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### 2013

**1309.3479 Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach***by*Jan Kallsen & Shen Li**1309.3399 Grand canonical minority game as a sign predictor***by*Karol Wawrzyniak & Wojciech Wi\'slicki**1309.3102 A nested factor model for non-linear dependences in stock returns***by*R\'emy Chicheportiche & Jean-Philippe Bouchaud**1309.3057 Tail behavior of sums and differences of log-normal random variables***by*Archil Gulisashvili & Peter Tankov**1309.3035 Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform***by*D. J. Manuge**1309.2982 On hedging American options under model uncertainty***by*Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou**1309.2970 Stability analysis of a model for the market dynamics of a smart grid***by*F. Sorrentino & D. Tolic & R. Fierro & J. R. Gordon & A. Mammoli**1309.2728 A note on the Fundamental Theorem of Asset Pricing under model uncertainty***by*Erhan Bayraktar & Yuchong Zhang & Zhou Zhou**1309.2416 Modeling of Stock Returns and Trading Volume***by*Taisei Kaizoji**1309.2411 Dependency Structure and Scaling Properties of Financial Time Series Are Related***by*Raffaello Morales & T. Di Matteo & Tomaso Aste**1309.2383 On lower and upper bounds for Asian-type options: a unified approach***by*Alexander Novikov & Nino Kordzakhia**1309.2274 The Entropy Law and the impossibility of perpetual economic growth***by*Henrique N. S\'a Earp & Ademar R. Romeiro**1309.2211 L\'evy-FBSDE approach to option pricing***by*Evelina Shamarova & Rui S\'a Pereira**1309.2130 The Interrupted Power Law and The Size of Shadow Banking***by*Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati**1309.1988 A Systematic Approach to Constructing Market Models With Arbitrage***by*Johannes Ruf & Wolfgang Runggaldier**1309.1953 Econophysics: Comments on a few Applications, Successes, Methods, & Models***by*Marcel Ausloos**1309.1871 Statistical inference of co-movements of stocks during a financial crisis***by*Takero Ibuki & Shunsuke Higano & Sei Suzuki & Jun-ichi Inoue & Anirban Chakraborti**1309.1844 Investment under uncertainty, competition and regulation***by*Adrien Nguyen Huu**1309.1757 Inflation, unemployment, and labor force. Phillips curves and long-term projections for Japan***by*Ivan Kitov & Oleg Kitov**1309.1647 Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model)***by*Hyong-Chol O & Song-Yon Kim & Dong-Hyok Kim & Chol-Hyok Pak**1309.1492 Commodity futures and market efficiency***by*Ladislav Kristoufek & Miloslav Vosvrda**1309.1420 Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty***by*Erhan Bayraktar & Yuchong Zhang**1309.1138 Short-term Market Reaction after Trading Halts in Chinese Stock Market***by*Hai-Chuan Xu & Wei Zhang & Yi-Fang Liu**1309.0602 Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates***by*Aki-Hiro Sato & Hideki Takayasu**1309.0582 Long-term memory in electricity prices: Czech market evidence***by*Ladislav Kristoufek & Petra Lunackova**1309.0557 Exact Simulation of Wishart Multidimensional Stochastic Volatility Model***by*Chulmin Kang & Wanmo Kang**1309.0491 Contagion among Central and Eastern European stock markets during the financial crisis***by*Jozef Barunik & Lukas Vacha**1309.0474 Smooth solutions to portfolio liquidation problems under price-sensitive market impact***by*Paulwin Graewe & Ulrich Horst & Eric S\'er\'e**1309.0461 A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions***by*Paulwin Graewe & Ulrich Horst & Jinniao Qiu**1309.0362 Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains***by*Mikl\'os R\'asonyi & Andrea Meireles Rodrigues**1309.0348 Development Towards Sustainability: How to judge past and proposed policies?***by*Michael Dittmar**1309.0260 Learning from the past, predicting the statistics for the future, learning an evolving system***by*Daniel Levin & Terry Lyons & Hao Ni**1309.0218 Exponential and power laws in public procurement markets***by*Ladislav Kristoufek & Jiri Skuhrovec**1309.0110 ADI schemes for pricing American options under the Heston model***by*Tinne Haentjens & Karel in 't Hout**1309.0046 On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes***by*Xiaoshan Chen & Yu-Jui Huang & Qingshuo Song & Chao Zhu**1308.6759 Prospect Agents and the Feedback Effect on Price Fluctuations***by*Yipeng Yang & Allanus Tsoi**1308.6756 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data***by*Vladimir Filimonov & Didier Sornette**1308.6465 Optimal Payoffs under State-dependent Preferences***by*Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel**1308.6387 Efficient hedging in general Black-Scholes model***by*Kyong-Hui Kim & Myong-Guk Sin**1308.6256 G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty***by*Wei Chen**1308.6148 Detrended Cross-Correlation Analysis Consistently Extended to Multifractality***by*Pawe{\l} O\'swi\c{e}cimka & Stanis{\l}aw Dro\.zd\.z & Marcin Forczek & Stanis{\l}aw Jadach & Jaros{\l}aw Kwapie\'n**1308.6120 Can we still benefit from international diversification? The case of the Czech and German stock markets***by*Krenar Avdulaj & Jozef Barunik**1308.5836 Semiparametric stochastic volatility modelling using penalized splines***by*Roland Langrock & Th\'eo Michelot & Alexander Sohn & Thomas Kneib**1308.5658 Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model***by*D. S. Grebenkov & J. Serror**1308.5376 Energy, entropy, and arbitrage***by*Soumik Pal & Ting-Kam Leonard Wong**1308.5152 Computation of ruin probabilities for general discrete-time Markov models***by*Ilya Tkachev & Alessandro Abate**1308.5064 Analytical models of operational risk and new results on the correlation problem***by*Vivien Brunel**1308.5019 A Taylor series approach to pricing and implied vol for LSV models***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1308.4363 Optimal robust bounds for variance options***by*Alexander M. G. Cox & Jiajie Wang**1308.4276 Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility***by*Filip Zikes & Jozef Barunik**1308.3966 Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison***by*Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn**1308.3961 Portfolio return distributions: Sample statistics with non-stationary correlations***by*Desislava Chetalova & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr**1308.3892 Do the rich get richer? An empirical analysis of the BitCoin transaction network***by*D\'aniel Kondor & M\'arton P\'osfai & Istv\'an Csabai & G\'abor Vattay**1308.3668 Kinetic properties in inhomogeneous self-aware media***by*A. Morozovskiy & A. A. Snarskii & I. V. Bezsudnov & V. A. Sevryukov & J. Malinsky**1308.3378 A pricing measure to explain the risk premium in power markets***by*Fred Espen Benth & Salvador Ortiz-Latorre**1308.3331 Measuring risk with multiple eligible assets***by*Walter Farkas & Pablo Koch-Medina & Cosimo Munari**1308.2957 Over-the-counter market models with several assets***by*Alain B\'elanger & Gaston Giroux & Miguel Moisan-Poisson**1308.2836 Regressions with Berkson errors in covariates - A nonparametric approach***by*Susanne M. Schennach**1308.2732 A relative information approach to financial time series analysis using binary $N$-grams dictionaries***by*Igor Borovikov & Michael Sadovsky**1308.2688 American options with gradual exercise under proportional transaction costs***by*Alet Roux & Tomasz Zastawniak**1308.2608 On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix***by*Taras Bodnar & Arjun K. Gupta & Nestor Parolya**1308.2572 Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs***by*A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway**1308.2326 Local Variance Gamma and Explicit Calibration to Option Prices***by*Peter Carr & Sergey Nadtochiy**1308.2324 Optimal Dynamic Portfolio with Mean-CVaR Criterion***by*Jing Li & Mingxin Xu**1308.2254 Optimal investment for all time horizons and Martin boundary of space-time diffusions***by*Sergey Nadtochiy & Michael Tehranchi**1308.2250 Weak reflection principle for L\'evy processes***by*Erhan Bayraktar & Sergey Nadtochiy**1308.2191 Econophysics Research in India in the last two Decades***by*Asim Ghosh**1308.2172 Mean Field Games and Systemic Risk***by*Rene Carmona & Jean-Pierre Fouque & Li-Hsien Sun**1308.1749 Fractality of profit landscapes and validation of time series models for stock prices***by*Il Gu Yi & Gabjin Oh & Beom Jun Kim**1308.1704 A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility***by*Dorival Le\~ao & Alberto Ohashi & Vinicius Siqueira**1308.1616 Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets***by*Varsha S. Kulkarni**1308.1492 Admissible Trading Strategies under Transaction Costs***by*Walter Schachermayer**1308.1321 Asset Allocation under the Basel Accord Risk Measures***by*Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai**1308.1221 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1308.1154 Dynamic evolution of cross-correlations in the Chinese stock market***by*Fei Ren & Wei-Xing Zhou**1308.0958 The Skin In The Game Heuristic for Protection Against Tail Events***by*Nassim N. Taleb & Constantine Sandis**1308.0931 Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix***by*Taras Bodnar & Arjun K. Gupta & Nestor Parolya**1308.0925 Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant***by*Ming-Xia Li & Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Wei-Xing Zhou**1308.0889 The Financing of Innovative SMEs: a multicriteria credit rating model***by*Silvia Angilella & Sebastiano Mazz\`u**1308.0773 Network versus portfolio structure in financial systems***by*Teruyoshi Kobayashi**1308.0669 Time-reversal asymmetry in financial systems***by*X. F. Jiang & T. T. Chen & B. Zheng**1308.0665 Efficient valuation method for the SABR model***by*Hyukjae Park**1308.0652 Efficient immunization strategies to prevent financial contagion***by*Teruyoshi Kobayashi & Kohei Hasui**1308.0526 Detecting spatial homogeneity in the world trade web with Detrended Fluctuation Analysis***by*Riccardo Chiarucci & Franco Ruzzenenti & Maria I. Loffredo**1308.0210 Gold, Oil, and Stocks***by*Jozef Barunik & Evzen Kocenda & Lukas Vacha**1307.8308 Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)***by*Y. Shi & A. N. Gorban & T. Y. Yang**1307.8261 Liability-driven investment in longevity risk management***by*Helena Aro & Teemu Pennanen**1307.8020 Systematic and non-systematic mortality risk in pension portfolios***by*Helena Aro**1307.7244 Extracting information from the signature of a financial data stream***by*Lajos Gergely Gyurk\'o & Terry Lyons & Mark Kontkowski & Jonathan Field**1307.7178 A hybrid tree-finite difference approach for the Heston model***by*Maya Briani & Lucia Caramellino & Antonino Zanette**1307.7070 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit***by*Runhuan Feng & Hans W. Volkmer**1307.6974 Network Topologies of Financial Market During the Global Financial Crisis***by*Ashadun Nobi & Seong Eun Maeng & Gyeong Gyun Ha & Jae Woo Lee**1307.6727 Quantum Tunneling of Stock Price in Range Bound Market Conditions***by*Ovidiu Racorean**1307.6695 Where Do Thin Tails Come From?***by*Nassim Nicholas Taleb**1307.6486 CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions***by*Cyril Durand & Marek Rutkowski**1307.6332 Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes***by*Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart**1307.6322 Option pricing with non-Gaussian scaling and infinite-state switching volatility***by*Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo**1307.6046 Mixed-correlated ARFIMA processes for power-law cross-correlations***by*Ladislav Kristoufek**1307.6036 A Benchmark Approach to Risk-Minimization under Partial Information***by*Claudia Ceci & Katia Colaneri & Alessandra Cretarola**1307.6020 When terminal facelift enforces Delta constraints***by*Jean-Fran\c{c}ois Chassagneux & Romuald Elie & Idris Kharroubi**1307.5981 Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data***by*Krenar Avdulaj & Jozef Barunik**1307.5975 Correct usage of transmission coefficient for timing the market***by*Ovidiu Racorean**1307.5881 A Remark on the Structure of Expectiles***by*Freddy Delbaen**1307.5617 Quantitative Comparative Statics for a Multimarket Paradox***by*Tobias Harks & Philipp von Falkenhausen**1307.5602 Uncertainty and absence of arbitrage opportunity***by*Yaroslav Ivanenko & Illya Pasichnichenko**1307.5540 On the Pricing of Storable Commodities***by*Dorje C. Brody & Lane P. Hughston & Xun Yang**1307.5440 Tick Size Reduction and Price Clustering in a FX Order Book***by*Mehdi Lallouache & Fr\'ed\'eric Abergel**1307.5336 Good Debt or Bad Debt: Detecting Semantic Orientations in Economic Texts***by*Pekka Malo & Ankur Sinha & Pyry Takala & Pekka Korhonen & Jyrki Wallenius**1307.5319 Tipping points in macroeconomic Agent-Based models***by*Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud**1307.5268 South African Riots: Repercussion of the Global Food Crisis and US Drought***by*Yavni Bar-Yam & Marco Lagi & Yaneer Bar-Yam**1307.5163 Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures***by*Gordan Zitkovic**1307.5122 Relativistic Black-Scholes model***by*Maciej Trzetrzelewski**1307.4821 Power-law exponent of the Bouchaud-M\'ezard model on regular random network***by*Takashi Ichinomiya**1307.4813 On utility maximization with derivatives under model uncertainty***by*Erhan Bayraktar & Zhou Zhou**1307.4727 Testing power-law cross-correlations: Rescaled covariance test***by*Ladislav Kristoufek**1307.4643 Predicting financial markets with Google Trends and not so random keywords***by*Damien Challet & Ahmed Bel Hadj Ayed**1307.4591 Utility indifference valuation for non-smooth payoffs with an application to power derivatives***by*Giuseppe Benedetti & Luciano Campi**1307.3672 Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem***by*Sona Kilianova & Daniel Sevcovic**1307.3597 Utility Maximization under Model Uncertainty in Discrete Time***by*Marcel Nutz**1307.3060 Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy***by*Ladislav Kristoufek & Miloslav Vosvrda**1307.2849 Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach***by*Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg**1307.2824 Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693***by*Moshe A. Milevsky & Thomas S. Salisbury**1307.2562 Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders***by*Cody B. Hyndman & Menachem Wenger**1307.2493 On model-independent pricing/hedging using shortfall risk and quantiles***by*Erhan Bayraktar & Zhou Zhou**1307.2465 Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012***by*Stefano Olgiati & Alessandro Danovi**1307.2436 Strict Local Martingales with Jumps***by*Philip Protter**1307.2278 Collective Philanthropy: Describing and Modeling the Ecology of Giving***by*William L. Gottesman & Andrew James Reagan & Peter Sheridan Dodds**1307.2218 Importance sampling for jump processes and applications to finance***by*Laetitia Badouraly Kassim & J\'er\^ome Lelong & Imane Loumrhari**1307.2181 Geographical Variation in Project Cost Performance: The Netherlands versus Worldwide***by*Chantal C. Cantarelli & Bent Flyvbjerg & S{\o}ren L. Buhl**1307.2180 Explaining Cost Overruns of Large-Scale Transportation Infrastructure Projects using a Signalling Game***by*Chantal C. Cantarelli & Caspar G. Chorus & Scott W. Cunningham**1307.2179 Different Cost Performance: Different Determinants? The Case of Cost Overruns in Dutch Transportation Infrastructure Projects***by*Chantal C. Cantarelli & Bert van Wee & Eric J. E. Molin & Bent Flyvbjerg**1307.2178 Characteristics of Cost Overruns for Dutch Transport Infrastructure Projects and the Importance of the Decision to Build and Project Phases***by*Chantal C. Cantarelli & Eric J. E. Molin & Bert van Wee & Bent Flyvbjerg**1307.2177 Lock-in and Its Influence on the Project Performance of Large-Scale Transportation Infrastructure Projects. Investigating the Way in Which Lock-in Can Emerge and Affect Cost Overruns***by*Chantal C. Cantarelli & Bent Flybjerg & Bert van Wee & Eric J. E. Molin**1307.2176 Cost overruns in Large-Scale Transportation Infrastructure Projects: Explanations and Their Theoretical Embeddedness***by*Chantal C. Cantarelli & Bent Flybjerg & Eric J. E. Molin & Bert van Wee**1307.2169 Random Market Models with an H-Theorem***by*Ricardo Lopez-Ruiz & Elyas Shivanian & Jose-Luis Lopez**1307.2048 Modeling record-breaking stock prices***by*Gregor Wergen**1307.2014 On the multifractal effects generated by monofractal signals***by*Dariusz Grech & Grzegorz Pamu{\l}a**1307.1685 Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria***by*Pierre Degond & Jian-Guo Liu & Christian Ringhofer**1307.1501 Heavy tailed time series with extremal independence***by*Rafal Kulik & Philippe Soulier**1307.1320 Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem***by*M. Basei & A. Cesaroni & T. Vargiolu**1307.0872 Maximization of recursive utilities under convex portfolio constraints***by*Anis Matoussi & Hanen Mezghani & Mohamed Mnif**1307.0817 A statistical equilibrium representation of markets as complex networks***by*Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu**1307.0785 Explicit Description of HARA Forward Utilities and Their Optimal Portfolios***by*Tahir Choulli & Junfeng Ma**1307.0684 Assessing Financial Model Risk***by*Pauline Barrieu & Giacomo Scandolo**1307.0450 Portfolio Optimization in R***by*M. Andrecut**1307.0444 Revisiting the Merit-Order Effect of Renewable Energy Sources***by*Marcus Hildmann & Andreas Ulbig & G\"oran Andersson**1307.0190 D-Brane solutions under market panic***by*R. Pincak**1307.0114 Risk Without Return***by*Lisa R. Goldberg & Ola Mahmoud**1306.6715 The Meaning of Probability of Default for Asset-backed Loans***by*David Chisholm & Graham Andersen**1306.6588 Moderate deviations for importance sampling estimators of risk measures***by*Pierre Nyquist**1306.6583 A note on Keen's model: The limits of Schumpeter's "Creative Destruction"***by*Glenn Ierley**1306.6402 On Modeling Economic Default Time: A Reduced-Form Model Approach***by*Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng**1306.6267 Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity***by*Stefan Tappe & Thorsten Schmidt**1306.5705 Computational Dynamic Market Risk Measures in Discrete Time Setting***by*Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie**1306.5510 Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation***by*Beno\^it Collins & David McDonald & Nadia Saad**1306.5447 Explicit implied volatilities for multifactor local-stochastic volatility models***by*Matthew Lorig & Stefano Pagliarani & Andrea Pascucci**1306.5302 Factorising equity returns in an emerging market through exogenous shocks and capital flows***by*Diane Wilcox & Tim Gebbie**1306.5198 Dynamic Assessment Indices***by*Tomasz R. Bielecki & Igor Cialenco & Samuel Drapeau & Martin Karliczek**1306.5145 Social Discounting and the Long Rate of Interest***by*Dorje C. Brody & Lane P. Hughston**1306.5082 Non-Equivalent Beliefs and Subjective Equilibrium Bubbles***by*Martin Larsson**1306.4994 Additive versus multiplicative parameters - applications in economics and finance***by*Helena Jasiulewicz & Wojciech Kordecki**1306.4975 A Stochastic Feedback Model for Volatility***by*Raoul Golan & Austin Gerig**1306.4958 Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model***by*M. Hossein Partovi**1306.4769 Evolution of correlation structure of industrial indices of US equity markets***by*Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna**1306.4733 Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1***by*Tomasz R. Bielecki & Marek Rutkowski**1306.4619 On the time spent in the red by a refracted L\'evy risk process***by*Jean-Fran\c{c}ois Renaud**1306.4070 Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty***by*Wei Chen**1306.3923 Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots***by*Albert Ferreiro-Castilla & Kees van Schaik**1306.3856 From Text to Bank Interrelation Maps***by*Samuel R\"onnqvist & Peter Sarlin**1306.3704 How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network***by*Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore**1306.3554 Thermodynamics of long-run economic innovation and growth***by*Timothy J. Garrett**1306.3531 The convergence of regional house prices in the USA in the context of the stress testing of financial institutions***by*Argyn Kuketayev**1306.3479 Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions***by*Helena Jasiulewicz & Wojciech Kordecki**1306.3437 A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization***by*Sanjay Mehrotra & David Papp**1306.3422 Spontaneous centralization of control in a network of company ownerships***by*Sebastian M. Krause & Tiago P. Peixoto & Stefan Bornholdt**1306.3395 Evolutionary Model of a Anonymous Consumer Durable Market***by*Joachim Kaldasch**1306.3359 Making Mean-Variance Hedging Implementable in a Partially Observable Market***by*Masaaki Fujii & Akihiko Takahashi**1306.3110 Some applications of first-passage ideas to finance***by*R\'emy Chicheportiche & Jean-Philippe Bouchaud**1306.2834 Bayesian inference for CoVaR***by*Mauro Bernardi & Ghislaine Gayraud & Lea Petrella**1306.2832 VWAP execution and guaranteed VWAP***by*Olivier Gu\'eant & Guillaume Royer**1306.2831 Systemic risk and spatiotemporal dynamics of the US housing market***by*Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley**1306.2820 Modeling and Solving Alternative Financial Solutions Seeking***by*Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour\'e**1306.2802 Asymptotics for Fixed Transaction Costs***by*Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner**1306.2793 On the probability density function of baskets***by*Christian Bayer & Peter Friz & Peter Laurence**1306.2751 Robust Portfolios and Weak Incentives in Long-Run Investments***by*Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing**1306.2728 Mean-Variance and Expected Utility: The Borch Paradox***by*David Johnstone & Dennis Lindley**1306.2719 Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk***by*M. H. A. Davis & M. R. Pistorius**1306.2508 Phase Transition in the S&P Stock Market***by*Matthias Raddant & Friedrich Wagner**1306.2251 Some Possible Solution of Problem of Sovereign Debts: a short plan***by*T. S. Kholupenko & E. E. Kholupenko & P. A. Guseva**1306.2245 Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process***by*Vladimir Filimonov & Spencer Wheatley & Didier Sornette**1306.2188 Market-wide price co-movement around crashes in the Tokyo Stock Exchange***by*Jun-ichi Maskawa & Joshin Murai & Koji Kuroda**1306.2073 A theoretical framework for trading experiments***by*Maxence Soumare & J{\o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu\'egan & Justin Leroux & Michel Miniconi & Lars Stentoft**1306.1882 Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation***by*Pavel V. Shevchenko & Gareth W. Peters**1306.1781 The Composition of Wage Differentials between Migrants and Natives***by*Panagiotis Nanos & Christian Schluter**1306.1378 CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix***by*Bin Li & Dingjiang Huang & Steven C. H. Hoi**1306.1062 An alternative proof of a result of Takaoka***by*Shiqi Song**1306.0995 B-spline techniques for volatility modeling***by*Sylvain Corlay**1306.0980 Volatility in options formulae for general stochastic dynamics***by*Kais Hamza & Fima Klebaner & Olivia Mah**1306.0966 A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?***by*Novriana Sumarti & Rafki Hidayat**1306.0938 The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments***by*Laszlo F. Korsos