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Content
2018
- 1812.02726 Simulation of Stylized Facts in Agent-Based Computational Economic Market Models
by Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn
- 1812.02527 Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy
by Sonam Srivastava & Ritabratta Bhattacharya
- 1812.02433 Using published bid/ask curves to error dress spot electricity price forecasts
by Gunnhildur H. Steinbakk & Alex Lenkoski & Ragnar Bang Huseby & Anders L{o}land & Tor Arne {O}ig{aa}rd
- 1812.02371 Quantification of market efficiency based on informational-entropy
by Roland Rothenstein
- 1812.02340 Continual Learning Augmented Investment Decisions
by Daniel Philps & Tillman Weyde & Artur d'Avila Garcez & Roy Batchelor
- 1812.02337 Improved Inference on the Rank of a Matrix
by Qihui Chen & Zheng Fang
- 1812.02311 In (Stochastic) Search of a Fairer Alife
by Dmitriy Volinskiy & Lana Cuthbertson & Omid Ardakanian
- 1812.02298 General Compound Hawkes Processes in Limit Order Books
by Anatoliy Swishchuk & Aiden Huffman
- 1812.02276 Identifying the Effect of Persuasion
by Sung Jae Jun & Sokbae Lee
- 1812.01914 The Alpha-Heston Stochastic Volatility Model
by Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou
- 1812.01723 Doubly Robust Difference-in-Differences Estimators
by Pedro H. C. Sant'Anna & Jun B. Zhao
- 1812.01707 On dynamics of wage-price spiral and stagflation in some model economic systems
by Afifa Alintissar & Abdelkader Intissar & Jean-karim Intissar
- 1812.01412 Necessary and Probably Sufficient Test for Finding Valid Instrumental Variables
by Amit Sharma
- 1812.01400 Column Generation Algorithms for Nonparametric Analysis of Random Utility Models
by Bart Smeulders
- 1812.01341 Modelling China's Credit System with Complex Network Theory for Systematic Credit Risk Control
by Xuan Lu & Li Huang & Kangjuan Lyu
- 1812.01320 The Income Fluctuation Problem with Capital Income Risk: Optimality and Stability
by Qingyin Ma & John Stachurski & Alexis Akira Toda
- 1812.01270 An Optimal Extraction Problem with Price Impact
by Giorgio Ferrari & Torben Koch
- 1812.01103 Predicting future stock market structure by combining social and financial network information
by Th'arsis T. P. Souza & Tomaso Aste
- 1812.01102 Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
by Greg Kirczenow & Masoud Hashemi & Ali Fathi & Matt Davison
- 1812.00849 Strategically Simple Mechanisms
by Tilman Borgers & Jiangtao Li
- 1812.00839 PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation
by Will Hicks
- 1812.00773 Effects of forecast errors on optimal utilisation in aggregate production planning with stochastic customer demand
by Klaus Altendorfer & Thomas Felberbauer & Herbert Jodlbauer
- 1812.00595 Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
by Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt
- 1812.00501 Optimal Resource Allocation over Networks via Lottery-Based Mechanisms
by Soham R. Phade & Venkat Anantharam
- 1812.00383 Ordeal Mechanisms, Information, and the Cost-Effectiveness of Subsidies: Evidence from Subsidized Eyeglasses in Rural China
by Sean Sylvia & Xiaochen Ma & Yaojiang Shi & Scott Rozelle & C. -Y. Cynthia Lin Lawell
- 1812.00093 Using Column Generation to Solve Extensions to the Markowitz Model
by Lorenz M. Roebers & Aras Selvi & Juan C. Vera
- 1812.00032 On the K\"ahler Geometry of Certain Optimal Transport Problems
by Gabriel Khan & Jun Zhang
- 1811.12516 Fair Odds for Noisy Probabilities
by Ulrik W. Nash
- 1811.12502 Why are prices proportional to embodied energies?
by Benjamin Leiva
- 1811.12491 Survival investment strategies in a continuous-time market model with competition
by Mikhail Zhitlukhin
- 1811.12356 Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime
by Sean Ledger & Andreas Sojmark
- 1811.11664 Dynamic Competitive Persuasion
by Mark Whitmeyer
- 1811.11621 Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
by Christoph Kuhn & Alexander Molitor
- 1811.11618 Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets
by Eric Benhamou
- 1811.11603 Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK
by Victor Chernozhukov & Iv'an Fern'andez-Val & Siyi Luo
- 1811.11557 A Residual Bootstrap for Conditional Expected Shortfall
by Alexander Heinemann & Sean Telg
- 1811.11512 Simple Local Polynomial Density Estimators
by Matias D. Cattaneo & Michael Jansson & Xinwei Ma
- 1811.11476 Modelling Social Evolutionary Processes and Peer Effects in Agricultural Trade Networks: the Rubber Value Chain in Indonesia
by Thomas Kopp & Jan Salecker
- 1811.11379 Option Pricing in a Regime Switching Jump Diffusion Model
by Anindya Goswami & Omkar Manjarekar & Anjana R
- 1811.11326 Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling
by Moshe A. Milevsky
- 1811.11301 Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
by Matthew Norton & Valentyn Khokhlov & Stan Uryasev
- 1811.11287 Lagged correlation-based deep learning for directional trend change prediction in financial time series
by Ben Moews & J. Michael Herrmann & Gbenga Ibikunle
- 1811.11265 Static vs Adaptive Strategies for Optimal Execution with Signals
by Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman
- 1811.11079 Robust Classification of Financial Risk
by Suproteem K. Sarkar & Kojin Oshiba & Daniel Giebisch & Yaron Singer
- 1811.10993 Analysis of the problem of intervention control in the economy on the basis of solving the problem of tuning
by Peter Shnurkov & Daniil Novikov
- 1811.10935 On the martingale property in the rough Bergomi model
by Paul Gassiat
- 1811.10690 Estimation of a Heterogeneous Demand Function with Berkson Errors
by Richard Blundell & Joel Horowitz & Matthias Parey
- 1811.10676 LM-BIC Model Selection in Semiparametric Models
by Ivan Korolev
- 1811.10552 Semi-Device Independent Quantum Money
by Karol Horodecki & Maciej Stankiewicz
- 1811.10195 Bull Bear Balance: A Cluster Analysis of Socially Informed Financial Volatility
by Jonathan Manfield & Derek Lukacsko & Th'arsis T. P. Souza
- 1811.10109 The Anatomy of a Cryptocurrency Pump-and-Dump Scheme
by Jiahua Xu & Benjamin Livshits
- 1811.10045 Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
by Matteo Barigozzi & Marc Hallin
- 1811.10041 BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
by Zihao Zhang & Stefan Zohren & Stephen Roberts
- 1811.09932 The implied longevity curve: How long does the market think you are going to live?
by Moshe A. Milevsky & Thomas S. Salisbury & Alexander Chigodaev
- 1811.09921 Retirement spending and biological age
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury
- 1811.09837 Identification of Treatment Effects under Limited Exogenous Variation
by Whitney K. Newey & Sami Stouli
- 1811.09622 Lee-Carter method for forecasting mortality for Peruvian Population
by J. Cerda-Hern'andez & A. Sikov
- 1811.09615 Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing
by Mitja Stadje
- 1811.09549 Idiosyncrasies and challenges of data driven learning in electronic trading
by Vangelis Bacoyannis & Vacslav Glukhov & Tom Jin & Jonathan Kochems & Doo Re Song
- 1811.09540 High Dimensional Classification through $\ell_0$-Penalized Empirical Risk Minimization
by Le-Yu Chen & Sokbae Lee
- 1811.09475 New dynamics of energy use and CO2 emissions in China
by Zhu Liu & Bo Zheng & Qiang Zhang
- 1811.09312 Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
by Vladim'ir Hol'y & Petra Tomanov'a
- 1811.09309 Bayesian Alternatives to the Black-Litterman Model
by Mihnea S. Andrei & John S. J. Hsu
- 1811.09257 Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series
by Tat Lung Chan & Nicholas Hale
- 1811.09004 Long-run Consequences of Health Insurance Promotion When Mandates are Not Enforceable: Evidence from a Field Experiment in Ghana
by Patrick Asuming & Hyuncheol Bryant Kim & Armand Sim
- 1811.08949 The transmission of liquidity shocks via China's segmented money market: evidence from recent market events
by Ruoxi Lu & David A. Bessler & David J. Leatham
- 1811.08818 Model instability in predictive exchange rate regressions
by Niko Hauzenberger & Florian Huber
- 1811.08808 Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
by Ben Hambly & Nikolaos Kolliopoulos
- 1811.08782 Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning
by Ali Al-Aradi & Adolfo Correia & Danilo Naiff & Gabriel Jardim & Yuri Saporito
- 1811.08773 Entropy and Transfer Entropy: The Dow Jones and the build up to the 1997 Asian Crisis
by Michael S. Harre
- 1811.08726 Neural Network for CVA: Learning Future Values
by Jian-Huang She & Dan Grecu
- 1811.08706 A sparse grid approach to balance sheet risk measurement
by Cyril B'en'ezet & J'er'emie Bonnefoy & Jean-Franc{c}ois Chassagneux & Shuoqing Deng & Camilo Garcia Trillos & Lionel Len^otre
- 1811.08604 The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts
by Christopher Kath & Florian Ziel
- 1811.08509 An Aspect of Optimal Regression Design for LSMC
by Christian Wei{ss} & Zoran Nikoli'c
- 1811.08376 A possible alternative evaluation method for the non-use and nonmarket values of ecosystem services
by Shuyao Wu & Shuangcheng Li
- 1811.08365 An analysis of cryptocurrencies conditional cross correlations
by Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez
- 1811.08308 Economics of disagreement -- financial intuition for the R\'enyi divergence
by Andrei N. Soklakov
- 1811.08255 An updated review of (sub-)optimal diversification models
by Johannes Bock
- 1811.08167 Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity
by Helmut Lutkepohl & Tomasz Wo'zniak
- 1811.08083 Complete Subset Averaging with Many Instruments
by Seojeong Lee & Youngki Shin
- 1811.08076 Modeling aggressive market order placements with Hawkes factor models
by Hai-Chuan Xu & Wei-Xing Zhou
- 1811.08038 Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
by Raymond Brummelhuis & Zhongmin Luo
- 1811.07860 Cryptoasset Factor Models
by Zura Kakushadze
- 1811.07792 The ETS challenges: a machine learning approach to the evaluation of simulated financial time series for improving generation processes
by Javier Franco-Pedroso & Joaquin Gonzalez-Rodriguez & Maria Planas & Jorge Cubero & Rafael Cobo & Fernando Pablos
- 1811.07522 Practical Deep Reinforcement Learning Approach for Stock Trading
by Xiao-Yang Liu & Zhuoran Xiong & Shan Zhong & Hongyang Yang & Anwar Walid
- 1811.07509 On the degree of incompleteness of an incomplete financial market
by Abdelkarem Berkaoui
- 1811.07499 Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes
by Jos'e E. Figueroa-L'opez & Cheng Li & Jeffrey Nisen
- 1811.07415 MALTS: Matching After Learning to Stretch
by Harsh Parikh & Cynthia Rudin & Alexander Volfovsky
- 1811.07294 CVA and vulnerable options pricing by correlation expansions
by Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti
- 1811.07237 Portfolio Theory, Information Theory and Tsallis Statistics
by Marco A. S. Trindade & Sergio Floquet & Lourival M. S. Filho
- 1811.07220 Determination of the L\'evy Exponent in Asset Pricing Models
by George Bouzianis & Lane Hughston
- 1811.07188 A Big data analytical framework for portfolio optimization
by Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav
- 1811.06893 Bayesian learning for the Markowitz portfolio selection problem
by Carmine De Franco & Johann Nicolle & Huy^en Pham
- 1811.06772 Evolution and structure of technological systems - An innovation output network
by Josef Taalbi
- 1811.06766 Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices
by Georgios Sermpinis & Arman Hassanniakalager & Charalampos Stasinakis & Ioannis Psaradellis
- 1811.06736 Learning Approximately Optimal Contracts
by Alon Cohen & Moran Koren & Argyrios Deligkas
- 1811.06684 Fairness for Multi-Self Agents
by Sophie Bade & Erel Segal-Halevi
- 1811.06650 Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case
by Erhan Bayraktar & Thomas Caye & Ibrahim Ekren
- 1811.06606 Economics of Human-AI Ecosystem: Value Bias and Lost Utility in Multi-Dimensional Gaps
by Daniel Muller
- 1811.06361 On approximations of Value at Risk and Expected Shortfall involving kurtosis
by Matyas Barczy & Adam Dudas & Jozsef Gall
- 1811.06323 The effects of non-tariff measures on agri-food trade: a review and meta-analysis of empirical evidence
by Fabio Gaetano Santeramo & Emilia Lamonaca
- 1811.06173 Leveraging Financial News for Stock Trend Prediction with Attention-Based Recurrent Neural Network
by Huicheng Liu
- 1811.06135 Measuring Knowledge for Recognition and Knowledge Entropy
by Fujun Hou
- 1811.06107 Operator-Theoretical Treatment of Ergodic Theorem and Its Application to Dynamic Models in Economics
by Shizhou Xu
- 1811.05935 Navigating the Cryptocurrency Landscape: An Islamic Perspective
by Hina Binte Haq & Syed Taha Ali
- 1811.05741 Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions)
by Christian P. Fries
- 1811.05567 Estimation of High-Dimensional Seemingly Unrelated Regression Models
by Lidan Tan & Khai X. Chiong & Hyungsik Roger Moon
- 1811.05555 Identification and estimation of multinomial choice models with latent special covariates
by Nail Kashaev
- 1811.05524 Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution
by Seungki Min & Costis Maglaras & Ciamac C. Moallemi
- 1811.05464 New fat-tail normality test based on conditional second moments with applications to finance
by Damian Jelito & Marcin Pitera
- 1811.05424 The Affordable Care Act and the IRS Iterative Fixed Point Procedure
by Samuel J. Ferguson
- 1811.05421 Health Care Expenditures, Financial Stability, and Participation in the Supplemental Nutrition Assistance Program (SNAP)
by Yunhee Chang & Jinhee Kim & Swarn Chatterjee
- 1811.05270 Predicting Distresses using Deep Learning of Text Segments in Annual Reports
by Rastin Matin & Casper Hansen & Christian Hansen & Pia M{o}lgaard
- 1811.05230 Crossover from linear to square-Root market impact
by Fr'ed'eric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud
- 1811.05206 Exploring the role of talent and luck in getting success
by Alessandro Pluchino & Alessio. E. Biondo & Andrea Rapisarda
- 1811.05138 M Equilibrium: A theory of beliefs and choices in games
by Jacob K. Goeree & Philippos Louis
- 1811.04994 How to Increase Global Wealth Inequality for Fun and Profit
by Bruce Knuteson
- 1811.04502 A Simple Combinatorial Model of World Economic History
by Roger Koppl & Abigail Devereaux & Jim Herriot & Stuart Kauffman
- 1811.04473 Capital Structure and Speed of Adjustment in U.S. Firms. A Comparative Study in Microeconomic and Macroeconomic Conditions - A Quantille Regression Approach
by Andreas Kaloudis & Dimitrios Tsolis
- 1811.04232 A Model of Competing Narratives
by Kfir Eliaz & Ran Spiegler
- 1811.04223 A framework for simulating systemic risk and its application to the South African banking sector
by Nadine M Walters & Conrad Beyers & Gusti van Zyl & Rolf van den Heever
- 1811.04197 Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness
by Gholamreza Hajargasht & Prasada Rao
- 1811.04170 The Augmented Synthetic Control Method
by Eli Ben-Michael & Avi Feller & Jesse Rothstein
- 1811.04125 Bootstrapping Structural Change Tests
by Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall
- 1811.03931 Risk-Neutral Pricing and Hedging of In-Play Football Bets
by Sebastian del Bano Rollin & Zsolt Bihari & Tomaso Aste
- 1811.03820 How does stock market volatility react to oil shocks?
by Andrea Bastianin & Matteo Manera
- 1811.03766 Endogeneous Dynamics of Intraday Liquidity
by Miko{l}aj Bi'nkowski & Charles-Albert Lehalle
- 1811.03720 Estimation of a Structural Break Point in Linear Regression Models
by Yaein Baek
- 1811.03718 Optimal trading using signals
by Hadrien De March & Charles-Albert Lehalle
- 1811.03711 Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series
by Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu
- 1811.03710 Incentivising Participation in Liquid Democracy with Breadth-First Delegation
by Grammateia Kotsialou & Luke Riley
- 1811.03588 Constrained Information Design
by Laura Doval & Vasiliki Skreta
- 1811.03579 Mechanism Design with Limited Commitment
by Laura Doval & Vasiliki Skreta
- 1811.03329 Nonparametric maximum likelihood methods for binary response models with random coefficients
by Jiaying Gu & Roger Koenker
- 1811.03146 Multi-channel discourse as an indicator for Bitcoin price and volume movements
by Marvin Aron Kennis
- 1811.03092 Reframing the S\&P500 Network of Stocks along the \nth{21} Century
by Tanya Ara'ujo & Maximilian Gobel
- 1811.02886 Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals
by Ellie Birbeck & Dave Cliff
- 1811.02880 Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market
by Arthur le Calvez & Dave Cliff
- 1811.02727 Nonparametric Analysis of Finite Mixtures
by Yuichi Kitamura & Louise Laage
- 1811.02530 Surplus sharing with coherent utility functions
by Delia Coculescu & Freddy Delbaen
- 1811.02497 Time will tell - Recovering Preferences when Choices are Noisy
by Carlos Alos-Ferrer & Ernst Fehr & Nick Netzer
- 1811.02382 Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
by Hayette Gatfaoui
- 1811.02106 The impact of air transport availability on research collaboration: A case study of four universities
by Adam Ploszaj & Xiaoran Yan & Katy Borner
- 1811.02105 Randomization Tests for Equality in Dependence Structure
by Juwon Seo
- 1811.02028 A Splitting Strategy for the Calibration of Jump-Diffusion Models
by Vinicius Albani & Jorge Zubelli
- 1811.01933 Characterizing Permissibility, Proper Rationalizability, and Iterated Admissibility by Incomplete Information
by Shuige Liu
- 1811.01916 A Stochastic Control Approach to Managed Futures Portfolios
by Tim Leung & Raphael Yan
- 1811.01664 The equivalence of two tax processes
by Dalal Al Ghanim & Ronnie Loeffen & Alex Watson
- 1811.01624 Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
by Andrea Flori & Fabrizio Lillo & Fabio Pammolli & Alessandro Spelta
- 1811.01420 Continuity of Utility Maximization under Weak Convergence
by Erhan Bayraktar & Yan Dolinsky & Jia Guo
- 1811.01320 Uncertainty and Robustness of Surplus Extraction
by Giuseppe Lopomo & Luca Rigotti & Chris Shannon
- 1811.01227 Equitable voting rules
by Laurent Bartholdi & Wade Hann-Caruthers & Maya Josyula & Omer Tamuz & Leeat Yariv
- 1811.01081 Decision-making in Livestock Biosecurity Practices amidst Environmental and Social Uncertainty: Evidence from an Experimental Game
by Scott C. Merrill & Christopher J. Koliba & Susan M. Moegenburg & Asim Zia & Jason Parker & Timothy Sellnow & Serge Wiltshire & Gabriela Bucini & Caitlin Danehy & Julia M. Smith
- 1811.00952 A martingale concept for non-monotone information in a jump process framework
by Marcus C. Christiansen
- 1811.00875 Quantum Structures in Human Decision-making: Towards Quantum Expected Utility
by Sandro Sozzo
- 1811.00667 Treatment Effect Estimation with Noisy Conditioning Variables
by Kenichi Nagasawa
- 1811.00476 An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions
by J. Martin van Zyl
- 1811.00455 Corrigendum to "Managerial Incentive Problems: A Dynamic Perspective"
by Sander Heinsalu
- 1811.00304 Robust risk aggregation with neural networks
by Stephan Eckstein & Michael Kupper & Mathias Pohl
- 1811.00267 Precise asymptotics: robust stochastic volatility models
by Peter K. Friz & Paul Gassiat & Paolo Pigato
- 1811.00157 Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models
by Ying-Ying Lee
- 1811.00137 Forward transition rates
by K. Buchardt & C. Furrer & M. Steffensen
- 1811.00122 Affine Jump-Diffusions: Stochastic Stability and Limit Theorems
by Xiaowei Zhang & Peter W. Glynn
- 1810.13250 Systemic risk assessment through high order clustering coefficient
by Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi
- 1810.13248 High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
by Bertram During & Alexander Pitkin
- 1810.13237 Machine Learning Estimation of Heterogeneous Causal Effects: Empirical Monte Carlo Evidence
by Michael C. Knaus & Michael Lechner & Anthony Strittmatter
- 1810.13069 Dynamic Assortment Optimization with Changing Contextual Information
by Xi Chen & Yining Wang & Yuan Zhou
- 1810.12996 Nighttime Light, Superlinear Growth, and Economic Inequalities at the Country Level
by Ore Koren & Laura Mann
- 1810.12840 Asset Price Distributions and Efficient Markets
by Ricardo T. Fernholz & Caleb Stroup
- 1810.12762 Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time
by Tahir Choulli & Sina Yansori
- 1810.12511 Semiparametrically efficient estimation of the average linear regression function
by Bryan S. Graham & Cristine Campos de Xavier Pinto
- 1810.12200 Option market (in)efficiency and implied volatility dynamics after return jumps
by Juho Kanniainen & Martin Magris
- 1810.12099 Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
by Michelle B Graczyk & Silvio M D Queir'os
- 1810.12022 Asymmetric Network Connectedness of Fears
by Jozef Barunik & Mattia Bevilacqua & Radu Tunaru
- 1810.11849 Systemic Greeks: Measuring risk in financial networks
by Nils Bertschinger & Julian Stobbe
- 1810.11619 Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization
by Sona Kilianova & Daniel Sevcovic
- 1810.11475 Intermediated Implementation
by Anqi Li & Yiqing Xing
- 1810.11471 Optimal Incentive Contract with Endogenous Monitoring Technology
by Anqi Li & Ming Yang
- 1810.11458 Economic Impact of Wind Generation Penetration in the Colombian Electricity Market
by Alvaro Gonzalez-Castellanos & David Pozo & Sergio Martinez & Luis Lopez & Ingrid Oliveros
- 1810.11454 Optimal Trade Execution with Uncertain Volume Target
by Julien Vaes & Raphael Hauser
- 1810.11449 The Politics of Attention
by Li Hu & Anqi Li
- 1810.11397 Robust Inference Using Inverse Probability Weighting
by Xinwei Ma & Jingshen Wang
- 1810.11299 On the solution uniqueness in portfolio optimization and risk analysis
by Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski
- 1810.11109 Factor-Driven Two-Regime Regression
by Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin
- 1810.11091 Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
by Brian F. Tivnan & David Slater & James R. Thompson & Tobin A. Bergen-Hill & Carl D. Burke & Shaun M. Brady & Matthew T. K. Koehler & Matthew T. McMahon & Brendan F. Tivnan & Jason Veneman
- 1810.11039 Geometrically Convergent Simulation of the Extrema of L\'{e}vy Processes
by Jorge Ignacio Gonz'alez C'azares & Aleksandar Mijatovi'c & Ger'onimo Uribe Bravo
- 1810.10987 Nuclear Norm Regularized Estimation of Panel Regression Models
by Hyungsik Roger Moon & Martin Weidner
- 1810.10970 Defining and estimating stochastic rate change in a dynamic general insurance portfolio
by Roland R. Ramsahai
- 1810.10845 Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data
by Ymir Makinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
- 1810.10800 Spanning Tests for Markowitz Stochastic Dominance
by Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou
- 1810.10726 How Not To Do Mean-Variance Analysis
by Vic Norton
- 1810.10660 The Case for Formation of ISP-Content Providers Consortiums by Nash Bargaining for Internet Content Delivery
by Debasis Mitra & Abhinav Sridhar
- 1810.10604 Revealed Stochastic Preference: A One-Paragraph Proof and Generalization
by Jorg Stoye
- 1810.10563 A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
by Jize Zhang & Tim Leung & Aleksandr Aravkin
- 1810.10465 Deep Neural Networks for Choice Analysis: A Statistical Learning Theory Perspective
by Shenhao Wang & Qingyi Wang & Nate Bailey & Jinhua Zhao
- 1810.10374 On closedness of law-invariant convex sets in rearrangement invariant spaces
by Made Tantrawan & Denny H. Leung
- 1810.10287 The Losses from Integration in Matching Markets can be Large
by Josu'e Ortega
- 1810.09965 Using Deep Learning for price prediction by exploiting stationary limit order book features
by Avraam Tsantekidis & Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
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