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Content
2019
- 1906.01768 Indirect Inference for Locally Stationary Models
by David Frazier & Bonsoo Koo
- 1906.01713 Optimal auction duration: A price formation viewpoint
by Paul Jusselin & Thibaut Mastrolia & Mathieu Rosenbaum
- 1906.01552 Assessing Disparate Impacts of Personalized Interventions: Identifiability and Bounds
by Nathan Kallus & Angela Zhou
- 1906.01531 Trading in Complex Networks
by Felipe M. Cardoso & Carlos Gracia-Lazaro & Frederic Moisan & Sanjeev Goyal & Angel Sanchez & Yamir Moreno
- 1906.01468 Stress Testing Network Reconstruction via Graphical Causal Model
by Helder Rojas & David Dias
- 1906.01449 Generalized Expected Discounted Penalty Function at General Drawdown for L\'{e}vy Risk Processes
by Wenyuan Wang & Ping Chen & Shuanming Li
- 1906.01427 Optimal Dynamic Strategies on Gaussian Returns
by Nick Firoozye & Adriano Koshiyama
- 1906.01320 Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
by Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko
- 1906.01293 Contagion in Bitcoin networks
by C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky
- 1906.01241 Kinetic Market Model: An Evolutionary Algorithm
by Evandro Luquini & Nizam Omar
- 1906.01232 Optimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium Approach
by Yu-Jui Huang & Xiang Yu
- 1906.01025 Two Resolutions of the Margin Loan Pricing Puzzle
by Alex Garivaltis
- 1906.00960 For Whom the Bell (Curve) Tolls: A to F, Trade Your Grade Based on the Net Present Value of Friendships with Financial Incentives
by Ravi Kashyap
- 1906.00946 The Laws of Motion of the Broker Call Rate in the United States
by Alex Garivaltis
- 1906.00920 Optimising portfolio diversification and dimensionality
by Mathias Barkhagen & Brian Fleming & Sergio Garcia Quiles & Jacek Gondzio & Joerg Kalcsics & Jens Kroeske & Sotirios Sabanis & Arne Staal
- 1906.00573 Conditional inference on the asset with maximum Sharpe ratio
by Steven E. Pav
- 1906.00553 Artificial Intelligence and Big Data in Entrepreneurship: A New Era Has Begun
by Martin Obschonka & David B. Audretsch
- 1906.00296 The Theory of Weak Revealed Preference
by Victor H. Aguiar & Per Hjertstrand & Roberto Serrano
- 1906.00288 At What Level Should One Cluster Standard Errors in Paired and Small-Strata Experiments?
by Cl'ement de Chaisemartin & Jaime Ramirez-Cuellar
- 1906.00280 Coalitions in Repeated Games
by S. Nageeb Ali & Ce Liu
- 1906.00232 Kernel Instrumental Variable Regression
by Rahul Singh & Maneesh Sahani & Arthur Gretton
- 1906.00202 lspartition: Partitioning-Based Least Squares Regression
by Matias D. Cattaneo & Max H. Farrell & Yingjie Feng
- 1906.00198 nprobust: Nonparametric Kernel-Based Estimation and Robust Bias-Corrected Inference
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell
- 1906.00059 Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
by Jozef Barunik & Cathy Yi-Hsuan Chen & Jan Vecer
- 1906.00003 Counterfactual Analysis under Partial Identification Using Locally Robust Refinement
by Nathan Canen & Kyungchul Song
- 1905.13711 The Network Effect in Credit Concentration Risk
by Davide Cellai & Trevor Fitzpatrick
- 1905.13660 On Policy Evaluation with Aggregate Time-Series Shocks
by Dmitry Arkhangelsky & Vasily Korovkin
- 1905.13645 Resolving New Keynesian Anomalies with Wealth in the Utility Function
by Pascal Michaillat & Emmanuel Saez
- 1905.13622 Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem
by Yan Gao
- 1905.13508 Clusters of investors around Initial Public Offering
by Margarita Baltakien.e & Kk{e}stutis Baltakys & Juho Kanniainen & Dino Pedreschi & Fabrizio Lillo
- 1905.13425 Cross-sectional Learning of Extremal Dependence among Financial Assets
by Xing Yan & Qi Wu & Wen Zhang
- 1905.13407 A simple and efficient numerical method for pricing discretely monitored early-exercise options
by Min Huang & Guo Luo
- 1905.13281 Labor Market Outcomes and Early Schooling: Evidence from School Entry Policies Using Exact Date of Birth
by Pedro Cavalcante Oliveira & Daniel Duque
- 1905.13140 Threshold Regression with Nonparametric Sample Splitting
by Yoonseok Lee & Yulong Wang
- 1905.13045 The Income Fluctuation Problem and the Evolution of Wealth
by Qingyin Ma & John Stachurski & Alexis Akira Toda
- 1905.12859 Heterogeneity in demand and optimal price conditioning for local rail transport
by Evgeniy M. Ozhegov & Alina Ozhegova
- 1905.12788 Detectability, Duality, and Surplus Extraction
by Giuseppe Lopomo & Luca Rigotti & Chris Shannon
- 1905.12705 Robust measurement of innovation performances in Europe with a hierarchy of interacting composite indicators
by Salvatore Corrente & Ana Garcia-Bernabeu & Salvatore Greco & Teemu Makkonen
- 1905.12500 On the many-to-one strongly stable fractional matching set
by Pablo A. Neme & Jorge Oviedo
- 1905.12495 Deep Generalized Method of Moments for Instrumental Variable Analysis
by Andrew Bennett & Nathan Kallus & Tobias Schnabel
- 1905.12431 An assets-liabilities dynamical model of banking system and systemic risk governance
by Lorella Fatone & Francesca Mariani
- 1905.12293 Centered and non-centered variance inflation factor
by Rom'an Salmer'on G'omez & Catalina Garc'ia Garc'ia y Jos'e Garc'ia P'erez
- 1905.12104 Heuristics in Multi-Winner Approval Voting
by Jaelle Scheuerman & Jason L. Harman & Nicholas Mattei & K. Brent Venable
- 1905.12020 Matching on What Matters: A Pseudo-Metric Learning Approach to Matching Estimation in High Dimensions
by Gentry Johnson & Brian Quistorff & Matt Goldman
- 1905.11905 Monetary Stabilization in Cryptocurrencies - Design Approaches and Open Questions
by Ingolf G. A. Pernice & Sebastian Henningsen & Roman Proskalovich & Martin Florian & Hermann Elendner & Bjorn Scheuermann
- 1905.11842 Graph-based era segmentation of international financial integration
by C'ecile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat
- 1905.11795 Credit Scoring by Incorporating Dynamic Networked Information
by Yibei Li & Ximei Wang & Boualem Djehiche & Xiaoming Hu
- 1905.11782 Many-player games of optimal consumption and investment under relative performance criteria
by Daniel Lacker & Agathe Soret
- 1905.11606 Perceived Advantage in Perspective Application of Integrated Choice and Latent Variable Model to Capture Electric Vehicles Perceived Advantage from Consumers Perspective
by Milad Ghasri & Ali Ardeshiri & Taha Rashidi
- 1905.11486 Autonomous Driving and Residential Location Preferences: Evidence from a Stated Choice Survey
by Rico Krueger & Taha H. Rashidi & Vinayak V. Dixit
- 1905.11328 A unified approach to xVA with CSA discounting and initial margin
by Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva
- 1905.11184 Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing
by Oliver Wichert & I. Gaia Becheri & Feike C. Drost & Ramon van den Akker
- 1905.11004 Contest Architecture with Public Disclosures
by Toomas Hinnosaar
- 1905.10806 Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks
by Domenico Di Gangi & Giacomo Bormetti & Fabrizio Lillo
- 1905.10787 Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
by Florian Huber & Gary Koop & Luca Onorante
- 1905.10758 Pure Nash Equilibria and Best-Response Dynamics in Random Games
by Ben Amiet & Andrea Collevecchio & Marco Scarsini & Ziwen Zhong
- 1905.10737 Revisiting Feller Diffusion: Derivation and Simulation
by Ranjiva Munasinghe & Leslie Kanthan & Pathum Kossinna
- 1905.10176 Machine Learning Estimation of Heterogeneous Treatment Effects with Instruments
by Vasilis Syrgkanis & Victor Lei & Miruna Oprescu & Maggie Hei & Keith Battocchi & Greg Lewis
- 1905.10164 How big should a Stress Shock be?
by David G Maher
- 1905.10116 Semi-Parametric Efficient Policy Learning with Continuous Actions
by Mert Demirer & Vasilis Syrgkanis & Greg Lewis & Victor Chernozhukov
- 1905.09647 Real-time Prediction of Bitcoin Bubble Crashes
by Min Shu & Wei Zhu
- 1905.09640 Detection of Chinese Stock Market Bubbles with LPPLS Confidence Indicator
by Min Shu & Wei Zhu
- 1905.09633 Diagnosis and Prediction of the 2015 Chinese Stock Market Bubble
by Min Shu & Wei Zhu
- 1905.09596 Variable annuities in a L\'evy-based hybrid model with surrender risk
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine
- 1905.09552 Technological Learning and Innovation Gestation Lags at the Frontier of Science: from CERN Procurement to Patent
by Andrea Bastianin & Paolo Castelnovo & Massimo Florio & Anna Giunta
- 1905.09474 Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models
by Ludovic Gouden`ege & Andrea Molent & Antonino Zanette
- 1905.09116 Cheating in Ranking Systems
by Lihi Dery & Dror Hermel & Artyom Jelnov
- 1905.08870 The perils of automated fitting of datasets: the case of a wind turbine cost model
by Claude Klockl & Katharina Gruber & Peter Regner & Sebastian Wehrle & Johannes Schmidt
- 1905.08535 Smoothing quantile regressions
by Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta
- 1905.08444 Predicting and Forecasting the Price of Constituents and Index of Cryptocurrency Using Machine Learning
by Reaz Chowdhury & M. Arifur Rahman & M. Sohel Rahman & M. R. C. Mahdy
- 1905.08234 Empirical bias of extreme-price auctions: analysis
by Rodrigo A. Velez & Alexander L. Brown
- 1905.08042 Testing Sharpe ratio: luck or skill?
by Eric Benhamou & David Saltiel & Beatrice Guez & Nicolas Paris
- 1905.08004 Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
by Lijun Bo & Huafu Liao & Xiang Yu
- 1905.07902 Demand forecasting techniques for build-to-order lean manufacturing supply chains
by Rodrigo Rivera-Castro & Ivan Nazarov & Yuke Xiang & Alexander Pletneev & Ivan Maksimov & Evgeny Burnaev
- 1905.07886 Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets
by Christopher Kath & Florian Ziel
- 1905.07848 Time Series Analysis and Forecasting of the US Housing Starts using Econometric and Machine Learning Model
by Sudiksha Joshi
- 1905.07812 Iterative Estimation of Nonparametric Regressions with Continuous Endogenous Variables and Discrete Instruments
by Samuele Centorrino & Fr'ed'erique F`eve & Jean-Pierre Florens
- 1905.07716 Spectral risk measures and uncertainty
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi
- 1905.07593 Nestedness in complex networks: Observation, emergence, and implications
by Manuel Sebastian Mariani & Zhuo-Ming Ren & Jordi Bascompte & Claudio Juan Tessone
- 1905.07581 Convolutional Feature Extraction and Neural Arithmetic Logic Units for Stock Prediction
by Shangeth Rajaa & Jajati Keshari Sahoo
- 1905.07546 Hedging crop yields against weather uncertainties -- a weather derivative perspective
by Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe
- 1905.07544 Driver Surge Pricing
by Nikhil Garg & Hamid Nazerzadeh
- 1905.07257 A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry
by Will Hicks
- 1905.07081 Cointegration in high frequency data
by Simon Clinet & Yoann Potiron
- 1905.07048 A Comment on "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting" by Hanming Fang and Yang Wang
by Jaap H. Abbring & {O}ystein Daljord
- 1905.06977 The Empirical Saddlepoint Estimator
by Benjamin Holcblat & Fallaw Sowell
- 1905.06733 Options to Receive Retirement Gratuity
by Reason Machete
- 1905.06722 The professional trader's paradox
by Andrea Berdondini
- 1905.06721 Unconventional Exchange: Methods for Statistical Analysis of Virtual Goods
by Oliver James Scholten & Peter Cowling & Kenneth A. Hawick & James Alfred Walker
- 1905.06564 Playing with ghosts in a Dynkin game
by Tiziano De Angelis & Erik Ekstrom
- 1905.06536 Improving Regression-based Event Study Analysis Using a Topological Machine-learning Method
by Takashi Yamashita & Ryozo Miura
- 1905.06491 Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities
by Joel L. Horowitz & Sokbae Lee
- 1905.06489 Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data
by C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky
- 1905.06485 Parallel Search for Information
by T. Tony Ke & Wenpin Tang & J. Miguel Villas-Boas & Yuming Zhang
- 1905.06400 mRSC: Multi-dimensional Robust Synthetic Control
by Muhummad Amjad & Vishal Misra & Devavrat Shah & Dennis Shen
- 1905.06364 Dynamic model of firms competitive interaction on the market with taxation
by Oleg Malafeyev & Eduard Abramyan & Andrey Shulga
- 1905.06315 Higher order approximation of call option prices under stochastic volatility models
by Archil Gulisashvili & Ra'ul Merino & Marc Lagunas & Josep Vives
- 1905.06213 Inverting the Markovian projection, with an application to local stochastic volatility models
by Daniel Lacker & Mykhaylo Shkolnikov & Jiacheng Zhang
- 1905.06166 Computational Socioeconomics
by Jian Gao & Yi-Cheng Zhang & Tao Zhou
- 1905.06037 Analyzing Subjective Well-Being Data with Misclassification
by Ekaterina Oparina & Sorawoot Srisuma
- 1905.05931 What is the Minimal Systemic Risk in Financial Exposure Networks?
by Christian Diem & Anton Pichler & Stefan Thurner
- 1905.05911 Reduced Form Capital Optimization
by Yadong Li & Dimitri Offengenden & Jan Burgy
- 1905.05841 Efficient computation of mean reverting portfolios using cyclical coordinate descent
by Th'eophile Griveau-Billion & Ben Calderhead
- 1905.05814 The paradox of monotone structural QRE
by Rodrigo A. Velez & Alexander L. Brown
- 1905.05813 The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance
by Ivan Arraut & Alan Au & Alan Ching-biu Tse & Carlos Segovia
- 1905.05730 Asset Pricing with Heterogeneous Beliefs and Illiquidity
by Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan
- 1905.05663 Approximation of Optimal Transport problems with marginal moments constraints
by Aur'elien Alfonsi & Rafael Coyaud & Virginie Ehrlacher & Damiano Lombardi
- 1905.05429 A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity
by Soren Christensen & Luis H. R. Alvarez E
- 1905.05371 Merton's portfolio problem under Volterra Heston model
by Bingyan Han & Hoi Ying Wong
- 1905.05310 On the consistency of jump-diffusion dynamics for FX rates under inversion
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini
- 1905.05237 Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown
by Lisa R. Goldberg & Saad Mouti
- 1905.05157 Mixtures of Mean-Preserving Contractions
by Joseph Whitmeyer & Mark Whitmeyer
- 1905.05027 Asset Pricing with General Transaction Costs: Theory and Numerics
by Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi
- 1905.05023 Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases
by Adriano Koshiyama & Nick Firoozye
- 1905.04964 Exogenous Rewards for Promoting Cooperation in Scale-Free Networks
by Theodor Cimpeanu & The Anh Han & Francisco C. Santos
- 1905.04852 Is Volatility Rough ?
by Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal
- 1905.04842 A Stock Selection Method Based on Earning Yield Forecast Using Sequence Prediction Models
by Jessie Sun
- 1905.04821 Optimal multi-asset trading with linear costs: a mean-field approach
by Matt Emschwiller & Benjamin Petit & Jean-Philippe Bouchaud
- 1905.04603 A New Stock Market Valuation Measure with Applications to Retirement Planning
by Andrey Sarantsev
- 1905.04569 Impact is not just volatility
by Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud
- 1905.04443 Regression Discontinuity Design with Multiple Groups for Heterogeneous Causal Effect Estimation
by Takayuki Toda & Ayako Wakano & Takahiro Hoshino
- 1905.04419 The role of pawnshops in risk coping in early twentieth-century Japan
by Tatsuki Inoue
- 1905.04417 Particulate Air Pollution, Birth Outcomes, and Infant Mortality: Evidence from Japan's Automobile Emission Control Law of 1992
by Tatsuki Inoue & Nana Nunokawa & Daisuke Kurisu & Kota Ogasawara
- 1905.04397 ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models
by Ben Hambly & Nikolaos Kolliopoulos
- 1905.04370 A Three-state Opinion Formation Model for Financial Markets
by Bernardo J. Zubillaga & Andr'e L. M. Vilela & Chao Wang & Kenric P. Nelson & H. Eugene Stanley
- 1905.04137 Applications of a New Self-Financing Equation
by Rene Carmona & Kevin Webster
- 1905.04028 Demand and Welfare Analysis in Discrete Choice Models with Social Interactions
by Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya
- 1905.03959 Identifying Present-Bias from the Timing of Choices
by Paul Heidhues & Philipp Strack
- 1905.03876 Empirical bias and efficiency of alpha-auctions: experimental evidence
by Alexander L. Brown & Rodrigo A. Velez
- 1905.03615 On the Kolkata index as a measure of income inequality
by Suchismita Banerjee & Bikas K. Chakrabarti & Manipushpak Mitra & Suresh Mutuswami
- 1905.03463 The Likelihood of Mixed Hitting Times
by Jaap H. Abbring & Tim Salimans
- 1905.03452 The Implications of Pricing on Social Learning
by Itai Arieli & Moran Koren & Rann Smorodinsky
- 1905.03340 Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance
by St'ephane Bl'emus & Dominique Guegan
- 1905.03339 Privatizaciones, fusiones y adquisiciones: las grandes empresas en M\'exico
by Rigoberto P'erez Ram'irez
- 1905.03338 A Policy Compass for Ecological Economics
by Mich`ele Friend
- 1905.03316 Repo convexity
by Paul McCloud
- 1905.03273 Dependencies and systemic risk in the European insurance sector: Some new evidence based on copula-DCC-GARCH model and selected clustering methods
by Anna Denkowska & Stanis{l}aw Wanat
- 1905.03211 Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena
by C. R. da Cunha & R. da Silva
- 1905.03189 Online reviews can predict long-term returns of individual stocks
by Junran Wu & Ke Xu & Jichang Zhao
- 1905.03108 From Sicilian mafia to Chinese "scam villages"
by Jeff Yan
- 1905.03092 Working women and caste in India: A study of social disadvantage using feature attribution
by Kuhu Joshi & Chaitanya K. Joshi
- 1905.03002 The mitigating role of regulation on the concentric patterns of broadband diffusion. The case of Finland
by Jaume Benseny & Juuso Toyli & Heikki Hammainen & Andr'es Arcia-Moret
- 1905.02956 Economic Performance Through Time: A Dynamical Theory
by Daniel Seligson & Anne McCants
- 1905.02917 Spherical Preferences
by Christopher P. Chambers & Federico Echenique
- 1905.02875 Does Environmental Economics lead to patentable research?
by Xiaojun Hu & Ronald Rousseau & Sandra Rousseau
- 1905.02817 Conditions for stable equilibrium in Cournot duopoly models with tax evasion and time delay
by Raul Villafuerte-Segura & Eduardo Alvarado-Santos & Benjamin A. Itza-Ortiz
- 1905.02810 Decision Making with Machine Learning and ROC Curves
by Kai Feng & Han Hong & Ke Tang & Jingyuan Wang
- 1905.02674 Where does active travel fit within local community narratives of mobility space and place?
by Alec Biehl & Ying Chen & Karla Sanabria-Veaz & David Uttal & Amanda Stathopoulos
- 1905.02650 A class of recursive optimal stopping problems with applications to stock trading
by Katia Colaneri & Tiziano De Angelis
- 1905.02107 Lasso under Multi-way Clustering: Estimation and Post-selection Inference
by Harold D. Chiang & Yuya Sasaki
- 1905.02092 Impact of Artificial Intelligence on Businesses: from Research, Innovation, Market Deployment to Future Shifts in Business Models
by Neha Soni & Enakshi Khular Sharma & Narotam Singh & Amita Kapoor
- 1905.02073 When abstinence increases prevalence
by Sander Heinsalu
- 1905.02061 Estimation of high-dimensional factor models and its application in power data analysis
by Xin Shi & Robert Qiu
- 1905.01894 A Binomial Asset Pricing Model in a Categorical Setting
by Takanori Adachi & Katsushi Nakajima & Yoshihiro Ryu
- 1905.01859 Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
by Martin Brown & Tomasz Zastawniak
- 1905.01805 Computing a Data Dividend
by Eric Bax
- 1905.01798 Non-standard inference for augmented double autoregressive models with null volatility coefficients
by Feiyu Jiang & Dong Li & Ke Zhu
- 1905.01720 Numerical method for model-free pricing of exotic derivatives using rough path signatures
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.01706 Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
by Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee
- 1905.01693 Public goods in networks with constraints on sharing
by Stefanie Gerke & Gregory Gutin & Sung-Ha Hwang & Philip Neary
- 1905.01617 Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study
by Marcel Ausloos & Ali Eskandary & Parmjit Kaur & Gurjeet Dhesi
- 1905.01541 Co-jumping of Treasury Yield Curve Rates
by Jozef Barunik & Pavel Fiser
- 1905.01327 Do Informational Cascades Happen with Non-myopic Agents?
by Ilai Bistritz & Nasimeh Heydaribeni & Achilleas Anastasopoulos
- 1905.01099 PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
by M. C. Calvo-Garrido & S. Diop & A. Pascucci & C. V'azquez
- 1905.01096 A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications
by Grigory Franguridi & Hyungsik Roger Moon
- 1905.01018 Fractal Time Series Analysis of Social Network Activities
by Lyudmyla Kirichenko & Vitalii Bulakh & Tamara Radivilova
- 1905.00853 The Declining Price Anomaly is not Universal in Multi-Buyer Sequential Auctions (but almost is)
by Vishnu V. Narayan & Enguerrand Prebet & Adrian Vetta
- 1905.00744 Sparsity Double Robust Inference of Average Treatment Effects
by Jelena Bradic & Stefan Wager & Yinchu Zhu
- 1905.00728 Optimal execution with rough path signatures
by Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas
- 1905.00711 Nonparametric pricing and hedging of exotic derivatives
by Terry Lyons & Sina Nejad & Imanol Perez Arribas
- 1905.00556 Data Analytics in Operations Management: A Review
by Velibor V. Miv{s}i'c & Georgia Perakis
- 1905.00545 Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies
by Andr'es Garc'ia Medina & Graciela Gonz'alez-Far'ias
- 1905.00486 Set-valued risk statistics with the time value of money
by Fei Sun & Xiaozhi Fan & Weitao Liu
- 1905.00419 Variational Bayesian Inference for Mixed Logit Models with Unobserved Inter- and Intra-Individual Heterogeneity
by Rico Krueger & Prateek Bansal & Michel Bierlaire & Ricardo A. Daziano & Taha H. Rashidi
- 1905.00364 Matching for the Israeli "Mechinot" Gap-Year Programs: Handling Rich Diversity Requirements
by Yannai A. Gonczarowski & Lior Kovalio & Noam Nisan & Assaf Romm
- 1905.00355 Compactification of Extensive Game Structures and Backward Dominance Procedure
by Shuige Liu
- 1905.00238 Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
by Kathrin Glau & Ricardo Pachon & Christian Potz
- 1905.00175 Boosting: Why You Can Use the HP Filter
by Peter C. B. Phillips & Zhentao Shi
- 1905.00107 Statistical Learning for Probability-Constrained Stochastic Optimal Control
by Alessandro Balata & Michael Ludkovski & Aditya Maheshwari & Jan Palczewski
- 1904.13329 Supervised Machine Learning for Eliciting Individual Demand
by John A. Clithero & Jae Joon Lee & Joshua Tasoff
- 1904.13276 Tax Mechanisms and Gradient Flows
by Stefan Steinerberger & Aleh Tsyvinski
- 1904.13257 Risk measures and progressive enlargement of filtration: a BSDE approach
by Alessandro Calvia & Emanuela Rosazza Gianin
- 1904.13194 A Factor-Augmented Markov Switching (FAMS) Model
by Gregor Zens & Maximilian Bock
- 1904.13064 Bessel-like birth-death process
by Vygintas Gontis & Aleksejus Kononovicius
- 1904.12992 Fast Mesh Refinement in Pseudospectral Optimal Control
by N. Koeppen & I. M. Ross & L. C. Wilcox & R. J. Proulx
- 1904.12887 Curriculum Learning in Deep Neural Networks for Financial Forecasting
by Allison Koenecke & Amita Gajewar
- 1904.12834 Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
by Yu Zheng & Yongxin Yang & Bowei Chen
- 1904.12775 Exact Testing of Many Moment Inequalities Against Multiple Violations
by Nick Koning & Paul Bekker
- 1904.12614 Modelling election dynamics and the impact of disinformation
by Dorje C Brody
- 1904.12526 Empirical facts characterizing banking crises: an analysis via binary time series
by Paolo Di Caro & Giuseppe Pernagallo & Antonino Damiano Rossello & Benedetto Torrisi
- 1904.12442 Mean-variance portfolio selection under Volterra Heston model
by Bingyan Han & Hoi Ying Wong
- 1904.12422 Efficiency in Truthful Auctions via a Social Network
by Seiji Takanashi & Takehiro Kawasaki & Taiki Todo & Makoto Yokoo
- 1904.12397 Identification of Key Companies for International Profit Shifting in the Global Ownership Network
by Tembo Nakamoto & Abhijit Chakraborty & Yuichi Ikeda
- 1904.12346 Rough volatility of Bitcoin
by Tetsuya Takaishi
- 1904.12260 Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
by Takuji Arai
- 1904.12134 Regulating AI: do we need new tools?
by Otello Ardovino & Jacopo Arpetti & Marco Delmastro
- 1904.12113 Tail models and the statistical limit of accuracy in risk assessment
by Ingo Hoffmann & Christoph J. Borner
- 1904.12085 The Category of Node-and-Choice Forms, with Subcategories for Choice-Sequence Forms and Choice-Set Forms
by Peter A. Streufert
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