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2014: Macroprudential oversight, risk communication and visualization
Peter Sarlin
2014: On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti , Stefano De Marco and Jean-Dominique Deuschel
2014: The Master Equation in Mean Field Theory
Alain Bensoussan , Jens Frehse and Phillip Yam
2014: Directed Random Market: the equilibrium distribution
Guy Katriel
2014: $L_p$ regularized portfolio optimization
Fabio Caccioli , Imre Kondor , Matteo Marsili and Susanne Still
2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
Mark Higgins
2014: Option Pricing Accuracy for Estimated Heston Models
Robert Azencott , Yutheeka Gadhyan and Roland Glowinski
2014: On the properties of nodal price response matrix in electricity markets
Vadim Borokhov
2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski , Giacomo Bormetti and Fulvio Corsi
2014: Stability and Identification with Optimal Macroprudential Policy Rules
Jean-Bernard Chatelain and Kirsten Ralf
2014: Two centuries of trend following
Y. Lemp\'eri\`ere, , C. Deremble , P. Seager , M. Potters and J. P. Bouchaud
2014: Regularizing Portfolio Risk Analysis: A Bayesian Approach
Sourish Das and Dipak K. Dey
2014: A Note on the Pricing of Basket Options Using Taylor Approximations
Pablo Olivares and Alexander Alvarez
2014: Estimating nonlinear regression errors without doing regression
Hong Pi and Carsten Peterson
2014: A Dynamical Model of the Industrial Economy of the Humber Region
Christopher J. K. Knight , Alexandra S. Penn and Rebecca B. Hoyle
2014: Pricing of Basket Options Using Polynomial Approximations
Pablo Olivares
2014: Asymptotics for $d$-dimensional L\'evy-type processes
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Facelifting in Utility Maximization
Kasper Larsen , H. Mete Soner and Gordan Zitkovic
2014: Financial bubbles: mechanisms and diagnostics
Didier Sornette and Peter Cauwels
2014: Bayesian DEJD model and detection of asymmetric jumps
Maciej Kostrzewski
2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui , Mohamed Mrad and Caroline Hillairet
2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui , Caroline Hillairet and Mohamed Mrad
2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
Robert Stelzer and Zavi\v{s}in, Jovana
2014: Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha , Frank Raischel , da Cruz, Jo\~ao P. and Pedro G. Lind
2014: Martingale optimal transport in the Skorokhod space
Y. Dolinsky and H. M. Soner
2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Boualem Djehiche , Hamidou Tembine and Raul Tempone
2014: Emergence of communities on a coevolutive model of wealth interchange
A. Agreda and K. Tucci
2014: Discretisation-Invariant Swaps
Carol Alexander and Johannes Rauch
2014: Parallel American Monte Carlo
Calypso Herrera and Louis Paulot
2014: Dynamic Linkages Between Tokyo and Osaka Rice Futures Markets in Prewar Japan
Mikio Ito , Kiyotaka Maeda and Akihiko Noda
2014: Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher and Philip Ngare
2014: Is It Possible to OD on Alpha?
Zura Kakushadze and Jim Kyung-Soo Liew
2014: Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aur\'elien and Pierre Blanc
2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
Figueroa-L\'opez, Jos\'e E. and \'Olafsson, Sveinn
2014: Non-Arbitrage under a Class of Honest Times
Tahir Choulli , Anna Aksamit , Jun Deng and Monique Jeanblanc
2014: Principal wind turbines for a conditional portfolio approach to wind farms
Vitor V. Lopes , Teresa Scholz , Frank Raischel and Pedro G. Lind
2014: On the range of admissible term-structures
Areski Cousin and Ibrahima Niang
2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
D. Sornette
2014: A Note on the Quantile Formulation
Zuo Quan Xu
2014: Systemic risk in dynamical networks with stochastic failure criterion
B. Podobnik , D. Horvatic , M. Bertella , L. Feng , X. Huang and B. Li
2014: The adaptive nature of liquidity taking in limit order books
Damian Eduardo Taranto , Giacomo Bormetti and Fabrizio Lillo
2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
Mauro Bernardi and L. Petrella
2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
Martha G. Alatriste Contreras and Giorgio Fagiolo
2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
Reza Farrahi Moghaddam , Fereydoun Farrahi Moghaddam and Mohamed Cheriet
2014: A New Characterization of Comonotonicity and its Application in Behavioral Finance
Zuo Quan Xu
2014: Community detection for correlation matrices
Mel MacMahon and Diego Garlaschelli
2014: Illiquidity and Insolvency: a Double Cascade Model of Financial Crises
Thomas R. Hurd , Davide Cellai , Huibin Cheng , Sergey Melnik and Quentin Shao
2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
Eric Beutner , Janina Schweizer and Antoon A. J. Pelsser
2014: A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar , Yuchong Zhang and Zhou Zhou
2014: The Interrupted Power Law and The Size of Shadow Banking
Davide Fiaschi , Imre Kondor , Matteo Marsili and Valerio Volpati
2014: VWAP execution and guaranteed VWAP
Gu\'eant, Olivier and Guillaume Royer
2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
Andrey Itkin
2014: Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana , Zorana Grbac , Monique Jeanblanc and Qinghua Li
2014: Asymptotic arbitrage in the Heston model
Fatma Haba and Antoine Jacquier
2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
Jacky Mallett
2014: Parameter estimation for a subcritical affine two factor model
Matyas Barczy , Leif Doering , Zenghu Li and Gyula Pap
2014: On an Optimal Stopping Problem of an Insider
Erhan Bayraktar and Zhou Zhou
2014: On the Robust Optimal Stopping Problem
Erhan Bayraktar and Song Yao
2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
Figueroa-L\'opez, Jos\'e E. , Ruoting Gong and Houdr\'e, Christian
2014: Physical approach to price momentum and its application to momentum strategy
Jaehyung Choi
2014: Involving copula functions in Conditional Tail Expectation
Brahim Brahimi
2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Mikio Ito , Akihiko Noda and Tatsuma Wada
2014: On the concentration of large deviations for fat tailed distributions, with application to financial data
Mario Filiasi , Giacomo Livan , Matteo Marsili , Maria Peressi , Erik Vesselli and Elia Zarinelli
2014: Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets
Xiang Yu
2014: The structure of optimal portfolio strategies for continuous time markets
Nikolai Dokuchaev
2014: Stable-1/2 Bridges and Insurance
Edward Hoyle , Lane P. Hughston and Andrea Macrina
2014: An agent-based computational model for China's stock market and stock index futures market
Hai-Chuan Xu , Wei Zhang , Xiong Xiong and Wei-Xing Zhou
2014: Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market
Jian Zhou , Gao-Feng Gu , Zhi-Qiang Jiang , Xiong Xiong , Wei Zhang and Wei-Xing Zhou
2014: Maximum drawdown, recovery, and momentum
Jaehyung Choi
2014: Are credit ratings time-homogeneous and Markov?
Pedro Lencastre , Frank Raischel , Pedro G. Lind and Tim Rogers
2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation
Vicky Henderson and Gechun Liang
2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria
Pierre Degond , Jian-Guo Liu and Christian Ringhofer
2014: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
Gabriele Sarais and Damiano Brigo
2014: Omega risk model with tax
Zhenyu Cui
2014: Anatomy of a Bail-In
Thomas Conlon and John Cotter
2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
Menelaos Karanasos , Alexandros Paraskevopoulos , Faek Menla Ali , Michail Karoglou and Stavroula Yfanti
2014: Contextual and Structural Representations of Market-mediated Economic Value
Bradly Alicea
2014: Credit acceptance process strategy case studies - the power of Credit Scoring
Karol Przanowski
2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
Stefan Bornholdt and Kim Sneppen
2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
Benedikt Fuchs and Stefan Thurner
2014: Utility maximization in the large markets
Oleksii Mostovyi
2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
Dominique Pépin
2014: Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi , Aaron Kim and Ivan Mitov
2014: The Implied Volatility Analysis: The South African Experience
Romuald N. Kenmoe S and Carine D. Tafou
2014: Sophisticated gamblers ruin and survival chances
Salil Mehta
2014: Trajectory Based Models, Arbitrage and Continuity
Alexander Alvarez and Sebastian Ferrando
2014: The acceptance-rejection method for low-discrepancy sequences
Nguyet Nguyen and \"Okten, Giray
2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
Rafael Mendoza-Arriaga and Vadim Linetsky
2014: Multilevel Monte Carlo For Exponential L\'{e}vy Models
Mike Giles and Yuan Xia
2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
Archil Gulisashvili and Josep Vives
2014: Portfolio Optimization in Affine Models with Markov Switching
Marcos Escobar , Daniela Neykova and Rudi Zagst
2014: A change of measure preserving the affine structure in the BNS model for commodity markets
Fred Espen Benth and Salvador Ortiz-Latorre
2014: Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman and Jean-Philippe Bouchaud
2014: Predicting market instability: New dynamics between volume and volatility
Zeyu Zheng , Zhi Qiao , Joel N. Tenenbaum , H. Eugene Stanley and Baowen Li
2014: Collective behaviours in the stock market -- A maximum entropy approach
Thomas Bury
2014: Stationarity, non-stationarity and early-warning signals in economic networks
Tiziano Squartini and Diego Garlaschelli
2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
Alexandra Rodkina and Nikolai Dokuchaev
2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
Yaya Li , Yongli Li , Yulin Zhao and Fang Wang
2014: An importance sampling algorithm for copula models in insurance
Philipp Arbenz , Mathieu Cambou and Marius Hofert
2014: Least quartic Regression Criterion with Application to Finance
Giuseppe arbia
2014: Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth and Kr\"uhner, Paul
2014: An unsupervised parallel genetic cluster algorithm for graphics processing units
Dieter Hendricks , Dariusz Cieslakiewicz , Diane Wilcox and Tim Gebbie
2014: Momentum Strategies with L1 Filter
Tung-Lam Dao
2014: A fast Fourier transform method for Mellin-type option pricing
D. J. Manuge and P. T. Kim
2014: Networked relationships in the e-MID Interbank market: A trading model with memory
Giulia Iori , Rosario N. Mantegna , Luca Marotta , Micciche', Salvatore , James Porter and Michele Tumminello
2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
Claudiu Tiberiu Albulescu , Dominique Pépin and Aviral Kumar Tiwari
2014: Testing for Detailed Balance in a Financial Market
Rudolf Fiebig and David Musgrove
2014: Anomalous impact in reaction-diffusion models
Iacopo Mastromatteo , Bence Toth and Jean-Philippe Bouchaud
2014: Empirical properties of inter-cancellation durations in the Chinese stock market
Gao-Feng Gu , Xiong Xiong , Wei Zhang , Yong-Jie Zhang and Wei-Xing Zhou
2014: Structural Models under Additional Information
Tahir Choulli and Jun Deng
2014: Coherent Chaos Interest Rate Models
Dorje C. Brody and Stala Hadjipetri
2014: Detecting informed activities in European-style option tradings
Lyudmila A. Glik and Oleg L. Kritski
2014: Merton problem with one additional indivisible asset
Trybu{\l}a, Jakub
2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case
Trybu{\l}a, Jakub and Dariusz Zawisza
2014: Distribution of the asset price movement and market potential
Dong Han Kim and Stefano Marmi
2014: Quadratic BSDEs with jumps: related non-linear expectations
M. Nabil Kazi-Tani , Possama\"i, Dylan and Chao Zhou
2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
Dieter Hendricks and Diane Wilcox
2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
Michael B. Walker
2014: Partial Mutual Information Analysis of Financial Networks
Paweł Fiedor
2014: Introduction to Risk Parity and Budgeting
Thierry Roncalli
2014: City growth as a resource utilization problem
Asim Ghosh , Arnab Chatterjee , Anindya S. Chakrabarti and Bikas K Chakrabarti
2014: High-Order Splitting Methods for Forward PDEs and PIDEs
Andrey Itkin
2014: Do Google Trend data contain more predictability than price returns?
Damien Challet and Ahmed Bel Hadj Ayed
2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
Charles D. Brummitt , Rajiv Sethi and Duncan J. Watts
2014: A consentaneous agent based and stochastic model of the financial markets
V. Gontis and A. Kononovicius
2014: To bail-out or to bail-in? Answers from an agent-based model
Peter Klimek , Sebastian Poledna , J. Doyne Farmer and Stefan Thurner
2014: Modelling the Bid and Ask Prices of Illiquid CDSs
Michael B. Walker
2014: International Transmission of Shocks and Fragility of a Bank Network
Xiaobing Feng , Woo Seong Jo and Beom Jun Kim
2014: On the Frequency of Drawdowns for Brownian Motion Processes
David Landriault , Bin Li and Hongzhong Zhang
2014: Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
Johan Gunnesson and Mu\~noz de Morales, Alberto Fern\'andez
2014: On the Hawkes Process with Different Exciting Functions
Behzad Mehrdad and Lingjiong Zhu
2014: Asset Prices and Risk Aversion
Dominique Pépin
2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
Andreas Joseph , Irena Vodenska , Eugene Stanley and Guanrong Chen
2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
Xiangyu Cui , Duan Li and Xun Li
2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
Jinli Hu and Amos Storkey
2014: Exchange Rate Predictability in a Changing World
Joseph P. Byrne , Dimitris Korobilis and Pinho J. Ribeiro
2014: Parameter estimation for subcritical Heston models based on discrete time observations
Matyas Barczy , Gyula Pap and Tamas T. Szabo
2014: Intrinsic Prices Of Risk
Truc Le
2014: Investing and Stopping
Moritz Duembgen and Leonard C G Rogers
2014: Leverage effect in energy futures
Ladislav Krištoufek
2014: Prospect Theory for Online Financial Trading
Yang-Yu Liu , Jose C. Nacher , Tomoshiro Ochiai , Mauro Martino and Yaniv Altshuler
2014: Mapping systemic risk: critical degree and failures distribution in financial networks
Matteo Smerlak , Brady Stoll , Agam Gupta and James S. Magdanz
2014: The geometry of relative arbitrage
Soumik Pal and Ting-Kam Leonard Wong
2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou and Abel Cadenillas
2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
Petr Jizba and Jan Korbel
2014: Information theoretic approach for accounting classification
E. M. S. Ribeiro and G. A. Prataviera
2014: Global inequality in energy consumption from 1980 to 2010
Scott Lawrence , Qin Liu and Victor M. Yakovenko
2014: Estimating time-changes in noisy L\'evy models
Adam D. Bull
2014: No-arbitrage conditions and absolutely continuous changes of measure
Claudio Fontana
2014: Predicting trend reversals using market instantaneous state
Thomas Bury
2014: Power identities for L\'evy risk models under taxation and capital injections
Hansjoerg Albrecher and Jevgenijs Ivanovs
2014: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Paulwin Graewe , Ulrich Horst and Jinniao Qiu
2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
R\'asonyi, Mikl\'os and Andrea Meireles Rodrigues
2014: Efficient hedging in general Black-Scholes model
Kyong-Hui Kim and Myong-Guk Sin
2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
Kondor, D\'aniel , P\'osfai, M\'arton , Csabai, Istv\'an and Vattay, G\'abor
2014: Measuring risk with multiple eligible assets
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Gold, Oil, and Stocks
Jozef Baruník , Evžen Kočenda and Lukas Vacha
2014: Tipping points in macroeconomic Agent-Based models
Stanislao Gualdi , Marco Tarzia , Francesco Zamponi and Jean-Philippe Bouchaud
2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
Gordan Zitkovic
2014: Predicting financial markets with Google Trends and not so random keywords
Damien Challet and Ahmed Bel Hadj Ayed
2014: Strict Local Martingales with Jumps
Philip Protter
2014: Explicit implied vols for multifactor local-stochastic vol models
Matthew Lorig , Stefano Pagliarani and Andrea Pascucci
2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla and Kees van Schaik
2014: Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
M. H. A Davis and M. R. Pistorius
2014: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Lachapelle, Aim\'e , Jean-Michel Lasry , Charles-Albert LEHALLE and Pierre-Louis Lions
2014: A note on high-order short-time expansions for ATM option prices under the CGMY model
Figueroa-L\'opez, Jos\'e E. , Ruoting Gong and Houdr\'e, Christian
2014: Permanent market impact can be nonlinear
Gu\'eant, Olivier
2014: The Fundamental Theorem of Asset Pricing for Liquid Financial Markets
Gabriel Frahm
2014: A convolution method for numerical solution of backward stochastic differential equations
Cody Blaine Hyndman and Polynice Oyono Ngou
2014: Coherence and elicitability
Johanna F. Ziegel
2014: A Modern Approach to the Efficient-Market Hypothesis
Gabriel Frahm
2014: On the optimal dividend problem for a spectrally positive Levy process
Chuancun Yin , Yuzhen Wen and Yongxia Zhao
2014: The effect of debt on corporate profitability: Evidence from French service sector
Mazen KEBEWAR
2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
Maria B. Chiarolla and Tiziano De Angelis
2014: Quadratic BSDEs with jumps: a fixed-point approach
M. Nabil Kazi-Tani , Possama\"i, Dylan and Chao Zhou
2014: Exploiting the flexibility of a family of models for taxation and redistribution
Maria Letizia Bertotti and Giovanni Modanese
2014: On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk-process in the presence of a penalty function
Florin Avram , Zbigniew Palmowski and Martijn R. Pistorius
2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
Taisei Kaizoji , M. Leiss , A. Saichev and D. Sornette
2014: Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel and Rick Steinert
2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
Hanqing Jin and Yimin Yang
2014: Finding informed traders in futures and their inderlying assets in intraday trading
Lyudmila A. Glik and Oleg L. Kritski
2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
Christian Bender and Nikolai Dokuchaev
2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
Abdelali Gabih , Hakam Kondakji , Sass, J\"orn and Ralf Wunderlich
2014: The role of information in a two-traders market
F. Bagarello and E. Haven
2014: Time-dependent Heston model
G. S. Vasilev
2014: Estimation Error of Expected Shortfall
Imre Kondor
2014: Technology Parks Potential for Small and Medium Enterprises
Anna V. Vilisova and Qiang Fu
2014: Systemic Risk and Default Clustering for Large Financial Systems
Konstantinos Spiliopoulos
2014: Rebalancing with Linear and Quadratic Costs
Ren Liu , Johannes Muhle-Karbe and Marko Weber
2014: Trading with Small Price Impact
Ludovic Moreau , Johannes Muhle-Karbe and H. Mete Soner
2014: Purchasing Life Insurance to Reach a Bequest Goal
Erhan Bayraktar , David Promislow and Virginia Young
2014: Densely Entangled Financial Systems
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs
Samuel Palmer and David Thomas
2014: Large deviation asymptotics for the left tail of the sum of dependent positive random variables
Peter Tankov
2014: A debt behaviour model
Wenjun Zhang and John Holt
2014: Intensive and extensive biases in economic networks: reconstructing world trade
Rossana Mastrandrea , Tiziano Squartini , Giorgio Fagiolo and Diego Garlaschelli
2014: On Simulation of Various Effects in Consolidated Order Book
A. O. Glekin , A. Lykov and K. L. Vaninsky
2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
M. Koz{\l}owska, , T. Gubiec , T. R. Werner , M. Denys , A. Sienkiewicz , R. Kutner and Z. Struzik
2014: Information-theoretic approach to lead-lag effect on financial markets
Paweł Fiedor
2014: On the shortfall risk control -- a refinement of the quantile hedging method
Barski, Micha{\l}
2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System
Annika Birch and Tomaso Aste
2014: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
Bin Zou and Abel Cadenillas
2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
Pi\v{s}korec, Matija , Nino Antulov-Fantulin , Petra Kralj Novak , Mozeti\v{c}, Igor , Gr\v{c}ar, Miha , Irena Vodenska and \v{S}muc, Tomislav
2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao , Ke Zhou , Duan Li and Xiren Cao
2014: Reference Vectors in Economic Choice
Teycir Abdelghani Goucha
2014: Information ratio analysis of momentum strategies
Fernando F. Ferreira , A. Christian Silva and Ju-Yi Yen
2014: Model-independent Superhedging under Portfolio Constraints
Arash Fahim and Yu-Jui Huang
2014: On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Erhan Bayraktar and Zhou Zhou
2014: Stock portfolio structure of individual investors infers future trading behavior
Ludvig Bohlin and Martin Rosvall
2014: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
Alice X. D. Dong , Jennifer S.K. Chan and Gareth W. Peters
2014: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
Anatoliy Swishchuk , Maksym Tertychnyi and Winsor Hoang
2014: Multi-scale Representation of High Frequency Market Liquidity
Anton Golub , Gregor Chliamovitch , Alexandre Dupuis and Bastien Chopard
2014: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
Sandrine Jacob Leal , Mauro Napoletano , Andrea Roventini and Giorgio Fagiolo
2014: Pricing Currency Derivatives with Markov-modulated Levy Dynamics
Anatoliy Swishchuk , Maksym Tertychnyi and Robert Elliott
2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Erhan Bayraktar and Yuchong Zhang
2014: Using Twitter to Model the EUR/USD Exchange Rate
Dietmar Janetzko
2014: Option Pricing for Symmetric L\'evy Returns with Applications
Kais Hamza , Fima C. Klebaner , Zinoviy Landsman and Ying-Oon Tan
2014: Correlation and Network Topologies in Global and Local Stock Indices
Ashadun Nobi , Sungmin Lee , Doo Hwan Kim and Jae Woo Lee
2014: Are European equity markets efficient? New evidence from fractal analysis
Enrico Onali and John Goddard
2014: Partial correlation analysis: Applications for financial markets
Dror Y. Kenett , Xuqing Huang , Irena Vodenska , Shlomo Havlin and H. Eugene Stanley
2014: Market impact as anticipation of the order flow imbalance
Thibault Jaisson
2014: Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market
Ovidiu Racorean
2014: Option Pricing, Historical Volatility and Tail Risks
Samuel E. Vazquez
2014: Optimal allocation of wealth for two consuming agents sharing a portfolio
Oumar Mbodji , Adrien Nguyen Huu and Traian A. Pirvu
2014: Spatial and temporal structures of four financial markets in Greater China
F. Y. Ouyang , B. Zheng and X. F. Jiang
2014: The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis
Yavni Bar-Yam , Marcus A. M. de Aguiar and Yaneer Bar-Yam
2014: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
Fabian Dickmann and Nikolaus Schweizer
2014: Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium
Sorin Solomon and Natasa Golo
2014: The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
Arslan Tariq Rana and Mazen KEBEWAR
2014: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
Sebastian Poledna and Stefan Thurner
2014: Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio , Claudio Fontana and Constantinos Kardaras
2014: On the Measurement of Economic Tail Risk
Steven Kou and Xianhua Peng
2014: Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina , Santiago Moreno-Bromberg and Cosimo Munari
2014: Mean field approximation for biased diffusion on Japanese inter-firm trading network
Hayafumi Watanabe
2014: The False Premises and Promises of Bitcoin
Brian P. Hanley
2014: Nucleation, condensation and lambda-transition on a real-life stock market
M. Wilinski , B. Szewczak , T. Gubiec , R. Kutner and Z. R. Struzik
2014: Non-Arbitrage up to Random Horizon for Semimartingale Models
Anna Aksamit , Tahir Choulli , Jun Deng and Monique Jeanblanc
2014: Control of the socio-economic systems using herding interactions
Aleksejus Kononovicius and Vygintas Gontis
2014: On hedging American options under model uncertainty
Erhan Bayraktar , Yu-Jui Huang and Zhou Zhou
2014: Investment under uncertainty, competition and regulation
Adrien Nguyen Huu
2014: Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
O\'swi\c{e}cimka, Pawe{\l} , Dro\.zd\.z, Stanis{\l}aw , Marcin Forczek , Jadach, Stanis{\l}aw and Kwapie\'n, Jaros{\l}aw
2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Ladislav Krištoufek and Miloslav Vošvrda
2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
Marcus Hildmann , Andreas Ulbig and Andersson, G\"oran
2014: Arbitrage and Duality in Nondominated Discrete-Time Models
Bruno Bouchard and Marcel Nutz
2014: Optimal dividend problem for a generalized compound Poisson risk model
Chuancun Yin
2014: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
Yannis G. Yatracos
2014: Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Frey, R\"udiger , Abdelali Gabih and Ralf Wunderlich
2014: Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng , Roueff, Fran\c{c}ois and Abergel, Fr\'ed\'eric
2014: Superreplication under Model Uncertainty in Discrete Time
Marcel Nutz
2014: Strategy switches and co-action equilibria in a minority game
V. Sasidevan and Deepak Dhar
2014: Valuation of asset and volatility derivatives using decoupled time-changed L\'{e}vy processes
Lorenzo Torricelli
2014: Strong random correlations in networks of heterogeneous agents
Imre Kondor , Csabai, Istv\'an , Papp, G\'abor , Enys Mones , Czimbalmos, G\'abor and S\'andor, M\'at\'e Csaba
2014: Beyond cash-additive risk measures: when changing the num\'{e}raire fails
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Ying Shen , Chuancun Yin and Kam Chuen Yuen
2014: Micro to macro models for income distribution in the absence and in the presence of tax evasion
Maria Letizia Bertotti and Giovanni Modanese
2014: Hedging Expected Losses on Derivatives in Electricity Futures Markets
Adrien Nguyen Huu and Nadia Oudjane
2014: The Integrated Size and Price Optimization Problem
Kie{\ss}ling, Miriam , Sascha Kurz and Rambau, J\"org
2014: Cross-correlation asymmetries and causal relationships between stock and market risk within linear response approximation
Stanislav S. Borysov and Alexander V. Balatsky
2014: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
Yoshihiro Yura , Hideki Takayasu , Didier Sornette and Misako Takayasu
2014: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options
Lorenz Schneider
2014: Testing for rational speculative bubbles in the Brazilian residential real-estate market
Marcelo M. de Oliveira and Alexandre C. L. Almeida
2014: Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
Sorin Solomon and Natasa Golo
2014: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
B. Podobnik , A. Majdandzic , C. Curme , Z. Qiao , W. -X. Zhou , H. E. Stanley and B. Li
2014: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking
Brian P. Hanley
2014: Self-affinity in financial asset returns
John Goddard and Enrico Onali
2014: Modeling Credit Spreads Using Nonlinear Regression
Radoslava Mirkov , Thomas Maul , Ronald Hochreiter and Holger Thomae
2014: Option Pricing of Twin Assets
Marcelo J. Villena and Axel A. Araneda
2014: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
Jarno Talponen and Lauri Viitasaari
2014: Estimate nothing
M. Duembgen and Leonard C G Rogers
2014: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
G. Papaioannou , P. Papaioannou and N. Parliaris
2014: On multicurve models for the term structure
Laura Morino and Wolfgang J. Ruggaldier
2014: Why free markets die: An evolutionary perspective
Eduardo Viegas , Stuart P. Cockburn , Henrik Jeldtoft Jensen and Geoffrey B. West
2014: On Convergence in the Spatial AK Growth Models
Gani Aldashev , Serik Aldashev and Timoteo Carletti
2014: Martingale Inequalities and Deterministic Counterparts
Beiglb\"ock, Mathias and Marcel Nutz
2014: Mathematical Foundations for the Economy of Giving
W. P. Weijland
2014: Wealth distribution and collective knowledge. A Boltzmann approach
Lorenzo Pareschi and Giuseppe Toscani
2014: A Multiple Network Approach to Corporate Governance
Fausto Bonacina , D'Errico, Marco , Enrico Moretto , Silvana Stefani and Anna Torriero
2014: Diversity of scales makes an advantage: The case of the Minority Game
Pi\v{s}t\v{e}k, Miroslav and Frantisek Slanina
2014: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
Damiano Brigo and Andrea Pallavicini
2014: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
Alfred Galichon , P. Henry-Labord\`ere, and N. Touzi
2014: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Worapree Maneesoonthorn , Catherine Scipione Forbes and Gael M. Martin
2014: Risk aggregation and stochastic claims reserving in disability insurance
Boualem Djehiche and L\"ofdahl, Bj\"orn
2014: A Creepy World
Didier Sornette and Peter Cauwels
2014: General indifference pricing with small transaction costs
Possama\"i, Dylan and Guillaume Royer
2014: Quasi-Hadamard differentiability of general risk functionals and its application
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Bartering integer commodities with exogenous prices
Stefano Nasini , Jordi Castro and Pau Fonseca Casas
2014: Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina and Cosimo Munari
2014: Hierarchicality of Trade Flow Networks Reveals Complexity of Products
Peiteng Shi , Jiang Zhang , Bo Yang and Jingfei Luo
2014: When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and their Regulation
James J. Angel
2014: Efficient tree methods for pricing digital barrier options
Elisa Appolloni and Andrea Ligori
2014: Bayesian analysis of redistribution policy with a fixed scale
Guy Cirier
2014: Complex temporal structure of activity in on-line electronic auctions
Frantisek Slanina
2014: Mutual Information Rate-Based Networks in Financial Markets
Paweł Fiedor
2014: Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
2014: Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile
Nassim Nicholas Taleb
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
Masaaki Fujii and Akihiko Takahashi
2014: Refined wing asymptotics for the Merton and Kou jump diffusion models
Stefan Gerhold , Johannes F. Morgenbesser and Axel Zrunek
2014: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
Tao Xiong , Yukun Bao and Zhongyi Hu
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
Li-Xin Wang
2014: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
Li-Xin Wang
2014: Pricing of basket options I
Alexander Kushpel
2014: Informational Efficiency under Short Sale Constraints
Robert A Jarrow and Martin Larsson
2014: An efficient algorithm for the calculation of non-unit linked reserves
Mark Tucker and J. Mark Bull
2014: Optimal consumption and portfolio choice with ambiguity
Qian Lin and Frank Riedel
2014: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula
Luxi Chen
2014: Measures of Causality in Complex Datasets with application to financial data
Anna Zaremba and Tomaso Aste
2014: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series
Chih-Hao Lin , Chia-Seng Chang and Sai-Ping Li
2014: Second order statistics characterization of Hawkes processes and non-parametric estimation
Emmanuel Bacry and Jean-Francois Muzy
2014: Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch and Ronnie Sircar
2014: Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme , Michele Tumminello , Rosario N. Mantegna , H. Eugene Stanley and Dror Y. Kenett
2014: Accelerated Share Repurchase: pricing and execution strategy
Gu\'eant, Olivier , Jiang Pu and Guillaume Royer
2014: Option pricing and hedging with execution costs and market impact
Gu\'eant, Olivier and Jiang Pu
2014: A statistical physics perspective on criticality in financial markets
Thomas Bury
2014: Prospect Agents and the Feedback Effect on Price Fluctuations
Yipeng Yang and Allanus Tsoi
2014: Local Variance Gamma and Explicit Calibration to Option Prices
Peter Carr and Sergey Nadtochiy
2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions
Sergey Nadtochiy and Michael Tehranchi
2014: The Skin In The Game Heuristic for Protection Against Tail Events
Nassim N. Taleb and Constantine Sandis
2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving
William L. Gottesman , Andrew James Reagan and Peter Sheridan Dodds
2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises
Andreas Joseph , Stephan Joseph and Guanrong Chen
2014: Model-free CPPI
Alexander Schied
2014: Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
Ob{\l}\'oj, Jan and Peter Spoida
2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
Matthew Ames , Guillaume Bagnarosa and Gareth W. Peters
2014: Rationalizing Investors Choice
Carole Bernard , Jit Seng Chen and Steven Vanduffel
2014: Leverage-induced systemic risk under Basle II and other credit risk policies
Sebastian Poledna , Stefan Thurner , J. Doyne Farmer and John Geanakoplos
2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
Audrone Virbickaite , Aus\'in, M. Concepci\'on and Pedro Galeano
2014: Generalised central limit theorems for growth rate distribution of complex systems
Misako Takayasu , Hayafumi Watanabe and Hideki Takayasu
2014: Second-order BSDEs with general reflection and game options under uncertainty
Anis Matoussi , Lambert Piozin and Possama\"i, Dylan
2014: Market structure explained by pairwise interactions
Thomas Bury
2014: Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque , Matthew Lorig and Ronnie Sircar
2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
Paolo Guasoni and Gu Wang
2014: On Global Stability of Financial Networks
Bhaskar DasGupta and Lakshmi Kaligounder
2014: Statistical pairwise interaction model of stock market
Thomas Bury
2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky , Johannes Muhle-Karbe and Walter Schachermayer
2014: Price manipulation in a market impact model with dark pool
Kl\"ock, Florian , Alexander Schied and Yuemeng Sun
2014: Comparative and qualitative robustness for law-invariant risk measures
Kr\"atschmer, Volker , Alexander Schied and Z\"ahle, Henryk
2014: Capital requirements with defaultable securities
Walter Farkas , Pablo Koch-Medina and Cosimo Munari
2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
Boris Ettinger , Steven N. Evans and Alexandru Hening
2014: A model for a large investor trading at market indifference prices. II: continuous-time case
Peter Bank and Dmitry Kramkov
2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
2014: A Coupled Markov Chain Approach to Credit Risk Modeling
David Wozabal and Ronald Hochreiter