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Content
2017
- 1704.06550 On mean-variance hedging under partial observations and terminal wealth constraints
by Vitalii Makogin & Alexander Melnikov & Yuliya Mishura
- 1704.06508 Scaling evidence of the homothetic nature of cities
by R'emi Lemoy & Geoffrey Caruso
- 1704.06429 Simple wealth distribution model causing inequality-induced crisis without external shocks
by Henri Benisty
- 1704.06388 Fast Quantization of Stochastic Volatility Models
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen
- 1704.06027 Structural price model for electricity coupled markets
by Clemence Alasseur & Olivier Feron
- 1704.05818 Anomalous Scaling of Stochastic Processes and the Moses Effect
by Lijian Chen & Kevin E. Bassler & Joseph L. McCauley & Gemunu H. Gunaratne
- 1704.05729 A generalized Bayesian framework for the analysis of subscription based businesses
by Rahul Madhavan & Ankit Baraskar
- 1704.05499 Quantifying instabilities in Financial Markets
by Bruna Amin Gonc{c}alves & Laura Carpi & Osvaldo A. Rosso & Martin G. Ravetti & A. P. F Atman
- 1704.05332 The case of 'Less is more': Modelling risk-preference with Expected Downside Risk
by Mihaly Ormos & Dusan Timotity
- 1704.05308 High-order compact finite difference scheme for option pricing in stochastic volatility jump models
by Bertram During & Alexander Pitkin
- 1704.05276 Best reply structure and equilibrium convergence in generic games
by Marco Pangallo & Torsten Heinrich & J Doyne Farmer
- 1704.05015 Measurement of Economic Growth, Development and Under Development: New Model and Application
by Mario Coccia
- 1704.04979 Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market
by Vahid Moosavi
- 1704.04524 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe
- 1704.04450 Simplifying credit scoring rules using LVQ+PSO
by Laura Cristina Lanzarini & Augusto Villa Monte & Aurelio F. Bariviera & Patricia Jimbo Santana
- 1704.04442 Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
by Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso
- 1704.04354 An empirical behavioural order-driven model with price limit rules
by Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou
- 1704.03597 Exploring the relationship between technological improvement and innovation diffusion: An empirical test
by JongRoul Woo & Christopher L. Magee
- 1704.03244 Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
by Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva
- 1704.03239 Sparse Bayesian vector autoregressions in huge dimensions
by Gregor Kastner & Florian Huber
- 1704.03205 On Feature Reduction using Deep Learning for Trend Prediction in Finance
by Luigi Troiano & Elena Mejuto & Pravesh Kriplani
- 1704.03110 Bartlett's delta in the SABR model
by Patrick S. Hagan & Andrew Lesniewski
- 1704.02638 A fractional reaction-diffusion description of supply and demand
by Michael Benzaquen & Jean-Philippe Bouchaud
- 1704.02505 Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility
by Dirk Becherer & Klebert Kentia
- 1704.02453 Consistent Approval-Based Multi-Winner Rules
by Martin Lackner & Piotr Skowron
- 1704.02392 Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics
by Jennifer Jhun & Patricia Palacios & James Owen Weatherall
- 1704.02377 On absence of steady state in the Bouchaud-M\'ezard network model
by Zhiyuan Liu & R. A. Serota
- 1704.02213 A Joint Quantile and Expected Shortfall Regression Framework
by Timo Dimitriadis & Sebastian Bayer
- 1704.02160 A systemic shock model for too big to fail financial institutions
by Sabrina Mulinacci
- 1704.02036 On a pricing problem for a multi-asset option with general transaction costs
by Pablo Amster & Andres P. Mogni
- 1704.01840 The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries
by Claudiu Tiberiu Albulescu & Dominique P'epin & Stephen Miller
- 1704.01608 Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks
by Andreas Frohlich & Annegret Weng
- 1704.01503 Multivariate Geometric Expectiles
by Klaus Herrmann & Marius Hofert & Melina Mailhot
- 1704.01366 Replica Analysis for Portfolio Optimization with Single-Factor Model
by Takashi Shinzato
- 1704.01316 ICT and Employment in India: A Sectoral Level Analysis
by Dr. Pawan Kumar
- 1704.01179 The Wandering of Corn
by Valerii Salov
- 1704.01174 Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios
by Nonthachote Chatsanga & Andrew J. Parkes
- 1704.01066 Tests for qualitative features in the random coefficients model
by Fabian Dunker & Konstantin Eckle & Katharina Proksch & Johannes Schmidt-Hieber
- 1704.01028 Interconnectedness in the Global Financial Market
by Matthias Raddant & Dror Y. Kenett
- 1704.00985 Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
by Mikio Ito & Kiyotaka Maeda & Akihiko Noda
- 1704.00847 Incorporating Signals into Optimal Trading
by Charles-Albert Lehalle & Eyal Neuman
- 1704.00416 Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
by Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
- 1704.00383 How Wave - Wavelet Trading Wins and "Beats" the Market
by Lanh Tran
- 1704.00256 Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms
by Visant Ahuja
- 1703.10981 On coherency and other properties of MAXVAR
by Jie Sun & Qiang Yao
- 1703.10897 Multi-unit Assignment under Dichotomous Preferences
by Josue Ortega
- 1703.10832 Social dynamics of financial networks
by Teruyoshi Kobayashi & Taro Takaguchi
- 1703.10825 Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
- 1703.10806 Probabilistic Mid- and Long-Term Electricity Price Forecasting
by Florian Ziel & Rick Steinert
- 1703.10639 Agent-Based Model Calibration using Machine Learning Surrogates
by Francesco Lamperti & Andrea Roventini & Amir Sani
- 1703.10588 Multiperiod Martingale Transport
by Marcel Nutz & Florian Stebegg & Xiaowei Tan
- 1703.10469 Harry Potter and the Goblin Bank of Gringotts
by Zachary Feinstein
- 1703.10098 Rational Choice and Artificial Intelligence
by Tshilidzi Marwala
- 1703.09782 FIEMS: Fast Italian Energy Market Simulator
by Matteo Gardini & Marco Diana
- 1703.09748 Smallest order closed sublattices and option spanning
by Niushan Gao & Denny H. Leung
- 1703.09667 Biased Risk Parity with Fractal Model of Risk
by Sergey Kamenshchikov & Ilia Drozdov
- 1703.09500 Non-parametric and semi-parametric asset pricing
by Peter Erdos & Mihaly Ormos & David Zibriczky
- 1703.09386 Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
by Tetsuya Takaishi & Toshiaki Watanabe
- 1703.09129 A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet
by Amirhossein Sobhani & Mariyan Milev
- 1703.08812 Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
by Ravi Kashyap
- 1703.08807 Ex-post core, fine core and rational expectations equilibrium allocations
by Anuj Bhowmik & Jiling Cao
- 1703.08781 Emergence of world-stock-market network
by M. Saeedian & T. Jamali & M. Z. Kamali & H. Bayani & T. Yasseri & G. R. Jafari
- 1703.08750 Game-Theoretic Vaccination Against Networked SIS Epidemics and Impacts of Human Decision-Making
by Ashish R. Hota & Shreyas Sundaram
- 1703.08715 Towards a probability-free theory of continuous martingales
by Vladimir Vovk & Glenn Shafer
- 1703.08534 A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
by Sigrid Kallblad
- 1703.08282 Cohort effects in mortality modelling: a Bayesian state-space approach
by Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko
- 1703.07685 Mean field and n-agent games for optimal investment under relative performance criteria
by Daniel Lacker & Thaleia Zariphopoulou
- 1703.07513 An Agent-based Model of Contagion in Financial Networks
by Leonardo dos Santos Pinheiro & Flavio Codeco COelho
- 1703.07339 Stochastic control on the half-line and applications to the optimal dividend/consumption problem
by Dariusz Zawisza
- 1703.06969 Optimal Portfolio under Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu
- 1703.06840 New approaches in agent-based modeling of complex financial systems
by T. T. Chen & B. Zheng & Y. Li & X. F. Jiang
- 1703.06739 Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders
by Kiyoshi Kanazawa & Takumi Sueshige & Hideki Takayasu & Misako Takayasu
- 1703.06603 A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
by Sujay Mukhoti & Pritam Ranjan
- 1703.06351 Election Predictions as Martingales: An Arbitrage Approach
by Nassim Nicholas Taleb
- 1703.06020 Pricing VIX Derivatives With Free Stochastic Volatility Model
by Wei Lin & Shenghong Li & Shane Chern
- 1703.05979 How well do experience curves predict technological progress? A method for making distributional forecasts
by Franc{c}ois Lafond & Aimee Gotway Bailey & Jan David Bakker & Dylan Rebois & Rubina Zadourian & Patrick McSharry & J. Doyne Farmer
- 1703.05709 Incorporating statistical model error into the calculation of acceptability prices of contingent claims
by Martin Glanzer & Georg Ch. Pflug & Alois Pichler
- 1703.05240 Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life
by Francis Tseng & Fei Liu & Bernardo Alves Furtado
- 1703.05132 Short-time near-the-money skew in rough fractional volatility models
by Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper
- 1703.05049 Perfect hedging in rough Heston models
by Omar El Euch & Mathieu Rosenbaum
- 1703.05047 Data driven partition-of-unity copulas with applications to risk management
by Dietmar Pfeifer & Andreas Mandle & Olena Ragulina
- 1703.04549 Systemic Risk, Maximum Entropy and Interbank Contagion
by M. Andrecut
- 1703.04423 Extremal Behavior of Long-Term Investors with Power Utility
by Nicole Bauerle & Stefanie Grether
- 1703.04385 Topological Data Analysis of Financial Time Series: Landscapes of Crashes
by Marian Gidea & Yuri Katz
- 1703.03638 On representing and hedging claims for coherent risk measures
by Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui
- 1703.03195 Diffusive and arrested-like dynamics in currency exchange markets
by Joaquim Clara-Rahola & Antonio M. Puertas & Miguel Angel Sanchez-Granero & Juan E. Trinidad-Segovia & F. Javier de las Nieves
- 1703.03016 Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network
by Javier Garcia-Bernardo & Jan Fichtner & Eelke M. Heemskerk & Frank W. Takes
- 1703.02865 Networks as Proxies: a relational approach towards economic complexity in the Roman period
by Johannes Preiser-Kapeller
- 1703.02777 Pythagorean theorem of Sharpe ratio
by Takashi Shinzato
- 1703.02720 Model Selection for Explosive Models
by Yubo Tao & Jun Yu
- 1703.02715 Joint News, Attention Spillover,and Market Returns
by Li Guo & Lin Peng & Yubo Tao & Jun Tu
- 1703.02694 Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
by Samuel Drapeau & Peng Luo & Dewen Xiong
- 1703.02311 Mini-symposium on automatic differentiation and its applications in the financial industry
by S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai
- 1703.02105 Network Structure and Naive Sequential Learning
by Krishna Dasaratha & Kevin He
- 1703.02104 Long-run dynamics of the U.S. patent classification system
by Francois Lafond & Daniel Kim
- 1703.01989 Wisdom of the institutional crowd
by Kevin Primicerio & Damien Challet & Stanislao Gualdi
- 1703.01984 Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
by Danping Li & Dongchen Li & Virginia R. Young
- 1703.01574 Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading
by Dmitry Muravey
- 1703.01505 Blockchains and Distributed Ledgers in Retrospective and Perspective
by Alexander Lipton
- 1703.01369 Collective Learning in China's Regional Economic Development
by Jian Gao & Bogang Jun & Alex Sandy Pentland & Tao Zhou & Cesar A. Hidalgo
- 1703.01329 Disentangling Price, Risk and Model Risk: V&R measures
by Marco Frittelli & Marco Maggis
- 1703.01292 Quantifying China's Regional Economic Complexity
by Jian Gao & Tao Zhou
- 1703.01291 Swarm behavior of traders with different subjective predictions in the Market
by Hiroshi Toyoizumi
- 1703.01137 Model Spaces for Risk Measures
by Felix-Benedikt Liebrich & Gregor Svindland
- 1703.00957 Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
by Stefano De Marco & Claude Martini
- 1703.00923 Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies
by Jorge Inigo
- 1703.00918 A note on conditional covariance matrices for elliptical distributions
by Piotr Jaworski & Marcin Pitera
- 1703.00703 *K-means and Cluster Models for Cancer Signatures
by Zura Kakushadze & Willie Yu
- 1703.00485 A review of two decades of correlations, hierarchies, networks and clustering in financial markets
by Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat
- 1703.00476 Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
by Andreas Hermes & Stanislaus Maier-Paape
- 1703.00308 Are Trump and Bitcoin Good Partners?
by Jamal Bouoiyour & Refk Selmi
- 1703.00259 Binary Funding Impacts in Derivative Valuation
by Junbeom Lee & Chao Zhou
- 1703.00182 Incremental computation of block triangular matrix exponentials with application to option pricing
by Daniel Kressner & Robert Luce & Francesco Statti
- 1703.00062 Optimal Investment and Pricing in the Presence of Defaults
by Tetsuya Ishikawa & Scott Robertson
- 1702.08901 Solvency II, or How to Sweep the Downside Risk Under the Carpet
by Stefan Weber
- 1702.08867 Robust and Consistent Estimation of Generators in Credit Risk
by Greig Smith & Goncalo dos Reis
- 1702.08774 Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability
by Yuri Biondi & Feng Zhou
- 1702.08744 Reverse stress testing interbank networks
by Daniel Grigat & Fabio Caccioli
- 1702.08391 Economic inequality and mobility for stochastic models with multiplicative noise
by Maria Letizia Bertotti & Amit K Chattopadhyay & Giovanni Modanese
- 1702.08081 Probability density of lognormal fractional SABR model
by Jiro Akahori & Xiaoming Song & Tai-Ho Wang
- 1702.08029 The short-term price impact of trades is universal
by Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud
- 1702.07936 Obligations with Physical Delivery in a Multi-Layered Financial Network
by Zachary Feinstein
- 1702.07786 A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
by David Landriault & Bin Li & Hongzhong Zhang
- 1702.07556 A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
by Takuji Arai & Yuto Imai
- 1702.07423 A generalized public goods game with coupling of individual ability and project benefit
by Li-Xin Zhong & Wen-Juan Xu & Yun-Xin He & Chen-Yang Zhong & Rong-Da Chen & Tian Qiu & Yong-Dong Shi & Fei Ren
- 1702.07374 Time series momentum and contrarian effects in the Chinese stock market
by Huai-Long Shi & Wei-Xing Zhou
- 1702.07169 Robust Hedging of Options on a Leveraged Exchange Traded Fund
by Alexander M. G. Cox & Sam M. Kinsley
- 1702.06913 Structural Change in (Economic) Time Series
by Christian Kleiber
- 1702.06191 Evidence for criticality in financial data
by G. Ruiz L'opez & A. Fern'andez de Marcos
- 1702.06055 Performance of information criteria used for model selection of Hawkes process models of financial data
by J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh
- 1702.05944 Relation between regional uncertainty spillovers in the global banking system
by Sachapon Tungsong & Fabio Caccioli & Tomaso Aste
- 1702.05809 Network-based Anomaly Detection for Insider Trading
by Adarsh Kulkarni & Priya Mani & Carlotta Domeniconi
- 1702.05649 Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
by Tianran Geng & Thaleia Zariphopoulou
- 1702.05434 The amazing power of dimensional analysis: Quantifying market impact
by Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi
- 1702.05315 Estimation for the Prediction of Point Processes with Many Covariates
by Alessio Sancetta
- 1702.05036 Uncertain Volatility Models with Stochastic Bounds
by Jean-Pierre Fouque & Ning Ning
- 1702.05005 PyCaMa: Python for cash management
by Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Pablo D'iaz-Garc'ia
- 1702.04967 Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition
by Takanori Adachi & Michal Fabinger
- 1702.04642 Prediction defaults for networked-guarantee loans
by Dawei Cheng & Zhibin Niu & Yi Tu & Liqing Zhang
- 1702.04443 Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
by Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara
- 1702.04388 Estimating VaR in credit risk: Aggregate vs single loss distribution
by M. Assadsolimani & D. Chetalova
- 1702.04289 Regularities and Irregularities in Order Flow Data
by Martin Theissen & Sebastian M. Krause & Thomas Guhr
- 1702.04287 Contagion in financial systems: A Bayesian network approach
by Carsten Chong & Claudia Kluppelberg
- 1702.04053 Discounting with Imperfect Collateral
by Wujiang Lou
- 1702.03977 Labor Contract Law -An Economic View
by Yaofeng Fu & Ruokun Huang & Yiran Sheng
- 1702.03838 Trading Lightly: Cross-Impact and Optimal Portfolio Execution
by Iacopo Mastromatteo & Michael Benzaquen & Zoltan Eisler & Jean-Philippe Bouchaud
- 1702.03382 Short Maturity Asian Options for the CEV Model
by Dan Pirjol & Lingjiong Zhu
- 1702.03290 A Theory of Market Efficiency
by Anup Rao
- 1702.03244 $L_2$Boosting for Economic Applications
by Ye Luo & Martin Spindler
- 1702.03232 Invariance properties in the dynamic gaussian copula model
by St'ephane Cr'epey & Shiqi Song
- 1702.03226 An applied spatial agent-based model of administrative boundaries using SEAL
by Bernardo Alves Furtado & Isaque Daniel Eberhardt Rocha
- 1702.03098 Estimation of Risk Contributions with MCMC
by Takaaki Koike & Mihoko Minami
- 1702.02896 Policy Learning with Observational Data
by Susan Athey & Stefan Wager
- 1702.02826 Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws
by Masaru Shintani & Ken Umeno
- 1702.02777 Rough volatility: evidence from option prices
by Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum
- 1702.02763 Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
by Victor Olkhov
- 1702.02254 One-Switch Discount Functions
by Nina Anchugina
- 1702.02087 Conditional Davis Pricing
by Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c
- 1702.02007 The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project
by Dogus Ozuyar & Sevilay Gumus Ozuyar & Oguzhan Karadeniz & Ozge Varol
- 1702.01936 Existence, uniqueness and stability of optimal portfolios of eligible assets
by Michel Baes & Pablo Koch-Medina & Cosimo Munari
- 1702.01819 Learning and Type Compatibility in Signaling Games
by Drew Fudenberg & Kevin He
- 1702.01742 Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics
by Alex Ushveridze
- 1702.01706 Existence of a Radner equilibrium in a model with transaction costs
by Kim Weston
- 1702.01686 Demonetization and Its Impact on Employment in India
by Pawan Kumar
- 1702.01385 Perfect hedging under endogenous permanent market impacts
by Masaaki Fukasawa & Mitja Stadje
- 1702.01362 Hyperbolic Discounting of the Far-Distant Future
by Nina Anchugina & Matthew Ryan & Arkadii Slinko
- 1702.01354 Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency
by Md. Mahmudul Alam & Kazi Ashraful Alam & Md. Gazi Salah Uddin
- 1702.01250 Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges
by Susan Athey & Guido Imbens & Thai Pham & Stefan Wager
- 1702.01175 Monetary value measures in a category of probability spaces
by Takanori Adachi & Yoshihiro Ryu
- 1702.01164 Estimation of a noisy subordinated Brownian Motion via two-scales power variations
by Jose E. Figueroa-Lopez & K. Lee
- 1702.01045 Invariance times
by St'ephane Cr'epey & Shiqi Song
- 1702.01017 Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information
by Diptesh Ghosh & Anindya S. Chakrabarti
- 1702.00994 Approaches to Asian Option Pricing with Discrete Dividends
by Jacob Lundgren & Yuri Shpolyanskiy
- 1702.00982 On utility maximization without passing by the dual problem
by Miklos Rasonyi
- 1702.00586 Record statistics of a strongly correlated time series: random walks and L\'evy flights
by Claude Godreche & Satya N. Majumdar & Gregory Schehr
- 1702.00215 A confidence-based model for asset and derivative prices in the BitCoin market
by Alessandra Cretarola & Gianna Fig`a-Talamanca
- 1702.00152 The valuation of European option with transaction costs by mixed fractional Merton model
by Foad Shokrollahi
- 1702.00144 Zipf's law for share price and company fundamentals
by Taisei Kaizoji & Michiko Miyano
- 1702.00037 Fractional delta hedging strategy for pricing currency options with transaction costs
by Foad Shokrollahi
- 1701.09043 Towards a taxonomy of learning dynamics in 2 x 2 games
by Marco Pangallo & James Sanders & Tobias Galla & Doyne Farmer
- 1701.08972 An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
by Takashi Kato
- 1701.08861 On a class of path-dependent singular stochastic control problems
by Romuald Elie & Ludovic Moreau & Dylan Possamai
- 1701.08789 Understanding food inflation in India: A Machine Learning approach
by Akash Malhotra & Mayank Maloo
- 1701.08711 Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network
by Vinci Chow
- 1701.08579 Asset liquidation under drift uncertainty and regime-switching volatility
by Juozas Vaicenavicius
- 1701.08567 Decision structure of risky choice
by Lamb Wubin & Naixin Ren
- 1701.08545 Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
by Rafael Company & Vera Egorova & Lucas J'odar & Fazlollah Soleymani
- 1701.08399 Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
by Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski
- 1701.08299 Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity
by Viktor Witkovsky & Gejza Wimmer & Tomas Duby
- 1701.08204 A stability result on optimal Skorokhod embedding
by Gaoyue Guo
- 1701.08149 Representation of I(1) and I(2) autoregressive Hilbertian processes
by Brendan K. Beare & Won-Ki Seo
- 1701.07333 Supply based on demand dynamical model
by Asaf Levi & Juan Sabuco & Miguel A. F. Sanjuan
- 1701.07218 Premium valuation for a multiple state model containing manifold premium-paid states
by Joanna Dk{e}bicka & Beata Zmy'slona
- 1701.07175 Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes
by Swarn Chatterjee
- 1701.07152 Time Series Copulas for Heteroskedastic Data
by Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn
- 1701.06975 Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
by Antoaneta Serguieva
- 1701.06779 Monotone Martingale Transport Plans and Skorohod Embedding
by Mathias Beiglboeck & Pierre Henry-Labordere & Nizar Touzi
- 1701.06625 Econophysics Macroeconomic Model
by Victor Olkhov