Content
2019
- 1910.12358 Dual Instrumental Variable Regression
by Krikamol Muandet & Arash Mehrjou & Si Kai Lee & Anant Raj - 1910.12281 Deep convolutional autoencoder for cryptocurrency market analysis
by Vladimir Puzyrev - 1910.12131 Almost Quasi-linear Utilities in Disguise: Positive-representation An Extension of Roberts' Theorem
by Ilan Nehama - 1910.12130 Price mediated contagion through capital ratio requirements with VWAP liquidation prices
by Tathagata Banerjee & Zachary Feinstein - 1910.11965 Estimating a Large Covariance Matrix in Time-varying Factor Models
by Jaeheon Jung - 1910.11904 Change of drift in one-dimensional diffusions
by Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers - 1910.11840 Sparsity and Stability for Minimum-Variance Portfolios
by Sven Husmann & Antoniya Shivarova & Rick Steinert - 1910.11780 Inequality in Turkey: Looking Beyond Growth
by Bayram Cakir & Ipek Ergul - 1910.11693 Building social networks under consent: A survey
by Robert P. Gilles - 1910.11570 Does car sharing reduce greenhouse gas emissions? Life cycle assessment of the modal shift and lifetime shift rebound effects
by Levon Amatuni & Juudit Ottelin & Bernhard Steubing & Jos'e Mogollon - 1910.11405 The Politics of Personalized News Aggregation
by Lin Hu & Anqi Li & Ilya Segal - 1910.11392 The Persuasion Duality
by Piotr Dworczak & Anton Kolotilin - 1910.11337 Coalition-structured governance improves cooperation to provide public goods
by V'itor V. Vasconcelos & Phillip M. Hannam & Simon A. Levin & Jorge M. Pacheco - 1910.11216 Fragmentation of Distributed Exchanges
by Marius Zoican & Sorin Zoican - 1910.11154 Necessary and sufficient condition for equilibrium of the Hotelling model on a circle
by Satoshi Hayashi & Naoki Tsuge - 1910.10779 Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
by Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante - 1910.10673 Pricing Economic Dispatch with AC Power Flow via Local Multipliers and Conic Relaxation
by Mariola Ndrio & Anna Winnicki & Subhonmesh Bose - 1910.10646 Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids
by Nathalie Gimenes & Emmanuel Guerre - 1910.10606 Inference of Binary Regime Models with Jump Discontinuities
by Milan Kumar Das & Anindya Goswami & Sharan Rajani - 1910.10382 How well can we learn large factor models without assuming strong factors?
by Yinchu Zhu - 1910.10133 Principal Component Analysis: A Generalized Gini Approach
by Charpentier & Arthur & Mussard & Stephane & Tea Ouraga - 1910.10099 Mesoscale impact of trader psychology on stock markets: a multi-agent AI approach
by J. Lussange & S. Palminteri & S. Bourgeois-Gironde & B. Gutkin - 1910.10098 A Classification Framework for Stablecoin Designs
by Amani Moin & Emin Gun Sirer & Kevin Sekniqi - 1910.10005 The CMMV Pricing Model in Practice
by Bernard De Meyer & Moussa Dabo - 1910.09978 Order patterns, their variation and change points in financial time series and Brownian motion
by Christoph Bandt - 1910.09947 Adaptive-Aggressive Traders Don't Dominate
by Daniel Snashall & Dave Cliff - 1910.09855 The Value of Insider Information for Super--Replication with Quadratic Transaction Costs
by Yan Dolinsky & Jonathan Zouari - 1910.09841 Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
by Matteo Barigozzi & Matteo Luciani - 1910.09834 A hybrid stochastic differential reinsurance and investment game with bounded memory
by Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong - 1910.09544 Relative Net Utility and the Saint Petersburg Paradox
by Daniel Muller & Tshilidzi Marwala - 1910.09504 CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks
by Gautier Marti - 1910.09502 A path-sampling method to partially identify causal effects in instrumental variable models
by Florian Gunsilius - 1910.09314 Pricing Mechanism for Resource Sustainability in Competitive Online Learning Multi-Agent Systems
by Ezra Tampubolon & Holger Boche - 1910.09202 Conservation Laws in a Limit Order Book
by Jan Rosenzweig - 1910.09153 Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis
by Lu Bai & Lixin Cui & Lixiang Xu & Yue Wang & Zhihong Zhang & Edwin R. Hancock - 1910.09132 Multi-Stage Compound Real Options Valuation in Residential PV-Battery Investment
by Yiju Ma & Kevin Swandi & Archie Chapman & Gregor Verbic - 1910.09004 Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
by Jushan Bai & Sung Hoon Choi & Yuan Liao - 1910.08953 Overcoming Free-Riding in Bandit Games
by Johannes Horner & Nicolas Klein & Sven Rady - 1910.08946 Robustness of Delta Hedging in a Jump-Diffusion Model
by Frank Bosserhoff & Mitja Stadje - 1910.08858 Beating the House: Identifying Inefficiencies in Sports Betting Markets
by Sathya Ramesh & Ragib Mostofa & Marco Bornstein & John Dobelman - 1910.08641 Nonhedgeable risk and Credit Risk Pricing
by Juan Dong & Lyudmila Korobenko & Deniz Sezer - 1910.08628 Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics
by Jeremy Turiel & Tomaso Aste - 1910.08627 On the quantum behavior and clustering properties of correlated financial portfolios
by Carlo Requi~ao da Cunha & Roberto da Silva - 1910.08611 A multilevel analysis to systemic exposure: insights from local and system-wide information
by Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo - 1910.08531 Healthy... Distress... Default
by Zura Kakushadze - 1910.08344 Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
by Samuel Drapeau & Yunbo Zhang - 1910.08273 Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
by Ruoxuan Xiong & Markus Pelger - 1910.08202 Forecasting under Long Memory and Nonstationarity
by Uwe Hassler & Marc-Oliver Pohle - 1910.08158 Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes
by Wenyuan Wang & Xueyuan Wu & Cheng Chi - 1910.07971 The value of power-related options under spectrally negative L\'evy processes
by Jean-Philippe Aguilar - 1910.07859 Currency Based on Time Standard
by Tomas Kala - 1910.07781 Econometric Models of Network Formation
by Aureo de Paula - 1910.07707 Fighting for Not-So-Religious Souls: The Role of Religious Competition in Secular Conflicts
by Hector Galindo-Silva & Guy Tchuente - 1910.07689 A Projection Framework for Testing Shape Restrictions That Form Convex Cones
by Zheng Fang & Juwon Seo - 1910.07572 Asymptotic Theory of $L$-Statistics and Integrable Empirical Processes
by Tetsuya Kaji - 1910.07564 Residual Switching Network for Portfolio Optimization
by Jifei Wang & Lingjing Wang - 1910.07452 Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition
by Aureo de Paula & Imran Rasul & Pedro Souza - 1910.07417 Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset
by Ljudmila A. Bordag - 1910.07406 Standard Errors for Panel Data Models with Unknown Clusters
by Jushan Bai & Sung Hoon Choi & Yuan Liao - 1910.07325 Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules
by Florian Ziel & Kevin Berk - 1910.07241 Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
by Damir Filipovi'c & Kathrin Glau & Yuji Nakatsukasa & Francesco Statti - 1910.07158 Stochastic Orderings of Multivariate Elliptical Distributions
by Chuancun Yin - 1910.07022 Measuring the Completeness of Theories
by Drew Fudenberg & Jon Kleinberg & Annie Liang & Sendhil Mullainathan - 1910.07018 Games of Incomplete Information Played By Statisticians
by Annie Liang - 1910.07015 Dynamically Aggregating Diverse Information
by Annie Liang & Xiaosheng Mu & Vasilis Syrgkanis - 1910.06910 Optimal ratcheting of dividends in insurance
by Hansjoerg Albrecher & Pablo Azcue & Nora Muler - 1910.06872 Robust portfolio optimization with multi-factor stochastic volatility
by Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu - 1910.06746 Fundamental Analysis in China: An Empirical Study of the Relationship between Financial Ratios and Stock Prices
by Lijuan Ma & Marcel Ausloos & Christophe Schinckus & H. L. Felicia Chong - 1910.06739 The Cobb-Douglas production function revisited
by Roman G. Smirnov & Kunpeng Wang - 1910.06677 Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
by Jushan Bai & Serena Ng - 1910.06660 Stochastic leverage effect in high-frequency data: a Fourier based analysis
by Imma Valentina Curato & Simona Sanfelici - 1910.06499 Precisamos de uma Contabilidade Ambiental para as "Amaz\^onias" Paraense?
by Ailton Castro Pinheiro - 1910.06463 Singular Perturbation Expansion for Utility Maximization with Order-$\epsilon$ Quadratic Transaction Costs
by Andrew Papanicolaou & Shiva Chandra - 1910.06432 Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
by Tim Leung & Yang Zhou - 1910.06381 Principled estimation of regression discontinuity designs
by L. Jason Anastasopoulos - 1910.06242 Phase separation and scaling in correlation structures of financial markets
by Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi - 1910.05999 A BSDE-based approach for the optimal reinsurance problem under partial information
by Matteo Brachetta & Claudia Ceci - 1910.05902 Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function
by Abootaleb Shirvani & Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi - 1910.05750 Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
by Beatrice Acciaio & Julien Guyon - 1910.05658 Universal Basic Income: The Last Bullet in the Darkness
by Mohammad Rasoolinejad - 1910.05596 Networks of monetary flow at native resolution
by Carolina Mattsson - 1910.05561 Portfolio Cuts: A Graph-Theoretic Framework to Diversification
by Bruno Scalzo Dees & Ljubisa Stankovic & Anthony G. Constantinides & Danilo P. Mandic - 1910.05555 Systematic Asset Allocation using Flexible Views for South African Markets
by Ann Sebastian & Tim Gebbie - 1910.05536 sPortfolio: Stratified Visual Analysis of Stock Portfolios
by Xuanwu Yue & Jiaxin Bai & Qinhan Liu & Yiyang Tang & Abishek Puri & Ke Li & Huamin Qu - 1910.05274 A Geometric Model of Opinion Polarization
by Jan Hk{a}z{l}a & Yan Jin & Elchanan Mossel & Govind Ramnarayan - 1910.05219 Measuring productivity dispersion: a parametric approach using the L\'{e}vy alpha-stable distribution
by Jangho Yang & Torsten Heinrich & Julian Winkler & Franc{c}ois Lafond & Pantelis Koutroumpis & J. Doyne Farmer - 1910.05209 Rational hyperbolic discounting
by Jos'e Cl'audio do Nascimento - 1910.05137 Stock price formation: useful insights from a multi-agent reinforcement learning model
by J. Lussange & S. Bourgeois-Gironde & S. Palminteri & B. Gutkin - 1910.05078 Incorporating Fine-grained Events in Stock Movement Prediction
by Deli Chen & Yanyan Zou & Keiko Harimoto & Ruihan Bao & Xuancheng Ren & Xu Sun - 1910.05056 How Option Hedging Shapes Market Impact
by Emilio Said - 1910.04960 Valuation of contingent claims with short selling bans under an equal-risk pricing framework
by Guiyuan Ma & Song-Ping Zhu & Ivan Guo - 1910.04943 Optimal Trading of a Basket of Futures Contracts
by Bahman Angoshtari & Tim Leung - 1910.04883 Latent Dirichlet Analysis of Categorical Survey Responses
by Evan Munro & Serena Ng - 1910.04879 Predicting Auction Price of Vehicle License Plate with Deep Residual Learning
by Vinci Chow - 1910.04648 On Existence of Equilibrium Under Social Coalition Structures
by Bugra Caskurlu & Ozgun Ekici & Fatih Erdem Kizilkaya - 1910.04610 Robust Likelihood Ratio Tests for Incomplete Economic Models
by Hiroaki Kaido & Yi Zhang - 1910.04487 Risk as Challenge: A Dual System Stochastic Model for Binary Choice Behavior
by Samuel Shye & Ido Haber - 1910.04469 Transboundary Pollution Externalities: Think Globally, Act Locally?
by Davide La Torre & Danilo Liuzzi & Simone Marsiglio - 1910.04401 Representing All Stable Matchings by Walking a Maximal Chain
by Linda Cai & Clayton Thomas - 1910.04260 Robust Monopoly Regulation
by Yingni Guo & Eran Shmaya - 1910.04245 Averaging estimation for instrumental variables quantile regression
by Xin Liu - 1910.04155 Taxation and Social Justice
by Boyan Durankev - 1910.04123 The Disparate Equilibria of Algorithmic Decision Making when Individuals Invest Rationally
by Lydia T. Liu & Ashia Wilson & Nika Haghtalab & Adam Tauman Kalai & Christian Borgs & Jennifer Chayes - 1910.04096 Identifiability of Structural Singular Vector Autoregressive Models
by Bernd Funovits & Alexander Braumann - 1910.04087 Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs
by Bernd Funovits - 1910.04083 The Impacts of the Alaska Permanent Fund Dividend on High School Status Completion Rates
by Mattathias Lerner - 1910.04075 The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods
by Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu - 1910.04047 Discrete-time risk-aware optimal switching with non-adapted costs
by Randall Martyr & John Moriarty & Magnus Perninge - 1910.03993 Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk
by Derek Singh & Shuzhong Zhang - 1910.03951 Quantifying Life Insurance Risk using Least-Squares Monte Carlo
by Claus Baumgart & Johannes Krebs & Robert Lempertseder & Oliver Pfaffel - 1910.03821 Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
by Matteo Barigozzi & Matteo Luciani - 1910.03805 Most productive scale size of China's regional R&D value chain: A mixed structure network
by Saeed Assani & Jianlin Jiang & Ahmad Assani & Feng Yang - 1910.03800 Art Pricing with Computer Graphic Techniques
by Lan Ju & Zhiyong Tu & Changyong Xue - 1910.03793 Creating a unique mobile financial services framework for Myanmar: A Review
by Dr Ma Nang Laik & Chester Mark Hong Wei - 1910.03712 Political Openness and Armed Conflict: Evidence from Local Councils in Colombia
by Hector Galindo-Silva - 1910.03669 On the feasibility of parsimonious variable selection for Hotelling's $T^2$-test
by Michael D. Perlman - 1910.03421 Estimating and decomposing most productive scale size in parallel DEA networks with shared inputs: A case of China's Five-Year Plans
by Saeed Assani & Jianlin Jiang & Ahmad Assani & Feng Yang - 1910.03383 Optimal Control of Prevention and Treatment in a Basic Macroeconomic-Epidemiological Model
by Davide La Torre & Tufail Malik & Simone Marsiglio - 1910.03245 Vol-of-vol expansion for (rough) stochastic volatility models
by Ozan Akdogan - 1910.03204 Noncompliance in randomized control trials without exclusion restrictions
by Masayuki Sawada - 1910.03141 The Possible Effects of Personal Income Tax and Value Added Tax on Consumer Behaviors
by Ahmet Ak & Oner Gumus - 1910.03117 Reversals of signal-posterior monotonicity imply a bias of screening
by Sander Heinsalu - 1910.03112 Application of Machine Learning in Forecasting International Trade Trends
by Feras Batarseh & Munisamy Gopinath & Ganesh Nalluru & Jayson Beckman - 1910.03109 Boosting High Dimensional Predictive Regressions with Time Varying Parameters
by Kashif Yousuf & Serena Ng - 1910.03068 Do speed bumps curb low-latency trading? Evidence from a laboratory market
by Mariana Khapko & Marius Zoican - 1910.03056 A bank salvage model by impulse stochastic controls
by Francesco Cordoni & Luca Di Persio & Yilun Jiang - 1910.02577 A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields
by Michael C. Tseng - 1910.02570 Racial Disparities in Debt Collection
by Jessica LaVoice & Domonkos F. Vamossy - 1910.02546 A theorem of Kalman and minimal state-space realization of Vector Autoregressive Models
by Du Nguyen - 1910.02498 Predicting popularity of EV charging infrastructure from GIS data
by Milan Straka & Pasquale De Falco & Gabriella Ferruzzi & Daniela Proto & Gijs van der Poel & Shahab Khormali & v{L}ubov{s} Buzna - 1910.02466 Resolving asset pricing puzzles using price-impact
by Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi - 1910.02310 Hierarchical PCA and Applications to Portfolio Management
by Marco Avellaneda - 1910.02194 Liquidity in Credit Networks with Constrained Agents
by Geoffrey Ramseyer & Ashish Goel & David Mazieres - 1910.02144 Concepts, Components and Collections of Trading Strategies and Market Color
by Ravi Kashyap - 1910.02137 Microfoundations of Discounting
by Alexander T. I. Adamou & Yonatan Berman & Diomides P. Mavroyiannis & Ole B. Peters - 1910.01928 Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation
by Josep Perell'o & Miquel Montero & Jaume Masoliver & J. Doyne Farmer & John Geanakoplos - 1910.01781 Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk
by Derek Singh & Shuzhong Zhang - 1910.01778 Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
by Ibrahim Ekren & Sergey Nadtochiy - 1910.01491 A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy
by Kei Nakagawa & Masaya Abe & Junpei Komiyama - 1910.01490 The option pricing model based on time values: an application of the universal approximation theory on unbounded domains
by Yang Qu & Ming-Xi Wang - 1910.01438 Optimal Convergence Trading with Unobservable Pricing Errors
by Suhan Altay & Katia Colaneri & Zehra Eksi - 1910.01407 A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
by Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo - 1910.01330 Homogeneity and heterogeneity of cryptocurrencies
by Xiao Fan Liu & Zeng-Xian Lin & Xiao-Pu Han - 1910.01318 Informational Content of Factor Structures in Simultaneous Binary Response Models
by Shakeeb Khan & Arnaud Maurel & Yichong Zhang - 1910.01044 Capturing the power options smile by an additive two-factor model for overlapping futures prices
by Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu - 1910.01034 Stationarity of the detrended price return in stock markets
by Karina Arias-Calluari & Morteza. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin - 1910.00778 Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition
by Jaroslav Borovicka & John Stachurski - 1910.00641 An introduction to flexible methods for policy evaluation
by Martin Huber - 1910.00640 On the Concavity of Expected Shortfall
by Mikhail Tselishchev - 1910.00460 Usage-Based Vehicle Insurance: Driving Style Factors of Accident Probability and Severity
by Konstantin Korishchenko & Ivan Stankevich & Nikolay Pilnik & Daria Petrova - 1910.00321 Libra: Fair Order-Matching for Electronic Financial Exchanges
by Vasilios Mavroudis & Hayden Melton - 1910.00258 Isogeometric analysis in option pricing
by Jan Posp'iv{s}il & Vladim'ir v{S}v'igler - 1910.00193 Parallel Algorithm for Approximating Nash Equilibrium in Multiplayer Stochastic Games with Application to Naval Strategic Planning
by Sam Ganzfried & Conner Laughlin & Charles Morefield - 1910.00073 An econometric analysis of the Italian cultural supply
by Consuelo Nava & Maria Grazia Zoia - 1909.13758 Macroscopic approximation methods for the analysis of adaptive networked agent-based models: The example of a two-sector investment model
by Jakob J. Kolb & Finn Muller-Hansen & Jurgen Kurths & Jobst Heitzig - 1909.13720 On Incentive Compatibility in Dynamic Mechanism Design With Exit Option in a Markovian Environment
by Tao Zhang & Quanyan Zhu - 1909.13610 Partial Uncertainty and Applications to Risk-Averse Valuation
by Anastasis Kratsios - 1909.13366 Not so Particular about Calibration: Smile Problem Resolved
by Aitor Muguruza - 1909.13323 Undiscounted Bandit Games
by Godfrey Keller & Sven Rady - 1909.13179 Modelling the health impact of food taxes and subsidies with price elasticities: the case for additional scaling of food consumption using the total food expenditure elasticity
by Tony Blakely & Nhung Nghiem & Murat Genc & Anja Mizdrak & Linda Cobiac & Cliona Ni Mhurchu & Boyd Swinburn & Peter Scarborough & Christine Cleghorn - 1909.13102 A varying terminal time mean-variance model
by Shuzhen Yang - 1909.13019 Equity Premium Puzzle or Faulty Economic Modelling?
by Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev - 1909.12974 Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
by Jun Ma & Vadim Marmer & Artyom Shneyerov & Pai Xu - 1909.12946 Towards Federated Graph Learning for Collaborative Financial Crimes Detection
by Toyotaro Suzumura & Yi Zhou & Natahalie Baracaldo & Guangnan Ye & Keith Houck & Ryo Kawahara & Ali Anwar & Lucia Larise Stavarache & Yuji Watanabe & Pablo Loyola & Daniel Klyashtorny & Heiko Ludwig & Kumar Bhaskaran - 1909.12931 Revenue allocation in Formula One: a pairwise comparison approach
by D'ora Gr'eta Petr'oczy & L'aszl'o Csat'o - 1909.12926 A Cloud-Native Globally Distributed Financial Exchange Simulator for Studying Real-World Trading-Latency Issues at Planetary Scale
by Bradley Miles & Dave Cliff - 1909.12904 Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset Allocation
by Samudra Dasgupta & Arnab Banerjee - 1909.12829 Decision Models for Workforce and Technology Planning in Services
by Gang Li & Joy M. Field & Hongxun Jiang & Tian He & Youming Pang - 1909.12730 Collectivised Post-Retirement Investment
by John Armstrong & Cristin Buescu - 1909.12592 Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions
by Jau-er Chen & Chien-Hsun Huang & Jia-Jyun Tien - 1909.12578 A financial market with singular drift and no arbitrage
by Nacira Agram & Bernt {O}ksendal - 1909.12542 Maximum Entropy Framework for a Universal Rank Order distribution with Socio-economic Applications
by Abhik Ghosh & Preety Shreya & Banasri Basu - 1909.12243 Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison
by Yi Huang & Ishanu Chattopadhyay - 1909.12162 Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms
by Byunghoon Kang - 1909.12063 Artificial Intelligence BlockCloud (AIBC) Technical Whitepaper
by Qi Deng - 1909.11921 Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application
by Soren Christensen & Kristoffer Lindensjo - 1909.11836 Propaganda, Alternative Media, and Accountability in Fragile Democracies
by Anqi Li & Davin Raiha & Kenneth W. Shotts - 1909.11794 Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
by Takaaki Koike & Marius Hofert - 1909.11650 Explaining Agent-Based Financial Market Simulation
by David Byrd - 1909.11635 A Statistical Field Approach to Capital Accumulation
by Pierre Gosselin & Aileen Lotz & Marc Wambst - 1909.11633 Considering pricing and uncertainty in designing a reverse logistics network
by Mohsen Zamani & Mahdi Abolghasemi & Seyed Mohammad Seyed Hosseini & Mir Saman Pishvaee - 1909.11532 Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions
by Yangang Chen & Justin W. L. Wan - 1909.11346 A New Approach to Fair Distribution of Welfare
by Moshe Babaioff & Uriel Feige - 1909.11219 The converse envelope theorem
by Ludvig Sinander - 1909.11009 Implied volatility surface predictability: the case of commodity markets
by Fearghal Kearney & Han Lin Shang & Lisa Sheenan - 1909.10957 A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series
by Constandina Koki & Stefanos Leonardos & Georgios Piliouras - 1909.10925 Scalable Fair Division for 'At Most One' Preferences
by Christian Kroer & Alexander Peysakhovich - 1909.10915 Time-consistent decisions and rational expectation equilibrium existence in DSGE models
by Minseong Kim - 1909.10807 Unveiling the relation between herding and liquidity with trader lead-lag networks
by Carlo Campajola & Fabrizio Lillo & Daniele Tantari - 1909.10801 WATTNet: Learning to Trade FX via Hierarchical Spatio-Temporal Representation of Highly Multivariate Time Series
by Michael Poli & Jinkyoo Park & Ilija Ilievski - 1909.10762 Optimizing Execution Cost Using Stochastic Control
by Akshay Bansal & Diganta Mukherjee - 1909.10749 Moment constrained optimal dividends: precommitment \& consistent planning
by Soren Christensen & Kristoffer Lindensjo - 1909.10735 Stability properties of Haezendonck-Goovaerts premium principles
by Niushan Gao & Cosimo Munari & Foivos Xanthos - 1909.10679 Structural Change Analysis of Active Cryptocurrency Market
by C. Y. Tan & Y. B. Koh & K. H. Ng & K. H. Ng - 1909.10660 Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis
by Daiki Matsunaga & Toyotaro Suzumura & Toshihiro Takahashi - 1909.10578 PAGAN: Portfolio Analysis with Generative Adversarial Networks
by Giovanni Mariani & Yada Zhu & Jianbo Li & Florian Scheidegger & Roxana Istrate & Costas Bekas & A. Cristiano I. Malossi - 1909.10502 Weighted Envy-Freeness in Indivisible Item Allocation
by Mithun Chakraborty & Ayumi Igarashi & Warut Suksompong & Yair Zick - 1909.10464 Mechanics of good trade execution in the framework of linear temporary market impact
by Claudio Bellani & Damiano Brigo