# Papers
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- 2018: The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
*Manfred M. Fischer*, *Florian Huber* and *Michael Pfarrhofer*
- 2018: Explicit Asymptotics on First Passage Times of Diffusion Processes
*Angelos Dassios* and *Luting Li*
- 2018: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
*Erik Schl\"ogl*
- 2018: Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
*Taras Bodnar*, *Dmytro Ivasiuk*, *Nestor Parolya* and *Wofgang Schmid*
- 2018: Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor
*Will Hicks*
- 2018: Shift-Share Designs: Theory and Inference
*Rodrigo Ad\~ao*, *Michal Koles\'ar* and *Eduardo Morales*
- 2018: National debts and government deficits within European Monetary Union: Statistical evidence of economic issues
*Mario Coccia*
- 2018: The evolving networks of debtor-creditor relationships with addition and deletion of nodes: a case of P2P lending
*Lin Chen*, *Ping Li* and *Qiang Li*
- 2018: The Multivariate Kyle model: More is different
*Luis Carlos Garc\'ia del Molino*, *Iacopo Mastromatteo*, *Michael Benzaquen* and *Jean-Philippe Bouchaud*
- 2018: Credit Value Adjustment for Counterparties with Illiquid CDS
*Ola Hammarlid* and *Marta Leniec*
- 2018: Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
*Takeru Matsuda* and *Akimichi Takemura*
- 2018: Measuring the response of gold prices to uncertainty: An analysis beyond the mean
*Jamal Bouoiyour*, *Refk Selmi* and *Mark Wohar*
- 2018: Multifractal characteristics and return predictability in the Chinese stock markets
*Xin-Lan Fu*, *Xing-Lu Gao*, *Zheng Shan*, *Zhi-Qiang Jiang* and *Wei-Xing Zhou*
- 2018: Is VIX still the investor fear gauge? Evidence for the US and BRIC markets
*Marco Neffelli* and *Marina Resta*
- 2018: Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
*Bahman Angoshtari*, *Erhan Bayraktar* and *Virginia R. Young*
- 2018: Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity
*Andriy Norets* and *Justinas Pelenis*
- 2018: Two Different Methods for Modelling the Likely Upper Economic Limit of the Future United Kingdom Wind Fleet
*Anthony D Stephens* and *David R Walwyn*
- 2018: Quantum Nash equilibrium in the thermodynamic limit
*Shubhayan Sarkar* and *Colin Benjamin*
- 2018: Cluster-robust Standard Errors for Linear Regression Models with Many Controls
*Riccardo D'Adamo*
- 2018: On the relation between Sion's minimax theorem and existence of Nash equilibrium in asymmetric multi-players zero-sum game with only one alien
*Atsuhiro Satoh* and *Yasuhito Tanaka*
- 2018: Minimax theorem and Nash equilibrium of symmetric multi-players zero-sum game with two strategic variables
*Masahiko Hattori*, *Atsuhiro Satoh* and *Yasuhito Tanaka*
- 2018: Portfolio Choice with Market-Credit Risk Dependencies
*Lijun Bo* and *Agostino Capponi*
- 2018: Reconstruction methods for networks: the case of economic and financial systems
*Tiziano Squartini*, *Guido Caldarelli*, *Giulio Cimini*, *Andrea Gabrielli* and *Diego Garlaschelli*
- 2018: Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
*Aur\'elien Alfonsi*, *David Krief* and *Peter Tankov*
- 2018: The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations
*John G. Thistle*
- 2018: Exploring the Interconnectedness of Cryptocurrencies using Correlation Networks
*Andrew Burnie*
- 2018: Effect of Climate and Geography on worldwide fine resolution economic activity
*Alberto Troccoli*
- 2018: Tail Risks, Asset prices, and Investment Horizons
*Jozef Barun\'ik* and *Mat\v{e}j Nevrla*
- 2018: Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\'evy Models
*Moustapha Pemy*
- 2018: Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
*Bilgi Yilmaz*
- 2018: Generalized Log-Normal Chain-Ladder
*D. Kuang* and *B. Nielsen*
- 2018: Financial Risk and Returns Prediction with Modular Networked Learning
*Carlos Pedro Gon\c{c}alves*
- 2018: Electronic Market Making and Latency
*Xuefeng Gao* and *Yunhan Wang*
- 2018: A new approach for American option pricing: The Dynamic Chebyshev method
*Kathrin Glau*, *Mirco Mahlstedt* and *Christian P\"otz*
- 2018: A Generalized Framework for Simultaneous Long-Short Feedback Trading
*Joseph D. O'Brien*, *Mark Burke* and *Kevin Burke*
- 2018: Martingales and Super-martingales Relative to a Convex Set of Equivalent Measures
*Nicholas S. Gonchar*
- 2018: Status maximization as a source of fairness in a networked dictator game
*Jan E. Snellman*, *Gerardo I\~niguez*, *J\'anos Kert\'esz*, *R. A. Barrio* and *Kimmo K. Kaski*
- 2018: The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards
*Masahiro Fujimoto*
- 2018: Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
*Karol Gellert* and *Erik Schl\"ogl*
- 2018: Generalized framework for applying the Kelly criterion to stock markets
*Tim Byrnes* and *Tristan Barnett*
- 2018: How much income inequality is fair? Nash bargaining solution and its connection to entropy
*Venkat Venkatasubramanian* and *Yu Luo*
- 2018: A Profit Optimization Approach Based on the Use of Pumped-Hydro Energy Storage Unit and Dynamic Pricing
*Ak{\i}n Ta\c{s}cikarao\u{g}lu* and *Ozan Erdin\c{c}*
- 2018: Weak Correlations of Stocks Future Returns
*Ludovico Latmiral*
- 2018: Stratification Trees for Adaptive Randomization in Randomized Controlled Trials
*Max Tabord-Meehan*
- 2018: Order-book modelling and market making strategies
*Xiaofei Lu* and *Fr\'ed\'eric Abergel*
- 2018: LASSO-Driven Inference in Time and Space
*Victor Chernozhukov*, *Wolfgang K. H\"ardle*, *Chen Huang* and *Weining Wang*
- 2018: Socioeconomic driving forces of scientific research
*Mario Coccia*
- 2018: Plug-in Regularized Estimation of High-Dimensional Parameters in Nonlinear Semiparametric Models
*Victor Chernozhukov*, *Denis Nekipelov*, *Vira Semenova* and *Vasilis Syrgkanis*
- 2018: A hybrid econometric-machine learning approach for relative importance analysis: Food inflation
*Akash Malhotra*
- 2018: Trading algorithms with learning in latent alpha models
*Philippe Casgrain* and *Sebastian Jaimungal*
- 2018: Foreign Exchange Markets with Last Look
*Alvaro Cartea*, *Sebastian Jaimungal* and *Jamie Walton*
- 2018: State and Network Structures of Stock Markets around the Global Financial Crisis
*Jae Woo Lee* and *Ashadun Nobi*
- 2018: Sub-pattern analysis of Chinese guarantee network
*Yingli Wang*, *Xiangyin Chen*, *Xiaoguang Yang* and *Qingpeng Zhang*
- 2018: Asymmetric response to PMI announcements in China's stock returns
*Yingli Wang* and *Xiaoguang Yang*
- 2018: Estimating Trade-Related Adjustment Costs in the Agricultural Sector in Iran
*Omid Karami* and *Mina Mahmoudi*
- 2018: The Role of Agricultural Sector Productivity in Economic Growth: The Case of Iran's Economic Development Plan
*Morteza Tahamipour* and *Mina Mahmoudi*
- 2018: A Growth Model with Unemployment
*Mina Mahmoudi* and *Mark Pingle*
- 2018: Inference under Covariate-Adaptive Randomization with Multiple Treatments
*Federico A. Bugni*, *Ivan A. Canay* and *Azeem M. Shaikh*
- 2018: BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
*Yushi Hamaguchi*
- 2018: Time-inhomogeneous polynomial processes
*Mar\'ia Fernanda del Carmen Agoitia Hurtado* and *Thorsten Schmidt*
- 2018: On critical dynamics and thermodynamic efficiency of urban transformations
*Emanuele Crosato*, *Ramil Nigmatullin* and *Mikhail Prokopenko*
- 2018: On The Calibration of Short-Term Interest Rates Through a CIR Model
*Giuseppe Orlando*, *Rosa Maria Mininni* and *Michele Bufalo*
- 2018: Determining the dimension of factor structures in non-stationary large datasets
*Matteo Barigozzi* and *Lorenzo Trapani*
- 2018: Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications
*Weiping Wu*, *Jianjun Gao*, *Junguo Lu* and *Xun Li*
- 2018: Perturbation analysis of sub/super hedging problems
*Sergey Badikov*, *Mark H. A. Davis* and *Antoine Jacquier*
- 2018: Optimal portfolio selection in an It\^o-Markov additive market
*Zbigniew Palmowski*, *{\L}ukasz Stettner* and *Anna Sulima*
- 2018: Orthogonal Random Forest for Heterogeneous Treatment Effect Estimation
*Miruna Oprescu*, *Vasilis Syrgkanis* and *Zhiwei Steven Wu*
- 2018: Estimation of Covariance Matrices for Portfolio Optimization using Gaussian Processes
*Rajbir-Singh Nirwan* and *Nils Bertschinger*
- 2018: Pricing Engine: Estimating Causal Impacts in Real World Business Settings
*Matt Goldman* and *Brian Quistorff*
- 2018: Driving by the Elderly and their Awareness of their Driving Difficulties (Hebrew)
*Idit Sohlberg*
- 2018: On the Relation Between Linearity-Generating Processes and Linear-Rational Models
*Damir Filipovic*, *Martin Larsson* and *Anders B. Trolle*
- 2018: Stochastic deflator for an economic scenario generator with five factors
*Po-Keng Cheng* and *Fr\'ed\'eric Planchet*
- 2018: Affine processes under parameter uncertainty
*Tolulope Fadina*, *Ariel Neufeld* and *Thorsten Schmidt*
- 2018: Role of Symmetry in Irrational Choice
*Ivan Kozic*
- 2018: Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process
*B. A. Surya*
- 2018: Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices
*Alain B\'elanger*, *Ndoun\'e Ndoun\'e* and *Roland Pongou*
- 2018: High-Dimensional Econometrics and Regularized GMM
*Alexandre Belloni*, *Victor Chernozhukov*, *Denis Chetverikov*, *Christian Hansen* and *Kengo Kato*
- 2018: A Machine Learning Framework for Stock Selection
*XingYu Fu*, *JinHong Du*, *YiFeng Guo*, *MingWen Liu*, *Tao Dong* and *XiuWen Duan*
- 2018: Estimating option prices using multilevel particle filters
*P. P. Osei* and *A. Jasra*
- 2018: Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
*Greg Kirczenow*, *Ali Fathi* and *Matt Davison*
- 2018: Financial asset bubbles in banking networks
*Francesca Biagini*, *Andrea Mazzon* and *Thilo Meyer-Brandis*
- 2018: A Quantitative Analysis of Possible Futures of Autonomous Transport
*Christopher L. Benson*, *Pranav D Sumanth* and *Alina P Colling*
- 2018: Power-law cross-correlations: Issues, solutions and future challenges
*Ladislav Krištoufek*
- 2018: Dynamic optimal contract under parameter uncertainty with risk averse agent and principal
*Kerem Ugurlu*
- 2018: Leave-out estimation of variance components
*Patrick Kline*, *Raffaele Saggio* and *Mikkel S{\o}lvsten*
- 2018: A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs
*Seojeong Lee*
- 2018: Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators
*Seojeong Lee*
- 2018: The Impact of Supervision and Incentive Process in Explaining Wage Profile and Variance
*Nitsa Kasir* and *Idit Sohlberg*
- 2018: Optimal proportional reinsurance and investment for stochastic factor models
*Matteo Brachetta* and *Claudia Ceci*
- 2018: Quasi-experimental Shift-share Research Designs
*Kirill Borusyak*, *Peter Hull* and *Xavier Jaravel*
- 2018: Stability results for martingale representations: the general case
*Antonis Papapantoleon*, *Dylan Possamai* and *Alexandros Saplaouras*
- 2018: Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility
*Jos\'e Igor Morlanes*
- 2018: A Feynman-Kac type formula for a fixed delay CIR model
*Federico Flore* and *Giovanna Nappo*
- 2018: Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators
*Seojeong Lee*
- 2018: Competitive pricing despite search costs if lower price signals quality
*Sander Heinsalu*
- 2018: Convergence to the Mean Field Game Limit: A Case Study
*Marcel Nutz*, *Jaime San Martin* and *Xiaowei Tan*
- 2018: Identification of Conduit Countries and Community Structures in the Withholding Tax Networks
*Tembo Nakamoto* and *Yuichi Ikeda*
- 2018: Ill-posed Estimation in High-Dimensional Models with Instrumental Variables
*Christoph Breunig*, *Enno Mammen* and *Anna Simoni*
- 2018: Trade Network Reconstruction and Simulation with Changes in Trade Policy
*Yuichi Ikeda* and *Hiroshi Iyetomi*
- 2018: The Stock Market Has Grown Unstable Since February 2018
*Blake C. Stacey* and *Yaneer Bar-Yam*
- 2018: A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps
*Tingting Ye* and *Liangliang Zhang*
- 2018: Modeling the residential electricity consumption within a restructured power market
*Chelsea Sun*
- 2018: Efficient Discovery of Heterogeneous Treatment Effects in Randomized Experiments via Anomalous Pattern Detection
*Edward McFowland*, *Sriram Somanchi* and *Daniel B. Neill*
- 2018: Stochastic Dynamic Utilities and Inter-Temporal Preferences
*Marco Maggis*
- 2018: Inference on a Distribution from Noisy Draws
*Koen Jochmans* and *Martin Weidner*
- 2018: Pathwise moderate deviations for option pricing
*Antoine Jacquier* and *Konstantinos Spiliopoulos*
- 2018: Stock management (Gest\~ao de estoques)
*Cainan K. de Oliveira*, *Henrique G. Menck*, *Pedro Y. Takito*, *Eliandro Rodrigues Cirilo*, *Neyva Maria Lopes Romeiro*, *\'Erica R. Takano Natti* and *Paulo Laerte Natti*
- 2018: Information Provision in a Sequential Search Setting
*Artem Hulko* and *Mark Whitmeyer*
- 2018: A Unified Modeling Framework for Life and Non-Life Insurance
*Francesca Biagini* and *Yinglin Zhang*
- 2018: Structural Estimation of Behavioral Heterogeneity
*Zhentao Shi* and *Huanhuan Zheng*
- 2018: Deep Learning for Forecasting Stock Returns in the Cross-Section
*Masaya Abe* and *Hideki Nakayama*
- 2018: The Effect of Partisanship and Political Advertising on Close Family Ties
*M. Keith Chen* and *Ryne Rohla*
- 2018: A New Approach to Electricity Market Clearing With Uniform Purchase Price and Curtailable Block Orders
*Iacopo Savelli*, *Bertrand Corn\'elusse*, *Antonio Giannitrapani*, *Simone Paoletti* and *Antonio Vicino*
- 2018: Improved Density and Distribution Function Estimation
*Vitaliy Oryshchenko* and *Richard J. Smith*
- 2018: Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models
*Cheng-Der Fuh* and *Chuan-Ju Wang*
- 2018: Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models
*Victor Chernozhukov*, *Iv\'an Fern\'andez-Val*, *Whitney Newey*, *Sami Stouli* and *Francis Vella*
- 2018: Orthogonal Machine Learning: Power and Limitations
*Lester Mackey*, *Vasilis Syrgkanis* and *Ilias Zadik*
- 2018: On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
*Zied Ben Salah* and *Jos\'e Garrido*
- 2018: Finite Time Identification in Unstable Linear Systems
*Mohamad Kazem Shirani Faradonbeh*, *Ambuj Tewari* and *George Michailidis*
- 2018: Systemic risk in a mean-field model of interbank lending with self-exciting shocks
*Anastasia Borovykh*, *Andrea Pascucci* and *Stefano la Rovere*
- 2018: On the Bail-Out Optimal Dividend Problem
*Jos\'e-Luis P\'erez*, *Kazutoshi Yamazaki* and *Xiang Yu*
- 2018: Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
*Nikolaus Hautsch* and *Stefan Voigt*
- 2018: Additive energy forward curves in a Heath-Jarrow-Morton framework
*Fred Espen Benth*, *Marco Piccirilli* and *Tiziano Vargiolu*
- 2018: Effective risk aversion in thin risk-sharing markets
*Michail Anthropelos*, *Constantinos Kardaras* and *Georgios Vichos*
- 2018: Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
*Maria Grossinho*, *Yaser Faghan Kord* and *Daniel Sevcovic*
- 2018: General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences
*Tyler Abbot*
- 2018: An adverse selection approach to power pricing
*Cl\'emence Alasseur*, *Ivar Ekeland*, *Romuald Elie*, *Nicol\'as Hern\'andez Santib\'a\~nez* and *Dylan Possama\"i*
- 2018: Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling
*Yaxiong Zeng* and *Diego Klabjan*
- 2018: How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid
*Laurent Pagnier* and *Philippe Jacquod*
- 2018: Incorporating Signals into Optimal Trading
*Charles-Albert Lehalle* and *Eyal Neuman*
- 2018: Incorporating statistical model error into the calculation of acceptability prices of contingent claims
*Martin Glanzer*, *Georg Ch. Pflug* and *Alois Pichler*
- 2018: Network Structure and Naive Sequential Learning
*Krishna Dasaratha* and *Kevin He*
- 2018: Obligations with Physical Delivery in a Multi-Layered Financial Network
*Zachary Feinstein*
- 2018: The Markowitz Category
*John Armstrong*
- 2018: Regression-based complexity reduction of the nested Monte Carlo methods
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 2018: Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
*Moustapha Pemy*
- 2018: Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements
*Sinem Kozp{\i}nar*, *Murat Uzunca*, *Yeliz Yolcu Okur* and *B\"ulent Karas\"ozen*
- 2018: Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market
*Abhijit Chakraborty*, *Soumya Easwaran* and *Sitabhra Sinha*
- 2018: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
*Erhan Bayraktar* and *Xiang Yu*
- 2018: Nonlinear Factor Models for Network and Panel Data
*Mingli Chen*, *Iv\'an Fern\'andez-Val* and *Martin Weidner*
- 2018: Functional Ito Calculus, Path-dependence and the Computation of Greeks
*Samy Jazaerli* and *Yuri F. Saporito*
- 2018: A note comprising a negative resolution of the Efficient Market Hypothesis
*Robert Viragh*
- 2018: Forecasting the value of battery electric vehicles compared to internal combustion engine vehicles: the influence of driving range and battery technology
*JongRoul Woo* and *Christopher L. Magee*
- 2018: Comparing Alternatives to Measure the Impact of DDoS Attack Announcements on Target Stock Prices
*Abhishta*, *Reinoud Joosten* and *Lambert J. M. Nieuwenhuis*
- 2018: Rough but not so Tough: Fast Hybrid Schemes for Fractional Riccati Equations
*Callegaro Giorgia*, *Grasselli Martino* and *Pag\`es Gilles*
- 2018: Cascading Losses in Reinsurance Networks
*Ariah Klages-Mundt* and *Andreea Minca*
- 2018: Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
*Florian Huber* and *Gregor Kastner*
- 2018: Implications of EMU for the European Community
*Chris Kirrane*
- 2018: Lessons from the History of European EMU
*Chris Kirrane*
- 2018: Dynamic Advisor-Based Ensemble (dynABE): Case Study in Stock Trend Prediction of a Major Critical Metal Producer
*Zhengyang Dong*
- 2018: Unravelling Airbnb Predicting Price for New Listing
*Paridhi Choudhary*, *Aniket Jain* and *Rahul Baijal*
- 2018: Elephants, Donkeys, and Colonel Blotto
*Ivan P. Yamshchikov* and *Sharwin Rezagholi*
- 2018: The effect of prudence on the optimal allocation in possibilistic and mixed models
*Irina Georgescu*
- 2018: Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
*Tiziano De Angelis*
- 2018: A New Model for Pricing Collateralized Financial Derivatives
*Tim Xiao*
- 2018: Long Short-Term Memory Networks for CSI300 Volatility Prediction with Baidu Search Volume
*Yu-Long Zhou*, *Ren-Jie Han*, *Qian Xu* and *Wei-Ke Zhang*
- 2018: How do public research labs use funding for research? A case study
*Mario Coccia*
- 2018: Quantitative approach to multifractality induced by correlations and broad distribution of data
*Rafal Rak* and *Dariusz Grech*
- 2018: Mortality/longevity Risk-Minimization with or without securitization
*Tahir Choulli*, *Catherine Daveloose* and *Mich\`ele Vanmaele*
- 2018: A Markov Chain Model for the Cure Rate of Non-Performing Loans
*Vilislav Boutchaktchiev*
- 2018: Justifying the Adoption and Relevance of Inflation Targeting Framework: A Time-Varying Evidence from Ghana
*Nana Kwame Akosah*, *Francis W. Loloh* and *Maurice Omane-Adjepong*
- 2018: A Practical Method of Estimation and Inference for Policy-Relevant Treatment Effects
*Yuya Sasaki* and *Takuya Ura*
- 2018: Neural networks for stock price prediction
*Yue-Gang Song*, *Yu-Long Zhou* and *Ren-Jie Han*
- 2018: Stationarity and ergodicity of vector STAR models
*Igor L. Kheifets* and *Pentti J. Saikkonen*
- 2018: A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality
*Torsten Trimborn*
- 2018: Equilibrium Restrictions and Approximate Models: Pricing Macroeconomic Risk
*Andreas Tryphonides*
- 2018: Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
*Michael Pfarrhofer* and *Philipp Piribauer*
- 2018: A Double Machine Learning Approach to Estimate the Effects of Musical Practice on Student's Skills
*Michael C. Knaus*
- 2018: Cryptocurrency Equilibria Through Game Theoretic Optimization
*Carey Caginalp* and *Gunduz Caginalp*
- 2018: Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
*Michele Leonardo Bianchi*
- 2018: Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
*Dukpa Kim*, *Tatsushi Oka*, *Francisco Estrada* and *Pierre Perron*
- 2018: Self-organized criticality auction model for selling products in real time
*Daniel Fraiman*
- 2018: Forecasting the sustainable status of the labor market in agriculture
*O. A. Malafeyev*, *V. E. Onishenko* and *I. V. Zaytseva*
- 2018: General multilevel Monte Carlo methods for pricing discretely monitored Asian options
*Nabil Kahale*
- 2018: Identification in Nonparametric Models for Dynamic Treatment Effects
*Sukjin Han*
- 2018: Optimal investment for participating insurance contracts under VaR-Regulation
*Thai Nguyen* and *Mitja Stadje*
- 2018: Concentration of dynamic risk measures in a Brownian filtration
*Ludovic Tangpi*
- 2018: Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing
*R. Scott Hacker* and *Abdulnasser Hatemi-J*
- 2018: Sensitivity of Regular Estimators
*Yaroslav Mukhin*
- 2018: Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures
*Richard Gerlach* and *Chao Wang*
- 2018: Machine Learning the Cryptocurrency Market
*Laura Alessandretti*, *Abeer ElBahrawy*, *Luca Maria Aiello* and *Andrea Baronchelli*
- 2018: Impact of Contingent Payments on Systemic Risk in Financial Networks
*Tathagata Banerjee* and *Zachary Feinstein*
- 2018: Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach
*James Paulin*, *Anisoara Calinescu* and *Michael Wooldridge*
- 2018: Multiple Treatments with Strategic Interaction
*Jorge Balat* and *Sukjin Han*
- 2018: On testing substitutability
*Cosmina Croitoru* and *Kurt Mehlhorn*
- 2018: Bitcoin price and its marginal cost of production: support for a fundamental value
*Adam Hayes*
- 2018: Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
*Yu-Jui Huang* and *Saeed Khalili*
- 2018: Algorithmic Trading with Fitted Q Iteration and Heston Model
*Son Le*
- 2018: Asset Price Bubbles: An Option-based Indicator
*Petteri Piiroinen*, *Lassi Roininen*, *Tobias Schoden* and *Martin Simon*
- 2018: Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
*Viet Anh Nguyen*, *Daniel Kuhn* and *Peyman Mohajerin Esfahani*
- 2018: No-arbitrage implies power-law market impact and rough volatility
*Paul Jusselin* and *Mathieu Rosenbaum*
- 2018: A new $\kappa$-deformed parametric model for the size distribution of wealth
*Adams Vallejos*, *Ignacio Ormazabal*, *Felix A. Borotto* and *Hernan F. Astudillo*
- 2018: Mixed integer linear programming: a new approach for instrumental variable quantile regressions and related problems
*Yinchu Zhu*
- 2018: Multi-layered network structure: Relationship between financial and macroeconomic dynamics
*Kiran Sharma*, *Anindya S. Chakrabarti* and *Anirban Chakraborti*
- 2018: Happy family of stable marriages
*Gershon Wolansky*
- 2018: Analyzing order flows in limit order books with ratios of Cox-type intensities
*Ioane Muni Toke* and *Nakahiro Yoshida*
- 2018: Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
*Florian Ziel* and *Rafal Weron*
- 2018: Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions
*William B. Haskell*, *Wenjie Huang* and *Huifu Xu*
- 2018: Utility maximization with proportional transaction costs under model uncertainty
*Shuoqing Deng*, *Xiaolu Tan* and *Xiang Yu*
- 2018: Which portfolio is better? A discussion of several possible comparison criteria
*Henryk Gzyl* and *Alfredo Rios*
- 2018: Data-Driven Investment Decision-Making: Applying Moore's Law and S-Curves to Business Strategies
*Christopher L. Benson* and *Christopher L. Magee*
- 2018: Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
*Ben-zhang Yang*, *Jia Yue*, *Ming-hui Wang* and *Nan-jing Huang*
- 2018: Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis
*Yoshiaki Nakada*
- 2018: Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
*Igor Halperin* and *Ilya Feldshteyn*
- 2018: Can Insider Trading Be Committed Without Trading?
*Russell Stanley Q. Geronimo*
- 2018: Aggregating multiple types of complex data in stock market prediction: A model-independent framework
*Huiwen Wang*, *Shan Lu* and *Jichang Zhao*
- 2018: Nonparametric Bayesian volatility learning under microstructure noise
*Shota Gugushvili*, *Frank van der Meulen*, *Moritz Schauer* and *Peter Spreij*
- 2018: Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
*Michele Leonardo Bianchi* and *Gian Luca Tassinari*
- 2018: Rethinking value creation from the resource based view: the case of human capital in moroccan hotels
*Youssef Ifleh*, *Mohamed Lotfi* and *Mounime Elkabbouri*
- 2018: 'Bosons' and 'fermions' in social and economic systems
*Sergey A. Rashkovskiy*
- 2018: The strong Fatou property of risk measures
*Shengzhong Chen*, *Niushan Gao* and *Foivos Xanthos*
- 2018: Discrete dividend payments in continuous time
*Jussi Keppo*, *Max Reppen* and *H. Mete Soner*
- 2018: The Finite Sample Performance of Treatment Effects Estimators based on the Lasso
*Michael Zimmert*
- 2018: Multifractal analysis of financial markets
*Zhi-Qiang Jiang*, *Wen-Jie Xie*, *Wei-Xing Zhou* and *Didier Sornette*
- 2018: A Dynamic Analysis of Nash Equilibria in Search Models with Fiat Money
*Federico Bonetto* and *Maurizio Iacopetta*
- 2018: Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market
*Wonse Kim* and *Sungjae Jun*
- 2018: The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
*Daniel Guterding* and *Wolfram Boenkost*
- 2018: Bitcoin Risk Modeling with Blockchain Graphs
*Cuneyt Akcora*, *Matthew Dixon*, *Yulia Gel* and *Murat Kantarcioglu*
- 2018: Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
*Levon Avanesyan*, *Mykhaylo Shkolnikov* and *Ronnie Sircar*
- 2018: Network-based indicators of Bitcoin bubbles
*Alexandre Bovet*, *Carlo Campajola*, *Jorge F. Lazo*, *Francesco Mottes*, *Iacopo Pozzana*, *Valerio Restocchi*, *Pietro Saggese*, *Nicol\'o Vallarano*, *Tiziano Squartini* and *Claudio J. Tessone*
- 2018: Network Sensitivity of Systemic Risk
*Domenico Di Gangi*, *D. Ruggiero Lo Sardo*, *Valentina Macchiati*, *Tuan Pham Minh*, *Francesco Pinotti*, *Amanah Ramadiah*, *Mateusz Wilinski* and *Giulio Cimini*
- 2018: Efficiency in Micro-Behaviors and FL Bias
*Kurihara Kazutaka* and *Yohei Tutiya*
- 2018: Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
*Laura Liu*
- 2018: News Sentiment as Leading Indicators for Recessions
*Melody Y. Huang*, *Randall R. Rojas* and *Patrick D. Convery*
- 2018: Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models
*Victor Aguirregabiria*, *Jiaying Gu* and *Yao Luo*
- 2018: A mixture autoregressive model based on Student's $t$-distribution
*Mika Meitz*, *Daniel Preve* and *Pentti Saikkonen*
- 2018: Total, asymmetric and frequency connectedness between oil and forex markets
*Jozef Barun\'ik* and *Ev\v{z}en Ko\v{c}enda*
- 2018: Improving Value-at-Risk prediction under model uncertainty
*Shuzhen Yang* and *Jianfeng Yao*
- 2018: Structural Breaks in Time Series
*Alessandro Casini* and *Pierre Perron*
- 2018: The laws of the evolution of research fields
*Mario Coccia*
- 2018: Future exchange rates and Siegel's paradox
*Keivan Mallahi-Karai* and *Pedram Safari*
- 2018: Investor Reaction to Financial Disclosures Across Topics: An Application of Latent Dirichlet Allocation
*Stefan Feuerriegel* and *Nicolas Pr\"ollochs*
- 2018: Optimal Linear Instrumental Variables Approximations
*Juan Carlos Escanciano* and *Wei Li*
- 2018: Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
*Jaehyuk Choi*
- 2018: A Dynamical Systems Approach to Cryptocurrency Stability
*Carey Caginalp*
- 2018: Analysis of the optimal exercise boundary of American put option with delivery lags
*Gechun Liang* and *Zhou Yang*
- 2018: Optimal make-take fees for market making regulation
*Omar El Euch*, *Thibaut Mastrolia*, *Mathieu Rosenbaum* and *Nizar Touzi*
- 2018: Multiple curve L\'evy forward price model allowing for negative interest rates
*Ernst Eberlein*, *Christoph Gerhart* and *Zorana Grbac*
- 2018: Portfolio Optimization with Delay Factor Models
*Shuenn-Jyi Sheu*, *Li-Hsien Sun* and *Zheng Zhang*
- 2018: Chebyshev Methods for Ultra-efficient Risk Calculations
*Mariano Zeron Medina Laris* and *Ignacio Ruiz*
- 2018: Data-based Automatic Discretization of Nonparametric Distributions
*Alexis Akira Toda*
- 2018: Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
*Foad Shokrollahi*
- 2018: When panic makes you blind: a chaotic route to systemic risk
*Piero Mazzarisi*, *Fabrizio Lillo* and *Stefano Marmi*
- 2018: Endogenous growth - A dynamic technology augmentation of the Solow model
*Murad Kasim*
- 2018: Sentiment-Based Prediction of Alternative Cryptocurrency Price Fluctuations Using Gradient Boosting Tree Model
*Tianyu Ray Li*, *Anup S. Chamrajnagar*, *Xander R. Fong*, *Nicholas R. Rizik* and *Feng Fu*
- 2018: Quantifying macroeconomic expectations in stock markets using Google Trends
*Johannes Bock*
- 2018: Robust Log-Optimal Strategy with Reinforcement Learning
*Yifeng Guo*, *Xingyu Fu*, *Yuyan Shi* and *Mingwen Liu*
- 2018: DeepTriangle: A Deep Learning Approach to Loss Reserving
*Kevin Kuo*
- 2018: Evaluating Hospital Case Cost Prediction Models Using Azure Machine Learning Studio
*Alexei Botchkarev*
- 2018: Should We Adjust for the Test for Pre-trends in Difference-in-Difference Designs?
*Jonathan Roth*
- 2018: Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations
*Ke Wu*, *Spencer Wheatley* and *Didier Sornette*
- 2018: Almost Sure Uniqueness of a Global Minimum Without Convexity
*Gregory Cox*
- 2018: Achieving perfect coordination amongst agents in the co-action minority game
*Hardik Rajpal* and *Deepak Dhar*
- 2018: How Much Data Do You Need? An Operational Metric for Fat-tailedness
*Nassim Nicholas Taleb*
- 2018: Long-Term Unemployed hirings: Should targeted or untargeted policies be preferred?
*Alessandra Pasquini*, *Marco Centra* and *Guido Pellegrini*
- 2018: Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
*Ricardo Crisóstomo* and *Lorena Couso*
- 2018: Protecting Target Zone Currency Markets from Speculative Investors
*Eyal Neuman* and *Alexander Schied*
- 2018: Dynamic Clearing and Contagion in Financial Networks
*Tathagata Banerjee*, *Alex Bernstein* and *Zachary Feinstein*
- 2018: Constructing Metropolis-Hastings proposals using damped BFGS updates
*Johan Dahlin*, *Adrian Wills* and *Brett Ninness*
- 2018: Transition probability of Brownian motion in the octant and its application to default modeling
*Vadim Kaushansky*, *Alexander Lipton* and *Christoph Reisinger*
- 2018: Revisiting the determinacy on New Keynesian Models
*Alberto F. Boix* and *Adri\'an Segura Moreiras*
- 2018: RNN-based counterfactual time-series prediction
*Jason Poulos*
- 2018: A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
*Anshul Verma*, *Riccardo Junior Buonocore* and *Tiziana di Matteo*
- 2018: Universal fluctuations in growth dynamics of economic systems
*Nathan C. Frey*, *Sakib Matin*, *H. Eugene Stanley* and *Michael Salinger*
- 2018: Quantum Bounds for Option Prices
*Paul McCloud*
- 2018: Robust bounds for the American Put
*David Hobson* and *Dominykas Norgilas*
- 2018: Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
*Ariel Neufeld* and *Mario Sikic*
- 2018: Portfolio Optimization and Model Predictive Control: A Kinetic Approach
*Torsten Trimborn*, *Lorenzo Pareschi* and *Martin Frank*
- 2018: Identification and Estimation of Spillover Effects in Randomized Experiments
*Gonzalo Vazquez-Bare*
- 2018: Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2018: Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
*Eyal Neuman* and *Mathieu Rosenbaum*
- 2018: Nonparametric Identification in Index Models of Link Formation
*Wayne Gao*
- 2018: Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C
*Florian Knobloch*, *Hector Pollitt*, *Unnada Chewpreecha*, *Vassilis Daioglou* and *Jean-Francois Mercure*
- 2018: On the quadratic variation of the model-free price paths with jumps
*Lesiba Ch. Galane*, *Rafa{\l} M. {\L}ochowski* and *Farai J. Mhlanga*
- 2018: Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
*Michael Ludkovski* and *James Risk*
- 2018: Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach
*Michael Knaus*, *Michael Lechner* and *Anthony Strittmatter*
- 2018: Inference for Impulse Responses under Model Uncertainty
*Lenard Lieb* and *Stephan Smeekes*
- 2018: Facebook drives behavior of passive households in stock markets
*Milla Siikanen*, *K\k{e}stutis Baltakys*, *Juho Kanniainen*, *Ravi Vatrapu*, *Raghava Mukkamala* and *Abid Hussain*
- 2018: General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
*Yu-Jui Huang*, *Adrien Nguyen-Huu* and *Xun Yu Zhou*
- 2018: Multilayer Aggregation with Statistical Validation: Application to Investor Networks
*K\k{e}stutis Baltakys*, *Juho Kanniainen* and *Frank Emmert-Streib*
- 2018: Statistical properties and multifractality of Bitcoin
*Tetsuya Takaishi*
- 2018: The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
*Yu-Jui Huang* and *Zhou Zhou*
- 2018: Surplus-invariant risk measures
*Niushan Gao* and *Cosimo Munari*
- 2018: Universality of Zipf's Law for Time-Dependent Rank-Based Systems
*Ricardo Fernholz* and *Robert Fernholz*
- 2018: Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty"
*Anis Matoussi*, *Dylan Possama\"i* and *Chao Zhou*
- 2018: Nonseparable Multinomial Choice Models in Cross-Section and Panel Data
*Victor Chernozhukov*, *Iv\'an Fern\'andez-Val* and *Whitney Newey*
- 2018: Speed and biases of Fourier-based pricing choices: A numerical analysis
*Ricardo Cris\'ostomo*
- 2018: News-sentiment networks as a risk indicator
*Thomas Forss* and *Peter Sarlin*
- 2018: Periodic strategies in optimal execution with multiplicative price impact
*Daniel Hern\'andez-Hern\'andez*, *Harold A. Moreno-Franco* and *Jos\'e Luis P\'erez*
- 2018: Economic Neutral Position: How to best replicate not fully replicable liabilities
*Andreas Kunz* and *Markus Popp*
- 2018: Exploring the relationship between technological improvement and innovation diffusion: An empirical test
*JongRoul Woo* and *Christopher L. Magee*
- 2018: Probabilistic Mid- and Long-Term Electricity Price Forecasting
*Florian Ziel* and *Rick Steinert*
- 2018: A review of two decades of correlations, hierarchies, networks and clustering in financial markets
*Gautier Marti*, *Frank Nielsen*, *Miko{\l}aj Bi\'nkowski* and *Philippe Donnat*
- 2018: An application of time reversal to credit risk management
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2018: Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes
*Demian Pouzo*, *Zacharias Psaradakis* and *Martin Sola*
- 2018: Predictable Forward Performance Processes: The Binomial Case
*Bahman Angoshtari*, *Thaleia Zariphopoulou* and *Xun Yu Zhou*
- 2018: Robust Utility Maximization in Discrete-Time Markets with Friction
*Ariel Neufeld* and *Mario Sikic*
- 2018: Epidemics of Liquidity Shortages in Interbank Markets
*Giuseppe Brandi*, *Riccardo Di Clemente* and *Giulio Cimini*
- 2018: Best Subset Binary Prediction
*Le-Yu Chen* and *Sokbae (Simon) Lee*
- 2018: Bayesian nonparametric sparse VAR models
*Monica Billio*, *Roberto Casarin* and *Luca Rossini*
- 2018: Locally Robust Semiparametric Estimation
*Victor Chernozhukov*, *Juan Carlos Escanciano*, *Hidehiko Ichimura*, *Whitney K. Newey* and *James M. Robins*
- 2018: On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
*Dirk Becherer*, *Martin B\"uttner* and *Klebert Kentia*
- 2018: Existence and uniqueness results for BSDEs with jumps: the whole nine yards
*Antonis Papapantoleon*, *Dylan Possama\"i* and *Alexandros Saplaouras*
- 2018: Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory
*Jean-Francois Mercure*
- 2018: Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions
*Masaaki Fujii* and *Akihiko Takahashi*
- 2018: Model-free portfolio theory and its functional master formula
*Alexander Schied*, *Leo Speiser* and *Iryna Voloshchenko*
- 2018: The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages
*Victor Chernozhukov*, *Ivan Fernandez-Val* and *Ye Luo*
- 2018: A composition between risk and deviation measures
*Marcelo Brutti Righi*
- 2018: A martingale representation theorem and valuation of defaultable securities
*Tahir Choulli*, *Catherine Daveloose* and *Mich\`ele Vanmaele*
- 2018: Trading Networks with Bilateral Contracts
*Tam\'as Fleiner*, *Zsuzsanna Jank\'o*, *Akihisa Tamura* and *Alexander Teytelboym*
- 2018: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
*Matyas Barczy*, *Mohamed Ben Alaya*, *Ahmed Kebaier* and *Gyula Pap*
- 2018: One trade at a time -- unraveling the Equity Premium Puzzle
*Andrei N. Soklakov*
- 2018: Symmetric Equilibria in Stochastic Timing Games
*Jan-Henrik Steg*
- 2018: An evolutionary advantage of cooperation
*Ole Peters* and *Alexander Adamou*
- 2018: A Data-Driven Approach for Modeling Stochasticity in Oil Market
*Sina Aghaei*
- 2018: Critical factors and enablers of food quality and safety compliance risk management in the Vietnamese seafood supply chain
*Thi Huong Tran*
- 2018: Are Biotechnology Startups Different?
*Herv\'e Lebret*
- 2018: Information Technologies in Public Administration
*V. I. Gorelov*
- 2018: Report for the Edinburgh Tram Inquiry
*Bent Flyvbjerg* and *Alexander Budzier*
- 2018: A Physical Review on Currency
*Ran Huang*
- 2018: When a `rat race' implies an intergenerational wealth trap
*Joel Nishimura*
- 2018: Chain effects of clean water: The Mills-Reincke phenomenon in early twentieth-century Japan
*Tatsuki Inoue* and *Kota Ogasawara*
- 2018: Aide et Croissance dans les pays de l'Union Economique et Mon{\'e}taire Ouest Africaine (UEMOA): retour sur une relation controvers{\'e}e
*Nimonka Bayale*
- 2018: Agents' beliefs and economic regimes polarization in interacting markets
*Fausto Cavalli*, *Ahmad Naimzada*, *Nicol\`o Pecora* and *Marina Pireddu*
- 2018: Identifying Effects of Multivalued Treatments
*Sokbae Lee* and *Bernard Salani\'e*
- 2018: Interpreting Quantile Independence
*Matthew A. Masten* and *Alexandre Poirier*
- 2018: Application of Probabilistic Graphical Models in Forecasting Crude Oil Price
*Danish A. Alvi*
- 2018: Arbitrage-free pricing of American options in nonlinear markets
*Edward Kim*, *Tianyang Nie* and *Marek Rutkowski*
- 2018: Nonlinearity in stock networks
*David Hartman* and *Jaroslav Hlinka*
- 2018: New HSIC-based tests for independence between two stationary multivariate time series
*Guochang Wang*, *Wai Keung Li* and *Ke Zhu*
- 2018: On the complexity of solving a decision problem with flow-depending costs: the case of the IJsselmeer dikes
*Aida Abiad*, *Sander Gribling*, *Domenico Lahaye*, *Matthias Mnich*, *Guus Regts*, *Lluis Vena*, *Gerard Verweij* and *Peter Zwaneveld*
- 2018: Co-impact: Crowding effects in institutional trading activity
*Fr\'ed\'eric Bucci*, *Iacopo Mastromatteo*, *Zolt\'an Eisler*, *Fabrizio Lillo*, *Jean-Philippe Bouchaud* and *Charles-Albert Lehalle*
- 2018: Critical analysis of human progress: Its negative and positive sides in the late-capitalism
*Mario Coccia* and *Matteo Bellitto*
- 2018: Chocs technologiques, chocs des prix et fluctuations du ch\^omage en R\'epublique D\'emocratique du Congo
*Antoine Kamiantako Miyamueni* and *Henry Muganza*
- 2018: Deep Learning for Predicting Asset Returns
*Guanhao Feng*, *Jingyu He* and *Nicholas G. Polson*
- 2018: Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions
*Miao Yuan*, *Cheng Yong Tang*, *Yili Hong* and *Jian Yang*
- 2018: Economic inequality and Islamic Charity: An exploratory agent-based modeling approach
*Hossein Sabzian*, *Alireza Aliahmadi*, *Adel Azar* and *Madjid Mirzaee*
- 2018: Optimal Investment and Derivative Demand Under Price Impact
*Michail Anthropelos*, *Scott Robertson* and *Konstantinos Spiliopoulos*
- 2018: Emerging Market Corporate Bonds as First-to-Default Baskets
*Richard Martin* and *Yao Ma*
- 2018: Compact finite difference method for pricing European and American options under jump-diffusion models
*Kuldip Singh Patel* and *Mani Mehra*
- 2018: Closed-form approximations in derivatives pricing: The Kristensen-Mele approach
*Michael Kurz*
- 2018: High Dimensional Estimation and Multi-Factor Models
*Liao Zhu*, *Sumanta Basu*, *Robert Jarrow* and *Martin T. Wells*
- 2018: Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
*Adriana Ocejo*
- 2018: Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers
*Andrea Bastianin*, *Marzio Galeotti* and *Matteo Manera*
- 2018: Econometric Modeling of Regional Electricity Spot Prices in the Australian Market
*Michael Stanley Smith* and *Thomas S. Shively*
- 2018: Price Competition with Geometric Brownian motion in Exchange Rate Uncertainty
*Murat Erkoc*, *Huaqing Wang* and *Anas Ahmed*
- 2018: Planetary boundaries of consumption growth: Declining social discount rates
*Victor E. Gluzberg* and *Yuri A. Katz*
- 2018: Valuation of contingent convertible catastrophe bonds - the case for equity conversion
*Krzysztof Burnecki*, *Mario Nicol\'o Giuricich* and *Zbigniew Palmowski*
- 2018: Empirical Equilibrium
*Rodrigo A. Velez* and *Alexander Brown*
- 2018: Conditional heteroskedasticity in crypto-asset returns
*Charles Shaw*
- 2018: Analytical Path-Integral Pricing of Moving-Barrier Options under non-Gaussian Distributions
*Andre Catalao* and *Rogerio Rosenfeld*
- 2018: Affine processes beyond stochastic continuity
*Martin Keller-Ressel*, *Thorsten Schmidt* and *Robert Wardenga*
- 2018: Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models
*Kuldip Singh Patel* and *Mani Mehra*
- 2018: Optimal investment with transient price impact
*Peter Bank* and *Moritz Vo{\ss}*
- 2018: Classes of elementary function solutions to the CEV model. I
*Evangelos Melas*
- 2018: The impact of margin trading on share price evolution: A cascading failure model investigation
*Ya-Chun Gao*, *Huai-Lin Tang*, *Shi-Min Cai*, *Jing-Jing Gao* and *H. Eugene Stanley*
- 2018: The determinants of bank loan recovery rates in good times and bad - new evidence
*Hong Wang*, *Catherine S. Forbes*, *Jean-Pierre Fenech* and *John Vaz*
- 2018: Accounting Noise and the Pricing of CoCos
*Mike Derksen*, *Peter Spreij* and *Sweder van Wijnbergen*
- 2018: Transaction Costs in Collective Waste Recovery Systems in the EU
*Shteryo Nozharov*
- 2018: Estimating Treatment Effects in Mover Designs
*Peter Hull*
- 2018: Ruin probabilities for two collaborating insurance companies
*Zbigniew Michna*
- 2018: Triggers for cooperative behavior in the thermodynamic limit: a case study in Public goods game
*Shubhayan Sarkar* and *Colin Benjamin*
- 2018: Revisiting the thermal and superthermal two-class distribution of incomes: A critical perspective
*Markus P. A. Schneider*
- 2018: Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018
*Jan-Christian Gerlach*, *Guilherme Demos* and *Didier Sornette*
- 2018: Quantum Blockchain using entanglement in time
*Del Rajan* and *Matt Visser*
- 2018: Quantifying the Economic Case for Electric Semi-Trucks
*Shashank Sripad* and *Venkatasubramanian Viswanathan*
- 2018: Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
*Stanis{\l}aw Dro\.zd\.z*, *Robert G\k{e}barowski*, *Ludovico Minati*, *Pawe{\l} O\'swi\k{e}cimka* and *Marcin W\k{a}torek*
- 2018: Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects
*Sarah Abraham* and *Liyang Sun*
- 2018: Spatial risk measures induced by powers of max-stable random fields
*Erwan Koch*
- 2018: Evolution of the Chinese Guarantee Network and Its Implication for Risk Management: Impacts from Financial Crisis and Stimulus Program
*Yingli Wang*, *Qingpeng Zhang* and *Xiaoguang Yang*
- 2018: A refinement of Bennett's inequality with applications to portfolio optimization
*Tony Jebara*
- 2018: The Italian Pension Gap: a Stochastic Optimal Control Approach
*Alessandro Milazzo* and *Elena Vigna*
- 2018: Shapley Value Methods for Attribution Modeling in Online Advertising
*Kaifeng Zhao*, *Seyed Hanif Mahboobi* and *Saeed R. Bagheri*
- 2018: Distributions of Historic Market Data -- Implied and Realized Volatility
*M. Dashti Moghaddam*, *Zhiyuan Liu* and *R. A. Serota*
- 2018: Robust calibration and arbitrage-free interpolation of SSVI slices
*Pierre Cohort*, *Jacopo Corbetta*, *Claude Martini* and *Ismail Laachir*
- 2018: Large Sample Properties of Partitioning-Based Series Estimators
*Matias Cattaneo*, *Max H. Farrell* and *Yingjie Feng*
- 2018: An Optimal Dividend Problem with Capital Injections over a Finite Horizon
*Giorgio Ferrari* and *Patrick Schuhmann*
- 2018: Existence of transport plans with domain constraints
*Erhan Bayraktar*, *Xin Zhang* and *Zhou Zhou*
- 2018: Market Making via Reinforcement Learning
*Thomas Spooner*, *John Fearnley*, *Rahul Savani* and *Andreas Koukorinis*
- 2018: Optimal liquidation under stochastic price impact
*Weston Barger* and *Matthew Lorig*
- 2018: Monte Carlo pathwise sensitivities for barrier options
*Thomas Gerstner*, *Bastian Harrach* and *Daniel Roth*
- 2018: Moment Inequalities in the Context of Simulated and Predicted Variables
*Hiroaki Kaido*, *Jiaxuan Li* and *Marc Rysman*
- 2018: Inference on Local Average Treatment Effects for Misclassified Treatment
*Takahide Yanagi*
- 2018: A derivation of the Black-Scholes option pricing model using a central limit theorem argument
*Rajeshwari Majumdar*, *Phanuel Mariano*, *Lowen Peng* and *Anthony Sisti*
- 2018: Varying Random Coefficient Models
*Christoph Breunig*
- 2018: Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2018: An extremal fractional Gaussian with a possible application to option-pricing with skew and smile
*Alexander Jurisch*
- 2018: From Bitcoin to Bitcoin Cash: a network analysis
*Marco Alberto Javarone* and *Craig Steven Wright*
- 2018: Statistical inference for autoregressive models under heteroscedasticity of unknown form
*Ke Zhu*
- 2018: Corruption-free scheme of entering into contract: mathematical model
*Oleg Malafeyev*, *Olga Koroleva*, *Dmitriy Prusskiy* and *Olga Zenovich*
- 2018: Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
*David Lee*
- 2018: Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning
*Daniel Kinn*
- 2018: Predictive modeling of stock indices closing from web search trends
*Arjun R* and *Suprabha Kr*
- 2018: Simultaneous Mean-Variance Regression
*Richard Spady* and *Sami Stouli*
- 2018: Dealing with cross-country heterogeneity in panel VARs using finite mixture models
*Florian Huber*
- 2018: Pricing sovereign contingent convertible debt
*Andrea Consiglio*, *Michele Tumminello* and *Stavros Zenios*
- 2018: A latent variable model to measure exposure diversification in the Austrian interbank market
*Juraj Hledik* and *Riccardo Rastelli*
- 2018: A Probabilistic Analysis of Autocallable Optimization Securities
*Gilna K. Samuel* and *Donald St. P. Richards*
- 2018: Return Optimization Securities and Other Remarkable Structured Investment Products: Indicators of Future Outcomes for U.S. Treasuries?
*Donald St. P. Richards*
- 2018: Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular Financial Crisis of 2008
*Donald Richards* and *Hein Hundal*
- 2018: The value of informational arbitrage
*Huy N. Chau*, *Andrea Cosso* and *Claudio Fontana*
- 2018: Bi-Demographic Changes and Current Account using SVAR Modeling: Evidence from Saudi Economy
*Hassan Ghassan*, *Hassan R. Al-Hajhoj* and *Faruk Balli*
- 2018: On Fairness of Systemic Risk Measures
*Francesca Biagini*, *Jean-Pierre Fouque*, *Marco Frittelli* and *Thilo Meyer-Brandis*
- 2018: Schooling Choice, Labour Market Matching, and Wages
*Jacob Schwartz*
- 2018: Two-way fixed effects estimators with heterogeneous treatment effects
*Cl\'ement de Chaisemartin* and *Xavier D'Haultf{\oe}uille*
- 2018: Adversarial Generalized Method of Moments
*Greg Lewis* and *Vasilis Syrgkanis*
- 2018: Spatial risk measures and rate of spatial diversification
*Erwan Koch*
- 2018: An Endogenous Mechanism of Business Cycles
*Dimitri Kroujiline*, *Maxim Gusev*, *Dmitry Ushanov*, *Sergey V. Sharov* and *Boris Govorkov*
- 2018: Categorizing Variants of Goodhart's Law
*David Manheim* and *Scott Garrabrant*
- 2018: An Note on Why Geographically Weighted Regression Overcomes Multidimensional-Kernel-Based Varying-Coefficient Model
*Zihao Yuan*
- 2018: Generalized Information Ratio
*Zhongzhi Lawrence He*
- 2018: Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning
*Agnieszka Werpachowska*
- 2018: Blockchain: Data Malls, Coin Economies and Keyless Payments
*Zura Kakushadze* and *Ronald P. Russo*
- 2018: Extracting the multi-timescale activity patterns of online financial markets
*Teruyoshi Kobayashi*, *Anna Sapienza* and *Emilio Ferrara*
- 2018: Ambiguity in defaultable term structure models
*Tolulope Fadina* and *Thorsten Schmidt*
- 2018: Multi-factor approximation of rough volatility models
*Eduardo Abi Jaber* and *Omar El Euch*
- 2018: Moment Explosions in the Rough Heston Model
*Stefan Gerhold*, *Christoph Gerstenecker* and *Arpad Pinter*
- 2018: Calibration for Weak Variance-Alpha-Gamma Processes
*Boris Buchmann*, *Kevin W. Lu* and *Dilip B. Madan*
- 2018: A closed-form formula for pricing bonds between coupon payments
*Sylvia Gottschalk*
- 2018: Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model
*V\'ictor Gallego*, *Pablo Angulo*, *Pablo Su\'arez-Garc\'ia* and *David G\'omez-Ullate*
- 2018: Expansion formulas for European quanto options in a local volatility FX-LIBOR model
*Julien Hok*, *Philip Ngare* and *Antonis Papapantoleon*
- 2018: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
*Victor Chernozhukov*, *Kaspar Wüthrich* and *Yinchu Zhu*
- 2018: A Game of Random Variables
*Artem Hulko* and *Mark Whitmeyer*
- 2018: A Random Attention Model
*Matias Cattaneo*, *Xinwei Ma*, *Yusufcan Masatlioglu* and *Elchin Suleymanov*
- 2018: Notes on Fano Ratio and Portfolio Optimization
*Zura Kakushadze* and *Willie Yu*
- 2018: Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees
*A. Q. Barbi* and *G. A. Prataviera*
- 2018: Polynomial processes for power prices
*Damir Filipovic*, *Martin Larsson* and *Tony Ware*
- 2018: $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance
*Peter A. Forsyth* and *George Labahn*
- 2018: A posteriori multi-stage optimal trading under transaction costs and a diversification constraint
*Mogens Graf Plessen* and *Alberto Bemporad*
- 2018: Identifying relationship lending in the interbank market: A network approach
*Teruyoshi Kobayashi* and *Taro Takaguchi*
- 2018: VIX-linked fees for GMWBs via Explicit Solution Simulation Methods
*Michael A. Kouritzin* and *Anne MacKay*
- 2018: Technology networks: the autocatalytic origins of innovation
*Lorenzo Napolitano*, *Evangelos Evangelou*, *Emanuele Pugliese*, *Paolo Zeppini* and *Graham Room*
- 2018: Equilibrium Returns with Transaction Costs
*Bruno Bouchard*, *Masaaki Fukasawa*, *Martin Herdegen* and *Johannes Muhle-Karbe*
- 2018: Modeling Technical Analysis
*Jun Maeda* and *Saul D. Jacka*
- 2018: Option Pricing under Fast-varying and Rough Stochastic Volatility
*Josselin Garnier* and *Knut Solna*
- 2018: Computational aspects of robust optimized certainty equivalents and option pricing
*Daniel Bartl*, *Samuel Drapeau* and *Ludovic Tangpi*
- 2018: Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
*Shanshan Wang* and *Thomas Guhr*
- 2018: Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014
*Vasilya Usmanova*, *Yury V. Lysogorskiy* and *Sumiyoshi Abe*
- 2018: Herding boosts too-connected-to-fail risk in stock market of China
*Shan Lu*, *Jichang Zhao*, *Huiwen Wang* and *Ruoen Ren*
- 2018: Can Everyone Benefit from Social Integration?
*Josue Ortega*
- 2018: Unspanned Stochastic Volatility in the Multi-factor CIR Model
*Damir Filipovi\'c*, *Martin Larsson* and *Francesco Statti*
- 2018: Pairs Trading under Drift Uncertainty and Risk Penalization
*S\"uhan Altay*, *Katia Colaneri* and *Zehra Eksi*
- 2018: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
*Tomasz R. Bielecki*, *Igor Cialenco* and *Marek Rutkowski*
- 2018: Structural propagation in a production network with restoring substitution elasticities
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2018: Generalized Random Forests
*Susan Athey*, *Julie Tibshirani* and *Stefan Wager*
- 2018: A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks
*Daniele Petrone* and *Vito Latora*
- 2018: A String Model of Liquidity in Financial Markets
*Sergey Lototsky*, *Henry Schellhorn* and *Ran Zhao*
- 2018: Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing
*Michael A. Kouritzin*
- 2018: Optimal Liquidation under Partial Information with Price Impact
*Katia Colaneri*, *Zehra Eksi*, *R\"udiger Frey* and *Michaela Sz\"olgyenyi*
- 2018: Option pricing under fast-varying long-memory stochastic volatility
*Josselin Garnier* and *Knut Solna*
- 2018: Optimal dividend payments for a two-dimensional insurance risk process
*Pablo Azcue*, *Nora Muler* and *Zbigniew Palmowski*
- 2018: Asian option as a fixed-point
*Adriana Ocejo*
- 2018: The CCI30 Index
*Igor Rivin* and *Carlo Scevola*
- 2018: An Attempt at Analyzing the Information Nature of Money
*Haibo Chen*
- 2018: Assessing the state of e-Readiness for Small and Medium Companies in Mexico: a Proposed Taxonomy and Adoption Model
*Guillermo Rodriguez-Abitia*, *Susana Vidrio* and *Claudia Montiel-Sanchez*
- 2018: Warranty Cost Analysis with an Alternating Geometric Process
*Richard Arnold*, *Stefanka Chukova*, *Yu Hayakawa* and *Sarah Marshall*
- 2018: The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study
*Mounira Chniguir*, *Mohamed Kefi* and *Jamel Henchiri*
- 2018: Econophysics Beyond General Equilibrium: the Business Cycle Model
*Victor Olkhov*
- 2018: Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference
*Ruben van de Geer*, *Arnoud V. den Boer*, *Christopher Bayliss*, *Christine Currie*, *Andria Ellina*, *Malte Esders*, *Alwin Haensel*, *Xiao Lei*, *Kyle D. S. Maclean*, *Antonio Martinez-Sykora*, *Asbj{\o}rn Nilsen Riseth*, *Fredrik {\O}degaard* and *Simos Zachariades*
- 2018: Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
*Alessandro Casini* and *Pierre Perron*
- 2018: Indifference pricing of life insurance contracts via BSDEs under partial information
*Claudia Ceci*, *Katia Colaneri* and *Alessandra Cretarola*
- 2018: An improved Least Squares Monte Carlo method for portfolio optimization with high dimensional control
*Rongju Zhang*, *Nicolas Langren\'e*, *Yu Tian*, *Zili Zhu*, *Fima Klebaner* and *Kais Hamza*
- 2018: Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective
*Michael Ludkovski* and *Aditya Maheshwari*
- 2018: Mortality in a heterogeneous population - Lee-Carter's methodology
*Kamil Jod\'z*
- 2018: Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework
*Alessandro Casini*
- 2018: Continuous Record Asymptotics for Structural Change Models
*Alessandro Casini* and *Pierre Perron*
- 2018: Generalized Laplace Inference in Multiple Change-Points Models
*Alessandro Casini* and *Pierre Perron*
- 2018: Computing the CEV option pricing formula using the semiclassical approximation of path integral
*Axel A. Araneda* and *Marcelo J. Villena*
- 2018: Deflators and log-optimal portfolios under random horizon: Explicit description and optimization
*Tahir Choulli* and *Sina Yansori*
- 2018: Emergence of Cooperation in the thermodynamic limit
*Shubhayan Sarkar* and *Colin Benjamin*
- 2018: A Perfect Specialization Model for Gravity Equation in Bilateral Trade based on Production Structure
*Majid Einian* and *Farshad Ranjbar Ravasan*
- 2018: Cluster analysis of stocks using price movements of high frequency data from National Stock Exchange
*Charu Sharma*, *Amber Habib* and *Sunil Bowry*
- 2018: Panel Data Analysis with Heterogeneous Dynamics
*Ryo Okui* and *Takahide Yanagi*
- 2018: Cliquet option pricing with Meixner processes
*Markus Hess*
- 2018: Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
*Hai-Chuan Xu*, *Wei-Xing Zhou* and *Didier Sornette*
- 2018: The cooling-off effect of price limits in the Chinese stock markets
*Yu-Lei Wan*, *Gang-Jin Wang*, *Zhi-Qiang Jiang*, *Wen-Jie Xie* and *Wei-Xing Zhou*
- 2018: Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment
*Brantly Callaway* and *Pedro H. C. Sant'Anna*
- 2018: How does monetary policy affect income inequality in Japan? Evidence from grouped data
*Martin Feldkircher* and *Kazuhiko Kakamu*
- 2018: Edgeworth trading on networks
*Daniele Cassese* and *Paolo Pin*
- 2018: A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices
*Wieger Hinderks*, *Andreas Wagner* and *Ralf Korn*
- 2018: Fast swaption pricing in Gaussian term structure models
*Jaehyuk Choi* and *Sungchan Shin*
- 2018: Measurement of the evolution of technology: A new perspective
*Mario Coccia*
- 2018: Scaling properties of extreme price fluctuations in Bitcoin markets
*Stjepan Begu\v{s}i\'c*, *Zvonko Kostanj\v{c}ar*, *H. Eugene Stanley* and *Boris Podobnik*
- 2018: Large large-trader activity weakens the long memory of limit order markets
*Kevin Primicerio* and *Damien Challet*
- 2018: Smart TWAP Trading in Continuous-Time Equilibria
*Jin Hyuk Choi*, *Kasper Larsen* and *Duane J. Seppi*
- 2018: Causal Inference for Survival Analysis
*Vikas Ramachandra*
- 2018: Mislearning from Censored Data: Gambler's Fallacy in a Search Problem
*Kevin He*
- 2018: Financial Contagion in a Generalized Stochastic Block Model
*Nils Detering*, *Thilo Meyer-Brandis*, *Konstantinos Panagiotou* and *Daniel Ritter*
- 2018: Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
*Matteo Basei*
- 2018: An Economic Bubble Model and Its First Passage Time
*Angelos Dassios* and *Luting Li*
- 2018: Network and Panel Quantile Effects Via Distribution Regression
*Victor Chernozhukov*, *Iv\'an Fern\'andez-Val* and *Martin Weidner*
- 2018: Testing Continuity of a Density via g-order statistics in the Regression Discontinuity Design
*Federico A. Bugni* and *Ivan A. Canay*
- 2018: A path integral based model for stocks and order dynamics
*Giovanni Paolinelli* and *Gianni Arioli*
- 2018: Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
*Alan White*
- 2018: Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments
*Ruimeng Hu*
- 2018: On the Basel Liquidity Formula for Elliptical Distributions
*Janine Balter* and *Alexander J. McNeil*
- 2018: Testing for unobserved heterogeneous treatment effects in a nonseparable model with endogenous selection
*Yu-Chin Hsu*, *Ta-Cheng Huang* and *Haiqing Xu*
- 2018: Sparse Reduced Rank Regression With Nonconvex Regularization
*Ziping Zhao* and *Daniel P. Palomar*
- 2018: Mixing LSMC and PDE Methods to Price Bermudan Options
*David Farahany*, *Kenneth Jackson* and *Sebastian Jaimungal*
- 2018: Exploring the predictability of range-based volatility estimators using RNNs
*G\'abor Petneh\'azi* and *J\'ozsef G\'all*
- 2018: Fear Universality and Doubt in Asset price movements
*Igor Rivin*
- 2018: Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
*Luca Spadafora*, *Francesca Sivero* and *Nicola Picchiotti*
- 2018: Approximation of Some Multivariate Risk Measures for Gaussian Risks
*E. Hashorva*
- 2018: Universal features of price formation in financial markets: perspectives from Deep Learning
*Justin Sirignano* and *Rama Cont*
- 2018: Large-Scale Dynamic Predictive Regressions
*Daniele Bianchi* and *Kenichiro McAlinn*
- 2018: Modeling stock markets through the reconstruction of market processes
*Jo\~ao Pedro Rodrigues do Carmo*
- 2018: Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
*Jize Zhang*, *Tim Leung* and *Aleksandr Y. Aravkin*
- 2018: Evaluating Conditional Cash Transfer Policies with Machine Learning Methods
*Tzai-Shuen Chen*
- 2018: Effective construction of threshold networks of stock markets
*Xin-Jian Xu*, *Kuo Wang*, *Liucun Zhu* and *Li-Jie Zhang*
- 2018: Business Cycles in Economics
*Viktor O. Ledenyov* and *Dimitri O. Ledenyov*
- 2018: Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
*Ludovic Calès*, *Apostolos Chalkis*, *Ioannis Z. Emiris* and *Vissarion Fisikopoulos*
- 2018: Technical Uncertainty in Real Options with Learning
*Ali Al-Aradi*, *Alvaro Cartea* and *Sebastian Jaimungal*
- 2018: Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
*Ali Al-Aradi* and *Sebastian Jaimungal*
- 2018: Optimal liquidity-based trading tactics
*Charles-Albert Lehalle*, *Othmane Mounjid* and *Mathieu Rosenbaum*
- 2018: Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
*Spencer Wheatley*, *Didier Sornette*, *Tobias Huber*, *Max Reppen* and *Robert N. Gantner*
- 2018: Does agricultural subsidies foster Italian southern farms? A Spatial Quantile Regression Approach
*Marusca De Castris* and *Daniele Di Gennaro*
- 2018: Statistical Fit and Algorithmic Fairness in Risk Adjustment for Health Policy
*Sherri Rose* and *Thomas G. McGuire*
- 2018: Stock Price Prediction using Principle Components
*Mahsa Ghorbani* and *Edwin K. P. Chong*
- 2018: A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
*Giuseppe Buccheri*, *Giacomo Bormetti*, *Fulvio Corsi* and *Fabrizio Lillo*
- 2018: Theoretical and empirical analysis of trading activity
*Mathias Pohl*, *Alexander Ristig*, *Walter Schachermayer* and *Ludovic Tangpi*
- 2018: How Smart Are `Water Smart Landscapes'?
*Christa Brelsford* and *Joshua K. Abbott*
- 2018: A Generalization of the Robust Positive Expectation Theorem for Stock Trading via Feedback Control
*Atul Deshpande* and *B. Ross Barmish*
- 2018: Robust utility maximization in markets with transaction costs
*Huy N. Chau* and *Miklos Rasonyi*
- 2018: Algorithmic Trading with Partial Information: A Mean Field Game Approach
*Philippe Casgrain* and *Sebastian Jaimungal*
- 2018: Matching distributions: Recovery of implied physical densities from option prices
*Jarno Talponen*
- 2018: Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
*Julien Hok* and *Shih-Hau Tan*
- 2018: Reality-check for Econophysics: Likelihood-based fitting of physics-inspired market models to empirical data
*Nils Bertschinger*, *Iurii Mozzhorin* and *Sitabhra Sinha*
- 2018: Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
*David Bauder*, *Taras Bodnar*, *Nestor Parolya* and *Wolfgang Schmid*
- 2018: Behavioural effects on XVA
*Chris Kenyon* and *Hayato Iida*
- 2018: A study of strategy to the remove and ease TBT for increasing export in GCC6 countries
*YongJae Kim*
- 2018: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
*Keegan Mendonca*, *Vasileios E. Kontosakos*, *Athanasios A. Pantelous* and *Konstantin M. Zuev*
- 2018: Optimal Portfolio Design for Statistical Arbitrage in Finance
*Ziping Zhao*, *Rui Zhou*, *Zhongju Wang* and *Daniel P. Palomar*
- 2018: Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain
*Yong Jiang* and *Zhongbao Zhou*
- 2018: A first look at browser-based Cryptojacking
*Shayan Eskandari*, *Andreas Leoutsarakos*, *Troy Mursch* and *Jeremy Clark*
- 2018: The nested structural organization of the worldwide trade multi-layer network
*Luiz G. A. Alves*, *Giuseppe Mangioni*, *Isabella Cingolani*, *Francisco A. Rodrigues*, *Pietro Panzarasa* and *Yamir Moreno*
- 2018: Why Black Swan events must occur
*Thomas Santoli* and *Christoph Siebenbrunner*
- 2018: Quantile optimization under derivative constraint
*Zuo Quan Xu*
- 2018: Pricing index options by static hedging under finite liquidity
*John Armstrong*, *Teemu Pennanen* and *Udomsak Rakwongwan*
- 2018: A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data
*Zihao Yuan*
- 2018: A Term Structure Model for Dividends and Interest Rates
*Damir Filipovi\'c* and *Sander Willems*
- 2018: Kinetic models for optimal control of wealth inequalities
*Bertram D\"uring*, *Lorenzo Pareschi* and *Giuseppe Toscani*
- 2018: Modelling stock correlations with expected returns from investors
*Ming-Yuan Yang*, *Sai-Ping Li*, *Li-Xin Zhong* and *Fei Ren*
- 2018: A Dynamic Model of Central Counterparty Risk
*Tomasz R. Bielecki*, *Igor Cialenco* and *Shibi Feng*
- 2018: An Online Algorithm for Learning Buyer Behavior under Realistic Pricing Restrictions
*Debjyoti Saharoy* and *Theja Tulabandhula*
- 2018: Testing a Goodwin model with general capital accumulation rate
*Matheus R. Grasselli* and *Aditya Maheshwari*
- 2018: Pricing Mechanism in Information Goods
*Xinming Li* and *Huaqing Wang*
- 2018: A comment on 'Testing Goodwin: growth cycles in ten OECD countries'
*Matheus R. Grasselli* and *Aditya Maheshwari*
- 2018: Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
*Zhongzhi Lawrence He*
- 2018: Continuous partition-of-unity copulas and their application to risk management
*Dietmar Pfeifer*, *Andreas M\"andle*, *Olena Ragulina* and *C\^ome Girschig*
- 2018: Permutation Tests for Equality of Distributions of Functional Data
*Federico A. Bugni* and *Joel L. Horowitz*
- 2018: Mortality data reliability in an internal model
*Fabrice Balland*, *Alexandre Boumezoued*, *Laurent Devineau*, *Marine Habart* and *Tom Popa*
- 2018: Exploring the relationship between money stock and GDP in the Euro Area via a bootstrap test for Granger-causality in the frequency domain
*Matteo Farn\'e* and *Angela Montanari*
- 2018: Proxyeconomics, An agent based model of Campbell's law in competitive societal systems
*Oliver Braganza*
- 2018: Dynkin games with Poisson random intervention times
*Gechun Liang* and *Haodong Sun*
- 2018: Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
*Andreas M\"uhlbacher* and *Thomas Guhr*
- 2018: Fundamental Values of Cryptocurrencies and Blockchain Technology
*Jun Aoyagi* and *Daisuke Adachi*
- 2018: Kernel Estimation for Panel Data with Heterogeneous Dynamics
*Ryo Okui* and *Takahide Yanagi*
- 2018: Double/De-Biased Machine Learning Using Regularized Riesz Representers
*Victor Chernozhukov*, *Whitney Newey* and *James Robins*
- 2018: On the iterated estimation of dynamic discrete choice games
*Federico Bugni* and *Jackson Bunting*
- 2018: Voting patterns in 2016: Exploration using multilevel regression and poststratification (MRP) on pre-election polls
*Rob Trangucci*, *Imad Ali*, *Andrew Gelman* and *Doug Rivers*
- 2018: Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem
*Anton Pichler*, *Sebastian Poledna* and *Stefan Thurner*
- 2018: Rational Models for Inflation-Linked Derivatives
*Henrik Dam*, *Andrea Macrina*, *David Skovmand* and *David Sloth*
- 2018: Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
*Farouq Abdulaziz Masoudy*
- 2018: Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?
*Jinwen Qiu*, *Wenjian Liu* and *Ning Ning*
- 2018: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
*Anas Yassine* and *Abdelmadjid Ibenrissoul*
- 2018: Shooting High or Low: Do Countries Benefit from Entering Unrelated Activities?
*Flávio Pinheiro*, *Aamena Alshamsi*, *Dominik Hartmann*, *Ron Boschma* and *C\'esar A. Hidalgo*
- 2018: Confidence set for group membership
*Andreas Dzemski* and *Ryo Okui*
- 2018: Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets
*Ben-zhang Yang*, *Jia Yue* and *Nan-jing Huang*
- 2018: Aggregating Google Trends: Multivariate Testing and Analysis
*Stephen L. France* and *Yuying Shi*
- 2018: Listening to Chaotic Whispers: A Deep Learning Framework for News-oriented Stock Trend Prediction
*Ziniu Hu*, *Weiqing Liu*, *Jiang Bian*, *Xuanzhe Liu* and *Tie-Yan Liu*
- 2018: Estimation Considerations in Contextual Bandits
*Maria Dimakopoulou*, *Susan Athey* and *Guido Imbens*
- 2018: Artificial Intelligence as Structural Estimation: Economic Interpretations of Deep Blue, Bonanza, and AlphaGo
*Mitsuru Igami*
- 2018: Inference on Auctions with Weak Assumptions on Information
*Vasilis Syrgkanis*, *Elie Tamer* and *Juba Ziani*
- 2018: Fixed Effect Estimation of Large T Panel Data Models
*Iv\'an Fern\'andez-Val* and *Martin Weidner*
- 2018: Local Volatility Calibration by Optimal Transport
*Ivan Guo*, *Gr\'egoire Loeper* and *Shiyi Wang*
- 2018: Backtesting Expected Shortfall: is it really that hard?
*Felix Moldenhauer* and *Marcin Pitera*
- 2018: Second order approximations for limit order books
*Ulrich Horst* and *D\"orte Kreher*
- 2018: Sequential testing for structural stability in approximate factor models
*Matteo Barigozzi* and *Lorenzo Trapani*
- 2018: Turbocharging Monte Carlo pricing for the rough Bergomi model
*Ryan McCrickerd* and *Mikko S. Pakkanen*
- 2018: Spectral backtests of forecast distributions with application to risk management
*Michael B. Gordy* and *Alexander J. McNeil*
- 2018: Extended Gini-type measures of risk and variability
*Mohammed Berkhouch*, *Ghizlane Lakhnati* and *Marcelo Brutti Righi*
- 2018: Reduced-form framework under model uncertainty
*Francesca Biagini* and *Yinglin Zhang*
- 2018: On Heckits, LATE, and Numerical Equivalence
*Patrick Kline* and *Christopher R. Walters*
- 2018: Optimal dividend policies with random profitability
*Max Reppen*, *Jean Rochet* and *H. Mete Soner*
- 2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
*Masaaki Fujii* and *Akihiko Takahashi*
- 2018: The coordination of centralised and distributed generation
*Ren\'e A\"id*, *Matteo Basei* and *Huy\^en Pham*
- 2018: Portfolio Choice with Small Temporary and Transient Price Impact
*Ibrahim Ekren* and *Johannes Muhle-Karbe*
- 2018: Option pricing: A yet simpler approach
*Jarno Talponen* and *Minna Turunen*
- 2018: Best reply structure and equilibrium convergence in generic games
*Marco Pangallo*, *Torsten Heinrich* and *J Doyne Farmer*
- 2018: Tests for qualitative features in the random coefficients model
*Fabian Dunker*, *Konstantin Eckle*, *Katharina Proksch* and *Johannes Schmidt-Hieber*
- 2018: Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders
*Kiyoshi Kanazawa*, *Takumi Sueshige*, *Hideki Takayasu* and *Misako Takayasu*
- 2018: Short-time near-the-money skew in rough fractional volatility models
*Christian Bayer*, *Peter K. Friz*, *Archil Gulisashvili*, *Blanka Horvath* and *Benjamin Stemper*
- 2018: On utility maximization without passing by the dual problem
*Miklos Rasonyi*
- 2018: Stability for gains from large investors' strategies in M1/J1 topologies
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2018: The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms
*Ignacio Esponda* and *Demian Pouzo*
- 2018: Dual Moments and Risk Attitudes
*Louis Eeckhoudt* and *Roger Laeven*
- 2018: Option pricing in exponential L\'evy models with transaction costs
*Nicola Cantarutti*, *Jo\~ao Guerra*, *Manuel Guerra* and *Maria Grossinho*
- 2018: On exponential functionals of processes with independent increments
*P. Salminen* and *L. Vostrikova*
- 2018: Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
*Charles-Albert Lehalle* and *Othmane Mounjid*
- 2018: Model Selection for Treatment Choice: Penalized Welfare Maximization
*Eric Mbakop* and *Max Tabord-Meehan*
- 2018: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
*Alessandro Gnoatto*, *Martino Grasselli* and *Eckhard Platen*
- 2018: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
*Mikkel Bennedsen*
- 2018: Deep Learning for Mortgage Risk
*Justin Sirignano*, *Apaar Sadhwani* and *Kay Giesecke*
- 2018: Estimation and prediction of credit risk based on rating transition systems
*Jinghai Shao*, *Siming Li* and *Yong Li*
- 2018: The Jacobi Stochastic Volatility Model
*Damien Ackerer*, *Damir Filipovi\'c* and *Sergio Pulido*
- 2018: Robust framework for quantifying the value of information in pricing and hedging
*Anna Aksamit*, *Zhaoxu Hou* and *Jan Ob\l\'oj*
- 2018: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
*Ravi Kashyap*
- 2018: Symmetry reduction and exact solutions of the non-linear Black--Scholes equation
*Oleksii Patsiuk* and *Sergii Kovalenko*
- 2018: On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference
*Sebastian Calonico*, *Matias Cattaneo* and *Max H. Farrell*
- 2018: A continuous auction model with insiders and random time of information release
*Jos\'e Manuel Corcuera*, *Giulia Di Nunno*, *Gergely Farkas* and *Bernt {\O}ksendal*
- 2018: Matching distributions: Asset pricing with density shape correction
*Jarno Talponen*
- 2018: Asymptotic distribution of the Markowitz portfolio
*Steven E. Pav*
- 2018: Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
*Naoya Yamaguchi*, *Maiya Hori* and *Yoshinari Ideguchi*
- 2018: Optimal investment-consumption problem post-retirement with a minimum guarantee
*Hassan Dadashi*
- 2018: Deep Learning for Causal Inference
*Vikas Ramachandra*
- 2018: Synthetic Control Methods and Big Data
*Daniel Kinn*
- 2018: Dimensional Analysis in Economics: A Study of the Neoclassical Economic Growth Model
*Miguel Alvarez Texocotitla*, *M. David Alvarez Hernandez* and *Shani Alvarez Hernandez*
- 2018: Partial Identification of Expectations with Interval Data
*Sam Asher*, *Paul Novosad* and *Charlie Rafkin*
- 2018: RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection
*Yang Wang*, *Dong Wang*, *Yaodong Wang* and *You Zhang*
- 2018: Risk-neutral valuation under differential funding costs, defaults and collateralization
*Damiano Brigo*, *Cristin Buescu*, *Marco Francischello*, *Andrea Pallavicini* and *Marek Rutkowski*
- 2018: The Information Content of Sarbanes-Oxley in Predicting Security Breaches
*J. Christopher Westland*
- 2018: Private Information, Credit Risk and Graph Structure in P2P Lending Networks
*J. Christopher Westland*, *Tuan Q. Phan* and *Tianhui Tan*
- 2018: Planning Fallacy or Hiding Hand: Which Is the Better Explanation?
*Bent Flyvbjerg*
- 2018: Valuation, Liquidity Price, and Stability of Cryptocurrencies
*Carey Caginalp* and *Gunduz Caginalp*
- 2018: Equilibrium in thin security markets under restricted participation
*Michail Anthropelos* and *Constantinos Kardaras*
- 2018: Discovering Bayesian Market Views for Intelligent Asset Allocation
*Frank Z. Xing*, *Erik Cambria*, *Lorenzo Malandri* and *Carlo Vercellis*
- 2018: On the solution of the variational optimisation in the rational inattention framework
*Nigar Hashimzade*
- 2018: Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
*Jean-Philippe Aguilar* and *Jan Korbel*
- 2018: An Expanded Local Variance Gamma model
*Peter Carr* and *Andrey Itkin*
- 2018: Controlling Human Utilization of Failure-Prone Systems via Taxes
*Ashish R. Hota* and *Shreyas Sundaram*
- 2018: Optimal contract for a fund manager, with capital injections and endogenous trading constraints
*Sergey Nadtochiy* and *Thaleia Zariphopoulou*
- 2018: The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
*Abdulnasser Hatemi-J* and *Youssef El-Khatib*
- 2018: Identifying the occurrence or non occurrence of cognitive bias in situations resembling the Monty Hall problem
*Fatemeh Borhani* and *Edward J. Green*
- 2018: Measuring the Demand Effects of Formal and Informal Communication: Evidence from Online Markets for Illicit Drugs
*Luis Armona*
- 2018: Complexity, Centralization, and Fragility in Economic Networks
*Carlo Piccardi* and *Lucia Tajoli*
- 2018: Computation of optimal transport and related hedging problems via penalization and neural networks
*Stephan Eckstein* and *Michael Kupper*
- 2018: Market Impact: A systematic study of limit orders
*Emilio Said*, *Ahmed Bel Hadj Ayed*, *Alexandre Husson*, *Frederic Abergel*, *Ahmed Bel*, *Hadj Ayed*, *Fr\'ed\'eric Abergel*, *Global Markets* and *Bnp Paribas*
- 2018: Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
*Erhan Bayraktar*, *Jingjie Zhang* and *Zhou Zhou*
- 2018: What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?
*Yiyang Gu*
- 2018: Optimal inventory management and order book modeling
*Nicolas Baradel*, *Bruno Bouchard*, *David Evangelista* and *Othmane Mounjid*
- 2018: Algorithmic Collusion in Cournot Duopoly Market: Evidence from Experimental Economics
*Nan Zhou*, *Li Zhang*, *Shijian Li* and *Zhijian Wang*
- 2018: The Security of the United Kingdom Electricity Imports under Conditions of High European Demand
*Anthony D Stephens* and *David R Walwyn*
- 2018: Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies
*Giorgio Locatelli*
- 2018: Analytical Validation Formulas for Best Estimate Calculation in Traditional Life Insurance
*Simon Hochgerner* and *Florian Gach*
- 2018: The Allen--Uzawa elasticity of substitution for nonhomogeneous production functions
*Elena Burmistrova* and *Sergey Lobanov*
- 2018: Pricing Options with Exponential Levy Neural Network
*Jeonggyu Huh*
- 2018: How local in time is the no-arbitrage property under capital gains taxes ?
*Christoph K\"uhn*
- 2018: Simple Bounds for Transaction Costs
*Bruno Bouchard* and *Johannes Muhle-Karbe*
- 2018: Market Impact in a Latent Order Book
*Ismael Lemhadri*
- 2018: Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
*Kiyoshi Kanazawa*, *Takumi Sueshige*, *Hideki Takayasu* and *Misako Takayasu*
- 2018: The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
*Manfred M. Fischer*, *Florian Huber*, *Michael Pfarrhofer* and *Petra Staufer-Steinnocher*
- 2018: On the binomial approximation of the American put
*Damien Lamberton*
- 2018: Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
*Yeonwoo Rho* and *Xiaofeng Shao*
- 2018: Analysis of Financial Credit Risk Using Machine Learning
*Jacky C. K. Chow*
- 2018: Stock Market Visualization
*Zura Kakushadze* and *Willie Yu*
- 2018: Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis
*Sadamori Kojaku*, *Giulio Cimini*, *Guido Caldarelli* and *Naoki Masuda*
- 2018: Multilevel nested simulation for efficient risk estimation
*Michael B. Giles* and *Abdul-Lateef Haji-Ali*
- 2018: Adapting the CVA model to Leland's framework
*P. Amster* and *A. P. Mogni*
- 2018: The Quotient of Normal Random Variables And Application to Asset Price Fat Tails
*Carey Caginalp* and *Gunduz Caginalp*
- 2018: Asset Price Volatility and Price Extrema
*Carey Caginalp* and *Gunduz Caginalp*
- 2018: Knowledge and Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory
*Shuige Liu*
- 2018: A General Method for Demand Inversion
*Lixiong Li*
- 2018: What is the Sharpe Ratio, and how can everyone get it wrong?
*Igor Rivin*
- 2018: Optimization of Fire Sales and Borrowing in Systemic Risk
*Maxim Bichuch* and *Zachary Feinstein*
- 2018: New Proposals of a Stress Measure in a Capital and its Robust Estimator
*Tadeusz Klecha*, *Daniel Kosiorowski*, *Dominik Mielczarek* and *Jerzy P. Rydlewski*
- 2018: Dynamics of observables in rank-based models and performance of functionally generated portfolios
*Sergio A. Almada Monter*, *Mykhaylo Shkolnikov* and *Jiacheng Zhang*
- 2018: Particle-without-Particle: a practical pseudospectral collocation method for numerical differential equations with distributional sources
*Marius Oltean*, *Carlos F. Sopuerta* and *Alessandro D. A. M. Spallicci*
- 2018: Visualizing Treasury Issuance Strategy
*Christopher Cameron*
- 2018: Replica Approach for Minimal Investment Risk with Cost
*Takashi Shinzato*
- 2018: Explicit size distributions of failure cascades redefine systemic risk on finite networks
*Rebekka Burkholz*, *Hans J. Herrmann* and *Frank Schweitzer*
- 2018: Deep Hedging
*Hans B\"uhler*, *Lukas Gonon*, *Josef Teichmann* and *Ben Wood*
- 2018: The sum of log-normal variates in geometric Brownian motion
*Ole Peters* and *Alexander Adamou*
- 2018: Immediate Causality Network of Stock Markets
*Li Zhou*, *Lu Qiu*, *Changgui Gu* and *Huijie Yang*
- 2018: Prediction of Shared Bicycle Demand with Wavelet Thresholding
*J. Christopher Westland*, *Jian Mou* and *Dafei Yin*
- 2018: Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions
*Akshay Vij* and *Rico Krueger*
- 2018: Collateral Unchained: Rehypothecation networks, concentration and systemic effects
*Duc Thi Luu*, *Mauro Napoletano*, *Paolo Barucca* and *Stefano Battiston*
- 2018: Dynamics of Wealth Inequality
*Zdzislaw Burda*, *Pawel Wojcieszak* and *Konrad Zuchniak*
- 2018: On the Limits of Incentive Design: Examining Medical Students' Misunderstanding of "the Match"
*Alex Rees-Jones* and *Samuel Skowronek*
- 2018: Dynamical regularities of US equities opening and closing auctions
*Damien Challet* and *Nikita Gourianov*
- 2018: Generating virtual scenarios of multivariate financial data for quantitative trading applications
*Javier Franco-Pedroso*, *Joaquin Gonzalez-Rodriguez*, *Jorge Cubero*, *Maria Planas*, *Rafael Cobo* and *Fernando Pablos*
- 2018: Volatility options in rough volatility models
*Blanka Horvath*, *Antoine Jacquier* and *Peter Tankov*
- 2018: Game-Theoretic Capital Asset Pricing in Continuous Time
*Vladimir Vovk* and *Glenn Shafer*
- 2018: Indexed Markov Chains for financial data: testing for the number of states of the index process
*Guglielmo D'Amico*, *Ada Lika* and *Filippo Petroni*
- 2018: The Samuelson Effect and Seasonal Stochastic Volatility in Agricultural Futures Markets
*Lorenz Schneider* and *Bertrand Tavin*
- 2018: Asian Option Pricing with Orthogonal Polynomials
*Sander Willems*
- 2018: A game-theoretic derivation of the $\sqrt{dt}$ effect
*Vladimir Vovk* and *Glenn Shafer*
- 2018: The Power of Trading Polarity: Evidence from China Stock Market Crash
*Shan Lu*, *Jichang Zhao* and *Huiwen Wang*
- 2018: On the interplay between multiscaling and average cross-correlation
*R. J. Buonocore*, *Rosario Mantegna* and *T. Di Matteo*
- 2018: Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows
*Emanuele Bacchiocchi*, *Andrea Bastianin*, *Alessandro Missale* and *Eduardo Rossi*
- 2018: Hyper-rational choice theory
*Madjid Eshaghi Gordji* and *Gholamreza Askari*
- 2018: An SPDE Model for Systemic Risk with Endogenous Contagion
*Ben Hambly* and *Andreas Sojmark*
- 2018: On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
*Mikl\'os R\'asonyi* and *Andrea Meireles-Rodrigues*
- 2018: Predicting crypto-currencies using sparse non-Gaussian state space models
*Christian Hotz-Behofsits*, *Florian Huber* and *Thomas O. Z\"orner*
- 2018: The Influence of Seed Selection on the Solvency II Ratio
*Quinn Culver*, *Dennis Heitmann* and *Christian Wei{\ss}*
- 2018: Greedy algorithms and Zipf laws
*Jos\'e Moran* and *Jean-Philippe Bouchaud*
- 2018: Consistent Valuation Across Curves Using Pricing Kernels
*Andrea Macrina* and *Obeid Mahomed*
- 2018: PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation from Financial News using Machine Learning
*Raeid Saqur* and *Nicole Langballe*
- 2018: Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity
*Reginald D. Smith*
- 2018: Non-stochastic portfolio theory
*Vladimir Vovk*
- 2018: Simultaneous Confidence Intervals for High-dimensional Linear Models with Many Endogenous Variables
*Alexandre Belloni*, *Victor Chernozhukov*, *Christian Hansen* and *Whitney Newey*
- 2018: Assessment Voting in Large Electorates
*Hans Gersbach*, *Akaki Mamageishvili* and *Oriol Tejada*
- 2018: The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
*Vygintas Gontis* and *Aleksejus Kononovicius*
- 2018: Generic Machine Learning Inference on Heterogenous Treatment Effects in Randomized Experiments
*Victor Chernozhukov*, *Mert Demirer*, *Esther Duflo* and *Ivan Fernandez-Val*
- 2018: Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions
*Zbigniew Palmowski* and *Joanna Tumilewicz*
- 2018: A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node
*Amirhossein Sobhani* and *Mariyan Milev*
- 2018: A Short-term Intervention for Long-term Fairness in the Labor Market
*Lily Hu* and *Yiling Chen*
- 2018: A New Interpretation of the Economic Complexity Index
*Penny Mealy*, *J. Doyne Farmer* and *Alexander Teytelboym*
- 2018: How fragile are information cascades?
*Yuval Peres*, *Miklos Z. Racz*, *Allan Sly* and *Izabella Stuhl*
- 2018: The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes
*Brian P. Hanley*
- 2018: Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
*Martin Keller-Ressel*
- 2018: Information measure for financial time series: quantifying short-term market heterogeneity
*Linda Ponta* and *Anna Carbone*
- 2018: Large deviations for risk measures in finite mixture models
*Valeria Bignozzi*, *Claudio Macci* and *Lea Petrella*
- 2018: Robust Forecast Aggregation
*Itai Areili*, *Yakov Babichenko* and *Rann Smorodinsky*
- 2018: Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model
*Chuan Goh*
- 2018: Kelly's Criterion in Portfolio Optimization: A Decoupled Problem
*Zachariah Peterson*
- 2018: Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps
*J\'er\^ome Spielmann*
- 2018: Inference for VARs Identified with Sign Restrictions
*Eleonora Granziera*, *Hyungsik Roger Moon* and *Frank Schorfheide*
- 2018: Universal L\'evy's stable law of stock market and its characterization
*Takumi Fukunaga* and *Ken Umeno*
- 2018: Optimal Inflation Target: Insights from an Agent-Based Model
*Jean-Philippe Bouchaud*, *Stanislao Gualdi*, *Marco Tarzia* and *Francesco Zamponi*
- 2018: Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions
*Guosheng Hu*, *Yuxin Hu*, *Kai Yang*, *Zehao Yu*, *Flood Sung*, *Zhihong Zhang*, *Fei Xie*, *Jianguo Liu*, *Neil Robertson*, *Timothy Hospedales* and *Qiangwei Miemie*
- 2018: Implementing Flexible Demand: Real-time Price vs. Market Integration
*Florian K\"uhnlenz*, *Pedro H. J. Nardelli*, *Santtu Karhinen* and *Rauli Svento*
- 2018: Testing if the market microstructure noise is a function of the limit order book
*Simon Clinet* and *Yoann Potiron*
- 2018: A General Class of Multifractional Processes and Stock Price Informativeness
*Qidi Peng* and *Ran Zhao*
- 2018: Multi-scale analysis of lead-lag relationships in high-frequency financial markets
*Takaki Hayashi* and *Yuta Koike*
- 2018: On optimal periodic dividend strategies for L\'evy risk processes
*Kei Noba*, *Jos\'e-Luis P\'erez*, *Kazutoshi Yamazaki* and *Kouji Yano*
- 2018: Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
*Zachary Feinstein*, *Weijie Pang*, *Birgit Rudloff*, *Eric Schaanning*, *Stephan Sturm* and *Mackenzie Wildman*
- 2018: Modeling Systemic Risk with Interbank Flows, Borrowing, and Investing
*Aditya Maheshwari* and *Andrey Sarantsev*
- 2018: Smoothed GMM for quantile models
*Luciano de Castro*, *Antonio F. Galvao*, *David Kaplan* and *Xin Liu*
- 2018: Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment
*Jean-Pierre Fouque* and *Ruimeng Hu*
- 2018: Nonparametric Regression with Multiple Thresholds: Estimation and Inference
*Yan-Yu Chiou*, *Mei-Yuan Chen* and *Jau-er Chen*
- 2018: Data and uncertainty in extreme risks - a nonlinear expectations approach
*Samuel N. Cohen*
- 2018: Multi-unit Assignment under Dichotomous Preferences
*Josue Ortega*
- 2018: On representing and hedging claims for coherent risk measures
*Saul Jacka*, *Seb Armstrong* and *Abdelkarem Berkaoui*
- 2018: Existence of a Radner equilibrium in a model with transaction costs
*Kim Weston*
- 2018: On a class of path-dependent singular stochastic control problems
*Romuald Elie*, *Ludovic Moreau* and *Dylan Possama\"i*
- 2018: Bank monitoring incentives under moral hazard and adverse selection
*Nicol\'as Hern\'andez Santib\'a\~nez*, *Dylan Possama\"i* and *Chao Zhou*
- 2018: Multinomial method for option pricing under Variance Gamma
*Nicola Cantarutti* and *Jo\~ao Guerra*
- 2018: Pointwise Arbitrage Pricing Theory in Discrete Time
*Matteo Burzoni*, *Marco Frittelli*, *Zhaoxu Hou*, *Marco Maggis* and *Jan Ob{\l}\'oj*
- 2018: Information, Impact, Ignorance, Illegality, Investing, and Inequality
*Bruce Knuteson*
- 2018: Impossible Inference in Econometrics: Theory and Applications
*Marinho Bertanha* and *Marcelo Moreira*
- 2018: Wavelet-based methods for high-frequency lead-lag analysis
*Takaki Hayashi* and *Yuta Koike*
- 2018: Asymptotic approximation of optimal portfolio for small time horizons
*Rohini Kumar* and *Hussein Nasralah*
- 2018: Optimal stopping with f -expectations: the irregular case
*Miryana Grigorova*, *Peter Imkeller*, *Youssef Ouknine* and *Marie-Claire Quenez*
- 2018: Multifractal cross wavelet analysis
*Zhi-Qiang Jiang*, *Xing-Lu Gao*, *Wei-Xing Zhou* and *H. Eugene Stanley*
- 2018: Multivariate Garch with dynamic beta
*Matthias Raddant* and *Friedrich Wagner*
- 2018: Efficient exposure computation by risk factor decomposition
*Cornelis S. L. de Graaf*, *Drona Kandhai* and *Christoph Reisinger*
- 2018: On the American swaption in the linear-rational framework
*Damir Filipovic* and *Yerkin Kitapbayev*
- 2018: Frequentist size of Bayesian inequality tests
*David Kaplan* and *Longhao Zhuo*
- 2018: Exact Smooth Term-Structure Estimation
*Damir Filipovi\'c* and *Sander Willems*
- 2018: The Affine Wealth Model: An agent-based model of asset exchange that allows for negative-wealth agents and its empirical validation
*Jie Li*, *Bruce M. Boghosian* and *Chengli Li*
- 2018: Affine representations of fractional processes with applications in mathematical finance
*Philipp Harms* and *David Stefanovits*
- 2018: On the spot-futures no-arbitrage relations in commodity markets
*Ren\'e A\"id*, *Luciano Campi* and *Delphine Lautier*
- 2018: Optimal martingale transport between radially symmetric marginals in general dimensions
*Tongseok Lim*
- 2018: Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
*Hao Meng*, *Hai-Chuan Xu*, *Wei-Xing Zhou* and *Didier Sornette*
- 2018: Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
*Jian Zhou*, *Gao-Feng Gu*, *Zhi-Qiang Jiang*, *Xiong Xiong*, *Wei Chen*, *Wei Zhang* and *Wei-Xing Zhou*
- 2018: Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations
*Max H. Farrell*
- 2018: Relativistic Black-Scholes model
*Maciej Trzetrzelewski*
- 2018: Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
*Karolina Bujok*, *Ben Hambly* and *Christoph Reisinger*
- 2018: Quantification of systemic risk from overlapping portfolios in the financial system
*Sebastian Poledna*, *Seraf\'in Mart\'inez-Jaramillo*, *Fabio Caccioli* and *Stefan Thurner*
- 2018: Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures
*Rick Steinert* and *Florian Ziel*
- 2018: How Can We Induce More Women to Competitions?
*Masayuki Yagasaki* and *Mitsunosuke Morishita*
- 2018: Are `Water Smart Landscapes' Contagious? An epidemic approach on networks to study peer effects
*Christa Brelsford* and *Caterina De Bacco*
- 2018: Identifying systemically important companies in the entire liability network of a small open economy
*Sebastian Poledna*, *Abraham Hinteregger* and *Stefan Thurner*
- 2018: Nonparametric Bayesian volatility estimation
*Shota Gugushvili*, *Frank van der Meulen*, *Moritz Schauer* and *Peter Spreij*
- 2018: When does a disaster become a systemic event? Estimating indirect economic losses from natural disasters
*Sebastian Poledna*, *Stefan Hochrainer-Stigler*, *Michael Gregor Miess*, *Peter Klimek*, *Stefan Schmelzer*, *Johannes Sorger*, *Elena Shchekinova*, *Elena Rovenskaya*, *JoAnne Linnerooth-Bayer*, *Ulf Dieckmann* and *Stefan Thurner*
- 2018: First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
*Young Shin Kim*
- 2018: A representative agent model based on risk-neutral prices
*Hyungbin Park*
- 2018: On a capital allocation principle coherent with the Solvency 2 standard formula
*Fabio Baione*, *Paolo De Angelis* and *Ivan Granito*
- 2018: Nonseparable Sample Selection Models with Censored Selection Rules
*Iv\'an Fern\'andez-Val*, *Aico van Vuuren* and *Francis Vella*
- 2018: Ordered Kripke Model, Permissibility, and Convergence of Probabilistic Kripke Model
*Shuige Liu*
- 2018: Quantifying Health Shocks Over the Life Cycle
*Taiyo Fukai*, *Hidehiko Ichimura* and *Kyogo Kanazawa*
- 2018: Short-term at-the-money asymptotics under stochastic volatility models
*Omar El Euch*, *Masaaki Fukasawa*, *Jim Gatheral* and *Mathieu Rosenbaum*
- 2018: Valuation of Currency Options in Markets with a Crunch
*Abdulnasser Hatemi-J* and *Youssef El-Khatib*
- 2018: A Hilbert Space of Stationary Ergodic Processes
*Ishanu Chattopadhyay*
- 2018: A bright future for financial agent-based models
*J. Lussange*, *A. Belianin*, *S. Bourgeois-Gironde* and *B. Gutkin*
- 2018: Target volatility option pricing in lognormal fractional SABR model
*Elisa Alos*, *Rupak Chatterjee*, *Sebastian Tudor* and *Tai-Ho Wang*
- 2018: Stock returns forecast: an examination by means of Artificial Neural Networks
*Martin Iglesias Caride*, *Aurelio Fernandez Bariviera* and *Laura Lanzarini*
- 2018: Spurious seasonality detection: a non-parametric test proposal
*Aurelio Fernandez Bariviera*, *Angelo Plastino* and *George Judge*
- 2018: Estimating Heterogeneous Consumer Preferences for Restaurants and Travel Time Using Mobile Location Data
*Susan Athey*, *David Blei*, *Robert Donnelly*, *Francisco Ruiz* and *Tobias Schmidt*
- 2018: Generalised Lyapunov Functions and Functionally Generated Trading Strategies
*Johannes Ruf* and *Kangjianan Xie*
- 2018: Gaussian Approximation of a Risk Model with Stationary Hawkes Arrivals of Claims
*Zailei Cheng* and *Youngsoo Seol*
- 2018: Alonso and the Scaling of Urban Profiles
*Justin Delloye*, *R\'emi Lemoy* and *Geoffrey Caruso*
- 2018: Capital allocation under Fundamental Review of Trading Book
*Luting Li* and *Hao Xing*
- 2018: Numeraire markets
*Robert Fernholz*
- 2018: Characterization of catastrophic instabilities: Market crashes as paradigm
*Anirban Chakraborti*, *Kiran Sharma*, *Hirdesh K. Pharasi*, *Sourish Das*, *Rakesh Chatterjee* and *Thomas H. Seligman*
- 2018: Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
*Ralph Rudd*, *Thomas McWalter*, *Joerg Kienitz* and *Eckhard Platen*
- 2018: Ranking Causal Influence of Financial Markets via Directed Information Graphs
*Theo Diamandis*, *Yonathan Murin* and *Andrea Goldsmith*
- 2018: Testing the Number of Regimes in Markov Regime Switching Models
*Hiroyuki Kasahara* and *Katsumi Shimotsu*
- 2018: At What Frequency Should the Kelly Bettor Bet?
*Chung-Han Hsieh*, *B. Ross Barmish* and *John A. Gubner*
- 2018: A Second Order Cumulant Spectrum Based Test for Strict Stationarity
*Douglas Patterson*, *Melvin Hinich* and *Denisa Roberts*
- 2018: Nonfractional Memory: Filtering, Antipersistence, and Forecasting
*J. Eduardo Vera-Vald\'es*
- 2018: Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts
*Andreas Kaloudis* and *Dimitrios Tsolis*
- 2018: Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity)
*Ricardo Antunes*, *Daniel Birchal*, *Jo\~ao M\'arcio Abijaodi*, *Paulo Abreu* and *Rog\'erio Peixoto*
- 2018: USDA Forecasts: A meta-analysis study
*Bahram Sanginabadi*
- 2018: Ergodic robust maximization of asymptotic growth
*Constantinos Kardaras* and *Scott Robertson*
- 2018: Affine forward variance models
*Jim Gatheral* and *Martin Keller-Ressel*
- 2018: A Dirichlet Process Mixture Model of Discrete Choice
*Rico Krueger*, *Akshay Vij* and *Taha H. Rashidi*
- 2018: A First Option Calibration of the GARCH Diffusion Model by a PDE Method
*Yiannis A. Papadopoulos* and *Alan L. Lewis*
- 2018: The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
*Igor Halperin*
- 2018: Large-Scale Simulation of Multi-Asset Ising Financial Markets
*Tetsuya Takaishi*
- 2018: CryptoRuble: From Russia with Love
*Zura Kakushadze* and *Jim Kyung-Soo Liew*
- 2018: Evaluating the role of risk networks on risk identification, classification and emergence
*Christos Ellinas*, *Neil Allan* and *Caroline Coombe*
- 2018: A subordinated CIR intensity model with application to Wrong-Way risk CVA
*Cheikh Mbaye* and *Fr\'ed\'eric Vrins*
- 2018: Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
*Takuji Arai*, *Yuto Imai* and *Ryo Nakashima*
- 2018: The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient
*Martin Falcke* and *V. Nicolai Friedhoff*
- 2018: Censored Quantile Instrumental Variable Estimation with Stata
*Victor Chernozhukov*, *Iv\'an Fern\'andez-Val*, *Sukjin Han* and *Amanda Kowalski*
- 2018: Social Network based Short-Term Stock Trading System
*Paolo Cremonesi*, *Chiara Francalanci*, *Alessandro Poli*, *Roberto Pagano*, *Luca Mazzoni*, *Alberto Maggioni* and *Mehdi Elahi*
- 2018: Panel Data Quantile Regression with Grouped Fixed Effects
*Jiaying Gu* and *Stanislav Volgushev*
- 2018: Characterizing Assumption of Rationality by Incomplete Information
*Shuige Liu*
- 2018: Heterogeneous structural breaks in panel data models
*Ryo Okui* and *Wendun Wang*
- 2018: Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
*Salvatore Federico*, *Mauro Rosestolato* and *Elisa Tacconi*
- 2018: Coexistence of several currencies in presence of increasing returns to adoption
*Alex Lamarche-Perrin*, *Andr\'e Orl\'ean* and *Pablo Jensen*
- 2018: Regression Based Expected Shortfall Backtesting
*Sebastian Bayer* and *Timo Dimitriadis*
- 2018: Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
*N. Packham*
- 2018: Asymptotic Static Hedge via Symmetrization
*Jiro Akahori*, *Flavia Barsotti* and *Yuri Imamura*
- 2018: Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?
*Patrick Kofod Mogensen*
- 2018: From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$)
*Libo Li*
- 2018: Viable Insider Markets
*Olfa Draouil* and *Bernt {\O}ksendal*
- 2018: The time interpretation of expected utility theory
*Ole Peters* and *Alexander Adamou*
- 2018: Is there a housing bubble in China
*Tianhao Zhi*, *Zhongfei Li*, *Zhiqiang Jiang*, *Lijian Wei* and *Didier Sornette*
- 2018: Robust martingale selection problem and its connections to the no-arbitrage theory
*Matteo Burzoni* and *Mario Sikic*
- 2018: Generative Models for Stochastic Processes Using Convolutional Neural Networks
*Fernando Fernandes Neto*
- 2018: Predict Forex Trend via Convolutional Neural Networks
*Yun-Cheng Tsai*, *Jun-Hao Chen* and *Jun-Jie Wang*
- 2018: On a Constructive Theory of Markets
*Steven D. Moffitt*
- 2018: Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design
*Steven D. Moffitt* and *William T. Ziemba*
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*Steven D. Moffitt* and *William T. Ziemba*
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*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
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*Blanka Horvath* and *Oleg Reichmann*
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*Mercedes Campi*, *Marco Due\~nas*, *Le Li* and *Huabin Wu*
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- 2018: The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis
*Danilo Delpini*, *Stefano Battiston*, *Guido Caldarelli* and *Massimo Riccaboni*
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*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
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*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
- 2018: Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage
*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
- 2018: Bayesian Social Learning in a Dynamic Environment
*Krishna Dasaratha*, *Benjamin Golub* and *Nir Hak*
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- 2018: SABCEMM-A Simulation Framework for Agent-Based Computational Economic Market Models
*Torsten Trimborn*, *Philipp Otte*, *Simon Cramer*, *Max Beikirch*, *Emma Pabich* and *Martin Frank*
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*Mat\'u\v{s} Maciak*, *Ostap Okhrin* and *Michal Pe\v{s}ta*
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*Yong Li*, *Xiaobin Liu*, *Jun Yu* and *Tao Zeng*
- 2018: Complexity Theory, Game Theory, and Economics
*Tim Roughgarden*
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*Shuheng Wang*, *Guohao Li* and *Yifan Bao*
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*Xi Zhang*, *Jiawei Shi*, *Di Wang* and *Binxing Fang*
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*Xi Zhang*, *Yunjia Zhang*, *Senzhang Wang*, *Yuntao Yao*, *Binxing Fang* and *Philip S. Yu*
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- 2018: Set Identified Dynamic Economies and Robustness to Misspecification
*Andreas Tryphonides*
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*Elisa Letizia* and *Fabrizio Lillo*
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*Roman G. Smirnov* and *Kunpeng Wang*
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*John Armstrong* and *Damiano Brigo*
- 2018: Large deviation principle for Volterra type fractional stochastic volatility models
*Archil Gulisashvili*
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*Krishna Dasaratha*
- 2018: Sure profits via flash strategies and the impossibility of predictable jumps
*Claudio Fontana*, *Markus Pelger* and *Eckhard Platen*
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- 2018: Discrete-type approximations for non-Markovian optimal stopping problems: Part I
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*J-F Mercure*, *H. Pollitt*, *N. R. Edwards*, *P. B. Holden*, *U. Chewpreecha*, *P. Salas*, *A. Lam*, *F. Knobloch* and *J. Vinuales*
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*Yerkin Kitapbayev* and *Tim Leung*
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*Arunangshu Biswas*, *Anindya Goswami* and *Ludger Overbeck*
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*Jos\'e-Luis P\'erez* and *Kazutoshi Yamazaki*
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*Damien Ackerer* and *Thibault Vatter*
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*Florian Huber*, *Gregor Kastner* and *Martin Feldkircher*
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*Tatsushi Oka* and *Pierre Perron*
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*Damien Ackerer* and *Damir Filipovi\'c*
- 2018: Deep Portfolio Theory
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
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*Erhan Bayraktar* and *Zhou Zhou*
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*Brendon Farrell*
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*Ren\'e A\"id*, *Matteo Basei*, *Giorgia Callegaro*, *Luciano Campi* and *Tiziano Vargiolu*
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*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
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*Nassim Nicholas Taleb*
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*Damiano Brigo*, *Nicola Pede* and *Andrea Petrelli*
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*Zachary Feinstein* and *Birgit Rudloff*
- 2018: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
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*Bin Li*, *K. Y. Michael Wong*, *Amos H. M. Chan*, *Tsz Yan So*, *Hermanni Heimonen*, *Junyi Wei* and *David Saad*
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*Cyril Pitrou*
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*Lorien X. Hayden*, *Ricky Chachra*, *Alexander A. Alemi*, *Paul H. Ginsparg* and *James P. Sethna*
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*Alexandre Belloni*, *Victor Chernozhukov*, *Ivan Fern\'andez-Val* and *Christian Hansen*
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*Alexandre Belloni*, *Victor Chernozhukov* and *Kengo Kato*
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*Victor Chernozhukov*, *Denis Chetverikov* and *Kengo Kato*
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