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### 2015

**1504.04388 Mathematical modeling of physical capital using the spatial Solow model***by*Gilberto Gonz\'alez-Parra & Benito Chen-Charpentier & Abraham J. Arenas & Miguel Diaz-Rodriguez**1504.04354 The Long Memory of Order Flow in the Foreign Exchange Spot Market***by*Martin D. Gould & Mason A. Porter & Sam D. Howison**1504.04296 Estimating the Algorithmic Complexity of Stock Markets***by*Olivier Brandouy & Jean-Paul Delahaye & Lin Ma**1504.04254 Profitability of simple technical trading rules of Chinese stock exchange indexes***by*Hong Zhu & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou**1504.04102 The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics***by*Zhiwu Zheng**1504.03934 Forecasting trends with asset prices***by*Ahmed Bel Hadj Ayed & Gr\'egoire Loeper & Fr\'ed\'eric Abergel**1504.03895 Graph representation of balance sheets: from exogenous to endogenous money***by*Cyril Pitrou**1504.03822 Fisher information and quantum mechanical models for finance***by*Vadim Nastasiuk**1504.03733 Switching-GAS Copula Models With Application to Systemic Risk***by*Mauro Bernardi & Leopoldo Catania**1504.03644 Pathwise super-replication via Vovk's outer measure***by*Mathias Beiglb\"ock & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Pr\"omel**1504.03552 Random Time Forward Starting Options***by*Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti**1504.03508 Systemic trade-risk of critical resources***by*Peter Klimek & Michael Obersteiner & Stefan Thurner**1504.03238 Polynomial term structure models***by*Si Cheng & Michael R. Tehranchi**1504.03232 Economic inequality and mobility in kinetic models for social sciences***by*Maria Letizia Bertotti & Giovanni Modanese**1504.03209 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations***by*Mykhaylo Shkolnikov & Ronnie Sircar & Thaleia Zariphopoulou**1504.03100 Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes***by*Thibault Jaisson & Mathieu Rosenbaum**1504.03079 Explicit solution to dynamic portfolio choice problem : The continuous-time detour***by*Fran\c{c}ois Legendre & Djibril Togola**1504.03074 Black-Scholes equation***by*Natanael Karjanto & Binur Yermukanova & Laila Zhexembay**1504.02988 Topics in Stochastic Portfolio Theory***by*Alexander Vervuurt**1504.02972 Computing trading strategies based on financial sentiment data using evolutionary optimization***by*Ronald Hochreiter**1504.02956 Liquidity crises on different time scales***by*Francesco Corradi & Andrea Zaccaria & Luciano Pietronero**1504.02896 Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis***by*Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri**1504.02734 Sensitivity analysis for expected utility maximization in incomplete brownian market models***by*Julio Backhoff Veraguas & Francisco Silva**1504.02516 Empirical Relevance of Ambiguity in First Price Auction Models***by*Gaurab Aryal & Dong-Hyuk Kim**1504.02511 Application of the war of attrition game to the analysis of intellectual property disputes***by*Manuel G. Ch\'avez-Angeles & Patricia S. S\'anchez-Medina**1504.02435 Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces***by*Xi-Yuan Qian & Ya-Min Liu & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley**1504.02361 Exploring multi-layer flow network of international trade based on flow distances***by*Bin Shen & Jiang Zhang & Qiuhua Zheng**1504.02280 U.S. stock market interaction network as learned by the Boltzmann Machine***by*Stanislav S. Borysov & Yasser Roudi & Alexander V. Balatsky**1504.01857 DebtRank: A microscopic foundation for shock propagation***by*Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli**1504.01811 Agent-based model with multi-level herding for complex financial systems***by*Jun-Jie Chen & Lei Tan & Bo Zheng**1504.01542 A Vasicek-type short rate model with memory effect***by*Akihiko Inoue & Shingo Moriuchi & Yusuke Nakamura**1504.01152 Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium***by*Ying Hu & Hanqing Jin & Xun Yu Zhou**1504.01150 Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting***by*T Kruse & A Popier**1504.01026 Diversity-Weighted Portfolios with Negative Parameter***by*Alexander Vervuurt & Ioannis Karatzas**1504.01022 Application of Operator Splitting Methods in Finance***by*Karel in 't Hout & Jari Toivanen**1504.00640 Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123***by*Freddy Delbaen**1504.00590 Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations***by*Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli**1504.00579 A Markov model of a limit order book: thresholds, recurrence, and trading strategies***by*Frank Kelly & Elena Yudovina**1504.00428 A Market Model for VIX Futures***by*Alexander Badran & Beniamin Goldys**1504.00334 Simulation of Implied Volatility Surfaces via Tangent Levy Models***by*Rene Carmona & Yi Ma & Sergey Nadtochiy**1504.00310 Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices***by*Erhan Bayraktar & Xiang Yu**1504.00276 The Martin Integral Representation of Markovian Pricing Kernels***by*Hyungbin Park**1503.09008 IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks***by*W. Mudzimbabwe & Lubin G. Vulkov**1503.09004 Dependence structure of market states***by*Desislava Chetalova & Marcel Wollschl\"ager & Rudi Sch\"afer**1503.08969 Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints***by*Huiwen Yan & Gechun Liang & Zhou Yang**1503.08961 Dynkin Game of Convertible Bonds and Their Optimal Strategy***by*Huiwen Yan & Zhou Yang & Fahuai Yi & Gechun Liang**1503.08900 Dynamic Games with Almost Perfect Information***by*Wei He & Yeneng Sun**1503.08785 Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence***by*Elad Oster & Alexander Feigel**1503.08628 Dynamic indifference pricing via the G-expectation***by*Qian Lin**1503.08589 Local risk-minimization for Barndorff-Nielsen and Shephard models***by*Takuji Arai & Yuto Imai & Ryoichi Suzuki**1503.08586 New class of distortion risk measures and their tail asymptotics with emphasis on VaR***by*Chuancun Yin & Dan Zhu**1503.08465 Anomalous volatility scaling in high frequency financial data***by*Noemi Nava & T. Di Matteo & Tomaso Aste**1503.08441 East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators***by*Andrey Korotayev & Julia Zinkina**1503.08123 Higher order elicitability and Osband's principle***by*Tobias Fissler & Johanna F. Ziegel**1503.08119 About the decomposition of pricing formulas under stochastic volatility models***by*Raul Merino & Josep Vives**1503.08082 Black-Scholes in a CEV random environment: a new approach to smile modelling***by*Antoine Jacquier & Patrick Roome**1503.08032 Observability of Market Daily Volatility***by*Filippo Petroni & Maurizio Serva**1503.08013 A Robust Statistics Approach to Minimum Variance Portfolio Optimization***by*Liusha Yang & Romain Couillet & Matthew R. McKay**1503.07676 Sensitivity and Computational Complexity in Financial Networks***by*Brett Hemenway & Sanjeev Khanna**1503.07495 The intensity of the random variable intercept in the sector of negative probabilities***by*Marcin Makowski & Edward W. Piotrowski & Jan S{\l}adkowski & Jacek Syska**1503.07389 Sorting in Networks: Adversity and Structure***by*Andreas Bjerre-Nielsen**1503.07007 Optimal Position Management for a Market Maker with Stochastic Price Impacts***by*Masaaki Fujii**1503.06926 A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective***by*Semei Coronado & Omar Rojas & Rafael Romero-Meza & Francisco Venegas-Martinez**1503.06704 Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights***by*Jonathan Donier & Jean-Philippe Bouchaud**1503.06354 A Unified Approach to Systemic Risk Measures via Acceptance Sets***by*Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis**1503.06317 Measuring Systemic Risk: Robust Ranking Techniques Approach***by*Amirhossein Sadoghi**1503.06205 Canonical Sectors and Evolution of Firms in the US Stock Markets***by*Lorien X. Hayden & Ricky Chachra & Alexander A. Alemi & Paul H. Ginsparg & James P. Sethna**1503.06020 Insights in Economical Complexity in Spain: the hidden boost of migrants in international tradings***by*Elena Agliari & Adriano Barra & Andrea Galluzzi & Francisco Requena-Silvente & Daniele Tantari**1503.05909 Principal Components Analysis for Semimartingales and Stochastic PDE***by*Alberto Ohashi & Alexandre B Simas**1503.05769 Risk Sensitive Control of the Lifetime Ruin Problem***by*Erhan Bayraktar & Asaf Cohen**1503.05655 Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion***by*Hagen Kleinert & Jan Korbel**1503.05550 Club Convergence of House Prices: Evidence from China's Ten Key Cities***by*Hao Meng & Wen-Jie Xie & Wei-Xing Zhou**1503.05475 Almost-sure hedging with permanent price impact***by*B. Bouchard & G. Loeper & Y. Zou**1503.05416 The Principal-Agent Problem With Time Inconsistent Utility Functions***by*Boualem Djehiche & Peter Helgesson**1503.05343 ON Integrated Chance Constraints in ALM for Pension Funds***by*Youssouf A. F. Toukourou & Fran\c{c}ois Dufresne**1503.05283 Re-visiting the Distance Coefficient in Gravity Model***by*Haonan Wu**1503.05139 Pricing of Warrants with Stock Price Dependent Threshold Conditions***by*Ander Olvik & Raul Kangro**1503.05127 Tornadoes and related damage costs: statistical modeling with a semi-Markov approach***by*Chiara Corini & Guglielmo D'Amico & Filippo Petroni & Flavio Prattico & Raimondo Manca**1503.05098 Randomizing bipartite networks: the case of the World Trade Web***by*Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini**1503.04979 The affine inflation market models***by*Stefan Waldenberger**1503.04841 Forest Fire Model as a Supercritical Dynamic Model in Financial Systems***by*Deokjae Lee & Jae-Young Kim & Jeho Lee & B. Kahng**1503.04799 From anti-conformism to extremism***by*G\'erard Weisbuch**1503.04772 A dynamic game on Green Supply Chain Management***by*Mehrnoosh Khademi & Massimiliano Ferrara & Bruno Pansera & Mehdi Salimi**1503.04460 Optimal risk allocation in a market with non-convex preferences***by*Hirbod Assa**1503.03986 Measuring switching processes in financial markets with the Mean-Variance spin glass approach***by*Jan Jurczyk**1503.03902 L\'evy Processes For Finance: An Introduction In R***by*D. J. Manuge**1503.03726 Bounds for randomly shared risk of heavy-tailed loss factors***by*Oliver Kley & Claudia Kluppelberg**1503.03705 A hybrid tree/finite-difference approach for Heston-Hull-White type models***by*M. Briani & L. Caramellino & A. Zanette**1503.03567 Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation***by*Michael V. Klibanov & Andrey V. Kuzhuget**1503.03548 Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets***by*Yu-Lei Wan & Wen-Jie Xie & Gao-Feng Gu & Zhi-Qiang Jiang & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou**1503.03194 Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics***by*Michael Okelola & Keshlan Govinder**1503.03180 Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index***by*Jae Youn Ahn**1503.03006 Some new results on Dufffie-type OTC markets***by*Alain B\'elanger & Gaston Giroux & Ndoun\'e Ndoun\'e**1503.02822 On robust pricing-hedging duality in continuous time***by*Zhaoxu Hou & Jan Obloj**1503.02479 Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency***by*Baosen Zhang & Ramesh Johari & Ram Rajagopal**1503.02405 Detecting and interpreting distortions in hierarchical organization of complex time series***by*Stanis{\l}aw Dro\.zd\.z & Pawe{\l} O\'swi\k{e}cimka**1503.02237 Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case***by*Erhan Bayraktar & Virginia R. Young & David Promislow**1503.02177 Compounding approach for univariate time series with non-stationary variances***by*Rudi Sch\"afer & Sonja Barkhofen & Thomas Guhr & Hans-J\"urgen St\"ockmann & Ulrich Kuhl**1503.02034 A generic model for spouse's pensions with a view towards the calculation of liabilities***by*Alexander Sokol**1503.01802 Game-theoretic approach to risk-sensitive benchmarked asset management***by*Amogh Deshpande & Saul D. Jacka**1503.01754 A Quantization Approach to the Counterparty Credit Exposure Estimation***by*M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni**1503.01584 Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data***by*Frederik Meudt & Martin Theissen & Rudi Sch\"afer & Thomas Guhr**1503.00961 Optimally Investing to Reach a Bequest Goal***by*Erhan Bayraktar & Virginia R. Young**1503.00913 Understanding Financial Market States Using Artificial Double Auction Market***by*Kyubin Yim & Gabjin Oh & Seunghwan Kim**1503.00864 Affine LIBOR models driven by real-valued affine processes***by*Stefan Waldenberger & Wolfgang M\"uller**1503.00823 Influence network in Chinese stock market***by*Ya-Chun Gao & Yong Zeng & Shi-Min Cai**1503.00621 Leveraging the network: a stress-test framework based on DebtRank***by*Stefano Battiston & Marco D'Errico & Stefano Gurciullo & Guido Caldarelli**1503.00556 Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example***by*Yuriy Stepanov & Philip Rinn & Thomas Guhr & Joachim Peinke & Rudi Sch\"afer**1503.00529 Diversity waves in collapse-driven population dynamics***by*Sergei Maslov & Kim Sneppen**1503.00421 State and group dynamics of world stock market by principal component analysis***by*Ashadun Nobi & Jae Woo Lee**1503.00127 How crude oil prices shape the global division of labour***by*Francesco Picciolo & Andreas Papandreou & Klaus Hubacek & Franco Ruzzenenti**1503.00019 Error analysis in Fourier methods for option pricing***by*Fabi\'an Crocce & Juho H\"app\"ol\"a & Jonas Kiessling & Ra\'ul Tempone**1502.07961 Measures of Systemic Risk***by*Zachary Feinstein & Birgit Rudloff & Stefan Weber**1502.07625 Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity***by*Derrick M. Anderson & Andrew B. Whitford**1502.07622 Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity***by*Tihomir Gyulov & Lyuben Valkov**1502.07531 Feynman-Kac formula for L\'evy processes with discontinuous killing rate***by*Kathrin Glau**1502.07522 Dynamics of quasi-stationary systems: Finance as an example***by*Philip Rinn & Yuriy Stepanov & Joachim Peinke & Thomas Guhr & Rudi Sch\"afer**1502.07397 Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments***by*Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand**1502.07367 Cross correlations in European government bonds and EuroStoxx***by*Jan Jurczyk & Alexander Eckrot**1502.07321 An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series***by*Alexander Schnurr**1502.07265 Estimation of Several Political Action Effects of Energy Prices***by*Andrew B. Whitford**1502.06984 Model risk on credit risk***by*J. Molins & E. Vives**1502.06901 Equilibrium in Misspecified Markov Decision Processes***by*Ignacio Esponda & Demian Pouzo**1502.06805 International R&D Spillovers and other Unobserved Common Spillovers and Shocks***by*Diego-Ivan Ruge-Leiva**1502.06736 Rotational invariant estimator for general noisy matrices***by*Jo\"el Bun & Romain Allez & Jean-Philippe Bouchaud & Marc Potters**1502.06681 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options***by*Erhan Bayraktar & Zhou Zhou**1502.06557 Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes***by*Florian Ziel**1502.06349 Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators***by*Antonio Dalessandro & Gareth W. Peters**1502.06217 Contour map of estimation error for Expected Shortfall***by*Imre Kondor & Fabio Caccioli & G\'abor Papp & Matteo Marsili**1502.06163 Threadneedle: An Experimental Tool for the Simulation and Analysis of Fractional Reserve Banking Systems***by*Jacky Mallett**1502.06106 Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis***by*Maxim Bichuch & Agostino Capponi & Stephan Sturm**1502.06074 Coping with Negative Short-Rates***by*Zura Kakushadze**1502.05920 Robust Utility Maximization with L\'evy Processes***by*Ariel Neufeld & Marcel Nutz**1502.05743 The existence of optimal bang-bang controls for GMxB contracts***by*Parsiad Azimzadeh & Peter A. Forsyth**1502.05603 Stock market comovements: nonlinear approach for 48 countries***by*Paulo Ferreira & Andreia Dion\'isio & S. M. S. Movahed**1502.05442 Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models***by*Archil Gulisashvili & Frederi Viens & Xin Zhang**1502.05367 One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics***by*Damien Challet**1502.05274 How predictable is technological progress?***by*J. Doyne Farmer & Francois Lafond**1502.05238 One-Shot Bargaining Mechanisms***by*Yakov Babichenko & Leonard J. Schulman**1502.04909 Identification of Atlas models***by*Robert Fernholz**1502.04592 Hawkes processes in finance***by*Emmanuel Bacry & Iacopo Mastromatteo & Jean-Fran\c{c}ois Muzy**1502.04521 A dynamic optimal execution strategy under stochastic price recovery***by*Masashi Ieda**1502.04359 A weak law of large numbers for a limit order book model with fully state dependent order dynamics***by*Ulrich Horst & D\"orte Kreher**1502.03978 Non Parametric Estimates of Option Prices Using Superhedging***by*Gianluca Cassese**1502.03901 Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing***by*Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer**1502.03871 Stationary distribution of the volume at the best quote in a Poisson order book model***by*Ioane Muni Toke**1502.03840 Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion***by*Zhe Yu & Shanjun Li & Lang Tong**1502.03656 Quasi-Newton particle Metropolis-Hastings***by*Johan Dahlin & Fredrik Lindsten & Thomas B. Sch\"on**1502.03359 Asymptotic indifference pricing in exponential L\'evy models***by*Cl\'ement M\'enass\'e & Peter Tankov**1502.03254 Mass at zero and small-strike implied volatility expansion in the SABR model***by*Archil Gulisashvili & Blanka Horvath & Antoine Jacquier**1502.03252 Diversification, protection of liability holders and regulatory arbitrage***by*Pablo Koch-Medina & Cosimo Munari & Mario Sikic**1502.03018 Approximating explicitly the mean reverting CEV process***by*Nikolaos Halidias & Ioannis Stamatiou**1502.02968 Learning and Portfolio Decisions for HARA Investors***by*Michele Longo & Alessandra Mainini**1502.02963 An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab***by*Ricardo Crisostomo**1502.02926 Consistent Recalibration of Yield Curve Models***by*Philipp Harms & David Stefanovits & Josef Teichmann & Mario W\"uthrich**1502.02863 Dark-Pool Perspective of Optimal Market Making***by*M. Alessandra Crisafi & Andrea Macrina**1502.02847 The Robust Merton Problem of an Ambiguity Averse Investor***by*Sara Biagini & Mustafa Pinar**1502.02819 The pricing of lookback options and binomial approximation***by*Karl Grosse-Erdmann & Fabien Heuwelyckx**1502.02595 Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps***by*Jos\'e E. Figueroa-L\'opez & Sveinn \'Olafsson**1502.02537 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities***by*Dimitri O. Ledenyov & Viktor O. Ledenyov**1502.02352 Optimal portfolio with unobservable market parameters and certainty equivalence principle***by*Nikolai Dokuchaev**1502.02286 Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process***by*Tatiana Belkina & Shangzhen Luo**1502.02083 Information and Trading Targets in a Dynamic Market Equilibrium***by*Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi**1502.01918 Systemic Risk with Exchangeable Contagion: Application to the European Banking System***by*Umberto Cherubini & Sabrina Mulinacci**1502.01912 Archimedean-based Marshall-Olkin Distributions and Related Copula Functions***by*Sabrina Mulinacci**1502.01735 Convex duality with transaction costs***by*Yan Dolinsky & H. Mete Soner**1502.01658 Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation***by*Michael Ho & Zheng Sun & Jack Xin**1502.01125 Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model***by*Frederik Meudt & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr**1502.00908 A Directional Multivariate Value at Risk***by*Ra\'ul Torres & Rosa E. Lillo & Henry Laniado**1502.00882 A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime***by*M. Naresh Kumar & V. Sree Hari Rao**1502.00861 An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions***by*Eric Dahlgren & Tim Leung**1502.00824 How volatilities nonlocal in time affect the price dynamics in complex financial systems***by*Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang**1502.00808 On the multiplicative effect of government spending (or any other spending for that matter)***by*Jo\~ao P. da Cruz**1502.00680 Quasi-Centralized Limit Order Books***by*Martin D. Gould & Mason A. Porter & Sam D. Howison**1502.00674 An equilibrium model for spot and forward prices of commodities***by*Michail Anthropelos & Michael Kupper & Antonis Papapantoleon**1502.00358 Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties***by*Tim Leung & Yoshihiro Shirai**1502.00225 Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components***by*Ladislav Kristoufek**1502.00218 Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis***by*Angus O. Unegbu & Augustine Okanlawon**1502.00104 Worldwide clustering of the corruption perception***by*Michal Paulus & Ladislav Kristoufek**1501.07778 Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix***by*Patrick Steffen Michelberger & Jan Hendrik Witte**1501.07504 Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion***by*J. E. Wesen & V. VV. Vermehren & H. M. de Oliveira**1501.07480 Portfolio Optimization under Shortfall Risk Constraint***by*Oliver Janke & Qinghua Li**1501.07473 Information in stock prices and some consequences: A model-free approach***by*Yannis G. Yatracos**1501.07404 Liquidity costs: a new numerical methodology and an empirical study***by*Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr\'e**1501.07402 Valuation Algorithms for Structural Models of Financial Interconnectedness***by*Johannes Hain & Tom Fischer**1501.07297 Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk***by*Gildas Ratovomirija**1501.07124 Optimal strategies of investment in a linear stochastic model of market***by*O. S. Rozanova & G. S. Kambarbaeva**1501.06980 Short-time at-the-money skew and rough fractional volatility***by*Masaaki Fukasawa**1501.06221 Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach***by*Jinbeom Kim & Tim Leung**1501.06084 Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates***by*Andrei Cozma & Christoph Reisinger**1501.05893 Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples***by*Maxim Bichuch & Agostino Capponi & Stephan Sturm**1501.05771 Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting***by*Nikolay Klemashev & Alexander Shananin**1501.05751 Interbank markets and multiplex networks: centrality measures and statistical null models***by*Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon**1501.05400 Cascades in multiplex financial networks with debts of different seniority***by*Charles D. Brummitt & Teruyoshi Kobayashi**1501.05381 Combining Alphas via Bounded Regression***by*Zura Kakushadze**1501.05176 Bin Size Independence in Intra-day Seasonalities for Relative Prices***by*Esteban Guevara**1501.05040 Modular Dynamics of Financial Market Networks***by*Filipi N. Silva & Cesar H. Comin & Thomas K. DM. Peron & Francisco A. Rodrigues & Cheng Ye & Richard C. Wilson & Edwin Hancock & Luciano da F. Costa**1501.04992 Interactions between financial and environmental networks in OECD countries***by*Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi**1501.04747 Consumption investment optimization with Epstein-Zin utility in incomplete markets***by*Hao Xing**1501.04682 Toward robust early-warning models: A horse race, ensembles and model uncertainty***by*Markus Holopainen & Peter Sarlin