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2019
- 1907.04422 Nonlinear price dynamics of S&P 100 stocks
by Gunduz Caginalp & Mark DeSantis - 1907.04373 Capturing Financial markets to apply Deep Reinforcement Learning
by Souradeep Chakraborty - 1907.04272 Ordinal Imitative Dynamics
by George Loginov - 1907.04257 Systemic Optimal Risk Transfer Equilibrium
by Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis - 1907.04230 Tax- and expense-modified risk-minimization for insurance payment processes
by Kristian Buchardt & Christian Furrer & Thomas M{o}ller - 1907.04147 Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
by Feiyu Jiang & Dong Li & Ke Zhu - 1907.04046 A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty
by Luis H. R. Alvarez E. & Soren Christensen - 1907.03809 Competing Models
by Jose Luis Montiel Olea & Pietro Ortoleva & Mallesh M Pai & Andrea Prat - 1907.03665 An intelligent financial portfolio trading strategy using deep Q-learning
by Hyungjun Park & Min Kyu Sim & Dong Gu Choi - 1907.03643 A Mathematical Analysis of an Election System Proposed by Gottlob Frege
by Paul Harrenstein & Marie-Louise Lackner & Martin Lackner - 1907.03577 The evolving liaisons between the transaction networks of Bitcoin and its price dynamics
by Alexandre Bovet & Carlo Campajola & Francesco Mottes & Valerio Restocchi & Nicol`o Vallarano & Tiziano Squartini & Claudio J. Tessone - 1907.03561 Existence of L\'evy term structure models
by Damir Filipovi'c & Stefan Tappe - 1907.03370 Artificial Intelligence Alter Egos: Who benefits from Robo-investing?
by Catherine D'Hondt & Rudy De Winne & Eric Ghysels & Steve Raymond - 1907.03355 Improving Detection of Credit Card Fraudulent Transactions using Generative Adversarial Networks
by Hung Ba - 1907.03295 Common Decomposition of Correlated Brownian Motions and its Financial Applications
by Tianyao Chen & Xue Cheng & Jingping Yang - 1907.03256 An alternative approach on the existence of affine realizations for HJM term structure models
by Stefan Tappe - 1907.03093 Dynamic Mean-Variance Portfolio Optimisation
by Xiang Meng - 1907.03082 Systemic Risk and Heterogeneous Mean Field Type Interbank Network
by Li-Hsien Sun - 1907.03010 Financial Time Series Data Processing for Machine Learning
by Fabrice Daniel - 1907.03009 Identification of short-term and long-term time scales in stock markets and effect of structural break
by Ajit Mahata & Debi Prasad Bal & Md Nurujjaman - 1907.02666 Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility
by Huiling Yuan & Yong Zhou & Zhiyuan Zhang & Xiangyu Cui - 1907.02457 Learning Threshold-Type Investment Strategies with Stochastic Gradient Method
by Zsolt Nika & Mikl'os R'asonyi - 1907.02436 Random Forest Estimation of the Ordered Choice Model
by Michael Lechner & Gabriel Okasa - 1907.02363 Existence of affine realizations for L\'evy term structure models
by Stefan Tappe - 1907.02337 Heterogeneous Choice Sets and Preferences
by Levon Barseghyan & Maura Coughlin & Francesca Molinari & Joshua C. Teitelbaum - 1907.02320 Optimal transport on large networks, a practitioner's guide
by Arthur Charpentier & Alfred Galichon & Lucas Vernet - 1907.02212 Heterogeneous Regression Models for Clusters of Spatial Dependent Data
by Zhihua Ma & Yishu Xue & Guanyu Hu - 1907.02155 Emergent inequality and endogenous dynamics in a simple behavioral macroeconomic model
by Yuki M. Asano & Jakob J. Kolb & Jobst Heitzig & J. Doyne Farmer - 1907.02101 The Informativeness of Estimation Moments
by Bo Honore & Thomas Jorgensen & Aureo de Paula - 1907.02100 Machine learning and behavioral economics for personalized choice architecture
by Emir Hrnjic & Nikodem Tomczak - 1907.01954 An Econometric Perspective on Algorithmic Subsampling
by Sokbae Lee & Serena Ng - 1907.01917 Markovian lifts of positive semidefinite affine Volterra type processes
by Christa Cuchiero & Josef Teichmann - 1907.01902 Multiplicity of time scales in climate, matter, life, and economy
by Bernhelm Booss-Bavnbek & Rasmus Kristoffer Pedersen & Ulf R{o}rb{ae}k Pedersen - 1907.01828 Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory
by Yuchao Dong & J'er^ome Spielmann - 1907.01800 P2P Loan acceptance and default prediction with Artificial Intelligence
by Jeremy D. Turiel & Tomaso Aste - 1907.01766 Algorithms for Competitive Division of Chores
by Simina Br^anzei & Fedor Sandomirskiy - 1907.01576 Election predictions are arbitrage-free: response to Taleb
by Aubrey Clayton - 1907.01503 Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation
by Xinyi Li & Yinchuan Li & Yuancheng Zhan & Xiao-Yang Liu - 1907.01437 Compact embeddings for spaces of forward rate curves
by Stefan Tappe - 1907.01362 A Model of Presidential Debates
by Doron Klunover & John Morgan - 1907.01306 Elicitability and Identifiability of Systemic Risk Measures
by Tobias Fissler & Jana Hlavinov'a & Birgit Rudloff - 1907.01274 Smart network based portfolios
by Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj - 1907.01225 Size matters for OTC market makers: general results and dimensionality reduction techniques
by Philippe Bergault & Olivier Gu'eant - 1907.01196 Large Volatility Matrix Prediction with High-Frequency Data
by Xinyu Song - 1907.01189 Solving the Reswitching Paradox in the Sraffian Theory of Capital
by Carlo Milana - 1907.01119 Comparative analysis of layered structures in empirical investor networks and cellphone communication networks
by Peng Wang & Jun-Chao Ma & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette - 1907.01075 Simulation smoothing for nowcasting with large mixed-frequency VARs
by Sebastian Ankargren & Paulina Jon'eus - 1907.01056 Optimal Bookmaking
by Matthew Lorig & Zhou Zhou & Bin Zou - 1907.01049 Permutation inference with a finite number of heterogeneous clusters
by Andreas Hagemann - 1907.00558 Improved Forecasting of Cryptocurrency Price using Social Signals
by Maria Glenski & Tim Weninger & Svitlana Volkova - 1907.00399 Bounding Causes of Effects with Mediators
by Philip Dawid & Macartan Humphreys & Monica Musio - 1907.00371 Regularities in stock markets
by Abhin Kakkad & Harsh Vasoya & Arnab K. Ray - 1907.00336 Affine realizations with affine state processes for stochastic partial differential equations
by Stefan Tappe - 1907.00335 Existence of affine realizations for stochastic partial differential equations driven by L\'evy processes
by Stefan Tappe - 1907.00297 A weighted finite difference method for subdiffusive Black Scholes Model
by Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak - 1907.00293 Tracking VIX with VIX Futures: Portfolio Construction and Performance
by Tim Leung & Brian Ward - 1907.00222 Relaxing the Exclusion Restriction in Shift-Share Instrumental Variable Estimation
by Nicolas Apfel - 1907.00219 Branching Particle Pricers with Heston Examples
by Michael A. Kouritzin & Anne MacKay - 1907.00212 Detailed study of a moving average trading rule
by Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen - 1907.00185 P-hacking in clinical trials and how incentives shape the distribution of results across phases
by J'er^ome Adda & Christian Decker & Marco Ottaviani - 1907.00149 Time-changed \levy processes and option pricing: a critical comment
by Hasan Fallahgoul & Kihun Nam - 1907.00130 Katugampola Generalized Conformal Derivative Approach to Inada Conditions and Solow-Swan Economic Growth Model
by G. Fern'andez-Anaya & L. A. Quezada-T'ellez & B. Nu~nez-Zavala & D. Brun-Battistini - 1906.12317 Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
by Thijs Kamma & Antoon Pelsser - 1906.12134 Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
by Gregor Kastner - 1906.12123 Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
by Darjus Hosszejni & Gregor Kastner - 1906.12010 How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
by Tucker Hybinette Balch & Mahmoud Mahfouz & Joshua Lockhart & Maria Hybinette & David Byrd - 1906.11968 Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts
by Matthias Pelster & Bastian Breitmayer & Tim Hasso - 1906.11831 A portfolio choice problem in the framework of expected utility operators
by Irina Georgescu & Louis Aim'e Fono - 1906.11481 Broken Detailed Balance and Non-Equilibrium Dynamics in Noisy Social Learning Models
by Tushar Vaidya & Thiparat Chotibut & Georgios Piliouras - 1906.11391 Dynamically Stable Matching
by Laura Doval - 1906.11320 Correlators of Polynomial Processes
by Fred Espen Benth & Silvia Lavagnini - 1906.11293 Empirical Process Results for Exchangeable Arrays
by Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch - 1906.11224 The Hamiltonian approach to the problem of derivation of production functions in economic growth theory
by Roman G. Smirnov & Kunpeng Wang - 1906.11208 Proxy expenditure weights for Consumer Price Index: Audit sampling inference for big data statistics
by Li-Chun Zhang - 1906.11186 A Triptych Approach for Reverse Stress Testing of Complex Portfolios
by Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot - 1906.11046 Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis
by Wenhang Bao & Xiao-yang Liu - 1906.11023 The Coevolution of Banks and Corporate Securities Markets: The Financing of Belgium's Industrial Take-Off in the 1830s
by Stefano Ugolini - 1906.10957 Estimation of the size of informal employment based on administrative records with non-ignorable selection mechanism
by Maciej Berk{e}sewicz & Dagmara Nikulin - 1906.10933 Dual representations for systemic risk measures based on acceptance sets
by Maria Arduca & Pablo Koch-Medina & Cosimo Munari - 1906.10888 European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle
by Martin Kegnenlezom & Patrice Takam Soh & Antoine-Marie Bogso & Yves Emvudu Wono - 1906.10865 The Syntax of the Accounting Language: A First Step
by Frederico Botafogo - 1906.10624 On Capital Allocation under Information Constraints
by Christoph J. Borner & Ingo Hoffmann & Fabian Poetter & Tim Schmitz - 1906.10572 Understanding the explosive trend in EU ETS prices -- fundamentals or speculation?
by Marina Friedrich & S'ebastien Fries & Michael Pahle & Ottmar Edenhofer - 1906.10422 Forecasting the Remittances of the Overseas Filipino Workers in the Philippines
by Merry Christ E. Manayaga & Roel F. Ceballos - 1906.10388 Lead-lag Relationships in Foreign Exchange Markets
by Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev - 1906.10372 Dynamic time series clustering via volatility change-points
by Nick Whiteley - 1906.10333 To Infinity and Beyond: A General Framework for Scaling Economic Theories
by Yannai A. Gonczarowski & Scott Duke Kominers & Ran I. Shorrer - 1906.10325 Against the Norm: Modeling Daily Stock Returns with the Laplace Distribution
by David Toth & Bruce Jones - 1906.10311 Informed Principal Problems in Bilateral Trading
by Takeshi Nishimura - 1906.10258 Policy Targeting under Network Interference
by Davide Viviano - 1906.10121 Metaheuristics optimized feedforward neural networks for efficient stock price prediction
by Bradley J. Pillay & Absalom E. Ezugwu - 1906.10084 Long Run Feedback in the Broker Call Money Market
by Alex Garivaltis - 1906.10030 A New Solution to Market Definition: An Approach Based on Multi-dimensional Substitutability Statistics
by Yan Yang - 1906.09961 Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall
by Chao Wang & Richard Gerlach - 1906.09895 Most Important Fundamental Rule of Poker Strategy
by Sam Ganzfried & Max Chiswick - 1906.09729 Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
by Samuel Drapeau & Mekonnen Tadese - 1906.09698 Gift Contagion in Online Groups: Evidence From Virtual Red Packets
by Yuan Yuan & Tracy Liu & Chenhao Tan & Qian Chen & Alex Pentland & Jie Tang - 1906.09694 Business Taxonomy Construction Using Concept-Level Hierarchical Clustering
by Haodong Bai & Frank Z. Xing & Erik Cambria & Win-Bin Huang - 1906.09671 Single-crossing Implementation
by Nathann Cohenn & Edith Elkind & Foram Lakhani - 1906.09632 A Model of the Optimal Selection of Crypto Assets
by Silvia Bartolucci & Andrei Kirilenko - 1906.09431 Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
by D. Belomestny & M. Kaledin & J. Schoenmakers - 1906.09353 Suboptimal Provision of Privacy and Statistical Accuracy When They are Public Goods
by John M. Abowd & Ian M. Schmutte & William Sexton & Lars Vilhuber - 1906.09034 Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model
by Martin Forde & Stefan Gerhold & Benjamin Smith - 1906.09024 BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
by Joshua Zoen Git Hiew & Xin Huang & Hao Mou & Duan Li & Qi Wu & Yabo Xu - 1906.08933 A bibliometric analysis of Bitcoin scientific production
by Ignasi Merediz-Sol`a & Aurelio F. Bariviera - 1906.08892 Macroscopic theorem of the portfolio optimization problem with a risk-free asset
by Ippei Suzuki & Takashi Shinzato - 1906.08872 CostMAP: An open-source software package for developing cost surfaces
by Brendan Hoover & Richard S. Middleton & Sean Yaw - 1906.08726 On the probability of a causal inference is robust for internal validity
by Tenglong Li & Kenneth A. Frank - 1906.08667 A network approach to cartel detection in public auction markets
by Johannes Wachs & J'anos Kert'esz - 1906.08636 Investment Ranking Challenge: Identifying the best performing stocks based on their semi-annual returns
by Shanka Subhra Mondal & Sharada Prasanna Mohanty & Benjamin Harlander & Mehmet Koseoglu & Lance Rane & Kirill Romanov & Wei-Kai Liu & Pranoot Hatwar & Marcel Salathe & Joe Byrum - 1906.08617 Loan maturity aggregation in interbank lending networks obscures mesoscale structure and economic functions
by Marnix Van Soom & Milan van den Heuvel & Jan Ryckebusch & Koen Schoors - 1906.08410 Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information
by Shihao Zhu & Jingtao Shi - 1906.08357 The Age-Period-Cohort-Interaction Model for Describing and Investigating Inter-Cohort Deviations and Intra-Cohort Life-Course Dynamics
by Liying Luo & James Hodges - 1906.08244 Predicting Patent Citations to measure Economic Impact of Scholarly Research
by Abdul Rahman Shaikh & Hamed Alhoori - 1906.08096 From Local to Global: External Validity in a Fertility Natural Experiment
by Rajeev Dehejia & Cristian Pop-Eleches & Cyrus Samii - 1906.08088 Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data
by Xue Guo & Hu Zhang & Tianhai Tian - 1906.07992 Sparse structures with LASSO through Principal Components: forecasting GDP components in the short-run
by Saulius Jokubaitis & Dmitrij Celov & Remigijus Leipus - 1906.07834 Signatures of crypto-currency market decoupling from the Forex
by Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek - 1906.07786 Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey
by Lukas Ryll & Sebastian Seidens - 1906.07695 Nonparametric estimation in a regression model with additive and multiplicative noise
by Christophe Chesneau & Salima El Kolei & Junke Kou & Fabien Navarro - 1906.07533 The Impact of Ambiguity on the Optimal Exercise Timing of Integral Option Contracts
by Luis H. R. Alvarez E. & Soren Christensen - 1906.07491 Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
by Robert Gk{e}barowski & Pawe{l} O'swik{e}cimka & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z - 1906.07164 When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View
by Simone Farinelli & Hideyuki Takada - 1906.07101 Decomposition formula for rough Volterra stochastic volatility models
by Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives - 1906.06930 Decomposition formula for jump diffusion models
by Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Josep Vives - 1906.06810 General equilibrium in a heterogeneous-agent incomplete-market economy with many consumption goods and a risk-free bond
by Bar Light - 1906.06747 Shape Matters: Evidence from Machine Learning on Body Shape-Income Relationship
by Suyong Song & Stephen S. Baek - 1906.06711 Detecting p-hacking
by Graham Elliott & Nikolay Kudrin & Kaspar Wuthrich - 1906.06665 On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls
by Bruno Ferman - 1906.06648 A Clark-Ocone type formula via Ito calculus and its application to finance
by Takuji Arai & Ryoichi Suzuki - 1906.06529 lpdensity: Local Polynomial Density Estimation and Inference
by Matias D. Cattaneo & Michael Jansson & Xinwei Ma - 1906.06483 Option Pricing via Multi-path Autoregressive Monte Carlo Approach
by Wei-Cheng Chen & Wei-Ho Chung - 1906.06478 Calibration of Local-Stochastic Volatility Models by Optimal Transport
by Ivan Guo & Gregoire Loeper & Shiyi Wang - 1906.06389 Long-run risk sensitive dyadic impulse control
by Marcin Pitera & {L}ukasz Stettner - 1906.06363 Variants of the Smith-Wilson method with a view towards applications
by Thomas Viehmann - 1906.06360 Posterior Average Effects
by St'ephane Bonhomme & Martin Weidner - 1906.06248 Machine Learning on EPEX Order Books: Insights and Forecasts
by Simon Schnurch & Andreas Wagner - 1906.06164 Model Risk in Credit Risk
by Roberto Fontana & Elisa Luciano & Patrizia Semeraro - 1906.06092 The winner takes it all -- How to win network globalization
by Chengyuan Han & Dirk Witthaut & Marc Timme & Malte Schroder - 1906.06000 An agent-based model for designing a financial market that works well
by Takanobu Mizuta - 1906.05898 Stochastic PDEs for large portfolios with general mean-reverting volatility processes
by Ben Hambly & Nikolaos Kolliopoulos - 1906.05740 Information-theoretic measures for non-linear causality detection: application to social media sentiment and cryptocurrency prices
by Z. Keskin & T. Aste - 1906.05545 Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices
by Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina - 1906.05494 Time scales in stock markets
by Ajit Mahata & Md Nurujjaman - 1906.05420 From asymptotic properties of general point processes to the ranking of financial agents
by Othmane Mounjid & Mathieu Rosenbaum & Pamela Saliba - 1906.05327 Neural Network Models for Stock Selection Based on Fundamental Analysis
by Yuxuan Huang & Luiz Fernando Capretz & Danny Ho - 1906.05269 Growing green: the role of path dependency and structural jumps in the green economy expansion
by Seyyedmilad Talebzadehhosseini & Steven R. Scheinert & Ivan Garibay - 1906.05231 Nonparametric Identification and Estimation with Independent, Discrete Instruments
by Isaac Loh - 1906.05187 The Case for Long-Only Agnostic Allocation Portfolios
by Pierre-Alain Reigneron & Vincent Nguyen & Stefano Ciliberti & Philip Seager & Jean-Philippe Bouchaud - 1906.05065 Deep Smoothing of the Implied Volatility Surface
by Damien Ackerer & Natasa Tagasovska & Thibault Vatter - 1906.05057 Selecting stock pairs for pairs trading while incorporating lead-lag relationship
by Kartikay Gupta & Niladri Chatterjee - 1906.04822 Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by M. Dashti Moghaddam & Jeffrey Mills & R. A. Serota - 1906.04813 Towards Inverse Reinforcement Learning for Limit Order Book Dynamics
by Jacobo Roa-Vicens & Cyrine Chtourou & Angelos Filos & Francisco Rullan & Yarin Gal & Ricardo Silva - 1906.04711 ProPublica's COMPAS Data Revisited
by Matias Barenstein - 1906.04652 Ergodicity-breaking reveals time optimal decision making in humans
by David Meder & Finn Rabe & Tobias Morville & Kristoffer H. Madsen & Magnus T. Koudahl & Ray J. Dolan & Hartwig R. Siebner & Oliver J. Hulme - 1906.04631 Bias-Aware Inference in Fuzzy Regression Discontinuity Designs
by Claudia Noack & Christoph Rothe - 1906.04613 Regional economic convergence and spatial quantile regression
by Alfredo Cartone & Geoffrey JD Hewings & Paolo Postiglione - 1906.04522 Bayesian Estimation of Economic Simulation Models using Neural Networks
by Donovan Platt - 1906.04404 Extending Deep Learning Models for Limit Order Books to Quantile Regression
by Zihao Zhang & Stefan Zohren & Stephen Roberts - 1906.04322 Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
by Jean-Franc{c}ois B'egin & Mathieu Boudreault - 1906.04242 The Regression Discontinuity Design
by Matias D. Cattaneo & Rocio Titiunik & Gonzalo Vazquez-Bare - 1906.04086 Automation and occupational mobility: A data-driven network model
by R. Maria del Rio-Chanona & Penny Mealy & Mariano Beguerisse-D'iaz & Francois Lafond & J. Doyne Farmer - 1906.03935 Learned Sectors: A fundamentals-driven sector reclassification project
by Rukmal Weerawarana & Yiyi Zhu & Yuzhen He - 1906.03828 Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
by Dan Li & Adam Clements & Christopher Drovandi - 1906.03726 Machine learning with kernels for portfolio valuation and risk management
by Lotfi Boudabsa & Damir Filipovic - 1906.03690 A sensitivity analysis of the long-term expected utility of optimal portfolios
by Hyungbin Park & Stephan Sturm - 1906.03562 A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
by Tim Leung & Yang Zhou - 1906.03558 On the Equilibrium Uniqueness in Cournot Competition with Demand Uncertainty
by Stefanos Leonardos & Costis Melolidakis - 1906.03507 Deep learning calibration of option pricing models: some pitfalls and solutions
by A Itkin - 1906.03430 The Effects of the Introduction of Bitcoin Futures on the Volatility of Bitcoin Returns
by Wonse Kim & Junseok Lee & Kyungwon Kang - 1906.03309 An optimal transport problem with backward martingale constraints motivated by insider trading
by Dmitry Kramkov & Yan Xu - 1906.03306 Invoice Financing of Supply Chains with Blockchain technology and Artificial Intelligence
by Sandra Johnson & Peter Robinson & Kishore Atreya & Claudio Lisco - 1906.03305 Clustering Degree-Corrected Stochastic Block Model with Outliers
by Xin Qian & Yudong Chen & Andreea Minca - 1906.03237 Addictive Auctions: using lucky-draw and gambling addiction to increase participation during auctioning
by Ravin Kumar - 1906.03232 Style Transfer with Time Series: Generating Synthetic Financial Data
by Brandon Da Silva & Sylvie Shang Shi - 1906.03210 The varying importance of extrinsic factors in the success of startup fundraising: competition at early-stage and networks at growth-stage
by Clement Gastaud & Theophile Carniel & Jean-Michel Dalle - 1906.03201 Learning from Others in the Financial Market
by Matthias Feiler & Thibaut Ajdler - 1906.03119 A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
by Martin Keller-Ressel & Assad Majid - 1906.03044 Battling Antibiotic Resistance: Can Machine Learning Improve Prescribing?
by Michael Allan Ribers & Hannes Ullrich - 1906.02904 Market Implementation of Multiple-Arrival Multiple-Deadline Differentiated Energy Services
by Yanfang Mo & Wei Chen & Li Qiu & Pravin Varaiya - 1906.02884 A Statistical Recurrent Stochastic Volatility Model for Stock Markets
by Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn - 1906.02838 From Blackwell Dominance in Large Samples to Renyi Divergences and Back Again
by Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz - 1906.02818 Tensor Processing Units for Financial Monte Carlo
by Francois Belletti & Davis King & Kun Yang & Roland Nelet & Yusef Shafi & Yi-Fan Chen & John Anderson - 1906.02657 The interplay between migrants and natives as a determinant of migrants' assimilation: A coevolutionary approach
by Jakub Bielawski & Marcin Jakubek - 1906.02635 Counterfactual Inference for Consumer Choice Across Many Product Categories
by Rob Donnelly & Francisco R. Ruiz & David Blei & Susan Athey - 1906.02561 Funding Adjustments in Equity Linear Products
by Stefania Gabrielli & Andrea Pallavicini & Stefano Scoleri - 1906.02551 Deep Curve-dependent PDEs for affine rough volatility
by Antoine Jacquier & Mugad Oumgari - 1906.02486 The route to chaos in routing games: When is Price of Anarchy too optimistic?
by Thiparat Chotibut & Fryderyk Falniowski & Micha{l} Misiurewicz & Georgios Piliouras - 1906.02455 The emerging sectoral diversity of startup ecosystems
by Clement Gastaud & Theophile Carniel & Jean-Michel Dalle - 1906.02312 Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response
by Svitlana Vyetrenko & Shaojie Xu - 1906.02306 Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by M. Dashti Moghaddam & Jiong Liu & R. A. Serota - 1906.02223 Mapping the Sahelian Space
by Olivier Walther & Denis Retaille - 1906.02216 Game-Theoretic Optimal Portfolios in Continuous Time
by Alex Garivaltis - 1906.02152 (In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks
by Ariah Klages-Mundt & Andreea Minca - 1906.02140 Bayesian nonparametric graphical models for time-varying parameters VAR
by Matteo Iacopini & Luca Rossini - 1906.01981 Understanding Distributional Ambiguity via Non-robust Chance Constraint
by Qi Wu & Shumin Ma & Cheuk Hang Leung & Wei Liu & Nanbo Peng - 1906.01980 The temporal evolution of venture investment strategies in sector space
by Theophile Carniel & Clement Gastaud & Jean-Michel Dalle - 1906.01923 Neural Learning of Online Consumer Credit Risk
by Di Wang & Qi Wu & Wen Zhang