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### 2014

**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 & 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 books with sparsity and memory***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 market with animal spirits***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 generalized 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**1406.1249 Notes on Alpha Stream Optimization***by*Zura Kakushadze**1406.1149 Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model***by*Ahmad Reza Yazdanian & T A Pirvu**1406.0968 Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations***by*Christopher S Kirk**1406.0824 Supervised classification-based stock prediction and portfolio optimization***by*Sercan Arik & Sukru Burc Eryilmaz & Adam Goldberg**1406.0551 Robust pricing and hedging under trading restrictions and the emergence of local martingale models***by*Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj**1406.0496 Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods***by*Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo**1406.0455 Buyer to Seller Recommendation under Constraints***by*Cheng Chen & Lan Zheng & Venkatesh Srinivasan & Alex Thomo & Kui Wu & Anthony Sukow**1406.0437 Estimation of the Global Minimum Variance Portfolio in High Dimensions***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1406.0412 Option Pricing in an Imperfect World***by*Gianluca Cassese**1406.0394 Implied volatility of basket options at extreme strikes***by*Archil Gulisashvili & Peter Tankov**1406.0389 Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness***by*J. D. Opdyke**1406.0268 What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis***by*Ladislav Kristoufek**1406.0209 Inverse Optimal Stopping***by*Thomas Kruse & Philipp Strack**1406.0077 Path Diffusion, Part I***by*Johan GB Beumee & Chris Cormack & Peyman Khorsand & Manish Patel**1406.0070 Structure of local interactions in complex financial dynamics***by*X. F. Jiang & T. T. Chen & B. Zheng**1406.0055 Explicit investment rules with time-to-build and uncertainty***by*Ren\'e Aid & Salvatore Federico & Huy\^en Pham & Bertrand Villeneuve**1406.0044 Can Turnover Go to Zero?***by*Zura Kakushadze**1405.7801 Gambling in Contests with Random Initial Law***by*Han Feng & David Hobson**1405.7747 Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics***by*Fabio Dercole & Davide Radi**1405.7611 VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution***by*Chris Kenyon & Andrew Green**1405.7603 Mixed Tempered Stable distribution***by*Edit Rroji & Lorenzo Mercuri**1405.7342 Option Pricing in a Dynamic Variance-Gamma Model***by*Lorenzo Mercuri & Fabio Bellini**1405.6990 Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series***by*Sergey A. Kamenshchikov**1405.6905 On the stationarity of Dynamic Conditional Correlation models***by*Jean-David Fermanian & Hassan Malongo**1405.6677 Bregman superquantiles. Estimation methods and applications***by*Fabrice Gamboa & Aur\'elien Garivier & Bertrand Iooss & Tatiana Labopin-Richard**1405.6514 Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility***by*Martino Bardi & Annalisa Cesaroni & Andrea Scotti**1405.6400 Networks of Military Alliances, Wars, and International Trade***by*Matthew O. Jackson & Stephen M. Nei**1405.6111 Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps***by*Andrey Itkin**1405.6047 Modeling FX market activity around macroeconomic news: a Hawkes process approach***by*Marcello Rambaldi & Paris Pennesi & Fabrizio Lillo**1405.6027 R&D Strategy Document***by*James B. Glattfelder & Thomas Bisig & Richard B. Olsen**1405.5939 Wealth share analysis with "fundamentalist/chartist" heterogeneous agents***by*Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou**1405.5842 Stationarity of Bivariate Dynamic Contagion Processes***by*Angelos Dassios & Xin Dong**1405.5805 Micro and Macro Benefits of Random Investments in Financial Markets***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda**1405.5695 Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index***by*Rickard Nyman & Paul Ormerod**1405.5294 Valuation of Barrier Options using Sequential Monte Carlo***by*Pavel V. Shevchenko & Pierre Del Moral**1405.5230 A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics***by*Christian Bayer & Ulrich Horst & Jinniao Qiu**1405.5000 Correlation structure and principal components in global crude oil market***by*Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou**1405.4905 Set-valued shortfall and divergence risk measures***by*\c{C}a\u{g}\in Ararat & Andreas H. Hamel & Birgit Rudloff**1405.4716 Combining Alpha Streams with Costs***by*Zura Kakushadze**1405.4537 Rough paths, Signatures and the modelling of functions on streams***by*Terry Lyons**1405.4498 The Economics of BitCoin Price Formation***by*Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs**1405.4490 Quantum spatial-periodic harmonic model for daily price-limited stock markets***by*Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo**1405.4474 Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$***by*Shiqi Song**1405.4421 Local times for typical price paths and pathwise Tanaka formulas***by*Nicolas Perkowski & David J. Pr\"omel**1405.4301 Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions***by*Stanislav Sobolevsky & Izabela Sitko & Sebastian Grauwin & Remi Tachet des Combes & Bartosz Hawelka & Juan Murillo Arias & Carlo Ratti**1405.4079 Valuation and Hedging of Contracts with Funding Costs and Collateralization***by*Tomasz R. Bielecki & Marek Rutkowski**1405.3812 Optimal investment under behavioural criteria -- a dual approach***by*Mikl\'os R\'asonyi & Jos\'e G. Rodr\'iguez-Villarreal**1405.3769 Distortion Risk Measures and Elicitability***by*Ruodu Wang & Johanna F. Ziegel**1405.3767 Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information***by*Xin Dong & Harry Zheng**1405.3566 A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities***by*Yal\c{c}in Aktar & Erik Taflin**1405.3561 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients***by*Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov**1405.3512 Quantum Brownian motion model for stock markets***by*Xiangyi Meng & Jian-Wei Zhang & Hong Guo**1405.3225 Can Analysts Predict Rallies Better Than Crashes?***by*Ivan Medovikov**1405.3202 The systematic structure and predictability of urban business diversity***by*Hyejin Youn & Lu\'is M. A. Bettencourt & Jos\'e Lobo & Deborah Strumsky & Horacio Samaniego & Geoffrey B. West**1405.2718 Arbitrage Pricing of Multi-person Game Contingent Claims***by*Ivan Guo & Marek Rutkowski**1405.2669 Simple examples of pure-jump strict local martingales***by*Martin Keller-Ressel**1405.2609 Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets***by*Nassim N. Taleb**1405.2459 Interest rate models and Whittaker functions***by*Dmitry Muravey**1405.2450 Affine LIBOR models with multiple curves: theory, examples and calibration***by*Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand**1405.2445 How does bad and good volatility spill over across petroleum markets?***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1405.2442 A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries***by*Tiziano De Angelis & Giorgio Ferrari & John Moriarty**1405.2384 A Multi-factor Adaptive Statistical Arbitrage Model***by*Wenbin Zhang & Zhen Dai & Bindu Pan & Milan Djabirov**1405.2240 Optimal stopping under model uncertainty: randomized stopping times approach***by*Denis Belomestny & Volker Kraetschmer**1405.2220 Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market***by*Li-Xin Wang**1405.2051 Merchant Sharing Towards a Zero Marginal Cost Economy***by*Laurent Fournier