Pernagallo & Benedetto Torrisi
- 1904.03647 Bayesian Estimation of Mixed Multinomial Logit Models: Advances and Simulation-Based Evaluations
by Prateek Bansal & Rico Krueger & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1904.03488 Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market
by Giuseppe Pernagallo & Benedetto Torrisi
- 1904.03356 The Leland-Toft optimal capital structure model under Poisson observations
by Zbigniew Palmowski & Jos'e Luis P'erez & Budhi Arta Surya & Kazutoshi Yamazaki
- 1904.03058 A stochastic partial differential equation model for limit order book dynamics
by Rama Cont & Marvin S. Mueller
- 1904.03053 Anticipated impacts of Brexit scenarios on UK food prices and implications for policies on poverty and health: a structured expert judgement approach
by Martine J Barons & Willy Aspinall
- 1904.02934 Second-order Inductive Inference: an axiomatic approach
by Patrick H. O'Callaghan
- 1904.02930 Term Structure Modeling under Volatility Uncertainty
by Julian Holzermann
- 1904.02567 Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
by Cheoljun Eom & Taisei Kaizoji & Enrico Scalas
- 1904.02412 Enhancing countries' fitness with recommender systems on the international trade network
by Hao Liao & Xiao-Min Huang & Xing-Tong Wu & Ming-Kai Liu & Alexandre Vidmer & Mingyang Zhou & Yi-Cheng Zhang
- 1904.02058 Do Hospital Data Breaches Reduce Patient Care Quality?
by Sung J. Choi & M. Eric Johnson
- 1904.01889 Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
by Damiano Brigo
- 1904.01745 Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
by Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou
- 1904.01566 Bayesian Trading Cost Analysis and Ranking of Broker Algorithms
by Vladimir Markov
- 1904.01490 Synthetic learner: model-free inference on treatments over time
by Davide Viviano & Jelena Bradic
- 1904.01412 Quintet Volume Projection
by Vladimir Markov & Olga Vilenskaia & Vlad Rashkovich
- 1904.01159 Matching Points: Supplementing Instruments with Covariates in Triangular Models
by Junlong Feng
- 1904.01047 Dynamically Optimal Treatment Allocation
by Karun Adusumilli & Friedrich Geiecke & Claudio Schilter
- 1904.00989 Counterfactual Sensitivity and Robustness
by Timothy Christensen & Benjamin Connault
- 1904.00890 Momentum and liquidity in cryptocurrencies
by Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar
- 1904.00749 Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modeling
by Novy Ann M. Etac & Roel F. Ceballos
- 1904.00745 Deep Learning in Asset Pricing
by Luyang Chen & Markus Pelger & Jason Zhu
- 1904.00613 An Alternative Set Model of Cognitive Jump
by Kiri Sakahara & Takashi Sato
- 1904.00500 Game of Variable Contributions to the Common Good under Uncertainty
by H. Dharma Kwon
- 1904.00454 Herding driven by the desire to differ
by Sander Heinsalu
- 1904.00267 Price equations with symmetric supply/demand; implications for fat tails
by Carey Caginalp & Gunduz Caginalp
- 1904.00211 Post-Selection Inference in Three-Dimensional Panel Data
by Harold D. Chiang & Joel Rodrigue & Yuya Sasaki
- 1904.00151 A Thermodynamic Picture of Financial Market and Model Risk
by Yu Feng
- 1904.00111 Simple subvector inference on sharp identified set in affine models
by Bulat Gafarov
- 1904.00075 Optimal stopping for the exponential of a Brownian bridge
by Tiziano De Angelis & Alessandro Milazzo
- 1904.00029 Parametric identification of the dynamics of inter-sectoral balance: modelling and forecasting
by Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres
- 1903.12458 Market Manipulation as a Security Problem
by Vasilios Mavroudis
- 1903.12426 Optimal Reinsurance and Investment in a Diffusion Model
by Matteo Brachetta & Hanspeter Schmidli
- 1903.12267 Modeling, discretization, and hyperchaos detection of conformable derivative approach to a financial system with market confidence and ethics risk
by Baogui Xin & Wei Peng & Yekyung Kwon & Yanqin Liu
- 1903.12258 Using Deep Learning Neural Networks and Candlestick Chart Representation to Predict Stock Market
by Rosdyana Mangir Irawan Kusuma & Trang-Thi Ho & Wei-Chun Kao & Yu-Yen Ou & Kai-Lung Hua
- 1903.12077 Time series models for realized covariance matrices based on the matrix-F distribution
by Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li
- 1903.11804 Short Selling with Margin Risk and Recall Risk
by Kristoffer Glover & Hardy Hulley
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