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Content
2017
- 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
- 1707.05826 Improving the Economic Complexity Index
by Saleh Albeaik & Mary Kaltenberg & Mansour Alsaleh & Cesar A. Hidalgo
- 1707.05778 Correlations and Flow of Information between The New York Times and Stock Markets
by Andr'es Garc'ia-Medina & Leonidas Sandoval Junior & Efra'in Urrutia Ba~nuelos & A. M. Mart'inez-Arguello
- 1707.05699 Network analysis of Japanese global business using quasi-exhaustive micro-data for Japanese overseas subsidiaries
by Jean-Pascal Bassino & Pablo Jensen & Matteo Morini
- 1707.05642 Sequence Classification of the Limit Order Book using Recurrent Neural Networks
by Matthew F Dixon
- 1707.05604 Linear and nonlinear correlations in order aggressiveness of Chinese stocks
by Peng Yue & Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei-Xing Zhou
- 1707.05596 Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk
by Xue Dong He & Xianhua Peng
- 1707.05580 Impact and Recovery Process of Mini Flash Crashes: An Empirical Study
by Tobias Braun & Jonas A. Fiegen & Daniel C. Wagner & Sebastian M. Krause & Thomas Guhr
- 1707.05552 Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
by H. -L. Shi & W. -X. Zhou
- 1707.05550 Power-law tails in the distribution of order imbalance
by T. Zhang & G. -F. Gu & H. -C. Xu & X. Xiong & W. Chen & W. -X. Zhou
- 1707.05508 Plunges in the Bombay stock exchange: Characteristics and indicators
by Kinjal Banerjee & Chandradew Sharma & N. Bittu
- 1707.05419 Second order stochastic differential models for financial markets
by Nguyen Tien Zung
- 1707.05253 An Optimal Stopping Problem Modeling Technical Analysis
by Jun Maeda & Saul D. Jacka
- 1707.05250 Discrete-type approximations for non-Markovian optimal stopping problems: Part II
by S'ergio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys de Souza
- 1707.05234 Discrete-type approximations for non-Markovian optimal stopping problems: Part I
by Dorival Le~ao & Alberto Ohashi & Francesco Russo
- 1707.05146 Unfolding the innovation system for the development of countries: co-evolution of Science, Technology and Production
by Emanuele Pugliese & Giulio Cimini & Aurelio Patelli & Andrea Zaccaria & Luciano Pietronero & Andrea Gabrielli
- 1707.05108 Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
by Andrew J. Patton & Johanna F. Ziegel & Rui Chen
- 1707.05096 Effective risk aversion in thin risk-sharing markets
by Michail Anthropelos & Constantinos Kardaras & Georgios Vichos
- 1707.05061 Pricing formulae for derivatives in insurance using the Malliavin calculus
by Caroline Hillairet & Ying Jiao & Anthony R'eveillac
- 1707.04981 The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
by Yu-Jui Huang & Zhou Zhou
- 1707.04949 Surplus-invariant risk measures
by Niushan Gao & Cosimo Munari
- 1707.04942 Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
by Christian P. Fries
- 1707.04870 Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE
by J-F Mercure & H. Pollitt & N. R. Edwards & P. B. Holden & U. Chewpreecha & P. Salas & A. Lam & F. Knobloch & J. Vinuales
- 1707.04868 Forecasting the U.S. Real House Price Index
by Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou
- 1707.04838 Transitions between superstatistical regimes: validity, breakdown and applications
by Petr Jizba & Jan Korbel & Hynek Laviv{c}ka & Martin Prokv{s} & V'aclav Svoboda & Christian Beck
- 1707.04831 Machine learning application in online lending risk prediction
by Xiaojiao Yu
- 1707.04699 Good signals gone bad: dynamic signalling with switching efforts
by Sander Heinsalu
- 1707.04475 Reduced-form framework under model uncertainty
by Francesca Biagini & Yinglin Zhang
- 1707.04293 A short introduction to quasi-Monte Carlo option pricing
by Gunther Leobacher
- 1707.04285 Zipf's Law for Atlas Models
by Ricardo T. Fernholz & Robert Fernholz
- 1707.04149 Asymptotics for Greeks under the constant elasticity of variance model
by Oleg L. Kritski & Vladimir F. Zalmezh
- 1707.03960 How do fishery policies affect Hawaii's longline fishing industry? Calibrating a positive mathematical programming model
by Jonathan R. Sweeney & Richard E. Howitt & Hing Ling Chan & Minling Pan & PingSun Leung
- 1707.03746 Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach
by Mariusz Tarnopolski
- 1707.03715 Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution
by Chao Wang & Qian Chen & Richard Gerlach
- 1707.03588 On Markowitz Geometry
by Valentin Vankov Iliev
- 1707.03542 Modeling Financial System with Interbank Flows, Borrowing, and Investing
by Aditya Maheshwari & Andrey Sarantsev
- 1707.03516 Portfolio Risk Assessment using Copula Models
by Mikhail Semenov & Daulet Smagulov
- 1707.03500 Banking risk as an epidemiological model: an optimal control approach
by Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres
- 1707.03498 Mean Reversion Trading with Sequential Deadlines and Transaction Costs
by Yerkin Kitapbayev & Tim Leung
- 1707.03436 Smoothed GMM for quantile models
by Luciano de Castro & Antonio F. Galvao & David M. Kaplan & Xin Liu
- 1707.03391 The partial damage loss cover ratemaking of the automobile insurance using generalized linear models
by William Guevara-Alarc'on & Luz Mery Gonz'alez & Armando Antonio Zarruk
- 1707.03335 Viability and Arbitrage under Knightian Uncertainty
by Matteo Burzoni & Frank Riedel & H. Mete Soner
- 1707.02853 The Wealth of Nations: Complexity Science for an Interdisciplinary Approach in Economics
by Klaus Jaffe
- 1707.02736 Residual Value Forecasting Using Asymmetric Cost Functions
by Korbinian Dress & Stefan Lessmann & Hans-Jorg von Mettenheim
- 1707.02689 The speed of sequential asymptotic learning
by Wade Hann-Caruthers & Vadim V. Martynov & Omer Tamuz
- 1707.02587 Dynamic Quantile Function Models
by Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson
- 1707.02496 Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models
by Patricia Kisbye & Karem Meier
- 1707.02188 Coherent diversification in corporate technological portfolios
by Emanuele Pugliese & Lorenzo Napolitano & Andrea Zaccaria & Luciano Pietronero
- 1707.02087 Model for Constructing an Options Portfolio with a Certain Payoff Function
by Margarita E. Fatyanova & Mikhail E. Semenov
- 1707.02019 Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
by Massimo Caccia & Bruno R'emillard
- 1707.01600 Option Pricing with Delayed Information
by Tomoyuki Ichiba & Seyyed Mostafa Mousavi
- 1707.01473 Machine-Learning Tests for Effects on Multiple Outcomes
by Jens Ludwig & Sendhil Mullainathan & Jann Spiess
- 1707.01457 You are in a drawdown. When should you start worrying?
by Adam Rej & Philip Seager & Jean-Philippe Bouchaud
- 1707.01436 Nonlinear Parabolic Equations arising in Mathematical Finance
by Daniel Sevcovic
- 1707.01370 Gini estimation under infinite variance
by Andrea Fontanari & Nassim Nicholas Taleb & Pasquale Cirillo
- 1707.01284 The Bitcoin price formation: Beyond the fundamental sources
by Jamal Bouoiyour & Refk Selmi
- 1707.01237 Option Pricing in a Regime Switching Stochastic Volatility Model
by Arunangshu Biswas & Anindya Goswami & Ludger Overbeck
- 1707.01178 Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
by Ariel Neufeld
- 1707.01167 Instantaneous order impact and high-frequency strategy optimization in limit order books
by Federico Gonzalez & Mark Schervish
- 1707.01028 Multi-state models for evaluating conversion options in life insurance
by Guglielmo D'Amico & Montserrat Guillen & Raimondo Manca & Filippo Petroni