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2017: The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion Downloads
Foad Shokrollahi
2017: The consentaneous model of the financial markets exhibiting spurious nature of long-range memory Downloads
Vygintas Gontis and Aleksejus Kononovicius
2017: The Mathematics of Market Timing Downloads
Guy Metcalfe
2017: Series representation of the pricing formula for the European option driven by space-time fractional diffusion Downloads
Jean-Philippe Aguilar, Cyril Coste and Jan Korbel
2017: Learning Objectives for Treatment Effect Estimation Downloads
Xinkun Nie and Stefan Wager
2017: Stock market as temporal network Downloads
Longfeng Zhao, Gang-Jin Wang, Mingang Wang, Weiqi Bao, Wei Li and H. Eugene Stanley
2017: Optimal Stochastic Desencoring and Applications to Calibration of Market Models Downloads
Anastasis Kratsios
2017: Generic Machine Learning Inference on Heterogenous Treatment Effects in Randomized Experiments Downloads
Victor Chernozhukov, Mert Demirer, Esther Duflo and Ivan Fernandez-Val
2017: Inverse Reinforcement Learning for Marketing Downloads
Igor Halperin
2017: QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds Downloads
Igor Halperin
2017: Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions Downloads
Zbigniew Palmowski and Joanna Tumilewicz
2017: The Calculus of Democratization and Development Downloads
Jacob Ferguson
2017: Revisiting the determinacy on New Keynesian Models Downloads
Alberto F. Boix and Adri\'an Segura Moreiras
2017: Robust Inference for Dynamic Economies - with an application to Financial Frictions Downloads
Andreas Tryphonides
2017: Enhancing Binomial and Trinomial Equity Option Pricing Models Downloads
Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
2017: A Random Attention Model Downloads
Matias D. Cattaneo, Xinwei Ma, Yusufcan Masatlioglu and Elchin Suleymanov
2017: Aggregating Google Trends: Multivariate Testing and Analysis Downloads
Stephen L. France and Yuying Shi
2017: Compound Hawkes Processes in Limit Order Books Downloads
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott and Jonathan Chavez-Casillas
2017: Mixed Models as an Alternative to Farima Downloads
Jos\'e Igor Morlanes
2017: On Metropolis Growth Downloads
Syed Amaar Ahmad
2017: Online Red Packets: A Large-scale Empirical Study of Gift Giving on WeChat Downloads
Yuan Yuan, Tracy Xiao Liu, Chenhao Tan and Jie Tang
2017: Remarks on Bayesian Control Charts Downloads
Amir Ahmadi-Javid and Mohsen Ebadi
2017: Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models Downloads
Anatoliy Swishchuk and Zijia Wang
2017: Linear and nonlinear market correlations: characterizing financial crises and portfolio optimization Downloads
Alexander Haluszczynski, Ingo Laut, Heike Modest and Christoph R\"ath
2017: On monitoring development using high resolution satellite images Downloads
Potnuru Kishen Suraj, Ankesh Gupta, Makkunda Sharma, Sourabh Bikash Paul and Subhashis Banerjee
2017: Risk Apportionment: The Dual Story Downloads
Louis R. Eeckhoudt, Roger J. A. Laeven and Harris Schlesinger
2017: On the Singular Control of Exchange Rates Downloads
Giorgio Ferrari and Tiziano Vargiolu
2017: A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering Downloads
Anshul Verma, Riccardo Junior Buonocore and Tiziana di Matteo
2017: Listening to Chaotic Whispers: A Deep Learning Framework for News-oriented Stock Trend Prediction Downloads
Ziniu Hu, Weiqing Liu, Jiang Bian, Xuanzhe Liu and Tie-Yan Liu
2017: Universal fluctuations in growth dynamics of economic systems Downloads
Nathan C. Frey, Sakib Matin, H. Eugene Stanley and Michael Salinger
2017: Estimation for high-frequency data under parametric market microstructure noise Downloads
Simon Clinet and Yoann Potiron
2017: Geometrically stopped Markovian random growth processes and Pareto tails Downloads
Brendan K. Beare and Alexis Akira Toda
2017: Quantum Bounds for Option Prices Downloads
Paul McCloud
2017: Multi-currency reserving for coherent risk measures Downloads
Saul Jacka, Seb Armstrong and Abdel Berkaoui
2017: Inferring agent objectives at different scales of a complex adaptive system Downloads
Dieter Hendricks, Adam Cobb, Richard Everett, Jonathan Downing and Stephen J. Roberts
2017: A particle model for the herding phenomena induced by dynamic market signals Downloads
Hyeong-Ohk Bae, Seung-yeon Cho, Sang-hyeok Lee and Seok-Bae Yun
2017: A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node Downloads
Amirhossein Sobhani and Mariyan Milev
2017: The balance of growth and risk in population dynamics Downloads
Thomas Gueudr\'e and David Martin
2017: Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis Downloads
Dat Thanh Tran, Alexandros Iosifidis, Juho Kanniainen and Moncef Gabbouj
2017: An Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate Governance and Capital Structure in Emerging Markets: Evidence from Chinese Listed Companies Downloads
ManYing Kang and Marcel Ausloos
2017: Dynamic optimization of a portfolio Downloads
Oleg Malafeyev and Achal Awasthi
2017: Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility Downloads
Lena Schutte
2017: Empirical comparison of three models for determining market clearing prices in Turkish day-ahead electricity market Downloads
G\"okhan Ceyhan, Nermin Elif Kurt, H. Bahadir Sahin and K\"ur\c{s}ad Derinkuyu
2017: Some Physics Notions on Monetary Standard Downloads
Tiago Fernandes
2017: Distributions of Historic Market Data - Stock Returns Downloads
Zhiyuan Liu, M. Dashti Moghaddam and R. A. Serota
2017: Option Pricing with Orthogonal Polynomial Expansions Downloads
Damien Ackerer and Damir Filipovic
2017: Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models Downloads
Cheng-Der Fuh and Chuan-Ju Wang
2017: Large deviation principle for Volterra type fractional stochastic volatility models Downloads
Archil Gulisashvili
2017: Modal Regression using Kernel Density Estimation: a Review Downloads
Yen-Chi Chen
2017: A High Frequency Trade Execution Model for Supervised Learning Downloads
Matthew F Dixon
2017: DGM: A deep learning algorithm for solving partial differential equations Downloads
Justin Sirignano and Konstantinos Spiliopoulos
2017: Forecasting day-ahead electricity prices in Europe: the importance of considering market integration Downloads
Jesus Lago, Fjo De Ridder, Peter Vrancx and Bart De Schutter
2017: An Explicit Default Contagion Model and Its Application Downloads
Dianfa Chen, Jun Deng and Jianfen Feng
2017: Can Everyone Benefit from Social Integration? Downloads
Josue Ortega
2017: A Dynkin game on assets with incomplete information on the return Downloads
Tiziano De Angelis, Fabien Gensbittel and St\'ephane Villeneuve
2017: Optimal Portfolio under Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2017: Media Network and Return Predictability Downloads
Li Guo, Yubo Tao and Jun Tu
2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes Downloads
Rasmus Pedersen and Olivier Wintenberger
2017: Super-Replication with Fixed Transaction Costs Downloads
Peter Bank and Yan Dolinsky
2017: Dependent Defaults and Losses with Factor Copula Models Downloads
Damien Ackerer and Thibault Vatter
2017: Double/Debiased Machine Learning for Treatment and Causal Parameters Downloads
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney Newey and James Robins
2017: Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk Downloads
Alexandre Belloni, Mingli Chen and Victor Chernozhukov
2017: Nonparametric Analysis of Random Utility Models Downloads
Yuichi Kitamura and Jörg Stoye
2017: Residential income segregation: a behavioral model of the housing market Downloads
Marco Pangallo, Jean Pierre Nadal and Annick Vignes
2017: Volatility Forecasts Using Nonlinear Leverage Effects Downloads
Kenichiro McAlinn, Asahi Ushio and Teruo Nakatsuma
2017: Homogenization and Clustering as a Non-Statistical Methodology to Assess Multi-Parametrical Chain Problems Downloads
Johannes Freiesleben and Nicolas Gu\'erin
2017: A hybrid tree/finite-difference approach for Heston-Hull-White type models Downloads
M. Briani, L. Caramellino and A. Zanette
2017: Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview Downloads
Daniel Kosiorowski, Dominik Mielczarek and Jerzy. P. Rydlewski
2017: A Neural Stochastic Volatility Model Downloads
Rui Luo, Weinan Zhang, Xiaojun Xu and Jun Wang
2017: Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries Downloads
Jing Shi, Marcel Ausloos and Tingting Zhu
2017: Hint of a Universal Law for the Financial Gains of Competitive Sport Teams. The case of Tour de France cycle race Downloads
Marcel Ausloos
2017: Fluctuation identities with continuous monitoring and their application to price barrier options Downloads
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai and Guido Germano
2017: A Short-term Intervention for Long-term Fairness in the Labor Market Downloads
Lily Hu and Yiling Chen
2017: Factor endowment -- commodity output relationships in a three-factor, two-good general equilibrium trade model Downloads
Yoshiaki Nakada
2017: Notes on Fano Ratio and Portfolio Optimization Downloads
Zura Kakushadze and Willie Yu
2017: Politics Gets Personal: Effects of Political Partisanship and Advertising on Family Ties Downloads
M. Keith Chen and Ryne Rohla
2017: Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece Downloads
George P Papaioannou, Christos Dikaiakos, Anargyros Dramountanis, Dionysios S Georgiadis and Panagiotis G Papaioannou
2017: Identification of and correction for publication bias Downloads
Isaiah Andrews and Maximilian Kasy
2017: Conditional cores and conditional convex hulls of random sets Downloads
Emmanuel Lepinette and Ilya Molchanov
2017: Optimal Risk Allocation in Reinsurance Networks Downloads
Nicole B\"auerle and Alexander Glauner
2017: Comment on Suzuki's rebuttal of Batra and Casas Downloads
Yoshiaki Nakada
2017: The energy price - commodity output relationship and the commodity price - commodity output relationship in a three-factor, two-good general equilibrium trade model with imported energy Downloads
Yoshiaki Nakada
2017: Constructive Identification of Heterogeneous Elasticities in the Cobb-Douglas Production Function Downloads
Tong Li and Yuya Sasaki
2017: Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model Downloads
Olivares Pablo and Villamor Enrique
2017: Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods Downloads
Slobodan Milovanovi\'c and Victor Shcherbakov
2017: Option pricing for Informed Traders Downloads
Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev and Frank J. Fabozzi
2017: On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models Downloads
Masahiko Egami and Rusudan Kevkhishvili
2017: The Research on the Stagnant Development of Shantou Special Economic Zone Under Reform and Opening-Up Policy Downloads
Bowen Cai
2017: Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison Downloads
Kamilla Sabitova
2017: Equivalence Between Time Consistency and Nested Formula Downloads
Henri G\'erard, Michel De Lara and Jean-Philippe Chancelier
2017: Valuation of equity warrants for uncertain financial market Downloads
Foad Shokrollahi
2017: Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model Downloads
F. M. Stefan and A. P. F. Atman
2017: A New Interpretation of the Economic Complexity Index Downloads
Penny Mealy, J. Doyne Farmer and Alexander Teytelboym
2017: Polynomial Jump-Diffusion Models Downloads
Damir Filipovi\'c and Martin Larsson
2017: Price Optimisation for New Business Downloads
Maissa Tamraz and Yaming Yang
2017: A New Approach for Solving the Market Clearing Problem With Uniform Purchase Price and Curtailable Block Orders Downloads
Iacopo Savelli, Antonio Giannitrapani, Simone Paoletti and Antonio Vicino
2017: Corporate payments networks and credit risk rating Downloads
Elisa Letizia and Fabrizio Lillo
2017: Statistical properties of market collective responses Downloads
Shanshan Wang, Sebastian Neus\"u{\ss} and Thomas Guhr
2017: Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level Downloads
Takashi Kato
2017: Economic Complexity Unfolded: Interpretable Model for the Productive Structure of Economies Downloads
Zoran Utkovski, Melanie F. Pradier, Viktor Stojkoski, Fernando Perez-Cruz and Ljupco Kocarev
2017: Quantum Duality in Mathematical Finance Downloads
Paul McCloud
2017: Influence of jump-at-default in IR and FX on Quanto CDS prices Downloads
A. Itkin, V. Shcherbakov and A. Veygman
2017: Estimation Considerations in Contextual Bandits Downloads
Maria Dimakopoulou, Susan Athey and Guido Imbens
2017: Robust Synthetic Control Downloads
Muhammad Jehangir Amjad, Devavrat Shah and Dennis Shen
2017: Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble Downloads
Martin Herdegen and Sebastian Herrmann
2017: Calibration of Distributionally Robust Empirical Optimization Models Downloads
Jun-Ya Gotoh, Michael Jong Kim and Andrew E. B. Lim
2017: Robust bounds for the American Put Downloads
David Hobson and Dominykas Norgilas
2017: Multi-objective risk-averse two-stage stochastic programming problems Downloads
\c{C}a\u{g}{\i}n Ararat, \"Ozlem \c{C}avu\c{s} and Ali \.Irfan Mahmuto\u{g}ullar{\i}
2017: Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees Downloads
A. Q. Barbi and G. A. Prataviera
2017: Rich or poor: Who should pay higher tax rates? Downloads
Paulo Murilo Castro de Oliveira
2017: Identifying the community structure of the international food-trade multi network Downloads
Sofia Torreggiani, Giuseppe Mangioni, Michael J. Puma and Giorgio Fagiolo
2017: A simple model for forecasting conditional return distributions Downloads
Stanislav Anatolyev and Jozef Baruník
2017: Bank Panics and Fire Sales, Insolvency and Illiquidity Downloads
T. R. Hurd
2017: Generalised empirical likelihood-based kernel density estimation Downloads
Vitaliy Oryshchenko and Richard J. Smith
2017: Black was right: Price is within a factor 2 of Value Downloads
J. P. Bouchaud, S. Ciliberti, Y. Lemp\'eri\`ere, A. Majewski, P. Seager and K. Sin Ronia
2017: Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas Downloads
Yuan Liao and Xiye Yang
2017: Closed-form Solutions of Relativistic Black-Scholes Equations Downloads
Yanlin Qu and Randall R. Rojas
2017: Financial Time Series Prediction Using Deep Learning Downloads
Ariel Navon and Yosi Keller
2017: How fragile are information cascades? Downloads
Yuval Peres, Miklos Z. Racz, Allan Sly and Izabella Stuhl
2017: Testing for observation-dependent regime switching in mixture autoregressive models Downloads
Mika Meitz and Pentti Saikkonen
2017: Nonconcave Robust Optimization under Knightian Uncertainty Downloads
Ariel Neufeld and Mario Sikic
2017: Variance optimal hedging with application to Electricity markets Downloads
Xavier Warin
2017: Optimal portfolio with insider information on the stochastic interest rate Downloads
Bernardo D'Auria, Dolores Garc\'ia Mart\'i and Jos\'e Antonio Salmer\'on
2017: SHOPPER: A Probabilistic Model of Consumer Choice with Substitutes and Complements Downloads
Francisco J. R. Ruiz, Susan Athey and David M. Blei
2017: Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis Downloads
Martin Magris, Jiyeong Kim, Esa Rasanen and Juho Kanniainen
2017: Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets Downloads
Zhepeng Hu, Mindy Mallory, Teresa Serra and Philip Garcia
2017: Portfolio Optimization and Model Predictive Control: A Kinetic Approach Downloads
Torsten Trimborn, Lorenzo Pareschi and Martin Frank
2017: Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon Downloads
Alon Dourban and Liron Yedidsion
2017: Functional central limit theorems for rough volatility Downloads
Blanka Horvath, Antoine Jacquier and Aitor Muguruza
2017: The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective Downloads
Yuri F. Saporito, Xu Yang and Jorge P. Zubelli
2017: Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs Downloads
Zhou Yang, Gechun Liang and Chao Zhou
2017: Implied volatility smile dynamics in the presence of jumps Downloads
Martin Magris, Perttu Barholm and Juho Kanniainen
2017: Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity Downloads
Kevin Fergusson and Eckhard Platen
2017: Optimal Brownian Stopping between radially symmetric marginals in general dimensions Downloads
Nassif Ghoussoub, Young-Heon Kim and Tongseok Lim
2017: Pathwise superhedging on prediction sets Downloads
Daniel Bartl, Michael Kupper and Ariel Neufeld
2017: Identification and Estimation of Spillover Effects in Randomized Experiments Downloads
Gonzalo Vazquez-Bare
2017: Mean Field Limit of a Behavioral Financial Market Model Downloads
Torsten Trimborn, Martin Frank and Stephan Martin
2017: Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Whitney Newey, Sami Stouli and Francis Vella
2017: Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations Downloads
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2017: Identification with Latent Choice Sets: The Case of the Head Start Impact Study Downloads
Vishal Kamat
2017: Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach Downloads
Calisto Guambe and Rodwell Kufakunesu
2017: Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals Downloads
Renko Siebols
2017: A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs Downloads
Arash Fahim and Wan-Yu Tsai
2017: Correction to `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models' Downloads
Martin Keller-Ressel
2017: On Game-Theoretic Risk Management (Part Three) - Modeling and Applications Downloads
Stefan Rass
2017: Equity in Startups Downloads
Herv\'e Lebret
2017: Startups and Stanford University Downloads
Herv\'e Lebret
2017: Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? Downloads
Martin Feldkircher, Florian Huber and Gregor Kastner
2017: Optimizing S-shaped utility and implications for risk management Downloads
John Armstrong and Damiano Brigo
2017: Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint Downloads
Eyal Neuman and Mathieu Rosenbaum
2017: Orthogonal Machine Learning: Power and Limitations Downloads
Lester Mackey, Vasilis Syrgkanis and Ilias Zadik
2017: Pricing of commodity derivatives on processes with memory Downloads
Fred Espen Benth, Asma Khedher and Mich\`ele Vanmaele
2017: Quantization goes Polynomial Downloads
Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini
2017: Nonparametric Identification in Index Models of Link Formation Downloads
Wayne Yuan Gao
2017: Correlations and Clustering in Wholesale Electricity Markets Downloads
Tianyu Cui, Francesco Caravelli and Cozmin Ududec
2017: Artificial Intelligence as Structural Estimation: Economic Interpretations of Deep Blue, Bonanza, and AlphaGo Downloads
Mitsuru Igami
2017: Tests for the weights of the global minimum variance portfolio in a high-dimensional setting Downloads
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya and Wolfgang Schmid
2017: Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem Downloads
Justin Sirignano and Konstantinos Spiliopoulos
2017: The Computational Complexity of Clearing Financial Networks with Credit Default Swaps Downloads
Steffen Schuldenzucker, Sven Seuken and Stefano Battiston
2017: How Facebook drives investor behavior Downloads
Milla Siikanen, Kestutis Baltakys, Hannu K\"arkk\"ainen, Jari Jussila, Ravi Vatrapu, Raghava Mukkamala, Abid Hussain and Juho Kanniainen
2017: Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems Downloads
Aur\'elien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
2017: Additive energy forward curves in a Heath-Jarrow-Morton framework Downloads
Fred Espen Benth, Marco Piccirilli and Tiziano Vargiolu
2017: Tensor Representation in High-Frequency Financial Data for Price Change Prediction Downloads
Dat Thanh Tran, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2017: Multilayer Aggregation of Investor Trading Networks Downloads
Kestutis Baltakys, Juho Kanniainen and Frank Emmert-Streib
2017: Principal Components and Regularized Estimation of Factor Models Downloads
Jushan Bai and Serena Ng
2017: qBitcoin: A Peer-to-Peer Quantum Cash System Downloads
Kazuki Ikeda
2017: Hybrid marked point processes: characterisation, existence and uniqueness Downloads
Maxime Morariu-Patrichi and Mikko S. Pakkanen
2017: Singular Fourier-Pad\'e Series Expansion of European Option Prices Downloads
Tat Lung Chan
2017: Complex Correlation Approach for High Frequency Financial Data Downloads
Mateusz Wilinski, Yuichi Ikeda and Hideaki Aoyama
2017: Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage Downloads
Tyler Abbot
2017: Open Source Fundamental Industry Classification Downloads
Zura Kakushadze and Willie Yu
2017: Financial Series Prediction: Comparison Between Precision of Time Series Models and Machine Learning Methods Downloads
Xin-Yao Qian
2017: Stability of zero-growth economics analysed with a Minskyan model Downloads
Adam B. Barrett
2017: Election Predictions as Martingales: An Arbitrage Approach Downloads
Nassim Nicholas Taleb
2017: Incorporating statistical model error into the calculation of acceptability prices of contingent claims Downloads
Martin Glanzer and Georg Ch. Pflug
2017: Quantifying China's Regional Economic Complexity Downloads
Jian Gao and Tao Zhou
2017: Model Spaces for Risk Measures Downloads
Felix-Benedikt Liebrich and Gregor Svindland
2017: Recovering Linear Equations of XVA in Bilateral Contracts Downloads
Junbeom Lee and Chao Zhou
2017: Solvency II, or How to Sweep the Downside Risk Under the Carpet Downloads
Stefan Weber
2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus Downloads
Takuji Arai and Yuto Imai
2017: Optimal liquidation in a Level-I limit order book for large tick stocks Downloads
Antoine Jacquier and Hao Liu
2017: Conditional nonlinear expectations Downloads
Daniel Bartl
2017: Random matrix approach to estimation of high-dimensional factor models Downloads
Joongyeub Yeo and George Papanicolaou
2017: Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function Downloads
Maria Grossinho, Yaser Kord Faghan and Daniel Sevcovic
2017: Managing Default Contagion in Inhomogeneous Financial Networks Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
2017: Best Subset Binary Prediction Downloads
Le-Yu Chen and Sokbae Lee
2017: Canonical Supermartingale Couplings Downloads
Marcel Nutz and Florian Stebegg
2017: The dividend problem with a finite horizon Downloads
Tiziano De Angelis and Erik Ekstr\"om
2017: Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model Downloads
Jean-Philippe Aguilar, Cyril Coste and Jan Korbel
2017: Sparse Bayesian time-varying covariance estimation in many dimensions Downloads
Gregor Kastner
2017: Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes Downloads
Andrew Papanicolaou and Konstantinos Spiliopoulos
2017: Exact Smooth Term-Structure Estimation Downloads
Damir Filipovi\'c and Sander Willems
2017: A Mean Field Game of Optimal Stopping Downloads
Marcel Nutz
2017: The Mittag-Leffler Phillips Curve Downloads
Tomas Skovranek
2017: Combining Dimension Reduction, Distance Measures and Covariance Downloads
Ravi Kashyap
2017: Optimal Liquidation under Stochastic Liquidity Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2017: General dynamic term structures under default risk Downloads
Claudio Fontana and Thorsten Schmidt
2017: Confidence Intervals for Projections of Partially Identified Parameters Downloads
Hiroaki Kaido, Francesca Molinari and Jörg Stoye
2017: The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages Downloads
Victor Chernozhukov, Ivan Fernandez-Val and Ye Luo
2017: Least squares estimation for the subcritical Heston model based on continuous time observations Downloads
Matyas Barczy, Balazs Nyul and Gyula Pap
2017: Black-Scholes in a CEV random environment Downloads
Antoine Jacquier and Patrick Roome
2017: Russian-Doll Risk Models Downloads
Zura Kakushadze
2017: Is It Possible to OD on Alpha? Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2017: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model Downloads
Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Christian Houdr\'e
2017: Customer Selection Model with Grouping and Hierarchical Ranking Analysis Downloads
Bowen Cai
2017: Dis-embedded Openness: Inequalities in European Economic Integration at the Sectoral Level Downloads
Balazs Vedres and Carl Nordlund
2017: The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes Downloads
Brian P. Hanley
2017: A continuous selection for optimal portfolios under convex risk measures does not always exist Downloads
Michel Baes and Cosimo Munari
2017: On some further properties and application of Weibull-R family of distributions Downloads
Indranil Ghosh and Saralees Nadarajah
2017: Network models of financial systemic risk: A review Downloads
Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi
2017: Stochastic Maximum Principle under Probability Distortion Downloads
Qizhu Liang and Jie Xiong
2017: Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending Downloads
Jessica Foo, Lek-Heng Lim and Ken Sze-Wai Wong
2017: The implied volatility of Forward-Start options: ATM short-time level, skew and curvature Downloads
Elisa Alos, Antoine Jacquier and Jorge Leon
2017: On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model Downloads
Zied Ben Salah and Jos\'e Garrido
2017: Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C Downloads
Florian Knobloch, Hector Pollitt, Unnada Chewpreecha and Jean-Francois Mercure
2017: Statistical validation of financial time series via visibility graph Downloads
Matteo Serafino, Andrea Gabrielli, Guido Caldarelli and Giulio Cimini
2017: Research on ruin probability of risk model based on AR(1) series Downloads
Wenhao Li, Bolong Wang, Tianxiang Shen, Ronghua Zhu and Dehui Wang
2017: Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model Downloads
Jingtang Ma, Wenyuan Li and Harry Zheng
2017: Quantum attacks on Bitcoin, and how to protect against them Downloads
Divesh Aggarwal, Gavin K. Brennen, Troy Lee, Miklos Santha and Marco Tomamichel
2017: Polynomial processes for power prices Downloads
Damir Filipovic, Martin Larsson and Tony Ware
2017: Matrix Completion Methods for Causal Panel Data Models Downloads
Susan Athey, Mohsen Bayati, Nikolay Doudchenko, Guido Imbens and Khashayar Khosravi
2017: From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks Downloads
Mika J. Straka, Guido Caldarelli, Tiziano Squartini and Fabio Saracco
2017: Calibrated Projection in MATLAB: Users' Manual Downloads
Hiroaki Kaido, Francesca Molinari, Jörg Stoye and Matthew Thirkettle
2017: A Mathematical Analysis of Technical Analysis Downloads
Matthew Lorig, Zhou Zhou and Bin Zou
2017: Reference Class Forecasting for Hong Kong's Major Roadworks Projects Downloads
Bent Flyvbjerg, Chi-keung Hon and Wing Huen Fok
2017: Shape-Constrained Density Estimation Via Optimal Transport Downloads
Ryan Cumings
2017: Asymptotic Distribution and Simultaneous Confidence Bands for Ratios of Quantile Functions Downloads
Fabian Dunker, Stephan Klasen and Tatyana Krivobokova
2017: Calibration of Machine Learning Classifiers for Probability of Default Modelling Downloads
Pedro G. Fonseca and Hugo D. Lopes
2017: A Topological Approach to Scaling in Financial Data Downloads
Jean de Carufel, Martin Brooks, Michael Stieber and Paul Britton
2017: Propensity score matching for multiple treatment levels: A CODA-based contribution Downloads
Hajime Seya and Takahiro Yoshida
2017: Existence in Multidimensional Screening with General Nonlinear Preferences Downloads
Kelvin Shuangjian Zhang
2017: $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance Downloads
Peter A. Forsyth and George Labahn
2017: Grasping asymmetric information in market impacts Downloads
Shanshan Wang, Sebastian Neus\"u{\ss} and Thomas Guhr
2017: Electricity Market Theory Based on Continuous Time Commodity Model Downloads
Haoyong Chen and Lijia Han
2017: Computational Methods for Martingale Optimal Transport problems Downloads
Gaoyue Guo and Jan Obloj
2017: On the quadratic variation of the model-free price paths with jumps Downloads
Lesiba. Ch. Galane, Rafa{\l} M. {\L}ochowski and Farai J. Mhlanga
2017: Multilevel estimation of expected exit times and other functionals of stopped diffusions Downloads
Michael B. Giles and Francisco Bernal
2017: A regularity structure for rough volatility Downloads
Christian Bayer, Peter K. Friz, Paul Gassiat, Joerg Martin and Benjamin Stemper
2017: Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures Downloads
Jing-Chao Chen, Yu Zhou and Xi Wang
2017: Frequency Based Index Estimating the Subclusters' Connection Strength Downloads
Lukas Pastorek
2017: Information measure for financial time series: quantifying short-term market heterogeneity Downloads
Linda Ponta, Anna Carbone and Silvano Cincotti
2017: Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs Downloads
Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi
2017: Minimax Linear Estimation at a Boundary Point Downloads
Wayne Gao
2017: Revenue-based Attribution Modeling for Online Advertising Downloads
Kaifeng Zhao, Seyed Hanif Mahboobi and Saeed Bagheri
2017: Spectral Conditions for Existence and Uniqueness of Recursive Utilities Downloads
Jaroslav Borovička and John Stachurski
2017: Navigating dark liquidity (How Fisher catches Poisson in the Dark) Downloads
Ilija I. Zovko
2017: Preliminary steps toward a universal economic dynamics for monetary and fiscal policy Downloads
Yaneer Bar-Yam, Jean Langlois-Meurinne, Mari Kawakatsu and Rodolfo Garcia
2017: Disruptive firms Downloads
Mario Coccia
2017: Geometric Learning and Filtering in Finance Downloads
Anastasis Kratsios and Cody B. Hyndman
2017: Efficient hedging in Bates model using high-order compact finite differences Downloads
Bertram D\"uring and Alexander Pitkin
2017: Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model Downloads
Ziping Zhao and Daniel P. Palomar
2017: Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement Downloads
Michael Ludkovski and James Risk
2017: Dynamic Portfolio Optimization with Looping Contagion Risk Downloads
Longjie Jia, Martijn Pistorius and Harry Zheng
2017: Mean Field Game Approach to Production and Exploration of Exhaustible Commodities Downloads
Michael Ludkovski and Xuwei Yang
2017: Arbitrage-Free Regularization Downloads
Anastasis Kratsios and Cody B. Hyndman
2017: A General Framework for Portfolio Theory. Part II: drawdown risk measures Downloads
Stanislaus Maier-Paape and Qiji Jim Zhu
2017: A General Framework for Portfolio Theory. Part I: theory and various models Downloads
Stanislaus Maier-Paape and Qiji Jim Zhu
2017: Computational Analysis of the structural properties of Economic and Financial Networks Downloads
Frank Emmert-Streib, Aliyu Musa, Kestutis Baltakys, Juho Kanniainen, Shailesh Tripathi, Olli Yli-Harja, Herbert Jodlbauer and Matthias Dehmer
2017: Utility maximization problem under transaction costs: optimal dual processes and stability Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2017: Inference on Auctions with Weak Assumptions on Information Downloads
Vasilis Syrgkanis, Elie Tamer and Juba Ziani
2017: Market impact with multi-timescale liquidity Downloads
Michael Benzaquen and Jean-Philippe Bouchaud
2017: Measuring the gradualist approach to internationalization Downloads
M\'onica Clavel, Jes\'us Arteaga-Ortiz, Rub\'en Fern\'andez-Ortiz and Pablo Dorta-Gonz\'alez
2017: A buffer Hawkes process for limit order books Downloads
Ingemar Kaj and Mine Caglar
2017: A Strategic Investment Framework for Biotechnology Markets via Dynamic Asset Allocation and Class Diversification Downloads
Abhishek Mohan and Agnibho Roy
2017: Large deviations for risk measures in finite mixture models Downloads
Valeria Bignozzi, Claudio Macci and Lea Petrella
2017: Forecasting Across Time Series Databases using Long Short-Term Memory Networks on Groups of Similar Series Downloads
Kasun Bandara, Christoph Bergmeir and Slawek Smyl
2017: Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach Downloads
Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik and Frank J. Fabozzi
2017: Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing Downloads
Svetlozar Rachev, Stoyan Stoyanov and Frank J. Fabozzi
2017: Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL Downloads
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
2017: Short Maturity Forward Start Asian Options in Local Volatility Models Downloads
Dan Pirjol, Jing Wang and Lingjiong Zhu
2017: A Unified Approach on the Local Power of Panel Unit Root Tests Downloads
Zhongwen Liang
2017: When Should You Adjust Standard Errors for Clustering? Downloads
Alberto Abadie, Susan Athey, Guido Imbens and Jeffrey Wooldridge
2017: Robust Forecast Aggregation Downloads
Itai Areili, Yakov Babichenko and Rann Smorodinsky
2017: An Optimized Microeconomic Modeling System for Analyzing Industrial Externalities in Non-OECD Countries Downloads
Agnibho Roy and Abhishek Mohan
2017: Double Functional Median in Robust Prediction of Hierarchical Functional Time Series - An Application to Forecast Internet Service Users Behaviors Downloads
Daniel Kosiorowski, Dominik Mielczarek and Jerzy P. Rydlewski
2017: Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm Downloads
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2017: A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games Downloads
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2017: Intervention On Default Contagion Under Partial Information Downloads
Yang Xu
2017: Finite Time Identification in Unstable Linear Systems Downloads
Mohamad Kazem Shirani Faradonbeh, Ambuj Tewari and George Michailidis
2017: The Chebyshev method for the implied volatility Downloads
Kathrin Glau, Paul Herold, Dilip B. Madan and Christian P\"otz
2017: On Kelly Betting: Some Limitations Downloads
Chung-Han Hsieh and B. Ross Barmish
2017: Kelly Betting Can Be Too Conservative Downloads
Chung-Han Hsieh, B. Ross Barmish and John A. Gubner
2017: On Drawdown-Modulated Feedback Control in Stock Trading Downloads
Chung-Han Hsieh and B. Ross Barmish
2017: On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important Downloads
Chung-Han Hsieh and B. Ross Barmish
2017: Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading Downloads
Xuefeng Gao, Xiang Zhou and Lingjiong Zhu
2017: Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model Downloads
Chuan Goh
2017: Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions Downloads
Igor Halperin
2017: A series representation for the Black-Scholes formula Downloads
Jean-Philippe Aguilar
2017: Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging Downloads
Kamil Kladivko and Mihail Zervos
2017: Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation Downloads
Jinglun Yao, Sabine Laurent and Brice B\'enaben
2017: A Justification of Conditional Confidence Intervals Downloads
Eric Beutner, Alexander Heinemann and Stephan Smeekes
2017: Kelly's Criterion in Portfolio Optimization: A Decoupled Problem Downloads
Zachariah Peterson
2017: A Note on the Multi-Agent Contracts in Continuous Time Downloads
Qi Luo and Romesh Saigal
2017: Obstacle problems for nonlocal operators Downloads
Donatella Danielli, Arshak Petrosyan and Camelia A. Pop
2017: Estimation of Graphical Models using the $L_{1,2}$ Norm Downloads
Khai X. Chiong and Hyungsik Roger Moon
2017: Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions Downloads
Guosheng Hu, Yuxin Hu, Kai Yang, Zehao Yu, Flood Sung, Zhihong Zhang, Fei Xie, Jianguo Liu, Neil Robertson, Timothy Hospedales and Qiangwei Miemie
2017: Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic? Downloads
Mogens Graf Plessen and Alberto Bemporad
2017: Bias Reduction in Instrumental Variable Estimation through First-Stage Shrinkage Downloads
Jann Spiess
2017: Unbiased Shrinkage Estimation Downloads
Jann Spiess
2017: Default Insurance Notes to Implement Venture Banking Downloads
Brian P. Hanley
2017: Unfolding the innovation system for the development of countries: co-evolution of Science, Technology and Production Downloads
Emanuele Pugliese, Giulio Cimini, Aurelio Patelli, Andrea Zaccaria, Luciano Pietronero and Andrea Gabrielli
2017: Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE Downloads
J-F Mercure, H. Pollitt, N. R. Edwards, P. B. Holden, U. Chewpreecha, P. Salas, A. Lam, F. Knobloch and J. Vinuales
2017: Instantaneous order impact and high-frequency strategy optimization in limit order books Downloads
Federico Gonzalez and Mark Schervish
2017: Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science Downloads
Y\'erali Gandica, Marco Valerio Geraci, Sophie B\'ereau and Jean-Yves Gnabo
2017: An Optimal Execution Problem with S-shaped Market Impact Functions Downloads
Takashi Kato
2017: On the minimizers of energy forms with completely monotone kernel Downloads
Alexander Schied and Elias Strehle
2017: Optimal dynamic treatment allocation Downloads
Anders Kock and Martin Thyrsgaard
2017: Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation Downloads
Stanislaw Drozdz, Andrzej Kulig, Jaroslaw Kwapien, Artur Niewiarowski and Marek Stanuszek
2017: Inference on Breakdown Frontiers Downloads
Matthew A. Masten and Alexandre Poirier
2017: Sharp Target Range Strategy for Multiperiod Portfolio Choice by Decensored Least Squares Monte Carlo Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2017: Robust and Consistent Estimation of Generators in Credit Risk Downloads
Greig Smith and Goncalo dos Reis
2017: Efficient Policy Learning Downloads
Susan Athey and Stefan Wager
2017: Structural Propagation in a Production Network with State-Replicating Elasticities Downloads
Satoshi Nakano and Kazuhiko Nishimura
2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets Downloads
Zbigniew Palmowski and Joanna Tumilewicz
2017: Optimality of hybrid continuous and periodic barrier strategies in the dual model Downloads
Jos\'e-Luis P\'erez and Kazutoshi Yamazaki
2017: Optimal portfolio approximation on finite horizons Downloads
Rohini Kumar and Hussein Nasralah
2017: Optimal Shrinkage Estimator for High-Dimensional Mean Vector Downloads
Taras Bodnar, Ostap Okhrin and Nestor Parolya
2017: Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2017: Robust Optimal Investment in Discrete Time for Unbounded Utility Function Downloads
Laurence Carassus and Romain Blanchard
2017: Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets Downloads
David Criens
2017: Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Blaise Melly and Kaspar W\"uthrich
2017: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data Downloads
Mikkel Bennedsen
2017: The Local Fractional Bootstrap Downloads
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen
2017: Do co-jumps impact correlations in currency markets? Downloads
Jozef Baruník and Lukas Vacha
2017: Fighting Uncertainty with Uncertainty: A Baby Step Downloads
Ravi Kashyap
2017: Systemic Risk Management in Financial Networks with Credit Default Swaps Downloads
Matt V. Leduc, Sebastian Poledna and Stefan Thurner
2017: Some Results on Skorokhod Embedding and Robust Hedging with Local Time Downloads
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
2017: A composition between risk and deviation measures Downloads
Marcelo Brutti Righi
2017: Financial Models with Defaultable Num\'eraires Downloads
Travis Fisher, Sergio Pulido and Johannes Ruf
2017: Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models Downloads
Johan Dahlin and Thomas B. Sch\"on
2017: The Limits of Leverage Downloads
Paolo Guasoni and Eberhard Mayerhofer
2017: Product-Mix Auctions and Tropical Geometry Downloads
Ngoc Mai Tran and Josephine Yu
2017: Canonical Sectors and Evolution of Firms in the US Stock Markets Downloads
Lorien X. Hayden, Ricky Chachra, Alexander A. Alemi, Paul H. Ginsparg and James P. Sethna
2017: The ABC of Simulation Estimation with Auxiliary Statistics Downloads
Jean-Jacques Forneron and Serena Ng
2017: Do Classics Exist in Megaproject Management? Downloads
Bent Flyvbjerg and J. Rodney Turner
2017: The tipping point: a mathematical model for the profit-driven abandonment of restaurant tipping Downloads
Sara M. Clifton, Eileen Herbers, Jack Chen and Daniel M. Abrams
2017: A 700-seat no-loss composition for the 2019 European Parliament Downloads
G. R. Grimmett, F. Pukelsheim, V. Ram\'irez Gonz\'alez, W. S{\l}omczy\'nski and K. \.Zyczkowski
2017: Explaining the Mechanism of Growth in the Past Two Million Years Vol. I Downloads
Ron W. Nielsen
2017: Systemic risk in a mean-field model of interbank lending with self-exciting shocks Downloads
Anastasia Borovykh, Andrea Pascucci and Stefano la Rovere
2017: The Strength of Absent Ties: Social Integration via Online Dating Downloads
Josue Ortega and Philipp Hergovich
2017: Distributions of Centrality on Networks Downloads
Krishna Dasaratha
2017: Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps Downloads
J\'er\^ome Spielmann
2017: Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach Downloads
Michael Knaus, Michael Lechner and Anthony Strittmatter
2017: A Structural Model for Fluctuations in Financial Markets Downloads
Kartik Anand, Jonathan Khedair and Reimer Kuehn
2017: Inference for VARs Identified with Sign Restrictions Downloads
Eleonora Granziera, Hyungsik Roger Moon and Frank Schorfheide
2017: Forecasting with Dynamic Panel Data Models Downloads
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
2017: Executive stock option exercise with full and partial information on a drift change point Downloads
Vicky Henderson, Kamil Klad\'ivko and Michael Monoyios
2017: Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach Downloads
Ida Johnsson and Hyungsik Roger Moon
2017: Equilibrium distributions and discrete Schur-constant models Downloads
Anna Casta\~ner and M Merc\`e Claramunt
2017: Wealth distribution in presence of debts. A Fokker--Planck description Downloads
Marco Torregrossa and Giuseppe Toscani
2017: A Deep Efficient Frontier Method for Optimal Investments Downloads
Sang Il Lee and Seong Joon Yoo
2017: Quasi-random Monte Carlo application in CGE systematic sensitivity analysis Downloads
Theodoros Chatzivasileiadis
2017: Inference for Impulse Responses under Model Uncertainty Downloads
Lenard Lieb and Stephan Smeekes
2017: Single market nonparametric identification of multi-attribute hedonic equilibrium models Downloads
Victor Chernozhukov, Alfred Galichon, Marc Henry and Brendan Pass
2017: Kinetic models for goods exchange in a multi-agent market Downloads
Carlo Brugna and Giuseppe Toscani
2017: Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Downloads
Romain Blanchard and Laurence Carassus
2017: Market Delay and G-expectations Downloads
Yan Dolinsky and Jonathan Zouari
2017: Differential Pricing of Traffic in the Internet Downloads
Manjesh K. Hanawal, Shashank Mishra and Yezekael Hayel
2017: Sharp bounds for the Roy model Downloads
Ismael Mourifie, Marc Henry and Romuald Meango
2017: A default system with overspilling contagion Downloads
Delia Coculescu
2017: Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints Downloads
Delia Coculescu and Monique Jeanblanc
2017: Discrete Choice and Rational Inattention: a General Equivalence Result Downloads
Mogens Fosgerau, Emerson Melo, André de Palma and Matthew Shum
2017: Inference on Estimators defined by Mathematical Programming Downloads
Yu-Wei Hsieh, Xiaoxia Shi and Matthew Shum
2017: Pricing derivatives in Hermite markets Downloads
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik and Frank J. Fabozzi
2017: Bounds On Treatment Effects On Transitions Downloads
Johan Vikstr\"om, Geert Ridder and Martin Weidner
2017: Fixed Effect Estimation of Large T Panel Data Models Downloads
Iv\'an Fern\'andez-Val and Martin Weidner
2017: Analytic approach to variance optimization under an $\ell_1$ constraint Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2017: A sentiment-based model for the BitCoin: theory, estimation and option pricing Downloads
Alessandra Cretarola, Gianna Fig\`a-Talamanca and Marco Patacca
2017: Testing the causality of Hawkes processes with time reversal Downloads
Marcus Cordi, Damien Challet and Ioane Muni Toke
2017: Counterparty credit limits: An effective tool for mitigating counterparty risk? Downloads
Martin D. Gould, Nikolaus Hautsch, Sam D. Howison and Mason A. Porter
2017: The Aggregation Property and its Applications to Realised Higher Moments Downloads
Carol Alexander and Johannes Rauch
2017: Option Pricing with Greed and Fear Factor: The Rational Finance Approach Downloads
Svetlozar Rachev, Frank J. Fabozzi and Boryana Racheva-Iotova
2017: The inefficiency of Bitcoin revisited: a dynamic approach Downloads
Aurelio Fernandez Bariviera
2017: Local Volatility Calibration by Optimal Transport Downloads
Ivan Guo, Gr\'egoire Loeper and Shiyi Wang
2017: Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses Downloads
S. Ali Pourmousavi, Mahdi Behrangrad, Ali Jahanbani Ardakani and M. Hashem Nehrir
2017: Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania Downloads
Tudorel Andrei, Bogdan Oancea, Peter Richmond, Gurjeet Dhesi and Claudiu Herteliu
2017: New copulas based on general partitions-of-unity and their applications to risk management (part II) Downloads
Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina
2017: A posteriori multi-stage optimal trading under transaction costs and a diversification constraint Downloads
Mogens Graf Plessen and Alberto Bemporad
2017: Arbitrage and Geometry Downloads
Daniel Q. Naiman and Edward R. Scheinerman
2017: Density of the set of probability measures with the martingale representation property Downloads
Dmitry Kramkov and Sergio Pulido
2017: Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit Downloads
Vladislav Gennadievich Malyshkin
2017: Dead Alphas as Risk Factors Downloads
Zura Kakushadze and Willie Yu
2017: Kinetic theory and Brazilian income distribution Downloads
Igor D. S. Siciliani and Marcelo H. R. Tragtenberg
2017: Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay Downloads
I. D. Kolesin, O. A. Malafeyev, I. V. Zaitseva, A. N. Ermakova and D. V. Shlaev
2017: The bail-out optimal dividend problem under the absolutely continuous condition Downloads
Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Xiang Yu
2017: Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty Downloads
Nikolaus Hautsch and Stefan Voigt
2017: Universal L\'evy's Stable Law of Stock Market and its Characterization Downloads
Takumi Fukunaga and Ken Umeno
2017: Optimal Liquidation Problems in a Randomly-Terminated Horizon Downloads
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu and Tak Kwong Wong
2017: A new approach to the modeling of financial volumes Downloads
Guglielmo D'Amico and Filippo Petroni
2017: Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise Downloads
Weipin Wu, Jianjun Gao, Duan Li and Yun Shi
2017: Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation Downloads
Paolo Di Tella, Martin Haubold and Martin Keller-Ressel
2017: Semi-Static and Sparse Variance-Optimal Hedging Downloads
Paolo Di Tella, Martin Haubold and Martin Keller-Ressel
2017: Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade Downloads
Bogang Jun, Aamena Alshamsi, Jian Gao and Cesar A Hidalgo
2017: Economic Complexity: "Buttarla in caciara" vs a constructive approach Downloads
Luciano Pietronero, Matthieu Cristelli, Andrea Gabrielli, Dario Mazzilli, Emanuele Pugliese, Andrea Tacchella and Andrea Zaccaria
2017: Optimal Inflation Target: Insights from an Agent-Based Model Downloads
Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia and Francesco Zamponi
2017: Random matrix approach for primal-dual portfolio optimization problems Downloads
Daichi Tada, Hisashi Yamamoto and Takashi Shinzato
2017: Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection Downloads
Xiaoguang Huo and Feng Fu
2017: Welfare effects of information and rationality in portfolio decisions under parameter uncertainty Downloads
Michele Longo and Alessandra Mainini
2017: Multivariate Density Modeling for Retirement Finance Downloads
Christopher J. Rook
2017: Random walks and market efficiency in Chinese and Indian equity markets Downloads
Oleg Malafeyev, Achal Awasthi and Kaustubh S. Kambekar
2017: Support Spinor Machine Downloads
Kabin Kanjamapornkul, Richard Pin\v{c}\'ak, Sanphet Chunithpaisan and Erik Barto\v{s}
2017: A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction Downloads
Zheqing Zhu, Jian-guo Liu and Lei Li
2017: Stopping Behaviors of Naive and Non-Committed Sophisticated Agents when They Distort Probability Downloads
Yu-Jui Huang, Adrien Nguyen-Huu and Xun Yu Zhou
2017: Predictive Modeling: An Optimized and Dynamic Solution Framework for Systematic Value Investing Downloads
R. J. Sak
2017: On portfolios generated by optimal transport Downloads
Ting-Kam Leonard Wong
2017: Winning Investment Strategies Based on Financial Crisis Indicators Downloads
Antoine Kornprobst
2017: Implementing Flexible Demand: Real-time Price vs. Market Integration Downloads
Florian K\"uhnlenz, Pedro H. J. Nardelli, Santtu Karhinen and Rauli Svento
2017: Testing if the market microstructure noise is a function of the limit order book Downloads
Simon Clinet and Yoann Potiron
2017: Data science for assessing possible tax income manipulation: The case of Italy Downloads
Marcel Ausloos, Roy Cerqueti and Tariq A. Mir
2017: The microstructure of high frequency markets Downloads
Rene Carmona and Kevin Webster
2017: Backtesting Expected Shortfall: is it really that hard? Downloads
Felix Moldenhauer and Marcin Pitera
2017: A Scaling Limit for Limit Order Books Driven by Hawkes Processes Downloads
Ulrich Horst and Wei Xu
2017: Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets Downloads
Daniela Castro Camilo, Miguel de Carvalho and Jennifer Wadsworth
2017: Risk-Minimizing Hedging of Counterparty Risk Downloads
Lijun Bo, Agostino Capponi and Claudia Ceci
2017: Learning and Equilibrium Refinements in Signalling Games Downloads
Drew Fudenberg and Kevin He
2017: Sharpness of improved Fr\'echet-Hoeffding bounds: an optimal transport approach Downloads
Daniel Bartl, Michael Kupper, Thibaut Lux and Antonis Papapantoleon
2017: An Option Pricing Model with Memory Downloads
Flavia Sancier and Salah Mohammed
2017: Turbocharging Monte Carlo pricing for the rough Bergomi model Downloads
Ryan McCrickerd and Mikko S. Pakkanen
2017: Equilibrium Liquidity Premia Downloads
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
2017: The Universality of Zipf's Law for Time-Dependent Rank-Based Random Systems Downloads
Ricardo Fernholz and Robert Fernholz
2017: Dynamic Quantile Function Models Downloads
Wilson Ye Chen, Gareth W. Peters, Richard H. Gerlach and Scott A. Sisson
2017: A Partial Solution to Continuous Blotto Downloads
Kostyantyn Mazur
2017: Duality for pathwise superhedging in continuous time Downloads
Daniel Bartl, Michael Kupper, David J. Pr\"omel and Ludovic Tangpi
2017: Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: On coherency and other properties of MAXVAR Downloads
Jie Sun and Qiang Yao
2017: How well do experience curves predict technological progress? A method for making distributional forecasts Downloads
François Lafond, Aimee Gotway Bailey, Jan David Bakker, Dylan Rebois, Rubina Zadourian, Patrick McSharry and J. Doyne Farmer
2017: Wisdom of the institutional crowd Downloads
Kevin Primicerio, Damien Challet and Stanislao Gualdi
2017: A review of two decades of correlations, hierarchies, networks and clustering in financial markets Downloads
Gautier Marti, Frank Nielsen, Miko{\l}aj Bi\'nkowski and Philippe Donnat
2017: The amazing power of dimensional analysis: Quantifying market impact Downloads
Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic Tangpi
2017: On utility maximization without passing by the dual problem Downloads
Miklos Rasonyi
2017: Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Downloads
Niushan Gao, Denny H. Leung, Cosimo Munari and Foivos Xanthos
2017: An application of time reversal to credit risk management Downloads
Masahiko Egami and Rusudan Kevkhishvili
2017: A Markovian Model of the Evolving World Input-Output Network Downloads
Vahid Moosavi and Giulio Isacchini
2017: BSDEs with default jump Downloads
Roxana Dumitrescu, Marie-Claire Quenez and Agn\`es Sulem
2017: Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes Downloads
Pedro H. C. Sant'Anna
2017: Regression-based complexity reduction of the dual nested Monte Carlo methods Downloads
Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2017: Mean Field Game of Controls and An Application To Trade Crowding Downloads
Pierre Cardaliaguet and Charles-Albert Lehalle
2017: Constrained Optimal Transport Downloads
Ibrahim Ekren and H. Mete Soner
2017: A superhedging approach to stochastic integration Downloads
Rafa{\l} M. {\L}ochowski, Nicolas Perkowski and David J. Pr\"omel
2017: Are Order Anticipation Strategies Harmful? A Theoretical Approach Downloads
Elias Strehle
2017: Multi-period investment strategies under Cumulative Prospect Theory Downloads
Liurui Deng and Traian A. Pirvu
2017: Financial Market Dynamics: Superdiffusive or not? Downloads
Sandhya Devi
2017: A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models Downloads
Florian Huber, Gregor Kastner and Martin Feldkircher
2017: Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks Downloads
Tiziano Squartini, Assaf Almog, Guido Caldarelli, Iman Lelyveld, Diego Garlaschelli and Giulio Cimini
2017: Monte Carlo Confidence Sets for Identified Sets Downloads
Xiaohong Chen, Timothy Christensen and Elie Tamer
2017: Market Integration in the Prewar Japanese Rice Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Financial equilibrium with asymmetric information and random horizon Downloads
Umut \c{C}etin
2017: On random convex analysis Downloads
Tiexin Guo, Erxin Zhang, Mingzhi Wu, Bixuan Yang, George Yuan and Xiaolin Zeng
2017: Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case Downloads
Dirk Paulsen and Jakob S\"ohl
2017: Duality formulas for robust pricing and hedging in discrete time Downloads
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Downloads
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2017: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market Downloads
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2017: Optimal Rebalancing Frequencies for Multidimensional Portfolios Downloads
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2017: Weakly chained matrices, policy iteration, and impulse control Downloads
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2017: Nonparametric estimates of pricing functionals Downloads
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2017: An Empirical Approach to Financial Crisis Indicators Based on Random Matrices Downloads
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2017: A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time Downloads
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2017: Quantile Hedging in a Semi-Static Market with Model Uncertainty Downloads
Erhan Bayraktar and Gu Wang
2017: Set-valued shortfall and divergence risk measures Downloads
\c{C}a\u{g}{\i}n Ararat, Andreas H. Hamel and Birgit Rudloff
2017: The Futures Premium and Rice Market Efficiency in Prewar Japan Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: On the Hawkes Process with Different Exciting Functions Downloads
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2017: Rebalancing with Linear and Quadratic Costs Downloads
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2017: A hybrid approach for the implementation of the Heston model Downloads
Maya Briani, Lucia Caramellino and Antonino Zanette
2017: A CDS Option Miscellany Downloads
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2017: Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon Downloads
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2017: GDP growth rates as confined L\'evy flights Downloads
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2017: Estimating Cost Savings from Early Cancer Diagnosis Downloads
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2017: Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks Downloads
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2017: Extending Yagil exchange ratio determination model to the case of stochastic dividends Downloads
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2017: Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures Downloads
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2017: Value-at-Risk and Expected Shortfall for the major digital currencies Downloads
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2017: Spontaneous Segregation of Agents Across Double Auction Markets Downloads
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2017: Minimax theorems for American options in incomplete markets without time-consistency Downloads
Denis Belomestny and Volker Kraetschmer
2017: The stabilizing effect of volatility in financial markets Downloads
Davide Valenti, Giorgio Fazio and Bernardo Spagnolo
2017: American options in an imperfect market with default Downloads
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2017: Changing the Direction of the Economic and Demographic Research Downloads
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2017: Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns Downloads
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2017: Significant ties: Identifying relationship lending in temporal interbank networks Downloads
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2017: Default Contagion with Domino Effect, A First Passage Time Approach Downloads
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2017: An equilibrium-conserving taxation scheme for income from capital Downloads
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2017: A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables Downloads
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2017: Promotion through Connections: Favors or Information? Downloads
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2017: Dynamic trading under integer constraints Downloads
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2017: Trends and Risk Premia: Update and Additional Plots Downloads
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2017: Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo Downloads
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2017: Semiparametric GARCH via Bayesian model averaging Downloads
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2017: Haircutting Non-cash Collateral Downloads
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2017: Active Preference Learning for Personalized Portfolio Construction Downloads
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2017: The Keynesian Model in the General Theory: A Tutorial Downloads
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2017: Second order approximations for limit order books Downloads
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2017: Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy Downloads
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2017: Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece Downloads
Panagiotis G. Papaioannou, George P. Papaioannou, Kostas Siettos, Akylas Stratigakos and Christos Dikaiakos
2017: Behind the price: on the role of agent's reflexivity in financial market microstructure Downloads
Paolo Barucca and Fabrizio Lillo
2017: Markov-Modulated Information Flows Downloads
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2017: VIX-linked fees for GMWBs via Explicit Solution Simulation Methods Downloads
Michael A. Kouritzin and Anne MacKay
2017: Systematic Noise: Micro-movements in Equity Options Markets Downloads
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2017: Volatility and Economic Growth in the Twentieth Century Downloads
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2017: Unemployment: Study of Causes and Possible Solutions Downloads
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2017: Dynamic correlations at different time-scales with Empirical Mode Decomposition Downloads
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2017: Fake News in Social Networks Downloads
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2017: Economic Design of Memory-Type Control Charts: The Fallacy of the Formula Proposed by Lorenzen and Vance (1986) Downloads
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2017: BSDEs with weak reflections and partial hedging of American options Downloads
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2017: Portfolio Optimization with Entropic Value-at-Risk Downloads
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2017: Quantum Barro--Gordon Game in Monetary Economics Downloads
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2017: How many paths to simulate correlated Brownian motions? Downloads
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2017: An indifference approach to the cost of capital constraints: KVA and beyond Downloads
Damiano Brigo, Marco Francischello and Andrea Pallavicini
2017: Martingale Benamou--Brenier: a probabilistic perspective Downloads
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2017: Pricing compound and extendible options under mixed fractional Brownian motion with jumps Downloads
Foad Shokrollahi
2017: Generalizations of Szpilrajn's Theorem in economic and game theories Downloads
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2017: Some stylized facts of the Bitcoin market Downloads
Aurelio Fernandez Bariviera, Mar\'ia Jos\'e Basgall, Waldo Hasperu\'e and Marcelo Naiouf
2017: Dynamics of Investor Spanning Trees Around Dot-Com Bubble Downloads
Sindhuja Ranganathan, Mikko Kivel\"a and Juho Kanniainen
2017: Optimum thresholding using mean and conditional mean square error Downloads
Jos\'e E. Figueroa-L\'opez and Cecilia Mancini
2017: Optimal placement of a small order in a diffusive limit order book Downloads
Jos\'e E. Figueroa-L\'opez, Hyoeun Lee and Raghu Pasupathy
2017: Valuation of a Bermudan DB underpin hybrid pension benefit Downloads
Xiaobai Zhu, Mary Hardy and David Saunders
2017: A General Class of Multifractional Processes and its Application to Cross-listing Stocks Downloads
Qidi Peng and Ran Zhao
2017: 729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index) Downloads
Saleh Albeaik, Mary Kaltenberg, Mansour Alsaleh and C\'esar A. Hidalgo
2017: Multi-scale analysis of lead-lag relationships in high-frequency financial markets Downloads
Takaki Hayashi and Yuta Koike
2017: On the overestimation of the largest eigenvalue of a covariance matrix Downloads
Soufiane Hayou
2017: Oil economy phase plot: a physical analogy Downloads
Luciano Celi, Claudio Della Volpe, Luca Pardi and Stefano Siboni
2017: Technology networks: the autocatalytic origins of innovation Downloads
Paolo Zeppini, Evangelos Evangelou, Emanuele Pugliese, Lorenzo Napolitano and Graham Room
2017: Conditional-Mean Hedging Under Transaction Costs in Gaussian Models Downloads
Tommi Sottinen and Lauri Viitasaari
2017: Sure profits via flash strategies and the impossibility of predictable jumps Downloads
Claudio Fontana, Markus Pelger and Eckhard Platen
2017: Decoding Stock Market with Quant Alphas Downloads
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2017: Sequential testing for structural stability in approximate factor models Downloads
Matteo Barigozzi and Lorenzo Trapani
2017: Order Flows and Limit Order Book Resiliency on the Meso-Scale Downloads
Kyle Bechler and Michael Ludkovski
2017: Exact probability distribution function for the volatility of cumulative production Downloads
Rubina Zadourian and Andreas Kl\"umper
2017: Cardinality constrained portfolio selection via factor models Downloads
Juan Francisco Monge
2017: Nonlinear price impact from linear models Downloads
Felix Patzelt and Jean-Philippe Bouchaud
2017: Derivative-Based Optimization with a Non-Smooth Simulated Criterion Downloads
David T. Frazier and Dan Zhu
2017: The phase space structure of the oligopoly dynamical system by means of Darboux integrability Downloads
Adam Krawiec, Tomasz Stachowiak and Marek Szydlowski
2017: Financial option insurance Downloads
Qi-Wen Wang and Jian-Jun Shu
2017: Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach Downloads
Luca Barbaglia, Christophe Croux and Ines Wilms
2017: Model Misspecification in ABC: Consequences and Diagnostics Downloads
David T. Frazier, Christian P. Robert and Judith Rousseau
2017: Machine learning in sentiment reconstruction of the simulated stock market Downloads
Mikhail Goykhman and Ali Teimouri
2017: Optimal Learning and Ellsberg's Urns Downloads
Larry Epstein and Shaolin Ji
2017: On optimal periodic dividend strategies for L\'evy risk processes Downloads
Kei Noba, Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Kouji Yano
2017: A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices Downloads
Mark Higgins
2017: Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities Downloads
Zachary Feinstein, Weijie Pang, Birgit Rudloff, Eric Schaanning, Stephan Sturm and Mackenzie Wildman
2017: Spectral backtests of forecast distributions with application to risk management Downloads
Michael B. Gordy, Hsiao Yen Lok and Alexander J. McNeil
2017: Vector-Valued Multivariate Conditional Value-at-Risk Downloads
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2017: A Mean Field Competition Downloads
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2017: Why we like the ECI+ algorithm Downloads
Andrea Gabrielli, Matthieu Cristelli, Dario Mazzilli, Andrea Tacchella, Andrea Zaccaria and Luciano Pietronero
2017: Lorenz curves interpretations of the Bruss-Duerinckx theorem for resource dependent branching processes Downloads
Alexandre Jacquemain
2017: Stock-flow consistent macroeconomic model with nonuniform distributional constraint Downloads
Aur\'elien Hazan
2017: The "Size Premium" in Equity Markets: Where is the Risk? Downloads
Stefano Ciliberti, Emmanuel S\'eri\'e, Guillaume Simon, Yves Lemp\'eri\`ere and Jean-Philippe Bouchaud
2017: Control-stopping Games for Market Microstructure and Beyond Downloads
Roman Gayduk and Sergey Nadtochiy
2017: Sequential Sampling for CGMY Processes via Decomposition of their Time Changes Downloads
Chengwei Zhang and Zhiyuan Zhang
2017: Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach Downloads
Mariusz Tarnopolski
2017: Universal scaling and nonlinearity of aggregate price impact in financial markets Downloads
Felix Patzelt and Jean-Philippe Bouchaud
2017: Supply and Shorting in Speculative Markets Downloads
Marcel Nutz and Jose Scheinkman
2017: Noisy independent component analysis of auto-correlated components Downloads
Jakob Knollm\"uller and Torsten A. En{\ss}lin
2017: Exploring the relationship between technological improvement and innovation diffusion: An empirical test Downloads
JongRoul Woo and Christopher L. Magee
2017: A fractional reaction-diffusion description of supply and demand Downloads
Michael Benzaquen and Jean-Philippe Bouchaud
2017: A Joint Quantile and Expected Shortfall Regression Framework Downloads
Timo Dimitriadis and Sebastian Bayer
2017: Random Multi-Unit Assignment with Endogenous Quotas Downloads
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2017: Obligations with Physical Delivery in a Multi-Layered Financial Network Downloads
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2017: Discounting with Imperfect Collateral Downloads
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2017: Trading Lightly: Cross-Impact and Optimal Portfolio Execution Downloads
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws Downloads
Masaru Shintani and Ken Umeno
2017: Learning and Type Compatibility in Signalling Games Downloads
Drew Fudenberg and Kevin He
2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model Downloads
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2017: Long and Short Memory in Economics: Fractional-Order Difference and Differentiation Downloads
Vasily E. Tarasov and Valentina V. Tarasova
2017: How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights Downloads
Michele Caraglio, Fulvio Baldovin and Attilio L. Stella
2017: Cross-impact and no-dynamic-arbitrage Downloads
Michael Schneider and Fabrizio Lillo
2017: Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs Downloads
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2017: A diagnostic criterion for approximate factor structure Downloads
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet
2017: Can Agent-Based Models Probe Market Microstructure? Downloads
Donovan Platt and Tim Gebbie
2017: Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Downloads
Olivier Gu\'eant and Jiang Pu
2017: Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model Downloads
R\'uben Sousa, Ana Bela Cruzeiro and Manuel Guerra
2017: 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
2017: A diffusion approximation for limit order book models Downloads
Ulrich Horst and D\"orte Kreher
2017: Generalized Optimal Liquidation Problems Across Multiple Trading Venues Downloads
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu and Tak-Kuen Siu
2017: Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory Downloads
Jean-Francois Mercure
2017: Approximate Residual Balancing: De-Biased Inference of Average Treatment Effects in High Dimensions Downloads
Susan Athey, Guido W. Imbens and Stefan Wager
2017: Random selection of factors approximately preserves correlation structure in a linear factor model Downloads
Antti Tanskanen, Jani Lukkarinen and Kari Vatanen
2017: Tukey's transformational ladder for portfolio management Downloads
Philip Ernst, James Thompson and Yinsen Miao
2017: Unbiased estimation of risk Downloads
Marcin Pitera and Thorsten Schmidt
2017: Comonotonic risk measures in a world without risk-free assets Downloads
Pablo Koch-Medina, Cosimo Munari and Gregor Svindland
2017: Portfolio Selection: The Power of Equal Weight Downloads
Philip Ernst, James Thompson and Yinsen Miao
2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading Downloads
Imke Redeker and Ralf Wunderlich
2017: The role of consumer networks in firms' multi-characteristics competition and market-share inequality Downloads
Antonios Garas and Athanasios Lapatinas
2017: Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets Downloads
Aleksandra Aloric, Peter Sollich, Peter McBurney and Tobias Galla
2017: Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective Downloads
Simone Farinelli and Luisa Tibiletti
2017: American Options with Asymmetric Information and Reflected BSDE Downloads
Neda Esmaeeli and Peter Imkeller
2017: Sorting in Networks: Adversity and Structure Downloads
Andreas Bjerre-Nielsen
2017: Competition and Efficiency of Coalitions in Cournot Games with Uncertainty Downloads
Baosen Zhang, Ramesh Johari and Ram Rajagopal
2017: Asymptotic behaviour of the fractional Heston model Downloads
Hamza Guennoun, Antoine Jacquier, Patrick Roome and Fangwei Shi
2017: An inverse optimal stopping problem for diffusion processes Downloads
Thomas Kruse and Philipp Strack
2017: Hedging in a market with jumps - an FBSDE approach Downloads
Evelina Shamarova and Rui S\'a Pereira
2017: Relationship between Remittances and Macroeconomic Variables in Times of Political and Social Upheaval: Evidence from Tunisia's Arab Spring Downloads
Jamal Bouoiyour, Refk Selmi and Amal Miftah
2017: New Market Creation via Innovation: A Study on Tata Nano Downloads
Swati Singh and Manoj Joshi
2017: Sparse Structural Approach for Rating Transitions Downloads
Volodymyr Perederiy
2017: A risk measure that optimally balances capital determination errors Downloads
Marcelo Brutti Righi
2017: Spurious memory in non-equilibrium stochastic models of imitative behavior Downloads
Vygintas Gontis and Aleksejus Kononovicius
2017: Explicit expressions for European option pricing under a generalized skew normal distribution Downloads
Mahdi Doostparast
2017: Identification of Treatment Effects under Conditional Partial Independence Downloads
Matthew A. Masten and Alexandre Poirier
2017: On the free boundary of an annuity purchase Downloads
Tiziano De Angelis and Gabriele Stabile
2017: Nash equilibria for game contingent claims with utility-based hedging Downloads
Klebert Kentia and Christoph K\"uhn
2017: A hydrodynamic model for cooperating solidary countries Downloads
Roberto De Luca, Marco Di Mauro, Angelo Falzarano and Adele Naddeo
2017: On Biased Correlation Estimation Downloads
Thomas Sch\"urmann and Ingo Hoffmann
2017: Robust Pricing and Hedging around the Globe Downloads
Sebastian Herrmann and Florian Stebegg
2017: Mutation Clusters from Cancer Exome Downloads
Zura Kakushadze and Willie Yu
2017: Ether: Bitcoin's competitor or ally? Downloads
Jamal Bouoiyour and Refk Selmi
2017: On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models Downloads
Mingsi Long and Hongzhong Zhang
2017: Statistical properties and multifractality of Bitcoin Downloads
Tetsuya Takaishi
2017: Stock Prediction: a method based on extraction of news features and recurrent neural networks Downloads
Zeya Zhang, Weizheng Chen and Hongfei Yan
2017: Agent Inspired Trading Using Recurrent Reinforcement Learning and LSTM Neural Networks Downloads
David W. Lu
2017: Extended Gini-type measures of risk and variability Downloads
Mohammed Berkhouch and Ghizlane Lakhnati
2017: Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions Downloads
Pavol Brunovsk\'y, Ale\v{s} \v{C}ern\'y and J\'an Komadel
2017: Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions Downloads
Guilherme Demos and Didier Sornette
2017: An Alternative Estimation of a Time-Varying Parameter Model Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
2017: Geopolitical Model of Investment Project Implementation Downloads
Oleg Malafeyev, Konstantin Farvazov and Olga Zenovich
2017: Impact of the Global Crisis on SME Internal vs. External Financing in China Downloads
ShiXue He and Marcel Ausloos
2017: American Options with Discontinuous Two-Level Caps Downloads
Jerome Detemple and Yerkin Kitapbayev
2017: Contagious disruptions and complexity traps in economic development Downloads
Charles D. Brummitt, Kenan Huremović, Paolo Pin, Matthew H. Bonds and Fernando Vega-Redondo
2017: Improving the Economic Complexity Index Downloads
Saleh Albeaik, Mary Kaltenberg, Mansour Alsaleh and Cesar A. Hidalgo
2017: Correlations and Flow of Information between The New York Times and Stock Markets Downloads
Andr\'es Garc\'ia-Medina, Leonidas Sandoval Junior, Efra\'in Urrutia Ba\~nuelos and A. M. Mart\'inez-Arg\"uello
2017: Network analysis of Japanese global business using quasi-exhaustive micro-data for Japanese overseas subsidiaries Downloads
Jean-Pascal Bassino, Pablo Jensen and Matteo Morini
2017: Sequence Classification of the Limit Order Book using Recurrent Neural Networks Downloads
Matthew F Dixon
2017: Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk Downloads
Xue Dong He and Xianhua Peng
2017: Impact and Recovery Process of Mini Flash Crashes: An Empirical Study Downloads
Tobias Braun, Jonas A. Fiegen, Daniel C. Wagner, Sebastian M. Krause and Thomas Guhr
2017: Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets Downloads
H. -L. Shi and W. -X. Zhou
2017: Power-law tails in the distribution of order imbalance Downloads
T. Zhang, G. -F. Gu, H. -C. Xu, X. Xiong, W. Chen and W. -X. Zhou
2017: Plunges in the Bombay stock exchange: Characteristics and indicators Downloads
Kinjal Banerjee, Chandradew Sharma and N. Bittu
2017: Second order stochastic differential models for financial markets Downloads
Nguyen Tien Zung
2017: Modeling Technical Analysis Downloads
Jun Maeda and Saul D. Jacka
2017: Discrete-type approximations for non-Markovian optimal stopping problems: Part II Downloads
S\'ergio C. Bezerra, Alberto Ohashi and Francesco Russo
2017: Discrete-type approximations for non-Markovian optimal stopping problems: Part I Downloads
Dorival Le\~ao, Alberto Ohashi and Francesco Russo
2017: Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) Downloads
Andrew J. Patton, Johanna F. Ziegel and Rui Chen
2017: Effective risk aversion in thin risk-sharing markets Downloads
Michail Anthropelos, Constantinos Kardaras and Georgios Vichos
2017: Pricing formulae for derivatives in insurance using the Malliavin calculus Downloads
Caroline Hillairet, Ying Jiao and Anthony R\'eveillac
2017: Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case Downloads
Yu-Jui Huang and Zhou Zhou
2017: Surplus-invariant risk measures Downloads
Niushan Gao and Cosimo Munari
2017: Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation) Downloads
Christian P. Fries
2017: Forecasting the U.S. Real House Price Index Downloads
Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou
2017: Transitions between superstatistical regimes: validity, breakdown and applications Downloads
Petr Jizba, Jan Korbel, Hynek Lavi\v{c}ka, Martin Prok\v{s}, V\'aclav Svoboda and Christian Beck
2017: Machine learning application in online lending risk prediction Downloads
Xiaojiao Yu
2017: Good signals gone bad: dynamic signalling with switching efforts Downloads
Sander Heinsalu
2017: Reduced-form framework and superhedging for payment streams under model uncertainty Downloads
Francesca Biagini and Yinglin Zhang
2017: A short introduction to quasi-Monte Carlo option pricing Downloads
Gunther Leobacher
2017: Asymptotics for Greeks under the constant elasticity of variance model Downloads
Oleg L. Kritski and Vladimir F. Zalmezh
2017: How do fishery policies affect Hawaii's longline fishing industry? Calibrating a positive mathematical programming model Downloads
Jonathan R. Sweeney, Richard E. Howitt, Hing Ling Chan, Minling Pan and PingSun Leung
2017: Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution Downloads
Chao Wang, Qian Chen and Richard Gerlach
2017: Markowitz Geometry I Downloads
Valentin Vankov Iliev
2017: A Model of Interbank Flows, Borrowing, and Investing Downloads
Aditya Maheshwari and Andrey Sarantsev
2017: Portfolio Risk Assessment using Copula Models Downloads
Mikhail Semenov and Daulet Smagulov
2017: Banking risk as an epidemiological model: an optimal control approach Downloads
Olena Kostylenko, Helena Sofia Rodrigues and Delfim F. M. Torres
2017: Mean Reversion Trading with Sequential Deadlines and Transaction Costs Downloads
Yerkin Kitapbayev and Tim Leung
2017: The partial damage loss cover ratemaking of the automobile insurance using generalized linear models Downloads
William Guevara-Alarc\'on, Luz Mery Gonz\'alez and Armando Antonio Zarruk
2017: Viability and Arbitrage under Knightian Uncertainty Downloads
Matteo Burzoni, Frank Riedel and H. Mete Soner
2017: The Wealth of Nations: Complexity Science for an Interdisciplinary Approach in Economics Downloads
Klaus Jaffe
2017: Residual Value Forecasting Using Asymmetric Cost Functions Downloads
Korbinian Dress, Stefan Lessmann and Hans-J\"org von Mettenheim
2017: Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models Downloads
Patricia Kisbye and Karem Meier
2017: Coherent diversification in corporate technological portfolios Downloads
Emanuele Pugliese, Lorenzo Napolitano, Andrea Zaccaria and Luciano Pietronero
2017: Model for Constructing an Options Portfolio with a Certain Payoff Function Downloads
Margarita E. Fatyanova and Mikhail E. Semenov
2017: Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model Downloads
Massimo Caccia and Bruno R\'emillard
2017: Option Pricing with Delayed Information Downloads
Tomoyuki Ichiba and Seyyed Mostafa Mousavi
2017: Machine Learning Tests for Effects on Multiple Outcomes Downloads
Jens Ludwig, Sendhil Mullainathan and Jann Spiess
2017: You are in a drawdown. When should you start worrying? Downloads
Adam Rej, Philip Seager and Jean-Philippe Bouchaud
2017: Nonlinear Parabolic Equations arising in Mathematical Finance Downloads
Daniel Sevcovic
2017: Gini estimation under infinite variance Downloads
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
2017: The Bitcoin price formation: Beyond the fundamental sources Downloads
Jamal Bouoiyour and Refk Selmi
2017: Option Pricing in a Regime Switching Stochastic Volatility Model Downloads
Arunangshu Biswas and Anindya Goswami
2017: Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims Downloads
Ariel Neufeld
2017: Multi-state models for evaluating conversion options in life insurance Downloads
Guglielmo D'Amico, Montserrat Guillen, Raimondo Manca and Filippo Petroni
2017: A Model of Wealth Accumulation Downloads
Sylvain Gibaud and Jörgen Weibull
2017: Bonus--malus systems with different claim types and varying deductibles Downloads
Olena Ragulina
2017: Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model Downloads
Dan Pirjol and Lingjiong Zhu
2017: General Price Bounds for Guaranteed Annuity Options Downloads
Raj Kumari Bahl and Sotirios Sabanis
2017: Checking account activity and credit default risk of enterprises: An application of statistical learning methods Downloads
Jinglun Yao, Maxime Levy-Chapira and Mamikon Margaryan
2017: Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function Downloads
Maria Grossinho, Yaser Faghan Kord and Daniel Sevcovic
2017: Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations Downloads
Maria Grossinho, Yaser Faghan Kord and Daniel Sevcovic
2017: Foreign exchange market modelling and an on-line portfolio selection algorithm Downloads
Panpan Ren and Jiang-Lun Wu
2017: Exponential utility maximization and indifference valuation with unbounded payoffs Downloads
Ying Hu, Gechun Liang and Shanjian Tang
2017: Regret-based Selection for Sparse Dynamic Portfolios Downloads
David Puelz, P. Richard Hahn and Carlos Carvalho
2017: A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem Downloads
Zhengyao Jiang, Dixing Xu and Jinjun Liang
2017: Bilateral multifactor CES general equilibrium with state-replicating Armington elasticities Downloads
Jiyoung Kim, Satoshi Nakano and Kazuhiko Nishimura
2017: Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis Downloads
Shanshan Wang and Thomas Guhr
2017: Dividends with random profitability rate Downloads
Max Reppen, Jean-Charles Rochet and H. Mete Soner
2017: Hedging in fractional Black-Scholes model with transaction costs Downloads
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2017: The Action Principle in Market Mechanics Downloads
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2017: Leontief Meets Shannon - Measuring the Complexity of the Economic System Downloads
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2017: Disentangling Price, Risk and Model Risk: V&R measures Downloads
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2017: *K-means and Cluster Models for Cancer Signatures Downloads
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2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data Downloads
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2017: Contagion in financial systems: A Bayesian network approach Downloads
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2017: Trading strategies for stock pairs regarding to the cross-impact cost Downloads
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2017: Efficient asymptotic variance reduction when estimating volatility in high frequency data Downloads
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2017: Economic Accelerator with Memory: Discrete Time Approach Downloads
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2017: Optimal stopping with f -expectations: the irregular case Downloads
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2017: Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience Downloads
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2017: Optimal portfolio selection under vanishing fixed transaction costs Downloads
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2017: On exponential functionals of processes with independent increments Downloads
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2017: The Fatou Closedness under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2017: On Origins of Bubbles Downloads
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2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Downloads
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2017: Generalized Random Forests Downloads
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2017: The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models Downloads
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2017: Long-Term Factorization of Affine Pricing Kernels Downloads
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2017: Decoupling the short- and long-term behavior of stochastic volatility Downloads
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2017: Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model Downloads
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2017: Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR) Downloads
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2017: On American VIX options under the generalized 3/2 and 1/2 models Downloads
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2017: The Jacobi Stochastic Volatility Model Downloads
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2017: Distribution-Constrained Optimal Stopping Downloads
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2017: On the overlaps between eigenvectors of correlated random matrices Downloads
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2017: On an Optimal Extraction Problem with Regime Switching Downloads
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2017: Game options in an imperfect market with default Downloads
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2017: Stochastic control for a class of nonlinear kernels and applications Downloads
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2017: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation Downloads
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2017: Utility Maximisation for Exponential Levy Models with option and information processes Downloads
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2017: Insurance makes wealth grow faster Downloads
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2017: The Theory of a Heliospheric Economy Downloads
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2017: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices Downloads
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2017: Assessment of 48 Stock markets using adaptive multifractal approach Downloads
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2017: The asymptotic smile of a multiscaling stochastic volatility model Downloads
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2017: Implicit transaction costs and the fundamental theorems of asset pricing Downloads
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2017: Hedging in L\'evy Models and the Time Step Equivalent of Jumps Downloads
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2017: Conditional Quantile Processes based on Series or Many Regressors Downloads
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2017: Leverage efficiency Downloads
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2017: On the Structure of General Mean-Variance Hedging Strategies Downloads
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2017: Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market Downloads
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2017: The Role of Money in the Business Cycle Downloads
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2017: Option pricing under fast-varying and rough stochastic volatility Downloads
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2017: An Investigation into Laboucheres Betting System to Improve Odds of Favorable Outcomes to Generate a Positive Externality Empirically Downloads
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2017: Computational aspects of robust optimized certainty equivalents Downloads
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2017: Oscillations in the Tsallis income distribution Downloads
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2017: Extreme portfolio loss correlations in credit risk Downloads
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2017: Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria Downloads
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2017: Hilbert transform, spectral filtering and option pricing Downloads
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2017: Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options Downloads
Dan Pirjol and Lingjiong Zhu
2017: Risk Model Based on General Compound Hawkes Process Downloads
Anatoliy Swishchuk
2017: Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty" Downloads
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2017: Nonseparable Multinomial Choice Models in Cross-Section and Panel Data Downloads
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2017: Intergenerational mobility measures in a bivariate normal model Downloads
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2017: A Possibilistic and Probabilistic Approach to Precautionary Saving Downloads
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2017: General Compound Hawkes Processes in Limit Order Books Downloads
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2017: Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models Downloads
Andrei Cozma and Christoph Reisinger
2017: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets Downloads
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2017: Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market Downloads
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2017: Market Efficiency and Growth Optimal Portfolio Downloads
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2017: Deep Learning in (and of) Agent-Based Models: A Prospectus Downloads
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2017: Symbolic dynamics techniques for complex systems: Application to share price dynamics Downloads
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2017: Speed and biases of Fourier-based pricing choices: A numerical analysis Downloads
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2017: Food Productivity Trends from Hybrid Corn: Statistical Analysis of Patents and Field-test data Downloads
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2017: News-sentiment networks as a risk indicator Downloads
Thomas Forss and Peter Sarlin
2017: Quantifying the Benefits of Infrastructure Sharing Downloads
Matthew Andrews, Milan Bradonjic and Iraj Saniee
2017: Modeling credit default swap premiums with stochastic recovery rate Downloads
Zahra Sokoot, Navideh Modarresi and Farzaneh Niknejad
2017: Transfer entropy between communities in complex networks Downloads
Jan Korbel, Xiongfei Jiang and Bo Zheng
2017: Pathwise large deviations for the Rough Bergomi model Downloads
Antoine Jacquier, Mikko S. Pakkanen and Henry Stone
2017: Realized volatility and parametric estimation of Heston SDEs Downloads
Robert Azencott, Peng Ren and Ilya Timofeyev
2017: Effect of Intellectual Property Policy on the Speed of Technological Advancement Downloads
Ivan D. Breslavsky
2017: Picking Winners: A Framework For Venture Capital Investment Downloads
David Scott Hunter and Tauhid Zaman
2017: Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models Downloads
Neofytos Rodosthenous and Hongzhong Zhang
2017: Portfolio optimization for a large investor controlling market sentiment under partial information Downloads
S\"uhan Altay, Katia Colaneri and Zehra Eksi
2017: Economics of limiting cumulative CO2 emissions Downloads
Ashwin K Seshadri
2017: Analysis of order book flows using a nonparametric estimation of the branching ratio matrix Downloads
Massil Achab, Emmanuel Bacry, Jean-Fran\c{c}ois Muzy and Marcello Rambaldi
2017: Aftershocks in a complex system with catastrophes: Crash of currency exchange rate Downloads
Vasilya Usmanova, Yury V. Lysogorsky and Sumiyoshi Abe
2017: Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2017: Common agency dilemma with information asymmetry in continuous time Downloads
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2017: A Deep Causal Inference Approach to Measuring the Effects of Forming Group Loans in Online Non-profit Microfinance Platform Downloads
Thai T. Pham and Yuanyuan Shen
2017: Most-likely-path in Asian option pricing under local volatility models Downloads
Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
2017: Adaptive Robust Control Under Model Uncertainty Downloads
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin and Monique Jeanblanc
2017: Testing Ambiguity and Machina Preferences Within a Quantum-theoretic Framework for Decision-making Downloads
Diederik Aerts, Suzette Geriente, Catarina Moreira and Sandro Sozzo
2017: Informing Additive Manufacturing technology adoption: total cost and the impact of capacity utilisation Downloads
Martin Baumers, Luca Beltrametti, Angelo Gasparre and Richard Hague
2017: An adverse selection approach to power pricing Downloads
Cl\'emence Alasseur, Ivar Ekeland, Romuald Elie, Nicol\'as Hern\'andez Santib\'a\~nez and Dylan Possama\"i
2017: Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling Downloads
Yaxiong Zeng and Diego Klabjan
2017: Sampling-based vs. Design-based Uncertainty in Regression Analysis Downloads
Alberto Abadie, Susan Athey, Guido W. Imbens and Jeffrey M. Wooldridge
2017: A predictive pan-European economic and production dispatch model for the energy transition in the electricity sector Downloads
Laurent Pagnier and Philippe Jacquod
2017: Pricing Asian options for NIG and VG Levy markets Downloads
Belkacem Berdjane
2017: Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series Downloads
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2017: Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions Downloads
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2017: Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options Downloads
Jean-Pierre Fouque and Yuri F. Saporito
2017: A Game of Nontransitive Dice Downloads
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2017: Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality Downloads
Hynek Lavicka and Jiri Kracik
2017: How fast can one overcome the paradox of the energy transition? A predictive physico-economic model for the European power grid Downloads
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2017: Clearing algorithms and network centrality Downloads
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2017: Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion Downloads
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy and Alexandre Boumezoued
2017: Characterization of the community structure in a large-scale production network in Japan Downloads
Abhijit Chakraborty, Hazem Krichene, Hiroyasu Inoue and Yoshi Fujiwara
2017: Herding boosts too-connected-to-fail risk in stock market of China Downloads
Shan Lu, Jichang Zhao, Huiwen Wang and Ruoen Ren
2017: Application of Differential Equations in Projecting Growth Trajectories Downloads
Ron W. Nielsen
2017: Banks as Tanks: A Continuous-Time Model of Financial Clearing Downloads
Isaac M. Sonin and Konstantin Sonin
2017: Optimal R\'enyi Entropy Portfolios Downloads
Nathan Lassance and Fr\'ed\'eric Vrins
2017: The q-dependent detrended cross-correlation analysis of stock market Downloads
Longfeng Zhao, Wei Li, Andrea Fenu, Boris Podobnik, Yougui Wang and H. Eugene Stanley
2017: Implied Stopping Rules for American Basket Options from Markovian Projection Downloads
Christian Bayer, Juho H\"app\"ol\"a and Ra\'ul Tempone
2017: High-Frequency Jump Analysis of the Bitcoin Market Downloads
Olivier Scaillet, Adrien Treccani and Christopher Trevisan
2017: Extremal Behavior of Long-Term Investors with Power Utility Downloads
Nicole B\"auerle and Stefanie Grether
2017: Mini-symposium on automatic differentiation and its applications in the financial industry Downloads
S\'ebastien Geeraert, Charles-Albert Lehalle, Barak Pearlmutter, Olivier Pironneau and Adil Reghai
2017: Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading Downloads
Dmitry Muravey
2017: Incremental computation of block triangular matrix exponentials with application to option pricing Downloads
Daniel Kressner, Robert Luce and Francesco Statti
2017: The Shapley Value of Digraph Games Downloads
Krishna Khatri
2017: Chebyshev Reduced Basis Function applied to Option Valuation Downloads
Javier de Frutos and Victor Gaton
2017: Empirical analysis of daily cash flow time series and its implications for forecasting Downloads
Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar, Joan Serr\`a, Montserrat Guillen and Francisco J. Martin
2017: Model-free bounds on Value-at-Risk using partial dependence information Downloads
Thibaut Lux and Antonis Papapantoleon
2017: Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures Downloads
Niushan Gao, Denny H. Leung and Foivos Xanthos
2017: Exponential utility maximization under model uncertainty for unbounded endowments Downloads
Daniel Bartl
2017: Bounds for VIX Futures given S&P 500 Smiles Downloads
Julien Guyon, Romain Menegaux and Marcel Nutz
2017: 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
2017: The effect of heterogeneity on flocking behavior and systemic risk Downloads
Fei Fang, Yiwei Sun and Konstantinos Spiliopoulos
2017: On the support of extremal martingale measures with given marginals: the countable case Downloads
Luciano Campi and Claude Martini
2017: Statistical inference for the doubly stochastic self-exciting process Downloads
Simon Clinet and Yoann Potiron
2017: Incentivizing Resilience in Financial Networks Downloads
Matt V. Leduc and Stefan Thurner
2017: Endogenous Formation of Limit Order Books: Dynamics Between Trades Downloads
Roman Gayduk and Sergey Nadtochiy
2017: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty Downloads
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2017: Big is Fragile: An Attempt at Theorizing Scale Downloads
Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance Downloads
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2017: Backtesting Lambda Value at Risk Downloads
Jacopo Corbetta and Ilaria Peri
2017: Funding, repo and credit inclusive valuation as modified option pricing Downloads
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2017: Ruin under stochastic dependence between premium and claim arrivals Downloads
Matija Vidmar
2017: The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew Downloads
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
2017: Nash equilibria for non zero-sum ergodic stochastic differential games Downloads
Samuel N. Cohen and Victor Fedyashov
2017: A martingale representation and risk's decomposition with applications: Mortality/longevity risk and securitization Downloads
Tahir Choulli, Catherine Daveloose and Mich\`ele Vanmaele
2017: Pricing and Referrals in Diffusion on Networks Downloads
Matt V. Leduc, Matthew Jackson and Ramesh Johari
2017: Optimal investment with intermediate consumption under no unbounded profit with bounded risk Downloads
Huy N. Chau, Andrea Cosso, Claudio Fontana and Oleksii Mostovyi
2017: The strong predictable representation property in initially enlarged filtrations under the density hypothesis Downloads
Claudio Fontana
2017: Why Quantitative Structuring? Downloads
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2017: Analysis of cyclical behavior in time series of stock market returns Downloads
Djordje Stratimirovic, Darko Sarvan, Vladimir Miljkovic and Suzana Blesic
2017: Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods Downloads
Johan Dahlin, Mattias Villani and Thomas B. Sch\"on
2017: Randomized versions of Mazur lemma and Krein-Smulian theorem Downloads
Jose Miguel Zapata
2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact Downloads
Paulwin Graewe, Ulrich Horst and Eric S\'er\'e
2017: Parameter estimation for stable distributions with application to commodity futures log returns Downloads
Michael Kateregga, Sure Mataramvura and David Taylor
2017: Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds Downloads
Jaydip Sen and Tamal Datta Chaudhuri
2017: An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector: An Application of the R Programming in Time Series Decomposition and Forecasting Downloads
Jaydip Sen and Tamal Datta Chaudhuri
2017: Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves Downloads
Victor Olkhov
2017: Identification of Credit Risk Based on Cluster Analysis of Account Behaviours Downloads
Maha Bakoben, Tony Bellotti and Niall Adams
2017: Stock Trading Using PE ratio: A Dynamic Bayesian Network Modeling on Behavioral Finance and Fundamental Investment Downloads
Haizhen Wang, Ratthachat Chatpatanasiri and Pairote Sattayatham
2017: Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables Downloads
Victor Olkhov
2017: Trends in Banking 2017 and onwards Downloads
Peter Mitic
2017: Dynamic Index Tracking and Risk Exposure Control Using Derivatives Downloads
Tim Leung and Brian Ward
2017: The Impact of Digital Financial Services on Firm's Performance: a Literature Review Downloads
Tariq Abbasi and Hans Weigand
2017: Standardised Reputation Measurement Downloads
Peter Mitic
2017: Mini-Flash Crashes, Model Risk, and Optimal Execution Downloads
Erhan Bayraktar and Alexander Munk
2017: Growth-Optimal Portfolio Selection under CVaR Constraints Downloads
Guy Uziel and Ran El-Yaniv
2017: The geometry of multi-marginal Skorokhod Embedding Downloads
Mathias Beiglboeck, Alexander Cox and Martin Huesmann
2017: Nonparametric Regressions with Thresholds: Identification and Estimations Downloads
Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen
2017: Financial Time Series Forecasting: Semantic Analysis Of Economic News Downloads
Kateryna Kononova and Anton Dek
2017: Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate Downloads
Zailei Cheng
2017: Data and uncertainty in extreme risks; a nonlinear expectations approach Downloads
Samuel N. Cohen
2017: Sensitivity analysis of the utility maximization problem with respect to model perturbations Downloads
Oleksii Mostovyi and Mihai S\^irbu
2017: Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies Downloads
Yash Sharma
2017: On the Black's equation for the risk tolerance function Downloads
Sigrid K\"allblad and Thaleia Zariphopoulou
2017: Compressing Over-the-Counter Markets Downloads
Marco D'Errico and Tarik Roukny
2017: Wealth dynamics in a sentiment-driven market Downloads
Mikhail Goykhman
2017: Quadratic hedging with multiple assets under illiquidity with applications in energy markets Downloads
Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
2017: CDS Rate Construction Methods by Machine Learning Techniques Downloads
Raymond Brummelhuis and Zhongmin Luo
2017: Conduct Risk - distribution models with very thin Tails Downloads
Peter Mitic
2017: Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility Downloads
David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2017: Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients Downloads
Shaolin Ji, Hanqing Jin and Xiaomin Shi
2017: Analytic techniques for option pricing under a hyperexponential L\'{e}vy model Downloads
Daniel Hackmann
2017: A Novel Approach to Quantification of Model Risk for Practitioners Downloads
Zuzana Krajcovicova, Pedro Pablo Perez-Velasco and Carlos Vazquez
2017: Calibration and Filtering of Exponential L\'evy Option Pricing Models Downloads
Stavros J. Sioutis
2017: Murphy Diagrams: Forecast Evaluation of Expected Shortfall Downloads
Johanna F. Ziegel, Fabian Kr\"uger, Alexander Jordan and Fernando Fasciati
2017: Investing for the Long Run Downloads
Dietmar Leisen and Eckhard Platen
2017: A note on the impact of management fees on the pricing of variable annuity guarantees Downloads
Jin Sun, Pavel V. Shevchenko and Man Chung Fung
2017: Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs Downloads
Miryana Grigorova and Marie-Claire Quenez
2017: Hybrid PDE solver for data-driven problems and modern branching Downloads
Francisco Bernal, Gon\c{c}alo dos Reis and Greig Smith
2017: Polynomial processes in stochastic portfolio theory Downloads
Christa Cuchiero
2017: Maximum Entropy Principle underlying the dynamics of automobile sales Downloads
A. Hernando, D. Villuendas, M. Sulc, R. Hernando, R. Seoane and A. Plastino
2017: Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves Downloads
Rupert Way, François Lafond, J. Doyne Farmer, Fabrizio Lillo and Valentyn Panchenko
2017: Machine Learning Techniques for Mortality Modeling Downloads
Philippe Deprez, Pavel V. Shevchenko and Mario V. W\"uthrich
2017: Benchmark Dataset for Mid-Price Prediction of Limit Order Book data Downloads
Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2017: Unspanned Stochastic Volatility in the Multi-factor CIR Model Downloads
Damir Filipovi\'c, Martin Larsson and Francesco Statti
2017: An equation for a time-dependent profit rate Downloads
Rafael D. Sorkin
2017: Computation of second order price sensitivities in depressed markets Downloads
Youssef El-Khatib and Abdulnasser Hatemi-J
2017: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers Downloads
Masaaki Fujii and Akihiko Takahashi
2017: Optimal consumption of multiple goods in incomplete markets Downloads
Oleksii Mostovyi
2017: The Indirect Effects of FDI on Trade: A Network Perspective Downloads
Paolo Sgrignoli, Rodolfo Metulini, Zhen Zhu and Massimo Riccaboni
2017: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting Downloads
Christa Cuchiero, Irene Klein and Josef Teichmann
2017: The Payoff Region of a Strategic Game and Its Extreme Points Downloads
Yu-Sung Tu and Wei-Torng Juang
2017: Algorithmic trading in a microstructural limit order book model Downloads
Fr\'ed\'eric Abergel, C\^ome Hur\'e and Huy\^en Pham
2017: An Alternative Estimation of Market Volatility based on Fuzzy Transform Downloads
Luigi Troiano, Elena Mejuto Villa and Pravesh Kriplani
2017: The coordination of centralised and distributed generation Downloads
Ren\'e A\"id, Matteo Basei and Huy\^en Pham
2017: Pricing Variance Swaps on Time-Changed Markov Processes Downloads
Peter Carr, Roger Lee and Matthew Lorig
2017: A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes Downloads
Syed Ali Asad Rizvi, Stephen J. Roberts, Michael A. Osborne and Favour Nyikosa
2017: Towards the Exact Simulation Using Hyperbolic Brownian Motion Downloads
Yuuki Ida and Yuri Imamura
2017: Particle systems with singular interaction through hitting times: application in systemic risk modeling Downloads
Sergey Nadtochiy and Mykhaylo Shkolnikov
2017: Portfolio Choice with Small Temporary and Transient Price Impact Downloads
Ibrahim Ekren and Johannes Muhle-Karbe
2017: Are target date funds dinosaurs? Failure to adapt can lead to extinction Downloads
Peter A. Forsyth, Yuying Li and Kenneth R. Vetzal
2017: A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect? Downloads
Stavros Stavroyiannis
2017: Lean derivation of the CRR pricing formula Downloads
Jarno Talponen and Minna Turunen
2017: Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles Downloads
Tushar Vaidya, Carlos Murguia and Georgios Piliouras
2017: Social dynamics of financial networks Downloads
Teruyoshi Kobayashi and Taro Takaguchi
2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network Downloads
Javier Garcia-Bernardo, Jan Fichtner, Eelke M. Heemskerk and Frank W. Takes
2017: Network Structure and Naive Sequential Learning Downloads
Krishna Dasaratha and Kevin He
2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula Downloads
Stefano De Marco and Claude Martini
2017: A generalized public goods game with coupling of individual ability and project benefit Downloads
Li-Xin Zhong, Wen-Juan Xu, Yun-Xin He, Chen-Yang Zhong, Rong-Da Chen, Tian Qiu, Yong-Dong Shi and Fei Ren
2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version Downloads
Ruediger Frey, Lars Roesler and Dan Lu
2017: A Primer on Portfolio Choice with Small Transaction Costs Downloads
Johannes Muhle-Karbe, Max Reppen and H. Mete Soner
2017: Optimal shrinkage-based portfolio selection in high dimensions Downloads
Taras Bodnar, Yarema Okhrin and Nestor Parolya
2017: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations Downloads
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2017: The complex dynamics of products and its asymptotic properties Downloads
Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero
2017: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes Downloads
Camilo Hernandez, Mauricio Junca and Harold Moreno-Franco
2017: Fixed-Effect Regressions on Network Data Downloads
Koen Jochmans and Martin Weidner
2017: Inferring monopartite projections of bipartite networks: an entropy-based approach Downloads
Fabio Saracco, Mika J. Straka, Riccardo Di Clemente, Andrea Gabrielli, Guido Caldarelli and Tiziano Squartini
2017: On the American swaption in the linear-rational framework Downloads
Damir Filipovic and Yerkin Kitapbayev
2017: Utility Indifference Pricing of Insurance Catastrophe Derivatives Downloads
Andreas Eichler, Gunther Leobacher and Michaela Sz\"olgyenyi
2017: Shall I Sell or Shall I Wait? Optimal Liquidation under Partial Information with Price Impact Downloads
Katia Colaneri, Zehra Eksi, R\"udiger Frey and Michaela Sz\"olgyenyi
2017: A note on optimal expected utility of dividend payments with proportional reinsurance Downloads
Xiaoqing Liang and Zbigniew Palmowski
2017: Exponentially concave functions and a new information geometry Downloads
Soumik Pal and Ting-Kam Leonard Wong
2017: Optimal market making Downloads
Olivier Gu\'eant
2017: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications Downloads
Ren\'e A\"id, Matteo Basei, Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2017: Option pricing under fast-varying long-memory stochastic volatility Downloads
Josselin Garnier and Knut Solna
2017: On a hybrid method using trees and finite-differences for pricing options in complex models Downloads
Maya Briani, Lucia Caramellino, Giulia Terenzi and Antonino Zanette
2017: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets Downloads
Dieter Hendricks
2017: A Mathematical Model of Foreign Capital Inflow Downloads
Gopal K. Basak, Pranab Das and Allena Rohit
2017: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study Downloads
Ravi Kashyap
2017: On minimising a portfolio's shortfall probability Downloads
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2017: Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations Downloads
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2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact Downloads
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2017: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping Downloads
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2017: Nonparametric Stochastic Discount Factor Decomposition Downloads
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2017: Multilevel Monte Carlo For Exponential L\'{e}vy Models Downloads
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2017: A market impact game under transient price impact Downloads
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2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces Downloads
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2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management Downloads
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2017: Linear and nonlinear correlations in order aggressiveness of Chinese stocks Downloads
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2017: The effect of the behavior of an average consumer on the public debt dynamics Downloads
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2017: An\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda en Estados Unidos, Canad\'a y M\'exico Downloads
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2017: A Quantum-like Model of Selection Behavior Downloads
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2017: Bayesian Portfolio Selection Downloads
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2017: Stochastic modelling of non-stationary financial assets Downloads
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2017: A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector Downloads
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2017: Stratonovich representation of semimartingale rank processes Downloads
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2017: Multi-Period Trading via Convex Optimization Downloads
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2017: Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix Downloads
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2017: Economic Neutral Position: How to best replicate not fully replicable liabilities Downloads
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2017: Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model Downloads
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2017: Bootstrap-Based Inference for Cube Root Consistent Estimators Downloads
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2017: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process Downloads
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2017: Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle Downloads
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2017: Asymptotic multivariate expectiles Downloads
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2017: The effect of heterogeneity on financial contagion due to overlapping portfolios Downloads
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2017: Pairs Trading under Drift Uncertainty and Risk Penalization Downloads
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2017: A level-1 Limit Order book with time dependent arrival rates Downloads
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2017: On mean-variance hedging under partial observations and terminal wealth constraints Downloads
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2017: Scaling evidence of the homothetic nature of cities Downloads
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2017: Simple wealth distribution model causing inequality-induced crisis without external shocks Downloads
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2017: Fast Quantization of Stochastic Volatility Models Downloads
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2017: Structural price model for electricity coupled markets Downloads
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2017: Anomalous Scaling of Stochastic Processes and the Moses Effect Downloads
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2017: A generalized Bayesian framework for the analysis of subscription based businesses Downloads
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2017: Quantifying instabilities in Financial Markets Downloads
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2017: The case of 'Less is more': Modelling risk-preference with Expected Downside Risk Downloads
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2017: High-order compact finite difference scheme for option pricing in stochastic volatility jump models Downloads
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2017: Best reply structure and equilibrium convergence in generic games Downloads
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2017: Measurement of Economic Growth, Development and Under Development: New Model and Application Downloads
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2017: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging Downloads
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2017: An empirical behavioural order-driven model with price limit rules Downloads
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2017: Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time Downloads
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2017: On Feature Reduction using Deep Learning for Trend Prediction in Finance Downloads
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2017: Bartlett's delta in the SABR model Downloads
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2017: Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility Downloads
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2017: Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics Downloads
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2017: On absence of steady state in the Bouchaud-M\'ezard network model Downloads
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2017: A systemic shock model for too big to fail financial institutions Downloads
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2017: On a pricing problem for a multi-asset option with general transaction costs Downloads
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2017: The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries Downloads
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2017: Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks Downloads
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2017: Multivariate Geometric Expectiles Downloads
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2017: Replica Analysis for Portfolio Optimization with Single-Factor Model Downloads
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2017: ICT and Employment in India: A Sectoral Level Analysis Downloads
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2017: The Wandering of Corn Downloads
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2017: Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios Downloads
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2017: Tests for qualitative features in the random coefficients model Downloads
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2017: Interconnectedness in the Global Financial Market Downloads
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2017: Incorporating Signals into Optimal Trading Downloads
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2017: How Wave - Wavelet Trading Wins and "Beats" the Market Downloads
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2017: Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms Downloads
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2017: Agent-Based Model Calibration using Machine Learning Surrogates Downloads
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2017: Biased Risk Parity with Fractal Model of Risk Downloads
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2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes Downloads
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2017: Performance of information criteria used for model selection of Hawkes process models of financial data Downloads
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2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets Downloads
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2017: Parameter uncertainty and reserve risk under Solvency II Downloads
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2017: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options Downloads
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2017: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting Downloads
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2017: Covariance of random stock prices in the Stochastic Dividend Discount Model Downloads
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2017: Stochastic Tail Exponent For Asymmetric Power Laws Downloads
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2017: The randomised Heston model Downloads
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2017: Bayesian Posteriors For Arbitrarily Rare Events Downloads
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2017: Hedging under generalized good-deal bounds and model uncertainty Downloads
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2017: Existence and uniqueness results for BSDEs with jumps: the whole nine yards Downloads
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2017: On the Optimal Management of Public Debt: a Singular Stochastic Control Problem Downloads
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2017: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Downloads
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2017: Swaption Prices in HJM model. Nonparametric fit Downloads
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2017: Skorohod's representation theorem and optimal strategies for markets with frictions Downloads
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2017: Robust pricing--hedging duality for American options in discrete time financial markets Downloads
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2017: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty Downloads
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2017: Risk contagion under regular variation and asymptotic tail independence Downloads
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2017: Statistical mechanics of complex economies Downloads
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2017: Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables Downloads
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2017: Analysis of Markovian Competitive Situations using Nonatomic Games Downloads
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2017: Game-theoretic Modeling of Players' Ambiguities on External Factors Downloads
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2017: Risk management under Omega measure Downloads
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2017: An Insurance-Led Response to Climate Change Downloads
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2017: Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression Downloads
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2017: Measuring the frequency dynamics of financial connectedness and systemic risk Downloads
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2017: Actuarial Applications and Estimation of Extended~CreditRisk$^+$ Downloads
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2017: Optimal Asset Liquidation with Multiplicative Transient Price Impact Downloads
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2017: The Convexity of the Free Boundary for the American put option Downloads
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2017: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation Downloads
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2017: An Economic analogy to Electrodynamics Downloads
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2017: Machine Learning for Better Models for Predicting Bond Prices Downloads
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2017: Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market Downloads
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2017: Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model Downloads
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2017: Probabilistic Mid- and Long-Term Electricity Price Forecasting Downloads
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2017: Multiperiod Martingale Transport Downloads
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2017: Harry Potter and the Goblin Bank of Gringotts Downloads
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2017: Rational Choice and Artificial Intelligence Downloads
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2017: FIEMS: Fast Italian Energy Market Simulator Downloads
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2017: Smallest order closed sublattices and option spanning Downloads
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2017: Non-parametric and semi-parametric asset pricing Downloads
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2017: Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange Downloads
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2017: A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet Downloads
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2017: Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information Downloads
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2017: Ex-post core, fine core and rational expectations equilibrium allocations Downloads
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2017: Emergence of world-stock-market network Downloads
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2017: Game-Theoretic Protection Against Networked SIS Epidemics by Human Decision-Makers Downloads
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2017: Towards a probability-free theory of continuous martingales Downloads
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2017: A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping Downloads
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2017: Cohort effects in mortality modelling: a Bayesian state-space approach Downloads
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2017: Mean field and n-agent games for optimal investment under relative performance criteria Downloads
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2017: An Agent-based Model of Contagion in Financial Networks Downloads
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2017: Stochastic control on the half-line and applications to the optimal dividend/consumption problem Downloads
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2017: New approaches in agent-based modeling of complex financial systems Downloads
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2017: Direct observation of high-frequency traders' strategies and theoretical foundation for financial Brownian motion Downloads
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2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors Downloads
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2017: Pricing VIX Derivatives With Free Stochastic Volatility Model Downloads
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2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life Downloads
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2017: Short-time near-the-money skew in rough fractional volatility models Downloads
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2017: Perfect hedging in rough Heston models Downloads
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2017: Data driven partition-of-unity copulas with applications to risk management Downloads
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2017: Systemic Risk, Maximum Entropy and Interbank Contagion Downloads
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2017: On representing and hedging claims for coherent risk measures Downloads
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2017: Diffusive and arrested-like dynamics in currency exchange markets Downloads
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2017: Networks as Proxies: a relational approach towards economic complexity in the Roman period Downloads
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2017: Pythagorean theorem of Sharpe ratio Downloads
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2017: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty Downloads
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2017: Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion Downloads
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2017: Blockchains and Distributed Ledgers in Retrospective and Perspective Downloads
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2017: Collective Learning in China's Regional Economic Development Downloads
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2017: Swarm behavior of traders with different subjective predictions in the Market Downloads
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2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies Downloads
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2017: A note on conditional covariance matrices for elliptical distributions Downloads
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2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative Downloads
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2017: Are Trump and Bitcoin Good Partners? Downloads
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2017: Reverse stress testing interbank networks Downloads
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2017: Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly Downloads
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2017: An applied spatial agent-based model of administrative boundaries using SEAL Downloads
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2017: Decision structure of risky choice Downloads
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2017: Multinomial method for option pricing under Variance Gamma Downloads
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2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets Downloads
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2017: Stratified regression-based variance reduction approach for weak approximation schemes Downloads
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2017: "Chaos" in energy and commodity markets: a controversial matter Downloads
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2017: Systemic Risk and Interbank Lending Downloads
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2017: Predictable Forward Performance Processes: The Binomial Case Downloads
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2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix * Downloads
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2017: Option pricing with Legendre polynomials Downloads
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2017: Mixture Diffusion for Asset Pricing Downloads
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2017: Serendipity and strategy in rapid innovation Downloads
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2017: On optimal investment with processes of long or negative memory Downloads
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2017: Information uncertainty related to marked random times and optimal investment Downloads
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2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading Downloads
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2017: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering Downloads
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2017: Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications * Downloads
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2017: Evidence of Self-Organization in Time Series of Capital Markets Downloads
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2017: Getting rich quick with the Axiom of Choice Downloads
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2017: Parisian ruin for a refracted L\'evy process Downloads
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2017: Solving Society's Big Ills, A Small Step Downloads
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2017: Local Parametric Estimation in High Frequency Data Downloads
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2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms Downloads
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2017: Sticky processes, local and true martingales Downloads
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2017: Correction to Black-Scholes formula due to fractional stochastic volatility Downloads
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2017: Maximizing expected utility in the Arbitrage Pricing Model Downloads
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2017: Multivariate Shortfall Risk Allocation and Systemic Risk Downloads
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2017: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
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2017: Singular recursive utility Downloads
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2017: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
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2017: A Markov model of a limit order book: thresholds, recurrence, and trading strategies Downloads
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2017: Pareto Efficient Nash Implementation Via Approval Voting Downloads
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2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$ Downloads
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2017: On Trading American Put Options with Interactive Volatility Downloads
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2017: On Zero-sum Optimal Stopping Games Downloads
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2017: Functional Ito Calculus, Path-dependence and the Computation of Greeks Downloads
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2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations Downloads
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2017: Implied Filtering Densities on Volatility's Hidden State Downloads
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2017: Long-run dynamics of the U.S. patent classification system Downloads
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2017: Optimal Investment and Pricing in the Presence of Defaults Downloads
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2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability Downloads
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2017: Economic inequality and mobility for stochastic models with multiplicative noise Downloads
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2017: Probability density of lognormal fractional SABR model Downloads
Jiro Akahori, Xiaoming Song and Tai-Ho Wang
2017: The short-term price impact of trades is universal Downloads
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2017: A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes Downloads
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2017: Time series momentum and contrarian effects in the Chinese stock market Downloads
Huai-Long Shi and Wei-Xing Zhou
2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund Downloads
Alexander M. G. Cox and Sam M. Kinsley
2017: Structural Change in (Economic) Time Series Downloads
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2017: Evidence for criticality in financial data Downloads
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2017: Relation between regional uncertainty spillovers in the global banking system Downloads
Sachapon Tungsong, Fabio Caccioli and Tomaso Aste
2017: Network-based Anomaly Detection for Insider Trading Downloads
Adarsh Kulkarni, Priya Mani and Carlotta Domeniconi
2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria Downloads
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2017: Estimation for the Prediction of Point Processes with Many Covariates Downloads
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2017: Uncertain Volatility Models with Stochastic Bounds Downloads
Jean-Pierre Fouque and Ning Ning
2017: PyCaMa: Python for cash management Downloads
Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar and Pablo D\'iaz-Garc\'ia
2017: A hybrid approach for risk assessment of loan guarantee network Downloads
Zhibin Niu, Dawei Cheng, Junchi Yan, Jiawan Zhang, Liqing Zhang and Hongyuan Zha
2017: Estimating VaR in credit risk: Aggregate vs single loss distribution Downloads
M. Assadsolimani and D. Chetalova
2017: Regularities and Irregularities in Order Flow Data Downloads
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2017: Labor Contract Law -An Economic View Downloads
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2017: Short Maturity Asian Options for the CEV Model Downloads
Dan Pirjol and Lingjiong Zhu
2017: A Theory of Market Efficiency Downloads
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2017: $L_2$Boosting for Economic Applications Downloads
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2017: Invariance properties in the dynamic gaussian copula model * Downloads
St\'ephane Cr\'epey and Shiqi Song
2017: Estimation of Risk Contributions with MCMC Downloads
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2017: Rough volatility: evidence from option prices Downloads
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2017: Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves Downloads
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2017: One-Switch Discount Functions Downloads
Nina Anchugina
2017: Conditional Davis Pricing Downloads
Kasper Larsen, Halil Mete Soner and Gordan \v{Z}itkovi\'c
2017: The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project Downloads
Dogus Ozuyar, Sevilay Gumus Ozuyar, Oguzhan Karadeniz and Ozge Varol
2017: Existence, uniqueness, and stability of optimal portfolios of eligible assets Downloads
Michel Baes, Pablo Koch-Medina and Cosimo Munari
2017: Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics Downloads
Alex Ushveridze
2017: Existence of a Radner equilibrium in a model with transaction costs Downloads
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2017: Demonetization and Its Impact on Employment in India Downloads
Pawan Kumar
2017: Perfect hedging under endogenous permanent market impacts Downloads
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2017: Hyperbolic Discounting of the Far-Distant Future Downloads
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2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency Downloads
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2017: Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges Downloads
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2017: Monetary value measures in a category of probability spaces Downloads
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2017: Estimation of a noisy subordinated Brownian Motion via two-scales power variations Downloads
Jose E. Figueroa-Lopez and K. Lee
2017: Invariance times Downloads
St\'ephane Cr\'epey and Shiqi Song
2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information Downloads
Diptesh Ghosh and Anindya S. Chakrabarti
2017: Approaches to Asian Option Pricing with Discrete Dividends Downloads
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2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights Downloads
Claude Godreche, Satya N. Majumdar and Gregory Schehr
2017: A confidence-based model for asset and derivative prices in the BitCoin market Downloads
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2017: The valuation of European option with transaction costs by mixed fractional Merton model Downloads
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2017: Zipf's law for share price and company fundamentals Downloads
Taisei Kaizoji and Michiko Miyano
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Marco Pangallo, James Sanders, Tobias Galla and Doyne Farmer
2017: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network Downloads
Vinci Chow
2017: Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method Downloads
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2017: Extremal Quantile Regression: An Overview Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val and Tetsuya Kaji
2017: Volatility Smile as Relativistic Effect Downloads
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2017: Multivariate GARCH with dynamic beta Downloads
Matthias Raddant and Friedrich Wagner
2017: Trader lead-lag networks and order flow prediction Downloads
Damien Challet, R\'emy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
2017: Fractal approach towards power-law coherency to measure cross-correlations between time series Downloads
Ladislav Krištoufek
2017: Elicitability and backtesting: Perspectives for banking regulation Downloads
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2017: Smoothing the payoff for efficient computation of Basket option prices Downloads
Christian Bayer, Markus Siebenmorgen and Raul Tempone
2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Downloads
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2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency Downloads
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2017: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes Downloads
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2017: Affine multiple yield curve models Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
2017: Pathways towards instability in financial networks Downloads
Marco Bardoscia, Stefano Battiston, Fabio Caccioli and Guido Caldarelli
2017: On the existence of shadow prices for optimal investment with random endowment Downloads
Lingqi Gu, Yiqing Lin and Junjian Yang
2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity Downloads
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang, Wei-Xing Zhou and H Eugene Stanley
2017: Equilibrium pricing under relative performance concerns Downloads
Jana Bielagk, Arnaud Lionnet and Goncalo Dos Reis
2017: Why Indexing Works Downloads
J. B. Heaton, N. G. Polson and J. H. Witte
2017: Detecting intraday financial market states using temporal clustering Downloads
Dieter Hendricks, Tim Gebbie and Diane Wilcox
2017: Central Clearing Valuation Adjustment Downloads
Yannick Armenti and St\'ephane Cr\'epey
2017: Incomplete stochastic equilibria for dynamic monetary utility Downloads
Constantinos Kardaras, Hao Xing and Gordan \v{Z}itkovi\'c
2017: Sharper asset ranking from total drawdown durations Downloads
Damien Challet
2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective Downloads
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2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models Downloads
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2017: Measuring Systemic Risk: Robust Ranking Techniques Approach Downloads
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2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream Downloads
James Fan and Christopher Griffin
2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Downloads
Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2017: Modeling non-stationarities in high-frequency financial time series Downloads
Linda Ponta, Mailan Trinh, Marco Raberto, Enrico Scalas and Silvano Cincotti
2017: Fractional delta hedging strategy for pricing currency options with transaction costs Downloads
Foad Shokrollahi
2017: On a class of path-dependent singular stochastic control problems Downloads
Romuald Elie, Ludovic Moreau and Dylan Possama\"i
2017: Understanding food inflation in India: A Machine Learning approach Downloads
Akash Malhotra and Mayank Maloo
2017: Asset liquidation under drift uncertainty and regime-switching volatility Downloads
Juozas Vaicenavicius
2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach Downloads
Rafael Company, Vera Egorova, Lucas J\'odar and Fazlollah Soleymani
2017: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models Downloads
Tomasz R. Bielecki, Igor Cialenco and Marek Rutkowski
2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity Downloads
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2017: A stability result on optimal Skorokhod embedding Downloads
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2017: Supply based on demand dynamical model Downloads
Asaf Levi, Juan Sabuco and Miguel A. F. Sanjuan
2017: Premium valuation for a multiple state model containing manifold premium-paid states Downloads
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2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes Downloads
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2017: Time Series Copulas for Heteroskedastic Data Downloads
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2017: Monotone Martingale Transport Plans and Skorohod Embedding Downloads
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2017: Econophysics Macroeconomic Model Downloads
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2017: Economic Growth Model with Constant Pace and Dynamic Memory Downloads
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2017: A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation Downloads
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2017: Topology data analysis of critical transitions in financial networks Downloads
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2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers Downloads
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2017: Bank monitoring incentives under moral hazard and adverse selection Downloads
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2017: The Value of Timing Risk Downloads
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2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations Downloads
Klaus Ackermann, Simon Angus and Paul Raschky
2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints Downloads
Amir T. Payandeh-Najafabadi and Ali Panahi-Bazaz
2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation Downloads
Amir T. Payandeh Najafabadi and Ali Panahi Bazaz
2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk Downloads
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2017: Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics Downloads
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2017: Mean-Reverting Portfolio Design with Budget Constraint Downloads
Ziping Zhao and Daniel P. Palomar
2017: A geometric approach to the transfer problem for a finite number of traders Downloads
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2017: Interpolating between matching and hedonic pricing models Downloads
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2017: On VIX Futures in the rough Bergomi model Downloads
Antoine Jacquier, Claude Martini and Aitor Muguruza
2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals Downloads
Anulekha Dhara, Bikramjit Das and Karthik Natarajan
2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities Downloads
Seyed Amir Hejazi, Kenneth R. Jackson and Guojun Gan
2017: Optimal Trading with a Trailing Stop Downloads
Tim Leung and Hongzhong Zhang
2017: A Black--Scholes inequality: applications and generalisation Downloads
Michael R. Tehranchi
2017: The structural constraints of income inequality in Latin America Downloads
Dominik Hartmann, Cristian Jara-Figueroa, Miguel Guevara, Alex Simoes and C\'esar A. Hidalgo
2017: Parallelizing Computation of Expected Values in Recombinant Binomial Trees Downloads
Sai K. Popuri, Andrew M. Raim, Nagaraj K. Neerchal and Matthias K. Gobbert
2017: Robust Portfolio Optimisation with Specified Competitors Downloads
Gon\c{c}alo Sim\~oes, Mark McDonald, Stacy Williams, Daniel Fenn and Raphael Hauser
2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps Downloads
Andrey Itkin
2017: Phase-type Approximation of the Gerber-Shiu Function Downloads
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2017: Recursive Marginal Quantization of Higher-Order Schemes Downloads
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2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality Downloads
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2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda? Downloads
Jamal Bouoiyour and Refk Selmi
2017: Stability for gains from large investors' strategies in M1/J1 topologies Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2017: Asset correlation estimation for inhomogeneous exposure pools Downloads
Christoph Wunderer
2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes Downloads
Leif Doering, Blanka Horvath and Josef Teichmann
2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives Downloads
Wenting Chen, Kai Du and Xinzi Qiu
2017: Predicting Economic Recessions Using Machine Learning Algorithms Downloads
Rickard Nyman and Paul Ormerod
2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin Downloads
Victor Haghani and Richard Dewey
2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets Downloads
V. Gontis and A. Kononovicius
2017: Brownian trading excursions and avalanches Downloads
Friedrich Hubalek, Paul Kr\"uhner and Thorsten Rheinl\"ander
2017: Pricing European Options by Stable Fourier-Cosine Series Expansions Downloads
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2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach Downloads
Tim Leung and Yerkin Kitapbayev
2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment Downloads
Medya Siadat and Ola Hammarlid
2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem Downloads
Michael J Bommarito and Daniel Martin Katz
2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics Downloads
Valentina V. Tarasova and Vasily E. Tarasov
2017: Analytic solution to variance optimization with no short-selling Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2017: Information, Impact, Ignorance, Illegality, Investing, and Inequality Downloads
Bruce Knuteson
2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping Downloads
Kiran Sharma, Balagopal Gopalakrishnan, Anindya S. Chakrabarti and Anirban Chakraborti
2017: Price Dynamics Via Expectations, and the Role of Money Therein Downloads
Gesine A. Steudle, Saini Yang and Carlo C. Jaeger
2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data Downloads
Ali Hosseiny and Mauro Gallegati
2017: Intergenerational Equity in a Finite Horizon Downloads
Satoshi Nakano and Kazuhiko Nishimura
2017: Multifactor CES General Equilibrium: Models and Applications Downloads
Jiyoung Kim, Satoshi Nakano and Kazuhiko Nishimura
2017: Statistical Industry Classification Downloads
Zura Kakushadze and Willie Yu
2017: MPDATA Meets Black-Scholes: Derivative Pricing as a Transport Problem Downloads
Sylwester Arabas and Ahmad Farhat
2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions Downloads
Benjamin Jourdain and Alexandre Zhou
2017: Mean field games of timing and models for bank runs Downloads
Rene Carmona, Francois Delarue and Daniel Lacker
2017: A constraint-based framework to study rationality, competition and cooperation in fisheries Downloads
Christian Mullon and Charles Mullon
2017: Factor Models for Cancer Signatures Downloads
Zura Kakushadze and Willie Yu
2017: Concurrent Credit Portfolio Losses Downloads
Joachim Sicking, Thomas Guhr and Rudi Sch\"afer
2017: 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
2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets Downloads
Tomas Krehlik and Jozef Baruník
2017: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
Ravi Kashyap
2017: Statistical Risk Models Downloads
Zura Kakushadze and Willie Yu
2017: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2017: Option Pricing in Markets with Unknown Stochastic Dynamics Downloads
Hanno Gottschalk, Elpida Nizami and Marius Schubert
2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate Downloads
Pavel V. Shevchenko and Xiaolin Luo
2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Downloads
Aur\'elien Hazan
2017: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data Downloads
Richard Y. Chen and Per A. Mykland
2017: Optimal Control of Conditional Value-at-Risk in Continuous Time Downloads
Christopher W. Miller and Insoon Yang
2017: Dynamic programming approach to principal-agent problems Downloads
Jak\v{s}a Cvitani\'c, Dylan Possama\"i and Nizar Touzi
2017: Correlated Poisson processes and self-decomposable laws Downloads
Nicola Cufaro Petroni and Piergiacomo Sabino
2017: Inference in Linear Regression Models with Many Covariates and Heteroskedasticity Downloads
Matias D. Cattaneo, Michael Jansson and Whitney K. Newey
2017: Linking Economic Complexity, Institutions and Income Inequality Downloads
Dominik Hartmann, M. R. Guevara, C. Jara-Figueroa, M. Aristaran and Cesar Hidalgo
2017: An equilibrium model for spot and forward prices of commodities Downloads
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
2017: VWAP Execution as an Optimal Strategy Downloads
Takashi Kato
2017: On the optimal exercise boundaries of swing put options Downloads
Tiziano De Angelis and Yerkin Kitapbayev
2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Downloads
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
2017: A heuristic pricing and hedging framework for multi-currency fixed income desks Downloads
Eduard Gim\'enez, Alberto Elices and Giovanna Villani
2017: Sensitivity analysis in a market with memory Downloads
David R. Banos, Giulia Di Nunno and Frank Proske
2017: On the Market Viability under Proportional Transaction Costs Downloads
Erhan Bayraktar and Xiang Yu
2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games Downloads
Wei He and Yeneng Sun
2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI Downloads
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2017: Deriving Derivatives Downloads
Andrei N. Soklakov
2017: General Smooth Solutions to the HJB PDE: Applications to Finance Downloads
Moawia Alghalith
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