# Papers
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- 2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
*Ruediger Frey*, *Lars Roesler* and *Dan Lu*
- 2017: An application of time reversal to credit risk management
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2017: A geometric approach to the transfer problem for a finite number of traders
*Tomohiro Uchiyama*
- 2017: Interpolating between matching and hedonic pricing models
*Brendan Pass*
- 2017: On VIX Futures in the rough Bergomi model
*Antoine Jacquier*, *Claude Martini* and *Aitor Muguruza*
- 2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
*Anulekha Dhara*, *Bikramjit Das* and *Karthik Natarajan*
- 2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
*Seyed Amir Hejazi*, *Kenneth R. Jackson* and *Guojun Gan*
- 2017: Optimal Trading with a Trailing Stop
*Tim Leung* and *Hongzhong Zhang*
- 2017: A Black--Scholes inequality: applications and generalisation
*Michael R. Tehranchi*
- 2017: The structural constraints of income inequality in Latin America
*Dominik Hartmann*, *Cristian Jara-Figueroa*, *Miguel Guevara*, *Alex Simoes* and *C\'esar A. Hidalgo*
- 2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees
*Sai K. Popuri*, *Andrew M. Raim*, *Nagaraj K. Neerchal* and *Matthias K. Gobbert*
- 2017: Trading strategies for stock pairs regarding to the cross-impact cost
*Shanshan Wang*
- 2017: Robust Portfolio Optimisation with Specified Competitors
*Gon\c{c}alo Sim\~oes*, *Mark McDonald*, *Stacy Williams*, *Daniel Fenn* and *Raphael Hauser*
- 2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
*Andrey Itkin*
- 2017: Phase-type Approximation of the Gerber-Shiu Function
*Kazutoshi Yamazaki*
- 2017: Recursive Marginal Quantization of Higher-Order Schemes
*Thomas McWalter*, *R. Rudd*, *J. Kienitz* and *E. Platen*
- 2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
*Takashi Shinzato*
- 2017: Serially Nested CES General Equilibrium
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?
*Jamal Bouoiyour* and *Refk Selmi*
- 2017: Stability for gains from large investors' strategies in M1/J1 topologies
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2017: Asset correlation estimation for inhomogeneous exposure pools
*Christoph Wunderer*
- 2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
*Leif D\"oring*, *Blanka Horvath* and *Josef Teichmann*
- 2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets
*Zbigniew Palmowski* and *Joanna Tumilewicz*
- 2017: The Shapley Value of Digraph Games
*Krishna Khatri*
- 2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
*Wenting Chen*, *Kai Du* and *Xinzi Qiu*
- 2017: Chebyshev Reduced Basis Function applied to Option Valuation
*Javier de Frutos* and *Victor Gaton*
- 2017: Predicting Economic Recessions Using Machine Learning Algorithms
*Rickard Nyman* and *Paul Ormerod*
- 2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin
*Victor Haghani* and *Richard Dewey*
- 2017: Optimal liquidation in a Level-I limit order book for large tick stocks
*Antoine Jacquier* and *Hao Liu*
- 2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
*V. Gontis* and *A. Kononovicius*
- 2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data
*Simon Clinet* and *Yoann Potiron*
- 2017: Brownian trading excursions and avalanches
*Friedrich Hubalek*, *Paul Kr\"uhner* and *Thorsten Rheinl\"ander*
- 2017: Pricing European Options by Stable Fourier-Cosine Series Expansions
*Chunfa Wang*
- 2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
*Tim Leung* and *Yerkin Kitapbayev*
- 2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment
*Medya Siadat* and *Ola Hammarlid*
- 2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem
*Michael J Bommarito* and *Daniel Martin Katz*
- 2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality
*Bruce Knuteson*
- 2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping
*Kiran Sharma*, *Balagopal Gopalakrishnan*, *Anindya S. Chakrabarti* and *Anirban Chakraborti*
- 2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
*J. D. Opdyke*
- 2017: Mixture Diffusion for Asset Pricing
*Xin Liu*
- 2017: The dividend problem with a finite horizon
*Tiziano De Angelis* and *Erik Ekstr\"om*
- 2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data
*Ali Hosseiny* and *Mauro Gallegati*
- 2017: Intergenerational Equity in a Finite Horizon
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Multifactor CES General Equilibrium: Models and Applications
*Jiyoung Kim*, *Satoshi Nakano* and *Kazuhiko Nishimura*
- 2017: Optimal market making
*Olivier Gu\'eant*
- 2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
*Thibaut Lux* and *Antonis Papapantoleon*
- 2017: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2017: Comonotonic risk measures in a world without risk-free assets
*Pablo Koch-Medina*, *Cosimo Munari* and *Gregor Svindland*
- 2017: Option Pricing in Markets with Unknown Stochastic Dynamics
*Hanno Gottschalk*, *Elpida Nizami* and *Marius Schubert*
- 2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
*Imke Redeker* and *Ralf Wunderlich*
- 2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2017: Dynamic programming approach to principal-agent problems
*Jak\v{s}a Cvitani\'c*, *Dylan Possama\"i* and *Nizar Touzi*
- 2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact
*Alexander Schied*, *Elias Strehle* and *Tao Zhang*
- 2017: Correlated Poisson processes and self-decomposable laws
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2017: Linking Economic Complexity, Institutions and Income Inequality
*Dominik Hartmann*, *M. R. Guevara*, *C. Jara-Figueroa*, *M. Aristaran* and *Cesar Hidalgo*
- 2017: On the optimal exercise boundaries of swing put options
*Tiziano De Angelis* and *Yerkin Kitapbayev*
- 2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
*Tiziano De Angelis*, *Salvatore Federico* and *Giorgio Ferrari*
- 2017: A heuristic pricing and hedging framework for multi-currency fixed income desks
*Eduard Gim\'enez*, *Alberto Elices* and *Giovanna Villani*
- 2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI
*Yanshan Wang*
- 2017: Deriving Derivatives
*Andrei N. Soklakov*
- 2017: General Smooth Solutions to the HJB PDE: Applications to Finance
*Moawia Alghalith*
- 2016: Quantum Econophysics
*Esteban Guevara Hidalgo*
- 2016: The Why of the Applicability of Statistical Physics to Economics
*Esteban Guevara Hidalgo*
- 2016: Mathematical models describing the effects of different tax evasion behaviors
*M. L. Bertotti* and *G. Modanese*
- 2016: Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e
*Gane Samb Lo* and *Cheikh Mohamed Haidara*
- 2016: Multinomial method for option pricing under Variance Gamma
*Nicola Cantarutti* and *Jo\~ao Guerra*
- 2016: Numerical analysis of an extended structural default model with mutual liabilities and jump risk
*Vadim Kaushansky*, *Alexander Lipton* and *Christoph Reisinger*
- 2016: A Theory of Experience Effects
*Ulrike Malmendier*, *Demian Pouzo* and *Vicotria Vanasco*
- 2016: The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms
*Ignacio Esponda* and *Demian Pouzo*
- 2016: A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
*Javier de Frutos* and *Victor Gaton*
- 2016: The Random Walk behind Volatility Clustering
*Sabiou Inoua*
- 2016: Global economic dynamics of the forthcoming years. A forecast
*Askar Akaev* and *Andrey Korotayev*
- 2016: A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
*Johannes Muhle-Karbe* and *Marcel Nutz*
- 2016: Population and trends in the global mean temperature
*Richard Tol*
- 2016: Pointwise dual representation of dynamic convex expectations
*Daniel Bartl*
- 2016: Pricing of Asian-type and Basket Options via Upper and Lower Bounds
*Alexander Novikov*, *Scott Alexander*, *Nino Kordzakhia* and *Timothy Ling*
- 2016: Speculation and Power Law
*Sabiou Inoua*
- 2016: Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse
*Hristian Daskalov*
- 2016: A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
*Diederik Aerts*, *Emmanuel Haven* and *Sandro Sozzo*
- 2016: Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures
*Richard Gerlach* and *Chao Wang*
- 2016: Understanding the Impacts of Dark Pools on Price Discovery
*Linlin Ye*
- 2016: A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts
*James PL Tan*
- 2016: The prevalence of chaotic dynamics in games with many players
*James B. T. Sanders*, *J. Doyne Farmer* and *Tobias Galla*
- 2016: Economic Accelerator with Memory: Discrete Time Approach
*Valentina V. Tarasova* and *Vasily E. Tarasov*
- 2016: Long and Short Memory in Economics: Fractional-Order Difference and Differentiation
*Vasily E. Tarasov* and *Valentina V. Tarasova*
- 2016: How fast does the clock of Finance run? - A time-definition enforcing scale invariance
*Michele Caraglio*, *Fulvio Baldovin* and *Attilio L. Stella*
- 2016: Cross-impact and no-dynamic-arbitrage
*Michael Schneider* and *Fabrizio Lillo*
- 2016: Pointwise Arbitrage Pricing Theory in Discrete Time
*Matteo Burzoni*, *Marco Frittelli*, *Zhaoxu Hou*, *Marco Maggis* and *Jan Ob{\l}\'oj*
- 2016: Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football
*Ilya Solntsev*, *Anatoly Vorobyev*, *Elnura Irmatova* and *Nikita Osokin*
- 2016: Leverage and Uncertainty
*Mihail Turlakov*
- 2016: Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits
*Claudia Kl\"uppelberg* and *Miriam Isabel Seifert*
- 2016: Analytic solution to variance optimization with no short-selling
*Imre Kondor*, *G\'abor Papp* and *Fabio Caccioli*
- 2016: Pricing Derivatives in Hermite Markets
*Svetlozar T. Rachev*, *Stefan Mittnik* and *Frank J. Fabozzi*
- 2016: Currency option pricing in the time-changed fractional Brownian motion under transaction costs
*Foad Shokrollahi*
- 2016: The Impact of Negative Interest Rates on Optimal Capital Injections
*Julia Eisenberg* and *Paul Kr\"uhner*
- 2016: Shot-Noise Processes in Finance
*Thorsten Schmidt*
- 2016: Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013
*Chiara Perillo*, *Angelos Antonopoulos* and *Christos Verikoukis*
- 2016: Quantifying Retail Agglomeration using Diverse Spatial Data
*Duccio Piovani*, *Vassilis Zachariadis* and *Michael Batty*
- 2016: The Topology of Inter-industry Relations from the Portuguese National Accounts
*Tanya Ara\'ujo* and *Rui Faustino*
- 2016: The Blockchain: A Gentle Four Page Introduction
*Jan Hendrik Witte*
- 2016: Does Trump's election victory divide US stock market into winners and losers?
*Jamal Bouoiyour* and *Refk Selmi*
- 2016: A Markovian Model of the Evolving World Input-Output Network
*Vahid Moosavi*
- 2016: Optimal Investment under Information Driven Contagious Distress
*Lijun Bo* and *Agostino Capponi*
- 2016: Should we opt for the Black Friday discounted price or wait until the Boxing Day?
*Jiang Wu* and *Ricardas Zitikis*
- 2016: BSDEs with default jump
*Roxana Dumitrescu*, *Marie-Claire Quenez* and *Agn\`es Sulem*
- 2016: Extreme prices in electricity balancing markets from an approach of statistical physics
*Mario Mureddu* and *Hildegard Meyer-Ortmanns*
- 2016: Stratified regression-based variance reduction approach for weak approximation schemes
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 2016: Stylized Facts and Simulating Long Range Financial Data
*Laurie Davies* and *Walter Kr\"amer*
- 2016: European banking supervision, the role of stress test. Some brief considerations
*Simone Manduchi*
- 2016: Predictability Hidden by Anomalous Observations
*Lorenzo Camponovo*, *Olivier Scaillet* and *Fabio Trojani*
- 2016: Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis
*Jaeyong An*, *P. R. Kumar* and *Le Xie*
- 2016: A diagnostic criterion for approximate factor structure
*Patrick Gagliardini*, *Elisa Ossola* and *Olivier Scaillet*
- 2016: Agent-based Model for Spot and Balancing Electricity Markets
*Florian K\"uhnlenz* and *Pedro H. J. Nardelli*
- 2016: Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
*Jos\'e E. Figueroa-L\'opez* and *Cheng Li*
- 2016: Dynamic Convex Duality in Constrained Utility Maximization
*Yusong Li* and *Harry Zheng*
- 2016: S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes
*Panagiotis Papaioannou*, *Thomas Dionysopoulos*, *Dietmar Janetzko* and *Constantinos Siettos*
- 2016: The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company
*Alicja Wolny-Dominiak*
- 2016: Fractal Optimization of Market Neutral Portfolio
*Sergey Kamenshchikov* and *Ilia Drozdov*
- 2016: Dual Moments and Risk Attitudes
*Louis R. Eeckhoudt* and *Roger J. A. Laeven*
- 2016: Parameter uncertainty and reserve risk under Solvency II
*Andreas Fr\"ohlich* and *Annegret Weng*
- 2016: Early exercise decision in American options with dividends, stochastic volatility and jumps
*Antonio Cosma*, *Stefano Galluccio*, *Paola Pederzoli* and *Olivier Scaillet*
- 2016: Risk averse fractional trading using the current drawdown
*Stanislaus Maier-Paape*
- 2016: Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016
*Barack Wamkaya Wanjawa*
- 2016: Order statistics of horse racing and the randomly broken stick
*Peter A. Bebbington* and *Julius Bonart*
- 2016: Optimality of hybrid continuous and periodic barrier strategies in the dual model
*Jos\'e-Luis P\'erez* and *Kazutoshi Yamazaki*
- 2016: Game options with gradual exercise and cancellation under proportional transaction costs
*Alet Roux* and *Tomasz Zastawniak*
- 2016: Financial market with no riskless (safe) asset
*Svetlozar Rachev* and *Frank Fabozzi*
- 2016: Impossible Inference in Econometrics: Theory and Applications to Regression Discontinuity, Bunching, and Exogeneity Tests
*Marinho Bertanha* and *Marcelo Moreira*
- 2016: Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
*Y. S. Kim*, *S. Stoyanov*, *S. Rachev* and *F. Fabozzi*
- 2016: Stability of calibration procedures: fractals in the Black-Scholes model
*Yiran Cui*, *Sebastian del Bano Rollin* and *Guido Germano*
- 2016: Universal Exponential Structure of Income Inequality: Evidence from 60 Countries
*Yong Tao*, *Xiangjun Wu*, *Tao Zhou*, *Weibo Yan*, *Yanyuxiang Huang*, *Han Yu*, *Benedict Mondal* and *Victor M. Yakovenko*
- 2016: A multi-asset investment and consumption problem with transaction costs
*David Hobson*, *Alex S. L. Tse* and *Yeqi Zhu*
- 2016: A Primer on Portfolio Choice with Small Transaction Costs
*Johannes Muhle-Karbe*, *Max Reppen* and *H. Mete Soner*
- 2016: Wavelet-based methods for high-frequency lead-lag analysis
*Takaki Hayashi* and *Yuta Koike*
- 2016: A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade
*Xu Wang* and *Ryan P. Badman*
- 2016: A Model of Synchronization for Self-Organized Crowding Behavior
*Jake J. Xia*
- 2016: Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
*Tim Leung* and *Hyungbin Park*
- 2016: How many market makers does a market need?
*V\'it Per\v{z}ina* and *Jan M. Swart*
- 2016: Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach
*Mahmood Mahmoudzadeh* and *Seyyed Ali Zeytoon Nejad Moosavian*
- 2016: A New Set of Financial Instruments
*Svetlozar*, *T. Rachev* and *Frank J. Fabozzi*
- 2016: A Market Driver Volatility Model via Policy Improvement Algorithm
*Jun Maeda* and *Saul D. Jacka*
- 2016: Optimal consumption and investment under transaction costs
*David Hobson*, *Alex S. L. Tse* and *Yeqi Zhu*
- 2016: Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
*Maciej Balajewicz* and *Jari Toivanen*
- 2016: Predicting the rise of right-wing populism in response to unbalanced immigration
*Boris Podobnik*, *Marko Jusup* and *H. Eugene Stanley*
- 2016: The Coconut Model with Heterogeneous Strategies and Learning
*Sven Banisch* and *Eckehard Olbrich*
- 2016: Portfolio choice under drift uncertainty: a Bayesian learning and stochastic optimal control approach
*Olivier Gu\'eant* and *Jiang Pu*
- 2016: Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
*Wen-Jie Xie*, *Ming-Xia Li*, *Hai-Chuan Xu*, *Wei Chen*, *Wei-Xing Zhou* and *H. E. Stanley*
- 2016: Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals
*Kensuke Ishitani*
- 2016: Model-free bounds on Value-at-Risk using partial dependence information
*Thibaut Lux* and *Antonis Papapantoleon*
- 2016: Network reconstruction via density sampling
*Tiziano Squartini*, *Giulio Cimini*, *Andrea Gabrielli* and *Diego Garlaschelli*
- 2016: The Fatou Closedness under Model Uncertainty
*Marco Maggis*, *Thilo Meyer-Brandis* and *Gregor Svindland*
- 2016: Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
*Charles-Albert Lehalle* and *Othmane Mounjid*
- 2016: Unit-linked life insurance policies: optimal hedging in partially observable market models
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2016: Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)
*Monica Billio*, *Roberto Casarin* and *Luca Rossini*
- 2016: The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates
*Eugen Tarnow*
- 2016: Toward an integrated workforce planning framework using structured equations
*Marie Doumic*, *Beno\^it Perthame*, *Edouard Ribes*, *Delphine Salort* and *Nathan Toubiana*
- 2016: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
*Wing Fung Chong*, *Ying Hu*, *Gechun Liang* and *Thaleia Zariphopoulou*
- 2016: Incentivizing Resilience in Financial Networks
*Matt V. Leduc* and *Stefan Thurner*
- 2016: Model-free portfolio theory and its functional master formula
*Alexander Schied*, *Leo Speiser* and *Iryna Voloshchenko*
- 2016: The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading
*Donovan Platt* and *Tim Gebbie*
- 2016: Distribution-Constrained Optimal Stopping
*Erhan Bayraktar* and *Christopher W. Miller*
- 2016: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2016: Descending Price Optimally Coordinates Search
*Robert Kleinberg*, *Bo Waggoner* and *E. Glen Weyl*
- 2016: On random convex analysis
*Tiexin Guo*, *Erxin Zhang*, *Mingzhi Wu*, *Bixuan Yang*, *George Yuan* and *Xiaolin Zeng*
- 2016: First Order BSPDEs: examples in higher dimension
*Nikolai Dokuchaev*
- 2016: Bank distress in the news: Describing events through deep learning
*Samuel R\"onnqvist* and *Peter Sarlin*
- 2016: Unbiased estimation of risk
*Marcin Pitera* and *Thorsten Schmidt*
- 2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems
*Inga Ivanova*, *Oivind Strand*, *Duncan Kushnir* and *Loet Leydesdorff*
- 2016: Stock loans with liquidation
*Parsiad Azimzadeh*
- 2016: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
*Jean-David Fermanian*, *Olivier Gu\'eant* and *Jiang Pu*
- 2016: Trajectory based models. Evaluation of minmax pricing bounds
*Ivan Degano*, *Sebastian Ferrando* and *Alfredo Gonzalez*
- 2016: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines
*Vladislav Gennadievich Malyshkin* and *Ray Bakhramov*
- 2016: Universal portfolios in stochastic portfolio theory
*Ting-Kam Leonard Wong*
- 2016: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2016: One trade at a time -- unraveling the Equity Premium Puzzle
*Andrei N. Soklakov*
- 2016: Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
*Johan Dahlin*, *Mattias Villani* and *Thomas B. Sch\"on*
- 2016: On a method of solving the Black-Scholes Equation
*Binur Yermukanova*, *Laila Zhexembay* and *Natanael Karjanto*
- 2016: A Markov model of a limit order book: thresholds, recurrence, and trading strategies
*Frank Kelly* and *Elena Yudovina*
- 2016: Bin Size Independence in Intra-day Seasonalities for Relative Prices
*Esteban Guevara Hidalgo*
- 2016: Randomized versions of Mazur lemma and Krein-Smulian theorem
*Jose Miguel Zapata*
- 2016: A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
*Mario Bonino*, *Matteo Camelia* and *Paolo Pigato*
- 2016: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2016: Matching distributions: Asset pricing with density shape correction
*Jarno Talponen*
- 2016: Additive versus multiplicative parameters - applications in economics and finance
*Helena Jasiulewicz* and *Wojciech Kordecki*
- 2016: Continuous-Time Random Walk with multi-step memory: An application to market dynamics
*Tomasz Gubiec* and *Ryszard Kutner*
- 2016: A market impact game under transient price impact
*Alexander Schied* and *Tao Zhang*
- 2016: Elasticity theory of structuring
*Andrei N. Soklakov*
- 2016: Common Markets, Strong Currencies & the Collective Welfare
*Esteban Guevara Hidalgo*
- 2016: Maximum Entropy, the Collective Welfare Principle and the Globalization Process
*Esteban Guevara Hidalgo*
- 2016: Choquet integral in decision analysis - lessons from the axiomatization
*Mikhail Timonin*
- 2016: Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data
*Michele Coscia*, *Ricardo Hausmann* and *Frank Neffke*
- 2016: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
*Christa Cuchiero*, *Walter Schachermayer* and *Ting-Kam Leonard Wong*
- 2016: Portfolio optimization near horizon
*Rohini Kumar* and *Hussein Nasralah*
- 2016: Optimal stopping with f -expectations: the irregular case
*Miryana Grigorova*, *Peter Imkeller*, *Youssef Ouknine* and *Marie-Claire Quenez*
- 2016: Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets
*N. S. Gonchar*
- 2016: Can Agent-Based Models Probe Market Microstructure?
*Donovan Platt* and *Tim Gebbie*
- 2016: Mean-Reverting Portfolio Design via Majorization-Minimization Method
*Ziping Zhao* and *Daniel P. Palomar*
- 2016: The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement
*Johan G. Andreasson* and *Pavel V. Shevchenko*
- 2016: Multiple Time Series Ising Model for Financial Market Simulations
*Tetsuya Takaishi*
- 2016: The Markowitz Category
*John Armstrong*
- 2016: "Chaos" in energy futures markets: a controversial matter
*Loretta Mastroeni* and *Pierluigi Vellucci*
- 2016: Dynamical Stationarity as a Result of Sustained Random Growth
*Tam\'as Bir\'o* and *Zolt\'an N\'eda*
- 2016: Systemic Risk and Interbank Lending
*Li-Hsien Sun*
- 2016: Model reduction for calibration of American options
*Olena Burkovska*, *Kathrin Glau*, *Mirco Mahlstedt* and *Barbara Wohlmuth*
- 2016: Interplay between endogenous and exogenous fluctuations in financial markets
*Vygintas Gontis*
- 2016: Regression-based complexity reduction of the dual nested Monte Carlo methods
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 2016: On convex functions on the duals of $\Delta_2$-Orlicz spaces
*Freddy Delbaen* and *Keita Owari*
- 2016: Calibration to American Options: Numerical Investigation of the de-Americanization
*Olena Burkovska*, *Maximilian Ga{\ss}*, *Kathrin Glau*, *Mirco Mahlstedt*, *Wim Schoutens* and *Barbara Wohlmuth*
- 2016: On the wavelets-based SWIFT method for backward stochastic differential equations
*Ki Wai Chau* and *Cornelis W. Oosterlee*
- 2016: Value-at-Risk Prediction in R with the GAS Package
*David Ardia*, *Kris Boudt* and *Leopoldo Catania*
- 2016: Random matrix approach to estimation of high-dimensional factor models
*Joongyeub Yeo* and *George Papanicolaou*
- 2016: Robust Trading of Implied Skew
*Sergey Nadtochiy* and *Jan Obloj*
- 2016: Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach
*Kathia Pinz\'on*
- 2016: Toward Economics as a New Complex System
*Taisei Kaizoji*
- 2016: Empirical analysis of daily cash flow time series and its implications for forecasting
*Francisco Salas-Molina*, *Juan A. Rodr\'iguez-Aguilar*, *Joan Serr\`a* and *Francisco J. Martin*
- 2016: The Asset Liability Management problem of a nuclear operator: a numerical stochastic optimization approach
*Xavier Warin*
- 2016: Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
*Marie Kratz*, *Yen H. Lok* and *Alexander J McNeil*
- 2016: Predictable Forward Performance Processes: The Binomial Case
*Bahman Angoshtari*, *Thaleia Zariphopoulou* and *Xun Yu Zhou*
- 2016: Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry
*Jean-Philippe Aguilar*, *Cyril Coste*, *Hagen Kleinert* and *Jan Korbel*
- 2016: How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
*Matteo Serri*, *Guido Caldarelli* and *Giulio Cimini*
- 2016: Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
*Hai-Chuan Xu*, *Zhi-Qiang Jiang* and *Wei-Xing Zhou*
- 2016: Time-varying return predictability in the Chinese stock market
*Huai-Long Shi*, *Zhi-Qiang Jiang* and *Wei-Xing Zhou*
- 2016: What do central counterparties default funds really cover? A network-based stress test answer
*Giulia Poce*, *Giulio Cimini*, *Andrea Gabrielli*, *Andrea Zaccaria*, *Giuditta Baldacci*, *Marco Polito*, *Mariangela Rizzo* and *Silvia Sabatini*
- 2016: Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
*Paulwin Graewe* and *Ulrich Horst*
- 2016: Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing
*Jean-Philippe Aguilar*, *Cyril Coste*, *Hagen Kleinert* and *Jan Korbel*
- 2016: A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
*Maarten Wyns* and *Jacques Du Toit*
- 2016: Unexpected Default in an Information Based Model
*Matteo Ludovico Bedini*, *Rainer Buckdahn* and *Hans-J\"urgen Engelbert*
- 2016: Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
*Damiano Brigo* and *Fr\'ed\'eric Vrins*
- 2016: The missing assets and the size of Shadow Banking: an update
*Davide Fiaschi*, *Imre Kondor*, *Matteo Marsili* and *Valerio Volpati*
- 2016: Application of the Generalized Linear Models in Actuarial Framework
*Murwan H. M. A. Siddig*
- 2016: Emerging interdependence between stock values during financial crashes
*Jacopo Rocchi*, *Enoch Yan Lok Tsui* and *David Saad*
- 2016: The Average-Marginal Relationship and Tractable Equilibrium Forms
*Michal Fabinger* and *E. Glen Weyl*
- 2016: Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
*Milan Kumar Das*, *Anindya Goswami* and *Tanmay S. Patankar*
- 2016: Optimal shrinkage-based portfolio selection in high dimensions
*Taras Bodnar*, *Yarema Okhrin* and *Nestor Parolya*
- 2016: An Equilibrium Model with Computationally Constrained Agents
*Wolfgang Kuhle*
- 2016: EM Algorithm and Stochastic Control in Economics
*Steven Kou*, *Xianhua Peng* and *Xingbo Xu*
- 2016: `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
*Vasyl Golosnoy* and *Nestor Parolya*
- 2016: A fair monetization model to reconcile authors and consumers of intellectual property
*Evgeny Ivanko*
- 2016: International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
*Nonthachote Chatsanga* and *Andrew J. Parkes*
- 2016: Liquidity induced asset bubbles via flows of ELMMs
*Francesca Biagini*, *Andrea Mazzon* and *Thilo Meyer-Brandis*
- 2016: Revealing the Anatomy of Vote Trading
*Omar A. Guerrero* and *Ulrich Matter*
- 2016: Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
*Bertram D\"uring*, *Christian Hendricks* and *James Miles*
- 2016: Naive Diversification Preferences and their Representation
*Enrico G. De Giorgi* and *Ola Mahmoud*
- 2016: Optimal portfolio selection under vanishing fixed transaction costs
*S\"oren Christensen*, *Albrecht Irle* and *Andreas Ludwig*
- 2016: LQG for portfolio optimization
*M. Abeille*, *E. Serie*, *A. Lazaric* and *X. Brokmann*
- 2016: Working Paper on Organizational Dynamics within Corporate Venture Capital Firms
*Michael Rolfes* and *Alex "Sandy" Pentland*
- 2016: Joint multifractal analysis based on wavelet leaders
*Zhi-Qiang Jiang*, *Yan-Hong Yang*, *Gang-Jin Wang* and *Wei-Xing Zhou*
- 2016: Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
*Maria do Rosario Grossinho*, *Yaser Kord Faghan* and *Daniel Sevcovic*
- 2016: Socio-economic inequality and prospects of institutional Econophysics
*Arnab Chatterjee*, *Asim Ghosh* and *Bikas K Chakrabarti*
- 2016: Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
*Ivan Guo* and *Gregoire Loeper*
- 2016: Option pricing in exponential L\'{e}vy models with transaction costs
*Nicola Cantarutti*, *Jo\~ao Guerra*, *Manuel Guerra* and *Maria do Ros\'ario Grossinho*
- 2016: Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
*Bertram D\"uring* and *Christof Heuer*
- 2016: Globalization Process in Emerging Capital Markets -- Lessons and Implications to China
*Zichong Li* and *Pengyu Huang*
- 2016: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
*Kevin Guo* and *Tim Leung*
- 2016: Gated Neural Networks for Option Pricing: Rationality by Design
*Yongxin Yang*, *Yu Zheng* and *Timothy M. Hospedales*
- 2016: Dissecting cross-impact on stock markets: An empirical analysis
*Michael Benzaquen*, *Iacopo Mastromatteo*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2016: Criteria for the Absence and Existence of Arbitrage in Multi- and Infinite-Dimensional Diffusion Markets
*David Criens*
- 2016: Securities Lending Strategies, Valuation of Term Loans using Option Theory
*Ravi Kashyap*
- 2016: Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model
*Jean-Philippe Aguilar* and *Cyril Coste*
- 2016: Are Order Anticipation Strategies Harmful? A Theoretical Approach
*Elias Strehle*
- 2016: Optimal Liquidation with Market Impact Across Multiple Venues & Stochastic Volatility Asymptotics
*Qing-Qing Yang*, *Wai-Ki Ching*, *Jia-Wen Gu* and *Tak-Kuen Siu*
- 2016: On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models
*Benjamin Avanzi*, *Jos\'e-Luis P\'erez*, *Bernard Wong* and *Kazutoshi Yamazaki*
- 2016: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem
*Sylwester Arabas* and *Ahmad Farhat*
- 2016: Limit order trading with a mean reverting reference price
*Saran Ahuja*, *George Papanicolaou*, *Weiluo Ren* and *Tzu-Wei Yang*
- 2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions
*Masaaki Fujii* and *Akihiko Takahashi*
- 2016: Optimal Resource Extraction in Regime Switching L\'evy Markets
*Moustapha Pemy*
- 2016: Stochastic Effects in a Discretized Kinetic Model of Economic Exchange
*M. L. Bertotti*, *A. K. Chattopadhyay* and *G. Modanese*
- 2016: Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
*Leopoldo Catania* and *Nima Nonejad*
- 2016: Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic
*Daniel Kosiorowski*, *Jerzy P. Rydlewski* and *Malgorzata Snarska*
- 2016: Combining Dimension Reduction, Distance Measures and Covariance
*Ravi Kashyap*
- 2016: Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2016: Deviations in expected price impact for small transaction volumes under fee restructuring
*Michael Harvey*, *Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2016: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
*Leopoldo Catania* and *Anna Gloria Bill\'e*
- 2016: Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2016: Statistical mechanics of complex economies
*Marco Bardoscia*, *Giacomo Livan* and *Matteo Marsili*
- 2016: Optimal Trading with Linear and (small) Non-Linear Costs
*A. Rej*, *R. Benichou*, *J. de Lataillade*, *G. Z\'erah* and *J. -Ph. Bouchaud*
- 2016: Intragroup transfers, intragroup diversification and their risk assessment
*Andreas Haier*, *Ilya Molchanov* and *Michael Schmutz*
- 2016: Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
*Gechun Liang* and *Thaleia Zariphopoulou*
- 2016: Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time
*Bin Zou* and *Rudi Zagst*
- 2016: On the aggregation of experts' information in Bonus-Malus systems
*V\'ictor Blanco* and *Jos\'e M. P\'erez-S\'anchez*
- 2016: LSV models with stochastic interest rates and correlated jumps
*Andrey Itkin*
- 2016: Magic points in finance: Empirical integration for parametric option pricing
*Maximilian Ga{\ss}*, *Kathrin Glau* and *Maximilian Mair*
- 2016: Exchanging Goods Using Valuable Money
*J. V. Howard*
- 2016: A Supermartingale Relation for Multivariate Risk Measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2016: Optimal Rebalancing Frequencies for Multidimensional Portfolios
*Ibrahim Ekren*, *Ren Liu* and *Johannes Muhle-Karbe*
- 2016: Weakly chained matrices, policy iteration, and impulse control
*Parsiad Azimzadeh* and *Peter A. Forsyth*
- 2016: Dynamics of multivariate default system in random environment
*Nicole El Karoui*, *Monique Jeanblanc* and *Ying Jiao*
- 2016: Liquidity Effects of Trading Frequency
*Roman Gayduk* and *Sergey Nadtochiy*
- 2016: A reduced-form model for level-1 limit order books
*Tzu-Wei Yang* and *Lingjiong Zhu*
- 2016: Estimation of integrated quadratic covariation with endogenous sampling times
*Yoann Potiron* and *Per Mykland*
- 2016: Financial Contagion and Asset Liquidation Strategies
*Zachary Feinstein*
- 2016: Introduction to Stochastic Differential Equations (SDEs) for Finance
*A. Papanicolaou*
- 2016: Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
*Archil Gulisashvili*, *Blanka Horvath* and *Antoine Jacquier*
- 2016: Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems
*Jingnan Fan* and *Andrzej Ruszczynski*
- 2016: The Futures Premium and Rice Market Efficiency in Prewar Japan
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2016: Smooth solutions to portfolio liquidation problems under price-sensitive market impact
*Paulwin Graewe*, *Ulrich Horst* and *Eric S\'er\'e*
- 2016: Rough paths in idealized financial markets
*Vladimir Vovk*
- 2016: The Influence of Collaboration in Procurement Relationships
*Wesley S. Boyce*, *Haim Mano* and *John L. Kent*
- 2016: The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach
*Jian-Xin Wu* and *Ling-Yun He*
- 2016: How do Chinese cities grow? A distribution dynamics approach
*Jian-Xin Wu* and *Ling-Yun He*
- 2016: The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection
*Ling-Yun He* and *Li Liu*
- 2016: China building energy consumption: definitions and measures from an operational perspective
*Ling-Yun He* and *Wei Wei*
- 2016: Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector
*Lu-Yi Qiu* and *Ling-Yun He*
- 2016: Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
*Tim Leung* and *Jamie Kang*
- 2016: Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
*Moustapha Pemy*
- 2016: Effects of income redistribution on the evolution of cooperation in spatial public goods games
*Zhenhua Pei*, *Baokui Wang* and *Jinming Du*
- 2016: Optimal retirement income tontines
*Moshe A. Milevsky* and *Thomas S. Salisbury*
- 2016: Meta-CTA Trading Strategies based on the Kelly Criterion
*Bernhard K. Meister*
- 2016: Mean Field Game of Controls and An Application To Trade Crowding
*Pierre Cardaliaguet* and *Charles-Albert Lehalle*
- 2016: Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
*Eckhard Platen* and *David Taylor*
- 2016: Long-range Correlation and Market Segmentation in Bond Market
*Zhongxing Wang*, *Yan Yan* and *Xiaosong Chen*
- 2016: Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
*Teh Raihana Nazirah Roslan*, *Wenjun Zhang* and *Jiling Cao*
- 2016: Numerical study of splitting methods for American option valuation
*Karel in 't Hout* and *Radoslav Valkov*
- 2016: Managing Systemic Risk in Financial Networks
*Nils Detering*, *Thilo Meyer-Brandis*, *Konstantinos Panagiotou* and *Daniel Ritter*
- 2016: Multifractal cross wavelet analysis
*Zhi-Qiang Jiang*, *Wei-Xing Zhou* and *H. Eugene Stanley*
- 2016: Understanding the Tracking Errors of Commodity Leveraged ETFs
*Kevin Guo* and *Tim Leung*
- 2016: Equitable retirement income tontines: Mixing cohorts without discriminating
*M. A. Milevsky* and *T. S. Salisbury*
- 2016: Calls, zonoids, peacocks and log-concavity
*Michael R. Tehranchi*
- 2016: Optimal Shrinkage Estimator for High-Dimensional Mean Vector
*Taras Bodnar*, *Ostap Okhrin* and *Nestor Parolya*
- 2016: Super-Replication with Fixed Transaction Costs
*Peter Bank* and *Yan Dolinsky*
- 2016: Robust Utility Maximization in Discrete-Time Markets with Friction
*Ariel Neufeld* and *Mario Sikic*
- 2016: Model-independent pricing with insider information: a Skorokhod embedding approach
*Beatrice Acciaio*, *Alexander M. G. Cox* and *Martin Huesmann*
- 2016: On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
*Takuji Arai* and *Yuto Imai*
- 2016: Theory of earthquakes interevent times applied to financial markets
*Maciej Jagielski*, *Ryszard Kutner* and *Didier Sornette*
- 2016: Income and wealth distribution of the richest Norwegian individuals: An inequality analysis
*Maciej Jagielski*, *Kordian Czy\.zewski*, *Ryszard Kutner* and *H. Eugene Stanley*
- 2016: Asymptotics for rough stochastic volatility models
*Martin Forde* and *Hongzhong Zhang*
- 2016: Agnostic Risk Parity: Taming Known and Unknown-Unknowns
*Raphael Benichou*, *Yves Lemp\'eri\`ere*, *Emmanuel S\'eri\'e*, *Julien Kockelkoren*, *Philip Seager*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: The dual representation problem of risk measures
*Niushan Gao*, *Denny H. Leung* and *Foivos Xanthos*
- 2016: Intrinsic risk measures
*W. Farkas* and *A. Smirnow*
- 2016: Equity Market Impact Modeling: an Empirical Analysis for Chinese Market
*Shiyu Han*, *Lan Wu* and *Yuan Cheng*
- 2016: On exponential functionals of processes with independent increments
*Paavo Salminen* and *L Vostrikova*
- 2016: $\kappa$-generalized models of income and wealth distributions: A survey
*Fabio Clementi*, *Mauro Gallegati*, *G. Kaniadakis* and *S. Landini*
- 2016: Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point
*Oliver Janke*
- 2016: Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
*Ankush Agarwal* and *Ronnie Sircar*
- 2016: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
*Jaroslaw Kwapien*, *Pawel Oswiecimka*, *Marcin Forczek* and *Stanislaw Drozdz*
- 2016: Short term prediction of extreme returns based on the recurrence interval analysis
*Zhi-Qiang Jiang*, *Gang-Jin Wang*, *Askery Canabarro*, *Boris Podobnik*, *Chi Xie*, *H. Eugene Stanley* and *Wei-Xing Zhou*
- 2016: Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
*Tim Leung* and *Zheng Wang*
- 2016: Cleaning large correlation matrices: tools from random matrix theory
*Jo\"el Bun*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact
*Rongju Zhang*, *Nicolas Langren\'e*, *Yu Tian*, *Zili Zhu*, *Fima Klebaner* and *Kais Hamza*
- 2016: Population growth, interest rate, and housing tax in the transitional China
*Ling-Yun He* and *Xing-Chun Wen*
- 2016: The asset price bubbles in emerging financial markets: a new statistical approach
*Shu-Peng Chen* and *Ling-Yun He*
- 2016: Asymptotic of Non-Crossings probability of Additive Wiener Fields
*Pingjin Deng*
- 2016: Techniques for multifractal spectrum estimation in financial time series
*Petr Jizba* and *Jan Korbel*
- 2016: Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation
*Amine Ismail* and *Huy\^en Pham*
- 2016: Centrality measures in networks based on nodes attributes, long-range interactions and group influence
*F. Aleskerov*, *N. Meshcheryakova* and *S. Shvydun*
- 2016: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
*Weston Barger* and *Matthew Lorig*
- 2016: Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques
*A. Belenky* and *L. Egorova*
- 2016: Price Dynamics Via Expectations, and the Role of Money Therein
*Gesine A. Steudle*, *Saini Yang* and *Carlo C. Jaeger*
- 2016: Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression
*Ning Xu*, *Jian Hong* and *Timothy Fisher*
- 2016: Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
*Marcello Rambaldi*, *Vladimir Filimonov* and *Fabrizio Lillo*
- 2016: Urban-rural gap and poverty traps in China: A prefecture level analysis
*Jian-Xin Wu* and *Ling-Yun He*
- 2016: An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach
*Kristoffer Lindensj\"o*
- 2016: Uncertainty Estimates in the Heston Model via Fisher Information
*Oliver Pfante* and *Nils Bertschinger*
- 2016: Time-Varying Comovement of Foreign Exchange Markets
*Mikio Ito*, *Akihiko Noda* and *Tatsuma Wada*
- 2016: Time value of extra information against its timely value
*N. Serhan Aydin*
- 2016: Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
*Albert Altarovici*, *Max Reppen* and *H. Mete Soner*
- 2016: A framework for analyzing contagion in assortative banking networks
*Thomas R. Hurd*, *James P. Gleeson* and *Sergey Melnik*
- 2016: On Origins of Bubbles
*Zura Kakushadze*
- 2016: Epidemics of Liquidity Shortages in Interbank Markets
*Giuseppe Brandi*, *Riccardo Di Clemente* and *Giulio Cimini*
- 2016: Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
*R\'uben Sousa*, *Ana Bela Cruzeiro* and *Manuel Guerra*
- 2016: Option pricing with Legendre polynomials
*Julien Hok*
- 2016: Dependent Defaults and Losses with Factor Copula Models
*Damien Ackerer* and *Thibault Vatter*
- 2016: Constrained Optimal Transport
*Ibrahim Ekren* and *H. Mete Soner*
- 2016: Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
*Francisco Blasques*, *P Gorgi*, *Siem Jan Koopman* and *O Wintenberger*
- 2016: Volatility Smile as Relativistic Effect
*Zura Kakushadze*
- 2016: Multiple risk factor dependence structures: Copulas and related properties
*Jianxi Su* and *Edward Furman*
- 2016: Efficient Valuation of SCR via a Neural Network Approach
*Seyed Amir Hejazi* and *Kenneth R. Jackson*
- 2016: Trading against disorderly liquidation of a large position under asymmetric information and market impact
*Caroline Hillairet*, *Cody Hyndman*, *Ying Jiao* and *Renjie Wang*
- 2016: The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?
*Ananjan Bhattacharyya* and *Abhijeet Chandra*
- 2016: Information inefficiency in a random linear economy model
*Joao Pedro Jerico* and *Renato Vicente*
- 2016: A Duality Result for Robust Optimization with Expectation Constraints
*Christopher W. Miller*
- 2016: Taylor's Law of temporal fluctuation scaling in stock illiquidity
*Qing Cai*, *Hai-Chuan Xu* and *Wei-Xing Zhou*
- 2016: Exponential utility maximization under model uncertainty for unbounded endowments
*Daniel Bartl*
- 2016: Inventory growth cycles with debt-financed investment
*Matheus Grasselli* and *Adrien Nguyen-Huu*
- 2016: Sharpe portfolio using a cross-efficiency evaluation
*Juan F. Monge*, *Mercedes Landete* and *Jos\'e L. Ruiz*
- 2016: The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models
*Likuan Qin* and *Vadim Linetsky*
- 2016: A hybrid approach to assess systemic risk in financial networks
*Daniele Petrone* and *Vito Latora*
- 2016: Long-Term Factorization of Affine Pricing Kernels
*Likuan Qin* and *Vadim Linetsky*
- 2016: Exponential functionals of Levy processes and variable annuity guaranteed benefits
*Runhuan Feng*, *Alexey Kuznetsov* and *Fenghao Yang*
- 2016: Optimal Portfolios of Illiquid Assets
*T. R. Hurd*, *Quentin H. Shao* and *Tuan Tran*
- 2016: Decoupling the short- and long-term behavior of stochastic volatility
*Mikkel Bennedsen*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2016: Volatility Inference and Return Dependencies in Stochastic Volatility Models
*Oliver Pfante* and *Nils Bertschinger*
- 2016: The complex dynamics of products and its asymptotic properties
*Orazio Angelini*, *Matthieu Cristelli*, *Andrea Zaccaria* and *Luciano Pietronero*
- 2016: Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016
*Rui Menezes* and *Sonia Bentes*
- 2016: XVA at the Exercise Boundary
*Andrew Green* and *Chris Kenyon*
- 2016: Robust Optimal Investment in Discrete Time for Unbounded Utility Function
*Laurence Carassus* and *Romain Blanchard*
- 2016: Crises and Physical Phases of a Bipartite Market Model
*Nima Dehmamy*, *Sergey Buldyrev*, *Shlomo Havlin*, *Harry Eugene Stanley* and *Irena Vodenska*
- 2016: From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes
*Christof Henkel*
- 2016: Multivariate Mixed Tempered Stable Distribution
*Asmerilda Hitaj*, *Friedrich Hubalek*, *Lorenzo Mercuri* and *Edit Rroji*
- 2016: Option-Based Pricing of Wrong Way Risk for CVA
*Chris Kenyon* and *Andrew Green*
- 2016: Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility
*Jos\'e E. Figueroa-L\'opez*, *Ruoting Gong* and *Matthew Lorig*
- 2016: Bayesian Posteriors for Small Multinomial Probabilities
*Drew Fudenberg*, *Kevin He* and *Lorens Imhof*
- 2016: Electoral Systems Used around the World
*Siamak F. Shahandashti*
- 2016: Arbitrage without borrowing or short selling?
*Jani Lukkarinen* and *Mikko S. Pakkanen*
- 2016: Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework
*Wujiang Lou*
- 2016: Repo Haircuts and Economic Capital
*Wujiang Lou*
- 2016: Commodity Dynamics: A Sparse Multi-class Approach
*Luca Barbaglia*, *Ines Wilms* and *Christophe Croux*
- 2016: Numerical approximation of a cash-constrained firm value with investment opportunities
*Erwan Pierre*, *St\'ephane Villeneuve* and *Xavier Warin*
- 2016: No-arbitrage bounds for the forward smile given marginals
*Sergey Badikov*, *Antoine Jacquier*, *Daphne Qing Liu* and *Patrick Roome*
- 2016: A rank based mean field game in the strong formulation
*Erhan Bayraktar* and *Yuchong Zhang*
- 2016: Should employers pay their employees better? An asset pricing approach
*Sebastien Valeyre*, *Denis Grebenkov*, *Sofiane Aboura* and *Francois Bonnin*
- 2016: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
*Masaaki Fujii* and *Akihiko Takahashi*
- 2016: Sparse Mean-Variance Portfolios: A Penalized Utility Approach
*David Puelz*, *P. Richard Hahn* and *Carlos M. Carvalho*
- 2016: Loss-Deviation risk measures
*Marcelo Brutti Righi*
- 2016: Moral hazard under ambiguity
*Thibaut Mastrolia* and *Dylan Possama\"i*
- 2016: A simple agent-based spatial model of the economy: tools for policy
*Bernardo Furtado* and *Isaque Daniel Rocha Eberhardt*
- 2016: Identifying collusion groups using spectral clustering
*Suneel Sarswat*, *Kandathil Mathew Abraham* and *Subir Kumar Ghosh*
- 2016: Kriging Metamodels and Experimental Design for Bermudan Option Pricing
*Michael Ludkovski*
- 2016: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
*Vygintas Gontis*, *Shlomo Havlin*, *Aleksejus Kononovicius*, *Boris Podobnik* and *H. Eugene Stanley*
- 2016: Hybrid scheme for Brownian semistationary processes
*Mikkel Bennedsen*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2016: Diversification Preferences in the Theory of Choice
*Enrico De Giorgi* and *Ola Mahmoud*
- 2016: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks
*Zachary Feinstein* and *Fatena El-Masri*
- 2016: The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
*Francesca Biagini*, *Alessandro Gnoatto* and *Maximilian H\"artel*
- 2016: A Practical Approach to Financial Crisis Indicators Based on Random Matrices
*Antoine Kornprobst* and *Raphael Douady*
- 2016: Sensitivity and Computational Complexity in Financial Networks
*Brett Hemenway* and *Sanjeev Khanna*
- 2016: Measures of Systemic Risk
*Zachary Feinstein*, *Birgit Rudloff* and *Stefan Weber*
- 2016: Rotational invariant estimator for general noisy matrices
*Jo\"el Bun*, *Romain Allez*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
*Boris Buchmann*, *Benjamin Kaehler*, *Ross Maller* and *Alexander Szimayer*
- 2016: Quasi-Centralized Limit Order Books
*Martin D. Gould*, *Mason A. Porter* and *Sam D. Howison*
- 2016: Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
*Andrei Cozma*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2016: The asymptotic smile of a multiscaling stochastic volatility model
*Francesco Caravenna* and *Jacopo Corbetta*
- 2016: Long Term Risk: A Martingale Approach
*Likuan Qin* and *Vadim Linetsky*
- 2016: Stochastic Analysis Seminar on Filtering Theory
*Andrew Papanicolaou*
- 2016: A remark on Gatheral's 'most-likely path approximation' of implied volatility
*Martin Keller-Ressel* and *Josef Teichmann*
- 2016: Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price
*Yang Yu*, *Guangyi Liu*, *Wendong Zhu*, *Fei Wang*, *Bin Shu*, *Kai Zhang*, *Ram Rajagopal* and *Nicolas Astier*
- 2016: A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case
*Javiera Barrera*, *Eduardo Moreno* and *Sebastian Varas*
- 2016: Optimal trading policies for wind energy producer
*Zongjun Tan* and *Peter Tankov*
- 2016: Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation
*David R Walwyn*
- 2016: Biased Roulette Wheel: A Quantitative Trading Strategy Approach
*Giancarlo Salirrosas Mart\'inez*
- 2016: The Role of Rating and Loan Characteristics in Online Microfunding Behaviors
*Gaurav Paruthi*, *Enrique Frias-Martinez* and *Vanessa Frias-Martinez*
- 2016: A stylized model for wealth distribution
*Bertram D\"uring*, *Nicos Georgiou* and *Enrico Scalas*
- 2016: When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources
*V. Sasidevan*, *Appilineni Kushal* and *Sitabhra Sinha*
- 2016: Clustering Approaches for Financial Data Analysis: a Survey
*Fan Cai*, *Nhien-An Le-Khac* and *Tahar Kechadi*
- 2016: Strongly Consistent Multivariate Conditional Risk Measures
*Hannes Hoffmann*, *Thilo Meyer-Brandis* and *Gregor Svindland*
- 2016: Risk-Consistent Conditional Systemic Risk Measures
*Hannes Hoffmann*, *Thilo Meyer-Brandis* and *Gregor Svindland*
- 2016: Short Maturity Asian Options in Local Volatility Models
*Dan Pirjol* and *Lingjiong Zhu*
- 2016: Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
*Dan Pirjol* and *Lingjiong Zhu*
- 2016: Multivariate GARCH for a large number of stocks
*Matthias Raddant* and *Friedrich Wagner*
- 2016: Data-driven nonlinear expectations for statistical uncertainty in decisions
*Samuel N. Cohen*
- 2016: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2016: Bounds for VIX Futures given S&P 500 Smiles
*Julien Guyon*, *Romain Menegaux* and *Marcel Nutz*
- 2016: Static vs adapted optimal execution strategies in two benchmark trading models
*Damiano Brigo* and *Clement Piat*
- 2016: Replica Analysis for the Duality of the Portfolio Optimization Problem
*Takashi Shinzato*
- 2016: Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016
*Barack Wamkaya Wanjawa*
- 2016: The microstructural foundations of leverage effect and rough volatility
*El Euch Omar*, *Fukasawa Masaaki* and *Rosenbaum Mathieu*
- 2016: Export dynamics as an optimal growth problem in the network of global economy
*Michele Caraglio*, *Fulvio Baldovin* and *Attilio L. Stella*
- 2016: Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results
*Alan Roncoroni* and *Matus Medo*
- 2016: Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility
*Tanmay S. Patankar*
- 2016: Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
*Shanshan Wang* and *Thomas Guhr*
- 2016: Trader lead-lag networks and order flow prediction
*Damien Challet*, *R\'emy Chicheportiche*, *Mehdi Lallouache* and *Serge Kassibrakis*
- 2016: Price impact without order book: A study of the OTC credit index market
*Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2016: The joint distributions of running maximum of a Slepian processes
*Pingjin Deng*
- 2016: Entropy and efficiency of the ETF market
*Lucio Maria Calcagnile*, *Fulvio Corsi* and *Stefano Marmi*
- 2016: Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
*Jonathan Yu-Meng Li*
- 2016: SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab
*Bernardo Furtado*, *Isaque Daniel Rocha Eberhardt* and *Alexandre Messa*
- 2016: The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets
*Joachim Groeger*
- 2016: Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression
*Ning Xu*, *Jian Hong* and *Timothy Fisher*
- 2016: The Solution to Science's Replication Crisis
*Bruce Knuteson*
- 2016: Covariance of random stock prices in the Stochastic Dividend Discount Model
*Arianna Agosto*, *Alessandra Mainini* and *Enrico Moretto*
- 2016: Canonical Supermartingale Couplings
*Marcel Nutz* and *Florian Stebegg*
- 2016: Value at risk and the diversification dogma
*Arturo Erdely*
- 2016: Stochastic Tail Exponent For Asymmetric Power Laws
*Nassim Nicholas Taleb*
- 2016: Generalized Autoregressive Score Models in R: The GAS Package
*David Ardia*, *Kris Boudt* and *Leopoldo Catania*
- 2016: A superhedging approach to stochastic integration
*Rafa{\l} M. {\L}ochowski*, *Nicolas Perkowski* and *David J. Pr\"omel*
- 2016: The interaction between trade and FDI: the CEE countries experience
*Claudiu Albulescu* and *Daniel Goyeau*
- 2016: The characteristic function of rough Heston models
*Omar El Euch* and *Mathieu Rosenbaum*
- 2016: The loss of interest for the euro in Romania
*Claudiu Albulescu* and *Dominique P\'epin*
- 2016: Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions
*Antoine Emil Zambelli*
- 2016: Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
*Mourad Lazgham*
- 2016: On Jensen's inequality for generalized Choquet integral with an application to risk aversion
*Wioletta Szeligowska* and *Marek Kaluszka*
- 2016: Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China
*Atif Ansar*, *Bent Flyvbjerg*, *Alexander Budzier* and *Daniel Lunn*
- 2016: An adjoint method for the exact calibration of Stochastic Local Volatility models
*Maarten Wyns* and *Karel in 't Hout*
- 2016: Discrete hierarchy of sizes and performances in the exchange-traded fund universe
*Benjamin Vandermarliere*, *Jan Ryckebusch*, *Koen Schoors*, *Peter Cauwels* and *Didier Sornette*
- 2016: Financial Market Dynamics: Superdiffusive or not?
*Sandhya Devi*
- 2016: L\'evy-Vasicek Models and the Long-Bond Return Process
*Dorje C. Brody*, *Lane P. Hughston* and *David M. Meier*
- 2016: Arbitrage and utility maximization in market models with an insider
*Ngoc Huy Chau*, *Wolfgang Runggaldier* and *Peter Tankov*
- 2016: Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples
*Michael A. Kouritzin*
- 2016: Dynamics of rapid innovation
*T. M. A. Fink*, *M. Reeves*, *R. Palma* and *R. S. Farr*
- 2016: Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
*Gareth W. Peters*, *Pavel V. Shevchenko*, *Bertrand Hassani* and *Ariane Chapelle*
- 2016: Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
*Byung-Geun Choi*, *Napat Rujeerapaiboon* and *Ruiwei Jiang*
- 2016: Mean field games of timing and models for bank runs
*Rene Carmona* and *Daniel Lacker*
- 2016: Socio-economic inequality: Relationship between Gini and Kolkata indices
*Arnab Chatterjee*, *Asim Ghosh* and *Bikas K Chakrabarti*
- 2016: Utility maximization problem with random endowment and transaction costs: when wealth may become negative
*Yiqing Lin* and *Junjian Yang*
- 2016: Solving Society's Big Ills, A Small Step
*Ravi Kashyap*
- 2016: Statistically validated network of portfolio overlaps and systemic risk
*Stanislao Gualdi*, *Giulio Cimini*, *Kevin Primicerio*, *Riccardo Di Clemente* and *Damien Challet*
- 2016: Average cross-responses in correlated financial market
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: Option spanning beyond $L_p$-models
*Niushan Gao* and *Foivos Xanthos*
- 2016: Polynomial Diffusion Models for Life Insurance Liabilities
*Francesca Biagini* and *Yinglin Zhang*
- 2016: Unravelling the trading invariance hypothesis
*Michael Benzaquen*, *Jonathan Donier* and *Jean-Philippe Bouchaud*
- 2016: Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model
*Philipp Harms*, *David Stefanovits*, *Josef Teichmann* and *Mario V. W\"uthrich*
- 2016: Distress propagation in complex networks: the case of non-linear DebtRank
*Marco Bardoscia*, *Fabio Caccioli*, *Juan Ignacio Perotti*, *Gianna Vivaldo* and *Guido Caldarelli*
- 2016: Integration with respect to model-free price paths with jumps
*Rafa{\l} M. {\L}ochowski*
- 2016: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
*Paolo Barucca* and *Fabrizio Lillo*
- 2016: On the C-property and $w^*$-representations of risk measures
*Niushan Gao* and *Foivos Xanthos*
- 2016: Semi-static completeness and robust pricing by informed investors
*Beatrice Acciaio* and *Martin Larsson*
- 2016: The pricing of contingent claims and optimal positions in asymptotically complete markets
*Michail Anthropelos*, *Scott Robertson* and *Konstantinos Spiliopoulos*
- 2016: On the emergence of scale-free production networks
*Stanislao Gualdi* and *Antoine Mandel*
- 2016: Super-replication in Fully Incomplete Markets
*Yan Dolinsky* and *Ariel Neufeld*
- 2016: A martingale analysis of first passage times of time-dependent Wiener diffusion models
*Vaibhav Srivastava*, *Samuel F. Feng*, *Jonathan D. Cohen*, *Naomi Ehrich Leonard* and *Amitai Shenhav*
- 2016: On the Robust Dynkin Game
*Erhan Bayraktar* and *Song Yao*
- 2016: On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models
*David Landriault*, *Bin Li* and *Hongzhong Zhang*
- 2016: Sharper asset ranking from total drawdown durations
*Damien Challet*
- 2016: Consistent Recalibration of Yield Curve Models
*Philipp Harms*, *David Stefanovits*, *Josef Teichmann* and *Mario W\"uthrich*
- 2016: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
*Ben Hambly*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2016: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
*Umut \c{C}etin* and *Albina Danilova*
- 2016: Option Pricing in an Imperfect World
*Gianluca Cassese*
- 2016: Drawdown: From Practice to Theory and Back Again
*Lisa R. Goldberg* and *Ola Mahmoud*
- 2016: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system
*Xiaochao Qian*
- 2016: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
*John Armstrong*, *Martin Forde*, *Matthew Lorig* and *Hongzhong Zhang*
- 2016: Double Cascade Model of Financial Crises
*Thomas R. Hurd*, *Davide Cellai*, *Sergey Melnik* and *Quentin Shao*
- 2016: A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory
*Leonardo Bargigli*, *Andrea Lionetto* and *Stefano Viaggiu*
- 2016: A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods
*T. O. Benli*
- 2016: "Butterfly Effect" vs Chaos in Energy Futures Markets
*Loretta Mastroeni* and *Pierluigi Vellucci*
- 2016: Institutionalization in Efficient Markets: The Case of Price Bubbles
*Sheen S. Levine* and *Edward J. Zajac*
- 2016: Multi-period investment strategies under Cumulative Prospect Theory
*Liurui Deng* and *Traian A. Pirvu*
- 2016: Risk measures and Margining control
*Giuseppe Carlo Calafiore* and *Leonardo Massai*
- 2016: On the Market-Neutrality of Optimal Pairs-Trading Strategies
*Bahman Angoshtari*
- 2016: What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013
*Deepak Malghan* and *Hema Swaminathan*
- 2016: Networks: An Economic Perspective
*Matthew Jackson*, *Brian W. Rogers* and *Yves Zenou*
- 2016: Rethinking Financial Contagion
*Gabriele Visentin*, *Stefano Battiston* and *Marco D'Errico*
- 2016: Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship
*Neeraj* and *Prasanta K. Panigrahi*
- 2016: Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach
*Mansooreh Kazemilari*, *Maman Abdurachman Djauhari* and *Zuhaimy Ismail*
- 2016: Quantile Dependence between Stock Markets and its Application in Volatility Forecasting
*Heejoon Han*
- 2016: The randomised Heston model
*Antoine Jacquier* and *Fangwei Shi*
- 2016: Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience
*Luis Alcalá*, *Fernando Tohme* and *Carlos Dabus*
- 2016: Fractal approach towards power-law coherency to measure cross-correlations between time series
*Ladislav Krištoufek*
- 2016: RELARM: A rating model based on relative PCA attributes and k-means clustering
*Elnura Irmatova*
- 2016: Volatility and Arbitrage
*E. Robert Fernholz*, *Ioannis Karatzas* and *Johannes Ruf*
- 2016: New economic windows on income and wealth: The k-generalized family of distributions
*Fabio Clementi* and *Mauro Gallegati*
- 2016: Optimal Switching under Ambiguity and Its Applications in Finance
*Yuki Shigeta*
- 2016: A String Model of Liquidity in Financial Markets
*Henry Schellhorn* and *Ran Zhao*
- 2016: The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation
*Bruce M. Boghosian*, *Adrian Devitt-Lee* and *Hongyan Wang*
- 2016: Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation
*Zdzislaw Brzezniak* and *Tayfun Kok*
- 2016: Poverty Index With Time Varying Consumption and Income Distributions
*Amit K Chattopadhyay*, *T Krishna Kumar* and *Sushanta Mallick*
- 2016: The structure of the climate debate
*Richard Tol*
- 2016: Consistency of option prices under bid-ask spreads
*Stefan Gerhold* and *I. Cetin G\"ul\"um*
- 2016: Elicitability and backtesting
*Natalia Nolde* and *Johanna F. Ziegel*
- 2016: A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes
*V. G. Filev*, *P. Neykov* and *G. S. Vasilev*
- 2016: Filling the gaps smoothly
*Andrey Itkin* and *Alexander Lipton*
- 2016: General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
*Anatoliy Swishchuk*, *Katharina Cera*, *Julia Schmidt* and *Tyler Hofmeister*
- 2016: Electoral Stability and Rigidity
*Michael Y. Levy*
- 2016: Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit
*Gilles Boevi Koumou*
- 2016: Monetary economics from econophysics perspective
*Victor M. Yakovenko*
- 2016: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
*Alessandro Gnoatto*, *Martino Grasselli* and *Eckhard Platen*
- 2016: Optimal importance sampling for L\'evy Processes
*Adrien Genin* and *Peter Tankov*
- 2016: Rank-optimal weighting or "How to be best in the OECD Better Life Index?"
*Jan Lorenz*, *Christoph Brauer* and *Dirk A. Lorenz*
- 2016: Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion
*Luis Alvarez* and *Paavo Salminen*
- 2016: Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk
*Takashi Shinzato*
- 2016: Time-scale effects on the gain-loss asymmetry in stock indices
*Bulcs\'u S\'andor*, *Ingve Simonsen*, *B\'alint Zsolt Nagy* and *Zolt\'an N\'eda*
- 2016: Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)
*Peter Richmond* and *Bertrand M. Roehner*
- 2016: A General Framework for Pairs Trading with a Control-Theoretic Point of View
*Atul Deshpande* and *B. Ross Barmish*
- 2016: Emergent organization in a model market
*Avinash Chand Yadav*, *Kaustubh Manchanda* and *Ramakrishna Ramaswamy*
- 2016: A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives
*Daniel Conus* and *Mackenzie Wildman*
- 2016: Some Contributions to Sequential Monte Carlo Methods for Option Pricing
*Deborshee Sen*, *Ajay Jasra* and *Yan Zhou*
- 2016: Managing counterparty credit risk via BSDEs
*Andrew Lesniewski* and *Anja Richter*
- 2016: Dynamic portfolio strategy using clustering approach
*Fei Ren*, *Ya-Nan Lu*, *Sai-Ping Li*, *Xiong-Fei Jiang*, *Li-Xin Zhong* and *Tian Qiu*
- 2016: Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
*Li-Ling Su*, *Xiong-Fei Jiang*, *Sai-Ping Li*, *Li-Xin Zhong* and *Fei Ren*
- 2016: Another example of duality between game-theoretic and measure-theoretic probability
*Vladimir Vovk*
- 2016: Arbitrage-Free XVA
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2016: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes
*Camilo Hernandez* and *Mauricio Junca*
- 2016: Who would invest only in the risk-free asset?
*Nuno Azevedo*, *Diogo Pinheiro*, *Stylianos Xanthopoulos* and *Athanasios Yannacopoulos*
- 2016: Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
*Bernardi Mauro*, *Roy Cerqueti* and *Arsen Palestini*
- 2016: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
*Mikkel Bennedsen*
- 2016: Toward Development of a New Health Economic Evaluation Definition
*Alexei Botchkarev*
- 2016: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion
*Ulrich Horst* and *D\"orte Kreher*
- 2016: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
*Christoph Czichowsky*, *R\'emi Peyre*, *Walter Schachermayer* and *Junjian Yang*
- 2016: Efficient exposure computation by risk factor decomposition
*Cornelis S. L. de Graaf*, *Drona Kandhai* and *Christoph Reisinger*
- 2016: The boundary non-Crossing probabilities for Slepian process
*Pingjin Deng*
- 2016: Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method
*Susmita Bhaduri*, *Dipak Ghosh* and *Subhadeep Ghosh*
- 2016: On the Use of Computer Programs as Money
*Ross D. King*
- 2016: SPDE limit of the global fluctuations in rank-based models
*Praveen Kolli* and *Mykhaylo Shkolnikov*
- 2016: On optimal investment with processes of long or negative memory
*Huy N. Chau* and *Miklos Rasonyi*
- 2016: A continuous and efficient fundamental price on the discrete order book grid
*Julius Bonart* and *Fabrizio Lillo*
- 2016: Indirect Inference With(Out) Constraints
*David T. Frazier* and *Eric Renault*
- 2016: A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
*Jana Bielagk*, *Ulrich Horst* and *Santiago Moreno--Bromberg*
- 2016: Swaption Prices in HJM model. Nonparametric fit
*V. M. Belyaev*
- 2016: On American VIX options
*Yerkin Kitapbayev* and *Jerome Detemple*
- 2016: The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
*Krzysztof Domino*
- 2016: Generalized Leverage Effects in Asset Returns
*Kenichiro McAlinn*, *Asahi Ushio* and *Teruo Nakatsuma*
- 2016: Exponentially concave functions and a new information geometry
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2016: Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory
*Eamon Duede* and *Victor Zhorin*
- 2016: Non-concave optimal investment and no-arbitrage: a measure theoretical approach
*Romain Blanchard*, *Laurence Carassus* and *Mikl\'os R\'asonyi*
- 2016: Robust Mean-Variance Hedging via G-Expectation
*Francesca Biagini*, *Jacopo Mancin* and *Thilo Meyer Brandis*
- 2016: Moment explosions, implied volatility and local volatility at extreme strikes
*Sidi Mohamed Aly*
- 2016: A stochastic Stefan-type problem under first order boundary conditions
*Marvin S. Mueller*
- 2016: Uniform bounds for Black--Scholes implied volatility
*Michael R. Tehranchi*
- 2016: Arbitrage and Hedging in model-independent markets with frictions
*Matteo Burzoni*
- 2016: Sticky processes, local and true martingales
*Mikl\'os R\'asonyi* and *Hasanjan Sayit*
- 2016: Electricity Price Forecasting using Sale and Purchase Curves: The X-Model
*Florian Ziel* and *Rick Steinert*
- 2016: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
*Gili Rosenberg*, *Poya Haghnegahdar*, *Phil Goddard*, *Peter Carr*, *Kesheng Wu* and *Marcos L\'opez de Prado*
- 2016: Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk
*Paul Larsen*
- 2016: Bridging AIC and BIC: a new criterion for autoregression
*Jie Ding*, *Vahid Tarokh* and *Yuhong Yang*
- 2016: Existence of continuous euclidean embeddings for a weak class of orders
*Stan Palasek*
- 2016: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences
*Ali Hosseiny*
- 2016: Tightness and duality of martingale transport on the Skorokhod space
*Gaoyue Guo*, *Xiaolu Tan* and *Nizar Touzi*
- 2016: Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
*David Criens*, *Kathrin Glau* and *Zorana Grbac*
- 2016: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery
*Pierre M. Blacque-Florentin* and *Badr Missaoui*
- 2016: Optimal Skorokhod embedding under finitely-many marginal constraints
*Gaoyue Guo*, *Xiaolu Tan* and *Nizar Touzi*
- 2016: The gradual evolution of buyer--seller networks and their role in aggregate fluctuations
*Ryohei Hisano*, *Tsutomu Watanabe*, *Takayuki Mizuno*, *Takaaki Ohnishi* and *Didier Sornette*
- 2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2016: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
*Christoph Czichowsky* and *Walter Schachermayer*
- 2016: Polynomial term structure models
*Si Cheng* and *Michael R. Tehranchi*
- 2016: Sorting in Networks: Adversity and Structure
*Andreas Bjerre-Nielsen*
- 2016: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2016: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
*Maxim Bichuch*, *Agostino Capponi* and *Stephan Sturm*
- 2016: Nonparametric Stochastic Discount Factor Decomposition
*Timothy Christensen*
- 2016: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2016: Path Integral and Asset Pricing
*Zura Kakushadze*
- 2016: An expansion in the model space in the context of utility maximization
*Kasper Larsen*, *Oleksii Mostovyi* and *Gordan \v{Z}itkovi\'c*
- 2016: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
*Christian Bayer*, *Ulrich Horst* and *Jinniao Qiu*
- 2016: Shapes of implied volatility with positive mass at zero
*Stefano De Marco*, *Caroline Hillairet* and *Antoine Jacquier*
- 2016: Change of measure up to a random time: Details
*D\"orte Kreher*
- 2016: Option pricing with linear market impact and non-linear Black and Scholes equations
*Gregoire Loeper*
- 2016: The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function
*Peter B. Lerner*
- 2016: Copula-Based Univariate Time Series Structural Shift Identification Test
*Henry Penikas*
- 2016: A Simple Model of Credit Expansion
*Alexander Smirnov*
- 2016: Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma
*Fuad Aleskerov* and *Victoria Oleynik*
- 2016: Pricing Weakly Model Dependent Barrier Products
*Jan Kuklinski*, *Panagiotis Papaioannou* and *Kevin Tyloo*
- 2016: Metastable Features of Economic Networks and Responses to Exogenous Shocks
*Ali Hosseiny*, *Mohammad Bahrami*, *Antonio Palestrini* and *Mauro Gallegati*
- 2016: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
*S. Kuchuk-Iatsenko*, *Y. Mishura* and *Y. Munchak*
- 2016: Self-organization in a distributed coordination game through heuristic rules
*S. Agarwal*, *D. Ghosh* and *A. S. Chakrabarti*
- 2016: The effect of heterogeneity on flocking behavior and systemic risk
*Fei Fang*, *Yiwei Sun* and *Konstantinos Spiliopoulos*
- 2016: Asymmetric volatility connectedness on forex markets
*Jozef Baruník*, *Evžen Kočenda* and *Lukas Vacha*
- 2016: Modelling the impact of financialization on agricultural commodity markets
*Maria d'Errico*, *Alessandro Laio* and *Guido L. Chiarotti*
- 2016: The Rank Effect for Commodities
*Ricardo Fernholz* and *Christoffer Koch*
- 2016: On the support of extremal martingale measures with given marginals: the countable case
*Luciano Campi* and *Claude Martini*
- 2016: Model-Independent Price Bounds for Catastrophic Mortality Bonds
*Raj Kumari Bahl* and *Sotirios Sabanis*
- 2016: Inverse Optimization of Convex Risk Functions
*Jonathan Yu-Meng Li*
- 2016: On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
*Dirk Becherer*, *Martin B\"uttner* and *Klebert Kentia*
- 2016: Systemic Risk and Stochastic Games with Delay
*Rene Carmona*, *Jean-Pierre Fouque*, *Seyyed Mostafa Mousavi* and *Li-Hsien Sun*
- 2016: Effects of Sea Level Rise on Economy of the United States
*Monika Novackova* and *Richard Tol*
- 2016: Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
*Andrew Papanicolaou* and *Konstantinos Spiliopoulos*
- 2016: Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process
*Simon Clinet* and *Yoann Potiron*
- 2016: A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey
*T. O. Benli*
- 2016: Identification of market trends with string and D2-brane maps
*Erik Barto\v{s}* and *Richard Pin\v{c}\'ak*
- 2016: Smoothing the payoff for efficient computation of Basket option prices
*Christian Bayer*, *Markus Siebenmorgen* and *Raul Tempone*
- 2016: Sectoral co-movements in the Indian stock market: A mesoscopic network analysis
*Kiran Sharma*, *Shreyansh Shah*, *Anindya S. Chakrabarti* and *Anirban Chakraborti*
- 2016: Extracting Geography from Trade Data
*Yuke Li*, *Tianhao Wu*, *Nicholas Marshall* and *Stefan Steinerberger*
- 2016: Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
*Zuzana Buckova*, *Beata Stehlikova* and *Daniel Sevcovic*
- 2016: Statistical Industry Classification
*Zura Kakushadze* and *Willie Yu*
- 2016: Multiple risk factor dependence structures: Distributional properties
*Jianxi Su* and *Edward Furman*
- 2016: A form of multivariate Pareto distribution with applications to financial risk measurement
*Jianxi Su* and *Edward Furman*
- 2016: Hedging under generalized good-deal bounds and model uncertainty
*Dirk Becherer* and *Klebert Kentia*
- 2016: The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games
*Bent Flyvbjerg*, *Allison Stewart* and *Alexander Budzier*
- 2016: Existence and uniqueness results for BSDEs with jumps: the whole nine yards
*Antonis Papapantoleon*, *Dylan Possama\"i* and *Alexandros Saplaouras*
- 2016: Fashion, fads and the popularity of choices: micro-foundations for non-equilibrium consumer theory
*Jean-Francois Mercure*
- 2016: Controlling Public Debt without Forgetting Inflation
*Giorgio Ferrari*
- 2016: Insurance valuation: a computable multi-period cost-of-capital approach
*Hampus Engsner*, *Mathias Lindholm* and *Filip Lindskog*
- 2016: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
*Antonis Papapantoleon* and *Robert Wardenga*
- 2016: Dual representations for systemic risk measures
*\c{C}a\u{g}{\i}n Ararat* and *Birgit Rudloff*
- 2016: Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
*Taisei Kaizoji* and *Michiko Miyano*
- 2016: Information uncertainty related to marked random times and optimal investment
*Ying Jiao* and *Idris Kharroubi*
- 2016: On the time consistency of collective preferences
*Luis Alcalá*
- 2016: Deep Learning for Mortgage Risk
*Justin Sirignano*, *Apaar Sadhwani* and *Kay Giesecke*
- 2016: Fair division with divisible and indivisible items
*Alexander Rubchinsky*
- 2016: Rating models: emerging market distinctions
*Alexandr Karminsky*
- 2016: Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
*Andrey Subochev* and *Igor Zakhlebin*
- 2016: Divisive-agglomerative algorithm and complexity of automatic classification problems
*Alexander Rubchinsky*
- 2016: Tail protection for long investors: Trend convexity at work
*Tung-Lam Dao*, *Trung-Tu Nguyen*, *Cyril Deremble*, *Yves Lemp\'eri\`ere*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: Matrix-vector representation of various solution concepts
*Fuad Aleskerov* and *Andrey Subochev*
- 2016: Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework
*Tamal Datta Chaudhuri* and *Indranil Ghosh*
- 2016: On the American swaption in the linear-rational framework
*Damir Filipovic* and *Yerkin Kitapbayev*
- 2016: Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction
*Somwrita Sarkar* and *Sanjay Chawla*
- 2016: Granger Independent Martingale Processes
*Umberto Cherubini*, *Fabio Gobbi*, *Sabrina Mulinacci* and *Silvia Romagnoli*
- 2016: Dynamic optimization and its relation to classical and quantum constrained systems
*Mauricio Contreras*, *Rely Pellicer* and *Marcelo Villena*
- 2016: Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching
*Nemat Safarov* and *Colin Atkinson*
- 2016: Utility Indifference Pricing of Insurance Catastrophe Derivatives
*Andreas Eichler*, *Gunther Leobacher* and *Michaela Sz\"olgyenyi*
- 2016: A probability-free and continuous-time explanation of the equity premium and CAPM
*Vladimir Vovk* and *Glenn Shafer*
- 2016: Comments on the BCBS proposal for a New Standardized Approach for Operational Risk
*Giulio Mignola*, *Roberto Ugoccioni* and *Eric Cope*
- 2016: Recursive utility optimization with concave coefficients
*Shaolin Ji* and *Xiaomin Shi*
- 2016: Time-Inconsistent Stochastic Linear-quadratic Differential Game
*Qinglong Zhou* and *Gaofeng Zong*
- 2016: Estimation and prediction of credit risk based on rating transition systems
*Jinghai Shao*, *Siming Li* and *Yong Li*
- 2016: Network Valuation in Financial Systems
*Paolo Barucca*, *Marco Bardoscia*, *Fabio Caccioli*, *Marco D'Errico*, *Gabriele Visentin*, *Stefano Battiston* and *Guido Caldarelli*
- 2016: The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth
*Viktor Stojkoski*, *Zoran Utkovski* and *Ljupco Kocarev*
- 2016: Betting and Belief: Prediction Markets and Attribution of Climate Change
*John J. Nay*, *Martin Van der Linden* and *Jonathan M. Gilligan*
- 2016: Optimal dividend payments for a two-dimensional insurance risk process
*Pablo Azcue*, *Nora Muler* and *Zbigniew Palmowski*
- 2016: Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data
*Yoann Potiron*
- 2016: Tipping elements and climate-economic shocks: Pathways toward integrated assessment
*Robert E. Kopp*, *Rachael Shwom*, *Gernot Wagner* and *Jiacan Yuan*
- 2016: Statistical Risk Models
*Zura Kakushadze* and *Willie Yu*
- 2016: On an Optimal Extraction Problem with Regime Switching
*Giorgio Ferrari* and *Shuzhen Yang*
- 2016: On optimal strategies for utility maximizers in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2016: The value of foresight
*Philip Ernst*, *Leonard Rogers* and *Quan Zhou*
- 2016: Fighting Uncertainty with Uncertainty
*Ravi Kashyap*
- 2016: Deep Learning for Limit Order Books
*Justin Sirignano*
- 2016: A unified view of LIBOR models
*Kathrin Glau*, *Zorana Grbac* and *Antonis Papapantoleon*
- 2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book
*Roberto Mota Navarro* and *Hern\'an Larralde Ridaura*
- 2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum
*Dmitry B. Rokhlin*
- 2016: MVA Transfer Pricing
*Wujiang Lou*
- 2016: FX Options in Target Zone
*Peter Carr* and *Zura Kakushadze*
- 2016: A Theory of Individualism, Collectivism and Economic Outcomes
*Kartik Ahuja*, *Mihaela van der Schaar* and *William R. Zame*
- 2016: Approximate Option Pricing in the L\'evy Libor Model
*Zorana Grbac*, *David Krief* and *Peter Tankov*
- 2016: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
*Matteo Barigozzi* and *Marc Hallin*
- 2016: Hedging with Temporary Price Impact
*Peter Bank*, *Mete Soner* and *Moritz Vo{\ss}*
- 2016: Cointegrating Jumps: an Application to Energy Facilities
*Nicola Cufaro Petroni* and *Piergiacomo Sabino*
- 2016: Sequential Design for Ranking Response Surfaces
*Ruimeng Hu* and *Mike Ludkovski*
- 2016: Hydroassets Portfolio Management for Intraday Electricity Trading in a Discrete Time Stochastic Optimization Perspective
*Simone Farinelli* and *Luisa Tibiletti*
- 2016: Detecting early signs of the 2007-2008 crisis in the world trade
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 2016: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
*Zachary Feinstein* and *Birgit Rudloff*
- 2016: Risk Quantification in Stochastic Simulation under Input Uncertainty
*Helin Zhu* and *Enlu Zhou*
- 2016: Multivariate Shortfall Risk Allocation and Systemic Risk
*Yannick Armenti*, *Stephane Crepey*, *Samuel Drapeau* and *Antonis Papapantoleon*
- 2016: Model-independent bounds for Asian options: a dynamic programming approach
*Alexander M. G. Cox* and *Sigrid K\"allblad*
- 2016: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments
*Rachael Meager*
- 2016: Optimal Stopping with Random Maturity under Nonlinear Expectations
*Erhan Bayraktar* and *Song Yao*
- 2016: Chebyshev Interpolation for Parametric Option Pricing
*Maximilian Ga{\ss}*, *Kathrin Glau*, *Mirco Mahlstedt* and *Maximilian Mair*
- 2016: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients
*Hyong-Chol O*, *Song-gon Jang*, *Mun-Chol Kim* and *Gyong-Ryol Kim*
- 2016: Pathwise super-replication via Vovk's outer measure
*Mathias Beiglb\"ock*, *Alexander M. G. Cox*, *Martin Huesmann*, *Nicolas Perkowski* and *David J. Pr\"omel*
- 2016: Sensitivity analysis for expected utility maximization in incomplete brownian market models
*Julio Backhoff Veraguas* and *Francisco Silva*
- 2016: Risk Sensitive Control of the Lifetime Ruin Problem
*Erhan Bayraktar* and *Asaf Cohen*
- 2016: An equilibrium model for spot and forward prices of commodities
*Michail Anthropelos*, *Michael Kupper* and *Antonis Papapantoleon*
- 2016: Equilibrium in risk-sharing games
*Michail Anthropelos* and *Constantinos Kardaras*
- 2016: Regulatory Capital Modelling for Credit Risk
*Marek Rutkowski* and *Silvio Tarca*
- 2016: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
*Silvio Tarca* and *Marek Rutkowski*
- 2016: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
*Peter B. Lerner*
- 2016: Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method
*Boguk Kim*, *Chulwoo Han* and *Frank Chongwoo Park*
- 2016: Comeback kids: an evolutionary approach of the long-run innovation process
*Shidong Wang*, *Renaud Foucart* and *Cheng Wan*
- 2016: General smile asymptotics with bounded maturity
*Francesco Caravenna* and *Jacopo Corbetta*
- 2016: GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk
*Cody B. Hyndman* and *Menachem Wenger*
- 2016: Banach geometry of arbitrage free markets
*A. V. Lebedev* and *P. P. Zabreiko*
- 2016: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments
*Xiang Yu*
- 2016: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$
*Shiqi Song*
- 2016: Paths and indices of maximal tail dependence
*Edward Furman*, *Jianxi Su* and *Ri\v{c}ardas Zitikis*
- 2016: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
*Dilip Madan*, *Martijn Pistorius* and *Mitja Stadje*
- 2016: Multivariate risk measures: a constructive approach based on selections
*Ignacio Cascos* and *Ilya Molchanov*
- 2016: Properties of the financial break-even point in a simple investment project as a function of the discount rate
*Domingo A. Tarzia*
- 2016: A mathematical model for a gaming community
*Romulus Breban*
- 2016: Fake Brownian motion and calibration of a Regime Switching Local Volatility model
*Benjamin Jourdain* and *Alexandre Zhou*
- 2016: Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information
*Albina Danilova*
- 2016: A multilayer approach for price dynamics in financial markets
*Alessio Emanuele Biondo*, *Alessandro Pluchino* and *Andrea Rapisarda*
- 2016: Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
*Johan G. Andreasson*, *Pavel V. Shevchenko* and *Alex Novikov*
- 2016: Replica approach to mean-variance portfolio optimization
*Istvan Varga-Haszonits*, *Fabio Caccioli* and *Imre Kondor*
- 2016: Complex Systems and a Computational Social Science Perspective on the Labor Market
*Abdullah Almaatouq*
- 2016: An agent behavior based model for diffusion price processes with application to phase transition and oscillations
*Christof Henkel*
- 2016: A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities
*Seyed Amir Hejazi* and *Kenneth R. Jackson*
- 2016: Stock markets reconstruction via entropy maximization driven by fitness and density
*Tiziano Squartini*, *Guido Caldarelli* and *Giulio Cimini*
- 2016: Spread, volatility, and volume relationship in financial markets and market making profit optimization
*Jack Sarkissian*
- 2016: Skorohod's representation theorem and optimal strategies for markets with frictions
*Huy N. Chau* and *Mikl\'os R\'asonyi*
- 2016: Validation of the Replica Trick for Simple Models
*Takashi Shinzato*
- 2016: A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor
*Boliang Lin* and *Ruixi Lin*
- 2016: Brexit or Bremain ? Evidence from bubble analysis
*Marco Bianchetti*, *Davide Galli*, *Camilla Ricci*, *Angelo Salvatori* and *Marco Scaringi*
- 2016: A mathematical model of demand-supply dynamics with collectability and saturation factors
*Y. Charles Li* and *Hong Yang*
- 2016: Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options
*Gilles Pag\`es*, *Olivier Pironneau* and *Guillaume Sall*
- 2016: An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems
*Abhijit Chakraborty*, *Soumya Easwaran* and *Sitabhra Sinha*
- 2016: Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?
*Kiran Sharma* and *Anirban Chakraborti*
- 2016: Using String Invariants for Prediction Searching for Optimal Parameters
*Marek Bundzel*, *Tomas Kasanicky* and *Richard Pincak*
- 2016: A new decomposition of portfolio return
*Robert Fernholz*
- 2016: Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
*Shaolin Ji* and *Xiaomin Shi*
- 2016: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact
*Katia Colaneri*, *Zehra Eksi*, *R\"udiger Frey* and *Michaela Sz\"olgyenyi*
- 2016: The multiplex dependency structure of financial markets
*Nicol\'o Musmeci*, *Vincenzo Nicosia*, *Tomaso Aste*, *Tiziana Di Matteo* and *Vito Latora*
- 2016: The Sound of Silence: equilibrium filtering and optimal censoring in financial markets
*Miles B. Gietzmann* and *Adam J. Ostaszewski*
- 2016: Kolmogorov Space in Time Series Data
*Kabin Kanjamapornkul* and *R. Pin\v{c}\'ak*
- 2016: Exact Smooth Term Structure Estimation
*Damir Filipovi\'c* and *Sander Willems*
- 2016: Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
*Mihály Ormos* and *Dusan Timotity*
- 2016: Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
*Mihály Ormos* and *Dusan Timotity*
- 2016: The study of Thai stock market across the 2008 financial crisis
*Kabin Kanjamapornkul*, *Richard Pin\v{c}\'ak* and *Erik Barto\v{s}*
- 2016: A non-equilibrium formulation of food security resilience
*Matteo Smerlak* and *Bapu Vaitla*
- 2016: A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine
*Olga Nicoara* and *David White*
- 2016: On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis
*Marcel Ausloos*, *Franck Jovanovic* and *Christophe Schinckus*
- 2016: The Zero-Coupon Rate Model for Derivatives Pricing
*Xiao Lin*
- 2016: A data driven network approach to rank countries production diversity and food specialization
*Chengyi Tu*, *Joel Carr* and *Samir Suweis*
- 2016: World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
*Marcin W\k{a}torek*, *Stanis{\l}aw Dro\.zd\.z* and *Pawe{\l} O\'swi\k{e}cimka*
- 2016: The space of outcomes of semi-static trading strategies need not be closed
*Beatrice Acciaio*, *Martin Larsson* and *Walter Schachermayer*
- 2016: Price formation on a housing market and spatial income segregation
*Marco Pangallo*, *Jean Pierre Nadal* and *Annick Vignes*
- 2016: Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso
*Ning Xu*, *Jian Hong* and *Timothy Fisher*
- 2016: Trading VIX Futures under Mean Reversion with Regime Switching
*Jiao Li*
- 2016: Risk Arbitrage and Hedging to Acceptability
*Emmanuel Lépinette* and *Ilya Molchanov*
- 2016: Pathwise Iteration for Backward SDEs
*Christian Bender*, *Christian Gaertner* and *Nikolaus Schweizer*
- 2016: The Jacobi Stochastic Volatility Model
*Damien Ackerer*, *Damir Filipovi\'c* and *Sergio Pulido*
- 2016: Factor Models for Cancer Signatures
*Zura Kakushadze* and *Willie Yu*
- 2016: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
*Dominique Pépin*
- 2016: How to Combine a Billion Alphas
*Zura Kakushadze* and *Willie Yu*
- 2016: Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs
*Ravi Kashyap*
- 2016: Backtesting Lambda Value at Risk
*Jacopo Corbetta* and *Ilaria Peri*
- 2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
*Ricardo Fernholz*
- 2016: Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
*Zorana Grbac*, *Laura Meneghello* and *Wolfgang J. Runggaldier*
- 2016: Purely pathwise probability-free Ito integral
*Vladimir Vovk*
- 2016: Optimal Real-Time Bidding Strategies
*Joaquin Fernandez-Tapia*, *Olivier Gu\'eant* and *Jean-Michel Lasry*
- 2016: Equilibrium pricing under relative performance concerns
*Jana Bielagk*, *Arnaud Lionnet* and *Goncalo Dos Reis*
- 2016: Latency and liquidity provision in a limit order book
*Julius Bonart* and *Martin Gould*
- 2016: Foundations for Wash Sales
*Phillip G. Bradford*
- 2016: Pathwise no-arbitrage in a class of Delta hedging strategies
*Alexander Schied* and *Iryna Voloshchenko*
- 2016: Law invariant risk measures and information divergences
*Daniel Lacker*
- 2016: Analysis of Markovian Competitive Situations using Nonatomic Games---the Shock-driven Case and Its Dynamic Pricing Application
*Jian Yang*
- 2016: A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts
*Jian Yang*
- 2016: Optimal growth trajectories with finite carrying capacity
*Francesco Caravelli*, *Lorenzo Sindoni*, *Fabio Caccioli* and *Cozmin Ududec*
- 2016: Retarded action principle and self-financing portfolio dynamics
*Dmitry Lesnik*
- 2016: Reputational Learning and Network Dynamics
*Simpson Zhang* and *Mihaela van der Schaar*
- 2016: Complete Duality for Martingale Optimal Transport on the Line
*Mathias Beiglb\"ock*, *Marcel Nutz* and *Nizar Touzi*
- 2016: Resolute refinements of social choice correspondences
*Daniela Bubboloni* and *Michele Gori*
- 2016: Semimartingale detection and goodness-of-fit tests
*Adam D. Bull*
- 2016: The Temporal Dimension of Risk
*Ola Mahmoud*
- 2016: Conditional Analysis and a Principal-Agent problem
*Julio Backhoff* and *Ulrich Horst*
- 2016: A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
*Polynice Oyono Ngou* and *Cody Hyndman*
- 2016: An $\alpha$-stable limit theorem under sublinear expectation
*Erhan Bayraktar* and *Alexander Munk*
- 2016: Fragility of the Commons under Prospect-Theoretic Risk Attitudes
*Ashish R. Hota*, *Siddharth Garg* and *Shreyas Sundaram*
- 2016: Quantile Hedging in a Semi-Static Market with Model Uncertainty
*Erhan Bayraktar* and *Gu Wang*
- 2016: Pathwise stochastic integrals for model free finance
*Nicolas Perkowski* and *David J. Pr\"omel*
- 2016: Varadhan's formula, conditioned diffusions, and local volatilities
*Stefano De Marco* and *Peter Friz*
- 2016: Option Pricing under Heston Stochastic Volatility Model using Discontinuous Galerkin Finite Elements
*Sinem Kozp{\i}nar*, *Murat Uzunca*, *Yeliz Yolcu Okur* and *B\"ulent Karas\"ozen*
- 2016: Note on level r consensus
*Nikolay Poliakov*
- 2016: Local Operators in Kinetic Wealth Distribution
*M. Andrecut*
- 2016: Credit allocation based on journal impact factor and coauthorship contribution
*Javier E. Contreras-Reyes*
- 2016: Endogenous Formation of Limit Order Books: Dynamics Between Trades
*Roman Gayduk* and *Sergey Nadtochiy*
- 2016: A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
*Man Chung Fung*, *Gareth W. Peters* and *Pavel V. Shevchenko*
- 2016: A Mean Field Game of Optimal Stopping
*Marcel Nutz*
- 2016: What does past correlation structure tell us about the future? An answer from network filtering
*Nicol\'o Musmeci*, *Tomaso Aste* and *Tiziana Di Matteo*
- 2016: Modelling Trading Networks and the Role of Trust
*Rafael A. Barrio*, *Tzipe Govezensky*, *\'Elfego Ruiz-Guti\'errez* and *Kimmo K. Kaski*
- 2016: Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?
*Anirban Chakraborti*, *Dhruv Raina* and *Kiran Sharma*
- 2016: The race for boats
*Christian Mullon* and *Charles Mullon*
- 2016: Contracting theory with competitive interacting agents
*Romuald Elie* and *Dylan Possama\"i*
- 2016: Foreign exchange risk premia: from traditional to state-space analyses
*Siwat Nakmai*
- 2016: Generalized Subjective Lexicographic Expected Utility Representation
*Hugo Cruz-Sanchez*
- 2016: Linear Credit Risk Models
*Damien Ackerer* and *Damir Filipovi\'c*
- 2016: Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index
*Dhanya Jothimani*, *Ravi Shankar* and *Surendra S. Yadav*
- 2016: Deep Portfolio Theory
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2016: A note on optimal expected utility of dividend payments with proportional reinsurance
*Xiaoqing Liang* and *Zbigniew Palmowski*
- 2016: Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints
*Takashi Shinzato*
- 2016: Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics
*Takashi Shinzato*
- 2016: Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed
*Takashi Shinzato*
- 2016: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
*Lisana B. Martinez*, *M. Belen Guercio*, *Aurelio Fernandez Bariviera* and *Antonio Terce\~no*
- 2016: Hedging with Small Uncertainty Aversion
*Sebastian Herrmann*, *Johannes Muhle-Karbe* and *Frank Thomas Seifried*
- 2016: BSDEs with mean reflection
*Philippe Briand*, *Romuald Elie* and *Ying Hu*
- 2016: Some Mathematical Aspects of Price Optimisation
*Y. Bai*, *E. Hashorva*, *G. Ratovomirija* and *M. Tamraz*
- 2016: Recursive utility maximization under partial information
*Shaolin Ji* and *Xiaomin Shi*
- 2016: Far from equilibrium: Wealth reallocation in the United States
*Yonatan Berman*, *Ole Peters* and *Alexander Adamou*
- 2016: Elections in Russia, 1991-2008
*Daniel Treisman*
- 2016: Wrong-Way Risk Models: A Comparison of Analytical Exposures
*Fr\'ed\'eric Vrins*
- 2016: Optimality of two-parameter strategies in stochastic control
*Kazutoshi Yamazaki*
- 2016: Quantum theory of securities price formation in financial markets
*Jack Sarkissian*
- 2016: Extended nonlinear feedback model for describing episodes of high inflation
*M A Szybisz* and *L Szybisz*
- 2016: Learning zero-cost portfolio selection with pattern matching
*Tim Gebbie* and *Fayyaaz Loonat*
- 2016: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
*Ewa Marciniak* and *Zbigniew Palmowski*
- 2016: Knight--Walras Equilibria
*Patrick Beissner* and *Frank Riedel*
- 2016: Empowering cash managers to achieve cost savings by improving predictive accuracy
*Francisco Salas-Molina*, *Francisco J. Martin*, *Juan A. Rodr\'iguez-Aguilar*, *Joan Serr\`a* and *Josep Ll. Arcos*
- 2016: Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
*Takashi Kato*
- 2016: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
*Erhan Bayraktar* and *Alexander Munk*
- 2016: Survey on log-normally distributed market-technical trend data
*Ren\'e Kempen* and *Stanislaus Maier-Paape*
- 2016: Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate
*Martin Gremm*
- 2016: Economic Development and Inequality: a complex system analysis
*Angelica Sbardella*, *Emanuele Pugliese* and *Luciano Pietronero*
- 2016: Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
*Siyan Zhang*, *Anna L. Mazzucato* and *Victor Nistor*
- 2016: Stochastic Portfolio Theory: A Machine Learning Perspective
*Yves-Laurent Kom Samo* and *Alexander Vervuurt*
- 2016: Robust framework for quantifying the value of information in pricing and hedging
*Anna Aksamit*, *Zhaoxu Hou* and *Jan Ob\l\'oj*
- 2016: Generalized semi-Markovian dividend discount model: risk and return
*Guglielmo D'Amico*
- 2016: Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
*Sujay Mukhoti* and *Pritam Ranjan*
- 2016: Coherence and incoherence collective behavior in financial market
*Shangmei Zhao*, *Qiuchao Xie*, *Qing Lu*, *Xin Jiang* and *Wei Chen*
- 2016: Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula
*Donya Rahmani*, *Saeed Heravi*, *Hossein Hassani* and *Mansi Ghodsi*
- 2016: Unbiased Monte Carlo Simulation of Diffusion Processes
*Louis Paulot*
- 2016: The Accounting Network: how financial institutions react to systemic crisis
*Andrea Flori*, *Giuseppe Pappalardo*, *Michelangelo Puliga*, *Alessandro Chessa* and *Fabio Pammolli*
- 2016: The wage transition in developed countries and its implications for China
*Belal Baaquie*, *Bertrand M. Roehner* and *Qinghai Wang*
- 2016: Is it "natural" to expect Economics to become a part of the Natural Sciences?
*Arnab Chatterjee*
- 2016: Modeling and Simulation of the Economics of Mining in the Bitcoin Market
*Luisanna Cocco* and *Michele Marchesi*
- 2016: No-arbitrage and hedging with liquid American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
*A. Paliathanasis*, *R. M. Morris* and *P. G. L. Leach*
- 2016: Regrets, learning and wisdom
*Damien Challet*
- 2016: On Optimal Retirement (How to Retire Early)
*Philip Ernst*, *Dean Foster* and *Larry Shepp*
- 2016: The Local Fractional Bootstrap
*Mikkel Bennedsen*, *Ulrich Hounyo*, *Asger Lunde* and *Mikko S. Pakkanen*
- 2016: Revisiting a Theorem of L.A. Shepp on Optimal Stopping
*Philip Ernst* and *Larry Shepp*
- 2016: Why have asset price properties changed so little in 200 years
*Jean-Philippe Bouchaud* and *Damien Challet*
- 2016: A unified pricing of variable annuity guarantees under the optimal stochastic control framework
*Pavel V. Shevchenko* and *Xiaolin Luo*
- 2016: Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
*Jan Kuklinski* and *Kevin Tyloo*
- 2016: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
*Brian Bulthuis*, *Julio Concha*, *Tim Leung* and *Brian Ward*
- 2016: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
*Ravi Kashyap*
- 2016: Stochastic Perron for Stochastic Target Problems
*Erhan Bayraktar* and *Jiaqi Li*
- 2016: Getting rich quick with the Axiom of Choice
*Vladimir Vovk*
- 2016: The unresolved mystery of the great divergence is solved
*Ron W Nielsen*
- 2016: Optimal Liquidation under Stochastic Resilience of Price Impact
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2016: Tukey's Transformational Ladder for Portfolio Management
*Philip Ernst*, *James Thompson* and *Yinsen Miao*
- 2016: Sharp convex bounds on the aggregate sums--An alternative proof
*Chuancun Yin* and *Dan Zhu*
- 2016: Strength of weak layers in cascading failures on multiplex networks: case of the international trade network
*Kyu-Min Lee* and *Kwang-Il Goh*
- 2016: Securities Lending Strategies, Exclusive Auction Bids
*Ravi Kashyap*
- 2016: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
*Ravi Kashyap*
- 2016: Modeling the relation between income and commuting distance
*Giulia Carra*, *Ismir Mulalic*, *Mogens Fosgerau* and *Marc Barthelemy*
- 2016: A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
*Ravi Kashyap*
- 2016: The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013
*Guillermo Garc\'ia-P\'erez*, *Mari\'an Bogu\~n\'a*, *Antoine Allard* and *M. \'Angeles Serrano*
- 2016: Full and fast calibration of the Heston stochastic volatility model
*Yiran Cui*, *Sebastian del Ba\~no Rollin* and *Guido Germano*
- 2016: Preemptive Investment under Uncertainty
*Jan-Henrik Steg*
- 2016: An empirical analysis of the relationships between crude oil, gold and stock markets
*Semei Coronado*, *Rebeca Jim\'enez-Rodr\'iguez* and *Omar Rojas*
- 2016: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
*Ahmed Kebaier* and *J\'er\^ome Lelong*
- 2016: Mathematical Analysis of the Historical Economic Growth
*Ron W. Nielsen*
- 2016: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
*A. Paliathanasis*, *K. Krishnakumar*, *K. M. Tamizhmani* and *P. G. L. Leach*
- 2016: Optimal Taxation with Endogenous Default under Incomplete Markets
*Demian Pouzo* and *Ignacio Presno*
- 2016: Minimizing the Probability of Lifetime Drawdown under Constant Consumption
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2016: One bank problem in the federal funds market
*Traian A. Pirvu* and *Elena Cristina Canepa*
- 2016: Inequality and risk aversion in economies open to altruistic attitudes
*Eleonora Perversi* and *Eugenio Regazzini*
- 2016: Model-free Superhedging Duality
*Matteo Burzoni*, *Marco Frittelli* and *Marco Maggis*
- 2016: A system of non-local parabolic PDE and application to option pricing
*Anindya Goswami*, *Jeeten Patel* and *Poorva Shevgaonkar*
- 2016: Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk
*Yao Tung Huang*, *Qingshuo Song* and *Harry Zheng*
- 2016: A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products
*Dragos-Patru Covei*
- 2016: Optimally Investing to Reach a Bequest Goal
*Erhan Bayraktar* and *Virginia R. Young*
- 2016: Equilibrium in Misspecified Markov Decision Processes
*Ignacio Esponda* and *Demian Pouzo*
- 2016: A weak law of large numbers for a limit order book model with fully state dependent order dynamics
*Ulrich Horst* and *D\"orte Kreher*
- 2016: Shortfall Deviation Risk: An alternative to risk measurement
*Marcelo Brutti Righi* and *Paulo Sergio Ceretta*
- 2016: Optimal martingale transport between radially symmetric marginals in general dimensions
*Tongseok Lim*
- 2016: Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models
*Ignacio Esponda* and *Demian Pouzo*
- 2016: Optimal execution of ASR contracts with fixed notional
*Olivier Gu\'eant*
- 2016: A system of quadratic BSDEs arising in a price impact model
*Dmitry Kramkov* and *Sergio Pulido*
- 2016: Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models
*Stefan Gerhold*, *I. Cetin G\"ul\"um* and *Arpad Pinter*
- 2016: Relativistic Black-Scholes model
*Maciej Trzetrzelewski*
- 2016: Generalised arbitrage-free SVI volatility surfaces
*Gaoyue Guo*, *Antoine Jacquier*, *Claude Martini* and *Leo Neufcourt*
- 2016: The Effect of Market Power on Risk-Sharing
*Michail Anthropelos*
- 2016: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
*Louis Paulot*
- 2016: Kinetic and mean field description of Gibrat's law
*Giuseppe Toscani*
- 2016: How brokers can optimally plot against traders
*Manuel Lafond*
- 2016: Robustness of mathematical models and technical analysis strategies
*Ahmed Bel Hadj Ayed*, *Gr\'egoire Loeper* and *Fr\'ed\'eric Abergel*
- 2016: Depreciation and the Time Value of Money
*Brendon Farrell*
- 2016: Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets
*Ren\'e A\"id*, *Matteo Basei*, *Giorgia Callegaro*, *Luciano Campi* and *Tiziano Vargiolu*
- 2016: The puzzle that just isn't
*Christian Mueller-Kademann*
- 2016: A new structural stochastic volatility model of asset pricing and its stylized facts
*Radu T. Pruna*, *Maria Polukarov* and *Nicholas R. Jennings*
- 2016: Pricing Bermudan options under local L\'evy models with default
*Anastasia Borovykh*, *Cornelis W. Oosterlee* and *Andrea Pascucci*
- 2016: An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration
*Du Nguyen*
- 2016: Convex Hedging in Incomplete Markets
*Birgit Rudloff*
- 2016: On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
*Martijn Pistorius* and *Mitja Stadje*
- 2016: On the Surprising Explanatory Power of Higher Realized Moments in Practice
*Keren Shen*, *Jianfeng Yao* and *Wai Keung Li*
- 2016: Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil
*Leno S. Rocha*, *Frederico S. A. Rocha* and *Th\'arsis T. P. Souza*
- 2016: Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
*Damian Eduardo Taranto*, *Giacomo Bormetti*, *Jean-Philippe Bouchaud*, *Fabrizio Lillo* and *Bence Toth*
- 2016: Entropy and credit risk in highly correlated markets
*Sylvia Gottschalk*
- 2016: Extreme Concurrent Portfolio Losses in Credit Risk
*Joachim Sicking*, *Thomas Guhr* and *Rudi Sch\"afer*
- 2016: On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums
*Ewa Marciniak* and *Zbigniew Palmowski*
- 2016: Entangling credit and funding shocks in interbank markets
*Giulio Cimini* and *Matteo Serri*
- 2016: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
*Huy\^en Pham*
- 2016: Optimal trading with online parameters revisions
*N Baradel*, *B Bouchard* and *Ngoc Minh Dang*
- 2016: Random factor approach for large sets of equity time-series
*Antti Tanskanen*, *Jani Lukkarinen* and *Kari Vatanen*
- 2016: Multidimensional matching
*Pierre-Andr\'e Chiappori*, *Robert McCann* and *Brendan Pass*
- 2016: Regime switching vine copula models for global equity and volatility indices
*Holger Fink*, *Yulia Klimova*, *Claudia Czado* and *Jakob St\"ober*
- 2016: Duality in nondominated discrete-time models for Americain options
*Shuoqing Deng* and *Xiaolu Tan*
- 2016: High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
*Yuri M. Dimitrov* and *Lubin G. Vulkov*
- 2016: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: On the survival of poor peasants
*Andrea C. Levi* and *Ubaldo Garibaldi*
- 2016: Evidence of Self-Organization in Time Series of Capital Markets
*Leopoldo S\'anchez-Cant\'u*, *Carlos Arturo Soto-Campos*, *Oswaldo Morales-Matamoros* and *Alba Lucero Garc\'ia-P\'erez*
- 2016: Pricing American options using martingale bases
*J\'er\^ome Lelong*
- 2016: Reconstruction of Order Flows using Aggregated Data
*Ioane Muni Toke*
- 2016: Describing Realistic Wealth Distributions with the Extended Yard-Sale Model of Asset Exchange
*Bruce M. Boghosian*, *Adrian Devitt-Lee*, *Jie Li*, *Jeremy A. Marcq* and *Hongyan Wang*
- 2016: More on hedging American options under model uncertainty
*David Hobson* and *Anthony Neuberger*
- 2016: On the value of being American
*David Hobson* and *Anthony Neuberger*
- 2016: Kriging of financial term-structures
*Areski Cousin*, *Hassan Maatouk* and *Didier Rulli\`ere*
- 2016: The statistical significance of multivariate Hawkes processes fitted to limit order book data
*Roger Martins* and *Dieter Hendricks*
- 2016: Aggregating time preferences with decreasing impatience
*Nina Anchugina*, *Matthew Ryan* and *Arkadii Slinko*
- 2016: Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses
*Mario Guti\'errez-Roig*, *Carlota Segura*, *Jordi Duch* and *Josep Perell\'o*
- 2016: Relativistic Quantum Finance
*Juan M. Romero* and *Ilse B. Zubieta-Mart\'inez*
- 2016: Copula--based Specification of vector MEMs
*Fabrizio Cipollini*, *Robert Engle* and *Giampiero Gallo*
- 2016: Controllability Analyses on Firm Networks Based on Comprehensive Data
*Hiroyasu Inoue*
- 2016: Option Pricing in the Moderate Deviations Regime
*Peter Friz*, *Stefan Gerhold* and *Arpad Pinter*
- 2016: From Big Data To Important Information
*Yaneer Bar-Yam*
- 2016: On regularity of primal and dual dynamic value functions related to investment problem
*Michael Mania* and *Revaz Tevzadze*
- 2016: The Mittag-Leffler Phillips Curve
*Tomas Skovranek*
- 2016: Systemic Risks in CCP Networks
*Russell Barker*, *Andrew Dickinson*, *Alex Lipton* and *Rajeev Virmani*
- 2016: Market Integration in the Prewar Japanese Rice Markets
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2016: The Meta-Distribution of Standard P-Values
*Nassim Nicholas Taleb*
- 2016: Clustering Financial Time Series: How Long is Enough?
*Gautier Marti*, *S\'ebastien Andler*, *Frank Nielsen* and *Philippe Donnat*
- 2016: Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$
*Martin Forde* and *Hongzhong Zhang*
- 2016: Mathematical analysis of historical income per capita distributions
*Ron W Nielsen*
- 2016: Cross-response in correlated financial markets: individual stocks
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: Puzzling properties of the historical growth rate of income per capita explained
*Ron W Nielsen*
- 2016: When does inequality freeze an economy?
*Jo\~ao Pedro Jerico*, *Fran\c{c}ois P. Landes*, *Matteo Marsili*, *Isaac P\'erez Castillo* and *Valerio Volpati*
- 2016: The noisy voter model on complex networks
*Adri\'an Carro*, *Ra\'ul Toral* and *Maxi San Miguel*
- 2016: Power-law cross-correlations estimation under heavy tails
*Ladislav Krištoufek*
- 2016: Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information
*Anton A. Shardin* and *Michaela Sz\"olgyenyi*
- 2016: On minimising a portfolio's shortfall probability
*Anatolii A. Puhalskii*
- 2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps
*Michael Ho* and *Jack Xin*
- 2016: Model-Free Discretisation-Invariant Swap Contracts
*Carol Alexander* and *Johannes Rauch*
- 2016: Predicting Human Cooperation
*John J. Nay* and *Yevgeniy Vorobeychik*
- 2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited
*M. A. Szybisz* and *L. Szybisz*
- 2016: Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model
*Hiroyasu Inoue*
- 2016: Robust hedging of options on local time
*Julien Claisse*, *Gaoyue Guo* and *Pierre Henry-Labordere*
- 2016: Markov-modulated floating-strike Asian options
*Adriana Ocejo*
- 2016: An elementary approach to the option pricing problem
*Nikolaos Halidias*
- 2016: A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
*Andrei Cozma* and *Christoph Reisinger*
- 2016: Central Clearing Valuation Adjustment
*Yannick Armenti* and *St\'ephane Cr\'epey*
- 2016: Bounds for randomly shared risk of heavy-tailed loss factors
*Oliver Kley* and *Claudia Kluppelberg*
- 2016: How crude oil prices shape the global division of labour
*Francesco Picciolo*, *Andreas Papandreou*, *Klaus Hubacek* and *Franco Ruzzenenti*
- 2016: Diversification, protection of liability holders and regulatory arbitrage
*Pablo Koch-Medina*, *Cosimo Munari* and *Mario Sikic*
- 2016: Portfolio Optimization under Shortfall Risk Constraint
*Oliver Janke* and *Qinghua Li*
- 2016: Toward robust early-warning models: A horse race, ensembles and model uncertainty
*Markus Holopainen* and *Peter Sarlin*
- 2016: Stochastic Perron for stochastic target games
*Erhan Bayraktar* and *Jiaqi Li*
- 2016: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
*Jean-Francois Chassagneux*, *Antoine Jacquier* and *Ivo Mihaylov*
- 2016: Non-Arbitrage under a Class of Honest Times
*Tahir Choulli*, *Anna Aksamit*, *Jun Deng* and *Monique Jeanblanc*
- 2016: On the Market Viability under Proportional Transaction Costs
*Erhan Bayraktar* and *Xiang Yu*
- 2016: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
*Xiaoshan Chen*, *Yu-Jui Huang*, *Qingshuo Song* and *Chao Zhu*
- 2016: On the probability density function of baskets
*Christian Bayer*, *Peter Friz* and *Peter Laurence*
- 2016: On the Robust Optimal Stopping Problem
*Erhan Bayraktar* and *Song Yao*
- 2016: Chinese Medical Device Market and The Investment Vector
*Weifan Zhang*, *Rebecca Liu* and *Chris Chatwin*
- 2016: Mortgages and Refinancing
*Khizar Qureshi* and *Cheng Su*
- 2016: Value-at-Risk: The Effect of Autoregression in a Quantile Process
*Khizar Qureshi*
- 2016: Optimal investment and consumption with downside risk constraint in jump-diffusion models
*Thai Nguyen*
- 2016: Option pricing under fast-varying long-memory stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2016: Low-traffic limit and first-passage times for a simple model of the continuous double auction
*Enrico Scalas*, *Fabio Rapallo* and *Tijana Radivojevi\'c*
- 2016: Deterministic Income with Deterministic and Stochastic Interest Rates
*Julia Eisenberg*
- 2016: On the properties of the Lambda value at risk: robustness, elicitability and consistency
*Matteo Burzoni*, *Ilaria Peri* and *Chiara Maria Ruffo*
- 2016: Risk contagion under regular variation and asymptotic tail independence
*Bikramjit Das* and *Vicky Fasen*
- 2016: Pricing occupation-time options in a mixed-exponential jump-diffusion model
*Djilali Ait Aoudia* and *Jean-Fran\c{c}ois Renaud*
- 2016: Parisian ruin for a refracted L\'evy process
*Mohamed Amine Lkabous*, *Irmina Czarna* and *Jean-Fran\c{c}ois Renaud*
- 2016: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marcin Pitera*
- 2016: Financial equilibrium with asymmetric information and random horizon
*Umut \c{C}etin*
- 2016: Modelling income, wealth, and expenditure data by use of Econophysics
*Elvis Oltean*
- 2016: Interest Rates and Inflation
*Michael Coopersmith* and *Pascal J. Gambardella*
- 2016: Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
*Jiling Cao*, *Teh Raihana Nazirah Roslan* and *Wenjun Zhang*
- 2016: Trading Strategies Generated by Lyapunov Functions
*Ioannis Karatzas* and *Johannes Ruf*
- 2016: A Flexible Galerkin Scheme for Option Pricing in L\'evy Models
*Maximilian Ga{\ss}* and *Kathrin Glau*
- 2016: Robust Optimization of Credit Portfolios
*Agostino Capponi* and *Lijun Bo*
- 2016: Conjoint axiomatization of the Choquet integral for heterogeneous product sets
*Mikhail Timonin*
- 2016: GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model
*Tetsuya Takaishi*
- 2016: On clustering financial time series: a need for distances between dependent random variables
*Gautier Marti*, *Frank Nielsen*, *Philippe Donnat* and *S\'ebastien Andler*
- 2016: A Note on the Optimal Dividends Paid in a Foreign Currency
*Julia Eisenberg* and *Paul Kr\"uhner*
- 2016: Conic Martingales from Stochastic Integrals
*Fr\'ed\'eric Vrins* and *Monique Jeanblanc*
- 2016: A hybrid approach for the implementation of the Bates model with stochastic interest rate
*Maya Briani*, *Lucia Caramellino* and *Antonino Zanette*
- 2016: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
*Tomas Krehlik* and *Jozef Baruník*
- 2016: The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents
*F. Knobloch* and *Jean-Francois Mercure*
- 2016: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
*Dieter Hendricks*
- 2016: Universal trading under proportional transaction costs
*Richard J Martin*
- 2016: The mathematics of non-linear metrics for nested networks
*Rui-Jie Wu*, *Gui-Yuan Shi*, *Yi-Cheng Zhang* and *Manuel Sebastian Mariani*
- 2016: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes
*Sid Ghoshal* and *Stephen Roberts*
- 2016: Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications
*Sgouris Sgouridis*, *Abdulla Kaya* and *Denes Csala*
- 2016: Risk-Constrained Kelly Gambling
*Enzo Busseti*, *Ernest K. Ryu* and *Stephen Boyd*
- 2016: The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle
*Ravi Kashyap*
- 2016: Online Networks, Social Interaction and Segregation: An Evolutionary Approach
*Angelo Antoci*, *Fabio Sabatini* and *Francesco Sarracino*
- 2016: The geometric phase of stock trading
*Claudio Altafini*
- 2016: Market Dynamics vs. Statistics: Limit Order Book Example
*Vladislav Gennadievich Malyshkin* and *Ray Bakhramov*
- 2016: Modeling and Estimation of the Risk When Choosing a Provider
*Alla Sorokina*
- 2016: Can banks default overnight? Modeling endogenous contagion on O/N interbank market
*Pawe{\l} Smaga*, *Mateusz Wili\'nski*, *Piotr Ochnicki*, *Piotr Arendarski* and *Tomasz Gubiec*
- 2016: On the overlaps between eigenvectors of correlated random matrices
*Jo\"el Bun*, *Jean-Philippe Bouchaud* and *Marc Potters*
- 2016: Contagion and Stability in Financial Networks
*Seyyed Mostafa Mousavi*, *Robert Mackay* and *Alistair Tucker*
- 2016: Analysis of the nonlinear option pricing model under variable transaction costs
*Daniel Sevcovic* and *Magdalena Zitnanska*
- 2016: Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model
*Ale\v{s} \v{C}ern\'y*
- 2016: Financial contagion in investment funds
*Leonardo dos Santos Pinheiro* and *Flavio Codeco Coelho*
- 2016: General dynamic term structures under default risk
*Claudio Fontana* and *Thorsten Schmidt*
- 2016: Capital Valuation Adjustment and Funding Valuation Adjustment
*Claudio Albanese*, *Simone Caenazzo* and *St\'ephane Cr\'epey*
- 2016: Interacting Default Intensity with Hidden Markov Process
*Feng-Hui Yu*, *Wai-Ki Ching*, *Jia-Wen Gu* and *Tak-Kuen Siu*
- 2016: Libor at crossroads: stochastic switching detection using information theory quantifiers
*Aurelio Fernandez Bariviera*, *M. Belen Guercio*, *Lisana B. Martinez* and *Osvaldo A. Rosso*
- 2016: Convex duality in optimal investment and contingent claim valuation in illiquid markets
*Teemu Pennanen* and *Ari-Pekka Perkki\"o*
- 2016: A Mathematical Model of Foreign Capital Inflow
*Gopal K. Basak*, *Pranab Das* and *Allena Rohit*
- 2016: Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX
*Hannah Cheng*, *Juan Zhan*, *William Rea* and *Alethea Rea*
- 2016: Exponentially concave functions and high dimensional stochastic portfolio theory
*Soumik Pal*
- 2016: Big is Fragile: An Attempt at Theorizing Scale
*Atif Ansar*, *Bent Flyvbjerg*, *Alexander Budzier* and *Daniel Lunn*
- 2016: Latent class analyisis for reliable measure of inflation expectation in the indian public
*Sunil Kumar*
- 2016: Dynamic Adaptive Mixture Models
*Leopoldo Catania*
- 2016: Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes
*Claudiu Albulescu*, *Christian Aubin* and *Daniel Goyeau*
- 2016: Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
*Marcel Ausloos*, *Rosella Castellano* and *Roy Cerqueti*
- 2016: Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments
*Gareth W. Peters*, *Wilson Y. Chen* and *Richard H. Gerlach*
- 2016: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
*Ravi Kashyap*
- 2016: Equity forecast: Predicting long term stock price movement using machine learning
*Nikola Milosevic*
- 2016: The Value of A Statistical Life in Absence of Panel Data: What can we do?
*Andr\'es Riquelme* and *Marcela Parada*
- 2016: Affine multiple yield curve models
*Christa Cuchiero*, *Claudio Fontana* and *Alessandro Gnoatto*
- 2016: Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
*Ludovic Gouden\`ege*, *Andrea Molent* and *Antonino Zanette*
- 2016: Tsallis statistics in the income distribution of Brazil
*Abner D. Soares*, *Newton J. Moura* and *Marcelo Ribeiro*
- 2016: The Postulate of the Three Regimes of Economic Growth Contradicted by Data
*Ron W Nielsen*
- 2016: Multifactor Risk Models and Heterotic CAPM
*Zura Kakushadze* and *Willie Yu*
- 2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
*J\"orn Sass*, *Dorothee Westphal* and *Ralf Wunderlich*
- 2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product
*Ron W Nielsen*
- 2016: A nonlinear impact: evidences of causal effects of social media on market prices
*Th\'arsis T. P. Souza* and *Tomaso Aste*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America
*Ron W Nielsen*
- 2016: Geography and distance effect on financial dynamics in the Chinese stock market
*Xing Li*, *Tian Qiu*, *Guang Chen*, *Li-Xin Zhong* and *Xiong-Fei Jiang*
- 2016: 101 Formulaic Alphas
*Zura Kakushadze*
- 2016: The F\"ollmer-Schweizer decomposition under incomplete information
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2016: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
*Xin Liu*, *Qi Gong* and *Vidyadhar G. Kulkarni*
- 2016: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models
*Johan Dahlin* and *Thomas B. Sch\"on*
- 2016: Game-theoretic Modeling of Players' Ambiguities on External Factors
*Jian Yang*
- 2016: Dynamics and Stability in Retail Competition
*Marcelo J. Villena* and *Axel A. Araneda*
- 2016: Price response in correlated financial markets: empirical results
*Shanshan Wang*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: Performance v. Turnover: A Story by 4,000 Alphas
*Zura Kakushadze* and *Igor Tulchinsky*
- 2016: Optimal trading strategies - a time series approach
*Peter A. Bebbington* and *Reimer Kuehn*
- 2016: Detecting intraday financial market states using temporal clustering
*Dieter Hendricks*, *Tim Gebbie* and *Diane Wilcox*
- 2016: Forecasting stock market returns over multiple time horizons
*Dimitri Kroujiline*, *Maxim Gusev*, *Dmitry Ushanov*, *Sergey V. Sharov* and *Boris Govorkov*
- 2016: Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets
*Mikhail Timonin*
- 2016: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
*Nicolas Langren\'e*, *Geoffrey Lee* and *Zili Zhu*
- 2016: Convergence of Estimated Option Price in a Regime switching Market
*Anindya Goswami* and *Sanket Nandan*
- 2016: Time-scale analysis of co-movement in EU sovereign bond markets
*Filip Smolik* and *Lukas Vacha*
- 2016: Transition from lognormal to chi-square superstatistics for financial time series
*Dan Xu* and *Christian Beck*
- 2016: Small-time asymptotics for Gaussian self-similar stochastic volatility models
*Archil Gulisashvili*, *Frederi Viens* and *Xin Zhang*
- 2016: Pricing complexity options
*Malihe Alikhani*, *Bj{\o}rn Kjos-Hanssen*, *Amirarsalan Pakravan* and *Babak Saadat*
- 2016: New class of distortion risk measures and their tail asymptotics with emphasis on VaR
*Chuancun Yin* and *Dan Zhu*
- 2016: Principal Components Analysis for Semimartingales and Stochastic PDE
*Alberto Ohashi* and *Alexandre B Simas*
- 2016: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
*Hagen Kleinert* and *Jan Korbel*
- 2016: Robust Utility Maximization with L\'evy Processes
*Ariel Neufeld* and *Marcel Nutz*
- 2016: Optimal Asset Liquidation with Multiplicative Transient Price Impact
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2016: Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
*Alain Belanger* and *Ndoune Ndoune*
- 2016: Pricing and Hedging Long-Term Options
*Hyungbin Park*
- 2016: A polynomial distribution applied to income and wealth distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: A statistical physics analysis of expenditure in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: An econophysical approach of polynomial distribution applied to income and expenditure
*Elvis Oltean*
- 2016: An Econophysical dynamical approach of expenditure and income distribution in the UK
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: Applications of statistical physics distributions to several types of income
*Elvis Oltean* and *Fedor V. Kusmartsev*
- 2016: A study of Methods from Statistical Mechanics applied to income distribution
*Elvis Oltean* and *Fedor Kusmartsev*
- 2016: One-level limit order book models with memory and variable spread
*Jonathan A. Ch\'avez-Casillas* and *Jos\'e E. Figueroa-L\'opez*
- 2016: Change of numeraire in the two-marginals martingale transport problem
*Luciano Campi*, *Ismail Laachir* and *Claude Martini*
- 2016: On the stationarity of Dynamic Conditional Correlation models
*Jean-David Fermanian* and *Hassan Malongo*
- 2016: Polynomial Term Structure Models
*Si Cheng* and *Michael R. Tehranchi*
- 2016: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
*Worapree Maneesoonthorn*, *Catherine Forbes* and *Gael Martin*
- 2016: Learning from the past, predicting the statistics for the future, learning an evolving system
*Daniel Levin*, *Terry Lyons* and *Hao Ni*
- 2016: Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities
*Paul M. N. Feehan* and *Camelia A. Pop*
- 2016: The topology of card transaction money flows
*Massimiliano Zanin*, *David Papo*, *Miguel Romance*, *Regino Criado* and *Santiago Moral*
- 2016: Fairs for e-commerce: the benefits of aggregating buyers and sellers
*Pierluigi Gallo*, *Francesco Randazzo* and *Ignazio Gallo*
- 2016: A Rank-Based Approach to Zipf's Law
*Ricardo Fernholz* and *Robert Fernholz*
- 2016: Microscopic models for the study of taxpayer audit effects
*M. L. Bertotti* and *G. Modanese*
- 2016: No such thing as a risk-neutral market
*D. L. Wilcox*
- 2016: Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution
*Alessandro Fiasconaro*, *Emanuele Strano*, *Vincenzo Nicosia*, *Sergio Porta* and *Vito Latora*
- 2016: Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization
*G\'abor Papp*, *Fabio Caccioli* and *Imre Kondor*
- 2016: Order Book, Financial Markets and Self-Organized Criticality
*Alessio Emanuele Biondo*, *Alessandro Pluchino* and *Andrea Rapisarda*
- 2016: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
*Vladimir Filimonov*, *Guilherme Demos* and *Didier Sornette*
- 2016: The role of volume in order book dynamics: a multivariate Hawkes process analysis
*Marcello Rambaldi*, *Emmanuel Bacry* and *Fabrizio Lillo*
- 2016: The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation
*Yuval Rabani* and *Leonard J. Schulman*
- 2016: Contagion in the world's stock exchanges seen as a set of coupled oscillators
*Lucia Bellenzier*, *J{\o}rgen Vitting Andersen* and *Giulia Rotundo*
- 2016: Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble
*Alberto Bicci*
- 2016: Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads
*Tore Opsahl* and *William Newton*
- 2016: Solar energy production: Short-term forecasting and risk management
*C\'edric Join*, *Michel Fliess*, *Cyril Voyant* and *Fr\'ed\'eric Chaxel*
- 2016: Household Income Distribution in the USA
*Costas Efthimiou* and *Adam Wearne*
- 2016: Modeling Stock Price Dynamics with Fuzzy Opinion Networks
*Li-Xin Wang*
- 2016: Accrual valuation and mark to market adjustment
*Alexey Bakshaev*
- 2016: Blunt Honesty, Incentives, and Knowledge Exchange
*Bruce Knuteson*
- 2016: Noise Fit, Estimation Error and a Sharpe Information Criterion
*Dirk Paulsen* and *Jakob S\"ohl*
- 2016: Duality formulas for robust pricing and hedging in discrete time
*Patrick Cheridito*, *Michael Kupper* and *Ludovic Tangpi*
- 2016: Density analysis of non-Markovian BSDEs and applications to biology and finance
*Thibaut Mastrolia*
- 2016: Funding, Repo and Credit Inclusion in Option Pricing via Dividends
*Damiano Brigo*, *Cristin Buescu* and *Marek Rutkowski*
- 2016: Pathways towards instability in financial networks
*Marco Bardoscia*, *Stefano Battiston*, *Fabio Caccioli* and *Guido Caldarelli*
- 2016: On the Profitability of Optimal Mean Reversion Trading Strategies
*Peng Huang* and *Tianxiang Wang*
- 2016: Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
*Stavros Stavroyiannis*
- 2016: Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
*Ying Jiao*, *Chunhua Ma* and *Simone Scotti*
- 2016: Do co-jumps impact correlations in currency markets?
*Jozef Baruník* and *Lukas Vacha*
- 2016: Robust Financial Bubbles
*Francesca Biagini* and *Jacopo Mancin*
- 2016: Studies on Regional Wealth Inequalities: the case of Italy
*Marcel Ausloos* and *Roy Cerqueti*
- 2016: Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
*Vikram Krishnamurthy*, *Elisabeth Leoff* and *J\"orn Sass*
- 2016: Dynamic portfolio selection without risk-free assets
*Chi Kin Lam*, *Yuhong Xu* and *Guosheng Yin*
- 2016: A pathwise approach to continuous-time trading
*Candia Riga*
- 2016: Bayesian Dividend Optimization and Finite Time Ruin Probabilities
*Gunther Leobacher*, *Michaela Sz\"olgyenyi* and *Stefan Thonhauser*
- 2016: Dividend maximization in a hidden Markov switching model
*Michaela Sz\"olgyenyi*
- 2016: Ruin under stochastic dependence between premium and claim arrivals
*Matija Vidmar*
- 2016: Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome
*Eric Lavallee*
- 2016: Market Dynamics. On Supply and Demand Concepts
*Vladislav Gennadievich Malyshkin*
- 2016: Local Volatility Models in Commodity Markets and Online Calibration
*Vinicius Albani*, *Uri M. Ascher* and *Jorge P. Zubelli*
- 2016: Path probability of stochastic motion: A functional approach
*Masayuki Hattori* and *Sumiyoshi Abe*
- 2016: On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia
*Stephanie Rend\'on de la Torre*, *Jaan Kalda*, *Robert Kitt* and *J\"uri Engelbrecht*
- 2016: Modelling intensities of order flows in a limit order book
*Ioane Muni Toke* and *Nakahiro Yoshida*
- 2016: Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects
*Sebastian Poledna*, *Olaf Bochmann* and *Stefan Thurner*
- 2016: Pricing options on forwards in energy markets: the role of mean reversion's speed
*Maren Diane Schmeck*
- 2016: A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico
*Semei Coronado* and *Omar Rojas*
- 2016: The square-root impact law also holds for option markets
*Bence Toth*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2016: Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
*Fred Espen Benth* and *Heidar Eyjolfsson*
- 2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
*Damian Eduardo Taranto*, *Giacomo Bormetti*, *Jean-Philippe Bouchaud*, *Fabrizio Lillo* and *Bence Toth*
- 2016: Issues with the Smith-Wilson method
*Andreas Lager{\aa}s* and *Mathias Lindholm*
- 2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices
*Emre Kahraman* and *Gazanfer \"Unal*
- 2016: On the parameter identifiability problem in Agent Based economical models
*Di Molfetta Giuseppe*
- 2016: On the existence of shadow prices for optimal investment with random endowment
*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
*Lingqi Gu*, *Yiqing Lin* and *Junjian Yang*
- 2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications
*Dariusz Zawisza*
- 2016: Tail Risk Premia for Long-Term Equity Investors
*Johannes Rauch* and *Carol Alexander*
- 2016: Portfolio Selection: The Power of Equal Weight
*Philip Ernst*, *James Thompson* and *Yinsen Miao*
- 2016: Limit-order book resiliency after effective market orders: Empirical facts and applications to high-frequency trading
*Hai-Chuan Xu*, *Wei Chen*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2016: How to improve accuracy for DFA technique
*Alessandro Stringhi* and *Silvia Figini*
- 2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes
*Adil Yilmaz* and *Gazanfer Unal*
- 2016: Critical value of the total debt in view of the debts durations
*I. A. Molotkov* and *N. A. Ryabova*
- 2016: On construction of boundary preserving numerical schemes
*Nikolaos Halidias*
- 2016: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model
*Arash Fahim* and *Lingjiong Zhu*
- 2016: Dependence of technological improvement on artifact interactions
*Subarna Basnet* and *Christopher L. Magee*
- 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
*Ravi Kashyap*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Europe
*Ron W Nielsen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in the Former USSR
*Ron W Nielsen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Asia
*Ron W Nielsen*
- 2016: Deep Learning Stock Volatility with Google Domestic Trends
*Ruoxuan Xiong*, *Eric P. Nichols* and *Yuan Shen*
- 2016: Unified Growth Theory Contradicted by the Economic Growth in Africa
*Ron W Nielsen*
- 2016: A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge
*Takanori Adachi*
- 2016: Trading Networks with Bilateral Contracts
*Tam\'as Fleiner*, *Zsuzsanna Jank\'o*, *Akihisa Tamura* and *Alexander Teytelboym*
- 2016: Inequality measures in kinetic exchange models of wealth distributions
*Asim Ghosh*, *Arnab Chatterjee*, *Jun-ichi Inoue* and *Bikas K. Chakrabarti*
- 2016: Maximizing expected utility in the Arbitrage Pricing Model
*Miklos Rasonyi*
- 2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach
*Maojiao Ye* and *Guoqiang Hu*
- 2016: Modelling complex systems of heterogeneous agents to better design sustainability transitions policy
*Jean-Francois Mercure*, *H. Pollitt*, *A. M. Bassi*, *J. E Vi\~nuales* and *N. R. Edwards*
- 2016: Business cycle synchronization within the European Union: A wavelet cohesion approach
*Lubos Hanus* and *Lukas Vacha*
- 2016: The Limits of Leverage
*Paolo Guasoni* and *Eberhard Mayerhofer*
- 2016: Optimal Investment to Minimize the Probability of Drawdown
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2016: Time-consistency of risk measures with GARCH volatilities and their estimation
*Claudia Kl\"uppelberg* and *Jianing Zhang*
- 2016: Leveraging the network: a stress-test framework based on DebtRank
*Stefano Battiston*, *Marco D'Errico*, *Stefano Gurciullo* and *Guido Caldarelli*
- 2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2016: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
*Patrick Steffen Michelberger* and *Jan Hendrik Witte*
- 2016: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
*Erhan Bayraktar*, *David Promislow* and *Virginia Young*
- 2016: Hydrodynamic limit of order book dynamics
*Xuefeng Gao* and *S. J. Deng*
- 2016: A continuous auction model with insiders and random time of information release
*Jos\'e Manuel Corcuera*, *Giulia Di Nunno*, *Gergely Farkas* and *Bernt {\O}ksendal*
- 2016: Indifference pricing for Contingent Claims: Large Deviations Effects
*Scott Robertson* and *Konstantinos Spiliopoulos*
- 2016: Mean-Reversion and Optimization
*Zura Kakushadze*
- 2016: Utility indifference pricing and hedging for structured contracts in energy markets
*Giorgia Callegaro*, *Luciano Campi*, *Valeria Giusto* and *Tiziano Vargiolu*
- 2016: Gambling in contests with random initial law
*Han Feng* and *David Hobson*
- 2016: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
*Carol Alexander* and *Johannes Rauch*
- 2016: Parameter estimation for the subcritical Heston model based on discrete time observations
*Matyas Barczy*, *Gyula Pap* and *Tamas T. Szabo*
- 2016: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
*Sebastian Poledna* and *Stefan Thurner*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
*Li-Xin Wang*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
*Li-Xin Wang*
- 2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
*Li-Xin Wang*
- 2016: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 2016: Investor's sentiment in multi-agent model of the continuous double auction
*A. Lykov*, *S. Muzychka* and *K. Vaninsky*
- 2016: The Topology of African Exports: emerging patterns on spanning trees
*Tanya Ara\'ujo* and *M. Ennes Ferreira*
- 2016: Bunching of numbers in a non-ideal roulette: the key to winning strategies
*A. V. Kavokin*, *A. S. Sheremet* and *M. Yu. Petrov*
- 2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market
*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
*Lev B. Klebanov*, *Greg Temnov* and *Ashot V. Kakosyan*
- 2016: Market correlation structure changes around the Great Crash
*Rui-Qi Han*, *Wen-Jie Xie*, *Xiong Xiong*, *Wei Zhang* and *Wei-Xing Zhou*
- 2016: CoCos under short-term uncertainty
*Jos\'e Manuel Corcuera* and *Arturo Valdivia*
- 2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect
*Christopher L. Magee* and *Tessaleno C. Devezas*
- 2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation
*Juan M. Romero* and *Jorge Bautista*
- 2016: The ecology of social interactions in online and offline environments
*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
*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
*Maximilian Seyrich* and *Didier Sornette*
- 2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework
*Vassilios Papathanakos*
- 2016: Trading-profit attribution for the size factor
*Vassilios Papathanakos*
- 2016: Sufficiency on the Stock Market
*Peter Harremo\"es*
- 2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
*Thomas Knispel*, *Roger Laeven* and *Gregor Svindland*
- 2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data
*Jonas Hallgren* and *Timo Koski*
- 2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums
*Likuan Qin*, *Vadim Linetsky* and *Yutian Nie*
- 2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes
*Vaibhav Srivastava*, *Philip Holmes* and *Patrick Simen*
- 2016: RiskRank: Measuring interconnected risk
*J\'ozsef Mezei* and *Peter Sarlin*
- 2016: The role of networks in firms' multi-characteristics competition and market-share inequality
*Antonios Garas* and *Athanasios Lapatinas*
- 2016: On "A General Framework for Pricing Asian Options Under Markov Processes"
*Zhenyu Cui*, *Chihoon Lee* and *Yanchu Liu*
- 2016: Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
*Mauro Bernardi* and *Leopoldo Catania*
- 2016: Econo- and socio- physics based remarks on the economical growth of the World
*Rzoska Agata Angelika*
- 2016: A Simple Measure of Economic Complexity
*Sabiou Inoua*
- 2016: General Equilibrium and Recession Phenomenon
*Nicholas S. Gonchar*, *Wolodymyr H. Kozyrski* and *Anatol S. Zhokhin*
- 2016: The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
*Jean-Philippe Bouchaud*, *Stefano Ciliberti*, *Augustin Landier*, *Guillaume Simon* and *David Thesmar*
- 2016: On bivariate lifetime modelling in life insurance applications
*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
*Alexey Fomin*, *Andrey Korotayev* and *Julia Zinkina*
- 2016: Speculative Futures Trading under Mean Reversion
*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
*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
*Ricardo Fernholz*
- 2016: Do Mature Economies Grow Exponentially?
*Steffen Lange*, *Peter P\"utz* and *Thomas Kopp*
- 2016: Inter-occurrence times and universal laws in finance, earthquakes and genomes
*Constantino Tsallis*
- 2016: Generalization of Doob decomposition Theorem
*Nicholas Gonchar*
- 2016: Convex duality for stochastic differential utility
*Anis Matoussi* and *Hao Xing*
- 2016: Large losses - probability minimizing approach
*Micha{\l} Barski*
- 2016: Quantile hedging on markets with proportional transaction costs
*Micha{\l} Barski*
- 2016: On a law of large numbers for insurance risks
*Yumiharu Nakano*
- 2016: International Trade: a Reinforced Urn Network Model
*Stefano Peluso*, *Antonietta Mira*, *Pietro Muliere* and *Alessandro Lomi*
- 2016: Credit risk: Taking fluctuating asset correlations into account
*Thilo A. Schmitt*, *Rudi Sch\"afer* and *Thomas Guhr*
- 2016: The invisible hand and the rational agent are behind bubbles and crashes
*Serge Galam*
- 2016: Quantifying invariant features of within-group inequality in consumption across groups
*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
*Jaydip Sen* and *Tamal Datta Chaudhuri*
- 2016: Negative interest rates: why and how?
*Jozef Kiselak*, *Philipp Hermann* and *Milan Stehlik*
- 2016: Systemic Risk Management in Financial Networks with Credit Default Swaps
*Matt V. Leduc*, *Sebastian Poledna* and *Stefan Thurner*
- 2016: Computing semiparametric bounds on the expected payments of insurance instruments via column generation
*Robert Howley*, *Robert Storer*, *Juan Vera* and *Luis F. Zuluaga*
- 2016: Irreversibility of financial time series: a graph-theoretical approach
*Lucas Lacasa* and *Ryan Flanagan*
- 2016: Brownian Bridges on Random Intervals
*Matteo Ludovico Bedini*, *Rainer Buckdahn* and *Hans-J\"urgen Engelbert*
- 2016: Teaching Economics and Providing Visual "Big Pictures"
*Seyyed Ali Zeytoon Nejad Moosavian*
- 2016: A Semi-Markovian Modeling of Limit Order Markets
*Anatoliy Swishchuk* and *Nelson Vadori*
- 2016: Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton
*Gurjeet Dhesi* and *Marcel Ausloos*
- 2016: Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation
*Sergii Kuchuk-Iatsenko* and *Yuliya Mishura*
- 2016: Pricing barrier options with discrete dividends
*D. Jason Gibson* and *Aaron Wingo*
- 2016: Long memory and multifractality: A joint test
*John Goddard* and *Enrico Onali*
- 2016: Multistage Portfolio Optimization: A Duality Result in Conic Market Models
*Robert Bassett* and *Khoa Le*
- 2016: Essay on the State of Research and Innovation in France and the European Union
*Antoine Kornprobst*
- 2016: No Stable Distributions in Finance, please!
*Lev B Klebanov*
- 2016: Black-Litterman model with intuitionistic fuzzy posterior return
*Krzysztof Echaust* and *Krzysztof Piasecki*
- 2016: Time and Frequency Structure of Causal Correlation Network in China Bond Market
*Zhongxing Wang*, *Yan Yan* and *Xiaosong Chen*
- 2016: Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth
*Timothy J. Garrett*
- 2016: On a Generalization of Markowitz Preference Relation
*Valentin Vankov Iliev*
- 2016: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2016: Financial Models with Defaultable Num\'eraires
*Travis Fisher*, *Sergio Pulido* and *Johannes Ruf*
- 2016: Affine representations of fractional processes with applications in mathematical finance
*Philipp Harms* and *David Stefanovits*
- 2016: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure
*Florian Ziel*
- 2016: A BSDE arising in an exponential utility maximization problem in a pure jump market model
*Carla Mereu* and *Robert Stelzer*
- 2016: Bermudan options by simulation
*Leonard Rogers*
- 2016: Heterotic Risk Models
*Zura Kakushadze*
- 2016: Identification of Insurance Models with Multidimensional Screening
*Gaurab Aryal*, *Isabelle Perrigne* and *Quang Vuong*
- 2016: Bifurcation patterns of market regime transition
*Sergey Kamenshchikov*
- 2016: Record statistics for random walk bridges
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2016: Switching-GAS Copula Models With Application to Systemic Risk
*Mauro Bernardi* and *Leopoldo Catania*
- 2016: Local risk-minimization for Barndorff-Nielsen and Shephard models
*Takuji Arai*, *Yuto Imai* and *Ryoichi Suzuki*
- 2016: A hybrid tree/finite-difference approach for Heston-Hull-White type models
*M. Briani*, *L. Caramellino* and *A. Zanette*
- 2016: Monetary Policy and Dark Corners in a stylized Agent-Based Model
*Stanislao Gualdi*, *Marco Tarzia*, *Francesco Zamponi* and *Jean-Philippe Bouchaud*
- 2016: Solving finite time horizon Dynkin games by optimal switching
*Randall Martyr*
- 2016: Conditional Preference Orders and their Numerical Representations
*Samuel Drapeau* and *Asgar Jamneshan*
- 2016: Near-optimal estimation of jump activity in semimartingales
*Adam D. Bull*
- 2016: On Correlated Defaults and Incomplete Information
*Wai-Ki Ching*, *Jia-Wen Gu* and *Harry Zheng*
- 2016: Default contagion risks in Russian interbank market
*A. V. Leonidov* and *E. L. Rumyantsev*
- 2016: Risk-sensitive investment in a finite-factor model
*Grzegorz Andruszkiewicz*, *Mark H. A. Davis* and *Sebastien Lleo*
- 2016: Bregman superquantiles. Estimation methods and applications
*Tatiana Labopin-Richard*, *Fabrice Gamboa*, *Aur\'elien Garivier* and *Bertrand Iooss*
- 2016: Simultaneous Trading in 'Lit' and Dark Pools
*M. Alessandra Crisafi* and *Andrea Macrina*
- 2016: Tails of weakly dependent random vectors
*Peter Tankov*
- 2016: Tail behavior of sums and differences of log-normal random variables
*Archil Gulisashvili* and *Peter Tankov*
- 2016: Energy, entropy, and arbitrage
*Soumik Pal* and *Ting-Kam Leonard Wong*
- 2016: Pricing and Valuation under the Real-World Measure
*Gabriel Frahm*
- 2016: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
*Akihiko Noda*
- 2016: C^{1,1} regularity for degenerate elliptic obstacle problems
*Panagiota Daskalopoulos* and *Paul M. N. Feehan*
- 2016: The maximum maximum of a martingale with given $n$ marginals
*Pierre Henry-Labord\`ere*, *Jan Ob{\l}\'oj*, *Peter Spoida* and *Nizar Touzi*
- 2016: Integral representations of risk functions for basket derivatives
*Micha{\l} Barski*
- 2016: Quantile hedging for basket derivatives
*Micha{\l} Barski*
- 2016: On incompleteness of bond markets with infinite number of random factors
*Micha{\l} Barski*, *Jacek Jakubowski* and *Jerzy Zabczyk*
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