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Content
2018
- 1803.02334 A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data
by Zihao Yuan
- 1803.02249 A Term Structure Model for Dividends and Interest Rates
by Damir Filipovi'c & Sander Willems
- 1803.02171 Kinetic models for optimal control of wealth inequalities
by Bertram During & Lorenzo Pareschi & Giuseppe Toscani
- 1803.02019 Modelling stock correlations with expected returns from investors
by Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren
- 1803.02012 A Dynamic Model of Central Counterparty Risk
by Tomasz R. Bielecki & Igor Cialenco & Shibi Feng
- 1803.01968 An Online Algorithm for Learning Buyer Behavior under Realistic Pricing Restrictions
by Debjyoti Saharoy & Theja Tulabandhula
- 1803.01536 Testing a Goodwin model with general capital accumulation rate
by Matheus R. Grasselli & Aditya Maheshwari
- 1803.01530 Pricing Mechanism in Information Goods
by Xinming Li & Huaqing Wang
- 1803.01527 A comment on 'Testing Goodwin: growth cycles in ten OECD countries'
by Matheus R. Grasselli & Aditya Maheshwari
- 1803.01402 An Note on Why Geographically Weighted Regression Overcomes Multidimensional-Kernel-Based Varying-Coefficient Model
by Zihao Yuan
- 1803.01389 Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
by Zhongzhi Lawrence He
- 1803.01381 Generalized Information Ratio
by Zhongzhi Lawrence He
- 1803.00957 New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina & C^ome Girschig
- 1803.00798 Permutation Tests for Equality of Distributions of Functional Data
by Federico A. Bugni & Joel L. Horowitz
- 1803.00611 Optimal investment-consumption problem: post-retirement with minimum guarantee
by Hassan Dadashi
- 1803.00607 Optimization-Based Algorithm for Evolutionarily Stable Strategies against Pure Mutations
by Sam Ganzfried
- 1803.00464 Mortality data reliability in an internal model
by Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa
- 1803.00374 A bootstrap test to detect prominent Granger-causalities across frequencies
by Matteo Farn'e & Angela Montanari
- 1803.00345 Proxyeconomics, the inevitable corruption of proxy-based competition
by Oliver Braganza
- 1803.00329 Dynkin games with Poisson random intervention times
by Gechun Liang & Haodong Sun
- 1803.00261 Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
by Andreas Muhlbacher & Thomas Guhr
- 1803.00149 Deep Learning for Causal Inference
by Vikas Ramachandra
- 1803.00096 Synthetic Control Methods and Big Data
by Daniel Kinn
- 1802.10528 Dimensional Analysis in Economics: A Study of the Neoclassical Economic Growth Model
by Miguel Alvarez Texocotitla & M. David Alvarez Hernandez & Shani Alvarez Hernandez
- 1802.10490 Partial Identification of Expectations with Interval Data
by Sam Asher & Paul Novosad & Charlie Rafkin
- 1802.10244 RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection
by Yang Wang & Dong Wang & Yaodong Wang & You Zhang
- 1802.10228 Risk-neutral valuation under differential funding costs, defaults and collateralization
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski
- 1802.10117 Economic Implications of Blockchain Platforms
by Jun Aoyagi & Daisuke Adachi
- 1802.10003 Stock management (Gest\~ao de estoques)
by Cainan K. de Oliveira & Henrique G. Menck & Pedro Y. Takito & Eliandro Rodrigues Cirilo & Neyva Maria Lopes Romeiro & 'Erica R. Takano Natti & Paulo Laerte Natti
- 1802.10001 The Information Content of Sarbanes-Oxley in Predicting Security Breaches
by J. Christopher Westland
- 1802.10000 Private Information, Credit Risk and Graph Structure in P2P Lending Networks
by J. Christopher Westland & Tuan Q. Phan & Tianhui Tan
- 1802.09999 Planning Fallacy or Hiding Hand: Which Is the Better Explanation?
by Bent Flyvbjerg
- 1802.09959 Valuation, Liquidity Price, and Stability of Cryptocurrencies
by Carey Caginalp & Gunduz Caginalp
- 1802.09954 Price Impact Under Heterogeneous Beliefs and Restricted Participation
by Michail Anthropelos & Constantinos Kardaras
- 1802.09911 Discovering Bayesian Market Views for Intelligent Asset Allocation
by Frank Z. Xing & Erik Cambria & Lorenzo Malandri & Carlo Vercellis
- 1802.09869 On the solution of the variational optimisation in the rational inattention framework
by Nigar Hashimzade
- 1802.09864 Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
by Jean-Philippe Aguilar & Jan Korbel
- 1802.09611 An Expanded Local Variance Gamma model
by Peter Carr & Andrey Itkin
- 1802.09490 Controlling Human Utilization of Failure-Prone Systems via Taxes
by Ashish R. Hota & Shreyas Sundaram
- 1802.09427 Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning
by Agnieszka Werpachowska
- 1802.09396 Attraction versus Persuasion: Information Provision in Search Markets
by Pak Hung Au & Mark Whitmeyer
- 1802.09165 Optimal contract for a fund manager, with capital injections and endogenous trading constraints
by Sergey Nadtochiy & Thaleia Zariphopoulou
- 1802.08987 The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
by Abdulnasser Hatemi-J & Youssef El-Khatib
- 1802.08935 Identifying the occurrence or non occurrence of cognitive bias in situations resembling the Monty Hall problem
by Fatemeh Borhani & Edward J. Green
- 1802.08825 Kernel Estimation for Panel Data with Heterogeneous Dynamics
by Ryo Okui & Takahide Yanagi
- 1802.08778 Measuring the Demand Effects of Formal and Informal Communication : Evidence from Online Markets for Illicit Drugs
by Luis Armona
- 1802.08667 De-Biased Machine Learning of Global and Local Parameters Using Regularized Riesz Representers
by Victor Chernozhukov & Whitney Newey & Rahul Singh
- 1802.08575 Complexity, Centralization, and Fragility in Economic Networks
by Carlo Piccardi & Lucia Tajoli
- 1802.08539 Computation of optimal transport and related hedging problems via penalization and neural networks
by Stephan Eckstein & Michael Kupper
- 1802.08502 Market Impact: A Systematic Study of Limit Orders
by Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Fr'ed'eric Abergel
- 1802.08358 Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou
- 1802.08238 What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?
by Yiyang Gu
- 1802.08135 Optimal inventory management and order book modeling
by Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid
- 1802.08061 Algorithmic Collusion in Cournot Duopoly Market: Evidence from Experimental Economics
by Nan Zhou & Li Zhang & Shijian Li & Zhijian Wang
- 1802.07741 Extended Reduced-Form Framework for Non-Life Insurance
by Francesca Biagini & Yinglin Zhang
- 1802.07457 The Security of the United Kingdom Electricity Imports under Conditions of High European Demand
by Anthony D Stephens & David R Walwyn
- 1802.07422 Blockchain: Data Malls, Coin Economies and Keyless Payments
by Zura Kakushadze & Ronald P. Russo Jr
- 1802.07405 Extracting the multi-timescale activity patterns of online financial markets
by Teruyoshi Kobayashi & Anna Sapienza & Emilio Ferrara
- 1802.07312 Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies
by Giorgio Locatelli
- 1802.07009 Analytical Validation Formulas for Best Estimate Calculation in Traditional Life Insurance
by Simon Hochgerner & Florian Gach
- 1802.06885 The Allen--Uzawa elasticity of substitution for nonhomogeneous production functions
by Elena Burmistrova & Sergey Lobanov
- 1802.06770 Achieving perfect coordination amongst agents in the co-action minority game
by Hardik Rajpal & Deepak Dhar
- 1802.06665 On the iterated estimation of dynamic discrete choice games
by Federico A. Bugni & Jackson Bunting
- 1802.06520 Pricing Options with Exponential Levy Neural Network
by Jeonggyu Huh
- 1802.06386 How local in time is the no-arbitrage property under capital gains taxes ?
by Christoph Kuhn
- 1802.06120 Simple Bounds for Utility Maximization with Small Transaction Costs
by Bruno Bouchard & Johannes Muhle-Karbe
- 1802.06101 Market Impact in a Latent Order Book
by Ismael Lemhadri
- 1802.05993 Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
by Kiyoshi Kanazawa & Takumi Sueshige & Hideki Takayasu & Misako Takayasu
- 1802.05870 The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
by Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer-Steinnocher
- 1802.05614 On the binomial approximation of the American put
by Damien Lamberton
- 1802.05495 How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness
by Nassim Nicholas Taleb
- 1802.05333 Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
by Yeonwoo Rho & Xiaofeng Shao
- 1802.05326 Analysis of Financial Credit Risk Using Machine Learning
by Jacky C. K. Chow
- 1802.05264 Stock Market Visualization
by Zura Kakushadze & Willie Yu
- 1802.05139 Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis
by Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda
- 1802.05016 Multilevel nested simulation for efficient risk estimation
by Michael B. Giles & Abdul-Lateef Haji-Ali
- 1802.04837 Adapting the CVA model to Leland's framework
by P. Amster & A. P. Mogni
- 1802.04778 The Quotient of Normal Random Variables And Application to Asset Price Fat Tails
by Carey Caginalp & Gunduz Caginalp
- 1802.04774 Asset Price Volatility and Price Extrema
by Carey Caginalp & Gunduz Caginalp
- 1802.04595 Knowledge and Unanimous Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory
by Shuige Liu
- 1802.04444 A General Method for Demand Inversion
by Lixiong Li
- 1802.04413 What is the Sharpe Ratio, and how can everyone get it wrong?
by Igor Rivin
- 1802.04232 Optimization of Fire Sales and Borrowing in Systemic Risk
by Maxim Bichuch & Zachary Feinstein
- 1802.03756 New Proposals of a Stress Measure in a Capital and its Robust Estimator
by Tadeusz Klecha & Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski
- 1802.03735 Structural Estimation of Behavioral Heterogeneity
by Zhentao Shi & Huanhuan Zheng
- 1802.03708 A Time-Varying Network for Cryptocurrencies
by Li Guo & Wolfgang Karl Hardle & Yubo Tao
- 1802.03593 Dynamics of observables in rank-based models and performance of functionally generated portfolios
by Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang
- 1802.03405 Particle-without-Particle: a practical pseudospectral collocation method for linear partial differential equations with distributional sources
by Marius Oltean & Carlos F. Sopuerta & Alessandro D. A. M. Spallicci
- 1802.03376 Visualizing Treasury Issuance Strategy
by Christopher Cameron
- 1802.03343 Long-Term Unemployed hirings: Should targeted or untargeted policies be preferred?
by Alessandra Pasquini & Marco Centra & Guido Pellegrini
- 1802.03322 Replica Approach for Minimal Investment Risk with Cost
by Takashi Shinzato
- 1802.03286 Explicit size distributions of failure cascades redefine systemic risk on finite networks
by Rebekka Burkholz & Hans J. Herrmann & Frank Schweitzer
- 1802.03042 Deep Hedging
by Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood
- 1802.02939 The sum of log-normal variates in geometric Brownian motion
by Ole Peters & Alexander Adamou
- 1802.02699 Immediate Causality Network of Stock Markets
by Li Zhou & Lu Qiu & Changgui Gu & Huijie Yang
- 1802.02683 Prediction of Shared Bicycle Demand with Wavelet Thresholding
by J. Christopher Westland & Jian Mou & Dafei Yin
- 1802.02299 Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions
by Akshay Vij & Rico Krueger
- 1802.02127 Collateral Unchained: Rehypothecation networks, concentration and systemic effects
by Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston
- 1802.01991 Dynamics of Wealth Inequality
by Zdzislaw Burda & Pawel Wojcieszak & Konrad Zuchniak
- 1802.01990 An Experimental Investigation of Preference Misrepresentation in the Residency Match
by Alex Rees-Jones & Samuel Skowronek
- 1802.01921 Dynamical regularities of US equities opening and closing auctions
by Damien Challet & Nikita Gourianov
- 1802.01861 Generating virtual scenarios of multivariate financial data for quantitative trading applications
by Javier Franco-Pedroso & Joaquin Gonzalez-Rodriguez & Jorge Cubero & Maria Planas & Rafael Cobo & Fernando Pablos
- 1802.01641 Volatility options in rough volatility models
by Blanka Horvath & Antoine Jacquier & Peter Tankov
- 1802.01556 Game-Theoretic Capital Asset Pricing in Continuous Time
by Vladimir Vovk & Glenn Shafer
- 1802.01540 Indexed Markov Chains for financial data: testing for the number of states of the index process
by Guglielmo D'Amico & Ada Lika & Filippo Petroni
- 1802.01393 Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets
by Lorenz Schneider & Bertrand Tavin
- 1802.01307 Asian Option Pricing with Orthogonal Polynomials
by Sander Willems
- 1802.01253 Promoting cooperation by reputation-driven group formation
by Han-Xin Yang & Zhen Wang
- 1802.01219 A game-theoretic derivation of the $\sqrt{dt}$ effect
by Vladimir Vovk & Glenn Shafer
- 1802.01143 The Power of Trading Polarity: Evidence from China Stock Market Crash
by Shan Lu & Jichang Zhao & Huiwen Wang
- 1802.01113 On the interplay between multiscaling and stocks dependence
by R. J. Buonocore & G. Brandi & R. N. Mantegna & T. Di Matteo
- 1802.00842 Voting patterns in 2016: Exploration using multilevel regression and poststratification (MRP) on pre-election polls
by Rob Trangucci & Imad Ali & Andrew Gelman & Doug Rivers
- 1802.00793 Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows
by Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi
- 1802.00311 Quantification of systemic risk from overlapping portfolios in the financial system
by Sebastian Poledna & Seraf'in Mart'inez-Jaramillo & Fabio Caccioli & Stefan Thurner
- 1801.10583 Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures
by Rick Steinert & Florian Ziel
- 1801.10520 Hyper-rational choice theory
by Madjid Eshaghi Gordji & Gholamreza Askari
- 1801.10518 How Can We Induce More Women to Competitions?
by Masayuki Yagasaki & Mitsunosuke Morishita
- 1801.10516 Are `Water Smart Landscapes' Contagious? An epidemic approach on networks to study peer effects
by Christa Brelsford & Caterina De Bacco
- 1801.10515 Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem
by Anton Pichler & Sebastian Poledna & Stefan Thurner
- 1801.10498 Ambiguity in defaultable term structure models
by Tolulope Fadina & Thorsten Schmidt
- 1801.10487 Identifying systemically important companies in the entire liability network of a small open economy
by Sebastian Poledna & Abraham Hinteregger & Stefan Thurner
- 1801.10359 Multi-factor approximation of rough volatility models
by Eduardo Abi Jaber & Omar El Euch
- 1801.10088 An SPDE Model for Systemic Risk with Endogenous Contagion
by Ben Hambly & Andreas Sojmark
- 1801.09956 Nonparametric Bayesian volatility estimation
by Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij
- 1801.09740 When does a disaster become a systemic event? Estimating indirect economic losses from natural disasters
by Sebastian Poledna & Stefan Hochrainer-Stigler & Michael Gregor Miess & Peter Klimek & Stefan Schmelzer & Johannes Sorger & Elena Shchekinova & Elena Rovenskaya & JoAnne Linnerooth-Bayer & Ulf Dieckmann & Stefan Thurner
- 1801.09458 Moment Explosions in the Rough Heston Model
by Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter
- 1801.09362 First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
by Young Shin Kim
- 1801.09315 A representative agent model based on risk-neutral prices
by Hyungbin Park
- 1801.09046 Greedy Algorithms for Maximizing Nash Social Welfare
by Siddharth Barman & Sanath Kumar Krishnamurthy & Rohit Vaish
- 1801.09004 On a capital allocation principle coherent with the Solvency 2 standard formula
by Fabio Baione & Paolo De Angelis & Ivan Granito
- 1801.08961 Nonseparable Sample Selection Models with Censored Selection Rules
by Iv'an Fern'andez-Val & Aico van Vuuren & Francis Vella
- 1801.08852 Calibration for Weak Variance-Alpha-Gamma Processes
by Boris Buchmann & Kevin W. Lu & Dilip B. Madan
- 1801.08804 Rational Models for Inflation-Linked Derivatives
by Henrik Dam & Andrea Macrina & David Skovmand & David Sloth
- 1801.08767 Ordered Kripke Model, Permissibility, and Convergence of Probabilistic Kripke Model
by Shuige Liu
- 1801.08746 Quantifying Health Shocks Over the Life Cycle
by Taiyo Fukai & Hidehiko Ichimura & Kyogo Kanazawa
- 1801.08675 Short-term at-the-money asymptotics under stochastic volatility models
by Omar El Euch & Masaaki Fukasawa & Jim Gatheral & Mathieu Rosenbaum
- 1801.08346 Valuation of Currency Options in Markets with a Crunch
by Abdulnasser Hatemi-J & Youssef El-Khatib
- 1801.08256 A Hilbert Space of Stationary Ergodic Processes
by Ishanu Chattopadhyay
- 1801.08222 A bright future for financial agent-based models
by J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin
- 1801.08215 Target volatility option pricing in lognormal fractional SABR model
by Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang
- 1801.08007 Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
by Ricardo Crisostomo & Lorena Couso
- 1801.07960 Stock returns forecast: an examination by means of Artificial Neural Networks
by Martin Iglesias Caride & Aurelio F. Bariviera & Laura Lanzarini
- 1801.07941 Spurious seasonality detection: a non-parametric test proposal
by Aurelio F. Bariviera & Angelo Plastino & George Judge
- 1801.07826 Estimating Heterogeneous Consumer Preferences for Restaurants and Travel Time Using Mobile Location Data
by Susan Athey & David Blei & Robert Donnelly & Francisco Ruiz & Tobias Schmidt
- 1801.07817 Generalised Lyapunov Functions and Functionally Generated Trading Strategies
by Johannes Ruf & Kangjianan Xie
- 1801.07784 Protecting Pegged Currency Markets from Speculative Investors
by Eyal Neuman & Alexander Schied
- 1801.07595 Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims
by Zailei Cheng & Youngsoo Seol
- 1801.07512 Alonso and the Scaling of Urban Profiles
by Justin Delloye & R'emi Lemoy & Geoffrey Caruso
- 1801.07358 Capital allocation under the Fundamental Review of Trading Book
by Luting Li & Hao Xing
- 1801.07309 Numeraire markets
by Robert Fernholz
- 1801.07213 Characterization of catastrophic instabilities: Market crashes as paradigm
by Anirban Chakraborti & Kiran Sharma & Hirdesh K. Pharasi & Sourish Das & Rakesh Chatterjee & Thomas H. Seligman
- 1801.07044 Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen
- 1801.06966 Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
by Farouq Abdulaziz Masoudy
- 1801.06936 Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?
by Jinwen Qiu & Wenjian Liu & Ning Ning
- 1801.06896 Ranking Causal Influence of Financial Markets via Directed Information Graphs
by Theo Diamandis & Yonathan Murin & Andrea Goldsmith
- 1801.06862 Testing the Number of Regimes in Markov Regime Switching Models
by Hiroyuki Kasahara & Katsumi Shimotsu
- 1801.06860 On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
by Mikl'os R'asonyi & Andrea Meireles-Rodrigues
- 1801.06737 At What Frequency Should the Kelly Bettor Bet?
by Chung-Han Hsieh & B. Ross Barmish & John A. Gubner
- 1801.06727 A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity
by Denisa Roberts & Douglas Patterson
- 1801.06677 Nonfractional Memory: Filtering, Antipersistence, and Forecasting
by J. Eduardo Vera-Vald'es
- 1801.06651 Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts
by Andreas Kaloudis & Dimitrios Tsolis
- 1801.06595 Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity)
by Ricardo Antunes & Daniel Birchal & Jo~ao M'arcio Abijaodi & Paulo Abreu & Rog'erio Peixoto
- 1801.06575 USDA Forecasts: A meta-analysis study
by Bahram Sanginabadi
- 1801.06425 Ergodic robust maximization of asymptotic growth
by Constantinos Kardaras & Scott Robertson
- 1801.06416 Affine forward variance models
by Jim Gatheral & Martin Keller-Ressel
- 1801.06373 Predicting crypto-currencies using sparse non-Gaussian state space models
by Christian Hotz-Behofsits & Florian Huber & Thomas O. Zorner
- 1801.06296 A Dirichlet Process Mixture Model of Discrete Choice
by Rico Krueger & Akshay Vij & Taha H. Rashidi
- 1801.06141 A First Option Calibration of the GARCH Diffusion Model by a PDE Method
by Yiannis A. Papadopoulos & Alan L. Lewis
- 1801.06077 The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
by Igor Halperin
- 1801.06028 A closed-form formula for pricing bonds between coupon payments
by Sylvia Gottschalk
- 1801.05947 Large-Scale Simulation of Multi-Asset Ising Financial Markets
by Tetsuya Takaishi
- 1801.05770 The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
by Anas Yassine & Abdelmadjid Ibenrissoul
- 1801.05760 CryptoRuble: From Russia with Love
by Zura Kakushadze & Jim Kyung-Soo Liew
- 1801.05759 Evaluating the role of risk networks on risk identification, classification and emergence
by Christos Ellinas & Neil Allan & Caroline Coombe
- 1801.05734 Eliminating the effect of rating bias on reputation systems
by Leilei Wu & Zhuoming Ren & Xiao-Long Ren & Jianlin Zhang & Linyuan Lu
- 1801.05673 A subordinated CIR intensity model with application to Wrong-Way risk CVA
by Cheikh Mbaye & Fr'ed'eric Vrins
- 1801.05597 Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
by Takuji Arai & Yuto Imai & Ryo Nakashima
- 1801.05446 The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient
by Martin Falcke & V. Nicolai Friedhoff
- 1801.05409 The Influence of Seed Selection on the Solvency II Ratio
by Quinn Culver & Dennis Heitmann & Christian Wei{ss}
- 1801.05352 Shooting High or Low: Do Countries Benefit from Entering Unrelated Activities?
by Fl'avio L. Pinheiro & Aamena Alshamsi & Dominik Hartmann & Ron Boschma & C'esar A. Hidalgo
- 1801.05305 Censored Quantile Instrumental Variable Estimation with Stata
by Victor Chernozhukov & Iv'an Fern'andez-Val & Sukjin Han & Amanda Kowalski
- 1801.05295 Social Network based Short-Term Stock Trading System
by Paolo Cremonesi & Chiara Francalanci & Alessandro Poli & Roberto Pagano & Luca Mazzoni & Alberto Maggioni & Mehdi Elahi
- 1801.05279 Greedy algorithms and Zipf laws
by Jos'e Moran & Jean-Philippe Bouchaud
- 1801.05041 Panel Data Quantile Regression with Grouped Fixed Effects
by Jiaying Gu & Stanislav Volgushev
- 1801.04994 Consistent Valuation Across Curves Using Pricing Kernels
by Andrea Macrina & Obeid Mahomed
- 1801.04714 Characterizing Assumption of Rationality by Incomplete Information
by Shuige Liu
- 1801.04672 Heterogeneous structural breaks in panel data models
by Ryo Okui & Wendun Wang
- 1801.04491 Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
by Salvatore Federico & Mauro Rosestolato & Elisa Tacconi
- 1801.04218 Coexistence of several currencies in presence of increasing returns to adoption
by Alex Lamarche-Perrin & Andr'e Orl'ean & Pablo Jensen
- 1801.04112 Regression Based Expected Shortfall Backtesting
by Sebastian Bayer & Timo Dimitriadis
- 1801.04080 Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
by N. Packham
- 1801.04045 Asymptotic Static Hedge via Symmetrization
by Jiro Akahori & Flavia Barsotti & Yuri Imamura
- 1801.03978 Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?
by Patrick Kofod Mogensen
- 1801.03873 Characterisation of honest times and optional semimartingales of class-($\Sigma$)
by Libo Li
- 1801.03720 Viable Insider Markets
by Olfa Draouil & Bernt {O}ksendal
- 1801.03680 The time interpretation of expected utility theory
by Ole Peters & Alexander Adamou
- 1801.03678 Is there a housing bubble in China
by Tianhao Zhi & Zhongfei Li & Zhiqiang Jiang & Lijian Wei & Didier Sornette
- 1801.03574 Robust martingale selection problem and its connections to the no-arbitrage theory
by Matteo Burzoni & Mario Sikic