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2014: Risk-Sensitive Mean-Field Type Control under Partial Observation
Boualem Djehiche and Hamidou Tembine
2014: On Trading American Put Options with Interactive Volatility
Sigurd Assing and Yufan Zhao
2014: Risk minimization and portfolio diversification
Farzad Pourbabaee , Minsuk Kwak and Traian A. Pirvu
2014: On robust representation of conditional risk measures on a $L^\infty$-type module
Zapata, Jos\'e Miguel
2014: Identifying A Screening Model with Multidimensional Private Information
Gaurab Aryal
2014: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung , Xin Li and Zheng Wang
2014: Two maxentropic approaches to determine the probability density of compound risk losses
Gomes-Gon\c{c}alves, Erika , Henryk Gzyl and Silvia Mayoral
2014: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
Xiaolin Luo and Pavel V. Shevchenko
2014: Large deviations of the realized (co-)volatility vector
Djellout, Hac\`ene , Arnaud Guillin and Yacouba Samoura
2014: Optimal Mean Reversion Trading with Transaction Cost and Stop-Loss Exit
Tim Leung and Xin Li
2014: Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
David Walsh-Jones , Daniel Jones and Christoph Reisinger
2014: Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
Frank Gehmlich and Thorsten Schmidt
2014: Diversification versus specialization -- lessons from a noise driven linear dynamical system
Gabriell Mate and Zoltan Neda
2014: Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
Angus O. Unegbu
2014: The Intrinsic Bounds of Risk Premium in the Markovian Consumption-Based CAPM
Jihun Han and Hyungbin Park
2014: On the Coherent Risk Measure Representations in the Discrete Probability Spaces
Kerem Ugurlu
2014: Solving finite time horizon Dynkin games by optimal switching
Randall Martyr
2014: Methodological thoughts on expected loss estimates for IFRS 9 Impairment: hidden reserves, cyclical loss predictions and LGD backtesting
Wolfgang Reitgruber
2014: Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
Peter Spoida
2014: Multi-curve HJM modelling for risk management
Chiara Sabelli , Michele Pioppi , Luca Sitzia and Giacomo Bormetti
2014: Holding Period Information in Options Hedging
Antoine E. Zambelli
2014: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Ben Hambly , Matthieu Mariapragassam and Christoph Reisinger
2014: Kelly criterion for variable pay-off
P\'erez-Marco, Ricardo
2014: Trend and Fractality Assessment of Mexico's Stock Exchange
Javier Morales , Tercero, V\'ictor , Fernando Camacho , Eduardo Cordero , L\'opez, Luis and F-Javier Almaguer
2014: Long Term Risk: A Martingale Approach
Likuan Qin and Vadim Linetsky
2014: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery
Likuan Qin and Vadim Linetsky
2014: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
Peter B. Lerner
2014: A continuous auction model with insiders and random time of information release
Corcuera, Jos\'e Manuel , Giulia Di Nunno , Gergely Farkas and {\O}ksendal, Bernt
2014: Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
Jingnan Fan and Andrzej Ruszczynski
2014: Exact solution of a generalized version of the Black-Scholes equation
Liviu-Adrian Cotfas , Camelia Delcea and Nicolae Cotfas
2014: A Quadratic Optimization Framework for Credit Portfolio
Boguk Kim
2014: Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
Giorgio Ferrari and Paavo Salminen
2014: Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
Shingo Ichiki and Katsuhiro Nishinari
2014: Innovation, competition, diversification: a tree form dynamics of long-term development
Shidong Wang and Cheng Wan
2014: Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
Simone Cirillo , Stefan Lloyd and Peter Nordin
2014: It's not the economy, stupid! How social capital and GDP relate to happiness over time
Stefano Bartolini and Francesco Sarracino
2014: A General Equilibrium Theorem for the Economy of Giving
W. P. Weijland
2014: On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
Daniel Wilson-Nunn and Hector Zenil
2014: Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
Mateusz Denys , Tomasz Gubiec and Ryszard Kutner
2014: General smile asymptotics with bounded maturity
Francesco Caravenna and Jacopo Corbetta
2014: On Stochastic Orders and its applications: Policy limits and Deductibles
Halim Zeghdoudi , Meriem Bouhadjar and Mohamed Riad Remita
2014: Income Distribution in the European Union Versus in the United States
Maciej Jagielski , Duczmal, Rafa{\l} and Ryszard Kutner
2014: Modelling cross-border systemic risk in the European banking sector: a copula approach
Raffaella Calabrese and Silvia Osmetti
2014: Super-replication with nonlinear transaction costs and volatility uncertaint
Peter Bank , Yan Dolinsky and G\"okay, Selim
2014: An Equilibrium Framework for Players with Misspecified Models
Ignacio Esponda and Demian Pouzo
2014: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Rafael Serrano
2014: Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
B\"auerle, Nicole , Igor Gilitschenski and Uwe D. Hanebeck
2014: Incorporating Views on Marginal Distributions in the Calibration of Risk Models
Santanu Dey , Sandeep Juneja and Karthyek R. A. Murthy
2014: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
Ladislav Krištoufek
2014: Risk measures with the CxLS property
Freddy Delbaen , Fabio Bellini , Valeria Bignozzi and Johanna F. Ziegel
2014: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Dmitry Kramkov and Sergio Pulido
2014: Ross Recovery with Recurrent and Transient Processes
Hyungbin Park
2014: Fact Sheet Research on Bayesian Decision Theory
H. R. N. van Erp , R. O. Linger and P. H. A. J. M. van Gelder
2014: Spectrum-based estimators of the bivariate Hurst exponent
Ladislav Krištoufek
2014: Efficient solution of structural default models with correlated jumps and mutual obligations
Andrey Itkin and Alexander Lipton
2014: Optimization of relative arbitrage
Ting-Kam Leonard Wong
2014: One-level limit order books with sparsity and memory
Ch\'avez-Casillas, Jonathan A. and Figueroa-L\'opez, Jos\'e E.
2014: Exact and asymptotic solutions of the call auction problem
Ioane Muni Toke
2014: Game Theory, Statistical Mechanics and Income Inequality
Venkat Venkatasubramanian , Yu Luo and Jay Sethuraman
2014: On possible origins of trends in financial market price changes
Ryo Murakami , Tomomichi Nakamura , Shin Kimura , Masashi Manabe and Toshihiro Tanizawa
2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
J. D. Opdyke
2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis , Giorgio Ferrari and John Moriarty
2014: On the Super-Additivity and Estimation Biases of Quantile Contributions
Nassim N Taleb and Raphael Douady
2014: Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle , Maria Elena De Giuli , Claudia Tarantola and Claudio Manelli
2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
Erhan Bayraktar and Yuchong Zhang
2014: The Master Equation in Mean Field Theory
Alain Bensoussan , Jens Frehse and Phillip Yam
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
Alexandra Rodkina and Nikolai Dokuchaev
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
Christian Bender and Nikolai Dokuchaev
2014: Reconstructing the world trade multiplex: the role of intensive and extensive biases
Rossana Mastrandrea , Tiziano Squartini , Giorgio Fagiolo and Diego Garlaschelli
2014: The geometry of relative arbitrage
Soumik Pal and Ting-Kam Leonard Wong
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Erhan Bayraktar and Yuchong Zhang
2014: Mathematical Foundations for the Economy of Giving
W. P. Weijland
2014: Estimating time-changes in noisy L\'evy models
Adam D. Bull
2014: Local risk-minimization under restricted information to asset prices
Claudia Ceci , Katia Colaneri and Alessandra Cretarola
2014: Pathwise stochastic integrals for model free finance
Nicolas Perkowski and Pr\"omel, David J.
2014: Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad , Jan Obloj and Thaleia Zariphopoulou
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
Thomas R. Hurd , Davide Cellai , Sergey Melnik and Quentin Shao
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: The Convexity of the Free Boundary for American-style put options
Hsuan-Ku Liu
2014: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
Yannis G. Yatracos
2014: An age structured demographic theory of technological change
Jean-Francois Mercure
2014: Optimal order placement in limit order markets
Rama Cont and Arseniy Kukanov
2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
Paul M. N. Feehan and Camelia A. Pop
2014: A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
Taras Bodnar , Nestor Parolya and Wolfgang Schmid
2014: An algorithm for the orthogonal decomposition of financial return data
Vic Norton
2014: Universal Algorithm for Online Trading Based on the Method of Calibration
V'yugin, Vladimir and Vladimir Trunov
2014: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Runhuan Feng , Hans Volkmer , Shuaiqi Zhang and Chao Zhu
2014: Optimal strategies in collective Parrondo games
Luis Dinis and Juan M. R. Parrondo
2014: Cooperation under Incomplete Information on the Discount Factors
Cy Maor and Eilon Solan
2014: Systemic risk in a large claims insurance market with bipartite graph structure
Oliver Kley , Claudia Kluppelberg and Gesine Reinert
2014: Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
Xiaolin Luo and Pavel Shevchenko
2014: Global convergence and stability of a convolution method for numerical solution of BSDEs
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: The Model Confidence Set package for R
Mauro Bernardi and Leopoldo Catania
2014: Cycling in stochastic general equilibrium
Zhijian Wang and Bin Xu
2014: When does the stock market listen to economic news? New evidence from copulas and news wires
Ivan Medovikov
2014: Optimal Allocation of Trend Following Strategies
Denis S. Grebenkov and Jeremy Serror
2014: Efficient price dynamics in a limit order market: an utility indifference approach
Masaaki Fukasawa
2014: Pricing and Hedging Long-Term Options
Hyungbin Park
2014: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
Vladimir Dombrovskii and Tatyana Obedko
2014: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
Hao-Che Chen
2014: A new multivariate dependence measure based on comonotonicity
Ying Zhang and Chuancun Yin
2014: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
Luca Onorante and Adrian E. Raftery
2014: Pricing and Hedging GMWB Riders in a Binomial Framework
Cody B. Hyndman and Menachem Wenger
2014: Continuous time analysis of fleeting discrete price moves
Neil Shephard and Justin J. Yang
2014: Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
Aleksandar Mijatovic , Martijn Pistorius and Johannes Stolte
2014: Large-Maturity Regimes of the Heston Forward Smile
Antoine Jacquier and Patrick Roome
2014: Are news important to predict large losses?
Mauro Bernardi , Leopoldo Catania and Lea Petrella
2014: qGaussian model of default
Yuri A. Katz
2014: Stock fluctuations are correlated and amplified across networks of interlocking directorates
Serguei Saavedra , Luis J. Gilarranz , Rudolf P. Rohr , Michael Schnabel , Brian Uzzi and Jordi Bascompte
2014: Asset Pricing in an Imperfect World
Gianluca Cassese
2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
Beata Stehlikova
2014: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
Jingwei Liu , Jiwen Luo and Xing Chen
2014: Is mathematics able to give insight into current questions in finance, economics and politics?
Larry Shepp and Michael Imerman
2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework
John Cotter and Enrique Salvador
2014: Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
V'yugin, Vladimir
2014: Recombining binomial tree for constant elasticity of variance process
Hi Jun Choe , Jeong Ho Chu and So Jeong Shin
2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms)
Nassim Nicholas Taleb , Rupert Read , Raphael Douady , Joseph Norman and Yaneer Bar-Yam
2014: Risk diversification: a study of persistence with a filtered correlation-network approach
Musmeci, Nicol\'o , Tomaso Aste and Tiziana Di Matteo
2014: 4-Factor Model for Overnight Returns
Zura Kakushadze
2014: Conditional Preference Orders and their Numerical Representations
Samuel Drapeau and Asgar Jamneshan
2014: Portfolio Selection with Multiple Spectral Risk Constraints
Carlos Abad and Garud Iyengar
2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
Andries Brandsma , Kancs, d'Artis , Philippe Monfort and Alexandra Rillaers
2014: Robust Fundamental Theorem for Continuous Processes
Sara Biagini , Bruno Bouchard , Constantinos Kardaras and Marcel Nutz
2014: Assessing the Inequalities of Wealth in Regions: the Italian Case
Roy Cerqueti and Marcel Ausloos
2014: A polynomial distribution applied to income and wealth distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage free markets geometry
A. V. Lebedev and P. P. Zabreiko
2014: Global Value Trees
Zhen Zhu , Michelangelo Puliga , Federica Cerina , Alessandro Chessa and Massimo Riccaboni
2014: Consistency of internal risk measure estimates
Mark H. A. Davis
2014: A statistical physics analysis of expenditure in the UK
Elvis Oltean and Fedor Kusmartsev
2014: An econophysical approach of polynomial distribution applied to income and expenditure
Elvis Oltean
2014: An Econophysical dynamic approach of expenditure and income distribution in the UK
Elvis Oltean and Fedor Kusmartsev
2014: Applications of statistical physics distributions to several types of income
Elvis Oltean and Fedor V. Kusmartsev
2014: Optimal dividend payment under time of ruin contraint: Exponential case
Camilo Hernandez and Mauricio Junca
2014: Volatility is rough
Jim Gatheral , Thibault Jaisson and Mathieu Rosenbaum
2014: A study of Methods from Statistical Mechanics applied to income distribution
Elvis Oltean and Fedor Kusmartsev
2014: Arbitrage theory without a num\'eraire
Michael R. Tehranchi
2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
Tariq Ahmad Mir , Marcel Ausloos and Roy Cerqueti
2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
Zhang Li , Xiaojun Lin , Borja Peleato-Inarrea and Ilya Pollak
2014: Communication impacting financial markets
Jorgen Vitting Andersen , Ioannis Vrontos , Petros Dellaportas and Serge Galam
2014: Propagation of Systemic Risk in Interbank Networks
Vanessa Hoffmann de Quadros , Gonz\'alez-Avella, Juan Carlos and Iglesias, Jos\'e Roberto
2014: Reconstructing topological properties of complex networks using the fitness model
Giulio Cimini , Tiziano Squartini , Musmeci, Nicol\`o , Michelangelo Puliga , Andrea Gabrielli , Diego Garlaschelli , Stefano Battiston and Guido Caldarelli
2014: An initial approach to Risk Management of Funding Costs
Damiano Brigo and Cyril Durand
2014: Tug-of-war, market manipulation and option pricing
Nystr\"om, Kaj and Mikko Parviainen
2014: Path Integral and Asset Pricing
Zura Kakushadze
2014: Optimal execution of ASR contracts with fixed notional
Gu\'eant, Olivier
2014: On volatility smile and an investment strategy with out-of-the-money calls
Jarno Talponen
2014: Rationality parameter for exercising American put
K. Gad and J. L. Pedersen
2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
Cody Hyndman and Xinghua Zhou
2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
Vladimir Dombrovskii and Tatyana Obyedko
2014: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Rodrigo S. Targino , Gareth W. Peters and Pavel V. Shevchenko
2014: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
Wanyang Dai
2014: An expansion in the model space in the context of utility maximization
Kasper Larsen , Oleksii Mostovyi and \v{Z}itkovi\'c, Gordan
2014: Stability of Utility Maximization in Nonequivalent Markets
Kim Weston
2014: A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser , Sergey Shahverdyan and Paul Embrechts
2014: Fair bilateral prices in Bergman's model
Tianyang Nie and Marek Rutkowski
2014: A generalized Dynkin game of switching type for defaultable claims in presence of contingent CSA
Giovanni Mottola
2014: Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie and Marek Rutkowski
2014: Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson and Konstantinos Spiliopoulos
2014: On the convergence of the Fitness-Complexity Algorithm
Emanuele Pugliese , Andrea Zaccaria and Luciano Pietronero
2014: Systemic Interbank Network Risks in Russia
A. V. Leonidov and E. L. Rumyantsev
2014: The Fourier estimation method with positive semi-definite estimators
Akahori, Jir\^o , Nien-Lin Liu , Maria Elvira Mancino and Yukie Yasuda
2014: A Systemic Stress Test Model in Bank-Asset Networks
Nima Dehmamy , Sergey V. Buldyrev , Shlomo Havlin , H. Eugene Stanley and Irena Vodenska
2014: Socio-economic inequalities: a statistical physics perspective
Arnab Chatterjee
2014: Preventing endogenous extreme events in herding dominant agent-based financial market
Aleksejus Kononovicius and Vygintas Gontis
2014: A simple dynamical model leading to Pareto wealth distribution and stability
P\'erez-Marco, Ricardo
2014: Optimal Execution with Dynamic Order Flow Imbalance
Kyle Bechler and Mike Ludkovski
2014: Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar and Gu Wang
2014: Mean-Reversion and Optimization
Zura Kakushadze
2014: A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov and Sergio Pulido
2014: A convex duality method for optimal liquidation with participation constraints
Gu\'eant, Olivier , Jean-Michel Lasry and Jiang Pu
2014: New Pricing Framework: Options and Bonds
Nick Laskin
2014: A Bellman View of Jesse Livermore
Nick Polson and Jan Hendrik Witte
2014: Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes
Paolo Barucca
2014: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
Ulrich Horst , Jinniao Qiu and Qi Zhang
2014: Optimal investment with time-varying stochastic endowments
An Chen , Carla Mereu and Robert Stelzer
2014: Factor Models for Alpha Streams
Zura Kakushadze
2014: Multilevel path simulation for weak approximation schemes
Denis Belomestny and Tigran Nagapetyan
2014: Can Turnover Go to Zero?
Zura Kakushadze
2014: Networks of Military Alliances, Wars, and International Trade
Matthew O. Jackson and Stephen M. Nei
2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets
Nassim N. Taleb
2014: KVA: Capital Valuation Adjustment
Andrew Green and Chris Kenyon
2014: Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha , Frank Raischel , da Cruz, Jo\~ao P. and Pedro G. Lind
2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
Figueroa-L\'opez, Jos\'e E. and \'Olafsson, Sveinn
2014: Are credit ratings time-homogeneous and Markov?
Pedro Lencastre , Frank Raischel , Pedro G. Lind and Tim Rogers
2014: Utility maximization in the large markets
Oleksii Mostovyi
2014: Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
Dieter Hendricks , Diane Wilcox and Tim Gebbie
2014: Zipf's law in city size from a resource utilization model
Asim Ghosh , Arnab Chatterjee , Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel , Rick Steinert and Sven Husmann
2014: Systemic Risk and Default Clustering for Large Financial Systems
Konstantinos Spiliopoulos
2014: Martingale Inequalities and Deterministic Counterparts
Beiglb\"ock, Mathias and Marcel Nutz
2014: Optimal Strategies for a Long-Term Static Investor
Lingjiong Zhu
2014: Community detection for correlation matrices
Mel MacMahon and Diego Garlaschelli
2014: Modeling capital gains taxes for trading strategies of infinite variation
K\"uhn, Christoph and Ulbricht, Bj\"orn
2014: Analytical solution for a class of network dynamics with mechanical and financial applications
Krej\v{c}\'i, Pavel , Harbir Lamba , Sergey Melnik and Dmitrii Rachinskii
2014: Heavy tailed time series with extremal independence
Rafal Kulik and Philippe Soulier
2014: Existence of an endogenously complete equilibrium driven by a diffusion
Dmitry Kramkov
2014: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
Lingjiong Zhu
2014: Multiportfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein and Birgit Rudloff
2014: Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
Baojun Bian , Nan Wu and Harry Zheng
2014: A simple strong solution to non-linear HJB PDEs: an application to the portfolio model
Moawia Alghalith
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
Paolo Guasoni and Gu Wang
2014: C^{1,1} regularity for degenerate elliptic obstacle problems
Panagiota Daskalopoulos and Paul M. N. Feehan
2014: Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
Xiaolin Luo and Pavel V. Shevchenko
2014: Impact of credit default swaps on financial contagion
Yoshiharu Maeno , Kenji Nishiguchi , Satoshi Morinaga and Hirokazu Matsushima
2014: Impact of shadow banks on financial contagion
Yoshiharu Maeno , Kenji Nishiguchi , Satoshi Morinaga and Hirokazu Matsushima
2014: Time Evolution of Non-linear Currency Networks
Paweł Fiedor and Ho{\l}da, Artur
2014: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach
Sascha Hokamp and G. Seibold
2014: Apparent impact: the hidden cost of one-shot trades
Iacopo Mastromatteo
2014: Sudden Trust Collapse in Networked Societies
Batista, Jo\~ao da Gama , Jean-Philippe Bouchaud and Damien Challet
2014: Minimax estimation of jump activity in semimartingales
Adam D. Bull
2014: Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
Darko Sarvan , Djordje Stratimirovic , Suzana Blesic and Vladimir Miljkovic
2014: Multi-asset consumption-investment problems with infinite transaction costs
David Hobson and Yeqi Zhu
2014: An $\alpha$-Stable Limit Theorem Under Sublinear Expectation
Erhan Bayraktar and Alexander Munk
2014: Parametric Risk Parity
Lorenzo Mercuri and Edit Rroji
2014: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
Baojun Bian and Harry Zheng
2014: Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lemp\'eri\`ere, , C. Deremble , T. T. Nguyen , P. Seager , M. Potters and J. P. Bouchaud
2014: The evolution of wealth transmission in human populations: a stochastic model
G. Augustins , L. Etienne , J-B. Ferdy , R. Ferrer , B. Godelle , E. Pitard and F. Rousset
2014: High-Resilience Limits of Block-Shaped Order Books
Jan Kallsen and Johannes Muhle-Karbe
2014: On time consistency of dynamic risk and performance measures in discrete time
Tomasz R. Bielecki , Igor Cialenco and Marcin Pitera
2014: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty
Patrick Beißner and Frank Riedel
2014: Finite sample properties of power-law cross-correlations estimators
Ladislav Krištoufek
2014: On a Stopping Game in continuous time
Erhan Bayraktar and Zhou Zhou
2014: A GDP-driven model for the binary and weighted structure of the International Trade Network
Assaf Almog , Tiziano Squartini and Diego Garlaschelli
2014: The Immediate Exchange model: an analytical investigation
Guy Katriel
2014: Calculation of a power price equilibrium
Miha Troha and Raphael Hauser
2014: On the interplay between short and long term memory in the power-law cross-correlations setting
Ladislav Krištoufek
2014: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
Paul Gaskell , Frank McGroarty and Thanassis Tiropanis
2014: Optimal models of extreme volume-prices are time-dependent
Paulo Rocha , Frank Raischel , Boto, Jo\~ao Pedro and Pedro G. Lind
2014: Funding Value Adjustment and Incomplete Markets
Lorenzo Cornalba
2014: Option pricing in constant elasticity of variance model with liquidity costs
Krzysztof Turek
2014: Distance to the line in the Heston model
Archil Gulisashvili
2014: International trade network: fractal properties and globalization puzzle
Mariusz Karpiarz , Piotr Fronczak and Agata Fronczak
2014: Bounds on Portfolio Quality
Steven E. Pav
2014: Pricing and hedging of energy spread options and volatility modulated Volterra processes
Fred Espen Benth and Hanna Zdanowicz
2014: Empirical Study of the 1-2-3 Trend Indicator
Yasemin Hafizogullari , Stanislaus Maier-Paape and Andreas Platen
2014: The $\alpha$-Hypergeometric Stochastic Volatility Model
Da Fonseca, Jos\'e and Claude Martini
2014: Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
Matteo Formenti
2014: The Credibility Theory applied to backtesting Counterparty Credit Risk
Matteo Formenti
2014: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
Matteo Formenti
2014: Visualising stock flow consistent models as directed acyclic graphs
Peter G. Fennell , O'Sullivan, David , Antoine Godin and Stephen Kinsella
2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine
Valery Tabakov
2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient
Yong Tao , Xiangjun Wu and Changshuai Li
2014: Portfolio Selection with Mandatory Bequest
Jiacheng Feng
2014: Instability and network effects in innovative markets
Paolo Sgrignoli , Elena Agliari , Raffaella Burioni and Augusto Schianchi
2014: The World Trade Web: A Multiple-Network Perspective
Paolo Sgrignoli
2014: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks
Benjamin Vandermarliere , Alexei Karas , Jan Ryckebusch and Koen Schoors
2014: Optimal consumption and sale strategies for a risk averse agent
David Hobson and Yeqi Zhu
2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior
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2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
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2014: Asymptotic arbitrage in the Heston model
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2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
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2014: Parameter estimation for a subcritical affine two factor model
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2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
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2014: Stochastic target games with controlled loss
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2014: Involving copula functions in Conditional Tail Expectation
Brahim Brahimi
2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
Xiang Yu
2014: Asymptotically optimal discretization of hedging strategies with jumps
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2014: The structure of optimal portfolio strategies for continuous time markets
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2014: Stable-1/2 Bridges and Insurance
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2014: Omega risk model with tax
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2014: Anatomy of a Bail-In
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2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
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2014: Contextual and Structural Representations of Market-mediated Economic Value
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2014: Credit acceptance process strategy case studies - the power of Credit Scoring
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2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
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2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
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2014: The Implied Volatility Analysis: The South African Experience
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2014: Trajectory Based Models, Arbitrage and Continuity
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2014: The acceptance-rejection method for low-discrepancy sequences
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2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
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2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
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2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
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2014: Portfolio Optimization in Affine Models with Markov Switching
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2014: A change of measure preserving the affine structure in the BNS model for commodity markets
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2014: Predicting market instability: New dynamics between volume and volatility
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2014: Collective behaviours in the stock market -- A maximum entropy approach
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2014: Least quartic Regression Criterion with Application to Finance
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth and Kr\"uhner, Paul
2014: Momentum Strategies with L1 Filter
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2014: A fast Fourier transform method for Mellin-type option pricing
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2014: Networked relationships in the e-MID Interbank market: A trading model with memory
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2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
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2014: Testing for Detailed Balance in a Financial Market
Rudolf Fiebig and David Musgrove
2014: Anomalous impact in reaction-diffusion models
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2014: Empirical properties of inter-cancellation durations in the Chinese stock market
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2014: Structural Models under Additional Information
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2014: Coherent Chaos Interest Rate Models
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2014: Detecting informed activities in European-style option tradings
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2014: Merton problem with one additional indivisible asset
Trybu{\l}a, Jakub
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case
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2014: Distribution of the asset price movement and market potential
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2014: Quadratic BSDEs with jumps: related non-linear expectations
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2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
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2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
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2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting
Thierry Roncalli
2014: High-Order Splitting Methods for Forward PDEs and PIDEs
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns?
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2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
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2014: To bail-out or to bail-in? Answers from an agent-based model
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2014: Modelling the Bid and Ask Prices of Illiquid CDSs
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2014: International Transmission of Shocks and Fragility of a Bank Network
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2014: On the Frequency of Drawdowns for Brownian Motion Processes
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2014: On the Hawkes Process with Different Exciting Functions
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2014: Asset Prices and Risk Aversion
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2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
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2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
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2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
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2014: Exchange Rate Predictability in a Changing World
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2014: Parameter estimation for subcritical Heston models based on discrete time observations
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2014: Investing and Stopping
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2014: Leverage effect in energy futures
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2014: Prospect Theory for Online Financial Trading
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2014: Mapping systemic risk: critical degree and failures distribution in financial networks
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2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
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2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
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2014: Global inequality in energy consumption from 1980 to 2010
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2014: No-arbitrage conditions and absolutely continuous changes of measure
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2014: Predicting trend reversals using market instantaneous state
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2014: Power identities for L\'evy risk models under taxation and capital injections
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2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
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2014: Efficient hedging in general Black-Scholes model
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
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2014: Measuring risk with multiple eligible assets
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
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2014: Gold, Oil, and Stocks
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2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
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2014: Predicting financial markets with Google Trends and not so random keywords
Damien Challet and Ahmed Bel Hadj Ayed
2014: Strict Local Martingales with Jumps
Philip Protter
2014: Explicit implied vols for multifactor local-stochastic vol models
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla and Kees van Schaik
2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
M. H. A Davis and M. R. Pistorius
2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Lachapelle, Aim\'e , Jean-Michel Lasry , Charles-Albert LEHALLE and Pierre-Louis Lions
2014: Permanent market impact can be nonlinear
Gu\'eant, Olivier
2014: A convolution method for numerical solution of backward stochastic differential equations
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability
Johanna F. Ziegel
2014: A Modern Approach to the Efficient-Market Hypothesis
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process
Chuancun Yin , Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach
M. Nabil Kazi-Tani , Possama\"i, Dylan and Chao Zhou
2014: Exploiting the flexibility of a family of models for taxation and redistribution
Maria Letizia Bertotti and Giovanni Modanese
2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
Florin Avram , Zbigniew Palmowski and Martijn R. Pistorius
2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
Taisei Kaizoji , M. Leiss , A. Saichev and D. Sornette
2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
Hanqing Jin and Yimin Yang
2014: Finding informed traders in futures and their inderlying assets in intraday trading
Lyudmila A. Glik and Oleg L. Kritski
2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
Abdelali Gabih , Hakam Kondakji , Sass, J\"orn and Ralf Wunderlich
2014: The role of information in a two-traders market
F. Bagarello and E. Haven
2014: Time-dependent Heston model
G. S. Vasilev
2014: Estimation Error of Expected Shortfall
Imre Kondor
2014: Technology Parks Potential for Small and Medium Enterprises
Anna V. Vilisova and Qiang Fu
2014: Rebalancing with Linear and Quadratic Costs
Ren Liu , Johannes Muhle-Karbe and Marko Weber
2014: Trading with Small Price Impact
Ludovic Moreau , Johannes Muhle-Karbe and H. Mete Soner
2014: Densely Entangled Financial Systems
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables
Peter Tankov
2014: A debt behaviour model
Wenjun Zhang and John Holt
2014: On Simulation of Various Effects in Consolidated Order Book
A. O. Glekin , A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
M. Koz{\l}owska, , T. Gubiec , T. R. Werner , M. Denys , A. Sienkiewicz , R. Kutner and Z. Struzik
2014: Information-theoretic approach to lead-lag effect on financial markets
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method
Barski, Micha{\l}
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System
Annika Birch and Tomaso Aste
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
Pi\v{s}korec, Matija , Nino Antulov-Fantulin , Petra Kralj Novak , Mozeti\v{c}, Igor , Gr\v{c}ar, Miha , Irena Vodenska and \v{S}muc, Tomislav
2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao , Ke Zhou , Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice
Teycir Abdelghani Goucha
2014: Model-independent Superhedging under Portfolio Constraints
Arash Fahim and Yu-Jui Huang
2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
Alice X. D. Dong , Jennifer S.K. Chan and Gareth W. Peters
2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
Anatoliy Swishchuk , Maksym Tertychnyi and Winsor Hoang
2014: Multi-scale Representation of High Frequency Market Liquidity
Anton Golub , Gregor Chliamovitch , Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
Sandrine Jacob Leal , Mauro Napoletano , Andrea Roventini and Giorgio Fagiolo
2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
Anatoliy Swishchuk , Maksym Tertychnyi and Robert Elliott
2014: Using Twitter to Model the EUR/USD Exchange Rate
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications
Kais Hamza , Fima C. Klebaner , Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices
Ashadun Nobi , Sungmin Lee , Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets
Dror Y. Kenett , Xuqing Huang , Irena Vodenska , Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
Ovidiu Racorean
2014: Option Pricing, Historical Volatility and Tail Risks
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio
Oumar Mbodji , Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China
F. Y. Ouyang , B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis
Yavni Bar-Yam , Marcus A. M. de Aguiar and Yaneer Bar-Yam
2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
Fabian Dickmann and Nikolaus Schweizer
2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
Sorin Solomon and Natasa Golo
2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
Arslan Tariq Rana and Mazen KEBEWAR
2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio , Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina , Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market
M. Wilinski , B. Szewczak , T. Gubiec , R. Kutner and Z. R. Struzik
2014: Non-Arbitrage up to Random Horizon for Semimartingale Models
Anna Aksamit , Tahir Choulli , Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty
Erhan Bayraktar , Yu-Jui Huang and Zhou Zhou
2014: Investment under uncertainty, competition and regulation
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
O\'swi\c{e}cimka, Pawe{\l} , Dro\.zd\.z, Stanis{\l}aw , Marcin Forczek , Jadach, Stanis{\l}aw and Kwapie\'n, Jaros{\l}aw
2014: Arbitrage and Duality in Nondominated Discrete-Time Models
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model
Chuancun Yin
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Frey, R\"udiger , Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng , Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents
Imre Kondor , Csabai, Istv\'an , Papp, G\'abor , Enys Mones , Czimbalmos, G\'abor and S\'andor, M\'at\'e Csaba
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Ying Shen , Chuancun Yin and Kam Chuen Yuen
2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem
Kie{\ss}ling, Miriam , Sascha Kurz and Rambau, J\"org
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
Yoshihiro Yura , Hideki Takayasu , Didier Sornette and Misako Takayasu
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
B. Podobnik , A. Majdandzic , C. Curme , Z. Qiao , W. -X. Zhou , H. E. Stanley and B. Li
2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking
Brian P. Hanley
2014: Self-affinity in financial asset returns
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression
Radoslava Mirkov , Thomas Maul , Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing
M. Duembgen and Leonard C G Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
G. Papaioannou , P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective
Eduardo Viegas , Stuart P. Cockburn , Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models
Gani Aldashev , Serik Aldashev and Timoteo Carletti
2014: Wealth distribution and collective knowledge. A Boltzmann approach
Lorenzo Pareschi and Giuseppe Toscani
2014: Diversity of scales makes an advantage: The case of the Minority Game
Pi\v{s}t\v{e}k, Miroslav and Frantisek Slanina
2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
Alfred Galichon , P. Henry-Labord\`ere, and N. Touzi
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Worapree Maneesoonthorn , Catherine Scipione Forbes and Gael M. Martin
2014: A Creepy World
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products
Peiteng Shi , Jiang Zhang , Bo Yang and Jingfei Luo
2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation
James J. Angel
2014: Efficient tree methods for pricing digital barrier options
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile
Nassim Nicholas Taleb
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models
Stefan Gerhold , Johannes F. Morgenbesser and Axel Zrunek
2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
Tao Xiong , Yukun Bao and Zhongyi Hu
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
Li-Xin Wang
2014: Pricing of basket options I
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints
Robert A Jarrow and Martin Larsson
2014: Optimal consumption and portfolio choice with ambiguity
Qian Lin and Frank Riedel
2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula
Luxi Chen
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series
Chih-Hao Lin , Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation
Emmanuel Bacry and Jean-Francois Muzy
2014: Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme , Michele Tumminello , Rosario Nunzio Mantegna , H. Eugene Stanley and Dror Y. Kenett
2014: A statistical physics perspective on criticality in financial markets
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events
Nassim N. Taleb and Constantine Sandis
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises
Andreas Joseph , Stephan Joseph and Guanrong Chen
2014: Note on multidimensional Breeden-Litzenberger representation for state price densities
Jarno Talponen and Lauri Viitasaari
2014: Model-free CPPI
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
Ob{\l}\'oj, Jan and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
Matthew Ames , Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice
Carole Bernard , Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies
Sebastian Poledna , Stefan Thurner , J. Doyne Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
Audrone Virbickaite , Aus\'in, M. Concepci\'on and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems
Misako Takayasu , Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty
Anis Matoussi , Lambert Piozin and Possama\"i, Dylan
2014: Market structure explained by pairwise interactions
Thomas Bury
2014: Statistical pairwise interaction model of stock market
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky , Johannes Muhle-Karbe and Walter Schachermayer
2014: Comparative and qualitative robustness for law-invariant risk measures
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Capital requirements with defaultable securities
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
Boris Ettinger , Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case
Peter Bank and Dmitry Kramkov
2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling
David Wozabal and Ronald Hochreiter