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### 2014

**1409.1620 Orthogonal Polynomials for Seminonparametric Instrumental Variables Model***by*Yevgeniy Kovchegov & Nese Yildiz**1409.1451 Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective***by*Gareth W. Peters & Ariane Chapelle & Efstathios Panayi**1409.1442 On the design of sell-side limit and market order tactics***by*Vladimir Markov**1409.1441 Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands***by*Vladimir Markov & Slava Mazur & David Saltz**1409.1393 On Correlated Defaults and Incomplete Information***by*Wai-Ki Ching & Jia-Wen Gu & Harry Zheng**1409.1175 Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models***by*Pablo Olivares & Matthew Cane**1409.1071 Default contagion risks in Russian interbank market***by*A. V. Leonidov & E. L. Rumyantsev**1409.0789 Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo***by*Rosario N. Mantegna**1409.0697 A lattice framework for pricing display advertisement options with the stochastic volatility underlying model***by*Bowei Chen & Jun Wang**1409.0665 Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs***by*Maria B. Chiarolla & Giorgio Ferrari & Gabriele Stabile**1409.0636 Manipulating decision making of typical agents***by*V. I. Yukalov & D. Sornette**1409.0407 Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs***by*Chuancun Yin & Kam Chuen Yuen**1409.0118 Analysis of Spin Financial Market by GARCH Model***by*Tetsuya Takaishi**1409.0003 What You Should Know About Megaprojects, and Why: An Overview***by*Bent Flyvbjerg**1409.0002 Should we build more large dams? The actual costs of hydropower megaproject development***by*Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn**1408.7010 Long Term Optimal Investment in Matrix Valued Factor Models***by*Scott Robertson & Hao Xing**1408.6973 How structurally stable are global socioeconomic systems?***by*Serguei Saavedra & Rudolf P. Rohr & Luis J. Gilarranz & Jordi Bascompte**1408.6938 Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation***by*Xiaolin Luo & Pavel V. Shevchenko**1408.6799 Stochastic Perron for stochastic target games***by*Erhan Bayraktar & Jiaqi Li**1408.6673 Hedging Conditional Value at Risk with Options***by*Maciej J. Capi\'nski**1408.6639 Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?***by*Jaroslav Pavlicek & Ladislav Kristoufek**1408.6637 Spectrum-based estimators of the bivariate Hurst exponent***by*Ladislav Kristoufek**1408.6513 Efficient solution of structural default models with correlated jumps and mutual obligations***by*Andrey Itkin & Alexander Lipton**1408.6455 Long time asymptotics for optimal investment***by*Huyen Pham**1408.6279 A Noisy Principal Component Analysis for Forward Rate Curves***by*Marcio Laurini & Alberto Ohashi**1408.6255 Intra-day variability of the stock market activity versus stationarity of the financial time series***by*T. Gubiec & M. Wili\'nski**1408.6122 Game theory analysis for carbon auction market through electricity market coupling***by*Mireille Bossy & Nadia Maizi & Odile Pourtallier**1408.6118 VWAP Execution as an Optimal Strategy***by*Takashi Kato**1408.6070 Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation***by*Xiangyu Cui & Xun Li & Duan Li & Yun Shi**1408.6065 Shadow prices for continuous processes***by*Christoph Czichowsky & Walter Schachermayer & Junjian Yang**1408.6043 A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization***by*Giovanni Fasano**1408.5989 Duality Theory for Portfolio Optimisation under Transaction Costs***by*Christoph Czichowsky & Walter Schachermayer**1408.5951 Fragility of the Commons under Prospect-Theoretic Risk Attitudes***by*Ashish R. Hota & Siddharth Garg & Shreyas Sundaram**1408.5677 Asymptotic replication with modified volatility under small transaction costs***by*Jiatu Cai & Masaaki Fukasawa**1408.5673 Approximating the zero-coupon bond price in a general one-factor model with constant coefficients***by*Beata Stehlikova**1408.5618 Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies***by*Hao Meng & Wei-Xing Zhou & Didier Sornette**1408.5585 Hierarchical causality in financial economics***by*Diane Wilcox & Tim Gebbie**1408.5526 High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods***by*Linlin Xu & Giray \"Okten**1408.5510 Consistent Price Systems under Model Uncertainty***by*Bruno Bouchard & Marcel Nutz**1408.5266 The optimal hedging in a semi-Markov modulated market***by*Anindya Goswami & Jeeten Patel & Poorva Sevgaonkar**1408.4848 Quantile Hedging in a Semi-Static Market with Model Uncertainty***by*Erhan Bayraktar & Gu Wang**1408.4746 Recurrence plots of exchange rates of currencies***by*Amelia Carolina Sparavigna**1408.4618 Diversification and Endogenous Financial Networks***by*Jean-Cyprien H\'eam & Erwan Koch**1408.3774 Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs***by*Yan Dolinsky & Yuri Kifer**1408.3728 Maximum Entropy Production Principle for Stock Returns***by*Pawe{\l} Fiedor**1408.3692 On Zero-sum Optimal Stopping Games***by*Erhan Bayraktar & Zhou Zhou**1408.3650 The Random Walk of High Frequency Trading***by*Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin**1408.3387 Elliptical Tempered Stable Distribution and Fractional Calculus***by*Hassan A. Fallahgoul & Young S. Kim**1408.3086 Downturn LGD: A More Conservative Approach for Economic Decline Periods***by*Mauro R. Oliveira & Armando Chinelatto Neto**1408.2985 Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment***by*Tom\'a\v{s} V\'yrost & \v{S}tefan Ly\'ocsa & Eduard Baum\"ohl**1408.2859 Realization Utility with Reference-Dependent Preferences***by*Jonathan E. Ingersoll Jr. & Lawrence J. Jin**1408.2805 Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method***by*Georg Hofmann**1408.2794 Sector-Based Factor Models for Asset Returns***by*Angela Gu & Patrick Zeng**1408.2462 Value-at-Risk time scaling for long-term risk estimation***by*Luca Spadafora & Marco Dubrovich & Marcello Terraneo**1408.2324 Agent based models for wealth distribution with preference in interaction***by*Sanchari Goswami & Parongama Sen**1408.2217 Mean-Reversion and Optimization***by*Zura Kakushadze**1408.2138 How the Taxonomy of Products Drives the Economic Development of Countries***by*Andrea Zaccaria & Matthieu Cristelli & Andrea Tacchella & Luciano Pietronero**1408.1728 Dynamics in two networks based on stocks of the US stock market***by*Leonidas Sandoval Junior**1408.1671 Structural social capital and health in Italy***by*Damiano Fiorillo & Fabio Sabatini**1408.1494 The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy***by*David Garcia & Claudio Juan Tessone & Pavlin Mavrodiev & Nicolas Perony**1408.1382 Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments***by*Xiang Yu**1408.1365 Kinetic Exchange Models in Economics and Sociology***by*Sanchari Goswami & Anirban Chakraborti**1408.1352 A simple model of local prices and associated risk evaluation***by*Krzysztof Urbanowicz & Peter Richmond & Janusz A. Ho{\l}yst**1408.1159 Determining Optimal Trading Rules without Backtesting***by*Peter P. Carr & Marcos Lopez de Prado**1408.1022 A Note on Kuhn's Theorem with Ambiguity Averse Players***by*Gaurab Aryal & Ronald Stauber**1408.0981 Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm***by*Tetsuya Takaishi**1408.0916 A system of quadratic BSDEs arising in a price impact model***by*Dmitry Kramkov & Sergio Pulido**1408.0443 Ranking the Economic Importance of Countries and Industries***by*Wei Li & Dror Y. Kenett & Kazuko Yamasaki & H. Eugene Stanley & Shlomo Havlin**1408.0440 Contagious Synchronization and Endogenous Network Formation in Financial Networks***by*Christoph Aymanns & Co-Pierre Georg**1408.0308 Opinion Dynamics and Price Formation: a Nonlinear Network Model***by*Marco D'Errico & Gulnur Muradoglu & Silvana Stefani & Giovanni Zambruno**1407.8300 Optimization of relative arbitrage***by*Ting-Kam Leonard Wong**1407.8068 Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets***by*Fernando Cordero & Lavinia Perez-Ostafe**1407.8024 Robust valuation and risk measurement under model uncertainty***by*Yuhong Xu**1407.7738 Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input***by*Peter Martey Addo**1407.7725 Utility indifference pricing and hedging for structured contracts in energy markets***by*Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu**1407.7717 Convex duality for stochastic singular control problems***by*Peter Bank & Helena Kauppila**1407.7447 Study of a model for the distribution of wealth***by*Yves Pomeau & Ricardo Lopez-Ruiz**1407.7328 New analytic approach to address Put - Call parity violation due to discrete dividends***by*Alexander Buryak & Ivan Guo**1407.7315 Effective and simple VWAP option pricing model***by*Alexander Buryak & Ivan Guo**1407.7237 Grid Integration Costs of Fluctuating Renewable Energy Sources***by*Jonas M\"uller & Marcus Hildmann & Andreas Ulbig & G\"oran Andersson**1407.7153 Wealth distribution of simple exchange models coupled with extremal dynamics***by*N. Bagatella-Flores & M. Rodriguez-Achach & H. F. Coronel-Brizio & A. R. Hernandez-Montoya**1407.7140 Semiparametric Estimation of First-Price Auction Models***by*Gaurab Aryal & Maria Florencia Gabrielli & Quang Vuong**1407.6860 On the optimal exercise boundaries of swing put options***by*Tiziano De Angelis & Yerkin Kitapbayev**1407.6851 Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law***by*Bruce M. Boghosian**1407.6649 On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management***by*Amogh Deshpande**1407.6334 Field Theory of Macroeconomics***by*Heribert Genreith**1407.6222 A finite set of equilibria for the indeterminacy of linear rational expectations models***by*Jean-Bernard Chatelain & Kirsten Ralf**1407.5877 Linear vector optimization and European option pricing under proportional transaction costs***by*Alet Roux & Tomasz Zastawniak**1407.5684 One-level limit order book models with memory and variable spread***by*Jonathan A. Ch\'avez-Casillas & Jos\'e E. Figueroa-L\'opez**1407.5528 Arbitrage-free prediction of the implied volatility smile***by*Petros Dellaportas & Aleksandar Mijatovi\'c**1407.5466 Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets***by*Ladislav Kristoufek & Petra Lunackova**1407.5429 Bank-firm credit network in Japan. An analysis of a bipartite network***by*Luca Marotta & Salvatore Miccich\`e & Yoshi Fujiwara & Hiroshi Iyetomi & Hideaki Aoyama & Mauro Gallegati & Rosario N. Mantegna**1407.5305 The dynamics of the leverage cycle***by*Christoph Aymanns & J. Doyne Farmer**1407.5278 Risk-sensitive investment in a finite-factor model***by*Grzegorz Andruszkiewicz & Mark H. A. Davis & S\'ebastien Lleo**1407.5258 Agent-based model with asymmetric trading and herding for complex financial systems***by*Jun-jie Chen & Bo Zheng & Lei Tan**1407.5254 Permutation approach, high frequency trading and variety of micro patterns in financial time series***by*Cina Aghamohammadi & Mehran Ebrahimian & Hamed Tahmooresi**1407.5139 Comparing the $G$-Normal Distribution to its Classical Counterpart***by*Erhan Bayraktar & Alexander Munk**1407.5091 An exact and explicit formula for pricing Asian options with regime switching***by*Leunglung Chan & Song-Ping Zhu**1407.5037 Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns***by*Vladimir Filimonov & Didier Sornette**1407.5020 Causal Non-Linear Financial Networks***by*Pawe{\l} Fiedor**1407.4864 An exact and explicit formula for pricing lookback options with regime switching***by*Leunglung Chan & Song-Ping Zhu**1407.4702 Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices***by*Michal Sawa & Dariusz Grech**1407.4614 A convex duality method for optimal liquidation with participation constraints***by*Olivier Gu\'eant & Jean-Michel Lasry & Jiang Pu**1407.4512 Exact and asymptotic solutions of the call auction problem***by*Ioane Muni Toke**1407.4452 New Pricing Framework: Options and Bonds***by*Nick Laskin**1407.3749 Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality***by*Maria Letizia Bertotti & Giovanni Modanese**1407.3742 Record statistics of financial time series and geometric random walks***by*Behlool Sabir & M. S. Santhanam**1407.3652 Forecasting future oil production in Norway and the UK: a general improved methodology***by*Lucas Fievet & Zal\`an Forr\`o & Peter Cauwels & Didier Sornette**1407.3390 Slow decay of impact in equity markets***by*X. Brokmann & E. Serie & J. Kockelkoren & J. -P. Bouchaud**1407.3372 Arbitrage in markets with bid-ask spreads***by*Przemys{\l}aw Rola**1407.3201 Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences***by*Chris Kenyon & Andrew Green**1407.3180 Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)***by*F. Pedroche & R. Criado & E. Garcia & M. Romance & V. E. Sanchez**1407.3154 Portfolio optimization in the case of an asset with a given liquidation time distribution***by*Ljudmila A. Bordag & Ivan P. Yamshchikov & Dmitry Zhelezov**1407.2677 Impacts of Regional Trade Agreements(RTAs) on Food Security: A Case of ASEAN Free Trade Agreement***by*H. M. S. P. Herath & Cao Liang & Chen Yongbing**1407.2642 A Bellman View of Jesse Livermore***by*Nick Polson & Jan Hendrik Witte**1407.2514 Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps***by*Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra**1407.2420 Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems***by*Umut \c{C}etin & Albina Danilova**1407.2031 Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes***by*Paolo Barucca**1407.1769 Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals***by*Sebastian E. Ferrando & Alfredo L. Gonzalez & Ivan L. Degano & Massoome Rahsepar**1407.1726 Superstars in politics: the role of the media in the rise and success of Junichiro Koizumi***by*Eiji Yamamura & Fabio Sabatini**1407.1715 Density of Skew Brownian motion and its functionals with application in finance***by*Alexander Gairat & Vadim Shcherbakov**1407.1674 Robust Superhedging with Jumps and Diffusion***by*Marcel Nutz**1407.1595 Non-linear filtering and optimal investment under partial information for stochastic volatility models***by*Dalia Ibrahim & Fr\'ed\'eric Abergel**1407.1453 Non-arbitrage for Informational Discrete Time Market Models***by*Tahir Choulli & Jun Deng**1407.1343 Computing Greeks for L\'evy Models: The Fourier Transform Approach***by*Federico De Olivera & Ernesto Mordecki**1407.1072 On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility***by*Alessandro Ramponi**1407.0948 Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty***by*Matteo Burzoni & Marco Frittelli & Marco Maggis**1407.0787 Decision-theoretic approaches to non-knowledge in economics***by*Ekaterina Svetlova & Henk van Elst**1407.0517 Stochastic model of a pension plan***by*Paz Grimberg & Zeev Schuss**1407.0433 Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets***by*Reza Arghandeh & Jeremy Woyak & Ahmet Onen & Jaesung Jung & Robert P. Broadwater**1407.0256 To sigmoid-based functional description of the volatility smile***by*Andrey Itkin**1407.0225 World Input-Output Network***by*Federica Cerina & Zhen Zhu & Alessandro Chessa & Massimo Riccaboni**1407.0108 A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition***by*Ulrich Horst & Jinniao Qiu & Qi Zhang**1406.7775 A two-stage model for dealing with temporal degradation of credit scoring***by*Maria Rocha Sousa & Jo\~ao Gama & Manuel J. Silva Gon\c{c}alves**1406.7752 Bank Networks from Text: Interrelations, Centrality and Determinants***by*Samuel R\"onnqvist & Peter Sarlin**1406.7723 Active extension portfolio optimization with non-convex risk measures using metaheuristics***by*Ronald Hochreiter & Christoph Waldhauser**1406.7606 Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy***by*Xiaoxiao Zheng & Xin Zhang**1406.7604 Optimal investment-reinsurance policy under a long-term perspective***by*Xiaoxiao Zheng & Xin Zhang**1406.7526 Predictability of Volatility Homogenised Financial Time Series***by*Pawe{\l} Fiedor & Odd Magnus Trondrud**1406.7330 Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization***by*Felix Ming Fai Wong & Zhenming Liu & Mung Chiang**1406.7115 Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century***by*Dietrich Stauffer**1406.7064 Hierarchical Structure of the Foreign Trade: The Case of the United State***by*Ersin Kantar**1406.7040 Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical***by*Hassan Omidi Firouzi & Andrew Luong**1406.6952 On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory***by*Zied Ben-Salah & H\'el\`ene Gu\'erin & Manuel Morales & Hassan Omidi Firouzi**1406.6951 Change of numeraire in the two-marginals martingale transport problem***by*Luciano Campi & Ismail Laachir & Claude Martini**1406.6940 Optimal Investment with Stopping in Finite Horizon***by*Xiongfei Jian & Xun Li & Fahuai Yi**1406.6902 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization***by*Claudia Ceci & Katia Colaneri & Alessandra Cretarola**1406.6862 Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market***by*Egil Ferkingstad & Anders L{\o}land**1406.6805 Credit Risk in a Geometric Arbitrage Perspective***by*Simone Farinelli**1406.6651 Causality Networks***by*Ishanu Chattopadhyay**1406.6620 Game Theory, Statistical Mechanics and Income Inequality***by*Venkat Venkatasubramanian & Yu Luo & Jay Sethuraman**1406.6575 Systemic risk through contagion in a core-periphery structured banking network***by*Oliver Kley & Claudia Kl\"uppelberg & Lukas Reichel**1406.6562 Hierarchical structure of the countries based on electricity consumption and economic growth***by*Ersin Kantar & Alper Aslan & Bayram Deviren & Mustafa Keskin**1406.6559 Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period***by*Ersin Kantar & Bayram Deviren & Mustafa Keskin**1406.6496 Using an Artificial Financial Market for studying a Cryptocurrency Market***by*Luisanna Cocco & Giulio Concas & Michele Marchesi**1406.6441 Thermodynamics of inequalities: from precariousness to economic stratification***by*Matteo Smerlak**1406.6245 Optimal investment with time-varying stochastic endowments***by*An Chen & Carla Mereu & Robert Stelzer**1406.6142 How to hedge extrapolated yield curves***by*Andreas Lager{\aa}s**1406.6100 Probabilistic flows of inhabitants in urban areas and self-organization in housing markets***by*Takao Hishikawa & Jun-ichi Inoue**1406.6090 Semiclassical approximation in stochastic optimal control I. Portfolio construction problem***by*Sakda Chaiworawitkul & Patrick S. Hagan & Andrew Lesniewski**1406.6084 From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments***by*Henry Lam & Zhenming Liu**1406.6038 Exact fit of simple finite mixture models***by*Dirk Tasche**1406.5852 Moral Hazard in Dynamic Risk Management***by*Jak\v{s}a Cvitani\'c & Dylan Possama\"i & Nizar Touzi**1406.5817 Reduction of systemic risk by means of Pigouvian taxation***by*Vinko Zlati\'c & Giampaolo Gabbi & Hrvoje Abraham**1406.5755 A Bond Consistent Derivative Fair Value***by*Johan Gunnesson & Alberto Fern\'andez Mu\~noz de Morales**1406.5718 An Unconventional Attempt to Tame Mandelbrot's Grey Swans***by*Denis M. Filatov & Maksim A. Vanyarkho**1406.5646 Statistical Arbitrage in the Black-Scholes Framework***by*Ahmet Goncu**1406.5487 Survival Models for the Duration of Bid-Ask Spread Deviations***by*Efstathios Panayi & Gareth Peters**1406.5486 Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data***by*Efstathios Panayi & Gareth Peters & Ioannis Kosmidis**1406.5430 A robust algorithm and convergence analysis for static replications of nonlinear payoffs***by*Jingtang Ma & Dongya Deng & Harry Zheng**1406.5414 A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing***by*Christa Cuchiero & Josef Teichmann**1406.5386 Zooming into market states***by*Desislava Chetalova & Rudi Sch\"afer & Thomas Guhr**1406.5312 Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets***by*Martin Le Doux Mbele Bidima & Mikl\'os R\'asonyi**1406.5276 On possible origins of trends in financial market price changes***by*Ryo Murakami & Tomomichi Nakamura & Shin Kimura & Masashi Manabe & Toshihiro Tanizawa**1406.5120 Strategy-proofness and single-peackedness in bounded distributive lattices***by*Ernesto Savaglio & Stefano Vannucci**1406.5083 A variation of the Dragulescu-Yakovenko income model***by*Jos\'e Mar\'ia Sarabia & Faustino Prieto & Vanesa Jord\'a**1406.5022 Instabilities in large economies: aggregate volatility without idiosyncratic shocks***by*Julius Bonart & Jean-Philippe Bouchaud & Augustin Landier & David Thesmar**1406.4783 Advisors and indicators based on the SSA models and non-linear generalizations***by*A. M. Avdeenko**1406.4329 Ergodic BSDEs with jumps and time dependence***by*Samuel N. Cohen & Victor Fedyashov**1406.4322 Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence***by*Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis**1406.4301 A general HJM framework for multiple yield curve modeling***by*Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto**1406.4297 Optimal Boundary Surface for Irreversible Investment with Stochastic Costs***by*Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari**1406.4275 A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information***by*Takashi Kato & Jun Sekine & Hiromitsu Yamamoto**1406.4222 Investment under Duality Risk Measure***by*Zuo Quan Xu**1406.4114 Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy***by*Alessandro Chieppa & Andrea Ricca & Gianluca Rosso**1406.3967 The limits of statistical significance of Hawkes processes fitted to financial data***by*Mehdi Lallouache & Damien Challet**1406.3716 The G\"{a}rtner-Ellis theorem, homogenization, and affine processes***by*Archil Gulisashvili & Josef Teichmann**1406.3531 Decoding Stock Market Behavior with the Topological Quantum Computer***by*Ovidiu Racorean**1406.3396 Factor Models for Alpha Streams***by*Zura Kakushadze**1406.3112 Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models***by*Oscar Lopez & Rafael Serrano**1406.3064 Hierarchical representation of socio-economic complex systems according to minimal sapnning trees***by*Andrzej Jarynowski & Andrzej Buda**1406.2950 On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums***by*Hirbod Assa**1406.2581 Multilevel path simulation for weak approximation schemes***by*Denis Belomestny & Tigran Nagapetyan**1406.2292 Analitic approach to solve a degenerate parabolic PDE for the Heston model***by*A. Canale & R. M. Mininni & A. Rhandi**1406.2133 Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options***by*Timothy G. Ling & Pavel V. Shevchenko**1406.2053 A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations***by*Hyong-chol O & Yong-hwa Ro & Ning Wan**1406.1936 Stochastic Analysis Seminar on Filtering Theory***by*Andrew Papanicolaou**1406.1811 A heuristic pricing and hedging framework for multi-currency fixed income desks***by*Eduard Gim\'enez & Alberto Elices & Giovanna Villani**1406.1733 The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts***by*Vasileios Barmpoutis**1406.1547 Arbitrage-free exchange rate ensembles over a general trade network***by*Stan Palasek