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Content
2018
- 1808.05893 Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
by Marcel Ausloos & Francesca Bartolacci & Nicola G. Castellano & Roy Cerqueti
- 1808.05890 A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences
by Slobodan Milovanovi'c & Lina von Sydow
- 1808.05792 Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors
by Sukjin Han & Sungwon Lee
- 1808.05572 When Do Households Invest in Solar Photovoltaics? An Application of Prospect Theory
by Martin Klein & Marc Deissenroth
- 1808.05527 Deep Learning for Energy Markets
by Michael Polson & Vadim Sokolov
- 1808.05311 Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
by Alexander Lipton & Vadim Kaushansky & Christoph Reisinger
- 1808.05295 SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations
by Svetlana Boyarchenko & Sergei Levendorskiu{i}
- 1808.05293 Design-based Analysis in Difference-In-Differences Settings with Staggered Adoption
by Susan Athey & Guido Imbens
- 1808.05289 A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
by Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang
- 1808.05169 Inventory Management for High-Frequency Trading with Imperfect Competition
by Sebastian Herrmann & Johannes Muhle-Karbe & Dapeng Shang & Chen Yang
- 1808.05142 Brexit: The Belated Threat
by D'ora Gr'eta Petr'oczy & Mark Francis Rogers & L'aszl'o 'A. K'oczy
- 1808.05037 Game-theoretic dynamic investment model with incomplete information: futures contracts
by Oleg Malafeyev & Shulga Andrey
- 1808.04970 Can GDP measurement be further improved? Data revision and reconciliation
by Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden
- 1808.04936 A Unified Framework for Efficient Estimation of General Treatment Models
by Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang
- 1808.04908 Robust XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm
- 1808.04878 Latent Agents in Networks: Estimation and Targeting
by Baris Ata & Alexandre Belloni & Ozan Candogan
- 1808.04725 Dynamic programming for optimal stopping via pseudo-regression
by Christian Bayer & Martin Redmann & John Schoenmakers
- 1808.04710 Regime-Switching Temperature Dynamics Model for Weather Derivatives
by Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe
- 1808.04613 Optimal investment-consumption and life insurance with capital constraints
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04611 A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
by Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu
- 1808.04608 On the optimal investment-consumption and life insurance selection problem with an external stochastic factor
by Rodwell Kufakunesu & Calisto Guambe
- 1808.04604 Risk-based optimal portfolio of an insurer with regime switching and noisy memory
by Rodwell Kufakunesu & Calisto Guambe & Lesedi Mabitsela
- 1808.04416 Extrapolating Treatment Effects in Multi-Cutoff Regression Discontinuity Designs
by Matias D. Cattaneo & Luke Keele & Rocio Titiunik & Gonzalo Vazquez-Bare
- 1808.04265 Turnpike Property and Convergence Rate for an Investment and Consumption Model
by Baojun Bian & Harry Zheng
- 1808.04233 Connecting Sharpe ratio and Student t-statistic, and beyond
by Eric Benhamou
- 1808.04231 GARCH(1,1) model of the financial market with the Minkowski metric
by Richard Pincak & Kabin Kanjamapornkul
- 1808.04150 A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach
by Sina Aghaei & Amirreza Safari Langroudi & Masoud Fekri
- 1808.04020 Mechanism Design with News Utility
by Jetlir Duraj
- 1808.03897 Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design
by Chao Luo
- 1808.03804 The Impact of Age on Nationality Bias: Evidence from Ski Jumping
by Sandra Schneemann & Hendrik Scholten & Christian Deutscher
- 1808.03698 BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
by Yuri Fonseca & Marcelo Medeiros & Gabriel Vasconcelos & Alvaro Veiga
- 1808.03668 DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
by Zihao Zhang & Stefan Zohren & Stephen Roberts
- 1808.03610 On smile properties of volatility derivatives and exotic products: understanding the VIX skew
by Elisa Al`os & David Garc'ia-Lorite & Aitor Muguruza
- 1808.03607 "Quantum Equilibrium-Disequilibrium": Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
by Igor Halperin & Matthew Dixon
- 1808.03548 Small-time moderate deviations for the randomised Heston model
by Antoine Jacquier & Fangwei Shi
- 1808.03482 Exeum: A Decentralized Financial Platform for Price-Stable Cryptocurrencies
by Jaehyung Lee & Minhyung Cho
- 1808.03481 Concave Shape of the Yield Curve and No Arbitrage
by Jian Sun
- 1808.03463 The Hull-White Model under Volatility Uncertainty
by Julian Holzermann
- 1808.03404 Hysteresis of economic networks in an XY model
by Ali Hosseiny & Mohammadreza Absalan & Mohammad Sherafati & Mauro Gallegati
- 1808.03364 A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment
by Matthew Harding & Carlos Lamarche
- 1808.03328 The value of a liability cash flow in discrete time subject to capital requirements
by Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog
- 1808.03297 Trend without hiccups: a Kalman filter approach
by Eric Benhamou
- 1808.03186 The financial value of knowing the distribution of stock prices in discrete market models
by Ayelet Amiran & Fabrice Baudoin & Skylyn Brock & Berend Coster & Ryan Craver & Ugonna Ezeaka & Phanuel Mariano & Mary Wishart
- 1808.03129 Existence of Equilibrium Prices: A Pedagogical Proof
by Simone Tonin
- 1808.03109 Change Point Estimation in Panel Data with Time-Varying Individual Effects
by Otilia Boldea & Bettina Drepper & Zhuojiong Gan
- 1808.03070 Network-based Referral Mechanism in a Crowdfunding-based Marketing Pattern
by Yongli Li & Zhi-Ping Fan & Wei Zhang
- 1808.02953 Some Statistical Problems with High Dimensional Financial data
by Arnab Chakrabarti & Rituparna Sen
- 1808.02910 Information Content of DSGE Forecasts
by Ray Fair
- 1808.02826 Lattice Studies of Gerrymandering Strategies
by Kyle Gatesman & James Unwin
- 1808.02791 American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo
by Anurag Sodhi
- 1808.02569 Machine Learning for Dynamic Discrete Choice
by Vira Semenova
- 1808.02505 Combining Independent Smart Beta Strategies for Portfolio Optimization
by Phil Maguire & Karl Moffett & Rebecca Maguire
- 1808.02478 A generalized scheme for BSDEs based on derivative approximation and its error estimates
by Chol-Kyu Pak & Mun-Chol Kim & O Hun
- 1808.02457 Generating VaR scenarios with product beta distributions
by Dietmar Pfeifer & Olena Ragulina
- 1808.02365 Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts
by Slobodan Milovanovi'c
- 1808.02341 Optimal stopping via reinforced regression
by Denis Belomestny & John Schoenmakers & Vladimir Spokoiny & Bakhyt Zharkynbay
- 1808.02233 Robust Pricing with Refunds
by Toomas Hinnosaar & Keiichi Kawai
- 1808.02173 Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations
by Chol-Kyu Pak & Mun-Chol Kim & Chang-Ho Rim
- 1808.01926 An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
by Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso
- 1808.01560 Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model
by Hyeong Kyu Choi
- 1808.01398 Coverage Error Optimal Confidence Intervals for Local Polynomial Regression
by Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell
- 1808.01351 A characterization of "Phelpsian" statistical discrimination
by Christopher P. Chambers & Federico Echenique
- 1808.01261 Token Economics in Energy Systems: Concept, Functionality and Applications
by Jun Zhang & Fei-Yue Wang & Siyuan Chen
- 1808.01237 The role of industry, occupation, and location specific knowledge in the survival of new firms
by C. Jara-Figueroa & Bogang Jun & Edward Glaeser & Cesar Hidalgo
- 1808.01205 Can Network Theory-based Targeting Increase Technology Adoption?
by Lori Beaman & Ariel BenYishay & Jeremy Magruder & Ahmed Mushfiq Mobarak
- 1808.00982 Adaptive l1-regularization for short-selling control in portfolio selection
by Stefania Corsaro & Valentina De Simone
- 1808.00866 Infinite dimensional portfolio representation as applied to model points selection in life insurance
by Enrico Ferri
- 1808.00821 Law-invariant functionals on general spaces of random variables
by Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland
- 1808.00656 Asian Option Pricing under Uncertain Volatility Model
by Yuecai Han & Chunyang Liu
- 1808.00515 Optimal Trading with General Signals and Liquidation in Target Zone Models
by Christoph Belak & Johannes Muhle-Karbe & Kevin Ou
- 1808.00421 Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions
by Archil Gulisashvili
- 1808.00296 Dynamic Random Subjective Expected Utility
by Jetlir Duraj
- 1808.00160 Mapping the Privacy-Utility Tradeoff in Mobile Phone Data for Development
by Alejandro Noriega-Campero & Alex Rutherford & Oren Lederman & Yves A. de Montjoye & Alex Pentland
- 1808.00131 A Theory of Dichotomous Valuation with Applications to Variable Selection
by Xingwei Hu
- 1807.11864 Strictly strategy-proof auctions
by Matteo Escud'e & Ludvig Sinander
- 1807.11863 On the Unbiased Asymptotic Normality of Quantile Regression with Fixed Effects
by Antonio F. Galvao & Jiaying Gu & Stanislav Volgushev
- 1807.11835 The econometrics of happiness: Are we underestimating the returns to education and income?
by Christopher P Barrington-Leigh
- 1807.11823 Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities
by Frantiv{s}ek v{C}ech & Jozef Barun'ik
- 1807.11751 Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
by Adam Majewski & Stefano Ciliberti & Jean-Philippe Bouchaud
- 1807.11743 Modeling joint probability distribution of yield curve parameters
by Jarek Duda & Ma{l}gorzata Snarska
- 1807.11703 Shortfall Minimization for Game Options in Discrete Time
by Yuri Kifer
- 1807.11585 Preference Identification
by Christopher P. Chambers & Federico Echenique & Nicolas S. Lambert
- 1807.11477 Polarization under rising inequality and economic decline
by Alexander J. Stewart & Nolan McCarty & Joanna J. Bryson
- 1807.11408 Local Linear Forests
by Rina Friedberg & Julie Tibshirani & Susan Athey & Stefan Wager
- 1807.11381 A factor-model approach for correlation scenarios and correlation stress-testing
by Natalie Packham & Fabian Woebbeking
- 1807.11102 Banking Stability System: Does it Matter if the Rate of Return is Fixed or Stochastic?
by Hassan Ghassan
- 1807.10924 Corrected XVA Modelling Framework and Formulae for KVA and MVA
by Antti Vauhkonen
- 1807.10895 Exceeding Expectations: Stochastic Dominance as a General Decision Theory
by Christian Tarsney
- 1807.10793 Combined Mutiplicative-Heston Model for Stochastic Volatility
by M. Dashti Moghaddam & R. A. Serota
- 1807.10694 Scalar multivariate risk measures with a single eligible asset
by Zachary Feinstein & Birgit Rudloff
- 1807.10537 Investigating Wheat Price with a Multi-Agent Model
by Gianfranco Giulioni & Edmondo Di Giuseppe & Massimiliano Pasqui & Piero Toscano & Francesco Miglietta
- 1807.10464 A maximum entropy network reconstruction of macroeconomic models
by Aur'elien Hazan
- 1807.10276 A new and stable estimation method of country economic fitness and product complexity
by Vito D. P. Servedio & Paolo Butt`a & Dario Mazzilli & Andrea Tacchella & Luciano Pietronero
- 1807.10115 Key Borrowers Detection by Long-Range Interactions
by Fuad Aleskerov & Natalia Meshcheryakova & Alisa Nikitina & Sergey Shvydun
- 1807.10114 The Evolution of Security Prices Is Not Stochastic but Governed by a Physicomathematical Law
by Wally Tzara
- 1807.10100 Two-Step Estimation and Inference with Possibly Many Included Covariates
by Matias D. Cattaneo & Michael Jansson & Xinwei Ma
- 1807.09967 A Collaborative Approach to Angel and Venture Capital Investment Recommendations
by Xinyi Liu & Artit Wangperawong
- 1807.09919 Betas, Benchmarks and Beating the Market
by Zura Kakushadze & Willie Yu
- 1807.09873 Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL
by Mnacho Echenim & Herv'e Guiol & Nicolas Peltier
- 1807.09864 Incremental Sharpe and other performance ratios
by Eric Benhamou & Beatrice Guez
- 1807.09660 Hospitality Students' Perceptions towards Working in Hotels: a case study of the faculty of tourism and hotels in Alexandria University
by Sayed El-Houshy
- 1807.09595 Towards equation of state for a market: A thermodynamical paradigm of economics
by Burin Gumjudpai
- 1807.09583 SME investment best strategies. Outliers for assessing how to optimize performance
by Marcel Ausloos & Roy Cerqueti & Francesca Bartolacci & Nicola G. Castellano
- 1807.09577 Apologia Pro Vita Sua: The Vanishing of the White Whale in the Mists
by Martin Shubik
- 1807.09475 CAP and Monetary Policy
by Carl Duisberg
- 1807.09424 Artificial Increasing Returns to Scale and the Problem of Sampling from Lognormals
by Andres Gomez-Lievano & Vladislav Vysotsky & Jose Lobo
- 1807.09423 Entropy Analysis of Financial Time Series
by Stephan Schwill
- 1807.09346 Investigating the configurations in cross-shareholding: a joint copula-entropy approach
by Roy Cerqueti & Giulia Rotundo & Marcel Ausloos
- 1807.08982 Utility maximization for L{\'e}vy switching models
by Lioudmila Vostrikova & Yuchao Dong
- 1807.08644 Atomic Swaptions: Cryptocurrency Derivatives
by James A. Liu
- 1807.08404 An Impossibility Theorem for Wealth in Heterogeneous-agent Models with Limited Heterogeneity
by John Stachurski & Alexis Akira Toda
- 1807.08390 Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models
by Bal'azs Csan'ad Cs'aji
- 1807.08278 Liquidity in Competitive Dealer Markets
by Peter Bank & Ibrahim Ekren & Johannes Muhle-Karbe
- 1807.08222 Backward SDEs for Control with Partial Information
by Andrew Papanicolaou
- 1807.08097 EMU and ECB Conflicts
by William Mackenzie
- 1807.08081 Optimal Dividend of Compound Poisson Process under a Stochastic Interest Rate
by Linlin Tian & Xiaoyi Zhang
- 1807.07925 Asymptotic results under multiway clustering
by Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch
- 1807.07848 Self-regulation promotes cooperation in social networks
by Dario Madeo & Chiara Mocenni
- 1807.07730 Stability in EMU
by Theo Peeters
- 1807.07328 Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016
by Abdolrahman Khoshrou & Eric J. Pauwels
- 1807.07215 Machine Learning Classifiers Do Not Improve the Prediction of Academic Risk: Evidence from Australia
by Sarah Cornell-Farrow & Robert Garrard
- 1807.07155 Take a Look Around: Using Street View and Satellite Images to Estimate House Prices
by Stephen Law & Brooks Paige & Chris Russell
- 1807.07051 A New Index of Human Capital to Predict Economic Growth
by Henry Laverde & Juan C. Correa & Klaus Jaffe
- 1807.07036 Disentangling and quantifying market participant volatility contributions
by Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy
- 1807.06993 Cross Validation Based Model Selection via Generalized Method of Moments
by Junpei Komiyama & Hajime Shimao
- 1807.06977 Quantile-Regression Inference With Adaptive Control of Size
by Juan Carlos Escanciano & Chuan Goh
- 1807.06927 Stochastic Dominance Under Independent Noise
by Luciano Pomatto & Philipp Strack & Omer Tamuz
- 1807.06892 A unifying approach to constrained and unconstrained optimal reinsurance
by Yuxia Huang & Chuancun Yin
- 1807.06824 News-based trading strategies
by Stefan Feuerriegel & Helmut Prendinger
- 1807.06822 Customer Sharing in Economic Networks with Costs
by Bin Li & Dong Hao & Dengji Zhao & Tao Zhou
- 1807.06698 Pink Work: Same-Sex Marriage, Employment and Discrimination
by Dario Sansone
- 1807.06622 Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging
by Haojie Wang & Han Chen & Agus Sudjianto & Richard Liu & Qi Shen
- 1807.06546 Analysis of Advisor Portfolio using Multivariate Time Series and Cosine Similarity
by Gayatri Pradhan
- 1807.06449 Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
by Tahir Choulli & Sina Yansori
- 1807.06338 Limit Theorems for Factor Models
by Stanislav Anatolyev & Anna Mikusheva
- 1807.06157 A Mathematical Model for Optimal Decisions in a Representative Democracy
by Malik Magdon-Ismail & Lirong Xia
- 1807.05917 Hedging with physical or cash settlement under transient multiplicative price impact
by Dirk Becherer & Todor Bilarev
- 1807.05837 Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors
by Vladimir Soloviev & Andrey Belinskiy
- 1807.05836 Forecasting market states
by Pier Francesco Procacci & Tomaso Aste
- 1807.05773 Portfolio Optimization with Nondominated Priors and Unbounded Parameters
by Kerem Ugurlu
- 1807.05737 Consumption smoothing in the working-class households of interwar Japan
by Kota Ogasawara
- 1807.05692 On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
by Lesiba Ch. Galane & Rafa{l} M. {L}ochowski & Farai J. Mhlanga
- 1807.05678 A Simple and Efficient Estimation of the Average Treatment Effect in the Presence of Unmeasured Confounders
by Chunrong Ai & Lukang Huang & Zheng Zhang
- 1807.05513 Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching
by Lijun Bo & Huafu Liao & Yongjin Wang
- 1807.05477 Linear Programming Based Near-Optimal Pricing for Laminar Bayesian Online Selection
by Nima Anari & Rad Niazadeh & Amin Saberi & Ali Shameli
- 1807.05448 Arbitrage-Free Pricing of Game Options in Nonlinear Markets
by Tianyang Nie & Edward Kim & Marek Rutkowski
- 1807.05396 On the optimal choice of strike conventions in exchange option pricing
by Elisa Al`os & Michael Coulon
- 1807.05360 Characterizing Cryptocurrency market with Levy's stable distributions
by Shinji Kakinaka & Ken Umeno
- 1807.05293 Markets Beyond Nash Welfare for Leontief Utilities
by Ashish Goel & Reyna Hulett & Benjamin Plaut
- 1807.05265 Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework
by Chung-Han Hsieh & John A. Gubner & B. Ross Barmish
- 1807.05126 At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem
by Sean Ledger & Andreas Sojmark
- 1807.05015 Emergence of correlations between securities at short time scales
by S. Valeyre & D. S. Grebenkov & S. Aboura
- 1807.04621 Analysis of a Dynamic Voluntary Contribution Mechanism Public Good Game
by Dmytro Bogatov
- 1807.04612 Pricing without martingale measure
by Julien Baptiste & Laurence Carassus & Emmanuel L'epinette
- 1807.04393 Testing of Binary Regime Switching Models using Squeeze Duration Analysis
by Milan Kumar Das & Anindya Goswami
- 1807.04211 Robust estimation of superhedging prices
by Jan Obloj & Johannes Wiesel
- 1807.04161 Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey
by Martin Guth
- 1807.04094 Factor models with many assets: strong factors, weak factors, and the two-pass procedure
by Stanislav Anatolyev & Anna Mikusheva
- 1807.04004 Clustering Macroeconomic Time Series
by Iwo Augusty'nski & Pawe{l} Lasko's-Grabowski
- 1807.03893 Stochastic Switching Games
by Liangchen Li & Michael Ludkovski
- 1807.03882 European Option Pricing with Stochastic Volatility models under Parameter Uncertainty
by Samuel N. Cohen & Martin Tegn'er
- 1807.03813 Nash equilibrium for risk-averse investors in a market impact game with transient price impact
by Xiangge Luo & Alexander Schied
- 1807.03364 A global consumer-led strategy to tackle climate change
by Anthony J. Webster
- 1807.03229 Probability measure-valued polynomial diffusions
by Christa Cuchiero & Martin Larsson & Sara Svaluto-Ferro
- 1807.03192 Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting
by Sid Ghoshal & Stephen J. Roberts
- 1807.03048 Simulation Modelling of Inequality in Cancer Service Access
by Ka C. Chan & Ruth F. G. Williams & Christopher T. Lenard & Terence M. Mills
- 1807.03045 Cancer Risk Messages: Public Health and Economic Welfare
by Ruth F. G. Williams & Ka C. Chan & Christopher T. Lenard & Terence M. Mills
- 1807.03040 Cancer Risk Messages: A Light Bulb Model
by Ka C. Chan & Ruth F. G. Williams & Christopher T. Lenard & Terence M. Mills
- 1807.03034 Transaction costs and institutional change of trade litigations in Bulgaria
by Shteryo Nozharov & Petya Koralova-Nozharova
- 1807.02923 Emergence of frustration signals systemic risk
by Chandrashekar Kuyyamudi & Anindya S. Chakrabarti & Sitabhra Sinha
- 1807.02814 Measurement Errors as Bad Leverage Points
by Eric Blankmeyer
- 1807.02787 Financial Trading as a Game: A Deep Reinforcement Learning Approach
by Chien Yi Huang
- 1807.02711 Capital Regulation under Price Impacts and Dynamic Financial Contagion
by Zachary Feinstein
- 1807.02502 Maximizing Welfare in Social Networks under a Utility Driven Influence Diffusion Model
by Prithu Banerjee & Wei Chen & Laks V. S. Lakshmanan
- 1807.02422 A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework
by Chao Wang & Richard Gerlach & Qian Chen
- 1807.02357 Autoregressive Wild Bootstrap Inference for Nonparametric Trends
by Marina Friedrich & Stephan Smeekes & Jean-Pierre Urbain
- 1807.02248 State-Varying Factor Models of Large Dimensions
by Markus Pelger & Ruoxuan Xiong
- 1807.02243 Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price
by Jian Sun
- 1807.02227 Polynomial time algorithm for optimal stopping with fixed accuracy
by David A. Goldberg & Yilun Chen
- 1807.02161 Minimizing Sensitivity to Model Misspecification
by St'ephane Bonhomme & Martin Weidner
- 1807.02099 Fixed Effects and the Generalized Mundlak Estimator
by Dmitry Arkhangelsky & Guido Imbens
- 1807.02015 Mean field systems on networks, with singular interaction through hitting times
by Sergey Nadtochiy & Mykhaylo Shkolnikov
- 1807.01994 Bring a friend! Privately or Publicly?
by Elias Carroni & Paolo Pin & Simone Righi
- 1807.01979 Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes
by Marco Piccirilli & Tiziano Vargiolu
- 1807.01977 A theory for combinations of risk measures
by Marcelo Brutti Righi
- 1807.01934 Directed Continuous-Time Random Walk with memory
by Jaros{l}aw Klamut & Tomasz Gubiec
- 1807.01816 Systems of ergodic BSDEs arising in regime switching forward performance processes
by Ying Hu & Gechun Liang & Shanjian Tang
- 1807.01785 Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency
by Ken Seng Tan & Wei Wei & Xun Yu Zhou
- 1807.01756 Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns
by Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev
- 1807.01661 On the Identifying Content of Instrument Monotonicity
by Vishal Kamat
- 1807.01579 Indirect inference through prediction
by Ernesto Carrella & Richard M. Bailey & Jens Koed Madsen
- 1807.01428 Trading Cointegrated Assets with Price Impact
by Alvaro Cartea & Luhui Gan & Sebastian Jaimungal
- 1807.01186 Optimal investment and consumption with forward preferences and uncertain parameters
by Wing Fung Chong & Gechun Liang
- 1807.00939 Mining Illegal Insider Trading of Stocks: A Proactive Approach
by Sheikh Rabiul Islam & Sheikh Khaled Ghafoor & William Eberle
- 1807.00573 Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
by Damien Challet
- 1807.00568 Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift
by Jorn Sass & Dorothee Westphal & Ralf Wunderlich
- 1807.00529 Stochastic model specification in Markov switching vector error correction models
by Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner
- 1807.00419 Maastricht and Monetary Cooperation
by Chris Kirrane
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