# Papers
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- 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: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
*Leopoldo Catania* and *Anna Gloria Bill\'e*
- 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: 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: 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: Modeling the relation between income and commuting distance
*Giulia Carra*, *Ismir Mulalic*, *Mogens Fosgerau* and *Marc Barthelemy*
- 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: Should employers pay their employees better?
*Sebastien Valeyre*, *Denis Grebenkov*, *Qian Liu*, *Sofiane Aboura* and *Francois Bonnin*
- 2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications
*Dariusz Zawisza*
- 2016: Tail Risk Premia for Long-Term Equity Investors
*Johannes Rauch* and *Carol Alexander*
- 2016: A Tale of Two Consequences
*Ravi Kashyap*
- 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: Stock loans with liquidation
*Parsiad Azimzadeh*
- 2016: Portfolio optimization under dynamic risk constraints
*Imke H\"ofers* and *Ralf Wunderlich*
- 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: 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: A simple agent-based spatial model of the economy: tools for policy
*Bernardo Furtado* and *Isaque Daniel Rocha Eberhardt*
- 2016: Trading Networks with Bilateral Contracts
*Tam\'as Fleiner*, *Zsuzsanna Jank\'o*, *Akihisa Tamura* and *Alexander Teytelboym*
- 2016: Optimal trading strategies - a time series approach
*Peter A. Bebbington* and *Reimer Kuehn*
- 2016: Inequality measures in kinetic exchange models of wealth distributions
*Asim Ghosh*, *Arnab Chatterjee*, *Jun-ichi Inoue* and *Bikas K. Chakrabarti*
- 2016: Super-replication in Extremely Incomplete Markets
*Yan Dolinsky* and *Ariel Neufeld*
- 2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach
*Maojiao Ye* and *Guoqiang Hu*
- 2016: Estimation of integrated quadratic covariation with endogenous sampling times
*Yoann Potiron* and *Per Mykland*
- 2016: Time-consistency of risk measures with GARCH volatilities and their estimation
*Claudia Kl\"uppelberg* and *Jianing Zhang*
- 2016: Risk Sensitive Control of the Lifetime Ruin Problem
*Erhan Bayraktar* and *Asaf Cohen*
- 2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
*Erhan Bayraktar* and *Zhou Zhou*
- 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: 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: Implicit transaction costs and the fundamental theorems of asset pricing
*Erindi Allaj*
- 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: Model-Free Discretisation-Invariant Swap Contracts
*Carol Alexander* and *Johannes Rauch*
- 2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
*Ricardo T. Fernholz*
- 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: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
*J\"orn Sass*, *Dorothee Westphal* and *Ralf Wunderlich*
- 2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes
*Adil Yilmaz* and *Gazanfer Unal*
- 2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation
*Juan M. Romero* and *Jorge Bautista*
- 2016: Predicting Human Cooperation
*John J. Nay* and *Yevgeniy Vorobeychik*
- 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: Moment explosions, implied volatility and local volatility at extreme strikes
*Sidi Mohamed Aly*
- 2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
*Thomas Knispel*, *Roger J. A. 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 value of foresight
*Philip Ernst*, *L. C. G. Rogers* and *Quan Zhou*
- 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: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product
*Ron W Nielsen*
- 2016: Crunching Mortality and Annuity Portfolios with extended CreditRisk+
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 2016: A nonlinear impact: evidences of causal effects of social media on market prices
*Th\'arsis T. P. Souza* and *Tomaso Aste*
- 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: Fighting Uncertainty with Uncertainty
*Ravi Kashyap*
- 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: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model
*Arash Fahim* and *Lingjiong Zhu*
- 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: Dependence of technological improvement on artifact interactions
*Subarna Basnet* and *Christopher L. Magee*
- 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: Extended Abstract: Neural Networks for Limit Order Books
*Justin Sirignano*
- 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: Unified Growth Theory Contradicted by the Economic Growth in Latin America
*Ron W Nielsen*
- 2016: Teaching Economics and Providing Visual "Big Pictures"
*Seyyed Ali Zeytoon Nejad Moosavian*
- 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: 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: A unified view of LIBOR models
*Kathrin Glau*, *Zorana Grbac* and *Antonis Papapantoleon*
- 2016: Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation
*Sergii Kuchuk-Iatsenko* and *Yuliya Mishura*
- 2016: 101 Formulaic Alphas
*Zura Kakushadze*, *Geoffrey Lauprete* and *Igor Tulchinsky*
- 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: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model
*Aur\'elien Hazan*
- 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: 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: Hyperinflation in Brazil, Israel, and Nicaragua revisited
*M. A. Szybisz* and *L. Szybisz*
- 2016: On a Generalization of Markowitz Preference Relation
*Valentin Vankov Iliev*
- 2016: Discerning Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data
*Richard Y. Chen* and *Per A. Mykland*
- 2016: Optimal Control of Conditional Value-at-Risk in Continuous Time
*Christopher W. Miller* and *Insoon Yang*
- 2016: Pathwise probability-free It\^o integral
*Vladimir Vovk*
- 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: Financial Models with Defaultable Num\'eraires
*Travis Fisher*, *Sergio Pulido* and *Johannes Ruf*
- 2016: Pathwise no-arbitrage in a class of Delta hedging strategies
*Alexander Schied* and *Iryna Voloshchenko*
- 2016: An elementary approach to the option pricing problem
*Nikolaos Halidias*
- 2016: Affine representations of fractional processes with applications in mathematical finance
*Philipp Harms* and *David Stefanovits*
- 2016: Universal portfolios in stochastic portfolio theory
*Ting-Kam Leonard Wong*
- 2016: Kriging Metamodels for Bermudan Option Pricing
*Michael Ludkovski*
- 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: Detecting the bipartite World Trade Web evolution across 2007: a motifs-based analysis
*Fabio Saracco*, *Riccardo Di Clemente*, *Andrea Gabrielli* and *Tiziano Squartini*
- 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: The gradual evolution of the interfirm buyer--seller network and its role in aggregate fluctuations
*Ryohei Hisano*, *Tsutomu Watanabe*, *Takayuki Mizuno*, *Takaaki Ohnishi* and *Didier Sornette*
- 2016: Record statistics for random walk bridges
*Claude Godreche*, *Satya N. Majumdar* and *Gregory Schehr*
- 2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$
*Jonas Hirz*, *Uwe Schmock* and *Pavel V. Shevchenko*
- 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: Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors
*Jos\'e Miguel Zapata*
- 2016: Solving finite time horizon Dynkin games by optimal switching
*Randall Martyr*
- 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: 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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