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2016: Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact Downloads
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 Downloads
Ling-Yun He and Xing-Chun Wen
2016: The asset price bubbles in emerging financial markets: a new statistical approach Downloads
Shu-Peng Chen and Ling-Yun He
2016: Asymptotic of Non-Crossings probability of Additive Wiener Fields Downloads
Pingjin Deng
2016: Techniques for multifractal spectrum estimation in financial time series Downloads
Petr Jizba and Jan Korbel
2016: Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation Downloads
Amine Ismail and Huy\^en Pham
2016: Centrality measures in networks based on nodes attributes, long-range interactions and group influence Downloads
F. Aleskerov, N. Meshcheryakova and S. Shvydun
2016: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting Downloads
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 Downloads
A. Belenky and L. Egorova
2016: Price Dynamics Via Expectations, and the Role of Money Therein Downloads
Gesine A. Steudle, Saini Yang and Carlo C. Jaeger
2016: Network reconstruction via density sampling Downloads
Tiziano Squartini, Giulio Cimini, Andrea Gabrielli and Diego Garlaschelli
2016: Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression Downloads
Ning Xu, Jian Hong and Timothy Fisher
2016: Detection of intensity bursts using Hawkes processes: an application to high frequency financial data Downloads
Marcello Rambaldi, Vladimir Filimonov and Fabrizio Lillo
2016: Urban-rural gap and poverty traps in China: A prefecture level analysis Downloads
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 Downloads
Kristoffer Lindensj\"o
2016: Uncertainty Estimates in the Heston Model via Fisher Information Downloads
Oliver Pfante and Nils Bertschinger
2016: Time-Varying Comovement of Foreign Exchange Markets Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2016: The Fatou Property under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2016: Time value of extra information against its timely value Downloads
N. Serhan Aydin
2016: Optimal Consumption and Investment with Fixed and Proportional Transaction Costs Downloads
Albert Altarovici, Max Reppen and H. Mete Soner
2016: A framework for analyzing contagion in assortative banking networks Downloads
Thomas R. Hurd, James P. Gleeson and Sergey Melnik
2016: On Origins of Bubbles Downloads
Zura Kakushadze
2016: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Downloads
J. D. Opdyke and Kirill Mayorov
2016: Epidemics of Liquidity Shortages in Interbank Markets Downloads
Giuseppe Brandi, Riccardo Di Clemente and Giulio Cimini
2016: Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model Downloads
R\'uben Sousa, Ana Bela Cruzeiro and Manuel Guerra
2016: Option pricing with Legendre polynomials Downloads
Julien Hok
2016: Dependent Defaults and Losses with Factor Copula Models Downloads
Damien Ackerer and Thibault Vatter
2016: Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models Downloads
F Blasques, P Gorgi, S Koopman and O Wintenberger
2016: Volatility Smile as Relativistic Effect Downloads
Zura Kakushadze
2016: Multiple risk factor dependence structures: Copulas and related properties Downloads
Jianxi Su and Edward Furman
2016: Efficient Valuation of SCR via a Neural Network Approach Downloads
Seyed Amir Hejazi and Kenneth R. Jackson
2016: Trading against disorderly liquidation of a large position under asymmetric information and market impact Downloads
Caroline Hillairet, Cody Hyndman, Ying Jiao and Renjie Wang
2016: Mixture Diffusion for Asset Pricing Downloads
Xin Liu
2016: The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet? Downloads
Ananjan Bhattacharyya and Abhijeet Chandra
2016: Information inefficiency in a random linear economy model Downloads
Joao Pedro Jerico and Renato Vicente
2016: A Duality Result for Robust Optimization with Expectation Constraints Downloads
Christopher W. Miller
2016: Taylor's Law of temporal fluctuation scaling in stock illiquidity Downloads
Qing Cai, Hai-Chuan Xu and Wei-Xing Zhou
2016: Exponential utility maximization under model uncertainty for unbounded endowments Downloads
Daniel Bartl
2016: Inventory growth cycles with debt-financed investment Downloads
Matheus Grasselli and Adrien Nguyen-Huu
2016: Sharpe portfolio using a cross-efficiency evaluation Downloads
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 Downloads
Likuan Qin and Vadim Linetsky
2016: A hybrid approach to assess systemic risk in financial networks Downloads
Daniele Petrone and Vito Latora
2016: Long-Term Factorization of Affine Pricing Kernels Downloads
Likuan Qin and Vadim Linetsky
2016: Exponential functionals of Levy processes and variable annuity guaranteed benefits Downloads
Runhuan Feng, Alexey Kuznetsov and Fenghao Yang
2016: Optimal Portfolios of Illiquid Assets Downloads
T. R. Hurd, Quentin H. Shao and Tuan Tran
2016: Decoupling the short- and long-term behavior of stochastic volatility Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2016: Volatility Inference and Return Dependencies in Stochastic Volatility Models Downloads
Oliver Pfante and Nils Bertschinger
2016: The complex dynamics of products and its asymptotic properties Downloads
Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero
2016: Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency Downloads
Charles-Albert Lehalle and Othmane Mounjid
2016: Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016 Downloads
Rui Menezes and Sonia Bentes
2016: XVA at the Exercise Boundary Downloads
Andrew Green and Chris Kenyon
2016: Robust Optimal Investment in Discrete Time for Unbounded Utility Function Downloads
Laurence Carassus and Romain Blanchard
2016: Crises and Physical Phases of a Bipartite Market Model Downloads
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 Downloads
Christof Henkel
2016: Multivariate Mixed Tempered Stable Distribution Downloads
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri and Edit Rroji
2016: Option-Based Pricing of Wrong Way Risk for CVA Downloads
Chris Kenyon and Andrew Green
2016: Electoral Systems Used around the World Downloads
Siamak F. Shahandashti
2016: Arbitrage without borrowing or short selling? Downloads
Jani Lukkarinen and Mikko S. Pakkanen
2016: Commodity Dynamics: A Sparse Multi-class Approach Downloads
Luca Barbaglia, Ines Wilms and Christophe Croux
2016: Numerical approximation of a cash-constrained firm value with investment opportunities Downloads
Erwan Pierre, St\'ephane Villeneuve and Xavier Warin
2016: No-arbitrage bounds for the forward smile given marginals Downloads
Sergey Badikov, Antoine Jacquier, Daphne Qing Liu and Patrick Roome
2016: A rank based mean field game in the strong formulation Downloads
Erhan Bayraktar and Yuchong Zhang
2016: Should employers pay their employees better? An asset pricing approach Downloads
Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Francois Bonnin
2016: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Downloads
Masaaki Fujii and Akihiko Takahashi
2016: Sparse Mean-Variance Portfolios: A Penalized Utility Approach Downloads
David Puelz, P. Richard Hahn and Carlos M. Carvalho
2016: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms Downloads
Jean-David Fermanian, Olivier Gu\'eant and Jiang Pu
2016: Loss-Deviation risk measures Downloads
Marcelo Brutti Righi
2016: Moral hazard under ambiguity Downloads
Thibaut Mastrolia and Dylan Possama\"i
2016: A simple agent-based spatial model of the economy: tools for policy Downloads
Bernardo Furtado and Isaque Daniel Rocha Eberhardt
2016: Identifying collusion groups using spectral clustering Downloads
Suneel Sarswat, Kandathil Mathew Abraham and Subir Kumar Ghosh
2016: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals Downloads
Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovicius, Boris Podobnik and H. Eugene Stanley
2016: Diversification Preferences in the Theory of Choice Downloads
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 Downloads
Zachary Feinstein and Fatena El-Masri
2016: The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates Downloads
Francesca Biagini, Alessandro Gnoatto and Maximilian H\"artel
2016: Sensitivity and Computational Complexity in Financial Networks Downloads
Brett Hemenway and Sanjeev Khanna
2016: Measures of Systemic Risk Downloads
Zachary Feinstein, Birgit Rudloff and Stefan Weber
2016: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing Downloads
Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer
2016: Quasi-Centralized Limit Order Books Downloads
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 Downloads
Andrei Cozma, Matthieu Mariapragassam and Christoph Reisinger
2016: The asymptotic smile of a multiscaling stochastic volatility model Downloads
Francesco Caravenna and Jacopo Corbetta
2016: Long Term Risk: A Martingale Approach Downloads
Likuan Qin and Vadim Linetsky
2016: Stochastic Analysis Seminar on Filtering Theory Downloads
Andrew Papanicolaou
2016: A remark on Gatheral's 'most-likely path approximation' of implied volatility Downloads
Martin Keller-Ressel and Josef Teichmann
2016: Optimal trading policies for wind energy producer Downloads
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 Downloads
David R Walwyn
2016: Biased Roulette Wheel: A Quantitative Trading Strategy Approach Downloads
Giancarlo Salirrosas Mart\'inez
2016: The Role of Rating and Loan Characteristics in Online Microfunding Behaviors Downloads
Gaurav Paruthi, Enrique Frias-Martinez and Vanessa Frias-Martinez
2016: A stylized model for wealth distribution Downloads
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 Downloads
V. Sasidevan, Appilineni Kushal and Sitabhra Sinha
2016: Clustering Approaches for Financial Data Analysis: a Survey Downloads
Fan Cai, Nhien-An Le-Khac and Tahar Kechadi
2016: Strongly Consistent Multivariate Conditional Risk Measures Downloads
Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland
2016: Risk-Consistent Conditional Systemic Risk Measures Downloads
Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland
2016: Short Maturity Asian Options in Local Volatility Models Downloads
Dan Pirjol and Lingjiong Zhu
2016: Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options Downloads
Dan Pirjol and Lingjiong Zhu
2016: Gated Neural Networks for Option Pricing: Rationality by Design Downloads
Yongxin Yang, Yu Zheng and Timothy M. Hospedales
2016: Multivariate GARCH for a large number of stocks Downloads
Matthias Raddant and Friedrich Wagner
2016: Data-driven nonlinear expectations for statistical uncertainty in decisions Downloads
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 Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2016: Bounds for VIX Futures given S&P 500 Smiles Downloads
Julien Guyon, Romain Menegaux and Marcel Nutz
2016: Static vs adapted optimal execution strategies in two benchmark trading models Downloads
Damiano Brigo and Clement Piat
2016: Replica Analysis for the Duality of the Portfolio Optimization Problem Downloads
Takashi Shinzato
2016: Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016 Downloads
Barack Wamkaya Wanjawa
2016: The microstructural foundations of leverage effect and rough volatility Downloads
El Euch Omar, Fukasawa Masaaki and Rosenbaum Mathieu
2016: Export dynamics as an optimal growth problem in the network of global economy Downloads
Michele Caraglio, Fulvio Baldovin and Attilio L. Stella
2016: Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results Downloads
Alan Roncoroni and Matus Medo
2016: Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility Downloads
Tanmay S. Patankar
2016: Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model Downloads
Shanshan Wang and Thomas Guhr
2016: Trader lead-lag networks and order flow prediction Downloads
Damien Challet, R\'emy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
2016: Price impact without order book: A study of the OTC credit index market Downloads
Zoltan Eisler and Jean-Philippe Bouchaud
2016: The joint distributions of running maximum of a Slepian processes Downloads
Pingjin Deng
2016: Entropy and efficiency of the ETF market Downloads
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 Downloads
Jonathan Yu-Meng Li
2016: SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab Downloads
Bernardo Furtado, Isaque Daniel Rocha Eberhardt and Alexandre Messa
2016: The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets Downloads
Joachim Groeger
2016: Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression Downloads
Ning Xu, Jian Hong and Timothy Fisher
2016: The Solution to Science's Replication Crisis Downloads
Bruce Knuteson
2016: Covariance of random stock prices in the Stochastic Dividend Discount Model Downloads
Arianna Agosto, Alessandra Mainini and Enrico Moretto
2016: Canonical Supermartingale Couplings Downloads
Marcel Nutz and Florian Stebegg
2016: Value at risk and the diversification dogma Downloads
Arturo Erdely
2016: Dissecting cross-impact on stock markets: An empirical analysis Downloads
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
2016: Stochastic Tail Exponent For Asymmetric Power Laws Downloads
Nassim Nicholas Taleb
2016: Generalized Autoregressive Score Models in R: The GAS Package Downloads
David Ardia, Kris Boudt and Leopoldo Catania
2016: A superhedging approach to stochastic integration Downloads
Rafa{\l} M. {\L}ochowski, Nicolas Perkowski and David J. Pr\"omel
2016: The interaction between trade and FDI: the CEE countries experience Downloads
Claudiu Albulescu and Daniel Goyeau
2016: The characteristic function of rough Heston models Downloads
Omar El Euch and Mathieu Rosenbaum
2016: The loss of interest for the euro in Romania Downloads
Claudiu Albulescu and Dominique P\'epin
2016: The dividend problem with a finite horizon Downloads
Tiziano De Angelis and Erik Ekstr\"om
2016: Criteria for the Absense and Existence of Arbitrage in Multidimensional Diffusion Models Downloads
David Criens
2016: Securities Lending Strategies, Valuation of Term Loans using Option Theory Downloads
Ravi Kashyap
2016: Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model Downloads
Jean-Philippe Aguilar and Cyril Coste
2016: Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions Downloads
Antoine Emil Zambelli
2016: Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity Downloads
Mourad Lazgham
2016: Are Order Anticipation Strategies Harmful? A Theoretical Approach Downloads
Elias Strehle
2016: On Jensen's inequality for generalized Choquet integral with an application to risk aversion Downloads
Wioletta Szeligowska and Marek Kaluszka
2016: Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2016: An adjoint method for the exact calibration of Stochastic Local Volatility models Downloads
Maarten Wyns and Karel in 't Hout
2016: Discrete hierarchy of sizes and performances in the exchange-traded fund universe Downloads
Benjamin Vandermarliere, Jan Ryckebusch, Koen Schoors, Peter Cauwels and Didier Sornette
2016: Financial Market Dynamics: Superdiffusive or not? Downloads
Sandhya Devi
2016: L\'evy-Vasicek Models and the Long-Bond Return Process Downloads
Dorje C. Brody, Lane P. Hughston and David M. Meier
2016: Arbitrage and utility maximization in market models with an insider Downloads
Ngoc Huy Chau, Wolfgang Runggaldier and Peter Tankov
2016: Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples Downloads
Michael A. Kouritzin
2016: Dynamics of rapid innovation Downloads
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? Downloads
Gareth W. Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
2016: Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance Downloads
Byung-Geun Choi, Napat Rujeerapaiboon and Ruiwei Jiang
2016: Mean field games of timing and models for bank runs Downloads
Rene Carmona and Daniel Lacker
2016: Socio-economic inequality: Relationship between Gini and Kolkata indices Downloads
Arnab Chatterjee, Asim Ghosh and Bikas K Chakrabarti
2016: The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading Downloads
Donovan Platt and Tim Gebbie
2016: Utility maximization problem with random endowment and transaction costs: when wealth may become negative Downloads
Yiqing Lin and Junjian Yang
2016: Repo Pricing and Gap Risk Downloads
Wujiang Lou
2016: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes Downloads
Milan Kumar Das, Anindya Goswami and Nimit Rana
2016: Solving Society's Big Ills, A Small Step Downloads
Ravi Kashyap
2016: Statistically validated network of portfolio overlaps and systemic risk Downloads
Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente and Damien Challet
2016: Average cross-responses in correlated financial market Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Option spanning beyond $L_p$-models Downloads
Niushan Gao and Foivos Xanthos
2016: Polynomial Diffusion Models for Life Insurance Liabilities Downloads
Francesca Biagini and Yinglin Zhang
2016: Unravelling the trading invariance hypothesis Downloads
Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
2016: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Downloads
Aur\'elien Hazan
2016: Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model Downloads
Philipp Harms, David Stefanovits, Josef Teichmann and Mario V. W\"uthrich
2016: Distress propagation in complex networks: the case of non-linear DebtRank Downloads
Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti, Gianna Vivaldo and Guido Caldarelli
2016: Integration with respect to model-free price paths with jumps Downloads
Rafa{\l} M. {\L}ochowski
2016: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market Downloads
Paolo Barucca and Fabrizio Lillo
2016: On the C-property and $w^*$-representations of risk measures Downloads
Niushan Gao and Foivos Xanthos
2016: Semi-static completeness and robust pricing by informed investors Downloads
Beatrice Acciaio and Martin Larsson
2016: The pricing of contingent claims and optimal positions in asymptotically complete markets Downloads
Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
2016: On the emergence of scale-free production networks Downloads
Stanislao Gualdi and Antoine Mandel
2016: Super-replication in Fully Incomplete Markets Downloads
Yan Dolinsky and Ariel Neufeld
2016: A martingale analysis of first passage times of time-dependent Wiener diffusion models Downloads
Vaibhav Srivastava, Samuel F. Feng, Jonathan D. Cohen, Naomi Ehrich Leonard and Amitai Shenhav
2016: On the Robust Dynkin Game Downloads
Erhan Bayraktar and Song Yao
2016: On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models Downloads
David Landriault, Bin Li and Hongzhong Zhang
2016: Sharper asset ranking from total drawdown durations Downloads
Damien Challet
2016: Consistent Recalibration of Yield Curve Models Downloads
Philipp Harms, David Stefanovits, Josef Teichmann and Mario W\"uthrich
2016: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection Downloads
Ben Hambly, Matthieu Mariapragassam and Christoph Reisinger
2016: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Downloads
Umut \c{C}etin and Albina Danilova
2016: Option Pricing in an Imperfect World Downloads
Gianluca Cassese
2016: Drawdown: From Practice to Theory and Back Again Downloads
Lisa R. Goldberg and Ola Mahmoud
2016: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system Downloads
Xiaochao Qian
2016: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion Downloads
John Armstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang
2016: Double Cascade Model of Financial Crises Downloads
Thomas R. Hurd, Davide Cellai, Sergey Melnik and Quentin Shao
2016: A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory Downloads
Leonardo Bargigli, Andrea Lionetto and Stefano Viaggiu
2016: "Butterfly Effect" vs Chaos in Energy Futures Markets Downloads
Loretta Mastroeni and Pierluigi Vellucci
2016: Institutionalization in Efficient Markets: The Case of Price Bubbles Downloads
Sheen S. Levine and Edward J. Zajac
2016: Multi-period investment strategies under Cumulative Prospect Theory Downloads
Liurui Deng and Traian A. Pirvu
2016: Risk measures and Margining control Downloads
Giuseppe Carlo Calafiore and Leonardo Massai
2016: On the Market-Neutrality of Optimal Pairs-Trading Strategies Downloads
Bahman Angoshtari
2016: What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013 Downloads
Deepak Malghan and Hema Swaminathan
2016: Networks: An Economic Perspective Downloads
Matthew Jackson, Brian W. Rogers and Yves Zenou
2016: Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility Downloads
Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Matthew Lorig
2016: Rethinking Financial Contagion Downloads
Gabriele Visentin, Stefano Battiston and Marco D'Errico
2016: Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship Downloads
Neeraj and Prasanta K. Panigrahi
2016: Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach Downloads
Mansooreh Kazemilari, Maman Abdurachman Djauhari and Zuhaimy Ismail
2016: On the hedging strategies for defaultable claims under incomplete information Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: Quantile Dependence between Stock Markets and its Application in Volatility Forecasting Downloads
Heejoon Han
2016: The randomised Heston model Downloads
Antoine Jacquier and Fangwei Shi
2016: Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience Downloads
Luis Alcalá, Fernando Tohme and Carlos Dabus
2016: Fractal approach towards power-law coherency to measure cross-correlations between time series Downloads
Ladislav Krištoufek
2016: RELARM: A rating model based on relative PCA attributes and k-means clustering Downloads
Elnura Irmatova
2016: Volatility and Arbitrage Downloads
E. Robert Fernholz, Ioannis Karatzas and Johannes Ruf
2016: New economic windows on income and wealth: The k-generalized family of distributions Downloads
F. Clementi and Mauro Gallegati
2016: Optimal Switching under Ambiguity and Its Applications in Finance Downloads
Yuki Shigeta
2016: A String Model of Liquidity in Financial Markets Downloads
Henry Schellhorn and Ran Zhao
2016: The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation Downloads
Bruce M. Boghosian, Adrian Devitt-Lee and Hongyan Wang
2016: Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation Downloads
Zdzislaw Brzezniak and Tayfun Kok
2016: Poverty Index With Time Varying Consumption and Income Distributions Downloads
Amit K Chattopadhyay, T Krishna Kumar and Sushanta Mallick
2016: The structure of the climate debate Downloads
Richard Tol
2016: Consistency of option prices under bid-ask spreads Downloads
Stefan Gerhold and I. Cetin G\"ul\"um
2016: Elicitability and backtesting Downloads
Natalia Nolde and Johanna F. Ziegel
2016: A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes Downloads
V. G. Filev, P. Neykov and G. S. Vasilev
2016: Filling the gaps smoothly Downloads
Andrey Itkin and Alexander Lipton
2016: General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics Downloads
Anatoliy Swishchuk, Katharina Cera, Julia Schmidt and Tyler Hofmeister
2016: Electoral Stability and Rigidity Downloads
Michael Y. Levy
2016: Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit Downloads
Gilles Boevi Koumou
2016: Bayesian Posteriors For Arbitrarily Rare Events Downloads
Drew Fudenberg, Kevin He and Lorens Imhof
2016: Monetary economics from econophysics perspective Downloads
Victor M. Yakovenko
2016: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds Downloads
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
2016: Optimal importance sampling for L\'evy Processes Downloads
Adrien Genin and Peter Tankov
2016: Rank-optimal weighting or "How to be best in the OECD Better Life Index?" Downloads
Jan Lorenz, Christoph Brauer and Dirk A. Lorenz
2016: Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion Downloads
Luis H. R. Alvarez E. and Paavo Salminen
2016: Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk Downloads
Takashi Shinzato
2016: Time-scale effects on the gain-loss asymmetry in stock indices Downloads
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) Downloads
Peter Richmond and Bertrand M. Roehner
2016: A General Framework for Pairs Trading with a Control-Theoretic Point of View Downloads
Atul Deshpande and B. Ross Barmish
2016: Emergent organization in a model market Downloads
Avinash Chand Yadav, Kaustubh Manchanda and Ramakrishna Ramaswamy
2016: A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives Downloads
Daniel Conus and Mackenzie Wildman
2016: Some Contributions to Sequential Monte Carlo Methods for Option Pricing Downloads
Deborshee Sen, Ajay Jasra and Yan Zhou
2016: Managing counterparty credit risk via BSDEs Downloads
Andrew Lesniewski and Anja Richter
2016: Dynamic portfolio strategy using clustering approach Downloads
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 Downloads
Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li, Li-Xin Zhong and Fei Ren
2016: Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR) Downloads
Monica Billio, Roberto Casarin and Luca Rossini
2016: Another example of duality between game-theoretic and measure-theoretic probability Downloads
Vladimir Vovk
2016: Arbitrage-Free XVA Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2016: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes Downloads
Camilo Hernandez and Mauricio Junca
2016: The Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data Downloads
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2016: The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates Downloads
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2016: Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall Downloads
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2016: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data Downloads
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2016: Toward Development of a New Health Economic Evaluation Definition Downloads
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2016: A functional convergence theorem for interpolated Markov chains to an infinite dimensional diffusion Downloads
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2016: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs Downloads
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2016: Multi-factor CES Elasticity and Productivity Growth: A Cross-Sectional Approach Downloads
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2016: Efficient exposure computation by risk factor decomposition Downloads
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2016: The boundary non-Crossing probabilities for Slepian process Downloads
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2016: Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method Downloads
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2016: On the Use of Computer Programs as Money Downloads
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2016: SPDE limit of the global fluctuations in rank-based models Downloads
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2016: On optimal investment with processes of long or negative memory Downloads
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2016: A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- Downloads
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2016: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem Downloads
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2016: On American VIX options Downloads
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2016: The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios Downloads
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2016: Generalized Leverage Effects in Asset Returns Downloads
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2016: Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory Downloads
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2016: Non-concave optimal investment and no-arbitrage: a measure theoretical approach Downloads
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2016: Robust Mean-Variance Hedging via G-Expectation Downloads
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2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems Downloads
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2016: Moment explosions, implied volatility and local volatility at extreme strikes Downloads
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2016: Crunching Mortality and Annuity Portfolios with extended CreditRisk+ Downloads
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2016: A stochastic Stefan-type problem under first order boundary conditions Downloads
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2016: Uniform bounds for Black--Scholes implied volatility Downloads
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2016: Arbitrage and Hedging in model-independent markets with frictions Downloads
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2016: Sticky processes, local and true martingales Downloads
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2016: Electricity Price Forecasting using Sale and Purchase Curves: The X-Model Downloads
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2016: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer Downloads
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2016: Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk Downloads
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2016: Bridging AIC and BIC: a new criterion for autoregression Downloads
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2016: Existence of continuous euclidean embeddings for a weak class of orders Downloads
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2016: Tightness and duality of martingale transport on the Skorokhod space Downloads
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2016: Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models Downloads
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2016: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery Downloads
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2016: Optimal Skorokhod embedding under finitely-many marginal constraints Downloads
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2016: Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$ Downloads
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2016: Polynomial term structure models Downloads
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2016: Sorting in Networks: Adversity and Structure Downloads
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2016: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis Downloads
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2016: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples Downloads
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2016: Nonparametric Stochastic Discount Factor Decomposition Downloads
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2016: Path Integral and Asset Pricing Downloads
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2016: An expansion in the model space in the context of utility maximization Downloads
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2016: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics Downloads
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2016: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
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2016: Change of measure up to a random time: Details Downloads
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2016: Option pricing with linear market impact and non-linear Black and Scholes equations Downloads
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2016: Copula-Based Univariate Time Series Structural Shift Identification Test Downloads
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2016: Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma Downloads
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2016: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility Downloads
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2016: Self-organization in a distributed coordination game through heuristic rules Downloads
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2016: Modelling the impact of financialization on agricultural commodity markets Downloads
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2016: On the support of extremal martingale measures with given marginals: the countable case Downloads
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2016: Model-Independent Price Bounds for Catastrophic Mortality Bonds Downloads
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2016: Inverse Optimization of Convex Risk Functions Downloads
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2016: On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples Downloads
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2016: Systemic Risk and Stochastic Games with Delay Downloads
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2016: Effects of Sea Level Rise on Economy of the United States Downloads
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2016: Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes Downloads
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2016: Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process Downloads
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2016: A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey Downloads
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2016: Identification of market trends with string and D2-brane maps Downloads
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2016: Smoothing the payoff for efficient computation of Basket option prices Downloads
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2016: Sectoral co-movements in the Indian stock market: A mesoscopic network analysis Downloads
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2016: Extracting Geography from Trade Data Downloads
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2016: Numerical and analytical methods for bond pricing in short rate convergence models of interest rates Downloads
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2016: Statistical Industry Classification Downloads
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2016: Multiple risk factor dependence structures: Distributional properties Downloads
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2016: A form of multivariate Pareto distribution with applications to financial risk measurement Downloads
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2016: Optimal Liquidation Strategy Across Multiple Exchanges under a Jump-Diffusion Fast Mean-Reverting Model Downloads
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2016: Hedging under generalized good-deal bounds and model uncertainty Downloads
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2016: The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games Downloads
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2016: Fashion, fads and the popularity of choices: micro-foundations for non-equilibrium consumer theory Downloads
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2016: Controlling Public Debt without Forgetting Inflation Downloads
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2016: Insurance valuation: a computable multi-period cost-of-capital approach Downloads
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2016: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Downloads
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2016: Dual representations for systemic risk measures Downloads
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2016: Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals Downloads
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2016: Information uncertainty related to marked random times and optimal investment Downloads
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2016: On the time consistency of collective preferences Downloads
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2016: Deep Learning for Mortgage Risk Downloads
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2016: Fair division with divisible and indivisible items Downloads
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2016: Rating models: emerging market distinctions Downloads
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2016: Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory Downloads
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2016: Divisive-agglomerative algorithm and complexity of automatic classification problems Downloads
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2016: Tail protection for long investors: Trend convexity at work Downloads
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2016: Matrix-vector representation of various solution concepts Downloads
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2016: Toward an integrated workforce planning framework using structured equations Downloads
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2016: An ergodic BSDE approach to entropic risk measure and its large time behavior Downloads
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2016: Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework Downloads
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2016: On the American swaption in the linear-rational framework Downloads
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2016: Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction Downloads
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2016: On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy processes Downloads
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2016: Granger Independent Martingale Processes Downloads
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2016: Dynamic optimization and its relation to classical and quantum constrained systems Downloads
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2016: Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching Downloads
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2016: Utility Indifference Pricing of Insurance Catastrophe Derivatives Downloads
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2016: A probability-free and continuous-time explanation of the equity premium and CAPM Downloads
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2016: Comments on the BCBS proposal for a New Standardized Approach for Operational Risk Downloads
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2016: Recursive utility optimization with concave coefficients Downloads
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2016: Time-Inconsistent Stochastic Linear-quadratic Differential Game Downloads
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2016: Limit order trading with a mean reverting reference price Downloads
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2016: Estimation and prediction of credit risk based on rating transition systems Downloads
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2016: Network Valuation in Financial Systems Downloads
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2016: The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth Downloads
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2016: Betting and Belief: Prediction Markets and Attribution of Climate Change Downloads
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2016: Descending Price Coordinates Approximately Efficient Search Downloads
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2016: Optimal dividend payments for a two-dimensional insurance risk process Downloads
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2016: Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data Downloads
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2016: Tipping elements and climate-economic shocks: Pathways toward integrated assessment Downloads
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2016: Statistical Risk Models Downloads
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2016: On an Optimal Extraction Problem with Regime Switching Downloads
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2016: On optimal strategies for utility maximizers in the Arbitrage Pricing Model Downloads
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2016: Fighting Uncertainty with Uncertainty Downloads
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2016: Deep Learning for Limit Order Books Downloads
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2016: A unified view of LIBOR models Downloads
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2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book Downloads
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2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum Downloads
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2016: MVA Transfer Pricing Downloads
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2016: FX Options in Target Zone Downloads
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2016: A Theory of Individualism, Collectivism and Economic Outcomes Downloads
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2016: Approximate Option Pricing in the L\'evy Libor Model Downloads
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2016: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series Downloads
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2016: Hedging with Temporary Price Impact Downloads
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2016: Cointegrating Jumps: an Application to Energy Facilities Downloads
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2016: Sequential Design for Ranking Response Surfaces Downloads
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2016: Hydroassets Portfolio Management for Intraday Electricity Trading in a Discrete Time Stochastic Optimization Perspective Downloads
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2016: Detecting early signs of the 2007-2008 crisis in the world trade Downloads
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2016: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle Downloads
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2016: Risk Quantification in Stochastic Simulation under Input Uncertainty Downloads
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2016: Multivariate Shortfall Risk Allocation and Systemic Risk Downloads
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2016: Model-independent bounds for Asian options: a dynamic programming approach Downloads
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2016: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments Downloads
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2016: Optimal Stopping with Random Maturity under Nonlinear Expectations Downloads
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2016: Chebyshev Interpolation for Parametric Option Pricing Downloads
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2016: Convergence of binomial tree method and explicit difference scheme for American put options with time dependent coefficients Downloads
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2016: Pathwise super-replication via Vovk's outer measure Downloads
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2016: Sensitivity analysis for expected utility maximization in incomplete brownian market models Downloads
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2016: Risk Sensitive Control of the Lifetime Ruin Problem Downloads
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2016: An equilibrium model for spot and forward prices of commodities Downloads
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2016: Equilibrium in risk-sharing games Downloads
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2016: Regulatory Capital Modelling for Credit Risk Downloads
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2016: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia Downloads
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2016: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That Downloads
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2016: Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method Downloads
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2016: Comeback kids: an evolutionary approach of the long-run innovation process Downloads
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2016: General smile asymptotics with bounded maturity Downloads
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2016: GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk Downloads
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2016: Banach geometry of arbitrage free markets Downloads
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2016: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments Downloads
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2016: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$ Downloads
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2016: Paths and indices of maximal tail dependence Downloads
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2016: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI Downloads
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2016: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
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2016: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation Downloads
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2016: Multivariate risk measures: a constructive approach based on selections Downloads
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2016: A mathematical model for a gaming community Downloads
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2016: Fake Brownian motion and calibration of a Regime Switching Local Volatility model Downloads
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2016: Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information Downloads
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2016: A multilayer approach for price dynamics in financial markets Downloads
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2016: Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement Downloads
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2016: Replica approach to mean-variance portfolio optimization Downloads
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2016: Complex Systems and a Computational Social Science Perspective on the Labor Market Downloads
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2016: An agent behavior based model for diffusion price processes with application to phase transition and oscillations Downloads
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2016: A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities Downloads
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2016: Stock markets reconstruction via entropy maximization driven by fitness and density Downloads
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2016: Spread, volatility, and volume relationship in financial markets and market making profit optimization Downloads
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2016: Skorohod's representation theorem and optimal strategies for markets with frictions Downloads
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2016: Validation of the Replica Trick for Simple Models Downloads
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2016: A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor Downloads
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2016: Brexit or Bremain ? Evidence from bubble analysis Downloads
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2016: A mathematical model of demand-supply dynamics with collectability and saturation factors Downloads
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2016: Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options Downloads
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2016: An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems Downloads
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2016: Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms? Downloads
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2016: Using String Invariants for Prediction Searching for Optimal Parameters Downloads
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2016: A new decomposition of portfolio return Downloads
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2016: Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations Downloads
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2016: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact Downloads
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2016: The multiplex dependency structure of financial markets Downloads
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2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions Downloads
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2016: The Sound of Silence: equilibrium filtering and optimal censoring in financial markets Downloads
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2016: Kolmogorov Space in Time Series Data Downloads
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2016: Exact Smooth Term Structure Estimation Downloads
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2016: Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring Downloads
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2016: Incentivizing Resilience in Financial Networks Downloads
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2016: Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading Downloads
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2016: Optimal Resource Extraction in Regime Switching L\'{e}vy Markets Downloads
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2016: Model-free portfolio theory and its functional master formula Downloads
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2016: The study of Thai stock market across the 2008 financial crisis Downloads
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2016: A non-equilibrium formulation of food security resilience Downloads
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2016: A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine Downloads
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2016: On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis Downloads
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2016: The Zero-Coupon Rate Model for Derivatives Pricing Downloads
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2016: A data driven network approach to rank countries production diversity and food specialization Downloads
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2016: World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive Downloads
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2016: The space of outcomes of semi-static trading strategies need not be closed Downloads
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2016: Price formation on a housing market and spatial income segregation Downloads
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2016: Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso Downloads
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2016: Trading VIX Futures under Mean Reversion with Regime Switching Downloads
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2016: Risk Arbitrage and Hedging to Acceptability Downloads
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2016: Pathwise Iteration for Backward SDEs Downloads
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2016: The Jacobi Stochastic Volatility Model Downloads
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2016: Optimal market making Downloads
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2016: Factor Models for Cancer Signatures Downloads
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2016: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model Downloads
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2016: How to Combine a Billion Alphas Downloads
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2016: Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs Downloads
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2016: Backtesting Lambda Value at Risk Downloads
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2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences Downloads
Ricardo Fernholz
2016: Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model Downloads
Zorana Grbac, Laura Meneghello and Wolfgang J. Runggaldier
2016: Purely pathwise probability-free Ito integral Downloads
Vladimir Vovk
2016: Optimal Real-Time Bidding Strategies Downloads
Joaquin Fernandez-Tapia, Olivier Gu\'eant and Jean-Michel Lasry
2016: Equilibrium pricing under relative performance concerns Downloads
Jana Bielagk, Arnaud Lionnet and Goncalo Dos Reis
2016: Latency and liquidity provision in a limit order book Downloads
Julius Bonart and Martin Gould
2016: Foundations for Wash Sales Downloads
Phillip G. Bradford
2016: Pathwise no-arbitrage in a class of Delta hedging strategies Downloads
Alexander Schied and Iryna Voloshchenko
2016: Dynamic programming approach to principal-agent problems Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2016: Law invariant risk measures and information divergences Downloads
Daniel Lacker
2016: Analysis of Markovian Competitive Situations using Nonatomic Games---the Shock-driven Case and Its Dynamic Pricing Application Downloads
Jian Yang
2016: A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts Downloads
Jian Yang
2016: Optimal growth trajectories with finite carrying capacity Downloads
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli and Cozmin Ududec
2016: Retarded action principle and self-financing portfolio dynamics Downloads
Dmitry Lesnik
2016: Reputational Learning and Network Dynamics Downloads
Simpson Zhang and Mihaela van der Schaar
2016: Estimation of integrated quadratic covariation with endogenous sampling times Downloads
Yoann Potiron and Per Mykland
2016: Complete Duality for Martingale Optimal Transport on the Line Downloads
Mathias Beiglb\"ock, Marcel Nutz and Nizar Touzi
2016: Resolute refinements of social choice correspondences Downloads
Daniela Bubboloni and Michele Gori
2016: Semimartingale detection and goodness-of-fit tests Downloads
Adam D. Bull
2016: The Temporal Dimension of Risk Downloads
Ola Mahmoud
2016: Conditional Analysis and a Principal-Agent problem Downloads
Julio Backhoff and Ulrich Horst
2016: A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations Downloads
Polynice Oyono Ngou and Cody Hyndman
2016: An $\alpha$-stable limit theorem under sublinear expectation Downloads
Erhan Bayraktar and Alexander Munk
2016: Fragility of the Commons under Prospect-Theoretic Risk Attitudes Downloads
Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2016: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2016: Pathwise stochastic integrals for model free finance Downloads
Nicolas Perkowski and David J. Pr\"omel
2016: Varadhan's formula, conditioned diffusions, and local volatilities Downloads
Stefano De Marco and Peter Friz
2016: Deriving Derivatives Downloads
Andrei N. Soklakov
2016: Option Pricing under Heston Stochastic Volatility Model using Discontinuous Galerkin Finite Elements Downloads
Sinem Kozp{\i}nar, Murat Uzunca, Yeliz Yolcu Okur and B\"ulent Karas\"ozen
2016: Note on level r consensus Downloads
Nikolay Poliakov
2016: Local Operators in Kinetic Wealth Distribution Downloads
M. Andrecut
2016: Credit allocation based on journal impact factor and coauthorship contribution Downloads
Javier E. Contreras-Reyes
2016: Endogenous Formation of Limit Order Books: Dynamics Between Trades Downloads
Roman Gayduk and Sergey Nadtochiy
2016: A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting Downloads
Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
2016: A Mean Field Game of Optimal Stopping Downloads
Marcel Nutz
2016: What does past correlation structure tell us about the future? An answer from network filtering Downloads
Nicol\'o Musmeci, Tomaso Aste and Tiziana Di Matteo
2016: Modelling Trading Networks and the Role of Trust Downloads
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? Downloads
Anirban Chakraborti, Dhruv Raina and Kiran Sharma
2016: The race for boats Downloads
Christian Mullon and Charles Mullon
2016: Contracting theory with competitive interacting agents Downloads
Romuald Elie and Dylan Possama\"i
2016: Foreign exchange risk premia: from traditional to state-space analyses Downloads
Siwat Nakmai
2016: Generalized Subjective Lexicographic Expected Utility Representation Downloads
Hugo Cruz-Sanchez
2016: Linear Credit Risk Models Downloads
Damien Ackerer and Damir Filipovi\'c
2016: Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index Downloads
Dhanya Jothimani, Ravi Shankar and Surendra S. Yadav
2016: Deep Portfolio Theory Downloads
J. B. Heaton, N. G. Polson and J. H. Witte
2016: A note on optimal expected utility of dividend payments with proportional reinsurance Downloads
Xiaoqing Liang and Zbigniew Palmowski
2016: Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints Downloads
Takashi Shinzato
2016: Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics Downloads
Takashi Shinzato
2016: Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed Downloads
Takashi Shinzato
2016: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets Downloads
Lisana B. Martinez, M. Belen Guercio, Aurelio Fernandez Bariviera and Antonio Terce\~no
2016: Hedging with Small Uncertainty Aversion Downloads
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
2016: BSDEs with mean reflection Downloads
Philippe Briand, Romuald Elie and Ying Hu
2016: Some Mathematical Aspects of Price Optimisation Downloads
Y. Bai, E. Hashorva, G. Ratovomirija and M. Tamraz
2016: Recursive utility maximization under partial information Downloads
Shaolin Ji and Xiaomin Shi
2016: Far from equilibrium: Wealth reallocation in the United States Downloads
Yonatan Berman, Ole Peters and Alexander Adamou
2016: Elections in Russia, 1991-2008 Downloads
Daniel Treisman
2016: Wrong-Way Risk Models: A Comparison of Analytical Exposures Downloads
Fr\'ed\'eric Vrins
2016: Optimality of two-parameter strategies in stochastic control Downloads
Kazutoshi Yamazaki
2016: Quantum theory of securities price formation in financial markets Downloads
Jack Sarkissian
2016: Extended nonlinear feedback model for describing episodes of high inflation Downloads
M A Szybisz and L Szybisz
2016: Stochastic Effects in a Discretized Kinetic Model of Economic Exchange Downloads
M. L. Bertotti, A. K. Chattopadhyay and G. Modanese
2016: Learning zero-cost portfolio selection with pattern matching Downloads
Tim Gebbie and Fayyaaz Loonat
2016: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums Downloads
Ewa Marciniak and Zbigniew Palmowski
2016: Knight--Walras Equilibria Downloads
Patrick Beissner and Frank Riedel
2016: Empowering cash managers to achieve cost savings by improving predictive accuracy Downloads
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 Downloads
Takashi Kato
2016: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering Downloads
Erhan Bayraktar and Alexander Munk
2016: Survey on log-normally distributed market-technical trend data Downloads
Ren\'e Kempen and Stanislaus Maier-Paape
2016: Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate Downloads
Martin Gremm
2016: Economic Development and Inequality: a complex system analysis Downloads
Angelica Sbardella, Emanuele Pugliese and Luciano Pietronero
2016: Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model Downloads
Siyan Zhang, Anna L. Mazzucato and Victor Nistor
2016: Stochastic Portfolio Theory: A Machine Learning Perspective Downloads
Yves-Laurent Kom Samo and Alexander Vervuurt
2016: Robust framework for quantifying the value of information in pricing and hedging Downloads
Anna Aksamit, Zhaoxu Hou and Jan Ob\l\'oj
2016: Generalized semi-Markovian dividend discount model: risk and return Downloads
Guglielmo D'Amico
2016: Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors Downloads
Sujay Mukhoti and Pritam Ranjan
2016: Coherence and incoherence collective behavior in financial market Downloads
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 Downloads
Donya Rahmani, Saeed Heravi, Hossein Hassani and Mansi Ghodsi
2016: Unbiased Monte Carlo Simulation of Diffusion Processes Downloads
Louis Paulot
2016: The Accounting Network: how financial institutions react to systemic crisis Downloads
Andrea Flori, Giuseppe Pappalardo, Michelangelo Puliga, Alessandro Chessa and Fabio Pammolli
2016: The wage transition in developed countries and its implications for China Downloads
Belal Baaquie, Bertrand M. Roehner and Qinghai Wang
2016: Is it "natural" to expect Economics to become a part of the Natural Sciences? Downloads
Arnab Chatterjee
2016: Modeling and Simulation of the Economics of Mining in the Bitcoin Market Downloads
Luisanna Cocco and Michele Marchesi
2016: No-arbitrage and hedging with liquid American options Downloads
Erhan Bayraktar and Zhou Zhou
2016: Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics Downloads
A. Paliathanasis, R. M. Morris and P. G. L. Leach
2016: Regrets, learning and wisdom Downloads
Damien Challet
2016: On Optimal Retirement (How to Retire Early) Downloads
Philip Ernst, Dean Foster and Larry Shepp
2016: The Local Fractional Bootstrap Downloads
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen
2016: Revisiting a Theorem of L.A. Shepp on Optimal Stopping Downloads
Philip Ernst and Larry Shepp
2016: Why have asset price properties changed so little in 200 years Downloads
Jean-Philippe Bouchaud and Damien Challet
2016: A unified pricing of variable annuity guarantees under the optimal stochastic control framework Downloads
Pavel V. Shevchenko and Xiaolin Luo
2016: Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options Downloads
Jan Kuklinski and Kevin Tyloo
2016: Density forecasting comparison of volatility models Downloads
Leopoldo Catania and Nima Nonejad
2016: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty Downloads
Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward
2016: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything Downloads
Ravi Kashyap
2016: Stochastic Perron for Stochastic Target Problems Downloads
Erhan Bayraktar and Jiaqi Li
2016: Getting rich quick with the Axiom of Choice Downloads
Vladimir Vovk
2016: Microstructure under the Microscope: Combining Dimension Reduction, Distance Measures and Covariance Downloads
Ravi Kashyap
2016: The unresolved mystery of the great divergence is solved Downloads
Ron W Nielsen
2016: First Order BSPDEs: examples in higher dimension Downloads
Nikolai Dokuchaev
2016: Optimal Liquidation under Stochastic Resilience of Price Impact Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2016: Tukey's Transformational Ladder for Portfolio Management Downloads
Philip Ernst, James Thompson and Yinsen Miao
2016: Sharp convex bounds on the aggregate sums--An alternative proof Downloads
Chuancun Yin and Dan Zhu
2016: Strength of weak layers in cascading failures on multiplex networks: case of the international trade network Downloads
Kyu-Min Lee and Kwang-Il Goh
2016: Securities Lending Strategies, Exclusive Auction Bids Downloads
Ravi Kashyap
2016: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
Ravi Kashyap
2016: Comonotonic risk measures in a world without risk-free assets Downloads
Pablo Koch-Medina, Cosimo Munari and Gregor Svindland
2016: Modeling the relation between income and commuting distance Downloads
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 Downloads
Ravi Kashyap
2016: The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013 Downloads
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 Downloads
Yiran Cui, Sebastian del Ba\~no Rollin and Guido Germano
2016: Preemptive Investment under Uncertainty Downloads
Jan-Henrik Steg
2016: An empirical analysis of the relationships between crude oil, gold and stock markets Downloads
Semei Coronado, Rebeca Jim\'enez-Rodr\'iguez and Omar Rojas
2016: A Supermartingale Relation for Multivariate Risk Measures Downloads
Zachary Feinstein and Birgit Rudloff
2016: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation Downloads
Ahmed Kebaier and J\'er\^ome Lelong
2016: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2016: Mathematical Analysis of the Historical Economic Growth Downloads
Ron W. Nielsen
2016: Liquidity Effects of Trading Frequency Downloads
Roman Gayduk and Sergey Nadtochiy
2016: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility Downloads
A. Paliathanasis, K. Krishnakumar, K. M. Tamizhmani and P. G. L. Leach
2016: Optimal Taxation with Endogenous Default under Incomplete Markets Downloads
Demian Pouzo and Ignacio Presno
2016: Minimizing the Probability of Lifetime Drawdown under Constant Consumption Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: One bank problem in the federal funds market Downloads
Traian A. Pirvu and Elena Cristina Canepa
2016: Inequality and risk aversion in economies open to altruistic attitudes Downloads
Eleonora Perversi and Eugenio Regazzini
2016: Model-free Superhedging Duality Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
2016: A system of non-local parabolic PDE and application to option pricing Downloads
Anindya Goswami, Jeeten Patel and Poorva Shevgaonkar
2016: Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk Downloads
Yao Tung Huang, Qingshuo Song and Harry Zheng
2016: A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products Downloads
Dragos-Patru Covei
2016: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
A. Papanicolaou
2016: Optimally Investing to Reach a Bequest Goal Downloads
Erhan Bayraktar and Virginia R. Young
2016: Equilibrium in Misspecified Markov Decision Processes Downloads
Ignacio Esponda and Demian Pouzo
2016: A weak law of large numbers for a limit order book model with fully state dependent order dynamics Downloads
Ulrich Horst and D\"orte Kreher
2016: Shortfall Deviation Risk: An alternative to risk measurement Downloads
Marcelo Brutti Righi and Paulo Sergio Ceretta
2016: Optimal martingale transport between radially symmetric marginals in general dimensions Downloads
Tongseok Lim
2016: Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models Downloads
Ignacio Esponda and Demian Pouzo
2016: Optimal execution of ASR contracts with fixed notional Downloads
Olivier Gu\'eant
2016: A system of quadratic BSDEs arising in a price impact model Downloads
Dmitry Kramkov and Sergio Pulido
2016: Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models Downloads
Stefan Gerhold, I. Cetin G\"ul\"um and Arpad Pinter
2016: Relativistic Black-Scholes model Downloads
Maciej Trzetrzelewski
2016: Generalised arbitrage-free SVI volatility surfaces Downloads
Gaoyue Guo, Antoine Jacquier, Claude Martini and Leo Neufcourt
2016: The Effect of Market Power on Risk-Sharing Downloads
Michail Anthropelos
2016: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model Downloads
Louis Paulot
2016: Kinetic and mean field description of Gibrat's law Downloads
Giuseppe Toscani
2016: How brokers can optimally plot against traders Downloads
Manuel Lafond
2016: Robustness of mathematical models and technical analysis strategies Downloads
Ahmed Bel Hadj Ayed, Gr\'egoire Loeper and Fr\'ed\'eric Abergel
2016: Depreciation and the Time Value of Money Downloads
Brendon Farrell
2016: Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets Downloads
Ren\'e A\"id, Matteo Basei, Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2016: The puzzle that just isn't Downloads
Christian Mueller-Kademann
2016: A new structural stochastic volatility model of asset pricing and its stylized facts Downloads
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
2016: Pricing Bermudan options under local L\'evy models with default Downloads
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 Downloads
Du Nguyen
2016: Convex Hedging in Incomplete Markets Downloads
Birgit Rudloff
2016: On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation Downloads
Martijn Pistorius and Mitja Stadje
2016: On the Surprising Explanatory Power of Higher Realized Moments in Practice Downloads
Keren Shen, Jianfeng Yao and Wai Keung Li
2016: Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil Downloads
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 Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Entropy and credit risk in highly correlated markets Downloads
Sylvia Gottschalk
2016: Extreme Concurrent Portfolio Losses in Credit Risk Downloads
Joachim Sicking, Thomas Guhr and Rudi Sch\"afer
2016: On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums Downloads
Ewa Marciniak and Zbigniew Palmowski
2016: Entangling credit and funding shocks in interbank markets Downloads
Giulio Cimini and Matteo Serri
2016: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications Downloads
Huy\^en Pham
2016: Optimal trading with online parameters revisions Downloads
N Baradel, B Bouchard and Ngoc Minh Dang
2016: Random factor approach for large sets of equity time-series Downloads
Antti Tanskanen, Jani Lukkarinen and Kari Vatanen
2016: Multidimensional matching Downloads
Pierre-Andr\'e Chiappori, Robert McCann and Brendan Pass
2016: Regime switching vine copula models for global equity and volatility indices Downloads
Holger Fink, Yulia Klimova, Claudia Czado and Jakob St\"ober
2016: Duality in nondominated discrete-time models for Americain options Downloads
Shuoqing Deng and Xiaolu Tan
2016: Repo Haircuts and Economic Capital Downloads
Wujiang Lou
2016: High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation Downloads
Yuri M. Dimitrov and Lubin G. Vulkov
2016: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty Downloads
Erhan Bayraktar and Zhou Zhou
2016: On the survival of poor peasants Downloads
Andrea C. Levi and Ubaldo Garibaldi
2016: Evidence of Self-Organization in Time Series of Capital Markets Downloads
Leopoldo S\'anchez-Cant\'u, Carlos Arturo Soto-Campos, Oswaldo Morales-Matamoros and Alba Lucero Garc\'ia-P\'erez
2016: Local Wilcoxon Statistic in Detecting Nonstationarity of Functional Time Series Downloads
Daniel Kosiorowski, Jerzy P. Rydlewski and Malgorzata Snarska
2016: Pricing American options using martingale bases Downloads
J\'er\^ome Lelong
2016: Distribution-Constrained Optimal Stopping Downloads
Erhan Bayraktar and Christopher W. Miller
2016: Reconstruction of Order Flows using Aggregated Data Downloads
Ioane Muni Toke
2016: Describing Realistic Wealth Distributions with the Extended Yard-Sale Model of Asset Exchange Downloads
Bruce M. Boghosian, Adrian Devitt-Lee, Jie Li, Jeremy A. Marcq and Hongyan Wang
2016: More on hedging American options under model uncertainty Downloads
David Hobson and Anthony Neuberger
2016: On the value of being American Downloads
David Hobson and Anthony Neuberger
2016: Kriging of financial term-structures Downloads
Areski Cousin, Hassan Maatouk and Didier Rulli\`ere
2016: The statistical significance of multivariate Hawkes processes fitted to limit order book data Downloads
Roger Martins and Dieter Hendricks
2016: Aggregating time preferences with decreasing impatience Downloads
Nina Anchugina, Matthew Ryan and Arkadii Slinko
2016: Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses Downloads
Mario Guti\'errez-Roig, Carlota Segura, Jordi Duch and Josep Perell\'o
2016: Relativistic Quantum Finance Downloads
Juan M. Romero and Ilse B. Zubieta-Mart\'inez
2016: Copula--based Specification of vector MEMs Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2016: Controllability Analyses on Firm Networks Based on Comprehensive Data Downloads
Hiroyasu Inoue
2016: Option Pricing in the Moderate Deviations Regime Downloads
Peter Friz, Stefan Gerhold and Arpad Pinter
2016: From Big Data To Important Information Downloads
Yaneer Bar-Yam
2016: On regularity of primal and dual dynamic value functions related to investment problem Downloads
Michael Mania and Revaz Tevzadze
2016: The Mittag-Leffler Phillips Curve Downloads
Tomas Skovranek
2016: Systemic Risks in CCP Networks Downloads
Russell Barker, Andrew Dickinson, Alex Lipton and Rajeev Virmani
2016: Market Integration in the Prewar Japanese Rice Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2016: The Meta-Distribution of Standard P-Values Downloads
Nassim Nicholas Taleb
2016: Clustering Financial Time Series: How Long is Enough? Downloads
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 $\mathbb{H}^3$ Downloads
Martin Forde and Hongzhong Zhang
2016: Mathematical analysis of historical income per capita distributions Downloads
Ron W Nielsen
2016: Cross-response in correlated financial markets: individual stocks Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Puzzling properties of the historical growth rate of income per capita explained Downloads
Ron W Nielsen
2016: When does inequality freeze an economy? Downloads
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 Downloads
Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel
2016: Power-law cross-correlations estimation under heavy tails Downloads
Ladislav Krištoufek
2016: Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information Downloads
Anton A. Shardin and Michaela Sz\"olgyenyi
2016: On minimising a portfolio's shortfall probability Downloads
Anatolii A. Puhalskii
2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps Downloads
Michael Ho and Jack Xin
2016: Model-Free Discretisation-Invariant Swap Contracts Downloads
Carol Alexander and Johannes Rauch
2016: Predicting Human Cooperation Downloads
John J. Nay and Yevgeniy Vorobeychik
2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited Downloads
M. A. Szybisz and L. Szybisz
2016: Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model Downloads
Hiroyasu Inoue
2016: Robust hedging of options on local time Downloads
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
2016: Markov-modulated floating-strike Asian options Downloads
Adriana Ocejo
2016: An elementary approach to the option pricing problem Downloads
Nikolaos Halidias
2016: A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model Downloads
Andrei Cozma and Christoph Reisinger
2016: Central Clearing Valuation Adjustment Downloads
Yannick Armenti and St\'ephane Cr\'epey
2016: Bounds for randomly shared risk of heavy-tailed loss factors Downloads
Oliver Kley and Claudia Kluppelberg
2016: How crude oil prices shape the global division of labour Downloads
Francesco Picciolo, Andreas Papandreou, Klaus Hubacek and Franco Ruzzenenti
2016: Diversification, protection of liability holders and regulatory arbitrage Downloads
Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2016: Portfolio Optimization under Shortfall Risk Constraint Downloads
Oliver Janke and Qinghua Li
2016: Toward robust early-warning models: A horse race, ensembles and model uncertainty Downloads
Markus Holopainen and Peter Sarlin
2016: Stochastic Perron for stochastic target games Downloads
Erhan Bayraktar and Jiaqi Li
2016: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients Downloads
Jean-Francois Chassagneux, Antoine Jacquier and Ivo Mihaylov
2016: Non-Arbitrage under a Class of Honest Times Downloads
Tahir Choulli, Anna Aksamit, Jun Deng and Monique Jeanblanc
2016: On the Market Viability under Proportional Transaction Costs Downloads
Erhan Bayraktar and Xiang Yu
2016: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations Downloads
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song and Chao Zhu
2016: On the probability density function of baskets Downloads
Christian Bayer, Peter Friz and Peter Laurence
2016: On the Robust Optimal Stopping Problem Downloads
Erhan Bayraktar and Song Yao
2016: Chinese Medical Device Market and The Investment Vector Downloads
Weifan Zhang, Rebecca Liu and Chris Chatwin
2016: Mortgages and Refinancing Downloads
Khizar Qureshi and Cheng Su
2016: Value-at-Risk: The Effect of Autoregression in a Quantile Process Downloads
Khizar Qureshi
2016: Optimal investment and consumption with downside risk constraint in jump-diffusion models Downloads
Thai Nguyen
2016: Option pricing under fast-varying long-memory stochastic volatility Downloads
Josselin Garnier and Knut Solna
2016: Low-traffic limit and first-passage times for a simple model of the continuous double auction Downloads
Enrico Scalas, Fabio Rapallo and Tijana Radivojevi\'c
2016: Deterministic Income with Deterministic and Stochastic Interest Rates Downloads
Julia Eisenberg
2016: On the properties of the Lambda value at risk: robustness, elicitability and consistency Downloads
Matteo Burzoni, Ilaria Peri and Chiara Maria Ruffo
2016: Risk contagion under regular variation and asymptotic tail independence Downloads
Bikramjit Das and Vicky Fasen
2016: Pricing occupation-time options in a mixed-exponential jump-diffusion model Downloads
Djilali Ait Aoudia and Jean-Fran\c{c}ois Renaud
2016: Parisian ruin for a refracted L\'evy process Downloads
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 Downloads
Tomasz R. Bielecki, Igor Cialenco and Marcin Pitera
2016: Financial equilibrium with asymmetric information and random horizon Downloads
Umut \c{C}etin
2016: Modelling income, wealth, and expenditure data by use of Econophysics Downloads
Elvis Oltean
2016: Interest Rates and Inflation Downloads
Michael Coopersmith and Pascal J. Gambardella
2016: Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching Downloads
Jiling Cao, Teh Raihana Nazirah Roslan and Wenjun Zhang
2016: Trading Strategies Generated by Lyapunov Functions Downloads
Ioannis Karatzas and Johannes Ruf
2016: A Flexible Galerkin Scheme for Option Pricing in L\'evy Models Downloads
Maximilian Ga{\ss} and Kathrin Glau
2016: Robust Optimization of Credit Portfolios Downloads
Agostino Capponi and Lijun Bo
2016: Conjoint axiomatization of the Choquet integral for heterogeneous product sets Downloads
Mikhail Timonin
2016: GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model Downloads
Tetsuya Takaishi
2016: On clustering financial time series: a need for distances between dependent random variables Downloads
Gautier Marti, Frank Nielsen, Philippe Donnat and S\'ebastien Andler
2016: A Note on the Optimal Dividends Paid in a Foreign Currency Downloads
Julia Eisenberg and Paul Kr\"uhner
2016: Conic Martingales from Stochastic Integrals Downloads
Fr\'ed\'eric Vrins and Monique Jeanblanc
2016: A hybrid approach for the implementation of the Bates model with stochastic interest rate Downloads
Maya Briani, Lucia Caramellino and Antonino Zanette
2016: On random convex analysis Downloads
Tiexin Guo, Erxin Zhang, Mingzhi Wu, Bixuan Yang and George Yuan
2016: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets Downloads
Tomas Krehlik and Jozef Baruník
2016: The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents Downloads
F. Knobloch and Jean-Francois Mercure
2016: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets Downloads
Dieter Hendricks
2016: Universal trading under proportional transaction costs Downloads
Richard J Martin
2016: The mathematics of non-linear metrics for nested networks Downloads
Rui-Jie Wu, Gui-Yuan Shi, Yi-Cheng Zhang and Manuel Sebastian Mariani
2016: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes Downloads
Sid Ghoshal and Stephen Roberts
2016: Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications Downloads
Sgouris Sgouridis, Abdulla Kaya and Denes Csala
2016: Risk-Constrained Kelly Gambling Downloads
Enzo Busseti, Ernest K. Ryu and Stephen Boyd
2016: The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle Downloads
Ravi Kashyap
2016: Online Networks, Social Interaction and Segregation: An Evolutionary Approach Downloads
Angelo Antoci, Fabio Sabatini and Francesco Sarracino
2016: Bank distress in the news: Describing events through deep learning Downloads
Samuel R\"onnqvist and Peter Sarlin
2016: The geometric phase of stock trading Downloads
Claudio Altafini
2016: Market Dynamics vs. Statistics: Limit Order Book Example Downloads
Vladislav Gennadievich Malyshkin and Ray Bakhramov
2016: Modeling and Estimation of the Risk When Choosing a Provider Downloads
Alla Sorokina
2016: Can banks default overnight? Modeling endogenous contagion on O/N interbank market Downloads
Pawe{\l} Smaga, Mateusz Wili\'nski, Piotr Ochnicki, Piotr Arendarski and Tomasz Gubiec
2016: On the overlaps between eigenvectors of correlated random matrices Downloads
Jo\"el Bun, Jean-Philippe Bouchaud and Marc Potters
2016: Contagion and Stability in Financial Networks Downloads
Seyyed Mostafa Mousavi, Robert Mackay and Alistair Tucker
2016: Analysis of the nonlinear option pricing model under variable transaction costs Downloads
Daniel Sevcovic and Magdalena Zitnanska
2016: Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model Downloads
Ale\v{s} \v{C}ern\'y
2016: Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2016: Financial contagion in investment funds Downloads
Leonardo dos Santos Pinheiro and Flavio Codeco Coelho
2016: General dynamic term structures under default risk Downloads
Claudio Fontana and Thorsten Schmidt
2016: Capital Valuation Adjustment and Funding Valuation Adjustment Downloads
Claudio Albanese, Simone Caenazzo and St\'ephane Cr\'epey
2016: Interacting Default Intensity with Hidden Markov Process Downloads
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu and Tak-Kuen Siu
2016: Libor at crossroads: stochastic switching detection using information theory quantifiers Downloads
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 Downloads
Teemu Pennanen and Ari-Pekka Perkki\"o
2016: Unbiased estimation of risk Downloads
Marcin Pitera and Thorsten Schmidt
2016: A Mathematical Model of Foreign Capital Inflow Downloads
Gopal K. Basak, Pranab Das and Allena Rohit
2016: Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX Downloads
Hannah Cheng, Juan Zhan, William Rea and Alethea Rea
2016: Exponentially concave functions and high dimensional stochastic portfolio theory Downloads
Soumik Pal
2016: Big is Fragile: An Attempt at Theorizing Scale Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2016: Latent class analyisis for reliable measure of inflation expectation in the indian public Downloads
Sunil Kumar
2016: Dynamic Adaptive Mixture Models Downloads
Leopoldo Catania
2016: Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes Downloads
Claudiu Albulescu, Christian Aubin and Daniel Goyeau
2016: Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law Downloads
Marcel Ausloos, Rosella Castellano and Roy Cerqueti
2016: Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments Downloads
Gareth W. Peters, Wilson Y. Chen and Richard H. Gerlach
2016: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study Downloads
Ravi Kashyap
2016: Equity forecast: Predicting long term stock price movement using machine learning Downloads
Nikola Milosevic
2016: The Value of A Statistical Life in Absence of Panel Data: What can we do? Downloads
Andr\'es Riquelme and Marcela Parada
2016: Affine multiple yield curve models Downloads
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 Downloads
Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2016: Improved Fr\'echet--Hoeffding bounds on $d$-copulas and applications in model-free finance Downloads
Thibaut Lux and Antonis Papapantoleon
2016: Tsallis statistics in the income distribution of Brazil Downloads
Abner D. Soares, Newton J. Moura and Marcelo Ribeiro
2016: The Postulate of the Three Regimes of Economic Growth Contradicted by Data Downloads
Ron W Nielsen
2016: Multifactor Risk Models and Heterotic CAPM Downloads
Zura Kakushadze and Willie Yu
2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift Downloads
J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product Downloads
Ron W Nielsen
2016: A nonlinear impact: evidences of causal effects of social media on market prices Downloads
Th\'arsis T. P. Souza and Tomaso Aste
2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America Downloads
Ron W Nielsen
2016: Geography and distance effect on financial dynamics in the Chinese stock market Downloads
Xing Li, Tian Qiu, Guang Chen, Li-Xin Zhong and Xiong-Fei Jiang
2016: 101 Formulaic Alphas Downloads
Zura Kakushadze
2016: The F\"ollmer-Schweizer decomposition under incomplete information Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions Downloads
Xin Liu, Qi Gong and Vidyadhar G. Kulkarni
2016: Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models Downloads
Johan Dahlin and Thomas B. Sch\"on
2016: Game-theoretic Modeling of Players' Ambiguities on External Factors Downloads
Jian Yang
2016: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines Downloads
Vladislav Gennadievich Malyshkin and Ray Bakhramov
2016: Dynamics and Stability in Retail Competition Downloads
Marcelo J. Villena and Axel A. Araneda
2016: Weakly chained matrices, policy iteration, and impulse control Downloads
Parsiad Azimzadeh and Peter A. Forsyth
2016: Price response in correlated financial markets: empirical results Downloads
Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Performance v. Turnover: A Story by 4,000 Alphas Downloads
Zura Kakushadze and Igor Tulchinsky
2016: Optimal trading strategies - a time series approach Downloads
Peter A. Bebbington and Reimer Kuehn
2016: Detecting intraday financial market states using temporal clustering Downloads
Dieter Hendricks, Tim Gebbie and Diane Wilcox
2016: Forecasting stock market returns over multiple time horizons Downloads
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov and Boris Govorkov
2016: Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets Downloads
Mikhail Timonin
2016: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model Downloads
Nicolas Langren\'e, Geoffrey Lee and Zili Zhu
2016: Convergence of Estimated Option Price in a Regime switching Market Downloads
Anindya Goswami and Sanket Nandan
2016: Time-scale analysis of co-movement in EU sovereign bond markets Downloads
Filip Smolik and Lukas Vacha
2016: Transition from lognormal to chi-square superstatistics for financial time series Downloads
Dan Xu and Christian Beck
2016: Small-time asymptotics for Gaussian self-similar stochastic volatility models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2016: Pricing complexity options Downloads
Malihe Alikhani, Bj{\o}rn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
2016: A Markov model of a limit order book: thresholds, recurrence, and trading strategies Downloads
Frank Kelly and Elena Yudovina
2016: New class of distortion risk measures and their tail asymptotics with emphasis on VaR Downloads
Chuancun Yin and Dan Zhu
2016: Principal Components Analysis for Semimartingales and Stochastic PDE Downloads
Alberto Ohashi and Alexandre B Simas
2016: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion Downloads
Hagen Kleinert and Jan Korbel
2016: Robust Utility Maximization with L\'evy Processes Downloads
Ariel Neufeld and Marcel Nutz
2016: Optimal Asset Liquidation with Multiplicative Transient Price Impact Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2016: Existence and Uniqueness of a Steady State for an OTC Market with Several Assets Downloads
Alain Belanger and Ndoune Ndoune
2016: Pricing and Hedging Long-Term Options Downloads
Hyungbin Park
2016: A polynomial distribution applied to income and wealth distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2016: A statistical physics analysis of expenditure in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2016: An econophysical approach of polynomial distribution applied to income and expenditure Downloads
Elvis Oltean
2016: An Econophysical dynamical approach of expenditure and income distribution in the UK Downloads
Elvis Oltean and Fedor Kusmartsev
2016: Applications of statistical physics distributions to several types of income Downloads
Elvis Oltean and Fedor V. Kusmartsev
2016: A study of Methods from Statistical Mechanics applied to income distribution Downloads
Elvis Oltean and Fedor Kusmartsev
2016: One-level limit order book models with memory and variable spread Downloads
Jonathan A. Ch\'avez-Casillas and Jos\'e E. Figueroa-L\'opez
2016: Change of numeraire in the two-marginals martingale transport problem Downloads
Luciano Campi, Ismail Laachir and Claude Martini
2016: On the stationarity of Dynamic Conditional Correlation models Downloads
Jean-David Fermanian and Hassan Malongo
2016: Polynomial Term Structure Models Downloads
Si Cheng and Michael R. Tehranchi
2016: The Futures Premium and Rice Market Efficiency in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2016: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Forbes and Gael Martin
2016: Learning from the past, predicting the statistics for the future, learning an evolving system Downloads
Daniel Levin, Terry Lyons and Hao Ni
2016: Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities Downloads
Paul M. N. Feehan and Camelia A. Pop
2016: The topology of card transaction money flows Downloads
Massimiliano Zanin, David Papo, Miguel Romance, Regino Criado and Santiago Moral
2016: Fairs for e-commerce: the benefits of aggregating buyers and sellers Downloads
Pierluigi Gallo, Francesco Randazzo and Ignazio Gallo
2016: A Rank-Based Approach to Zipf's Law Downloads
Ricardo T. Fernholz and Robert Fernholz
2016: Microscopic models for the study of taxpayer audit effects Downloads
M. L. Bertotti and G. Modanese
2016: No such thing as a risk-neutral market Downloads
D. L. Wilcox
2016: Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution Downloads
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 Downloads
G\'abor Papp, Fabio Caccioli and Imre Kondor
2016: Order Book, Financial Markets and Self-Organized Criticality Downloads
Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda
2016: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles Downloads
Vladimir Filimonov, Guilherme Demos and Didier Sornette
2016: The role of volume in order book dynamics: a multivariate Hawkes process analysis Downloads
Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo
2016: The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation Downloads
Yuval Rabani and Leonard J. Schulman
2016: Contagion in the world's stock exchanges seen as a set of coupled oscillators Downloads
Lucia Bellenzier, J{\o}rgen Vitting Andersen and Giulia Rotundo
2016: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2016: Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble Downloads
Alberto Bicci
2016: Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads Downloads
Tore Opsahl and William Newton
2016: Solar energy production: Short-term forecasting and risk management Downloads
C\'edric Join, Michel Fliess, Cyril Voyant and Fr\'ed\'eric Chaxel
2016: Household Income Distribution in the USA Downloads
Costas Efthimiou and Adam Wearne
2016: Modeling Stock Price Dynamics with Fuzzy Opinion Networks Downloads
Li-Xin Wang
2016: Accrual valuation and mark to market adjustment Downloads
Alexey Bakshaev
2016: Blunt Honesty, Incentives, and Knowledge Exchange Downloads
Bruce Knuteson
2016: Noise Fit, Estimation Error and a Sharpe Information Criterion Downloads
Dirk Paulsen and Jakob S\"ohl
2016: Duality formulas for robust pricing and hedging in discrete time Downloads
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
2016: Density analysis of non-Markovian BSDEs and applications to biology and finance Downloads
Thibaut Mastrolia
2016: Funding, Repo and Credit Inclusion in Option Pricing via Dividends Downloads
Damiano Brigo, Cristin Buescu and Marek Rutkowski
2016: Pathways towards instability in financial networks Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2016: On the Profitability of Optimal Mean Reversion Trading Strategies Downloads
Peng Huang and Tianxiang Wang
2016: Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution Downloads
Stavros Stavroyiannis
2016: Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling Downloads
Ying Jiao, Chunhua Ma and Simone Scotti
2016: Do co-jumps impact correlations in currency markets? Downloads
Jozef Baruník and Lukas Vacha
2016: Robust Financial Bubbles Downloads
Francesca Biagini and Jacopo Mancin
2016: Studies on Regional Wealth Inequalities: the case of Italy Downloads
Marcel Ausloos and Roy Cerqueti
2016: Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models Downloads
Vikram Krishnamurthy, Elisabeth Leoff and J\"orn Sass
2016: Dynamic portfolio selection without risk-free assets Downloads
Chi Kin Lam, Yuhong Xu and Guosheng Yin
2016: Deviations in expected price impact for small transaction volumes under fee restructuring Downloads
Michael Harvey, Dieter Hendricks, Tim Gebbie and Diane Wilcox
2016: A pathwise approach to continuous-time trading Downloads
Candia Riga
2016: Option Pricing in Markets with Unknown Stochastic Dynamics Downloads
Hanno Gottschalk and Elpida Nizami
2016: Bayesian Dividend Optimization and Finite Time Ruin Probabilities Downloads
Gunther Leobacher, Michaela Sz\"olgyenyi and Stefan Thonhauser
2016: Dividend maximization in a hidden Markov switching model Downloads
Michaela Sz\"olgyenyi
2016: Ruin under stochastic dependence between premium and claim arrivals Downloads
Matija Vidmar
2016: Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome Downloads
Eric Lavallee
2016: Market Dynamics. On Supply and Demand Concepts Downloads
Vladislav Gennadievich Malyshkin
2016: Local Volatility Models in Commodity Markets and Online Calibration Downloads
Vinicius Albani, Uri M. Ascher and Jorge P. Zubelli
2016: Path probability of stochastic motion: A functional approach Downloads
Masayuki Hattori and Sumiyoshi Abe
2016: On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia Downloads
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 Downloads
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 Downloads
Sebastian Poledna, Olaf Bochmann and Stefan Thurner
2016: Pricing options on forwards in energy markets: the role of mean reversion's speed Downloads
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 Downloads
Semei Coronado and Omar Rojas
2016: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate Downloads
Xiaolin Luo and Pavel V. Shevchenko
2016: The square-root impact law also holds for option markets Downloads
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2016: Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations Downloads
Fred Espen Benth and Heidar Eyjolfsson
2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances Downloads
Leopoldo Catania and Anna Gloria Bill\'e
2016: Issues with the Smith-Wilson method Downloads
Andreas Lager{\aa}s and Mathias Lindholm
2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices Downloads
Emre Kahraman and Gazanfer \"Unal
2016: On the parameter identifiability problem in Agent Based economical models Downloads
Di Molfetta Giuseppe
2016: On the existence of shadow prices for optimal investment with random endowment Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications Downloads
Dariusz Zawisza
2016: Tail Risk Premia for Long-Term Equity Investors Downloads
Johannes Rauch and Carol Alexander
2016: Portfolio Selection: The Power of Equal Weight Downloads
Philip Ernst, James Thompson and Yinsen Miao
2016: Limit-order book resiliency after effective market orders: Empirical facts and applications to high-frequency trading Downloads
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: How to improve accuracy for DFA technique Downloads
Alessandro Stringhi and Silvia Figini
2016: Stock loans with liquidation Downloads
Parsiad Azimzadeh
2016: Portfolio optimization under dynamic risk constraints Downloads
Imke H\"ofers and Ralf Wunderlich
2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes Downloads
Adil Yilmaz and Gazanfer Unal
2016: Critical value of the total debt in view of the debts durations Downloads
I. A. Molotkov and N. A. Ryabova
2016: On construction of boundary preserving numerical schemes Downloads
Nikolaos Halidias
2016: Asymptotic Analysis for Optimal Dividends in a Dual Risk Model Downloads
Arash Fahim and Lingjiong Zhu
2016: Dependence of technological improvement on artifact interactions Downloads
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 Downloads
Ravi Kashyap
2016: Unified Growth Theory Contradicted by the Economic Growth in Europe Downloads
Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in the Former USSR Downloads
Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in Asia Downloads
Ron W Nielsen
2016: Deep Learning Stock Volatility with Google Domestic Trends Downloads
Ruoxuan Xiong, Eric P. Nichols and Yuan Shen
2016: Unified Growth Theory Contradicted by the Economic Growth in Africa Downloads
Ron W Nielsen
2016: A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge Downloads
Takanori Adachi
2016: Complexity driven collapse of economic equilibria Downloads
Marco Bardoscia, Giacomo Livan and Matteo Marsili
2016: Trading Networks with Bilateral Contracts Downloads
Tam\'as Fleiner, Zsuzsanna Jank\'o, Akihisa Tamura and Alexander Teytelboym
2016: Inequality measures in kinetic exchange models of wealth distributions Downloads
Asim Ghosh, Arnab Chatterjee, Jun-ichi Inoue and Bikas K. Chakrabarti
2016: Maximizing expected utility in the Arbitrage Pricing Model Downloads
Miklos Rasonyi
2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach Downloads
Maojiao Ye and Guoqiang Hu
2016: Modelling complex systems of heterogeneous agents to better design sustainability transitions policy Downloads
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 Downloads
Lubos Hanus and Lukas Vacha
2016: The Limits of Leverage Downloads
Paolo Guasoni and Eberhard Mayerhofer
2016: Optimal Investment to Minimize the Probability of Drawdown Downloads
Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: Time-consistency of risk measures with GARCH volatilities and their estimation Downloads
Claudia Kl\"uppelberg and Jianing Zhang
2016: Leveraging the network: a stress-test framework based on DebtRank Downloads
Stefano Battiston, Marco D'Errico, Stefano Gurciullo and Guido Caldarelli
2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options Downloads
Erhan Bayraktar and Zhou Zhou
2016: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix Downloads
Patrick Steffen Michelberger and Jan Hendrik Witte
2016: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming Downloads
Erhan Bayraktar, David Promislow and Virginia Young
2016: Hydrodynamic limit of order book dynamics Downloads
Xuefeng Gao and S. J. Deng
2016: A continuous auction model with insiders and random time of information release Downloads
Jos\'e Manuel Corcuera, Giulia Di Nunno, Gergely Farkas and Bernt {\O}ksendal
2016: Process-Based Risk Measures and Risk-Averse Control of Observable and Partially Observable Discrete-Time Controlled Systems Downloads
Jingnan Fan and Andrzej Ruszczynski
2016: Indifference pricing for Contingent Claims: Large Deviations Effects Downloads
Scott Robertson and Konstantinos Spiliopoulos
2016: Mean-Reversion and Optimization Downloads
Zura Kakushadze
2016: Utility indifference pricing and hedging for structured contracts in energy markets Downloads
Giorgia Callegaro, Luciano Campi, Valeria Giusto and Tiziano Vargiolu
2016: Gambling in contests with random initial law Downloads
Han Feng and David Hobson
2016: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia Downloads
Carol Alexander and Johannes Rauch
2016: Parameter estimation for the subcritical Heston model based on discrete time observations Downloads
Matyas Barczy, Gyula Pap and Tamas T. Szabo
2016: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax Downloads
Sebastian Poledna and Stefan Thurner
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks Downloads
Li-Xin Wang
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models Downloads
Li-Xin Wang
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models Downloads
Li-Xin Wang
2016: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
Erindi Allaj
2016: Investor's sentiment in multi-agent model of the continuous double auction Downloads
A. Lykov, S. Muzychka and K. Vaninsky
2016: The Topology of African Exports: emerging patterns on spanning trees Downloads
Tanya Ara\'ujo and M. Ennes Ferreira
2016: Bunching of numbers in a non-ideal roulette: the key to winning strategies Downloads
A. V. Kavokin, A. S. Sheremet and M. Yu. Petrov
2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market Downloads
Wai-Ki Ching, Jia-Wen Gu, Tak Kuen Siu and Qing-Qing Yang
2016: Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling Downloads
Lev B. Klebanov, Greg Temnov and Ashot V. Kakosyan
2016: Market correlation structure changes around the Great Crash Downloads
Rui-Qi Han, Wen-Jie Xie, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: CoCos under short-term uncertainty Downloads
Jos\'e Manuel Corcuera and Arturo Valdivia
2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect Downloads
Christopher L. Magee and Tessaleno C. Devezas
2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation Downloads
Juan M. Romero and Jorge Bautista
2016: The ecology of social interactions in online and offline environments Downloads
Angelo Antoci, Alexia Delfino, Fabio Paglieri and Fabio Sabatini
2016: Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I Downloads
Michael Dittmar
2016: Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles Downloads
Maximilian Seyrich and Didier Sornette
2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework Downloads
Vassilios Papathanakos
2016: Trading-profit attribution for the size factor Downloads
Vassilios Papathanakos
2016: Sufficiency on the Stock Market Downloads
Peter Harremo\"es
2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools Downloads
Thomas Knispel, Roger Laeven and Gregor Svindland
2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data Downloads
Jonas Hallgren and Timo Koski
2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums Downloads
Likuan Qin, Vadim Linetsky and Yutian Nie
2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes Downloads
Vaibhav Srivastava, Philip Holmes and Patrick Simen
2016: RiskRank: Measuring interconnected risk Downloads
J\'ozsef Mezei and Peter Sarlin
2016: The role of networks in firms' multi-characteristics competition and market-share inequality Downloads
Antonios Garas and Athanasios Lapatinas
2016: On "A General Framework for Pricing Asian Options Under Markov Processes" Downloads
Zhenyu Cui, Chihoon Lee and Yanchu Liu
2016: Portfolio Optimisation Under Flexible Dynamic Dependence Modelling Downloads
Mauro Bernardi and Leopoldo Catania
2016: Econo- and socio- physics based remarks on the economical growth of the World Downloads
Rzoska Agata Angelika
2016: A Simple Measure of Economic Complexity Downloads
Sabiou Inoua
2016: General Equilibrium and Recession Phenomenon Downloads
Nicholas S. Gonchar, Wolodymyr H. Kozyrski and Anatol S. Zhokhin
2016: The Excess Returns of "Quality" Stocks: A Behavioral Anomaly Downloads
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier, Guillaume Simon and David Thesmar
2016: On bivariate lifetime modelling in life insurance applications Downloads
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2016: Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics Downloads
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