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Content
2019
- 1910.04083 The Impacts of the Alaska Permanent Fund Dividend on High School Status Completion Rates
by Mattathias Lerner
- 1910.04075 The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods
by Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu
- 1910.04047 Discrete-time risk-aware optimal switching with non-adapted costs
by Randall Martyr & John Moriarty & Magnus Perninge
- 1910.03993 Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk
by Derek Singh & Shuzhong Zhang
- 1910.03951 Quantifying Life Insurance Risk using Least-Squares Monte Carlo
by Claus Baumgart & Johannes Krebs & Robert Lempertseder & Oliver Pfaffel
- 1910.03821 Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
by Matteo Barigozzi & Matteo Luciani
- 1910.03805 Most productive scale size of China's regional R&D value chain: A mixed structure network
by Saeed Assani & Jianlin Jiang & Ahmad Assani & Feng Yang
- 1910.03800 Art Pricing with Computer Graphic Techniques
by Lan Ju & Zhiyong Tu & Changyong Xue
- 1910.03793 Creating a unique mobile financial services framework for Myanmar: A Review
by Dr Ma Nang Laik & Chester Mark Hong Wei
- 1910.03712 Political Openness and Armed Conflict: Evidence from Local Councils in Colombia
by Hector Galindo-Silva
- 1910.03669 On the feasibility of parsimonious variable selection for Hotelling's $T^2$-test
by Michael D. Perlman
- 1910.03421 Estimating and decomposing most productive scale size in parallel DEA networks with shared inputs: A case of China's Five-Year Plans
by Saeed Assani & Jianlin Jiang & Ahmad Assani & Feng Yang
- 1910.03383 Optimal Control of Prevention and Treatment in a Basic Macroeconomic-Epidemiological Model
by Davide La Torre & Tufail Malik & Simone Marsiglio
- 1910.03245 Vol-of-vol expansion for (rough) stochastic volatility models
by Ozan Akdogan
- 1910.03204 Noncompliance in randomized control trials without exclusion restrictions
by Masayuki Sawada
- 1910.03141 The Possible Effects of Personal Income Tax and Value Added Tax on Consumer Behaviors
by Ahmet Ak & Oner Gumus
- 1910.03117 Reversals of signal-posterior monotonicity imply a bias of screening
by Sander Heinsalu
- 1910.03112 Application of Machine Learning in Forecasting International Trade Trends
by Feras Batarseh & Munisamy Gopinath & Ganesh Nalluru & Jayson Beckman
- 1910.03109 Boosting High Dimensional Predictive Regressions with Time Varying Parameters
by Kashif Yousuf & Serena Ng
- 1910.03068 Do speed bumps curb low-latency trading? Evidence from a laboratory market
by Mariana Khapko & Marius Zoican
- 1910.03056 A bank salvage model by impulse stochastic controls
by Francesco Cordoni & Luca Di Persio & Yilun Jiang
- 1910.02577 A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields
by Michael C. Tseng
- 1910.02570 Racial Disparities in Debt Collection
by Jessica LaVoice & Domonkos F. Vamossy
- 1910.02546 A theorem of Kalman and minimal state-space realization of Vector Autoregressive Models
by Du Nguyen
- 1910.02498 Predicting popularity of EV charging infrastructure from GIS data
by Milan Straka & Pasquale De Falco & Gabriella Ferruzzi & Daniela Proto & Gijs van der Poel & Shahab Khormali & v{L}ubov{s} Buzna
- 1910.02466 Resolving asset pricing puzzles using price-impact
by Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi
- 1910.02310 Hierarchical PCA and Applications to Portfolio Management
by Marco Avellaneda
- 1910.02194 Liquidity in Credit Networks with Constrained Agents
by Geoffrey Ramseyer & Ashish Goel & David Mazieres
- 1910.02144 Concepts, Components and Collections of Trading Strategies and Market Color
by Ravi Kashyap
- 1910.02137 Microfoundations of Discounting
by Alexander T. I. Adamou & Yonatan Berman & Diomides P. Mavroyiannis & Ole B. Peters
- 1910.01928 Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation
by Josep Perell'o & Miquel Montero & Jaume Masoliver & J. Doyne Farmer & John Geanakoplos
- 1910.01781 Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk
by Derek Singh & Shuzhong Zhang
- 1910.01778 Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
by Ibrahim Ekren & Sergey Nadtochiy
- 1910.01491 A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy
by Kei Nakagawa & Masaya Abe & Junpei Komiyama
- 1910.01490 The option pricing model based on time values: an application of the universal approximation theory on unbounded domains
by Yang Qu & Ming-Xi Wang
- 1910.01438 Optimal Convergence Trading with Unobservable Pricing Errors
by Suhan Altay & Katia Colaneri & Zehra Eksi
- 1910.01407 A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
by Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo
- 1910.01330 Homogeneity and heterogeneity of cryptocurrencies
by Xiao Fan Liu & Zeng-Xian Lin & Xiao-Pu Han
- 1910.01318 Informational Content of Factor Structures in Simultaneous Binary Response Models
by Shakeeb Khan & Arnaud Maurel & Yichong Zhang
- 1910.01044 Capturing the power options smile by an additive two-factor model for overlapping futures prices
by Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu
- 1910.01034 Stationarity of the detrended price return in stock markets
by Karina Arias-Calluari & Morteza. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin
- 1910.00778 Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition
by Jaroslav Borovicka & John Stachurski
- 1910.00641 An introduction to flexible methods for policy evaluation
by Martin Huber
- 1910.00640 On the Concavity of Expected Shortfall
by Mikhail Tselishchev
- 1910.00460 Usage-Based Vehicle Insurance: Driving Style Factors of Accident Probability and Severity
by Konstantin Korishchenko & Ivan Stankevich & Nikolay Pilnik & Daria Petrova
- 1910.00321 Libra: Fair Order-Matching for Electronic Financial Exchanges
by Vasilios Mavroudis & Hayden Melton
- 1910.00258 Isogeometric analysis in option pricing
by Jan Posp'iv{s}il & Vladim'ir v{S}v'igler
- 1910.00193 Parallel Algorithm for Approximating Nash Equilibrium in Multiplayer Stochastic Games with Application to Naval Strategic Planning
by Sam Ganzfried & Conner Laughlin & Charles Morefield
- 1910.00073 An econometric analysis of the Italian cultural supply
by Consuelo Nava & Maria Grazia Zoia
- 1909.13758 Macroscopic approximation methods for the analysis of adaptive networked agent-based models: The example of a two-sector investment model
by Jakob J. Kolb & Finn Muller-Hansen & Jurgen Kurths & Jobst Heitzig
- 1909.13720 On Incentive Compatibility in Dynamic Mechanism Design With Exit Option in a Markovian Environment
by Tao Zhang & Quanyan Zhu
- 1909.13610 Partial Uncertainty and Applications to Risk-Averse Valuation
by Anastasis Kratsios
- 1909.13366 Not so Particular about Calibration: Smile Problem Resolved
by Aitor Muguruza
- 1909.13323 Undiscounted Bandit Games
by Godfrey Keller & Sven Rady
- 1909.13179 Modelling the health impact of food taxes and subsidies with price elasticities: the case for additional scaling of food consumption using the total food expenditure elasticity
by Tony Blakely & Nhung Nghiem & Murat Genc & Anja Mizdrak & Linda Cobiac & Cliona Ni Mhurchu & Boyd Swinburn & Peter Scarborough & Christine Cleghorn
- 1909.13102 A varying terminal time mean-variance model
by Shuzhen Yang
- 1909.13019 Equity Premium Puzzle or Faulty Economic Modelling?
by Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev
- 1909.12974 Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
by Jun Ma & Vadim Marmer & Artyom Shneyerov & Pai Xu
- 1909.12946 Towards Federated Graph Learning for Collaborative Financial Crimes Detection
by Toyotaro Suzumura & Yi Zhou & Natahalie Baracaldo & Guangnan Ye & Keith Houck & Ryo Kawahara & Ali Anwar & Lucia Larise Stavarache & Yuji Watanabe & Pablo Loyola & Daniel Klyashtorny & Heiko Ludwig & Kumar Bhaskaran
- 1909.12931 Revenue allocation in Formula One: a pairwise comparison approach
by D'ora Gr'eta Petr'oczy & L'aszl'o Csat'o
- 1909.12926 A Cloud-Native Globally Distributed Financial Exchange Simulator for Studying Real-World Trading-Latency Issues at Planetary Scale
by Bradley Miles & Dave Cliff
- 1909.12904 Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset Allocation
by Samudra Dasgupta & Arnab Banerjee
- 1909.12829 Decision Models for Workforce and Technology Planning in Services
by Gang Li & Joy M. Field & Hongxun Jiang & Tian He & Youming Pang
- 1909.12730 Collectivised Post-Retirement Investment
by John Armstrong & Cristin Buescu
- 1909.12592 Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions
by Jau-er Chen & Chien-Hsun Huang & Jia-Jyun Tien
- 1909.12578 A financial market with singular drift and no arbitrage
by Nacira Agram & Bernt {O}ksendal
- 1909.12542 Maximum Entropy Framework for a Universal Rank Order distribution with Socio-economic Applications
by Abhik Ghosh & Preety Shreya & Banasri Basu
- 1909.12243 Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison
by Yi Huang & Ishanu Chattopadhyay
- 1909.12162 Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms
by Byunghoon Kang
- 1909.12063 Artificial Intelligence BlockCloud (AIBC) Technical Whitepaper
by Qi Deng
- 1909.11921 Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application
by Soren Christensen & Kristoffer Lindensjo
- 1909.11836 Propaganda, Alternative Media, and Accountability in Fragile Democracies
by Anqi Li & Davin Raiha & Kenneth W. Shotts
- 1909.11794 Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
by Takaaki Koike & Marius Hofert
- 1909.11650 Explaining Agent-Based Financial Market Simulation
by David Byrd
- 1909.11635 A Statistical Field Approach to Capital Accumulation
by Pierre Gosselin & Aileen Lotz & Marc Wambst
- 1909.11633 Considering pricing and uncertainty in designing a reverse logistics network
by Mohsen Zamani & Mahdi Abolghasemi & Seyed Mohammad Seyed Hosseini & Mir Saman Pishvaee
- 1909.11532 Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions
by Yangang Chen & Justin W. L. Wan
- 1909.11346 A New Approach to Fair Distribution of Welfare
by Moshe Babaioff & Uriel Feige
- 1909.11219 The converse envelope theorem
by Ludvig Sinander
- 1909.11009 Implied volatility surface predictability: the case of commodity markets
by Fearghal Kearney & Han Lin Shang & Lisa Sheenan
- 1909.10957 A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series
by Constandina Koki & Stefanos Leonardos & Georgios Piliouras
- 1909.10925 Scalable Fair Division for 'At Most One' Preferences
by Christian Kroer & Alexander Peysakhovich
- 1909.10915 Time-consistent decisions and rational expectation equilibrium existence in DSGE models
by Minseong Kim
- 1909.10807 Unveiling the relation between herding and liquidity with trader lead-lag networks
by Carlo Campajola & Fabrizio Lillo & Daniele Tantari
- 1909.10801 WATTNet: Learning to Trade FX via Hierarchical Spatio-Temporal Representation of Highly Multivariate Time Series
by Michael Poli & Jinkyoo Park & Ilija Ilievski
- 1909.10762 Optimizing Execution Cost Using Stochastic Control
by Akshay Bansal & Diganta Mukherjee
- 1909.10749 Moment constrained optimal dividends: precommitment \& consistent planning
by Soren Christensen & Kristoffer Lindensjo
- 1909.10735 Stability properties of Haezendonck-Goovaerts premium principles
by Niushan Gao & Cosimo Munari & Foivos Xanthos
- 1909.10679 Structural Change Analysis of Active Cryptocurrency Market
by C. Y. Tan & Y. B. Koh & K. H. Ng & K. H. Ng
- 1909.10660 Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis
by Daiki Matsunaga & Toyotaro Suzumura & Toshihiro Takahashi
- 1909.10578 PAGAN: Portfolio Analysis with Generative Adversarial Networks
by Giovanni Mariani & Yada Zhu & Jianbo Li & Florian Scheidegger & Roxana Istrate & Costas Bekas & A. Cristiano I. Malossi
- 1909.10502 Weighted Envy-Freeness in Indivisible Item Allocation
by Mithun Chakraborty & Ayumi Igarashi & Warut Suksompong & Yair Zick
- 1909.10464 Mechanics of good trade execution in the framework of linear temporary market impact
by Claudio Bellani & Damiano Brigo
- 1909.10272 Dynamics of symmetric SSVI smiles and implied volatility bubbles
by Mehdi El Amrani & Antoine Jacquier & Claude Martini
- 1909.10233 Machine Learning Optimization Algorithms & Portfolio Allocation
by Sarah Perrin & Thierry Roncalli
- 1909.10187 Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility
by Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh
- 1909.10133 Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression
by Christoph Breunig
- 1909.10129 Specification Testing in Nonparametric Instrumental Quantile Regression
by Christoph Breunig
- 1909.10062 Inference for Linear Conditional Moment Inequalities
by Isaiah Andrews & Jonathan Roth & Ariel Pakes
- 1909.10060 Meaningful causal decompositions in health equity research: definition, identification, and estimation through a weighting framework
by John W. Jackson
- 1909.10035 Using Machine Learning to Predict Realized Variance
by Peter Carr & Liuren Wu & Zhibai Zhang
- 1909.10017 What do adoption patterns of solar panels observed so far tell about governments' incentive? insight from diffusion models
by Anita M. Bunea & Pietro Manfredi & Pompeo Della Posta & Mariangela Guidolin
- 1909.09928 Subspace Clustering for Panel Data with Interactive Effects
by Jiangtao Duan & Wei Gao & Hao Qu & Hon Keung Tony
- 1909.09824 Desperate times call for desperate measures: government spending multipliers in hard times
by Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin
- 1909.09641 Productivity propagation with networks transformation
by Satoshi Nakano & Kazuhiko Nishimura
- 1909.09571 Reinforcement Learning for Portfolio Management
by Angelos Filos
- 1909.09563 Gradient Boost with Convolution Neural Network for Stock Forecast
by Jialin Liu & Chih-Min Lin & Fei Chao
- 1909.09511 Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
by Zhuo Jin & Huafu Liao & Yue Yang & Xiang Yu
- 1909.09495 CME Iceberg Order Detection and Prediction
by Dmitry Zotikov & Anton Antonov
- 1909.09412 Doubly Robust Identification for Causal Panel Data Models
by Dmitry Arkhangelsky & Guido W. Imbens
- 1909.09320 Discerning Solution Concepts
by Nail Kashaev & Bruno Salcedo
- 1909.09257 How to design a derivatives market?
by Bastien Baldacci & Paul Jusselin & Mathieu Rosenbaum
- 1909.09239 Systemic Cascades On Inhomogeneous Random Financial Networks
by T. R. Hurd
- 1909.09198 Methods, Models, and the Evolution of Moral Psychology
by Cailin O'Connor
- 1909.09061 The Design and Operation of Rules of Origin in Greater Arab Free Trade Area: Challenges of Implementation and Reform
by Bashar H. Malkawi & Mohammad I. El-Shafie
- 1909.09057 The Effect of Oil Price on United Arab Emirates Goods Trade Deficit with the United States
by Osama D. Sweidan & Bashar H. Malkawi
- 1909.08964 To Detect Irregular Trade Behaviors In Stock Market By Using Graph Based Ranking Methods
by Loc Tran & Linh Tran
- 1909.08798 Legal Architecture and Design for Gulf Cooperation Council Economic Integration
by Bashar H. Malkawi
- 1909.08706 Generational political dynamics of retirement pensions systems: An agent based model
by S'ergio Bacelar & Luis Antunes
- 1909.08664 Corruption Risk in Contracting Markets: A Network Science Perspective
by Johannes Wachs & Mih'aly Fazekas & J'anos Kert'esz
- 1909.08662 Does the leverage effect affect the return distribution?
by Dangxing Chen
- 1909.08648 New Policy Design for Food Accessibility to the People in Need
by Rahul Srinivas Sucharitha & Seokcheon Lee
- 1909.08564 Informe-pais Brasil
by Juan Gonzalez-Blanco
- 1909.08497 Overconfidence and Prejudice
by Paul Heidhues & Botond KH{o}szegi & Philipp Strack
- 1909.08434 Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
by Florian Heiss & Stephan Hetzenecker & Maximilian Osterhaus
- 1909.08308 An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbul
by Can Yilmaz Altinigne & Harun Ozkan & Veli Can Kupeli & Zehra Cataltepe
- 1909.08299 How have German University Tuition Fees Affected Enrollment Rates: Robust Model Selection and Design-based Inference in High-Dimensions
by Konstantin Gorgen & Melanie Schienle
- 1909.08141 Adjusted QMLE for the spatial autoregressive parameter
by Federico Martellosio & Grant Hillier
- 1909.08047 Option pricing under normal dynamics with stochastic volatility
by Matta Uma Maheswara Reddy
- 1909.08021 Strategic Formation and Reliability of Supply Chain Networks
by Victor Amelkin & Rakesh Vohra
- 1909.07896 No-Arbitrage Commodity Option Pricing with Market Manipulation
by Ren'e Aid & Giorgia Callegaro & Luciano Campi
- 1909.07889 Distributional conformal prediction
by Victor Chernozhukov & Kaspar Wuthrich & Yinchu Zhu
- 1909.07837 The value of knowing the market price of risk
by Katia Colaneri & Stefano Herzel & Marco Nicolosi
- 1909.07771 Arrow, Hausdorff, and Ambiguities in the Choice of Preferred States in Complex Systems
by T. Erber & M. J. Frank
- 1909.07748 Stock market microstructure inference via multi-agent reinforcement learning
by J. Lussange & I. Lazarevich & S. Bourgeois-Gironde & S. Palminteri & B. Gutkin
- 1909.07481 Deep Neural Networks for Choice Analysis: Architectural Design with Alternative-Specific Utility Functions
by Shenhao Wang & Baichuan Mo & Jinhua Zhao
- 1909.07319 An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\'evy Processes
by Tat Lung & Chan
- 1909.07288 EvaSylv: A user-friendly software to evaluate forestry scenarii including natural risk
by Patrice Loisel & Guillerme Duvilli'e & Denis Barbeau & Brigitte Charnomordic
- 1909.07139 Additive normal tempered stable processes for equity derivatives and power law scaling
by Michele Azzone & Roberto Baviera
- 1909.06854 Optimal management of pumped hydroelectric production with state constrained optimal control
by Athena Picarelli & Tiziano Vargiolu
- 1909.06853 Statistical inference for statistical decisions
by Charles F. Manski
- 1909.06759 Personal Finance Decisions with Untruthful Advisors: an Agent-Based Model
by Loretta Mastroeni & Maurizio Naldi & Pierluigi Vellucci
- 1909.06648 Relation between non-exchangeability and measures of concordance of copulas
by Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}
- 1909.06599 Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models
by Rick Bohte & Luca Rossini
- 1909.06509 The Optimal Deterrence of Crime: A Focus on the Time Preference of DWI Offenders
by Yuqing Wang & Yan Ru Pei
- 1909.06332 Comparative Companies' Stock Valuation through Financial Metrics and its Social Implications
by Jack Colleran & Harris K. Kim & Benny C. Pickle & John Sun
- 1909.06260 Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
by Alet Roux & Zhikang Xu
- 1909.06108 Shallow Self-Learning for Reject Inference in Credit Scoring
by Nikita Kozodoi & Panagiotis Katsas & Stefan Lessmann & Luis Moreira-Matias & Konstantinos Papakonstantinou
- 1909.06036 Generalized Duality for Model-Free Superhedging given Marginals
by Arash Fahim & Yu-Jui Huang & Saeed Khalili
- 1909.05986 Constrained Pseudo-market Equilibrium
by Federico Echenique & Antonio Miralles & Jun Zhang
- 1909.05782 Fast Algorithms for the Quantile Regression Process
by Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly
- 1909.05761 Pricing Reliability Options under different electricity prices' regimes
by Luisa Andreis & Maria Flora & Fulvio Fontini & Tiziano Vargiolu
- 1909.05689 A new concept of technology with systemic-purposeful perpsective: theory, examples and empirical application
by Mario Coccia
- 1909.05649 A Consistent LM Type Specification Test for Semiparametric Panel Data Models
by Ivan Korolev
- 1909.05604 The Emergence of Innovation Complexity at Different Geographical and Technological Scales
by Emanuele Pugliese & Lorenzo Napolitano & Matteo Chinazzi & Guido Chiarotti
- 1909.05591 Discrete choice prox-functions on the simplex
by David Muller & Yurii Nesterov & Vladimir Shikhman
- 1909.05560 Estimation and Applications of Quantile Regression for Binary Longitudinal Data
by Mohammad Arshad Rahman & Angela Vossmeyer
- 1909.05542 Quantile regression methods for first-price auctions
by Nathalie Gimenes & Emmanuel Guerre
- 1909.05501 Mortality rate forecasting: can recurrent neural networks beat the Lee-Carter model?
by G'abor Petneh'azi & J'ozsef G'all
- 1909.05457 Recovering Preferences from Finite Data
by Christopher P. Chambers & Federico Echenique & Nicolas Lambert
- 1909.05335 Robust Utility Maximization with Drift and Volatility Uncertainty
by Kerem Ugurlu
- 1909.05289 Deep Prediction of Investor Interest: a Supervised Clustering Approach
by Baptiste Barreau & Laurent Carlier & Damien Challet
- 1909.05244 Double Robustness for Complier Parameters and a Semiparametric Test for Complier Characteristics
by Rahul Singh & Liyang Sun
- 1909.05151 Validating Weak-form Market Efficiency in United States Stock Markets with Trend Deterministic Price Data and Machine Learning
by Samuel Showalter & Jeffrey Gropp
- 1909.05093 Matching Estimators with Few Treated and Many Control Observations
by Bruno Ferman
- 1909.04986 Continuous Time Random Walk with correlated waiting times. The crucial role of inter-trade times in volatility clustering
by Jaros{l}aw Klamut & Tomasz Gubiec
- 1909.04981 Direct and Indirect Effects based on Changes-in-Changes
by Martin Huber & Mark Schelker & Anthony Strittmatter
- 1909.04903 Estimating the volatility of Bitcoin using GARCH models
by Samuel Asante Gyamerah
- 1909.04853 Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise
by Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner
- 1909.04834 Linear Equilibria for Dynamic LQG Games with Asymmetric Information and Dependent Types
by Nasimeh Heydaribeni & Achilleas Anastasopoulos
- 1909.04767 Distorted stochastic dominance: a generalized family of stochastic orders
by Tommaso Lando & Lucio Bertoli-Barsotti
- 1909.04706 Regression to the Mean's Impact on the Synthetic Control Method: Bias and Sensitivity Analysis
by Nicholas Illenberger & Dylan S. Small & Pamela A. Shaw
- 1909.04661 Virtual Historical Simulation for estimating the conditional VaR of large portfolios
by Christian Francq & Jean-Michel Zakoian
- 1909.04602 Arbitrage-free modeling under Knightian Uncertainty
by Matteo Burzoni & Marco Maggis
- 1909.04521 Is culture related to strong science? An empirical investigation
by Mahmood Khosrowjerdi & Lutz Bornmann
- 1909.04497 Equity2Vec: End-to-end Deep Learning Framework for Cross-sectional Asset Pricing
by Qiong Wu & Christopher G. Brinton & Zheng Zhang & Andrea Pizzoferrato & Zhenming Liu & Mihai Cucuringu
- 1909.04452 Dynamics of reallocation within India's income distribution
by Anand Sahasranaman & Henrik Jeldtoft Jensen
- 1909.04354 Value adjustments and dynamic hedging of reinsurance counterparty risk
by Claudia Ceci & Katia Colaneri & Rdiger Frey & Verena Kock
- 1909.04327 Empirical investigation of state-of-the-art mean reversion strategies for equity markets
by Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon
- 1909.04107 Taxing dissent: The impact of a social media tax in Uganda
by Levi Boxell & Zachary Steinert-Threlkeld
- 1909.04009 Climate Policy under Spatial Heat Transport: Cooperative and Noncooperative Regional Outcomes
by Yongyang Cai & William Brock & Anastasios Xepapadeas & Kenneth Judd
- 1909.03968 Tree-based Synthetic Control Methods: Consequences of moving the US Embassy
by Nicolaj S{o}ndergaard Muhlbach & Mikkel Slot Nielsen
- 1909.03870 Robust pricing and hedging of options on multiple assets and its numerics
by Stephan Eckstein & Gaoyue Guo & Tongseok Lim & Jan Obloj
- 1909.03808 Systemic Risk Clustering of China Internet Financial Based on t-SNE Machine Learning Algorithm
by Mi Chuanmin & Xu Runjie & Lin Qingtong
- 1909.03792 Tehran Stock Exchange Prediction Using Sentiment Analysis of Online Textual Opinions
by Arezoo Hatefi Ghahfarrokhi & Mehrnoush Shamsfard
- 1909.03574 A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
by Diego Zabaljauregui
- 1909.03490 An Economic Topology of the Brexit vote
by Pawel Dlotko & Lucy Minford & Simon Rudkin & Wanling Qiu
- 1909.03489 Multiway Cluster Robust Double/Debiased Machine Learning
by Harold D. Chiang & Kengo Kato & Yukun Ma & Yuya Sasaki
- 1909.03430 Insider information and its relation with the arbitrage condition and the utility maximization problem
by Bernardo D'Auria & Jos'e Antonio Salmer'on
- 1909.03429 Education Projects for Sustainable Development: Evidence from Ural Federal University
by Marina Volkova & Jol Stoffers & Dmitry Kochetkov
- 1909.03379 Modular structure in labour networks reveals skill basins
by Neave O'Clery & Stephen Kinsella
- 1909.03348 Identifying Different Definitions of Future in the Assessment of Future Economic Conditions: Application of PU Learning and Text Mining
by Masahiro Kato
- 1909.03278 Automatic Financial Trading Agent for Low-risk Portfolio Management using Deep Reinforcement Learning
by Wonsup Shin & Seok-Jun Bu & Sung-Bae Cho
- 1909.03185 Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game
by Kei Katahira & Yu Chen
- 1909.03070 Modelling Cooperation in a Dynamic Healthcare System
by Zainab Alalawi & Yifeng Zeng & The Anh Han & Aiman Elragig
- 1909.02972 Portfolio optimisation under rough Heston models
by Benjamin James Duthie
- 1909.02899 An extended Speculation Game for the recovery of Hurst exponent of financial time series
by Kei Katahira & Yu Chen
- 1909.02823 Shrinkage Estimation of Network Spillovers with Factor Structured Errors
by Ayden Higgins & Federico Martellosio
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