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Content
2017
- 1709.09755 Quasi-random Monte Carlo application in CGE systematic sensitivity analysis
by Theodoros Chatzivasileiadis
- 1709.09583 Inference for Impulse Responses under Model Uncertainty
by Lenard Lieb & Stephan Smeekes
- 1709.09570 Identification of hedonic equilibrium and nonseparable simultaneous equations
by Victor Chernozhukov & Alfred Galichon & Marc Henry & Brendan Pass
- 1709.09495 Kinetic models for goods exchange in a multi-agent market
by Carlo Brugna & Giuseppe Toscani
- 1709.09465 Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
by Romain Blanchard & Laurence Carassus
- 1709.09442 Market Delay and G-expectations
by Yan Dolinsky & Jonathan Zouari
- 1709.09373 A Bimodal Network Approach to Model Topic Dynamics
by Luigi Di Caro & Marco Guerzoni & Massimiliano Nuccio & Giovanni Siragusa
- 1709.09334 Zero-rating of Content and its Effect on the Quality of Service in the Internet
by Manjesh K. Hanawal & Fehmina Malik & Yezekael Hayel
- 1709.09284 Sharp bounds and testability of a Roy model of STEM major choices
by Ismael Mourifie & Marc Henry & Romuald Meango
- 1709.09255 A default system with overspilling contagion
by Delia Coculescu & Gabriele Visentin
- 1709.09252 Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
by Delia Coculescu & Monique Jeanblanc
- 1709.09117 Discrete Choice and Rational Inattention: a General Equivalence Result
by Mogens Fosgerau & Emerson Melo & Andre de Palma & Matthew Shum
- 1709.09115 Inference on Estimators defined by Mathematical Programming
by Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum
- 1709.09068 Pricing derivatives in Hermite markets
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi
- 1709.08981 Bounds On Treatment Effects On Transitions
by Johan Vikstrom & Geert Ridder & Martin Weidner
- 1709.08980 Fixed Effect Estimation of Large T Panel Data Models
by Iv'an Fern'andez-Val & Martin Weidner
- 1709.08755 Analytic approach to variance optimization under an $\ell_1$ constraint
by Imre Kondor & G'abor Papp & Fabio Caccioli
- 1709.08621 A sentiment-based model for the BitCoin: theory, estimation and option pricing
by Alessandra Cretarola & Gianna Fig`a-Talamanca & Marco Patacca
- 1709.08516 Testing the causality of Hawkes processes with time reversal
by Marcus Cordi & Damien Challet & Ioane Muni Toke
- 1709.08238 Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter
- 1709.08188 The Aggregation Property and its Applications to Realised Higher Moments
by Carol Alexander & Johannes Rauch
- 1709.08134 Option Pricing with Greed and Fear Factor: The Rational Finance Approach
by Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani
- 1709.08090 The inefficiency of Bitcoin revisited: a dynamic approach
by Aurelio F. Bariviera
- 1709.08075 Local Volatility Calibration by Optimal Transport
by Ivan Guo & Gr'egoire Loeper & Shiyi Wang
- 1709.08023 Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses
by S. Ali Pourmousavi & Mahdi Behrangrad & Ali Jahanbani Ardakani & M. Hashem Nehrir
- 1709.07960 Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania
by Tudorel Andrei & Bogdan Oancea & Peter Richmond & Gurjeet Dhesi & Claudiu Herteliu
- 1709.07682 New copulas based on general partitions-of-unity and their applications to risk management (part II)
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1709.07527 A posteriori multi-stage optimal trading under transaction costs and a diversification constraint
by Mogens Graf Plessen & Alberto Bemporad
- 1709.07446 Arbitrage and Geometry
by Daniel Q. Naiman & Edward R. Scheinerman
- 1709.07329 Density of the set of probability measures with the martingale representation property
by Dmitry Kramkov & Sergio Pulido
- 1709.07300 Facebook drives behavior of passive households in stock markets
by Milla Siikanen & Kk{e}stutis Baltakys & Juho Kanniainen & Ravi Vatrapu & Raghava Mukkamala & Abid Hussain
- 1709.06759 Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit
by Vladislav Gennadievich Malyshkin
- 1709.06641 Dead Alphas as Risk Factors
by Zura Kakushadze & Willie Yu
- 1709.06517 Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
by Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon
- 1709.06480 Kinetic theory and Brazilian income distribution
by Igor D. S. Siciliani & Marcelo H. R. Tragtenberg
- 1709.06380 Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay
by I. D. Kolesin & O. A. Malafeyev & I. V. Zaitseva & A. N. Ermakova & D. V. Shlaev
- 1709.06348 On the Bail-Out Optimal Dividend Problem
by Jos'e-Luis P'erez & Kazutoshi Yamazaki & Xiang Yu
- 1709.06296 Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
by Nikolaus Hautsch & Stefan Voigt
- 1709.06279 Universal L\'evy's stable law of stock market and its characterization
by Takumi Fukunaga & Ken Umeno
- 1709.05837 Optimal Liquidation Problems in a Randomly-Terminated Horizon
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak Kwong Wong
- 1709.05823 A new approach to the modeling of financial volumes
by Guglielmo D'Amico & Filippo Petroni
- 1709.05594 GDP growth rates as confined L\'evy flights
by Sandro Claudio Lera & Didier Sornette
- 1709.05529 Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
by Weipin Wu & Jianjun Gao & Duan Li & Yun Shi
- 1709.05527 Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05519 Semi-Static and Sparse Variance-Optimal Hedging
by Paolo Di Tella & Martin Haubold & Martin Keller-Ressel
- 1709.05392 Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade
by Bogang Jun & Aamena Alshamsi & Jian Gao & Cesar A Hidalgo
- 1709.05287 Sampling of probability measures in the convex order by Wasserstein projection
by Aur'elien Alfonsi & Jacopo Corbetta & Benjamin Jourdain
- 1709.05272 Economic Complexity: "Buttarla in caciara" vs a constructive approach
by Luciano Pietronero & Matthieu Cristelli & Andrea Gabrielli & Dario Mazzilli & Emanuele Pugliese & Andrea Tacchella & Andrea Zaccaria
- 1709.05117 Optimal Inflation Target: Insights from an Agent-Based Model
by Jean-Philippe Bouchaud & Stanislao Gualdi & Marco Tarzia & Francesco Zamponi
- 1709.04620 Random matrix approach for primal-dual portfolio optimization problems
by Daichi Tada & Hisashi Yamamoto & Takashi Shinzato
- 1709.04415 Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection
by Xiaoguang Huo & Feng Fu
- 1709.04387 Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
by Michele Longo & Alessandra Mainini
- 1709.04070 Multivariate Density Modeling for Retirement Finance
by Christopher J. Rook
- 1709.04059 Random walks and market efficiency in Chinese and Indian equity markets
by Oleg Malafeyev & Achal Awasthi & Kaustubh S. Kambekar
- 1709.03943 Support Spinor Machine
by Kabin Kanjamapornkul & Richard Pinv{c}'ak & Sanphet Chunithpaisan & Erik Bartov{s}
- 1709.03803 Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions
by Guosheng Hu & Yuxin Hu & Kai Yang & Zehao Yu & Flood Sung & Zhihong Zhang & Fei Xie & Jianguo Liu & Neil Robertson & Timothy Hospedales & Qiangwei Miemie
- 1709.03611 A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction
by Zheqing Zhu & Jian-guo Liu & Lei Li
- 1709.03535 General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
by Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou
- 1709.03473 Is completeness necessary? Estimation in nonidentified linear models
by Andrii Babii & Jean-Pierre Florens
- 1709.03310 Additive energy forward curves in a Heath-Jarrow-Morton framework
by Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu
- 1709.03226 Predictive Modeling: An Optimized and Dynamic Solution Framework for Systematic Value Investing
by R. J. Sak
- 1709.03169 On portfolios generated by optimal transport
by Ting-Kam Leonard Wong
- 1709.02701 Winning Investment Strategies Based on Financial Crisis Indicators
by Antoine Kornprobst
- 1709.02667 Implementing Flexible Demand: Real-time Price vs. Market Integration
by Florian Kuhnlenz & Pedro H. J. Nardelli & Santtu Karhinen & Rauli Svento
- 1709.02502 Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
by Simon Clinet & Yoann Potiron
- 1709.02129 Data science for assessing possible tax income manipulation: The case of Italy
by Marcel Ausloos & Roy Cerqueti & Tariq A. Mir
- 1709.02015 The microstructure of high frequency markets
by Rene Carmona & Kevin Webster
- 1709.01484 Estimating Cost Savings from Early Cancer Diagnosis
by Zura Kakushadze & Rakesh Raghubanshi & Willie Yu
- 1709.01337 Backtesting Expected Shortfall: a simple recipe?
by Felix Moldenhauer & Marcin Pitera
- 1709.01292 A Scaling Limit for Limit Order Books Driven by Hawkes Processes
by Ulrich Horst & Wei Xu
- 1709.01268 Tensor Representation in High-Frequency Financial Data for Price Change Prediction
by Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1709.01198 Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets
by Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth
- 1709.01115 Risk-Minimizing Hedging of Counterparty Risk
by Lijun Bo & Agostino Capponi & Claudia Ceci
- 1709.01024 Payoff Information and Learning in Signaling Games
by Drew Fudenberg & Kevin He
- 1709.00641 Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
by Daniel Bartl & Michael Kupper & Thibaut Lux & Antonis Papapantoleon & Stephan Eckstein
- 1709.00468 An Option Pricing Model with Memory
by Flavia Sancier & Salah Mohammed
- 1709.00282 Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks
by Victor Olkhov
- 1708.09850 Multilayer Aggregation with Statistical Validation: Application to Investor Networks
by Kk{e}stutis Baltakys & Juho Kanniainen & Frank Emmert-Streib
- 1708.09810 Extending Yagil exchange ratio determination model to the case of stochastic dividends
by Alessandra Mainini & Enrico Moretto
- 1708.09520 High-Frequency Jump Tests: Which Test Should We Use?
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes
- 1708.09343 Value-at-Risk and Expected Shortfall for the major digital currencies
by Stavros Stavroyiannis
- 1708.09327 Spontaneous Segregation of Agents Across Double Auction Markets
by Aleksandra Alori'c & Peter Sollich & Peter McBurney
- 1708.08904 Minimax theorems for American options in incomplete markets without time-consistency
by Denis Belomestny & Volker Kraetschmer
- 1708.08857 Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic?
by Mogens Graf Plessen & Alberto Bemporad
- 1708.08695 The stabilizing effect of volatility in financial markets
by Davide Valenti & Giorgio Fazio & Bernardo Spagnolo
- 1708.08675 American options in an imperfect market with default
by Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem
- 1708.08673 Changing the Direction of the Economic and Demographic Research
by Ron W. Nielsen
- 1708.08622 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
by Frantisek Cech & Jozef Barunik
- 1708.08594 Identifying relationship lending in the interbank market: A network approach
by Teruyoshi Kobayashi & Taro Takaguchi
- 1708.08411 Default Contagion with Domino Effect , A First Passage Time Approach
by Jiro Akahori & Hai Ha Pham
- 1708.08275 An equilibrium-conserving taxation scheme for income from capital
by Jacques Tempere
- 1708.08137 Principal Components and Regularized Estimation of Factor Models
by Jushan Bai & Serena Ng
- 1708.07996 A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables
by Jean-Bernard Chatelain & Kirsten Ralf
- 1708.07723 Promotion through Connections: Favors or Information?
by Yann Bramoull'e & Kenan Huremovi'c
- 1708.07661 Dynamic trading under integer constraints
by Stefan Gerhold & Paul Kruhner
- 1708.07637 Trends and Risk Premia: Update and Additional Plots
by Tung-Lam Dao & Daniel Hoehener & Yves Lemp'eri`ere & Trung-Tu Nguyen & Philip Seager & Jean-Philippe Bouchaud
- 1708.07636 Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo
by Christian Pinshi
- 1708.07587 Semiparametric GARCH via Bayesian model averaging
by Wilson Ye Chen & Richard H. Gerlach
- 1708.07585 Haircutting Non-cash Collateral
by Wujiang Lou
- 1708.07567 Active Preference Learning for Personalized Portfolio Construction
by Kevin Tee & Michael McCourt & Ruben Martinez-Cantin & Ian Dewancker & Frank Liu
- 1708.07509 The Keynesian Model in the General Theory: A Tutorial
by Raul Rojas
- 1708.07469 DGM: A deep learning algorithm for solving partial differential equations
by Justin Sirignano & Konstantinos Spiliopoulos
- 1708.07394 Second order approximations for limit order books
by Ulrich Horst & Dorte Kreher
- 1708.07305 Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy
by Abduh Sayid & Yannick Frein & Ramzi Hammami
- 1708.07063 Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece
by Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos
- 1708.07061 Forecasting day-ahead electricity prices in Europe: the importance of considering market integration
by Jesus Lago & Fjo De Ridder & Peter Vrancx & Bart De Schutter
- 1708.07047 Behind the price: on the role of agent's reflexivity in financial market microstructure
by Paolo Barucca & Fabrizio Lillo
- 1708.07037 Relationship between Remittances and Macroeconomic Variables in Times of Political and Social Upheaval: Evidence from Tunisia's Arab Spring
by Jamal Bouoiyour & Refk Selmi & Amal Miftah
- 1708.06992 Econom\'etrie et Machine Learning
by Arthur Charpentier & Emmanuel Flachaire & Antoine Ly
- 1708.06948 Modulated Information Flows in Financial Markets
by Edward Hoyle & Andrea Macrina & Levent A. Menguturk
- 1708.06886 VIX-linked fees for GMWBs via Explicit Solution Simulation Methods
by Michael A. Kouritzin & Anne MacKay
- 1708.06855 Systematic Noise: Micro-movements in Equity Options Markets
by Adam Wu
- 1708.06792 Volatility and Economic Growth in the Twentieth Century
by Mercedes Campi & Marco Due~nas
- 1708.06704 Unemployment: Study of Causes and Possible Solutions
by Thomas Pedro Eggarter
- 1708.06586 Dynamic correlations at different time-scales with Empirical Mode Decomposition
by Noemi Nava & T. Di Matteo & Tomaso Aste
- 1708.06443 Bias Reduction in Instrumental Variable Estimation through First-Stage Shrinkage
by Jann Spiess
- 1708.06436 Unbiased Shrinkage Estimation
by Jann Spiess
- 1708.06233 Fake News in Social Networks
by Christoph Aymanns & Jakob Foerster & Co-Pierre Georg
- 1708.06160 Economic Design of Memory-Type Control Charts: The Fallacy of the Formula Proposed by Lorenzen and Vance (1986)
by Amir Ahmadi-Javid & Mohsen Ebadi
- 1708.05957 A new Mertens decomposition of $\mathscr{Y}^{g,\xi}$-submartingale systems. Application to BSDEs with weak constraints at stopping times
by Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou
- 1708.05713 Portfolio Optimization with Entropic Value-at-Risk
by Amir Ahmadi-Javid & Malihe Fallah-Tafti
- 1708.05689 Quantum Barro--Gordon Game in Monetary Economics
by Ali Hussein Samadi & Afshin Montakhab & Hussein Marzban & Sakine Owjimehr
- 1708.05352 How many paths to simulate correlated Brownian motions?
by Antoine Jacquier & Louis Jeannerod
- 1708.05319 An indifference approach to the cost of capital constraints: KVA and beyond
by Damiano Brigo & Marco Francischello & Andrea Pallavicini
- 1708.04955 qBitcoin: A Peer-to-Peer Quantum Cash System
by Kazuki Ikeda
- 1708.04952 New Market Creation via Innovation: A Study on Tata Nano
by Swati Singh & Manoj Joshi
- 1708.04869 Martingale Benamou--Brenier: a probabilistic perspective
by Julio Backhoff-Veraguas & Mathias Beiglbock & Martin Huesmann & Sigrid Kallblad
- 1708.04829 Pricing compound and extendible options under mixed fractional Brownian motion with jumps
by Foad Shokrollahi
- 1708.04711 Generalizations of Szpilrajn's Theorem in economic and game theories
by Athanasios Andrikopoulos
- 1708.04658 Comparing distributions by multiple testing across quantiles or CDF values
by Matt Goldman & David M. Kaplan
- 1708.04532 Some stylized facts of the Bitcoin market
by Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf
- 1708.04430 Dynamics of Investor Spanning Trees Around Dot-Com Bubble
by Sindhuja Ranganathan & Mikko Kivela & Juho Kanniainen
- 1708.04339 Optimum thresholding using mean and conditional mean square error
by Jos'e E. Figueroa-L'opez & Cecilia Mancini
- 1708.04337 Optimal placement of a small order in a diffusive limit order book
by Jos'e E. Figueroa-L'opez & Hyoeun Lee & Raghu Pasupathy
- 1708.04281 Valuation of a Bermudan DB underpin hybrid pension benefit
by Xiaobai Zhu & Mary Hardy & David Saunders
- 1708.04217 A General Class of Multifractional Processes and Stock Price Informativeness
by Qidi Peng & Ran Zhao
- 1708.04107 729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index)
by Saleh Albeaik & Mary Kaltenberg & Mansour Alsaleh & C'esar A. Hidalgo
- 1708.03992 Multi-scale analysis of lead-lag relationships in high-frequency financial markets
by Takaki Hayashi & Yuta Koike
- 1708.03551 On the overestimation of the largest eigenvalue of a covariance matrix
by Soufiane Hayou
- 1708.03533 Oil economy phase plot: a physical analogy
by Luciano Celi & Claudio Della Volpe & Luca Pardi & Stefano Siboni
- 1708.03511 Technology networks: the autocatalytic origins of innovation
by Lorenzo Napolitano & Evangelos Evangelou & Emanuele Pugliese & Paolo Zeppini & Graham Room
- 1708.03242 Conditional-Mean Hedging Under Transaction Costs in Gaussian Models
by Tommi Sottinen & Lauri Viitasaari
- 1708.03099 On the existence of sure profits via flash strategies
by Claudio Fontana & Markus Pelger & Eckhard Platen
- 1708.02984 Decoding Stock Market with Quant Alphas
by Zura Kakushadze & Willie Yu
- 1708.02786 Sequential testing for structural stability in approximate factor models
by Matteo Barigozzi & Lorenzo Trapani
- 1708.02715 Order Flows and Limit Order Book Resiliency on the Meso-Scale
by Kyle Bechler & Michael Ludkovski
- 1708.02625 Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market
by Jethro Browell
- 1708.02605 Exact probability distribution function for the volatility of cumulative production
by Rubina Zadourian & Andreas Klumper
- 1708.02563 Turbocharging Monte Carlo pricing for the rough Bergomi model
by Ryan McCrickerd & Mikko S. Pakkanen
- 1708.02424 Cardinality constrained portfolio selection via factor models
by Juan Francisco Monge
- 1708.02411 Nonlinear price impact from linear models
by Felix Patzelt & Jean-Philippe Bouchaud
- 1708.02365 Indirect Inference with a Non-Smooth Criterion Function
by David T. Frazier & Tatsushi Oka & Dan Zhu
- 1708.02193 The phase space structure of the oligopoly dynamical system by means of Darboux integrability
by Adam Krawiec & Tomasz Stachowiak & Marek Szydlowski
- 1708.02180 Financial option insurance
by Qi-Wen Wang & Jian-Jun Shu
- 1708.02073 Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
by Luca Barbaglia & Christophe Croux & Ines Wilms
- 1708.01974 Model Misspecification in ABC: Consequences and Diagnostics
by David T. Frazier & Christian P. Robert & Judith Rousseau
- 1708.01897 Machine learning in sentiment reconstruction of the simulated stock market
by Mikhail Goykhman & Ali Teimouri
- 1708.01890 Optimal Learning under Robustness and Time-Consistency
by Larry G. Epstein & Shaolin Ji
- 1708.01678 On optimal periodic dividend strategies for L\'evy risk processes
by Kei Noba & Jos'e-Luis P'erez & Kazutoshi Yamazaki & Kouji Yano
- 1708.01665 A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices
by Mark Higgins
- 1708.01561 Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
by Zachary Feinstein & Weijie Pang & Birgit Rudloff & Eric Schaanning & Stephan Sturm & Mackenzie Wildman
- 1708.01489 Spectral backtests of forecast distributions with application to risk management
by Michael B. Gordy & Alexander J. McNeil
- 1708.01324 Vector-Valued Multivariate Conditional Value-at-Risk
by Merve Merakli & Simge Kucukyavuz
- 1708.01308 A Mean Field Competition
by Marcel Nutz & Yuchong Zhang
- 1708.01161 Why we like the ECI+ algorithm
by Andrea Gabrielli & Matthieu Cristelli & Dario Mazzilli & Andrea Tacchella & Andrea Zaccaria & Luciano Pietronero
- 1708.01085 Lorenz curves interpretations of the Bruss-Duerinckx theorem for resource dependent branching processes
by Alexandre Jacquemain
- 1708.00645 Stock-flow consistent macroeconomic model with nonuniform distributional constraint
by Aur'elien Hazan
- 1708.00644 The "Size Premium" in Equity Markets: Where is the Risk?
by Stefano Ciliberti & Emmanuel S'eri'e & Guillaume Simon & Yves Lemp'eri`ere & Jean-Philippe Bouchaud
- 1708.00506 Control-stopping Games for Market Microstructure and Beyond
by Roman Gayduk & Sergey Nadtochiy
- 1708.00189 Sequential Sampling for CGMY Processes via Decomposition of their Time Changes
by Chengwei Zhang & Zhiyuan Zhang
- 1708.00062 Sparse Structural Approach for Rating Transitions
by Volodymyr Perederiy
- 1707.09829 On a robust risk measurement approach for capital determination errors minimization
by Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco
- 1707.09801 Spurious memory in non-equilibrium stochastic models of imitative behavior
by Vygintas Gontis & Aleksejus Kononovicius
- 1707.09609 Explicit expressions for European option pricing under a generalized skew normal distribution
by Mahdi Doostparast
- 1707.09563 Identification of Treatment Effects under Conditional Partial Independence
by Matthew A. Masten & Alexandre Poirier
- 1707.09494 On the free boundary of an annuity purchase
by Tiziano De Angelis & Gabriele Stabile
- 1707.09351 Nash equilibria for game contingent claims with utility-based hedging
by Klebert Kentia & Christoph Kuhn
- 1707.09203 A hydrodynamic model for cooperating solidary countries
by Roberto De Luca & Marco Di Mauro & Angelo Falzarano & Adele Naddeo
- 1707.09037 On Biased Correlation Estimation
by Thomas Schurmann & Ingo Hoffmann
- 1707.08545 Robust Pricing and Hedging around the Globe
by Sebastian Herrmann & Florian Stebegg
- 1707.08504 Mutation Clusters from Cancer Exome
by Zura Kakushadze & Willie Yu
- 1707.08464 Equilibrium Returns with Transaction Costs
by Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe
- 1707.08078 Equity Default Clawback Swaps to Implement Venture Banking
by Brian P. Hanley
- 1707.07977 Ether: Bitcoin's competitor or ally?
by Jamal Bouoiyour & Refk Selmi
- 1707.07797 On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models
by Mingsi Long & Hongzhong Zhang
- 1707.07618 Statistical properties and multifractality of Bitcoin
by Tetsuya Takaishi
- 1707.07585 Stock Prediction: a method based on extraction of news features and recurrent neural networks
by Zeya Zhang & Weizheng Chen & Hongfei Yan
- 1707.07338 Agent Inspired Trading Using Recurrent Reinforcement Learning and LSTM Neural Networks
by David W. Lu
- 1707.07322 Extended Gini-type measures of risk and variability
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi
- 1707.07284 Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions
by Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel
- 1707.07162 Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions
by Guilherme Demos & Didier Sornette
- 1707.06970 Hybrid marked point processes: characterisation, existence and uniqueness
by Maxime Morariu-Patrichi & Mikko S. Pakkanen
- 1707.06849 Markov cubature rules for polynomial processes
by Damir Filipovi'c & Martin Larsson & Sergio Pulido
- 1707.06837 An Alternative Estimation Method of a Time-Varying Parameter Model
by Mikio Ito & Akihiko Noda & Tatsuma Wada
- 1707.06829 Geopolitical Model of Investment Project Implementation
by Oleg Malafeyev & Konstantin Farvazov & Olga Zenovich
- 1707.06635 Impact of the Global Crisis on SME Internal vs. External Financing in China
by ShiXue He & Marcel Ausloos
- 1707.06138 American Options with Discontinuous Two-Level Caps
by Jerome Detemple & Yerkin Kitapbayev
- 1707.05914 Contagious disruptions and complexity traps in economic development
by Charles D. Brummitt & Kenan Huremovic & Paolo Pin & Matthew H. Bonds & Fernando Vega-Redondo