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2020
2019
- 2001.00920 Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression
by Andres Quiros-Granados & JAvier Trejos-Zelaya
- 2001.00919 Competitive equilibria between staking and on-chain lending
by Tarun Chitra
- 2001.00918 Fairness in Multi-agent Reinforcement Learning for Stock Trading
by Wenhang Bao
- 2001.00622 An FBSDE approach to market impact games with stochastic parameters
by Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong
- 2001.00516 On the probability flow in the Stock market I: The Black-Scholes case
by Ivan Arraut & Alan Au & Alan Ching-biu Tse & Joao Alexandre Lobo Marques
- 2001.00478 Growth and inequalities in a physicist's view
by Angelo Tartaglia
- 2001.00122 Entropic Decision Making
by Adnan Rebei
- 2001.00078 Regulatory Markets for AI Safety
by Jack Clark & Gillian K. Hadfield
- 1912.13275 Systemic liquidity contagion in the European interbank market
by V. Macchiati & G. Brandi & G. Cimini & G. Caldarelli & D. Paolotti & T. Di Matteo
- 1912.13259 On the positivity of local mild solutions to stochastic evolution equations
by Carlo Marinelli & Luca Scarpa
- 1912.13249 Generalized Rental Harmony
by Erel Segal-Halevi
- 1912.13110 Open Markets
by Donghan Kim
- 1912.13081 Recovering Latent Variables by Matching
by Manuel Arellano & Stephane Bonhomme
- 1912.12983 A Consistently Oriented Basis for Eigenanalysis
by Jay Damask
- 1912.12940 Effect of Franchised Business models on Fast Food Company Stock Prices in Recession and Recovery with Weibull Analysis
by Sandip Dutta & Vignesh Prabhu
- 1912.12908 Robust perfect equilibrium in large games
by Enxian Chen & Lei Qiao & Xiang Sun & Yeneng Sun
- 1912.12867 Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data
by Xi Chen & Ye Luo & Martin Spindler
- 1912.12864 Priority to unemployed immigrants? A causal machine learning evaluation of training in Belgium
by Bart Cockx & Michael Lechner & Joost Bollens
- 1912.12787 On an Extension of a Theorem of Eilenberg and a Characterization of Topological Connectedness
by M. Ali Khan & Metin Uyanik
- 1912.12615 Approximating intractable short ratemodel distribution with neural network
by Anna Knezevic & Nikolai Dokuchaev
- 1912.12611 Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator
by Anand Deo & Sandeep Juneja
- 1912.12590 The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold
by Mohamed Arbi Madani & Zied Ftiti
- 1912.12571 Focused Bayesian Prediction
by Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier
- 1912.12527 Bayesian estimation of large dimensional time varying VARs using copulas
by Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani
- 1912.12521 Portfolio Optimization under Correlation Constraint
by Aditya Maheshwari & Traian Pirvu
- 1912.12472 Positivity of mild solution to stochastic evolution equations with an application to forward rates
by Carlo Marinelli
- 1912.12354 Conditional Correlations and Principal Regression Analysis for Futures
by Armine Karami & Raphael Benichou & Michael Benzaquen & Jean-Philippe Bouchaud
- 1912.12351 Reading Macroeconomics From the Yield Curve: The Turkish Case
by Ipek Turker & Bayram Cakir
- 1912.12329 Transforming public pensions: A mixed scheme with a credit granted by the state
by M. Carmen Boado-Penas & Julia Eisenberg & Ralf Korn
- 1912.12226 Multivariate Systemic Optimal Risk Transfer Equilibrium
by Alessandro Doldi & Marco Frittelli
- 1912.12213 Minimax Semiparametric Learning With Approximate Sparsity
by Jelena Bradic & Victor Chernozhukov & Whitney K. Newey & Yinchu Zhu
- 1912.12146 Semicooperation under curved strategy spacetime
by Paramahansa Pramanik & Alan M. Polansky
- 1912.12113 A Stochastic Investment Model for Actuarial Use in South Africa
by c{S}ule c{S}ahin & Shaun Levitan
- 1912.11858 Maximising with-profit pensions without guarantees
by M. Carmen Boado-Penas & Julia Eisenberg & Paul Kruhner
- 1912.11761 Alpha Discovery Neural Network based on Prior Knowledge
by Jie Fang & Shutao Xia & Jianwu Lin & Zhikang Xia & Xiang Liu & Yong Jiang
- 1912.11736 Pareto models for risk management
by Arthur Charpentier & Emmanuel Flachaire
- 1912.11665 Dynamics of the Price Behavior in Stock Market: A Statistical Physics Approach
by Hung T. Diep & Gabriel Desgranges
- 1912.11351 Healthy Access for Healthy Places: A Multidimensional Food Access Measure
by Irena Gao & Marynia Kolak
- 1912.11341 Quantifying the Effects of the 2008 Recession using the Zillow Dataset
by Arunav Gupta & Lucas Nguyen & Camille Dunning & Ka Ming Chan
- 1912.11250 Predicting one type of technological motion? A nonlinear map to study the 'sailing-ship' effect
by G. Filatrella & N. De Liso
- 1912.11216 Evolutionary Dynamics of Investors Expectations and Market Price Movement
by Inga Ivanova
- 1912.11172 Online Quantification of Input Model Uncertainty by Two-Layer Importance Sampling
by Tianyi Liu & Enlu Zhou
- 1912.11166 A Gated Recurrent Unit Approach to Bitcoin Price Prediction
by Aniruddha Dutta & Saket Kumar & Meheli Basu
- 1912.11060 Pricing and hedging American-style options with deep learning
by Sebastian Becker & Patrick Cheridito & Arnulf Jentzen
- 1912.11059 Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism
by Shengli Chen & Zili Zhang
- 1912.10958 Electoral Crime Under Democracy: Information Effects from Judicial Decisions in Brazil
by Andre Assumpcao
- 1912.10955 Economic Complexity: why we like "Complexity weighted diversification"
by Luciano Pietronero & Andrea Gabrielli & Andrea Zaccaria
- 1912.10866 Quantile Diffusions for Risk Analysis
by Holly Brannelly & Andrea Macrina & Gareth W. Peters
- 1912.10858 "The Squawk Bot": Joint Learning of Time Series and Text Data Modalities for Automated Financial Information Filtering
by Xuan-Hong Dang & Syed Yousaf Shah & Petros Zerfos
- 1912.10829 Variable-lag Granger Causality for Time Series Analysis
by Chainarong Amornbunchornvej & Elena Zheleva & Tanya Y. Berger-Wolf
- 1912.10813 Model uncertainty in financial forecasting
by Matthias J. Feiler & Thibaut Ajdler
- 1912.10806 DP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using Financial News
by Xinyi Li & Yinchuan Li & Hongyang Yang & Liuqing Yang & Xiao-Yang Liu
- 1912.10774 Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
by Francis X. Diebold & Glenn D. Rudebusch
- 1912.10709 Centralizing-Unitizing Standardized High-Dimensional Directional Statistics and Its Applications in Finance
by Yijian Chuan & Lan Wu
- 1912.10640 Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
- 1912.10529 Improved Central Limit Theorem and bootstrap approximations in high dimensions
by Victor Chernozhukov & Denis Chetverikov & Kengo Kato & Yuta Koike
- 1912.10526 Building and Testing Yield Curve Generators for P&C Insurance
by Gary Venter & Kailan Shang
- 1912.10488 Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games
by Adam Dearing & Jason R. Blevins
- 1912.10380 The Black-Scholes-Merton dual equation
by Shuxin Guo & Qiang Liu
- 1912.10343 Design of High-Frequency Trading Algorithm Based on Machine Learning
by Boyue Fang & Yutong Feng
- 1912.10328 Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis
by Maziar Sahamkhadam & Andreas Stephan
- 1912.10237 Comparative Study of Two Extensions of Heston Stochastic Volatility Model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
- 1912.10105 Dissecting Ethereum Blockchain Analytics: What We Learn from Topology and Geometry of Ethereum Graph
by Yitao Li & Umar Islambekov & Cuneyt Akcora & Ekaterina Smirnova & Yulia R. Gel & Murat Kantarcioglu
- 1912.10097 Mining the Automotive Industry: A Network Analysis of Corporate Positioning and Technological Trends
by Niklas Stoehr & Fabian Braesemann & Michael Frommelt & Shi Zhou
- 1912.10058 ResLogit: A residual neural network logit model for data-driven choice modelling
by Melvin Wong & Bilal Farooq
- 1912.10014 Optimal Dynamic Treatment Regimes and Partial Welfare Ordering
by Sukjin Han
- 1912.09964 Grouping of Contracts in Insurance using Neural Networks
by Mark Kiermayer & Christian Wei{ss}
- 1912.09814 How connected is too connected? Impact of network topology on systemic risk and collapse of complex economic systems
by Aymeric Vi'e & Alfredo J. Morales
- 1912.09764 An Artificial Intelligence approach to Shadow Rating
by Angela Rita Provenzano & Daniele Trifir`o & Nicola Jean & Giacomo Le Pera & Maurizio Spadaccino & Luca Massaron & Claudio Nordio
- 1912.09702 Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data
by Anastasios Evgenidis & Apostolos Fasianos
- 1912.09679 From Disequilibrium Markets to Equilibrium
by Christian Lax & Torsten Trimborn
- 1912.09573 Comparison of various risk measures for an optimal portfolio
by Alev Meral
- 1912.09569 Argentum: a collaborative saving and investment platform for unstable countries
by Leonardo Belen & Alejandro Baranek & Xavier Gonzalez
- 1912.09552 Robust Product-line Pricing under Generalized Extreme Value Models
by Tien Mai & Patrick Jaillet
- 1912.09524 Evolving ab initio trading strategies in heterogeneous environments
by David Rushing Dewhurst & Yi Li & Alexander Bogdan & Jasmine Geng
- 1912.09509 Temporal-Difference estimation of dynamic discrete choice models
by Karun Adusumilli & Dita Eckardt
- 1912.09273 Pay-As-You-Drive Insurance Pricing Model
by Safoora Zarei & Ali R. Fallahi
- 1912.09104 Causal Inference and Data Fusion in Econometrics
by Paul Hunermund & Elias Bareinboim
- 1912.09012 Inefficiencies in Digital Advertising Markets
by Brett R Gordon & Kinshuk Jerath & Zsolt Katona & Sridhar Narayanan & Jiwoong Shin & Kenneth C Wilbur
- 1912.09002 Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations
by Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes
- 1912.08916 Hybrid threats as an exogenous economic shock
by Shteryo Nozharov
- 1912.08863 Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky
- 1912.08791 Forecasting significant stock price changes using neural networks
by Firuz Kamalov
- 1912.08772 Assessing Inference Methods
by Bruno Ferman
- 1912.08726 Econometrics For Decision Making: Building Foundations Sketched By Haavelmo And Wald
by Charles F. Manski
- 1912.08713 Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
by Andrey Itkin & Fazlollah Soleymani
- 1912.08695 A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
by Zachary Feinstein & Andreas Sojmark
- 1912.07701 Exploring Multi-Banking Customer-to-Customer Relations in AML Context with Poincar\'e Embeddings
by Lucia Larise Stavarache & Donatas Narbutis & Toyotaro Suzumura & Ray Harishankar & Augustas v{Z}altauskas
- 1912.07700 A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing
by Sidra Mehtab & Jaydip Sen
- 1912.07601 Estimating a Behavioral New Keynesian Model
by Joaquim Andrade & Pedro Cordeiro & Guilherme Lambais
- 1912.07466 Estimation of Auction Models with Shape Restrictions
by Joris Pinkse & Karl Schurter
- 1912.07445 Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
by Eduardo Abi Jaber
- 1912.07346 Analysis of Regression Discontinuity Designs with Multiple Cutoffs or Multiple Scores
by Matias D. Cattaneo & Rocio Titiunik & Gonzalo Vazquez-Bare
- 1912.07165 Predicting intraday jumps in stock prices using liquidity measures and technical indicators
by Ao Kong & Hongliang Zhu & Robert Azencott
- 1912.07163 An Economical Business-Cycle Model
by Pascal Michaillat & Emmanuel Saez
- 1912.07120 Prediction Intervals for Synthetic Control Methods
by Matias D. Cattaneo & Yingjie Feng & Rocio Titiunik
- 1912.07115 EU Economic Modelling System
by Olga Ivanova & d'Artis Kancs & Mark Thissen
- 1912.06948 Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
by Svetlana Boyarchenko & Sergei Levendorskiu{i}
- 1912.06916 Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
by c{C}au{g}{i}n Ararat & Zachary Feinstein
- 1912.06909 The Crawler: Three Equivalence Results for Object (Re)allocation Problems when Preferences Are Single-peaked
by Yuki Tamura & Hadi Hosseini
- 1912.06831 Periodic attractor in the discrete time best-response dynamics of the Rock-Paper-Scissors game
by Jos'e Pedro Gaiv~ao & Telmo Peixe
- 1912.06809 Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
by Lynn Boen & Karel J. in 't Hout
- 1912.06709 Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
by Jan Posp'iv{s}il & Tom'av{s} Sobotka & Philipp Ziegler
- 1912.06558 The role of low temperature waste heat recovery in achieving 2050 goals: a policy positioning paper
by Edward Wheatcroft & Henry Wynn & Kristina Lygnerud & Giorgio Bonvicini
- 1912.06533 Solution of option pricing equations using orthogonal polynomial expansion
by Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il
- 1912.06426 Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
by Ying Chen & Ulrich Horst & Hoang Hai Tran
- 1912.06410 A mechanical and economical based framework to help decision-makers for natural hazards and malicious events impact on infrastructure prevention
by P-J. Tisserand & M. Ragueneau
- 1912.06346 Network Data
by Bryan S. Graham
- 1912.06320 Synthetic Control Inference for Staggered Adoption: Estimating the Dynamic Effects of Board Gender Diversity Policies
by Jianfei Cao & Shirley Lu
- 1912.06307 High-Dimensional Granger Causality Tests with an Application to VIX and News
by Andrii Babii & Eric Ghysels & Jonas Striaukas
- 1912.06236 Automatic Financial Feature Construction
by Jie Fang & Shutao Xia & Jianwu Lin & Yong Jiang
- 1912.06202 Optimal, Truthful, and Private Securities Lending
by Emily Diana & Michael Kearns & Seth Neel & Aaron Roth
- 1912.06193 Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
by Nick James & Max Menzies & Jennifer Chan
- 1912.06049 A Regularized Factor-augmented Vector Autoregressive Model
by Maurizio Daniele & Julie Schnaitmann
- 1912.06031 Some pricing tools for the Variance Gamma model
by Jean-Philippe Aguilar
- 1912.05961 Alternative Axioms in Group Identification Problems
by Federico Fioravanti & Fernando Tohm'e
- 1912.05917 On the uniqueness of solutions of stochastic Volterra equations
by Alexandre Pannier & Antoine Jacquier
- 1912.05844 A Bilateral River Bargaining Problem with Negative Externality
by Shivshanker Singh Patel & Parthasarathy Ramachandran
- 1912.05773 Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile
by Petteri Piiroinen & Lassi Roininen & Martin Simon
- 1912.05641 A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector
by Anna Denkowska & Stanis{l}aw Wanat
- 1912.05635 Assessment of Financial Potential as a Determinant of Enterprise Development
by Dmytro Zherlitsyn & Stanislav Levytskyi & Denys Mykhailyk & Victoriia Ogloblina
- 1912.05576 The Rise of Multiple Institutional Affiliations in Academia
by Hanna Hottenrott & Michael Rose & Cornelia Lawson
- 1912.05540 Fuzzy Group Identification Problems
by Federico Fioravanti & Fernando Tohm'e
- 1912.05484 Sub-sampling and other considerations for efficient risk estimation in large portfolios
by Michael B. Giles & Abdul-Lateef Haji-Ali
- 1912.05438 Closed form optimal exercise boundary of the American put option
by Yerkin Kitapbayev
- 1912.05383 On the difference between the volatility swap strike and the zero vanna implied volatility
by Elisa Alos & Frido Rolloos & Kenichiro Shiraya
- 1912.05273 Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches
by V. Sasidevan & Nils Bertschinger
- 1912.05228 Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
by Junjie Hu & Wolfgang Karl Hardle & Weiyu Kuo
- 1912.05164 Third-Degree Price Discrimination Versus Uniform Pricing
by Dirk Bergemann & Francisco Castro & Gabriel Weintraub
- 1912.05113 Spatial scale of agglomeration and dispersion: Number, spacing, and the spatial extent of cities
by Takashi Akamatsu & Tomoya Mori & Minoru Osawa & Yuki Takayama
- 1912.04941 Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
by Svitlana Vyetrenko & David Byrd & Nick Petosa & Mahmoud Mahfouz & Danial Dervovic & Manuela Veloso & Tucker Hybinette Balch
- 1912.04815 Equilibria and Systemic Risk in Saturated Networks
by Leonardo Massai & Giacomo Como & Fabio Fagnani
- 1912.04774 Voluntary Disclosure and Personalized Pricing
by S. Nageeb Ali & Greg Lewis & Shoshana Vasserman
- 1912.04661 Adaptive Dynamic Model Averaging with an Application to House Price Forecasting
by Alisa Yusupova & Nicos G. Pavlidis & Efthymios G. Pavlidis
- 1912.04652 Filtration shrinkage, the structure of deflators, and failure of market completeness
by Constantinos Kardaras & Johannes Ruf
- 1912.04565 Market Price of Trading Liquidity Risk and Market Depth
by Masaaki Kijima & Christopher Ting
- 1912.04492 151 Estrategias de Trading (151 Trading Strategies)
by Zura Kakushadze & Juan Andr'es Serur
- 1912.04308 Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes
by R'egis Houssou & J'er^ome Bovay & Stephan Robert
- 1912.04281 Willingness to Pay for Community-Based Health Insurance among Rural Households of Southwest Ethiopia
by Melaku Haile Likka & Shimeles Ololo Sinkie & Berhane Megerssa
- 1912.04274 DAY TRADE: across the statistics | DAY TRADE: do outro lado das estatisticas
by Roberto Ernani Porcher Junior
- 1912.04242 Adversarial recovery of agent rewards from latent spaces of the limit order book
by Jacobo Roa-Vicens & Yuanbo Wang & Virgile Mison & Yarin Gal & Ricardo Silva
- 1912.04221 Leakage of rank-dependent functionally generated trading strategies
by Kangjianan Xie
- 1912.04175 How much is optimal reinsurance degraded by error?
by Yinzhi Wang & Erik B{o}lviken
- 1912.04146 Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
by Jiahe Lin & George Michailidis
- 1912.04123 Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
by Jiahe Lin & George Michailidis
- 1912.04086 Optimal reinsurance for risk over surplus ratios
by Erik B{o}lviken & Yinzhi Wang
- 1912.04015 Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices
by Somayeh Kokabisaghi & Mohammadesmaeil Ezazi & Reza Tehrani & Nourmohammad Yaghoubi
- 1912.04012 To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders
by Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman
- 1912.04009 An empirical study of neural networks for trend detection in time series
by Alexandre Miot & Gilles Drigout
- 1912.03946 Understanding the dual formulation for the hedging of path-dependent options with price impact
by Bruno Bouchard & Xiaolu Tan
- 1912.03788 Energy Scenario Exploration with Modeling to Generate Alternatives (MGA)
by Joseph F. DeCarolis & Samaneh Babaee & Binghui Li & Suyash Kanungo
- 1912.03781 VAT tax gap prediction: a 2-steps Gradient Boosting approach
by Giovanna Tagliaferri & Daria Scacciatelli & Pierfrancesco Alaimo Di Loro
- 1912.03692 Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE
by Kihun Nam
- 1912.03651 Simplified stochastic calculus with applications in Economics and Finance
by Alev{s} v{C}ern'y & Johannes Ruf
- 1912.03607 Perfect bidder collusion through bribe and request
by Jingfeng Lu & Zongwei Lu & Christian Riis
- 1912.03556 A percolation model for the emergence of the Bitcoin Lightning Network
by Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo
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