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Content
2018
- 1809.08960 On a gap between rational annuitization price for producer and price for customer
by Nikolai Dokuchaev
- 1809.08889 An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
by Stephan Smeekes & Etienne Wijler
- 1809.08718 Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization
by Ancil Crayton
- 1809.08681 Financial accumulation implies ever-increasing wealth inequality
by Yuri Biondi & Stefano Olla
- 1809.08635 Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution
by Alan L. Lewis
- 1809.08500 Eliciting the Endowment Effect under Assigned Ownership
by Patrick Barranger & Rohit Nair & Rob Mulla & Shane Conner
- 1809.08416 Tail probabilities for short-term returns on stocks
by Henrik O. Rasmussen & Paul Wilmott
- 1809.08403 Chaos and Order in the Bitcoin Market
by Josselin Garnier & Knut Solna
- 1809.08390 Constructing Financial Sentimental Factors in Chinese Market Using Natural Language Processing
by Junfeng Jiang & Jiahao Li
- 1809.08293 The "power" dimension in a process of exchange
by Alberto Banterle
- 1809.08262 Time-consistent conditional expectation under probability distortion
by Jin Ma & Ting-Kam Leonard Wong & Jianfeng Zhang
- 1809.08200 Eventological H-theorem
by Oleg Yu. Vorobyev
- 1809.08146 A Game of Tax Evasion: evidences from an agent-based model
by L. S. Di Mauro & A. Pluchino & A. E. Biondo
- 1809.08139 Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility
by Sahar Albosaily & Serguei Pergamenshchikov
- 1809.08060 State-dependent Hawkes processes and their application to limit order book modelling
by Maxime Morariu-Patrichi & Mikko S. Pakkanen
- 1809.07856 Inferring short-term volatility indicators from Bitcoin blockchain
by Nino Antulov-Fantulin & Dijana Tolic & Matija Piskorec & Zhang Ce & Irena Vodenska
- 1809.07747 Shapley-like values without symmetry
by Jacob North Clark & Stephen Montgomery-Smith
- 1809.07727 Geometric Local Variance Gamma model
by Peter Carr & Andrey Itkin
- 1809.07545 Insider Trading with Penalties
by Sylvain Carr'e & Pierre Collin-Dufresne & Franck Gabriel
- 1809.07516 On the quasi-sure superhedging duality with frictions
by Erhan Bayraktar & Matteo Burzoni
- 1809.07407 Unfolding the complexity of the global value chain: Strengths and entropy in the single-layer, multiplex, and multi-layer international trade networks
by Luiz G. A. Alves & Giuseppe Mangioni & Francisco A. Rodrigues & Pietro Panzarasa & Yamir Moreno
- 1809.07401 Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing
by Helder Rojas & David Dias
- 1809.07300 Pricing American Options by Exercise Rate Optimization
by Christian Bayer & Ra'ul Tempone & Soren Wolfers
- 1809.07203 Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM
by Junyan Liu & Sandeep Kumar & Daniel P. Palomar
- 1809.07195 Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation
by Jorge Faleiro
- 1809.07100 Complex market dynamics in the light of random matrix theory
by Hirdesh K. Pharasi & Kiran Sharma & Anirban Chakraborti & Thomas H. Seligman
- 1809.07040 Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{\"o}lder inequality
by Jessica Martin & Anthony R'eveillac
- 1809.06996 Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach
by Andres Ramirez-Hassan & Manuel Correa-Giraldo
- 1809.06824 Matching in Dynamic Imbalanced Markets
by Itai Ashlagi & Afshin Nikzad & Philipp Strack
- 1809.06770 Selling Information
by Weijie Zhong
- 1809.06766 Sorting and filtering as effective rational choice procedures
by Paulo Oliva & Philipp Zahn
- 1809.06736 On expansions for the Black-Scholes prices and hedge parameters
by Jean-Philippe Aguilar
- 1809.06728 Dynamical variety of shapes in financial multifractality
by Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski
- 1809.06643 A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
by Mesias Alfeus & Martino Grasselli & Erik Schlogl
- 1809.06592 The distortion principle for insurance pricing: properties, identification and robustness
by Daniela Escobar & Georg Pflug
- 1809.06505 Estimating grouped data models with a binary dependent variable and fixed effects: What are the issues
by Nathaniel Beck
- 1809.06471 A Language for Large-Scale Collaboration in Economics: A Streamlined Computational Representation of Financial Models
by Jorge Faleiro
- 1809.06421 A Flexible Design for Funding Public Goods
by Vitalik Buterin & Zoe Hitzig & E. Glen Weyl
- 1809.06153 Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
by Zorana Grbac & David Krief & Peter Tankov
- 1809.06077 Modeling Nelson-Siegel Yield Curve using Bayesian Approach
by Sourish Das
- 1809.06027 BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange
by Dave Cliff
- 1809.05961 Optimal Dynamic Basis Trading
by Bahman Angoshtari & Tim Leung
- 1809.05947 An incomplete equilibrium with a stochastic annuity
by Kim Weston & Gordan Zitkovic
- 1809.05901 Trends in the Diffusion of Misinformation on Social Media
by Hunt Allcott & Matthew Gentzkow & Chuan Yu
- 1809.05706 Control Variables, Discrete Instruments, and Identification of Structural Functions
by Whitney Newey & Sami Stouli
- 1809.05643 Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization
by Yuki Kinoshita & Yumiharu Nakano
- 1809.05503 On the Choice of Instruments in Mixed Frequency Specification Tests
by Yun Liu & Yeonwoo Rho
- 1809.05328 Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
- 1809.05243 Random Fixed Points, Limits and Systemic risk
by Veeraruna Kavitha & Indrajit Saha & Sandeep Juneja
- 1809.05224 Automatic Debiased Machine Learning of Causal and Structural Effects
by Victor Chernozhukov & Whitney K Newey & Rahul Singh
- 1809.05120 Time preference and information acquisition
by Weijie Zhong
- 1809.04951 Valid Simultaneous Inference in High-Dimensional Settings (with the hdm package for R)
by Philipp Bach & Victor Chernozhukov & Martin Spindler
- 1809.04925 Measuring Systematic Risk with Neural Network Factor Model
by Jeonggyu Huh
- 1809.04853 Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership
by Gregor Zens
- 1809.04775 Superstatistics with cut-off tails for financial time series
by Yusuke Uchiyama & Takanori Kadoya
- 1809.04436 A note on contests with a constrained choice set of effort
by Doron Klunover & John Morgan
- 1809.04401 Mean-Field Leader-Follower Games with Terminal State Constraint
by Guanxing Fu & Ulrich Horst
- 1809.04035 Hyperbolic normal stochastic volatility model
by Jaehyuk Choi & Chenru Liu & Byoung Ki Seo
- 1809.04016 Bootstrap Methods in Econometrics
by Joel L. Horowitz
- 1809.03977 An alternative quality of life ranking on the basis of remittances
by D'ora Gr'eta Petr'oczy
- 1809.03941 Fast calibration of two-factor models for energy option pricing
by Emanuele Fabbiani & Andrea Marziali & Giuseppe De Nicolao
- 1809.03904 Regression Discontinuity Designs Using Covariates
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell & Rocio Titiunik
- 1809.03885 Mathematics of Market Microstructure under Asymmetric Information
by Umut c{C}et{i}n
- 1809.03860 Nash Equilibria in the Response Strategy of Correlated Games
by A. D. Correia & H. T. C. Stoof
- 1809.03834 House Price Modeling with Digital Census
by Enwei Zhu & Stanislav Sobolevsky
- 1809.03769 Diversification, Volatility, and Surprising Alpha
by Adrian Banner & Robert Fernholz & Vassilios Papathanakos & Johannes Ruf & David Schofield
- 1809.03641 Model Risk Measurement under Wasserstein Distance
by Yu Feng & Erik Schlogl
- 1809.03600 Non-Asymptotic Inference in Instrumental Variables Estimation
by Joel L. Horowitz
- 1809.03584 Characteristic-Sorted Portfolios: Estimation and Inference
by Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg
- 1809.03459 A class of stochastic games and moving free boundary problems
by Xin Guo & Wenpin Tang & Renyuan Xu
- 1809.03442 The Ladder Theory of Behavioral Decision Making
by Xingguang Chen
- 1809.03425 Systemic Risk and the Dependence Structures
by Yu-Sin Chang
- 1809.03400 A Moral Framework for Understanding of Fair ML through Economic Models of Equality of Opportunity
by Hoda Heidari & Michele Loi & Krishna P. Gummadi & Andreas Krause
- 1809.03338 Pricing the Aunt Michaela Option with a Modified Black-Scholes Equation with a Maturity Condition of Gamma Type
by Juan Ospina
- 1809.03222 Colombian export capabilities: building the firms-products network
by Matteo Bruno & Fabio Saracco & Tiziano Squartini & Marco Due~nas
- 1809.03072 Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness
by George Milunovich
- 1809.03031 Bayesian dynamic variable selection in high dimensions
by Gary Koop & Dimitris Korobilis
- 1809.02772 Order book model with herd behavior exhibiting long-range memory
by Aleksejus Kononovicius & Julius Ruseckas
- 1809.02769 Worldcoin: A Hypothetical Cryptocurrency for the People and its Government
by Sheikh Rabiul Islam
- 1809.02674 The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times
by Jaros{l}aw Klamut & Ryszard Kutner & Tomasz Gubiec & Zbigniew R. Struzik
- 1809.02466 Sion's mini-max theorem and Nash equilibrium in a five-players game with two groups which is zero-sum and symmetric in each group
by Atsuhiro Satoh & Yasuhito Tanaka
- 1809.02465 Nash equilibrium of partially asymmetric three-players zero-sum game with two strategic variables
by Atsuhiro Satoh & Yasuhito Tanaka
- 1809.02433 Dealing with the Dimensionality Curse in Dynamic Pricing Competition: Using Frequent Repricing to Compensate Imperfect Market Anticipations
by Rainer Schlosser & Martin Boissier
- 1809.02362 A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations
by Philipp Grohs & Fabian Hornung & Arnulf Jentzen & Philippe von Wurstemberger
- 1809.02303 Change-Point Testing for Risk Measures in Time Series
by Lin Fan & Peter W. Glynn & Markus Pelger
- 1809.02245 Generalizing Geometric Brownian Motion
by Peter Carr & Zhibai Zhang
- 1809.02233 Deeply Learning Derivatives
by Ryan Ferguson & Andrew Green
- 1809.02098 The Zumbach effect under rough Heston
by Omar El Euch & Jim Gatheral & Radov{s} Radoiv{c}i'c & Mathieu Rosenbaum
- 1809.01989 Diversity and Sparsity: A New Perspective on Index Tracking
by Yu Zheng & Timothy M. Hospedales & Yongxin Yang
- 1809.01987 The Impact of LIBOR Linked Borrowing to Cover Venture Bank Investment Loans Creates a New Systemic Risk
by Brian P. Hanley
- 1809.01983 Suboptimal Control of Dividends under Exponential Utility
by Julia Eisenberg & Paul Kruhner
- 1809.01972 Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
by Ulrich Horst & Xiaonyu Xia
- 1809.01643 Efficient Difference-in-Differences Estimation with High-Dimensional Common Trend Confounding
by Michael Zimmert
- 1809.01506 VLSTM: Very Long Short-Term Memory Networks for High-Frequency Trading
by Prakhar Ganesh & Puneet Rakheja
- 1809.01501 Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler
by Arthur T. Rego & Thiago R. dos Santos
- 1809.01489 A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach
by T. R. Santos
- 1809.01487 Resource and Competence (Internal) View vs. Environment and Market (External) View when defining a Business
by Yngve Dahle & Martin Steinert & Anh Nguyen Duc & Roman Chizhevskiy
- 1809.01470 The Core of an Economy with an Endogenous Social Division of Labour
by Robert P. Gilles
- 1809.01464 Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
by Huyen Pham & Xiaoli Wei & Chao Zhou
- 1809.01342 A model for stocks dynamics based on a non-Gaussian path integral
by Giovanni Paolinelli & Gianni Arioli
- 1809.01332 Multi-agent Economics and the Emergence of Critical Markets
by Michael S. Harr'e
- 1809.01038 Shape-Enforcing Operators for Point and Interval Estimators
by Xi Chen & Victor Chernozhukov & Iv'an Fern'andez-Val & Scott Kostyshak & Ye Luo
- 1809.00990 Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
by Michael Preischl & Stefan Thonhauser
- 1809.00964 Mathematical models for fake news
by Dorje C. Brody & David M. Meier
- 1809.00885 Identifying long-term precursors of financial market crashes using correlation patterns
by Hirdesh K. Pharasi & Kiran Sharma & Rakesh Chatterjee & Anirban Chakraborti & Francois Leyvraz & Thomas H. Seligman
- 1809.00820 Multiplicative random cascades with additional stochastic process in financial markets
by Jun-ichi Maskawa & Koji Kuroda & Joshin Murai
- 1809.00817 Model Risk in Real Option Valuation
by Carol Alexander & Xi Chen
- 1809.00741 "Read My Lips": Using Automatic Text Analysis to Classify Politicians by Party and Ideology
by Eitan Sapiro-Gheiler
- 1809.00697 The Indirect Cost of Information
by Weijie Zhong
- 1809.00695 Topological recognition of critical transitions in time series of cryptocurrencies
by Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo
- 1809.00306 Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data
by Xi Zhang & Yixuan Li & Senzhang Wang & Binxing Fang & Philip S. Yu
- 1809.00236 Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell
- 1809.00149 Model-free trading and hedging with continuous price paths
by Tigran Atoyan
- 1809.00128 Finding a promising venture capital project with todim under probabilistic hesitant fuzzy circumstance
by Weike Zhang & Jiang Du & Xiaoli Tian
- 1809.00082 NEU: A Meta-Algorithm for Universal UAP-Invariant Feature Representation
by Anastasis Kratsios & Cody Hyndman
- 1809.00051 Repeated Coordination with Private Learning
by Pathikrit Basu & Kalyan Chatterjee & Tetsuya Hoshino & Omer Tamuz
- 1808.10651 Identifying the Discount Factor in Dynamic Discrete Choice Models
by Jaap H. Abbring & {O}ystein Daljord
- 1808.10543 A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management
by Leander Low & Martin Spindler & Eike Brechmann
- 1808.10532 Uniform Inference in High-Dimensional Gaussian Graphical Models
by Sven Klaassen & Jannis Kuck & Martin Spindler & Victor Chernozhukov
- 1808.10428 The role of complex analysis in modeling economic growth
by Angelica Sbardella & Emanuele Pugliese & Andrea Zaccaria & Pasquale Scaramozzino
- 1808.10355 An Exponential Cox-Ingersoll-Ross Process as Discounting Factor
by Julia Eisenberg & Yuliya Mishura
- 1808.10090 Hierarchical communities in the walnut structure of the Japanese production network
by Abhijit Chakraborty & Yuichi Kichikawa & Takashi Iino & Hiroshi Iyetomi & Hiroyasu Inoue & Yoshi Fujiwara & Hideaki Aoyama
- 1808.09940 Adversarial Deep Reinforcement Learning in Portfolio Management
by Zhipeng Liang & Hao Chen & Junhao Zhu & Kangkang Jiang & Yanran Li
- 1808.09887 Enforcing Regulation Under Illicit Adaptation
by Andres Gonzalez Lira & Ahmed Mushfiq Mobarak
- 1808.09807 Continuous-time Duality for Super-replication with Transient Price Impact
by Peter Bank & Yan Dolinsky
- 1808.09698 Non-exchangeability of copulas arising from shock models
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1808.09686 Switching Cost Models as Hypothesis Tests
by Samuel N. Cohen & Timo Henckel & Gordon D. Menzies & Johannes Muhle-Karbe & Daniel J. Zizzo
- 1808.09685 Smile Modelling in Commodity Markets
by Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli
- 1808.09677 How does latent liquidity get revealed in the limit order book?
by Lorenzo Dall'Amico & Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen
- 1808.09666 Analytic Moments for GARCH Processes
by Carol Alexander & Emese Lazar & Silvia Stanescu
- 1808.09406 Almost Envy-Free Allocations with Connected Bundles
by Vittorio Bil`o & Ioannis Caragiannis & Michele Flammini & Ayumi Igarashi & Gianpiero Monaco & Dominik Peters & Cosimo Vinci & William S. Zwicker
- 1808.09382 Emergence of Turbulent Epochs in Oil Prices
by Josselin Garnier & Knut Solna
- 1808.09378 Option pricing models without probability: a rough paths approach
by John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass
- 1808.09375 Inference based on Kotlarski's Identity
by Kengo Kato & Yuya Sasaki & Takuya Ura
- 1808.09279 Econophysics as conceived by Meghnad Saha
by Bikas K. Chakrabarti
- 1808.09125 A Residual Bootstrap for Conditional Value-at-Risk
by Eric Beutner & Alexander Heinemann & Stephan Smeekes
- 1808.09004 Downstream Effects of Affirmative Action
by Sampath Kannan & Aaron Roth & Juba Ziani
- 1808.08995 Tests for price indices in a dynamic item universe
by Li-Chun Zhang & Ingvild Johansen & Ragnhild Nygaard
- 1808.08717 Economics of carbon-dioxide abatement under an exogenous constraint on cumulative emissions
by Ashwin K Seshadri
- 1808.08585 Evolutionary dynamics of cryptocurrency transaction networks: An empirical study
by Jiaqi Liang & Linjing Li & Daniel Zeng
- 1808.08563 A Dichotomous Analysis of Unemployment Welfare
by Xingwei Hu
- 1808.08249 Complexity of products: the effect of data regularisation
by Orazio Angelini & Tiziana Di Matteo
- 1808.08221 Dynamic Initial Margin via Chebyshev Tensors
by Ignacio Ruiz & Mariano Zeron
- 1808.08054 The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
by Kenjiro Oya
- 1808.07959 Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets
by Jorge Faleiro & Edward Tsang
- 1808.07949 Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns
by Jorge Faleiro & Edward Tsang
- 1808.07941 Solving Quadratic Multi-Leader-Follower Games by Smoothing the Follower's Best Response
by Michael Herty & Sonja Steffensen & Anna Thunen
- 1808.07924 The Structure of Equilibria in Trading Networks with Frictions
by Jan Christoph Schlegel
- 1808.07909 On the Normality of Negative Interest Rates
by Matheus R. Grasselli & Alexander Lipton
- 1808.07854 Voting power of political parties in the Senate of Chile during the whole binomial system period: 1990-2017
by Fabi'an Riquelme & Pablo Gonz'alez-Cantergiani & Gabriel Godoy
- 1808.07737 Asymmetric linkages: maxmin vs. reflected maxmin copulas
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1808.07646 Reflected maxmin copulas and modelling quadrant subindependence
by Tomav{z} Kov{s}ir & Matjav{z} Omladiv{c}
- 1808.07563 Optimizing the tie-breaker regression discontinuity design
by Art B. Owen & Hal Varian
- 1808.07387 Sensitivity Analysis using Approximate Moment Condition Models
by Timothy B. Armstrong & Michal Koles'ar
- 1808.07339 Scenario-based Risk Evaluation
by Ruodu Wang & Johanna F. Ziegel
- 1808.07107 Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
by Ben Hambly & Jasdeep Kalsi & James Newbury
- 1808.06922 Catch-Up: A Rule that Makes Service Sports More Competitive
by Steven J. Brams & Mehmet S. Ismail & D. Marc Kilgour & Walter Stromquist
- 1808.06750 The strategy of conflict and cooperation
by Mehmet S. Ismail
- 1808.06718 Loss Data Analytics
by Edward Frees
- 1808.06430 A unified Framework for Robust Modelling of Financial Markets in discrete time
by Jan Obloj & Johannes Wiesel
- 1808.06355 Deep learning, deep change? Mapping the development of the Artificial Intelligence General Purpose Technology
by J. Klinger & J. Mateos-Garcia & K. Stathoulopoulos
- 1808.06337 Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
by Calisto Guambe & Rodwell Kufakunesu & Gusti Van Zyl & Conrad Beyers
- 1808.05996 $k$th price auctions and Catalan numbers
by Abdel-Hameed Nawar & Debapriya Sen
- 1808.05995 Quantifying the Computational Advantage of Forward Orthogonal Deviations
by Robert F. Phillips
- 1808.05893 Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
by Marcel Ausloos & Francesca Bartolacci & Nicola G. Castellano & Roy Cerqueti
- 1808.05890 A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences
by Slobodan Milovanovi'c & Lina von Sydow
- 1808.05792 Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors
by Sukjin Han & Sungwon Lee
- 1808.05572 When Do Households Invest in Solar Photovoltaics? An Application of Prospect Theory
by Martin Klein & Marc Deissenroth
- 1808.05527 Deep Learning for Energy Markets
by Michael Polson & Vadim Sokolov
- 1808.05311 Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
by Alexander Lipton & Vadim Kaushansky & Christoph Reisinger
- 1808.05295 SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations
by Svetlana Boyarchenko & Sergei Levendorskiu{i}
- 1808.05293 Design-based Analysis in Difference-In-Differences Settings with Staggered Adoption
by Susan Athey & Guido Imbens
- 1808.05289 A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
by Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang
- 1808.05169 Inventory Management for High-Frequency Trading with Imperfect Competition
by Sebastian Herrmann & Johannes Muhle-Karbe & Dapeng Shang & Chen Yang
- 1808.05142 Brexit: The Belated Threat
by D'ora Gr'eta Petr'oczy & Mark Francis Rogers & L'aszl'o 'A. K'oczy
- 1808.05037 Game-theoretic dynamic investment model with incomplete information: futures contracts
by Oleg Malafeyev & Shulga Andrey
- 1808.04970 Can GDP measurement be further improved? Data revision and reconciliation
by Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden
- 1808.04936 A Unified Framework for Efficient Estimation of General Treatment Models
by Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang
- 1808.04908 Robust XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1808.04878 Latent Agents in Networks: Estimation and Targeting
by Baris Ata & Alexandre Belloni & Ozan Candogan
- 1808.04725 Dynamic programming for optimal stopping via pseudo-regression
by Christian Bayer & Martin Redmann & John Schoenmakers
- 1808.04710 Regime-Switching Temperature Dynamics Model for Weather Derivatives
by Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe
- 1808.04613 Optimal investment-consumption and life insurance with capital constraints
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04611 A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
by Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu
- 1808.04608 On the optimal investment-consumption and life insurance selection problem with an external stochastic factor
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04604 Risk-based optimal portfolio of an insurer with regime switching and noisy memory
by Rodwell Kufakunesu & Calisto Guambe & Lesedi Mabitsela
- 1808.04416 Extrapolating Treatment Effects in Multi-Cutoff Regression Discontinuity Designs
by Matias D. Cattaneo & Luke Keele & Rocio Titiunik & Gonzalo Vazquez-Bare
- 1808.04265 Turnpike Property and Convergence Rate for an Investment and Consumption Model
by Baojun Bian & Harry Zheng
- 1808.04233 Connecting Sharpe ratio and Student t-statistic, and beyond
by Eric Benhamou
- 1808.04231 GARCH(1,1) model of the financial market with the Minkowski metric
by Richard Pincak & Kabin Kanjamapornkul
- 1808.04150 A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach
by Sina Aghaei & Amirreza Safari Langroudi & Masoud Fekri
- 1808.04020 Mechanism Design with News Utility
by Jetlir Duraj
- 1808.03897 Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design
by Chao Luo
- 1808.03804 The Impact of Age on Nationality Bias: Evidence from Ski Jumping
by Sandra Schneemann & Hendrik Scholten & Christian Deutscher
- 1808.03698 BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
by Yuri Fonseca & Marcelo Medeiros & Gabriel Vasconcelos & Alvaro Veiga
- 1808.03668 DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
by Zihao Zhang & Stefan Zohren & Stephen Roberts
- 1808.03610 On smile properties of volatility derivatives and exotic products: understanding the VIX skew
by Elisa Al`os & David Garc'ia-Lorite & Aitor Muguruza
- 1808.03607 "Quantum Equilibrium-Disequilibrium": Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
by Igor Halperin & Matthew Dixon