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### 2016

**1608.03352 Some Contributions to Sequential Monte Carlo Methods for Option Pricing***by*Deborshee Sen & Ajay Jasra & Yan Zhou**1608.03237 Managing counterparty credit risk via BSDEs***by*Andrew Lesniewski & Anja Richter**1608.03058 Dynamic portfolio strategy using clustering approach***by*Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu**1608.03053 Dynamic structure of stock communities: A comparative study between stock returns and turnover rates***by*Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren**1608.02740 Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)***by*Monica Billio & Roberto Casarin & Luca Rossini**1608.02706 Another example of duality between game-theoretic and measure-theoretic probability***by*Vladimir Vovk**1608.02690 Arbitrage-Free XVA***by*Maxim Bichuch & Agostino Capponi & Stephan Sturm**1608.02550 A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes***by*Camilo Hernandez & Mauricio Junca**1608.02523 Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data***by*Ali Hosseiny & Mauro Gallegati**1608.02446 Who would invest only in the risk-free asset?***by*Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos**1608.02428 The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates***by*Eugen Tarnow**1608.02365 Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall***by*Bernardi Mauro & Roy Cerqueti & Arsen Palestini**1608.02068 Arbitrage and utility maximization in market models with an insider***by*Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov**1608.02028 Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples***by*Michael A. Kouritzin**1608.01900 Dynamics of rapid innovation***by*T. M. A. Fink & M. Reeves & R. Palma & R. S. Farr**1608.01895 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data***by*Mikkel Bennedsen**1608.01891 Toward Development of a New Health Economic Evaluation Definition***by*Alexei Botchkarev**1608.01795 A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion***by*Ulrich Horst & D\"orte Kreher**1608.01535 Intergenerational Equity in a Finite Horizon***by*Satoshi Nakano & Kazuhiko Nishimura**1608.01415 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs***by*Christoph Czichowsky & R\'emi Peyre & Walter Schachermayer & Junjian Yang**1608.01365 Multifactor CES General Equilibrium: Models and Applications***by*Jiyoung Kim & Satoshi Nakano & Kazuhiko Nishimura**1608.01351 Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma***by*Fuad Aleskerov & Victoria Oleynik**1608.01197 Efficient exposure computation by risk factor decomposition***by*Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger**1608.01133 The boundary non-Crossing probabilities for Slepian process***by*Pingjin Deng**1608.01103 Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method***by*Susmita Bhaduri & Dipak Ghosh & Subhadeep Ghosh**1608.00878 On the Use of Computer Programs as Money***by*Ross D. King**1608.00814 SPDE limit of the global fluctuations in rank-based models***by*Praveen Kolli & Mykhaylo Shkolnikov**1608.00768 On optimal investment with processes of long or negative memory***by*Huy N. Chau & Miklos Rasonyi**1608.00756 A continuous and efficient fundamental price on the discrete order book grid***by*Julius Bonart & Fabrizio Lillo**1608.00280 Pricing Weakly Model Dependent Barrier Products***by*Jan Kuklinski & Panagiotis Papaioannou & Kevin Tyloo**1608.00275 Metastable Features of Economic Networks and Responses to Exogenous Shocks***by*Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati**1608.00230 Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility***by*S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak**1608.00213 Self-organization in a distributed coordination game through heuristic rules***by*S. Agarwal & D. Ghosh & A. S. Chakrabarti**1607.08287 The effect of heterogeneity on flocking behavior and systemic risk***by*Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos**1607.08214 Asymmetric volatility connectedness on forex markets***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1607.07582 Modelling the impact of financialization on agricultural commodity markets***by*Maria d'Errico & Alessandro Laio & Guido L. Chiarotti**1607.07510 The Rank Effect for Commodities***by*Ricardo T. Fernholz & Christoffer Koch**1607.07197 On the support of extremal martingale measures with given marginals: the countable case***by*Luciano Campi & Claude Martini**1607.07108 Model-Independent Price Bounds for Catastrophic Mortality Bonds***by*Raj Kumari Bahl & Sotirios Sabanis**1607.07099 Inverse Optimization of Convex Risk Functions***by*Jonathan Yu-Meng Li**1607.06644 On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples***by*Dirk Becherer & Martin B\"uttner & Klebert Kentia**1607.06373 Systemic Risk and Stochastic Games with Delay***by*Rene Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun**1607.06247 Effects of Sea Level Rise on Economy of the United States***by*Monika Novackova & Richard S. J. Tol**1607.06163 Indirect Inference With(Out) Constraints***by*David T. Frazier & Eric Renault**1607.06158 Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes***by*Andrew Papanicolaou & Konstantinos Spiliopoulos**1607.05831 Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process***by*Simon Clinet & Yoann Potiron**1607.05660 A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey***by*T. O. Benli**1607.05608 Identification of market trends with string and D2-brane maps***by*Erik Barto\v{s} & Richard Pin\v{c}\'ak**1607.05572 Smoothing the payoff for efficient computation of Basket option prices***by*Christian Bayer & Markus Siebenmorgen & Raul Tempone**1607.05514 Sectoral co-movements in the Indian stock market: A mesoscopic network analysis***by*Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti**1607.05235 Extracting Geography from Trade Data***by*Yuke Li & Tianhao Wu & Nicholas Marshall & Stefan Steinerberger**1607.04968 Numerical and analytical methods for bond pricing in short rate convergence models of interest rates***by*Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic**1607.04883 Statistical Industry Classification***by*Zura Kakushadze & Willie Yu**1607.04739 Multiple risk factor dependence structures: Distributional properties***by*Jianxi Su & Edward Furman**1607.04737 A form of multivariate Pareto distribution with applications to financial risk measurement***by*Jianxi Su & Edward Furman**1607.04553 Optimal Liquidation with Market Impact Across Multiple Venues & Stochastic Volatility Asymptotics***by*Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu**1607.04488 Hedging under generalized good-deal bounds and model uncertainty***by*Dirk Becherer & Klebert Kentia**1607.04484 The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games***by*Bent Flyvbjerg & Allison Stewart & Alexander Budzier**1607.04214 Existence and uniqueness results for BSDEs with jumps: the whole nine yards***by*Antonis Papapantoleon & Dylan Possama\"i & Alexandros Saplaouras**1607.04155 Fashion, fads and the popularity of choices: micro-foundations for non-equilibrium consumer theory***by*Jean-Francois Mercure**1607.04153 Controlling Public Debt without Forgetting Inflation***by*Giorgio Ferrari**1607.04100 Insurance valuation: a computable multi-period cost-of-capital approach***by*Hampus Engsner & Mathias Lindholm & Filip Lindskog**1607.04047 A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-***by*Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg**1607.03522 Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA***by*Antonis Papapantoleon & Robert Wardenga**1607.03430 Dual representations for systemic risk measures***by*\c{C}a\u{g}{\i}n Ararat & Birgit Rudloff**1607.03205 Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals***by*Taisei Kaizoji & Michiko Miyano**1607.03161 A mathematical model for a gaming community***by*Romulus Breban**1607.02743 Information uncertainty related to marked random times and optimal investment***by*Ying Jiao & Idris Kharroubi**1607.02688 On the time consistency of collective preferences***by*Luis A. Alcala**1607.02470 Deep Learning for Mortgage Risk***by*Justin Sirignano & Apaar Sadhwani & Kay Giesecke**1607.02423 Fair division with divisible and indivisible items***by*Alexander Rubchinsky**1607.02422 Rating models: emerging market distinctions***by*Alexander Karminsky**1607.02421 Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory***by*Andrey Subochev & Igor Zakhlebin**1607.02419 Divisive-agglomerative algorithm and complexity of automatic classification problems***by*Alexander Rubchinsky**1607.02410 Tail protection for long investors: Trend convexity at work***by*Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp\'eri\`ere & Jean-Philippe Bouchaud & Marc Potters**1607.02378 Matrix-vector representation of various solution concepts***by*Fuad Aleskerov & Andrey Subochev**1607.02349 Toward an integrated workforce planning framework using structured equations***by*Marie Doumic & Beno\^it Perthame & Edouard Ribes & Delphine Salort & Nathan Toubiana**1607.02319 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?***by*Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle**1607.02289 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior***by*Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou**1607.02093 Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework***by*Tamal Datta Chaudhuri & Indranil Ghosh**1607.02067 On the American swaption in the linear-rational framework***by*Damir Filipovic & Yerkin Kitapbayev**1607.01999 Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction***by*Somwrita Sarkar & Sanjay Chawla**1607.01902 On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models***by*Benjamin Avanzi & Jos\'e-Luis P\'erez & Bernard Wong & Kazutoshi Yamazaki**1607.01751 MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem***by*Sylwester Arabas & Ahmad Farhat**1607.01619 Swaption Prices in HJM model. Nonparametric fit***by*V. M. Belyaev**1607.01519 Granger Independent Martingale Processes***by*Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli**1607.01317 Dynamic optimization and its relation to classical and quantum constrained systems***by*Mauricio Contreras & Rely Pellicer & Marcelo Villena**1607.01207 Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching***by*Nemat Safarov & Colin Atkinson**1607.01110 Utility Indifference Pricing of Insurance Catastrophe Derivatives***by*Andreas Eichler & Gunther Leobacher & Michaela Sz\"olgyenyi**1607.00830 A probability-free and continuous-time explanation of the equity premium and CAPM***by*Vladimir Vovk & Glenn Shafer**1607.00756 Comments on the BCBS proposal for a New Standardized Approach for Operational Risk***by*Giulio Mignola & Roberto Ugoccioni & Eric Cope**1607.00721 Recursive utility optimization with concave coefficients***by*Shaolin Ji & Xiaomin Shi**1607.00638 Time-Inconsistent Stochastic Linear-quadratic Differential Game***by*Qinglong Zhou & Gaofeng Zong**1607.00454 Limit order trading with a mean reverting reference price***by*Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang**1607.00448 Estimation and prediction of credit risk based on rating transition systems***by*Jinghai Shao & Siming Li & Yong Li**1607.00077 Fake Brownian motion and calibration of a Regime Switching Local Volatility model***by*Benjamin Jourdain & Alexandre Zhou**1607.00035 Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information***by*Albina Danilova**1606.09194 A multilayer approach for price dynamics in financial markets***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda**1606.08984 Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement***by*Johan G. Andreasson & Pavel V. Shevchenko & Alex Novikov**1606.08679 Replica approach to mean-variance portfolio optimization***by*Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor**1606.08562 Complex Systems and a Computational Social Science Perspective on the Labor Market***by*Abdullah Almaatouq**1606.08381 Option Pricing under Heston Stochastic Volatility Model using Discontinuous Galerkin Finite Elements***by*Sinem Kozp{\i}nar & Murat Uzunca & Yeliz Yolcu Okur & B\"ulent Karas\"ozen**1606.08269 An agent behavior based model for diffusion price processes with application to phase transition and oscillations***by*Christof Henkel**1606.07831 A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities***by*Seyed Amir Hejazi & Kenneth R. Jackson**1606.07684 Stock markets reconstruction via entropy maximization driven by fitness and density***by*Tiziano Squartini & Guido Caldarelli & Giulio Cimini**1606.07381 Spread, volatility, and volume relationship in financial markets and market making profit optimization***by*Jack Sarkissian**1606.07311 Skorohod's representation theorem and optimal strategies for markets with frictions***by*Huy N. Chau & Mikl\'os R\'asonyi**1606.07277 Validation of the Replica Trick for Simple Models***by*Takashi Shinzato**1606.06948 A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor***by*Boliang Lin & Ruixi Lin**1606.06829 Brexit or Bremain ? Evidence from bubble analysis***by*Marco Bianchetti & Davide Galli & Camilla Ricci & Angelo Salvatori & Marco Scaringi**1606.06720 A mathematical model of demand-supply dynamics with collectability and saturation factors***by*Y. Charles Li & Hong Yang**1606.06578 Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance***by*Byung-Geun Choi & Napat Rujeerapaiboon & Ruiwei Jiang**1606.06143 Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options***by*Gilles Pag\`es & Olivier Pironneau & Guillaume Sall**1606.06111 An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems***by*Abhijit Chakraborty & Soumya Easwaran & Sitabhra Sinha**1606.06051 Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?***by*Kiran Sharma & Anirban Chakraborti**1606.06003 Using String Invariants for Prediction Searching for Optimal Parameters***by*Marek Bundzel & Tomas Kasanicky & Richard Pincak**1606.05877 A new decomposition of portfolio return***by*Robert Fernholz**1606.05488 Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations***by*Shaolin Ji & Xiaomin Shi**1606.05164 Network Valuation in Financial Systems***by*Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Stefano Battiston & Guido Caldarelli**1606.05079 Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact***by*Katia Colaneri & Zehra Eksi & R\"udiger Frey & Michaela Sz\"olgyenyi**1606.04872 The multiplex dependency structure of financial markets***by*Nicol\'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora**1606.04816 Note on level r consensus***by*Nikolay L. Poliakov**1606.04796 Kinetic and mean field description of Gibrat's law***by*Giuseppe Toscani**1606.04790 Local Operators in Kinetic Wealth Distribution***by*M. Andrecut**1606.04285 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions***by*Masaaki Fujii & Akihiko Takahashi**1606.04139 Credit allocation based on journal impact factor and coauthorship contribution***by*Javier E. Contreras-Reyes**1606.04039 The Sound of Silence: equilibrium filtering and optimal censoring in financial markets***by*Miles B. Gietzmann & Adam J. Ostaszewski**1606.03901 Kolmogorov Space in Time Series Data***by*K. Kanjamapornkul & R. Pin\v{c}\'ak**1606.03899 Exact Smooth Term Structure Estimation***by*Damir Filipovi\'c & Sander Willems**1606.03709 Mean field games of timing and models for bank runs***by*Rene Carmona & Daniel Lacker**1606.03597 Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring***by*Mihaly Ormos & Dusan Timotity**1606.03595 Incentivizing Resilience in Financial Networks***by*Matt V. Leduc & Stefan Thurner**1606.03590 Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading***by*Mihaly Ormos & Dusan Timotity**1606.03388 Optimal Resource Extraction in Regime Switching L\'evy Markets***by*Moustapha Pemy**1606.03325 Model-free portfolio theory and its functional master formula***by*Alexander Schied & Leo Speiser & Iryna Voloshchenko**1606.03261 Socio-economic inequality: Relationship between Gini and Kolkata indices***by*Arnab Chatterjee & Asim Ghosh & Bikas K Chakrabarti**1606.02871 The study of Thai stock market across the 2008 financial crisis***by*K. Kanjamapornkul & Richard Pin\v{c}\'ak & Erik Barto\v{s}**1606.02783 A non-equilibrium formulation of food security resilience***by*Matteo Smerlak & Bapu Vaitla**1606.02748 A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine***by*Olga Nicoara & David White**1606.02045 On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis***by*Marcel Ausloos & Franck Jovanovic & Christophe Schinckus**1606.01495 The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading***by*Donovan Platt & Tim Gebbie**1606.01343 The Zero-Coupon Rate Model for Derivatives Pricing***by*Xiao Lin**1606.01270 A data driven network approach to rank countries production diversity and food specialization***by*Chengyi Tu & Joel Carr & Samir Suweis**1606.01218 World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive***by*Marcin W\k{a}torek & Stanis{\l}aw Dro\.zd\.z & Pawe{\l} O\'swi\k{e}cimka**1606.00631 The space of outcomes of semi-static trading strategies need not be closed***by*Beatrice Acciaio & Martin Larsson & Walter Schachermayer**1606.00530 On American VIX options***by*Yerkin Kitapbayev & Jerome Detemple**1606.00424 Price formation on a housing market and spatial income segregation***by*Marco Pangallo & Jean Pierre Nadal & Annick Vignes**1606.00142 Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso***by*Ning Xu & Jian Hong & Timothy C. G. Fisher**1605.09720 Endogenous Formation of Limit Order Books: Dynamics Between Trades***by*Roman Gayduk & Sergey Nadtochiy**1605.09484 A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting***by*Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko**1605.09181 The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios***by*Krzysztof Domino**1605.09112 A Mean Field Game of Optimal Stopping***by*Marcel Nutz**1605.08908 What does past correlation structure tell us about the future? An answer from network filtering***by*Nicol\'o Musmeci & Tomaso Aste & Tiziana Di Matteo**1605.08899 Modelling Trading Networks and the Role of Trust***by*Rafael A. Barrio & Tzipe Govezensky & \'Elfego Ruiz-Guti\'errez & Kimmo K. Kaski**1605.08354 Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?***by*Anirban Chakraborti & Dhruv Raina & Kiran Sharma**1605.08166 The race for boats***by*Christian Mullon & Charles Mullon**1605.08099 Contracting theory with competitive interacting agents***by*Romuald Elie & Dylan Possama\"i**1605.08025 Foreign exchange risk premia: from traditional to state-space analyses***by*Siwat Nakmai**1605.07945 Trading VIX Futures under Mean Reversion with Regime Switching***by*Jiao Li**1605.07884 Risk Arbitrage and Hedging to Acceptability***by*Emmanuel Lepinette & Ilya Molchanov**1605.07680 Generalized Subjective Lexicographic Expected Utility Representation***by*Hugo Cruz-Sanchez**1605.07500 Pathwise Iteration for Backward SDEs***by*Christian Bender & Christian Gaertner & Nikolaus Schweizer**1605.07419 Linear Credit Risk Models***by*Damien Ackerer & Damir Filipovi\'c**1605.07278 Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index***by*Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav**1605.07230 Deep Portfolio Theory***by*J. B. Heaton & N. G. Polson & J. H. Witte**1605.07099 The Jacobi Stochastic Volatility Model***by*Damien Ackerer & Damir Filipovi\'c & Sergio Pulido**1605.06849 A note on optimal expected utility of dividend payments with proportional reinsurance***by*Xiaoqing Liang & Zbigniew Palmowski**1605.06845 Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints***by*Takashi Shinzato**1605.06843 Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics***by*Takashi Shinzato**1605.06840 Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed***by*Takashi Shinzato**1605.06700 The impact of the financial crisis on the long-range memory of European corporate bond and stock markets***by*Lisana B. Martinez & M. Belen Guercio & Aurelio F. Bariviera & Antonio Terce\~no**1605.06482 Generalized Leverage Effects in Asset Returns***by*Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma**1605.06429 Hedging with Small Uncertainty Aversion***by*Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried**1605.06301 BSDEs with mean reflection***by*Philippe Briand & Romuald Elie & Ying Hu**1605.05819 Exponentially concave functions and a new information geometry***by*Soumik Pal & Ting-Kam Leonard Wong**1605.05814 Some Mathematical Aspects of Price Optimisation***by*Y. Bai & E. Hashorva & G. Ratovomirija & M. Tamraz**1605.05802 Recursive utility maximization under partial information***by*Shaolin Ji & Xiaomin Shi**1605.05631 Far from equilibrium: Wealth reallocation in the United States***by*Yonatan Berman & Ole Peters & Alexander Adamou**1605.05545 Elections in Russia, 1991-2008***by*Daniel Treisman**1605.05100 Wrong-Way Risk Models: A Comparison of Analytical Exposures***by*Fr\'ed\'eric Vrins**1605.04995 Optimality of two-parameter strategies in stochastic control***by*Kazutoshi Yamazaki**1605.04949 How brokers can optimally plot against traders***by*Manuel Lafond**1605.04948 Quantum theory of securities price formation in financial markets***by*Jack Sarkissian**1605.04945 Extended nonlinear feedback model for describing episodes of high inflation***by*M A Szybisz & L Szybisz**1605.04943 Stochastic Effects in a Discretized Kinetic Model of Economic Exchange***by*M. L. Bertotti & A. K. Chattopadhyay & G. Modanese**1605.04941 Mortgages and Refinancing***by*Khizar Qureshi & Cheng Su**1605.04940 Value-at-Risk: The Effect of Autoregression in a Quantile Process***by*Khizar Qureshi**1605.04938 The topology of card transaction money flows***by*Massimiliano Zanin & David Papo & Miguel Romance & Regino Criado & Santiago Moral**1605.04600 Learning zero-cost portfolio selection with pattern matching***by*Tim Gebbie & Fayyaaz Loonat**1605.04584 On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums***by*Ewa Marciniak & Zbigniew Palmowski**1605.04385 Knight--Walras Equilibria***by*Patrick Beissner & Frank Riedel**1605.04219 Empowering cash managers to achieve cost savings by improving predictive accuracy***by*Francisco Salas-Molina & Francisco J. Martin & Juan A. Rodr\'iguez-Aguilar & Joan Serr\`a & Josep Ll. Arcos**1605.03683 Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions***by*Takashi Kato**1605.03653 High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering***by*Erhan Bayraktar & Alexander Munk**1605.03559 Survey on log-normally distributed market-technical trend data***by*Ren\'e Kempen & Stanislaus Maier-Paape**1605.03551 Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate***by*Martin Gremm**1605.03133 Economic Development and Inequality: a complex system analysis***by*Angelica Sbardella & Emanuele Pugliese & Luciano Pietronero**1605.03097 Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model***by*Siyan Zhang & Anna L. Mazzucato & Victor Nistor**1605.02654 Stochastic Portfolio Theory: A Machine Learning Perspective***by*Yves-Laurent Kom Samo & Alexander Vervuurt**1605.02539 Robust framework for quantifying the value of information in pricing and hedging***by*Anna Aksamit & Zhaoxu Hou & Jan Ob\l\'oj