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### 2017

**1701.05695 The Value of Timing Risk***by*Jiro Akahori & Flavia Barsotti & Yuri Imamura**1701.05632 The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations***by*Klaus Ackermann & Simon D Angus & Paul A Raschky**1701.05450 An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints***by*Amir T. Payandeh-Najafabadi & Ali Panahi-Bazaz**1701.05447 An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation***by*Amir T. Payandeh Najafabadi & Ali Panahi Bazaz**1701.05176 Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk***by*Oisin Connolly**1701.05114 Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics***by*Ali Hosseiny**1701.05091 On the tail behavior of a class of multivariate conditionally heteroskedastic processes***by*Rasmus Pedersen & Olivier Wintenberger**1701.05016 Mean-Reverting Portfolio Design with Budget Constraint***by*Ziping Zhao & Daniel P. Palomar**1701.04780 Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version***by*Ruediger Frey & Lars Roesler & Dan Lu**1701.04565 An application of time reversal to credit risk management***by*Masahiko Egami & Rusudan Kevkhishvili**1701.04491 A geometric approach to the transfer problem for a finite number of traders***by*Tomohiro Uchiyama**1701.04431 Interpolating between matching and hedonic pricing models***by*Brendan Pass**1701.04260 On VIX Futures in the rough Bergomi model***by*Antoine Jacquier & Claude Martini & Aitor Muguruza**1701.04167 Worst-Case Expected Shortfall with Univariate and Bivariate Marginals***by*Anulekha Dhara & Bikramjit Das & Karthik Natarajan**1701.04134 A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities***by*Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan**1701.03960 Optimal Trading with a Trailing Stop***by*Tim Leung & Hongzhong Zhang**1701.03897 A Black--Scholes inequality: applications and generalisation***by*Michael R. Tehranchi**1701.03770 The structural constraints of income inequality in Latin America***by*Dominik Hartmann & Cristian Jara-Figueroa & Miguel Guevara & Alex Simoes & C\'esar A. Hidalgo**1701.03512 Parallelizing Computation of Expected Values in Recombinant Binomial Trees***by*Sai K. Popuri & Andrew M. Raim & Nagaraj K. Neerchal & Matthias K. Gobbert**1701.03098 Trading strategies for stock pairs regarding to the cross-impact cost***by*Shanshan Wang**1701.02958 Robust Portfolio Optimisation with Specified Competitors***by*Gon\c{c}alo Sim\~oes & Mark McDonald & Stacy Williams & Daniel Fenn & Raphael Hauser**1701.02821 Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps***by*Andrey Itkin**1701.02798 Phase-type Approximation of the Gerber-Shiu Function***by*Kazutoshi Yamazaki**1701.02681 Recursive Marginal Quantization of Higher-Order Schemes***by*T. A. McWalter & R. Rudd & J. Kienitz & E. Platen**1701.02245 Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality***by*Takashi Shinzato**1701.02216 Structural Propagation in a Production Network with State-Replicating Elasticities***by*Satoshi Nakano & Kazuhiko Nishimura**1701.02182 Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?***by*Jamal Bouoiyour & Refk Selmi**1701.02167 Stability for gains from large investors' strategies in M1/J1 topologies***by*Dirk Becherer & Todor Bilarev & Peter Frentrup**1701.02028 Asset correlation estimation for inhomogeneous exposure pools***by*Christoph Wunderer**1701.02015 Functional Analytic (Ir-)Regularity Properties of SABR-type Processes***by*Leif Doering & Blanka Horvath & Josef Teichmann**1701.01891 Pricing insurance drawdown-type contracts with underlying L\'evy assets***by*Zbigniew Palmowski & Joanna Tumilewicz**1701.01677 The Shapley Value of Digraph Games***by*Krishna Khatri**1701.01515 Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives***by*Wenting Chen & Kai Du & Xinzi Qiu**1701.01429 Chebyshev Reduced Basis Function applied to Option Valuation***by*Javier de Frutos & Victor Gaton**1701.01428 Predicting Economic Recessions Using Machine Learning Algorithms***by*Rickard Nyman & Paul Ormerod**1701.01427 Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin***by*Victor Haghani & Richard Dewey**1701.01327 Optimal liquidation in a Level-I limit order book for large tick stocks***by*Antoine Jacquier & Hao Liu**1701.01255 Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets***by*V. Gontis & A. Kononovicius**1701.01185 Efficient asymptotic variance reduction when estimating volatility in high frequency data***by*Simon Clinet & Yoann Potiron**1701.00993 Brownian trading excursions and avalanches***by*Friedrich Hubalek & Paul Kr\"uhner & Thorsten Rheinl\"ander**1701.00886 Pricing European Options by Stable Fourier-Cosine Series Expansions***by*Chunfa Wang**1701.00875 Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach***by*Tim Leung & Yerkin Kitapbayev**1701.00540 Net Stable Funding Ratio: Impact on Funding Value Adjustment***by*Medya Siadat & Ola Hammarlid

### 2016

**1701.07323 Les produits Halal dans les {\'e}conomies occidentales***by*Abdelatif Kerzabi**1701.07322 Heterogeneity of the educational system: an introduction to the problem***by*F. Aleskerov & I. Frumin & E. Kardanova**1701.07321 An analysis of potential conflict zones in the arctic region***by*F. Aleskerov & E. Victorova**1701.07318 Research and Teaching Efficiencies of Turkish Universities with Heterogeneity Considerations: Application of Multi-Activity DEA and DEA by Sequential Exclusion of Alternatives Methods***by*Y. \c{C}inar**1701.06624 Revenue Forecasting for Enterprise Products***by*Amita Gajewar & Gagan Bansal**1701.06410 Economics cannot isolate itself from political theory: a mathematical demonstration***by*Brendan Markey-Towler**1701.02662 Mathematical models describing the effects of different tax evasion behaviors***by*M. L. Bertotti & G. Modanese**1701.02649 Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e***by*Gane Samb Lo & Cheikh Mohamed Haidara**1701.02647 The Influence of Collaboration in Procurement Relationships***by*Wesley S. Boyce & Haim Mano & John L. Kent**1701.02646 Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price***by*Yang Yu & Guangyi Liu & Wendong Zhu & Fei Wang & Bin Shu & Kai Zhang & Ram Rajagopal & Nicolas Astier**1701.00112 Multinomial method for option pricing under Variance Gamma***by*Nicola Cantarutti & Jo\~ao Guerra**1701.00030 Numerical analysis of an extended structural default model with mutual liabilities and jump risk***by*Vadim Kaushansky & Alexander Lipton & Christoph Reisinger**1612.09553 A Theory of Experience Effects***by*Ulrike Malmendier & Demian Pouzo & Vicotria Vanasco**1612.09549 The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms***by*Ignacio Esponda & Demian Pouzo**1612.09469 A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility***by*Javier de Frutos & Victor Gaton**1612.09344 The Random Walk behind Volatility Clustering***by*Sabiou Inoua**1612.09244 Measuring the temperature and diversity of the U.S. regulatory ecosystem***by*Michael J Bommarito II & Daniel Martin Katz**1612.09189 Global economic dynamics of the forthcoming years. A forecast***by*Askar Akaev & Andrey Korotayev**1612.09152 A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing***by*Johannes Muhle-Karbe & Marcel Nutz**1612.09123 Population and trends in the global mean temperature***by*Richard S. J. Tol**1612.09103 Pointwise dual representation of dynamic convex expectations***by*Daniel Bartl**1612.09060 Fractional Dynamics of Natural Growth and Memory Effect in Economics***by*Valentina V. Tarasova & Vasily E. Tarasov**1612.08767 Pricing of Asian-type and Basket Options via Upper and Lower Bounds***by*Alexander Novikov & Scott Alexander & Nino Kordzakhia & Timothy Ling**1612.08705 Speculation and Power Law***by*Sabiou Inoua**1612.08689 Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse***by*Hristian Daskalov**1612.08583 A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework***by*Diederik Aerts & Emmanuel Haven & Sandro Sozzo**1612.08488 Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures***by*Richard Gerlach & Chao Wang**1612.08486 Understanding the Impacts of Dark Pools on Price Discovery***by*Linlin Ye**1612.08338 A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts***by*James PL Tan**1612.08111 The prevalence of chaotic dynamics in games with many players***by*James B. T. Sanders & J. Doyne Farmer & Tobias Galla**1612.07913 Economic Accelerator with Memory: Discrete Time Approach***by*Valentina V. Tarasova & Vasily E. Tarasov**1612.07903 Long and Short Memory in Economics: Fractional-Order Difference and Differentiation***by*Vasily E. Tarasov & Valentina V. Tarasova**1612.07802 How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights***by*Michele Caraglio & Fulvio Baldovin & Attilio L. Stella**1612.07742 Cross-impact and no-dynamic-arbitrage***by*Michael Schneider & Fabrizio Lillo**1612.07618 Pointwise Arbitrage Pricing Theory in Discrete Time***by*Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Ob{\l}\'oj**1612.07543 Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football***by*Ilya Solntsev & Anatoly Vorobyev & Elnura Irmatova & Nikita Osokin**1612.07194 Leverage and Uncertainty***by*Mihail Turlakov**1612.07132 Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits***by*Claudia Kl\"uppelberg & Miriam Isabel Seifert**1612.07067 Analytic solution to variance optimization with no short-selling***by*Imre Kondor & G\'abor Papp & Fabio Caccioli**1612.07016 Pricing Derivatives in Hermite Markets***by*Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi**1612.06855 Information, Impact, Ignorance, Illegality, Investing, and Inequality***by*Bruce Knuteson**1612.06850 Extremal Quantile Regression: An Overview***by*Victor Chernozhukov & Iv\'an Fern\'andez-Val & Tetsuya Kaji**1612.06665 Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs***by*Foad Shokrollahi**1612.06654 The Impact of Negative Interest Rates on Optimal Capital Injections***by*Julia Eisenberg & Paul Kr\"uhner**1612.06616 Shot-Noise Processes in Finance***by*Thorsten Schmidt**1612.06451 Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013***by*Chiara Perillo & Angelos Antonopoulos & Christos Verikoukis**1612.06441 Quantifying Retail Agglomeration using Diverse Spatial Data***by*Duccio Piovani & Vassilis Zachariadis & Michael Batty**1612.06291 The Topology of Inter-industry Relations from the Portuguese National Accounts***by*Tanya Ara\'ujo & Rui Faustino**1612.06244 The Blockchain: A Gentle Four Page Introduction***by*Jan Hendrik Witte**1612.06200 The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets***by*Jamal Bouoiyour & Refk Selmi**1612.06186 A Markovian Model of the Evolving World Input-Output Network***by*Vahid Moosavi & Giulio Isacchini**1612.06133 Optimal Investment under Information Driven Contagious Distress***by*Lijun Bo & Agostino Capponi**1612.05952 Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping***by*Kiran Sharma & Balagopal Gopalakrishnan & Anindya S. Chakrabarti & Anirban Chakraborti**1612.05855 Should we opt for the Black Friday discounted price or wait until the Boxing Day?***by*Jiang Wu & Ricardas Zitikis**1612.05681 BSDEs with default jump***by*Roxana Dumitrescu & Marie-Claire Quenez & Agn\`es Sulem**1612.05525 Extreme prices in electricity balancing markets from an approach of statistical physics***by*Mario Mureddu & Hildegard Meyer-Ortmanns**1612.05255 Stratified regression-based variance reduction approach for weak approximation schemes***by*Denis Belomestny & Stefan H\"afner & Mikhail Urusov**1612.05229 Stylized Facts and Simulating Long Range Financial Data***by*Laurie Davies & Walter Kr\"amer**1612.05227 European banking supervision, the role of stress test. Some brief considerations***by*Simone Manduchi**1612.05072 Predictability Hidden by Anomalous Observations***by*Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani**1612.05021 Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis***by*Jaeyong An & P. R. Kumar & Le Xie**1612.04990 A diagnostic criterion for approximate factor structure***by*Patrick Gagliardini & Elisa Ossola & Olivier Scaillet**1612.04512 Agent-based Model for Spot and Balancing Electricity Markets***by*Florian K\"uhnlenz & Pedro H. J. Nardelli**1612.04507 Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations***by*Jos\'e E. Figueroa-L\'opez & Cheng Li**1612.04407 Dynamic Convex Duality in Constrained Utility Maximization***by*Yusong Li & Harry Zheng**1612.04370 S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes***by*Panagiotis Papaioannou & Thomas Dionysopoulos & Dietmar Janetzko & Constantinos Siettos**1612.04126 The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company***by*Alicja Wolny-Dominiak**1612.03698 Fractal Optimization of Market Neutral Portfolio***by*Sergey Kamenshchikov & Ilia Drozdov**1612.03347 Dual Moments and Risk Attitudes***by*Louis R. Eeckhoudt & Roger J. A. Laeven**1612.03066 Parameter uncertainty and reserve risk under Solvency II***by*Andreas Fr\"ohlich & Annegret Weng**1612.03031 Early exercise decision in American options with dividends, stochastic volatility and jumps***by*Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet**1612.02985 Risk averse fractional trading using the current drawdown***by*Stanislaus Maier-Paape**1612.02666 Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016***by*Barack Wamkaya Wanjawa**1612.02658 The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach***by*Jian-Xin Wu & Ling-Yun He**1612.02657 How do Chinese cities grow? A distribution dynamics approach***by*Jian-Xin Wu & Ling-Yun He**1612.02656 The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection***by*Ling-yun He & Li Liu**1612.02654 China building energy consumption: definitions and measures from an operational perspective***by*Ling-Yun He & Wei Wei**1612.02653 Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector***by*Lu-Yi Qiu & Ling-Yun He**1612.02567 Order statistics of horse racing and the randomly broken stick***by*Peter A. Bebbington & Julius Bonart**1612.02444 Optimality of hybrid continuous and periodic barrier strategies in the dual model***by*Jos\'e-Luis P\'erez & Kazutoshi Yamazaki**1612.02312 Game options with gradual exercise and cancellation under proportional transaction costs***by*Alet Roux & Tomasz Zastawniak**1612.02112 Financial market with no riskless (safe) asset***by*Svetlozar Rachev & Frank Fabozzi**1612.02090 Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes***by*Pedro H. C. Sant'Anna**1612.02024 Impossible Inference in Econometrics: Theory and Applications to Regression Discontinuity, Bunching, and Exogeneity Tests***by*Marinho Bertanha & Marcelo J. Moreira**1612.01979 Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion***by*Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi**1612.01951 Stability of calibration procedures: fractals in the Black-Scholes model***by*Yiran Cui & Sebastian del Bano Rollin & Guido Germano**1612.01624 Universal Exponential Structure of Income Inequality: Evidence from 60 Countries***by*Yong Tao & Xiangjun Wu & Tao Zhou & Weibo Yan & Yanyuxiang Huang & Han Yu & Benedict Mondal & Victor M. Yakovenko**1612.01327 A multi-asset investment and consumption problem with transaction costs***by*David Hobson & Alex S. L. Tse & Yeqi Zhu**1612.01302 A Primer on Portfolio Choice with Small Transaction Costs***by*Johannes Muhle-Karbe & Max Reppen & H. Mete Soner**1612.01232 Wavelet-based methods for high-frequency lead-lag analysis***by*Takaki Hayashi & Yuta Koike**1612.01155 A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade***by*Xu Wang & Ryan P. Badman**1612.01132 A Model of Synchronization for Self-Organized Crowding Behavior***by*Jake J. Xia**1612.01013 Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach***by*Tim Leung & Hyungbin Park**1612.00981 How many market makers does a market need?***by*V\'it Per\v{z}ina & Jan M. Swart**1612.00833 Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach***by*Mahmood Mahmoudzadeh & Seyyed Ali Zeytoon Nejad Moosavian**1612.00828 A New Set of Financial Instruments***by*Svetlozar & T. Rachev & Frank J. Fabozzi**1612.00780 A Market Driver Volatility Model via Policy Improvement Algorithm***by*Jun Maeda & Saul D. Jacka**1612.00720 Optimal consumption and investment under transaction costs***by*David Hobson & Alex S. L. Tse & Yeqi Zhu**1612.00402 Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models***by*Maciej Balajewicz & Jari Toivanen**1612.00270 Predicting the rise of right-wing populism in response to unbalanced immigration***by*Boris Podobnik & Marko Jusup & H. Eugene Stanley**1612.00221 The Coconut Model with Heterogeneous Strategies and Learning***by*Sven Banisch & Eckehard Olbrich**1611.09926 Choquet integral in decision analysis - lessons from the axiomatization***by*Mikhail Timonin**1611.09893 Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data***by*Michele Coscia & Ricardo Hausmann & Frank Neffke**1611.09631 Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio***by*Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong**1611.09420 The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications***by*Christian Hansen & Yuan Liao**1611.09300 Optimal portfolio approximation on finite horizons***by*Rohini Kumar & Hussein Nasralah**1611.09179 Optimal stopping with f -expectations: the irregular case***by*Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez**1611.09062 Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets***by*N. S. Gonchar**1611.08510 Can Agent-Based Models Probe Market Microstructure?***by*Donovan Platt & Tim Gebbie**1611.08393 Mean-Reverting Portfolio Design via Majorization-Minimization Method***by*Ziping Zhao & Daniel P. Palomar**1611.08330 The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement***by*Johan G. Andreasson & Pavel V. Shevchenko**1611.08088 Multiple Time Series Ising Model for Financial Market Simulations***by*Tetsuya Takaishi**1611.07843 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty***by*Olivier Gu\'eant & Jiang Pu**1611.07741 The Markowitz Category***by*John Armstrong**1611.07432 "Chaos" in energy and commodity markets: a controversial matter***by*Loretta Mastroeni & Pierluigi Vellucci**1611.06698 Dynamical Stationarity as a Result of Sustained Random Growth***by*Tam\'as Bir\'o & Zolt\'an N\'eda**1611.06672 Systemic Risk and Interbank Lending***by*Li-Hsien Sun**1611.06666 Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks***by*Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley**1611.06452 Model reduction for calibration of American options***by*Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth**1611.06407 Interplay between endogenous and exogenous fluctuations in financial markets***by*Vygintas Gontis**1611.06344 Regression-based complexity reduction of the dual nested Monte Carlo methods***by*Denis Belomestny & Stefan H\"afner & Mikhail Urusov**1611.06218 On convex functions on the duals of $\Delta_2$-Orlicz spaces***by*Freddy Delbaen & Keita Owari**1611.06217 Specification Tests for the Propensity Score***by*Pedro H. C. Sant'Anna & Xiaojung Song**1611.06181 Calibration to American Options: Numerical Investigation of the de-Americanization***by*Olena Burkovska & Maximilian Ga{\ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth**1611.06098 On the wavelets-based SWIFT method for backward stochastic differential equations***by*Ki Wai Chau & Cornelis W. Oosterlee**1611.06010 Value-at-Risk Prediction in R with the GAS Package***by*David Ardia & Kris Boudt & Leopoldo Catania**1611.05690 A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case***by*Javiera Barrera & Eduardo Moreno & Sebastian Varas**1611.05571 Random matrix approach to estimation of high-dimensional factor models***by*Joongyeub Yeo & George Papanicolaou**1611.05518 Robust Trading of Implied Skew***by*Sergey Nadtochiy & Jan Obloj**1611.05288 Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach***by*Kathia Pinz\'on**1611.05280 Toward Economics as a New Complex System***by*Taisei Kaizoji**1611.05194 Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals***by*Kensuke Ishitani**1611.04941 Empirical analysis of daily cash flow time series and its implications for forecasting***by*Francisco Salas-Molina & Juan A. Rodr\'iguez-Aguilar & Joan Serr\`a & Montserrat Guillen & Francisco J. Martin**1611.04877 The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach***by*Xavier Warin**1611.04851 Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall***by*Marie Kratz & Yen H. Lok & Alexander J McNeil**1611.04494 Predictable Forward Performance Processes: The Binomial Case***by*Bahman Angoshtari & Thaleia Zariphopoulou & Xun Yu Zhou**1611.04320 Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry***by*Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel**1611.04311 How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation***by*Matteo Serri & Guido Caldarelli & Giulio Cimini**1611.04091 Immediate price impact of a stock and its warrant: Power-law or logarithmic model?***by*Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou**1611.04090 Time-varying return predictability in the Chinese stock market***by*Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou**1611.03782 What do central counterparties default funds really cover? A network-based stress test answer***by*Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini**1611.03740 Properties of the financial break-even point in a simple investment project as a function of the discount rate***by*Domingo A. Tarzia**1611.03435 Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience***by*Paulwin Graewe & Ulrich Horst**1611.03239 Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing***by*Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel**1611.03110 Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies***by*Tim Leung & Jamie Kang**1611.02961 A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models***by*Maarten Wyns & Jacques Du Toit**1611.02952 Unexpected Default in an Information Based Model***by*Matteo Ludovico Bedini & Rainer Buckdahn & Hans-J\"urgen Engelbert**1611.02877 Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment***by*Damiano Brigo & Fr\'ed\'eric Vrins**1611.02760 The missing assets and the size of Shadow Banking: an update***by*Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati**1611.02556 Application of the Generalized Linear Models in Actuarial Framework***by*Murwan H. M. A. Siddig**1611.02549 Emerging interdependence between stock values during financial crashes***by*Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad**1611.02547 Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach***by*Moustapha Pemy**1611.02270 The Average-Marginal Relationship and Tractable Equilibrium Forms***by*Michal Fabinger & E. Glen Weyl**1611.02026 Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility***by*Milan Kumar Das & Anindya Goswami & Tanmay S. Patankar**1611.01958 Optimal shrinkage-based portfolio selection in high dimensions***by*Taras Bodnar & Yarema Okhrin & Nestor Parolya**1611.01771 An Equilibrium Model with Computationally Constrained Agents***by*Wolfgang Kuhle**1611.01767 EM Algorithm and Stochastic Control in Economics***by*Steven Kou & Xianhua Peng & Xingbo Xu