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### 2015

**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**1501.04575 An optimal trading problem in intraday electricity markets***by*Ren\'e A\"id & Pierre Gruet & Huy\^en Pham**1501.04548 Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures***by*Rohini Kumar**1501.04274 Optional Decomposition for continuous semimartingales under arbitrary filtrations***by*Ioannis Karatzas & Constantinos Kardaras**1501.04123 Data manipulation detection via permutation information theory quantifiers***by*Aurelio Fernandez Bariviera & M. Bel\'en Guercio & Lisana B. Martinez**1501.03768 On the martingale-fair index of return for investment funds***by*Leslaw Gajek & Marek Kaluszka**1501.03756 Optimal Trading with Alpha Predictors***by*Filippo Passerini & Samuel E. Vazquez**1501.03701 A New Approach to Model Free Option Pricing***by*Raphael Hauser & Sergey Shahverdyan**1501.03387 The asymptotic smile of a multiscaling stochastic volatility model***by*Francesco Caravenna & Jacopo Corbetta**1501.03371 Google matrix analysis of the multiproduct world trade network***by*Leonardo Ermann & Dima L. Shepelyansky**1501.03123 Non-concave utility maximisation on the positive real axis in discrete time***by*Laurence Carassus & Mikl\'os R\'asonyi & Andrea M. Rodrigues**1501.02750 Self-Financing Trading and the Ito-Doeblin Lemma***by*Chris Kenyon & Andrew Green**1501.02513 The 20-60-20 Rule***by*Piotr Jaworski & Marcin Pitera**1501.02447 Stochastic simulation framework for the Limit Order Book using liquidity motivated agents***by*Efstathios Panayi & Gareth Peters**1501.02382 Robust Inference of Risks of Large Portfolios***by*Jianqing Fan & Fang Han & Han Liu & Byron Vickers**1501.02276 The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs***by*Tim Leung & Brian Ward**1501.02007 Shortfall Deviation Risk: An alternative to risk measurement***by*Marcelo Brutti Righi & Paulo Sergio Ceretta**1501.01954 On financial applications of the two-parameter Poisson-Dirichlet distribution***by*Sergey Sosnovskiy**1501.01892 Optimal Asset Liquidation with Multiplicative Transient Price Impact***by*Dirk Becherer & Todor Bilarev & Peter Frentrup**1501.01573 The Temporal Dimension of Risk***by*Ola Mahmoud**1501.01504 Optimal investment under behavioural criteria in incomplete diffusion market models***by*Mikl\'os R\'asonyi & Jos\'e Gregorio Rodr\'{i}guez-Villarreal**1501.01155 Entropy-Based Financial Asset Pricing***by*Mihaly Ormos & David Zibriczky**1501.01126 A Composite Risk Measure Framework for Decision Making under Uncertainty***by*Pengyu Qian & Zizhuo Wang & Zaiwen Wen**1501.00843 A law of large numbers for limit order books***by*Ulrich Horst & Michael Paulsen**1501.00837 On a class of generalized Takagi functions with linear pathwise quadratic variation***by*Alexander Schied**1501.00833 Signs of dependence and heavy tails in non-life insurance data***by*Jonas Alm**1501.00818 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets***by*Florian Ziel & Rick Steinert & Sven Husmann**1501.00434 Monetary Policy and Dark Corners in a stylized Agent-Based Model***by*Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud**1501.00419 Minimizing the Probability of Ruin in Retirement***by*Christopher J. Rook**1501.00273 A note on the spot-forward no-arbitrage relations in a trading-production model for commodities***by*Ren\'e A\"id & Luciano Campi & Delphine Lautier

### 2014

**1508.06225 Theory of pricing as relativistic kinematics***by*S. I. Melnyk & I. G. Tuluzov**1502.06434 ANN Model to Predict Stock Prices at Stock Exchange Markets***by*B. W. Wanjawa & L. Muchemi**1501.02216 Analyses of Statistical Structures in Economic Indices***by*Frank W. K. Firk**1501.00882 Observing Each Other's Observations in the Electronic Mail Game***by*Dominik Grafenhofer & Wolgang Kuhle**1501.00040 Community detection in temporal multilayer networks, and its application to correlation networks***by*Marya Bazzi & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison**1501.00026 Optimal Selling Time of a Stock under Capital Gains Taxes***by*Christoph K\"uhn & Budhi Arta Surya & Bj\"orn Ulbricht**1412.8725 Towards a formalization of a two traders market with information exchange***by*F. Bagarello & E. Haven**1412.8624 Optimal Control Model of Software Quality for Digital Vendors***by*James Fan & Christopher Griffin**1412.8414 Accounting for Earnings Announcements in the Pricing of Equity Options***by*Tim Leung & Marco Santoli**1412.8017 Adaptive Market Efficiency of Agricultural Commodity Futures Contracts***by*Semei Coronado-Ram\'irez & Pedro Celso-Arellano & Omar Rojas**1412.7943 Derivatives pricing in energy markets: an infinite dimensional approach***by*Fred Espen Benth & Paul Kr\"uhner**1412.7649 Optimal switching for pairs trading rule: a viscosity solutions approach***by*Minh Man Ngo & Huyen Pham**1412.7647 Tail Risk Constraints and Maximum Entropy***by*Donald Geman & H\'elyette Geman & Nassim Nicholas Taleb**1412.7562 A new perspective on the fundamental theorem of asset pricing for large financial markets***by*Christa Cuchiero & Irene Klein & Josef Teichmann**1412.7500 Inflation and speculation in a dynamic macroeconomic model***by*Matheus Grasselli & Adrien Nguyen Huu**1412.7412 Smile with the Gaussian term structure model***by*Abdelkoddousse Ahdida & Aur\'elien Alfonsi & Ernesto Palidda**1412.7269 Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange***by*Mitsuaki Murota & Jun-ichi Inoue**1412.7227 An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange***by*Bruce M. Boghosian & Merek Johnson & Jeremy Marcq**1412.7096 Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling***by*Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy**1412.7058 Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets***by*Andrei Lebedev & Petr Zabreiko**1412.6924 Visualizing the Invisible Hand of Markets: Simulating complex dynamic economic interactions***by*Klaus Jaffe**1412.6745 Risk measuring under liquidity risk***by*Erindi Allaj**1412.6459 Dynamic Conic Finance via Backward Stochastic Difference Equations***by*Tomasz R. Bielecki & Igor Cialenco & Tao Chen**1412.6244 Nonlinear GARCH model and 1/f noise***by*Aleksejus Kononovicius & Julius Ruseckas**1412.6064 Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method***by*Jamal Amani Rad & Kourosh Parand**1412.6063 Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options***by*Jamal Amani Rad & Kourosh Parand & Saeid Abbasbandy**1412.5558 Backtest of Trading Systems on Candle Charts***by*Stanislaus Maier-Paape & Andreas Platen**1412.5520 Indifference prices and implied volatilities***by*Matthew Lorig**1412.5452 Aggregation operators for the measurement of systemic risk***by*Jozsef Mezei & Peter Sarlin**1412.5397 Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013***by*Juehui Shi**1412.5351 A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models***by*Galina Andreeva & Raffaella Calabrese & Silvia Angela Osmetti**1412.5332 Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning***by*Chris Kenyon & Andrew Green**1412.5072 Convenient liquidity measure for Financial markets***by*Oleh Danyliv & Bruce Bland & Daniel Nicholass**1412.4839 Optimal execution with nonlinear transient market impact***by*Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo**1412.4698 Conditional Analysis and a Principal-Agent problem***by*Julio Backhoff & Ulrich Horst**1412.4695 On Pareto theory of circulation of elites***by*Ricardo P\'erez-Marco**1412.4503 A Million Metaorder Analysis of Market Impact on the Bitcoin***by*Jonathan Donier & Julius Bonart**1412.4428 Nonparametric Stochastic Discount Factor Decomposition***by*Timothy Christensen**1412.4342 Russian-Doll Risk Models***by*Zura Kakushadze**1412.4208 Equilibrium in risk-sharing games***by*Michail Anthropelos & Constantinos Kardaras**1412.4045 Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$***by*Denis Belomestny & Tigran Nagapetyan**1412.3948 Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics***by*Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani**1412.3623 Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model***by*Q. Feng & C. W. Oosterlee**1412.3530 Optimal martingale transport between radially symmetric marginals in general dimensions***by*Tongseok Lim**1412.3230 Max-factor individual risk models with application to credit portfolios***by*Michel Denuit & Anna Kiriliouk & Johan Segers