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### 2015

**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 scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets***by*Andrei Cozma & Matthieu Mariapragassam & 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\'iguez-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**1412.3140 Multilevel approximation of backward stochastic differential equations***by*Dirk Becherer & Plamen Turkedjiev**1412.3126 Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets***by*Omar Rojas & Carlos Trejo-Pech**1412.2746 Taxation as an instrument of stimulation of innovation-active business entities***by*Andrey Nechaev**1412.2453 A BSDE approach to fair bilateral pricing under endogenous collateralization***by*Tianyang Nie & Marek Rutkowski**1412.2399 Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation***by*Werner Ebeling & Andrea Scharnhorst**1412.2262 Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming***by*Erhan Bayraktar & David Promislow & Virginia Young**1412.2152 Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate***by*Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo**1412.2124 Competition of Commodities for the Status of Money in an Agent-based Model***by*Robert G\k{e}barowski & Stanis{\l}aw Dro\.zd\.z & Andrzej Z. G\'orski & Pawe{\l} O\'swi\k{e}cimka**1412.2053 Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games***by*Erhan Bayraktar & Song Yao**1412.1991 Reserve-Dependent Surrender***by*Kamille Sofie T{\aa}gholt Gad & Jeppe Juhl & Mogens Steffensen**1412.1679 Stess-testing the system: Financial shock contagion in the realm of uncertainty***by*Stefano Gurciullo**1412.1618 Spanning trees of the World Trade Web: real-world data and the gravity model of trade***by*Patryk Skowron & Mariusz Karpiarz & Agata Fronczak & Piotr Fronczak**1412.1469 A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding***by*Giovanni Mottola**1412.1429 Model-Independent Pricing of Asian Options via Optimal Martingale Transport***by*Florian Stebegg**1412.1325 Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA***by*Giovanni Mottola**1412.1298 Gas Storage valuation with regime switching***by*Nicole B\"auerle & Viola Riess**1412.1293 Skewness and kurtosis analysis for non-Gaussian distributions***by*Ahmet Celikoglu & Ugur Tirnakli**1412.1183 Regulatory Capital Modelling for Credit Risk***by*Marek Rutkowski & Silvio Tarca**1412.0950 Firm size distribution in Italy and employment protection***by*Luca Amendola**1412.0542 Budget Imbalance Criteria for Auctions: A Formalized Theorem***by*Marco B. Caminati & Manfred Kerber & Colin Rowat**1412.0217 Market impacts and the life cycle of investors orders***by*Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle**1412.0148 The impact of startup costs and the grid operator on the power price equilibrium***by*Miha Troha & Raphael Hauser**1412.0141 A fully consistent, minimal model for non-linear market impact***by*Jonathan Donier & Julius Bonart & Iacopo Mastromatteo & Jean-Philippe Bouchaud**1412.0127 A biased view of a few possible components when reflecting on the present decade financial and economic crisis***by*Marcel Ausloos**1412.0064 Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia***by*Silvio Tarca & Marek Rutkowski**1412.0042 Misspecified Recovery***by*Jaroslav Borovi\v{c}ka & Lars Peter Hansen & Jos\'e A. Scheinkman**1411.7991 Existence and Uniqueness of a Steady State for an OTC Market with Several Assets***by*Alain Belanger & Ndoune Ndoune**1411.7880 Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data***by*Roy Cerqueti & Marcel Ausloos**1411.7805 Improving predictability of time series using maximum entropy methods***by*Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard & Anton Golub**1411.7670 Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line***by*Erwan Pierre & St\'ephane Villeneuve & Xavier Warin**1411.7653 Asymptotic behaviour of the fractional Heston model***by*Hamza Guennoun & Antoine Jacquier & Patrick Roome**1411.7613 Systemic risk analysis in reconstructed economic and financial networks***by*Giulio Cimini & Tiziano Squartini & Diego Garlaschelli & Andrea Gabrielli**1411.7593 Indirect Influences in International Trade***by*Rafael Diaz & Laura Gomez**1411.7502 Hydrodynamic limit of order book dynamics***by*Xuefeng Gao & S. J. Deng**1411.7494 An Evolutionary Optimization Approach to Risk Parity Portfolio Selection***by*Ronald Hochreiter**1411.7231 Risk-Sensitive Mean-Field Type Control under Partial Observation***by*Boualem Djehiche & Hamidou Tembine**1411.6938 On Trading American Put Options with Interactive Volatility***by*Sigurd Assing & Yufan Zhao**1411.6657 Risk minimization and portfolio diversification***by*Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu**1411.6256 Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors***by*Jos\'e Miguel Zapata**1411.6250 Identifying Multidiemsnional Adverse Selection Models***by*Gaurab Aryal**1411.6080 Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs***by*Tim Leung & Xin Li & Zheng Wang**1411.5625 Two maxentropic approaches to determine the probability density of compound risk losses***by*Erika Gomes-Gon\c{c}alves & Henryk Gzyl & Silvia Mayoral**1411.5453 Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization***by*Xiaolin Luo & Pavel V. Shevchenko**1411.5159 Large deviations of the realized (co-)volatility vector***by*Hac\`ene Djellout & Arnaud Guillin & Yacouba Samoura**1411.5062 Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit***by*Tim Leung & Xin Li**1411.4970 Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines***by*David Walsh-Jones & Daniel Jones & Christoph Reisinger**1411.4851 Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm***by*Frank Gehmlich & Thorsten Schmidt**1411.4756 Diversification versus specialization -- lessons from a noise driven linear dynamical system***by*Gabriell Mate & Zoltan Neda**1411.4633 Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use***by*Angus O. Unegbu**1411.4606 The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels***by*Jihun Han & Hyungbin Park**1411.4441 On the Coherent Risk Measure Representations in the Discrete Probability Spaces***by*Kerem Ugurlu**1411.4438 Solving finite time horizon Dynkin games by optimal switching***by*Randall Martyr**1411.4265 Methodological thoughts on expected loss estimates for IFRS 9 impairment: hidden reserves, cyclical loss predictions and LGD backtesting***by*Wolfgang Reitgruber**1411.4193 Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options***by*Peter Spoida**1411.3977 Multi-curve HJM modelling for risk management***by*Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti**1411.3947 Incorporating Views on Market Dynamics in Options Hedging***by*Antoine E. Zambelli**1411.3618 A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection***by*Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger**1411.3615 Kelly criterion for variable pay-off***by*Ricardo P\'erez-Marco**1411.3399 Trend and Fractality Assessment of Mexico's Stock Exchange***by*Javier Morales & V\'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L\'opez & F-Javier Almaguer**1411.3078 Long Term Risk: A Martingale Approach***by*Likuan Qin & Vadim Linetsky**1411.3075 Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing***by*Likuan Qin & Vadim Linetsky**1411.2950 Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That***by*Peter B. Lerner**1411.2835 A continuous auction model with insiders and random time of information release***by*Jos\'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {\O}ksendal**1411.2675 Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems***by*Jingnan Fan & Andrzej Ruszczynski**1411.2628 Exact solution of a generalized version of the Black-Scholes equation***by*Liviu-Adrian Cotfas & Camelia Delcea & Nicolae Cotfas**1411.2525 Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method***by*Boguk Kim & Chulwoo Han & Frank Chongwoo Park**1411.2395 Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary***by*Giorgio Ferrari & Paavo Salminen**1411.2215 Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction***by*Shingo Ichiki & Katsuhiro Nishinari**1411.2167 Comeback kids: an evolutionary approach of the long-run innovation process***by*Shidong Wang & Renaud Foucart & Cheng Wan**1411.2153 Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series***by*Simone Cirillo & Stefan Lloyd & Peter Nordin**1411.2138 It's not the economy, stupid! How social capital and GDP relate to happiness over time***by*Stefano Bartolini & Francesco Sarracino**1411.1929 A General Equilibrium Theorem for the Economy of Giving***by*W. P. Weijland**1411.1924 On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets***by*Daniel Wilson-Nunn & Hector Zenil**1411.1689 Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents***by*Mateusz Denys & Tomasz Gubiec & Ryszard Kutner**1411.1624 General smile asymptotics with bounded maturity***by*Francesco Caravenna & Jacopo Corbetta**1411.1609 On Stochastic Orders and its applications : Policy limits and Deductibles***by*Halim Zeghdoudi & Meriem Bouhadjar & Mohamed Riad Remita**1411.1560 Income Distribution in the European Union Versus in the United States***by*Maciej Jagielski & Rafa{\l} Duczmal & Ryszard Kutner**1411.1368 Cooperation under Incomplete Information on the Discount Factors***by*Cy Maor & Eilon Solan**1411.1356 Impact of credit default swaps on financial contagion***by*Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima**1411.1348 Modelling cross-border systemic risk in the European banking sector: a copula approach***by*Raffaella Calabrese & Silvia Osmetti**1411.1229 Super-replication with nonlinear transaction costs and volatility uncertainty***by*Peter Bank & Yan Dolinsky & Selim G\"okay**1411.1152 Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models***by*Ignacio Esponda & Demian Pouzo**1411.1103 Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics***by*Mauricio Junca & Rafael Serrano**1411.0849 Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations***by*Nicole B\"auerle & Igor Gilitschenski & Uwe D. Hanebeck**1411.0570 Incorporating Views on Marginal Distributions in the Calibration of Risk Models***by*Santanu Dey & Sandeep Juneja & Karthyek R. A. Murthy**1411.0496 Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales***by*Ladislav Kristoufek