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### 2016

**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**1605.02472 Generalized semi-Markovian dividend discount model: risk and return***by*Guglielmo D'Amico**1605.02418 Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors***by*Sujay Mukhoti & Pritam Ranjan**1605.02283 Coherence and incoherence collective behavior in financial market***by*Shangmei Zhao & Qiuchao Xie & Qing Lu & Xin Jiang & Wei Chen**1605.02188 Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula***by*Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi**1605.01998 Unbiased Monte Carlo Simulation of Diffusion Processes***by*Louis Paulot**1605.01976 The Accounting Network: how financial institutions react to systemic crisis***by*Andrea Flori & Giuseppe Pappalardo & Michelangelo Puliga & Alessandro Chessa & Fabio Pammolli**1605.01949 The wage transition in developed countries and its implications for China***by*Belal Baaquie & Bertrand M. Roehner & Qinghai Wang**1605.01920 Is it "natural" to expect Economics to become a part of the Natural Sciences?***by*Arnab Chatterjee**1605.01862 Optimal market making***by*Olivier Gu\'eant**1605.01354 Modeling and Simulation of the Economics of Mining in the Bitcoin Market***by*Luisanna Cocco & Michele Marchesi**1605.01343 Electoral Systems Used around the World***by*Siamak F. Shahandashti**1605.01327 No-arbitrage and hedging with liquid American options***by*Erhan Bayraktar & Zhou Zhou**1605.01071 Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics***by*A. Paliathanasis & R. M. Morris & P. G. L. Leach**1605.01052 Regrets, learning and wisdom***by*Damien Challet**1605.01028 On Optimal Retirement (How to Retire Early)***by*Philip Ernst & Dean Foster & Larry Shepp**1605.00868 The Local Fractional Bootstrap***by*Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen**1605.00762 Revisiting a Theorem of L.A. Shepp on Optimal Stopping***by*Philip Ernst & Larry Shepp**1605.00634 Why have asset price properties changed so little in 200 years***by*Jean-Philippe Bouchaud & Damien Challet**1605.00339 A unified pricing of variable annuity guarantees under the optimal stochastic control framework***by*Pavel V. Shevchenko & Xiaolin Luo**1605.00307 Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options***by*Jan Kuklinski & Kevin Tyloo**1605.00230 Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models***by*Leopoldo Catania & Nima Nonejad**1605.00173 Robustness of mathematical models and technical analysis strategies***by*Ahmed Bel Hadj Ayed & Gr\'egoire Loeper & Fr\'ed\'eric Abergel**1605.00080 Depreciation and the Time Value of Money***by*Brendon Farrell**1605.00039 Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets***by*Ren\'e A\"id & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu**1604.08895 The puzzle that just isn't***by*Christian Mueller-Kademann**1604.08824 A new structural stochastic volatility model of asset pricing and its stylized facts***by*Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings**1604.08743 Factor Models for Cancer Signatures***by*Zura Kakushadze & Willie Yu**1604.08735 Pricing Bermudan options under local L\'evy models with default***by*Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci**1604.08677 An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration***by*Du Nguyen**1604.08224 Utility maximization problem with random endowment and transaction costs: when wealth may become negative***by*Yiqing Lin & Junjian Yang**1604.08070 Convex Hedging in Incomplete Markets***by*Birgit Rudloff**1604.08037 On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation***by*Martijn Pistorius & Mitja Stadje**1604.07969 On the Surprising Explanatory Power of Higher Realized Moments in Practice***by*Keren Shen & Jianfeng Yao & Wai Keung Li**1604.07782 Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil***by*Leno S. Rocha & Frederico S. A. Rocha & Th\'arsis T. P. Souza**1604.07690 Arbitrage without borrowing or short selling?***by*Jani Lukkarinen & Mikko S. Pakkanen**1604.07556 Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model***by*Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth**1604.07042 Entropy and credit risk in highly correlated markets***by*Sylvia Gottschalk**1604.06917 Extreme Concurrent Portfolio Losses in Credit Risk***by*Joachim Sicking & Thomas Guhr & Rudi Sch\"afer**1604.06892 On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums***by*Ewa Marciniak & Zbigniew Palmowski**1604.06629 Entangling credit and funding shocks in interbank markets***by*Giulio Cimini & Matteo Serri**1604.06609 Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications***by*Huy\^en Pham**1604.06342 Optimal trading with online parameters revisions***by*N Baradel & B Bouchard & Ngoc Minh Dang**1604.06284 The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth***by*Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev**1604.05896 Random factor approach for large sets of equity time-series***by*Antti Tanskanen & Jani Lukkarinen & Kari Vatanen**1604.05771 Multidimensional matching***by*Pierre-Andr\'e Chiappori & Robert McCann & Brendan Pass**1604.05598 Regime switching vine copula models for global equity and volatility indices***by*Holger Fink & Yulia Klimova & Claudia Czado & Jakob St\"ober**1604.05584 Optimal investment and consumption with downside risk constraint in jump-diffusion models***by*Thai Nguyen**1604.05517 Duality in nondominated discrete-time models for Americain options***by*Shuoqing Deng & Xiaolu Tan**1604.05406 Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework***by*Wujiang Lou**1604.05404 Repo Haircuts and Economic Capital***by*Wujiang Lou**1604.05178 High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation***by*Yuri M. Dimitrov & Lubin G. Vulkov**1604.04963 Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty***by*Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward**1604.04872 Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything***by*Ravi Kashyap**1604.04608 Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty***by*Erhan Bayraktar & Zhou Zhou**1604.04312 Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory***by*Eamon Duede & Victor Zhorin**1604.04223 On the survival of poor peasants***by*Andrea C. Levi & Ubaldo Garibaldi**1604.03996 Evidence of Self-Organization in Time Series of Capital Markets***by*Leopoldo S\'anchez-Cant\'u & Carlos Arturo Soto-Campos & Oswaldo Morales-Matamoros & Alba Lucero Garc\'ia-P\'erez**1604.03906 Stochastic Perron for Stochastic Target Problems***by*Erhan Bayraktar & Jiaqi Li**1604.03776 Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic***by*Daniel Kosiorowski & Jerzy P. Rydlewski & Ma{\l}gorzata Snarska**1604.03522 The Topology of African Exports: emerging patterns on spanning trees***by*Tanya Ara\'ujo & M. Ennes Ferreira**1604.03337 The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model***by*Dominique Pepin**1604.03317 Pricing American options using martingale bases***by*J\'er\^ome Lelong**1604.03042 Distribution-Constrained Optimal Stopping***by*Erhan Bayraktar & Christopher W. Miller**1604.02759 Reconstruction of Order Flows using Aggregated Data***by*Ioane Muni Toke**1604.02370 Describing Realistic Wealth Distributions with the Extended Yard-Sale Model of Asset Exchange***by*Bruce M. Boghosian & Adrian Devitt-Lee & Jie Li & Jeremy A. Marcq & Hongyan Wang**1604.02274 More on hedging American options under model uncertainty***by*David Hobson & Anthony Neuberger**1604.02269 On the value of being American***by*David Hobson & Anthony Neuberger**1604.02237 Kriging of financial term-structures***by*Areski Cousin & Hassan Maatouk & Didier Rulli\`ere**1604.01824 The statistical significance of multivariate Hawkes processes fitted to limit order book data***by*Roger Martins & Dieter Hendricks**1604.01819 Aggregating time preferences with decreasing impatience***by*Nina Anchugina & Matthew Ryan & Arkadii Slinko**1604.01557 Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses***by*Mario Guti\'errez-Roig & Carlota Segura & Jordi Duch & Josep Perell\'o**1604.01447 Relativistic Quantum Finance***by*Juan M. Romero & Ilse B. Zubieta-Mart\'inez**1604.01338 Copula--based Specification of vector MEMs***by*Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo**1604.01322 Controllability Analyses on Firm Networks Based on Comprehensive Data***by*Hiroyasu Inoue**1604.01281 Option Pricing in the Moderate Deviations Regime***by*Peter Friz & Stefan Gerhold & Arpad Pinter**1604.01224 Commodity Dynamics: A Sparse Multi-class Approach***by*Luca Barbaglia & Ines Wilms & Christophe Croux**1604.00976 From Big Data To Important Information***by*Yaneer Bar-Yam**1604.00596 Getting rich quick with the Axiom of Choice***by*Vladimir Vovk**1604.00525 On regularity of primal and dual dynamic value functions related to investment problem***by*Michael Mania & Revaz Tevzadze**1604.00369 The Mittag-Leffler Phillips Curve***by*Tomas Skovranek**1604.00254 Systemic Risks in CCP Networks***by*Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani**1604.00148 Market Integration in the Prewar Japanese Rice Markets***by*Mikio Ito & Kiyotaka Maeda & Akihiko Noda**1604.00105 Option pricing under fast-varying long-memory stochastic volatility***by*Josselin Garnier & Knut Solna**1603.09666 Low-traffic limit and first-passage times for a simple model of the continuous double auction***by*Enrico Scalas & Fabio Rapallo & Tijana Radivojevi\'c**1603.09519 Deterministic Income with Deterministic and Stochastic Interest Rates***by*Julia Eisenberg**1603.09491 On the properties of the Lambda value at risk: robustness, elicitability and consistency***by*Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo**1603.09406 Risk contagion under regular variation and asymptotic tail independence***by*Bikramjit Das & Vicky Fasen**1603.09329 Pricing occupation-time options in a mixed-exponential jump-diffusion model***by*Djilali Ait Aoudia & Jean-Fran\c{c}ois Renaud**1603.09324 Parisian ruin for a refracted L\'evy process***by*Mohamed Amine Lkabous & Irmina Czarna & Jean-Fran\c{c}ois Renaud**1603.09149 Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes***by*Milan Kumar Das & Anindya Goswami & Nimit Rana**1603.09060 Combining Dimension Reduction, Distance Measures and Covariance***by*Ravi Kashyap**1603.09049 Numerical approximation of a cash-constrained firm value with investment opportunities***by*Erwan Pierre & St\'ephane Villeneuve & Xavier Warin**1603.09030 A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective***by*Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera**1603.08961 Betting and Belief: Prediction Markets and Attribution of Climate Change***by*John J. Nay & Martin Van der Linden & Jonathan M. Gilligan**1603.08828 Financial equilibrium with asymmetric information and random horizon***by*Umut \c{C}etin**1603.08383 Modelling income, wealth, and expenditure data by use of Econophysics***by*Elvis Oltean**1603.08344 The unresolved mystery of the great divergence is solved***by*Ron W Nielsen**1603.08311 Interest Rates and Inflation***by*Michael Coopersmith & Pascal J. Gambardella**1603.08289 Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching***by*Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang**1603.08245 Trading Strategies Generated by Lyapunov Functions***by*Ioannis Karatzas & Johannes Ruf**1603.08216 A Flexible Galerkin Scheme for Option Pricing in L\'evy Models***by*Maximilian Ga{\ss} & Kathrin Glau**1603.08169 Robust Optimization of Credit Portfolios***by*Agostino Capponi & Lijun Bo**1603.08142 Conjoint axiomatization of the Choquet integral for heterogeneous product sets***by*Mikhail Timonin**1603.08114 GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model***by*Tetsuya Takaishi**1603.07822 On clustering financial time series: a need for distances between dependent random variables***by*Gautier Marti & Frank Nielsen & Philippe Donnat & S\'ebastien Andler**1603.07682 Descending Price Optimally Coordinates Search***by*Robert Kleinberg & Bo Waggoner & E. Glen Weyl**1603.07615 A Note on the Optimal Dividends Paid in a Foreign Currency***by*Julia Eisenberg & Paul Kr\"uhner**1603.07532 The Meta-Distribution of Standard P-Values***by*Nassim Nicholas Taleb**1603.07488 Conic Martingales from Stochastic Integrals***by*Fr\'ed\'eric Vrins & Monique Jeanblanc**1603.07225 A hybrid approach for the implementation of the Bates model with stochastic interest rate***by*Maya Briani & Lucia Caramellino & Antonino Zanette**1603.07074 On random convex analysis***by*Tiexin Guo & Erxin Zhang & Mingzhi Wu & Bixuan Yang & George Yuan & Xiaolin Zeng**1603.07020 Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets***by*Tomas Krehlik & Jozef Barunik**1603.07019 Optimal dividend payments for a two-dimensional insurance risk process***by*Pablo Azcue & Nora Muler & Zbigniew Palmowski**1603.06888 The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents***by*F. Knobloch & J. -F. Mercure**1603.06825 First Order BSPDEs: examples in higher dimension***by*Nikolai Dokuchaev**1603.06805 Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets***by*Dieter Hendricks**1603.06558 Universal trading under proportional transaction costs***by*Richard J Martin**1603.06498 Optimal Liquidation under Stochastic Resilience of Price Impact***by*Dirk Becherer & Todor Bilarev & Peter Frentrup**1603.06407 The mathematics of non-linear metrics for nested networks***by*Rui-Jie Wu & Gui-Yuan Shi & Yi-Cheng Zhang & Manuel Sebastian Mariani**1603.06389 No-arbitrage bounds for the forward smile given marginals***by*Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome**1603.06312 A rank based mean field game in the strong formulation***by*Erhan Bayraktar & Yuchong Zhang**1603.06202 Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes***by*Sid Ghoshal & Stephen Roberts**1603.06196 Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications***by*Sgouris Sgouridis & Abdulla Kaya & Denes Csala**1603.06183 Risk-Constrained Kelly Gambling***by*Enzo Busseti & Ernest K. Ryu & Stephen Boyd**1603.06050 Tukey's Transformational Ladder for Portfolio Management***by*Philip Ernst & James Thompson & Yinsen Miao**1603.06047 The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle..***by*Ravi Kashyap**1603.06034 Solving Society's Big Ills, A Small Step***by*Ravi Kashyap**1603.05937 How to Combine a Billion Alphas***by*Zura Kakushadze & Willie Yu**1603.05914 Statistically validated network of portfolio overlaps and systemic risk***by*Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet**1603.05828 Online Networks, Social Interaction and Segregation: An Evolutionary Approach***by*Angelo Antoci & Fabio Sabatini & Francesco Sarracino**1603.05700 Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data***by*Yoann Potiron**1603.05670 Bank distress in the news: Describing events through deep learning***by*Samuel R\"onnqvist & Peter Sarlin**1603.05513 The geometric phase of stock trading***by*Claudio Altafini**1603.05373 Sharp convex bounds on the aggregate sums--An alternative proof***by*Chuancun Yin & Dan Zhu**1603.05313 Market Dynamics vs. Statistics: Limit Order Book Example***by*Vladislav Gennadievich Malyshkin & Ray Bakhramov**1603.05294 Modeling and Estimation of the Risk When Choosing a Provider***by*Ekaterina Sorokina**1603.05181 Strength of weak layers in cascading failures on multiplex networks: case of the international trade network***by*Kyu-Min Lee & Kwang-Il Goh**1603.05142 Can banks default overnight? Modeling endogenous contagion on O/N interbank market***by*Pawe{\l} Smaga & Mateusz Wili\'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec**1603.04364 On the overlaps between eigenvectors of correlated random matrices***by*Jo\"el Bun & Jean-Philippe Bouchaud & Marc Potters**1603.04099 Contagion and Stability in Financial Networks***by*Seyyed Mostafa Mousavi & Robert Mackay & Alistair Tucker**1603.04017 Clustering Financial Time Series: How Long is Enough?***by*Gautier Marti & S\'ebastien Andler & Frank Nielsen & Philippe Donnat**1603.03874 Analysis of the nonlinear option pricing model under variable transaction costs***by*Daniel Sevcovic & Magdalena Zitnanska**1603.03747 Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model***by*Ale\v{s} \v{C}ern\'y**1603.03538 Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment***by*Jean-Pierre Fouque & Ruimeng Hu**1603.03458 Financial contagion in investment funds***by*Leonardo dos Santos Pinheiro & Flavio Codeco Coelho**1603.03198 General dynamic term structures under default risk***by*Claudio Fontana & Thorsten Schmidt**1603.03012 Capital Valuation Adjustment and Funding Valuation Adjustment***by*Claudio Albanese & Simone Caenazzo & St\'ephane Cr\'epey**1603.02902 Interacting Default Intensity with Hidden Markov Process***by*Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu**1603.02896 Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$***by*Martin Forde & Hongzhong Zhang**1603.02874 Libor at crossroads: stochastic switching detection using information theory quantifiers***by*Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso**1603.02867 Convex duality in optimal investment and contingent claim valuation in illiquid markets***by*Teemu Pennanen & Ari-Pekka Perkki\"o**1603.02615 Unbiased estimation of risk***by*Marcin Pitera & Thorsten Schmidt**1603.02438 A Mathematical Model of Foreign Capital Inflow***by*Gopal K. Basak & Pranab Kumar Das & Allena Rohit**1603.02354 Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX***by*Hannah Cheng & Juan Zhan & William Rea & Alethea Rea**1603.01865 Exponentially concave functions and high dimensional stochastic portfolio theory***by*Soumik Pal**1603.01685 Mathematical analysis of historical income per capita distributions***by*Ron W Nielsen**1603.01586 Average cross-responses in correlated financial market***by*Shanshan Wang & Rudi Sch\"afer & Thomas Guhr**1603.01580 Cross-response in correlated financial markets: individual stocks***by*Shanshan Wang & Rudi Sch\"afer & Thomas Guhr**1603.01416 Big is Fragile: An Attempt at Theorizing Scale***by*Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn**1603.01397 Latent class analyisis for reliable measure of inflation expectation in the indian public***by*Sunil Kumar**1603.01341 Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs***by*Ravi Kashyap**1603.01308 Dynamic Adaptive Mixture Models***by*Leopoldo Catania**1603.01288 Option spanning beyond $L_p$-models***by*Niushan Gao & Foivos Xanthos**1603.01231 Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes***by*Claudiu Albulescu & Christian Aubin & Daniel Goyeau**1603.01103 Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law***by*Marcel Ausloos & Rosella Castellano & Roy Cerqueti**1603.01041 Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments***by*Gareth W. Peters & Wilson Y. Chen & Richard H. Gerlach**1603.00991 Financial Services, Economic Growth and Well-Being: A Four-Pronged Study***by*Ravi Kashyap**1603.00987 Securities Lending Strategies, Exclusive Auction Bids***by*Ravi Kashyap**1603.00984 David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs***by*Ravi Kashyap**1603.00850 Tipping elements and climate-economic shocks: Pathways toward integrated assessment***by*Robert E. Kopp & Rachael Shwom & Gernot Wagner & Jiacan Yuan**1603.00751 Equity forecast: Predicting long term stock price movement using machine learning***by*Nikola Milosevic**1603.00736 Puzzling properties of the historical growth rate of income per capita explained***by*Ron W Nielsen**1603.00568 The Value of A Statistical Life in Absence of Panel Data: What can we do?***by*Andr\'es Riquelme & Marcela Parada**1603.00527 Affine multiple yield curve models***by*Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto**1602.09078 Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models***by*Ludovic Gouden\`ege & Andrea Molent & Antonino Zanette**1602.09071 Fairs for e-commerce: the benefits of aggregating buyers and sellers***by*Pierluigi Gallo & Francesco Randazzo & Ignazio Gallo**1602.08894 Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance***by*Thibaut Lux & Antonis Papapantoleon**1602.08533 A Rank-Based Approach to Zipf's Law***by*Ricardo T. Fernholz & Robert Fernholz**1602.08467 Microscopic models for the study of taxpayer audit effects***by*M. L. Bertotti & G. Modanese**1602.08429 No such thing as a risk-neutral market***by*D. L. Wilcox**1602.08374 Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution***by*Alessandro Fiasconaro & Emanuele Strano & Vincenzo Nicosia & Sergio Porta & Vito Latora**1602.08297 Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization***by*G\'abor Papp & Fabio Caccioli & Imre Kondor**1602.08270 Order Book, Financial Markets and Self-Organized Criticality***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda**1602.08258 Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles***by*Vladimir Filimonov & Guilherme Demos & Didier Sornette**1602.08070 Statistical Risk Models***by*Zura Kakushadze & Willie Yu**1602.07910 Polynomial Diffusion Models for Life Insurance Liabilities***by*Francesca Biagini & Yinglin Zhang**1602.07663 The role of volume in order book dynamics: a multivariate Hawkes process analysis***by*Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo**1602.07628 The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation***by*Yuval Rabani & Leonard J. Schulman**1602.07599 Backtesting Lambda Value at Risk***by*Jacopo Corbetta & Ilaria Peri**1602.07452 Contagion in the world's stock exchanges seen as a set of coupled oscillators***by*Lucia Bellenzier & J{\o}rgen Vitting Andersen & Giulia Rotundo**1602.07300 When does inequality freeze an economy?***by*Jo\~ao Pedro Jerico & Fran\c{c}ois P. Landes & Matteo Marsili & Isaac P\'erez Castillo & Valerio Volpati**1602.06998 Optimal investment and consumption with liquid and illiquid assets***by*Jin Hyuk Choi**1602.06968 Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble***by*Alberto Bicci**1602.06943 Bunching of numbers in a non-ideal roulette: the key to winning strategies***by*A. V. Kavokin & A. S. Sheremet & M. Yu. Petrov**1602.06935 The noisy voter model on complex networks***by*Adri\'an Carro & Ra\'ul Toral & Maxi San Miguel**1602.06855 Tsallis statistics in the income distribution of Brazil***by*Abner D. Soares & Newton J. Moura Jr. & Marcelo B. Ribeiro**1602.06765 On an Optimal Extraction Problem with Regime Switching***by*Giorgio Ferrari & Shuzhen Yang