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2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances Downloads
Leopoldo Catania and Anna Gloria Bill\'e
2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems Downloads
Inga Ivanova, Oivind Strand, Duncan Kushnir and Loet Leydesdorff
2016: On minimising a portfolio's shortfall probability Downloads
Anatolii A. Puhalskii
2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps Downloads
Michael Ho and Jack Xin
2016: Issues with the Smith-Wilson method Downloads
Andreas Lager{\aa}s and Mathias Lindholm
2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices Downloads
Emre Kahraman and Gazanfer \"Unal
2016: Modeling the relation between income and commuting distance Downloads
Giulia Carra, Ismir Mulalic, Mogens Fosgerau and Marc Barthelemy
2016: On the parameter identifiability problem in Agent Based economical models Downloads
Di Molfetta Giuseppe
2016: On the existence of shadow prices for optimal investment with random endowment Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: Should employers pay their employees better? Downloads
Sebastien Valeyre, Denis Grebenkov, Qian Liu, Sofiane Aboura and Francois Bonnin
2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications Downloads
Dariusz Zawisza
2016: Tail Risk Premia for Long-Term Equity Investors Downloads
Johannes Rauch and Carol Alexander
2016: A Tale of Two Consequences Downloads
Ravi Kashyap
2016: Portfolio Selection: The Power of Equal Weight Downloads
Philip Ernst, James Thompson and Yinsen Miao
2016: Limit-order book resiliency after effective market orders: Empirical facts and applications to high-frequency trading Downloads
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: How to improve accuracy for DFA technique Downloads
Alessandro Stringhi and Silvia Figini
2016: Stock loans with liquidation Downloads
Parsiad Azimzadeh
2016: Portfolio optimization under dynamic risk constraints Downloads
Imke H\"ofers and Ralf Wunderlich
2016: Critical value of the total debt in view of the debts durations Downloads
I. A. Molotkov and N. A. Ryabova
2016: On construction of boundary preserving numerical schemes Downloads
Nikolaos Halidias
2016: Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences Downloads
Ravi Kashyap
2016: A simple agent-based spatial model of the economy: tools for policy Downloads
Bernardo Furtado and Isaque Daniel Rocha Eberhardt
2016: Trading Networks with Bilateral Contracts Downloads
Tam\'as Fleiner, Zsuzsanna Jank\'o, Akihisa Tamura and Alexander Teytelboym
2016: Optimal trading strategies - a time series approach Downloads
Peter A. Bebbington and Reimer Kuehn
2016: Inequality measures in kinetic exchange models of wealth distributions Downloads
Asim Ghosh, Arnab Chatterjee, Jun-ichi Inoue and Bikas K. Chakrabarti
2016: Super-replication in Extremely Incomplete Markets Downloads
Yan Dolinsky and Ariel Neufeld
2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach Downloads
Maojiao Ye and Guoqiang Hu
2016: Estimation of integrated quadratic covariation with endogenous sampling times Downloads
Yoann Potiron and Per Mykland
2016: Time-consistency of risk measures with GARCH volatilities and their estimation Downloads
Claudia Kl\"uppelberg and Jianing Zhang
2016: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
Erhan Bayraktar and Asaf Cohen
2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2016: Gambling in contests with random initial law Downloads
Han Feng and David Hobson
2016: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia Downloads
Carol Alexander and Johannes Rauch
2016: Parameter estimation for the subcritical Heston model based on discrete time observations Downloads
Matyas Barczy, Gyula Pap and Tamas T. Szabo
2016: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
John Armstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang
2016: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market Downloads
Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu and Qing-Qing Yang
2016: Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling Downloads
Lev B. Klebanov, Greg Temnov and Ashot V. Kakosyan
2016: Model-Free Discretisation-Invariant Swap Contracts Downloads
Carol Alexander and Johannes Rauch
2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences Downloads
Ricardo T. Fernholz
2016: Market correlation structure changes around the Great Crash Downloads
Rui-Qi Han, Wen-Jie Xie, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: CoCos under short-term uncertainty Downloads
Jos\'e Manuel Corcuera and Arturo Valdivia
2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect Downloads
Christopher L. Magee and Tessaleno C. Devezas
2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift Downloads
J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes Downloads
Adil Yilmaz and Gazanfer Unal
2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation Downloads
Juan M. Romero and Jorge Bautista
2016: Predicting Human Cooperation Downloads
John J. Nay and Yevgeniy Vorobeychik
2016: The ecology of social interactions in online and offline environments Downloads
Angelo Antoci, Alexia Delfino, Fabio Paglieri and Fabio Sabatini
2016: Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I Downloads
Michael Dittmar
2016: Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles Downloads
Maximilian Seyrich and Didier Sornette
2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework Downloads
Vassilios Papathanakos
2016: Trading-profit attribution for the size factor Downloads
Vassilios Papathanakos
2016: Sufficiency on the Stock Market Downloads
Peter Harremo\"es
2016: Moment explosions, implied volatility and local volatility at extreme strikes Downloads
Sidi Mohamed Aly
2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools Downloads
Thomas Knispel, Roger J. A. Laeven and Gregor Svindland
2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data Downloads
Jonas Hallgren and Timo Koski
2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums Downloads
Likuan Qin, Vadim Linetsky and Yutian Nie
2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes Downloads
Vaibhav Srivastava, Philip Holmes and Patrick Simen
2016: RiskRank: Measuring interconnected risk Downloads
J\'ozsef Mezei and Peter Sarlin
2016: The value of foresight Downloads
Philip Ernst, L. C. G. Rogers and Quan Zhou
2016: The role of networks in firms' multi-characteristics competition and market-share inequality Downloads
Antonios Garas and Athanasios Lapatinas
2016: On "A General Framework for Pricing Asian Options Under Markov Processes" Downloads
Zhenyu Cui, Chihoon Lee and Yanchu Liu
2016: Portfolio Optimisation Under Flexible Dynamic Dependence Modelling Downloads
Mauro Bernardi and Leopoldo Catania
2016: Econo- and socio- physics based remarks on the economical growth of the World Downloads
Rzoska Agata Angelika
2016: A Simple Measure of Economic Complexity Downloads
Sabiou Inoua
2016: General Equilibrium and Recession Phenomenon Downloads
Nicholas S. Gonchar, Wolodymyr H. Kozyrski and Anatol S. Zhokhin
2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product Downloads
Ron W Nielsen
2016: Crunching Mortality and Annuity Portfolios with extended CreditRisk+ Downloads
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
2016: A nonlinear impact: evidences of causal effects of social media on market prices Downloads
Th\'arsis T. P. Souza and Tomaso Aste
2016: The Excess Returns of "Quality" Stocks: A Behavioral Anomaly Downloads
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier, Guillaume Simon and David Thesmar
2016: On bivariate lifetime modelling in life insurance applications Downloads
Fran\c{c}ois Dufresne, Enkelejd Hashorva, Gildas Ratovomirija and Youssouf Toukourou
2016: Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics Downloads
Alexey Fomin, Andrey Korotayev and Julia Zinkina
2016: Speculative Futures Trading under Mean Reversion Downloads
Tim Leung, Jiao Li, Xin Li and Zheng Wang
2016: A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks Downloads
M. Fern\'andez-Mart\'inez, M. A S\'anchez-Granero, Mar\'ia Jos\'e Mu\~noz Torrecillas and Bill McKelvey
2016: A Statistical Model of Inequality Downloads
Ricardo Fernholz
2016: Fighting Uncertainty with Uncertainty Downloads
Ravi Kashyap
2016: Do Mature Economies Grow Exponentially? Downloads
Steffen Lange, Peter P\"utz and Thomas Kopp
2016: Inter-occurrence times and universal laws in finance, earthquakes and genomes Downloads
Constantino Tsallis
2016: Generalization of Doob decomposition Theorem Downloads
Nicholas Gonchar
2016: Convex duality for stochastic differential utility Downloads
Anis Matoussi and Hao Xing
2016: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model Downloads
Arash Fahim and Lingjiong Zhu
2016: Large losses - probability minimizing approach Downloads
Micha{\l} Barski
2016: Quantile hedging on markets with proportional transaction costs Downloads
Micha{\l} Barski
2016: On a law of large numbers for insurance risks Downloads
Yumiharu Nakano
2016: International Trade: a Reinforced Urn Network Model Downloads
Stefano Peluso, Antonietta Mira, Pietro Muliere and Alessandro Lomi
2016: Credit risk: Taking fluctuating asset correlations into account Downloads
Thilo A. Schmitt, Rudi Sch\"afer and Thomas Guhr
2016: The invisible hand and the rational agent are behind bubbles and crashes Downloads
Serge Galam
2016: Dependence of technological improvement on artifact interactions Downloads
Subarna Basnet and Christopher L. Magee
2016: Quantifying invariant features of within-group inequality in consumption across groups Downloads
Anindya S. Chakrabarti, Arnab Chatterjee, Tushar Nandi, Asim Ghosh and Anirban Chakraborti
2016: Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector Downloads
Jaydip Sen and Tamal Datta Chaudhuri
2016: Negative interest rates: why and how? Downloads
Jozef Kiselak, Philipp Hermann and Milan Stehlik
2016: Systemic Risk Management in Financial Networks with Credit Default Swaps Downloads
Matt V. Leduc, Sebastian Poledna and Stefan Thurner
2016: Computing semiparametric bounds on the expected payments of insurance instruments via column generation Downloads
Robert Howley, Robert Storer, Juan Vera and Luis F. Zuluaga
2016: Extended Abstract: Neural Networks for Limit Order Books Downloads
Justin Sirignano
2016: Irreversibility of financial time series: a graph-theoretical approach Downloads
Lucas Lacasa and Ryan Flanagan
2016: Brownian Bridges on Random Intervals Downloads
Matteo Ludovico Bedini, Rainer Buckdahn and Hans-J\"urgen Engelbert
2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America Downloads
Ron W Nielsen
2016: Teaching Economics and Providing Visual "Big Pictures" Downloads
Seyyed Ali Zeytoon Nejad Moosavian
2016: Geography and distance effect on financial dynamics in the Chinese stock market Downloads
Xing Li, Tian Qiu, Guang Chen, Li-Xin Zhong and Xiong-Fei Jiang
2016: A Semi-Markovian Modeling of Limit Order Markets Downloads
Anatoliy Swishchuk and Nelson Vadori
2016: Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton Downloads
Gurjeet Dhesi and Marcel Ausloos
2016: A unified view of LIBOR models Downloads
Kathrin Glau, Zorana Grbac and Antonis Papapantoleon
2016: Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation Downloads
Sergii Kuchuk-Iatsenko and Yuliya Mishura
2016: 101 Formulaic Alphas Downloads
Zura Kakushadze, Geoffrey Lauprete and Igor Tulchinsky
2016: Pricing barrier options with discrete dividends Downloads
D. Jason Gibson and Aaron Wingo
2016: Long memory and multifractality: A joint test Downloads
John Goddard and Enrico Onali
2016: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Downloads
Aur\'elien Hazan
2016: Multistage Portfolio Optimization: A Duality Result in Conic Market Models Downloads
Robert Bassett and Khoa Le
2016: Essay on the State of Research and Innovation in France and the European Union Downloads
Antoine Kornprobst
2016: No Stable Distributions in Finance, please! Downloads
Lev B Klebanov
2016: Black-Litterman model with intuitionistic fuzzy posterior return Downloads
Krzysztof Echaust and Krzysztof Piasecki
2016: Time and Frequency Structure of Causal Correlation Network in China Bond Market Downloads
Zhongxing Wang, Yan Yan and Xiaosong Chen
2016: Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth Downloads
Timothy J. Garrett
2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book Downloads
Roberto Mota Navarro and Hern\'an Larralde Ridaura
2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum Downloads
Dmitry B. Rokhlin
2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited Downloads
M. A. Szybisz and L. Szybisz
2016: On a Generalization of Markowitz Preference Relation Downloads
Valentin Vankov Iliev
2016: Discerning Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data Downloads
Richard Y. Chen and Per A. Mykland
2016: Optimal Control of Conditional Value-at-Risk in Continuous Time Downloads
Christopher W. Miller and Insoon Yang
2016: Pathwise probability-free It\^o integral Downloads
Vladimir Vovk
2016: Optimal Trading with Linear and (small) Non-Linear Costs Downloads
A. Rej, R. Benichou, J. de Lataillade, G. Z\'erah and J. -Ph. Bouchaud
2016: Financial Models with Defaultable Num\'eraires Downloads
Travis Fisher, Sergio Pulido and Johannes Ruf
2016: Pathwise no-arbitrage in a class of Delta hedging strategies Downloads
Alexander Schied and Iryna Voloshchenko
2016: An elementary approach to the option pricing problem Downloads
Nikolaos Halidias
2016: Affine representations of fractional processes with applications in mathematical finance Downloads
Philipp Harms and David Stefanovits
2016: Universal portfolios in stochastic portfolio theory Downloads
Ting-Kam Leonard Wong
2016: Kriging Metamodels for Bermudan Option Pricing Downloads
Michael Ludkovski
2016: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure Downloads
Florian Ziel
2016: A BSDE arising in an exponential utility maximization problem in a pure jump market model Downloads
Carla Mereu and Robert Stelzer
2016: Bermudan options by simulation Downloads
Leonard Rogers
2016: Heterotic Risk Models Downloads
Zura Kakushadze
2016: Detecting the bipartite World Trade Web evolution across 2007: a motifs-based analysis Downloads
Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Tiziano Squartini
2016: Identification of Insurance Models with Multidimensional Screening Downloads
Gaurab Aryal, Isabelle Perrigne and Quang Vuong
2016: Bifurcation patterns of market regime transition Downloads
Sergey Kamenshchikov
2016: The gradual evolution of the interfirm buyer--seller network and its role in aggregate fluctuations Downloads
Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
2016: Record statistics for random walk bridges Downloads
Claude Godreche, Satya N. Majumdar and Gregory Schehr
2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$ Downloads
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
2016: Switching-GAS Copula Models With Application to Systemic Risk Downloads
Mauro Bernardi and Leopoldo Catania
2016: Local risk-minimization for Barndorff-Nielsen and Shephard models Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki
2016: A hybrid tree/finite-difference approach for Heston-Hull-White type models Downloads
M. Briani, L. Caramellino and A. Zanette
2016: Monetary Policy and Dark Corners in a stylized Agent-Based Model Downloads
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2016: Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors Downloads
Jos\'e Miguel Zapata
2016: Solving finite time horizon Dynkin games by optimal switching Downloads
Randall Martyr
2016: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model Downloads
Dmitry Kramkov and Sergio Pulido
2016: Conditional Preference Orders and their Numerical Representations Downloads
Samuel Drapeau and Asgar Jamneshan
2016: Near-optimal estimation of jump activity in semimartingales Downloads
Adam D. Bull
2016: On Correlated Defaults and Incomplete Information Downloads
Wai-Ki Ching, Jia-Wen Gu and Harry Zheng
2016: Default contagion risks in Russian interbank market Downloads
A. V. Leonidov and E. L. Rumyantsev
2016: Risk-sensitive investment in a finite-factor model Downloads
Grzegorz Andruszkiewicz, Mark H. A. Davis and Sebastien Lleo
2016: Bregman superquantiles. Estimation methods and applications Downloads
Tatiana Labopin-Richard, Fabrice Gamboa, Aur\'elien Garivier and Bertrand Iooss
2016: Simultaneous Trading in 'Lit' and Dark Pools Downloads
M. Alessandra Crisafi and Andrea Macrina
2016: Tails of weakly dependent random vectors Downloads
Peter Tankov
2016: Tail behavior of sums and differences of log-normal random variables Downloads
Archil Gulisashvili and Peter Tankov
2016: Energy, entropy, and arbitrage Downloads
Soumik Pal and Ting-Kam Leonard Wong
2016: Pricing and Valuation under the Real-World Measure Downloads
Gabriel Frahm
2016: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan Downloads
Akihiko Noda
2016: C^{1,1} regularity for degenerate elliptic obstacle problems Downloads
Panagiota Daskalopoulos and Paul M. N. Feehan
2016: The maximum maximum of a martingale with given $n$ marginals Downloads
Pierre Henry-Labord\`ere, Jan Ob{\l}\'oj, Peter Spoida and Nizar Touzi
2016: Integral representations of risk functions for basket derivatives Downloads
Micha{\l} Barski
2016: Quantile hedging for basket derivatives Downloads
Micha{\l} Barski
2016: On incompleteness of bond markets with infinite number of random factors Downloads
Micha{\l} Barski, Jacek Jakubowski and Jerzy Zabczyk
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