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### 2014

**1411.0426 Risk measures with the CxLS property***by*Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel**1410.8671 Risk in a large claims insurance market with bipartite graph structure***by*Oliver Kley & Claudia Kluppelberg & Gesine Reinert**1410.8609 Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy***by*Xiaolin Luo & Pavel Shevchenko**1410.8595 A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations***by*Polynice Oyono Ngou & Cody Hyndman**1410.8504 The Model Confidence Set package for R***by*Mauro Bernardi & Leopoldo Catania**1410.8432 Cycling in stochastic general equilibrium***by*Zhijian Wang & Bin Xu**1410.8427 When does the stock market listen to economic news? New evidence from copulas and news wires***by*Ivan Medovikov**1410.8409 Optimal Allocation of Trend Following Strategies***by*Denis S. Grebenkov & Jeremy Serror**1410.8224 Efficient price dynamics in a limit order market: an utility indifference approach***by*Masaaki Fukasawa**1410.8160 Pricing and Hedging Long-Term Options***by*Hyungbin Park**1410.8042 Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending***by*Vladimir Dombrovskii & Tatyana Obedko**1410.7961 Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis***by*Hao-Che Chen**1410.7845 A new multivariate dependence measure based on comonotonicity***by*Ying Zhang & Chuancun Yin**1410.7799 Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window***by*Luca Onorante & Adrian E. Raftery**1410.7453 GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk***by*Cody B. Hyndman & Menachem Wenger**1410.7317 Continuous time analysis of fleeting discrete price moves***by*Neil Shephard & Justin J. Yang**1410.7316 Randomisation and recursion methods for mixed-exponential Levy models, with financial applications***by*Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte**1410.7206 Large-Maturity Regimes of the Heston Forward Smile***by*Antoine Jacquier & Patrick Roome**1410.6898 Are news important to predict large losses?***by*Mauro Bernardi & Leopoldo Catania & Lea Petrella**1410.6841 qGaussian model of default***by*Yuri A. Katz**1410.6646 Stock fluctuations are correlated and amplified across networks of interlocking directorates***by*Serguei Saavedra & Luis J. Gilarranz & Rudolf P. Rohr & Michael Schnabel & Brian Uzzi & Jordi Bascompte**1410.6408 Asset Pricing in an Imperfect World***by*Gianluca Cassese**1410.6321 Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates***by*Beata Stehlikova**1410.6150 Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process***by*Jingwei Liu & Jiwen Luo & Xing Chen**1410.6144 Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model***by*Dmitry Kramkov & Sergio Pulido**1410.6084 Is mathematics able to give insight into current questions in finance, economics and politics?***by*Larry Shepp & Michael Imerman**1410.6005 The non-linear trade-off between return and risk: a regime-switching multi-factor framework***by*John Cotter & Enrique Salvador**1410.5996 Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem***by*Vladimir V'yugin**1410.5955 Recombining binomial tree for constant elasticity of variance process***by*Hi Jun Choe & Jeong Ho Chu & So Jeong Shin**1410.5787 The Precautionary Principle (with Application to the Genetic Modification of Organisms)***by*Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam**1410.5621 Risk diversification: a study of persistence with a filtered correlation-network approach***by*Nicol\'o Musmeci & Tomaso Aste & Tiziana Di Matteo**1410.5513 4-Factor Model for Overnight Returns***by*Zura Kakushadze**1410.5466 Conditional Preference Orders and their Numerical Representations***by*Samuel Drapeau & Asgar Jamneshan**1410.5328 Portfolio Selection with Multiple Spectral Risk Constraints***by*Carlos Abad & Garud Iyengar**1410.5068 RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy***by*Andries Brandsma & d'Artis Kancs & Philippe Monfort & Alexandra Rillaers**1410.4962 Robust Fundamental Theorem for Continuous Processes***by*Sara Biagini & Bruno Bouchard & Constantinos Kardaras & Marcel Nutz**1410.4922 Assessing the Inequalities of Wealth in Regions: the Italian Case***by*Roy Cerqueti & Marcel Ausloos**1410.4866 A polynomial distribution applied to income and wealth distribution***by*Elvis Oltean & Fedor Kusmartsev**1410.4847 Impact of shadow banks on financial contagion***by*Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima**1410.4807 Banach geometry of arbitrage free markets***by*A. V. Lebedev & P. P. Zabreiko**1410.4694 Global Value Trees***by*Zhen Zhu & Michelangelo Puliga & Federica Cerina & Alessandro Chessa & Massimo Riccaboni**1410.4382 Verification of internal risk measure estimates***by*Mark H. A. Davis**1410.3865 A statistical physics analysis of expenditure in the UK***by*Elvis Oltean & Fedor Kusmartsev**1410.3860 An econophysical approach of polynomial distribution applied to income and expenditure***by*Elvis Oltean**1410.3851 An Econophysical dynamical approach of expenditure and income distribution in the UK***by*Elvis Oltean & Fedor Kusmartsev**1410.3811 Applications of statistical physics distributions to several types of income***by*Elvis Oltean & Fedor V. Kusmartsev**1410.3793 Optimal dividend payment under time of ruin contraint: Exponential case***by*Camilo Hernandez & Mauricio Junca**1410.3394 Volatility is rough***by*Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum**1410.3128 A study of Methods from Statistical Mechanics applied to income distribution***by*Elvis Oltean & Fedor Kusmartsev**1410.2976 Arbitrage theory without a num\'eraire***by*Michael R. Tehranchi**1410.2890 Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions***by*Tariq Ahmad Mir & Marcel Ausloos & Roy Cerqueti**1410.2570 Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks***by*Zhang Li & Xiaojun Lin & Borja Peleato-Inarrea & Ilya Pollak**1410.2550 Communication impacting financial markets***by*Jorgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam**1410.2549 Propagation of Systemic Risk in Interbank Networks***by*Vanessa Hoffmann de Quadros & Juan Carlos Gonz\'alez-Avella & Jos\'e Roberto Iglesias**1410.2282 Ross Recovery with Recurrent and Transient Processes***by*Hyungbin Park**1410.2121 Reconstructing topological properties of complex networks using the fitness model***by*Giulio Cimini & Tiziano Squartini & Nicol\`o Musmeci & Michelangelo Puliga & Andrea Gabrielli & Diego Garlaschelli & Stefano Battiston & Guido Caldarelli**1410.2034 An initial approach to Risk Management of Funding Costs***by*Damiano Brigo & Cyril Durand**1410.1664 Tug-of-war, market manipulation and option pricing***by*Kaj Nystr\"om & Mikko Parviainen**1410.1611 Path Integral and Asset Pricing***by*Zura Kakushadze**1410.1481 Optimal execution of ASR contracts with fixed notional***by*Olivier Gu\'eant**1410.1426 On volatility smile and an investment strategy with out-of-the-money calls***by*Jarno Talponen**1410.1287 Rationality parameter for exercising American put***by*K. Gad & J. L. Pedersen**1410.1220 Explicit solutions of quadratic FBSDEs arising from quadratic term structure models***by*Cody Hyndman & Xinghua Zhou**1410.1136 Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control***by*Vladimir Dombrovskii & Tatyana Obyedko**1410.1101 Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models***by*Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko**1410.0991 Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes***by*Wanyang Dai**1410.0946 An expansion in the model space in the context of utility maximization***by*Kasper Larsen & Oleksii Mostovyi & Gordan \v{Z}itkovi\'c**1410.0915 Stability of Utility Maximization in Nonequivalent Markets***by*Kim Weston**1410.0852 A General Duality Relation with Applications in Quantitative Risk Management***by*Raphael Hauser & Sergey Shahverdyan & Paul Embrechts**1410.0673 Fair bilateral prices in Bergman's model***by*Tianyang Nie & Marek Rutkowski**1410.0594 Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA***by*Giovanni Mottola**1410.0448 Fair and profitable bilateral prices under funding costs and collateralization***by*Tianyang Nie & Marek Rutkowski**1410.0384 Indifference pricing for Contingent Claims: Large Deviations Effects***by*Scott Robertson & Konstantinos Spiliopoulos**1410.0249 On the convergence of the Fitness-Complexity Algorithm***by*Emanuele Pugliese & Andrea Zaccaria & Luciano Pietronero**1410.0125 Systemic Interbank Network Risks in Russia***by*A. V. Leonidov & E. L. Rumyantsev**1410.0112 The Fourier estimation method with positive semi-definite estimators***by*Jir\^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Yukie Yasuda**1410.0104 Classical mechanics of economic networks***by*Nima Dehmamy & Sergey V. Buldyrev & Shlomo Havlin & H. Eugene Stanley & Irena Vodenska**1409.8609 Time Evolution of Non-linear Currency Networks***by*Pawe{\l} Fiedor & Artur Ho{\l}da**1409.8528 Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach***by*S. Hokamp & G. Seibold**1409.8497 Apparent impact: the hidden cost of one-shot trades***by*Iacopo Mastromatteo**1409.8321 Sudden Trust Collapse in Networked Societies***by*Jo\~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet**1409.8269 Fact Sheet Research on Bayesian Decision Theory***by*H. R. N. van Erp & R. O. Linger & P. H. A. J. M. van Gelder**1409.8150 Near-optimal estimation of jump activity in semimartingales***by*Adam D. Bull**1409.8119 Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans***by*Darko Sarvan & Djordje Stratimirovic & Suzana Blesic & Vladimir Miljkovic**1409.8037 Multi-asset consumption-investment problems with infinite transaction costs***by*David Hobson & Yeqi Zhu**1409.8030 Socio-economic inequalities: a statistical physics perspective***by*Arnab Chatterjee**1409.8024 Herding interactions as an opportunity to prevent extreme events in financial markets***by*Aleksejus Kononovicius & Vygintas Gontis**1409.7960 An $\alpha$-stable limit theorem under sublinear expectation***by*Erhan Bayraktar & Alexander Munk**1409.7933 Parametric Risk Parity***by*Lorenzo Mercuri & Edit Rroji**1409.7802 Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions***by*Baojun Bian & Harry Zheng**1409.7720 Risk Premia: Asymmetric Tail Risks and Excess Returns***by*Y. Lemp\'eri\`ere & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud**1409.7512 The evolution of wealth transmission in human populations: a stochastic model***by*G. Augustins & L. Etienne & J-B. Ferdy & R. Ferrer & B. Godelle & E. Pitard & F. Rousset**1409.7269 High-Resilience Limits of Block-Shaped Order Books***by*Jan Kallsen & Johannes Muhle-Karbe**1409.7028 A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time***by*Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera**1409.7002 Entropy and Optimization of Portfolios***by*Krzysztof Urbanowicz**1409.6940 Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty***by*Patrick Beissner & Frank Riedel**1409.6857 Finite sample properties of power-law cross-correlations estimators***by*Ladislav Kristoufek**1409.6773 On a Stopping Game in continuous time***by*Erhan Bayraktar & Zhou Zhou**1409.6649 A GDP-driven model for the binary and weighted structure of the International Trade Network***by*Assaf Almog & Tiziano Squartini & Diego Garlaschelli**1409.6646 The Immediate Exchange model: an analytical investigation***by*Guy Katriel**1409.6645 Calculation of a power price equilibrium***by*Miha Troha & Raphael Hauser**1409.6444 On the interplay between short and long term memory in the power-law cross-correlations setting***by*Ladislav Kristoufek**1409.6443 Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags***by*Paul Gaskell & Frank McGroarty & Thanassis Tiropanis**1409.6257 Optimal models of extreme volume-prices are time-dependent***by*Paulo Rocha & Frank Raischel & Jo\~ao Pedro Boto & Pedro G. Lind**1409.6193 Estimating topological properties of weighted networks from limited information***by*Giulio Cimini & Tiziano Squartini & Andrea Gabrielli & Diego Garlaschelli**1409.6093 Funding Value Adjustment and Incomplete Markets***by*Lorenzo Cornalba**1409.6042 Option pricing in constant elasticity of variance model with liquidity costs***by*Krzysztof Turek**1409.6027 Distance to the line in the Heston model***by*Archil Gulisashvili**1409.5963 International trade network: fractal properties and globalization puzzle***by*Mariusz Karpiarz & Piotr Fronczak & Agata Fronczak**1409.5936 Bounds on Portfolio Quality***by*Steven E. Pav**1409.5801 Pricing and hedging of energy spread options and volatility modulated Volterra processes***by*Fred Espen Benth & Hanna Zdanowicz**1409.5321 Empirical Study of the 1-2-3 Trend Indicator***by*Yasemin Hafizogullari & Stanislaus Maier-Paape & Andreas Platen**1409.5142 The $\alpha$-Hypergeometric Stochastic Volatility Model***by*Jos\'e Da Fonseca & Claude Martini**1409.4896 Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul***by*Matteo Formenti**1409.4894 The Credibility Theory applied to backtesting Counterparty Credit Risk***by*Matteo Formenti**1409.4890 Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence***by*Matteo Formenti**1409.4857 A simple dynamical model leading to Pareto wealth distribution and stability***by*Ricardo P\'erez-Marco**1409.4541 Visualising stock flow consistent models as directed acyclic graphs***by*Peter G. Fennell & David O'Sullivan & Antoine Godin & Stephen Kinsella**1409.4387 Indicators of availability of non-market relations in the sphere of labor market in Ukraine***by*Valery Tabakov**1409.3979 Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient***by*Yong Tao & Xiangjun Wu & Changshuai Li**1409.3969 Portfolio Selection with Mandatory Bequest***by*Jiacheng Feng**1409.3837 Instability and network effects in innovative markets***by*Paolo Sgrignoli & Elena Agliari & Raffaella Burioni & Augusto Schianchi**1409.3799 The World Trade Web: A Multiple-Network Perspective***by*Paolo Sgrignoli**1409.3738 Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks***by*Benjamin Vandermarliere & Alexei Karas & Jan Ryckebusch & Koen Schoors**1409.3394 Optimal consumption and sale strategies for a risk averse agent***by*David Hobson & Yeqi Zhu**1409.3296 Endogenous crisis waves: a stochastic model with synchronized collective behavior***by*Stanislao Gualdi & Jean-Philippe Bouchaud & Giulia Cencetti & Marco Tarzia & Francesco Zamponi**1409.2760 Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values***by*Inga Ivanova & Oivind Strand & Loet Leydesdorff**1409.2661 The effect of the number of states on the validity of credit ratings***by*P. Lencastre & F. Raischel & P. G. Lind**1409.2625 Contagion in an interacting economy***by*Pierre Paga & Reimer K\"uhn**1409.2618 Optimal Execution with Dynamic Order Flow Imbalance***by*Kyle Bechler & Mike Ludkovski**1409.2575 Custom v. Standardized Risk Models***by*Zura Kakushadze & Jim Kyung-Soo Liew**1409.2226 Optimal double stopping of a Brownian bridge***by*Erik J. Baurdoux & Nan Chen & Budhi A. Surya & Kazutoshi Yamazaki**1409.2214 Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis***by*Nien-Lin Liu & Hoang-Long Ngo**1409.2023 Optimal investment with bounded above utilities in discrete time markets***by*Miklos Rasonyi**1409.1956 A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities***by*Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst**1409.1858 Affine Processes***by*Eberhard Mayerhofer**1409.1830 Discrete Time Term Structure Theory and Consistent Recalibration Models***by*Anja Richter & Josef Teichmann**1409.1786 Zero-determinant strategies in iterated multi-strategy games***by*Jin-Li Guo**1409.1748 A spring-block analogy for the dynamics of stock indexes***by*Bulcsu Sandor & Zoltan Neda**1409.1620 Orthogonal Polynomials for Seminonparametric Instrumental Variables Model***by*Yevgeniy Kovchegov & Nese Yildiz**1409.1451 Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective***by*Gareth W. Peters & Ariane Chapelle & Efstathios Panayi**1409.1442 On the design of sell-side limit and market order tactics***by*Vladimir Markov**1409.1441 Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands***by*Vladimir Markov & Slava Mazur & David Saltz**1409.1393 On Correlated Defaults and Incomplete Information***by*Wai-Ki Ching & Jia-Wen Gu & Harry Zheng**1409.1175 Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models***by*Pablo Olivares & Matthew Cane**1409.1071 Default contagion risks in Russian interbank market***by*A. V. Leonidov & E. L. Rumyantsev**1409.0789 Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo***by*Rosario N. Mantegna**1409.0697 A lattice framework for pricing display advertisement options with the stochastic volatility underlying model***by*Bowei Chen & Jun Wang**1409.0665 Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs***by*Maria B. Chiarolla & Giorgio Ferrari & Gabriele Stabile**1409.0636 Manipulating decision making of typical agents***by*V. I. Yukalov & D. Sornette**1409.0407 Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs***by*Chuancun Yin & Kam Chuen Yuen**1409.0118 Analysis of Spin Financial Market by GARCH Model***by*Tetsuya Takaishi**1409.0003 What You Should Know About Megaprojects, and Why: An Overview***by*Bent Flyvbjerg**1409.0002 Should we build more large dams? The actual costs of hydropower megaproject development***by*Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn**1408.7010 Long Term Optimal Investment in Matrix Valued Factor Models***by*Scott Robertson & Hao Xing**1408.6973 How structurally stable are global socioeconomic systems?***by*Serguei Saavedra & Rudolf P. Rohr & Luis J. Gilarranz & Jordi Bascompte**1408.6938 Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation***by*Xiaolin Luo & Pavel V. Shevchenko**1408.6799 Stochastic Perron for stochastic target games***by*Erhan Bayraktar & Jiaqi Li**1408.6673 Hedging Conditional Value at Risk with Options***by*Maciej J. Capi\'nski**1408.6639 Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?***by*Jaroslav Pavlicek & Ladislav Kristoufek**1408.6637 Spectrum-based estimators of the bivariate Hurst exponent***by*Ladislav Kristoufek**1408.6513 Efficient solution of structural default models with correlated jumps and mutual obligations***by*Andrey Itkin & Alexander Lipton**1408.6455 Long time asymptotics for optimal investment***by*Huyen Pham**1408.6279 A Noisy Principal Component Analysis for Forward Rate Curves***by*Marcio Laurini & Alberto Ohashi**1408.6255 Intra-day variability of the stock market activity versus stationarity of the financial time series***by*T. Gubiec & M. Wili\'nski**1408.6122 Game theory analysis for carbon auction market through electricity market coupling***by*Mireille Bossy & Nadia Maizi & Odile Pourtallier**1408.6118 VWAP Execution as an Optimal Strategy***by*Takashi Kato**1408.6070 Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation***by*Xiangyu Cui & Xun Li & Duan Li & Yun Shi**1408.6065 Shadow prices for continuous processes***by*Christoph Czichowsky & Walter Schachermayer & Junjian Yang**1408.6043 A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization***by*Giovanni Fasano**1408.5989 Duality Theory for Portfolio Optimisation under Transaction Costs***by*Christoph Czichowsky & Walter Schachermayer**1408.5951 Fragility of the Commons under Prospect-Theoretic Risk Attitudes***by*Ashish R. Hota & Siddharth Garg & Shreyas Sundaram**1408.5677 Asymptotic replication with modified volatility under small transaction costs***by*Jiatu Cai & Masaaki Fukasawa**1408.5673 Approximating the zero-coupon bond price in a general one-factor model with constant coefficients***by*Beata Stehlikova**1408.5618 Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies***by*Hao Meng & Wei-Xing Zhou & Didier Sornette**1408.5585 Hierarchical causality in financial economics***by*Diane Wilcox & Tim Gebbie**1408.5526 High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods***by*Linlin Xu & Giray \"Okten**1408.5510 Consistent Price Systems under Model Uncertainty***by*Bruno Bouchard & Marcel Nutz**1408.5266 The optimal hedging in a semi-Markov modulated market***by*Anindya Goswami & Jeeten Patel & Poorva Sevgaonkar**1408.4848 Quantile Hedging in a Semi-Static Market with Model Uncertainty***by*Erhan Bayraktar & Gu Wang**1408.4746 Recurrence plots of exchange rates of currencies***by*Amelia Carolina Sparavigna**1408.4618 Diversification and Endogenous Financial Networks***by*Jean-Cyprien H\'eam & Erwan Koch**1408.3774 Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs***by*Yan Dolinsky & Yuri Kifer**1408.3728 Maximum Entropy Production Principle for Stock Returns***by*Pawe{\l} Fiedor**1408.3692 On Zero-sum Optimal Stopping Games***by*Erhan Bayraktar & Zhou Zhou**1408.3650 The Random Walk of High Frequency Trading***by*Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin**1408.3387 Elliptical Tempered Stable Distribution and Fractional Calculus***by*Hassan A. Fallahgoul & Young S. Kim**1408.3086 Downturn LGD: A More Conservative Approach for Economic Decline Periods***by*Mauro R. Oliveira & Armando Chinelatto Neto**1408.2985 Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment***by*Tom\'a\v{s} V\'yrost & \v{S}tefan Ly\'ocsa & Eduard Baum\"ohl**1408.2859 Realization Utility with Reference-Dependent Preferences***by*Jonathan E. Ingersoll Jr. & Lawrence J. Jin**1408.2805 Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method***by*Georg Hofmann**1408.2794 Sector-Based Factor Models for Asset Returns***by*Angela Gu & Patrick Zeng**1408.2462 Value-at-Risk time scaling for long-term risk estimation***by*Luca Spadafora & Marco Dubrovich & Marcello Terraneo**1408.2324 Agent based models for wealth distribution with preference in interaction***by*Sanchari Goswami & Parongama Sen**1408.2217 Mean-Reversion and Optimization***by*Zura Kakushadze**1408.2138 How the Taxonomy of Products Drives the Economic Development of Countries***by*Andrea Zaccaria & Matthieu Cristelli & Andrea Tacchella & Luciano Pietronero**1408.1728 Dynamics in two networks based on stocks of the US stock market***by*Leonidas Sandoval Junior**1408.1671 Structural social capital and health in Italy***by*Damiano Fiorillo & Fabio Sabatini**1408.1494 The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy***by*David Garcia & Claudio Juan Tessone & Pavlin Mavrodiev & Nicolas Perony**1408.1382 Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments***by*Xiang Yu