# Papers
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- 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: Adversarial Generalized Method of Moments
*Greg Lewis* and *Vasilis Syrgkanis*
- 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: Spatial risk measures and rate of spatial diversification
*Erwan Koch*
- 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: Stochastic Dynamic Utilities and Inter-Temporal Preferences
*Marco Maggis*
- 2018: Stock Price Prediction using Principle Components
*Mahsa Ghorbani* and *Edwin K. P. Chong*
- 2018: An Endogenous Mechanism of Business Cycles
*Dimitri Kroujiline*, *Maxim Gusev*, *Dmitry Ushanov*, *Sergey V. Sharov* and *Boris Govorkov*
- 2018: Inference on a Distribution from Noisy Draws
*Koen Jochmans* and *Martin Weidner*
- 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: Categorizing Variants of Goodhart's Law
*David Manheim* and *Scott Garrabrant*
- 2018: Pathwise moderate deviations for option pricing
*Antoine Jacquier* and *Konstantinos Spiliopoulos*
- 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: Strategy of the remove and easy TBT 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: Classification of crypto-coins and tokens from the dynamics of their power law capitalisation distributions
*Ke Wu*, *Spencer Wheatley* and *Didier Sornette*
- 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: Almost Sure Uniqueness of a Global Minimum Without Convexity
*Gregory Cox*
- 2018: A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data
*Zihao Yuan*, *Qing Zhang* and *Yunxia Li*
- 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: Geographically Weighted Regression with Multidimensional Locations and Subscripts: Based on Dependent Data
*Zihao Yuan* and *Xiaolin Wu*
- 2018: Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
*Zhongzhi Lawrence He*
- 2018: Generalized Information Ratio
*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: Blockchain: Data Malls, Coin Economies and Keyless Payments
*Zura Kakushadze* and *Ronald P. Russo*
- 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: Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?
*Jinwen Qiu*, *Wenjian Liu* and *Ning Ning*
- 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: 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: 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: 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: 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: 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: 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 Boltzmann equation for financial Brownian motion: Direct observation of 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: 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: Regression-based complexity reduction of the dual nested Monte Carlo methods
*Denis Belomestny*, *Stefan H\"afner* and *Mikhail Urusov*
- 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: 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: The Jacobi Stochastic Volatility Model
*Damien Ackerer*, *Damir Filipovi\'c* and *Sergio Pulido*
- 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: One trade at a time -- unraveling the Equity Premium Puzzle
*Andrei N. Soklakov*
- 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: Stock management (Gest\~ao de estoques)
*Cainan K. de Oliveira*, *Henrique G. Menck*, *Pedro Y. Takito*, *Eliandro Rodrigues Cirilo*, *Neyva Maria Lopes Romeiro* and *Paulo Laerte Natti*
- 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: Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning
*Agnieszka Werpachowska*
- 2018: Persuading Perceval; Information Provision in a Sequential Search Setting
*Mark Whitmeyer*
- 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: A Unified Modeling Framework for Life and Non-Life Insurance
*Francesca Biagini* and *Yinglin Zhang*
- 2018: The Security of the United Kingdom Electricity Imports under Conditions of High European Demand
*Anthony D Stephens* and *David R Walwyn*
- 2018: Extracting the multi-timescale activity patterns of online financial markets
*Teruyoshi Kobayashi*, *Anna Sapienza* and *Emilio Ferrara*
- 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: Achieving perfect coordination amongst agents in the co-action minority game
*Hardik Rajpal* and *Deepak Dhar*
- 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: An Operational (Preasymptotic) Measure of Fat-tailedness
*Nassim Nicholas Taleb*
- 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: Structural Estimation of Behavioral Heterogeneity
*Zhentao Shi* and *Huanhuan Zheng*
- 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: Long-Term-Unemployed hirings: Should targeted or untargeted policies be preferred?
*Alessandra Pasquini*, *Marco Centra* and *Guido Pellegrini*
- 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: Deep Learning for Forecasting Stock Returns in the Cross-Section
*Masaya Abe* and *Hideki Nakayama*
- 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: A Game of Random Variables
*Artem Hulko* and *Mark Whitmeyer*
- 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: Quantum Bounds for Option Prices
*Paul McCloud*
- 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: Portfolio Optimization and Model Predictive Control: A Kinetic Approach
*Torsten Trimborn*, *Lorenzo Pareschi* and *Martin Frank*
- 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: On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
*Zied Ben Salah* and *Jos\'e Garrido*
- 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: How Facebook drives investor behavior
*Milla Siikanen*, *Kestutis Baltakys*, *Hannu K\"arkk\"ainen*, *Jari Jussila*, *Ravi Vatrapu*, *Raghava Mukkamala*, *Abid Hussain* and *Juho Kanniainen*
- 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: Multilayer Aggregation with Statistical Validation: Application to Investor Networks
*Kestutis Baltakys*, *Juho Kanniainen* and *Frank Emmert-Streib*
- 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: Technology networks: the autocatalytic origins of innovation
*Lorenzo Napolitano*, *Evangelos Evangelou*, *Emanuele Pugliese*, *Paolo Zeppini* and *Graham Room*
- 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: Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
*Maria Grossinho*, *Yaser Faghan Kord* and *Daniel Sevcovic*
- 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: Unspanned Stochastic Volatility in the Multi-factor CIR Model
*Damir Filipovi\'c*, *Martin Larsson* and *Francesco Statti*
- 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: Model-free portfolio theory and its functional master formula
*Alexander Schied*, *Leo Speiser* and *Iryna Voloshchenko*
- 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: 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: Ambiguity in defaultable term structure models
*Tolulope Fadina* and *Thorsten Schmidt*
- 2018: Identifying systemically important companies in the entire liability network of a small open economy
*Sebastian Poledna*, *Abraham Hinteregger* and *Stefan Thurner*
- 2018: Multi-factor approximation of rough volatility models
*Eduardo Abi Jaber* and *Omar El Euch*
- 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: Moment Explosions in the Rough Heston Model
*Stefan Gerhold*, *Christoph Gerstenecker* and *Arpad Pinter*
- 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: Parameter Estimation for Weak Variance-Alpha-Gamma Processes
*Boris Buchmann*, *Kevin W. Lu* and *Dilip B. Madan*
- 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: Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
*Ricardo Crisóstomo* and *Lorena Couso*
- 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: Protecting Target Zone Currency Markets from Speculative Investors
*Eyal Neuman* and *Alexander Schied*
- 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: Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
*Farouq Abdulaziz Masoudy*
- 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: A closed-form formula for pricing bonds between coupon payments
*Sylvia Gottschalk*
- 2018: Large-Scale Simulation of Multi-Asset Ising Financial Markets
*Tetsuya Takaishi*
- 2018: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
*Anas Yassine* and *Abdelmadjid Ibenrissoul*
- 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: Sales forecasting and risk management under uncertainty in the media industry
*V\'ictor Gallego*, *Pablo Angulo*, *Pablo Su\'arez-Garc\'ia* and *David G\'omez-Ullate*
- 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*
- 2018: A Method for Winning at Lotteries
*Steven D. Moffitt* and *William T. Ziemba*
- 2018: A time change strategy to model reporting delay dynamics in claims reserving
*Jonas Crevecoeur*, *Katrien Antonio* and *Roel Verbelen*
- 2018: Implications of Macroeconomic Volatility in the Euro Area
*Niko Hauzenberger*, *Maximilian B\"ock*, *Michael Pfarrhofer*, *Anna Stelzer* and *Gregor Zens*
- 2018: Dynamic Pricing and Energy Management Strategy for EV Charging Stations under Uncertainties
*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
- 2018: Dirichlet Forms and Finite Element Methods for the SABR Model
*Blanka Horvath* and *Oleg Reichmann*
- 2018: Revealed Price Preference: Theory and Empirical Analysis
*Rahul Deb*, *Yuichi Kitamura*, *John Quah* and *Jörg Stoye*
- 2018: Diversification, economies of scope, and exports growth of Chinese firms
*Mercedes Campi*, *Marco Due\~nas*, *Le Li* and *Huabin Wu*
- 2018: A quantitative approach to choose among multiple mutually exclusive decisions: comparative expected utility theory
*Pengyu Zhu*
- 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*
- 2018: A Consumer Behavior Based Approach to Multi-Stage EV Charging Station Placement
*Chao Luo*, *Yih-Fang Huang* and *Vijay Gupta*
- 2018: Placement of EV Charging Stations --- Balancing Benefits among Multiple Entities
*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: Dynamic Clearing and Contagion in Financial Networks
*Tathagata Banerjee*, *Alex Bernstein* and *Zachary Feinstein*
- 2018: Bayesian Social Learning in a Dynamic Environment
*Krishna Dasaratha*, *Benjamin Golub* and *Nir Hak*
- 2018: Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists
*Steven D. Moffitt*
- 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*
- 2018: Dynamic and granular loss reserving with copulae
*Mat\'u\v{s} Maciak*, *Ostap Okhrin* and *Michal Pe\v{s}ta*
- 2018: Constructing Metropolis-Hastings proposals using damped BFGS updates
*Johan Dahlin*, *Adrian Wills* and *Brett Ninness*
- 2018: Expansion formulas for European quanto options in a local volatility FX-LIBOR model
*Julien Hok*, *Philip Ngare* and *Antonis Papapantoleon*
- 2018: Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
*Angelica Gianfreda*, *Francesco Ravazzolo* and *Luca Rossini*
- 2018: Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
*Ale\v{s} \v{C}ern\'y* and *Igor Melicher\v{c}\'ik*
- 2018: A New Wald Test for Hypothesis Testing Based on MCMC outputs
*Yong Li*, *Xiaobin Liu*, *Jun Yu* and *Tao Zeng*
- 2018: Complexity Theory, Game Theory, and Economics
*Tim Roughgarden*
- 2018: A novel improved fuzzy support vector machine based stock price trend forecast model
*Shuheng Wang*, *Guohao Li* and *Yifan Bao*
- 2018: Exploiting Investors Social Network for Stock Prediction in China's Market
*Xi Zhang*, *Jiawei Shi*, *Di Wang* and *Binxing Fang*
- 2018: Improving Stock Market Prediction via Heterogeneous Information Fusion
*Xi Zhang*, *Yunjia Zhang*, *Senzhang Wang*, *Yuntao Yao*, *Binxing Fang* and *Philip S. Yu*
- 2018: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
*Victor Chernozhukov*, *Kaspar Wüthrich* and *Yinchu Zhu*
- 2018: A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
*Antoine Lejay* and *Paolo Pigato*
- 2018: Risk Sensitive Portfolio Optimization with Regime-Switching
*Lijun Bo*, *Huafu Liao* and *Xiang Yu*
- 2018: Set Identified Dynamic Economies and Robustness to Misspecification
*Andreas Tryphonides*
- 2018: Some Physics Notions on Monetary Standard
*Tiago Fernandes*
- 2018: On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models
*Masahiko Egami* and *Rusudan Kevkhishvili*
- 2018: Corporate payments networks and credit risk rating
*Elisa Letizia* and *Fabrizio Lillo*
- 2018: Towards a new paradigm for mathematical modelling of growth
*Roman G. Smirnov* and *Kunpeng Wang*
- 2018: Optimizing S-shaped utility and implications for risk management
*John Armstrong* and *Damiano Brigo*
- 2018: Large deviation principle for Volterra type fractional stochastic volatility models
*Archil Gulisashvili*
- 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: Distributions of Centrality on Networks
*Krishna Dasaratha*
- 2018: Sure profits via flash strategies and the impossibility of predictable jumps
*Claudio Fontana*, *Markus Pelger* and *Eckhard Platen*
- 2018: Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk
*Xue Dong He* and *Xianhua Peng*
- 2018: Discrete-type approximations for non-Markovian optimal stopping problems: Part II
*S\'ergio C. Bezerra*, *Alberto Ohashi* and *Francesco Russo*
- 2018: Discrete-type approximations for non-Markovian optimal stopping problems: Part I
*Dorival Le\~ao*, *Alberto Ohashi* and *Francesco Russo*
- 2018: Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE
*J-F Mercure*, *H. Pollitt*, *N. R. Edwards*, *P. B. Holden*, *U. Chewpreecha*, *P. Salas*, *A. Lam*, *F. Knobloch* and *J. Vinuales*
- 2018: Mean Reversion Trading with Sequential Deadlines and Transaction Costs
*Yerkin Kitapbayev* and *Tim Leung*
- 2018: Option Pricing in a Regime Switching Stochastic Volatility Model
*Arunangshu Biswas*, *Anindya Goswami* and *Ludger Overbeck*
- 2018: Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science
*Y\'erali Gandica*, *Marco Valerio Geraci*, *Sophie B\'ereau* and *Jean-Yves Gnabo*
- 2018: Pathwise large deviations for the Rough Bergomi model
*Antoine Jacquier*, *Mikko S. Pakkanen* and *Henry Stone*
- 2018: Principal-Agent Problem with Common Agency without Communication
*Thibaut Mastrolia* and *Zhenjie Ren*
- 2018: Optimal sequential treatment allocation
*Anders Kock* and *Martin Thyrsgaard*
- 2018: Computation of second order price sensitivities in depressed markets
*Youssef El-Khatib* and *Abdulnasser Hatemi-J*
- 2018: Optimal consumption of multiple goods in incomplete markets
*Oleksii Mostovyi*
- 2018: Sparse Portfolio selection via Bayesian Multiple testing
*Sourish Das* and *Rituparna Sen*
- 2018: Asymptotic multivariate expectiles
*V\'eronique Maume-Deschamps*, *Didier Rulli\`ere* and *Khalil Said*
- 2018: Multivariate Geometric Expectiles
*Klaus Herrmann*, *Marius Hofert* and *Melina Mailhot*
- 2018: Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
*Mikio Ito*, *Kiyotaka Maeda* and *Akihiko Noda*
- 2018: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
*Samuel Drapeau*, *Peng Luo* and *Dewen Xiong*
- 2018: The short-term price impact of trades is universal
*Bence Toth*, *Zoltan Eisler* and *Jean-Philippe Bouchaud*
- 2018: Asset liquidation under drift uncertainty and regime-switching volatility
*Juozas Vaicenavicius*
- 2018: Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
*Andrei Cozma*, *Matthieu Mariapragassam* and *Christoph Reisinger*
- 2018: Stability for gains from large investors' strategies in M1/J1 topologies
*Dirk Becherer*, *Todor Bilarev* and *Peter Frentrup*
- 2018: A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
*Johannes Muhle-Karbe* and *Marcel Nutz*
- 2018: Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
*Jos\'e-Luis P\'erez* and *Kazutoshi Yamazaki*
- 2018: Dependent Defaults and Losses with Factor Copula Models
*Damien Ackerer* and *Thibault Vatter*
- 2018: Optimal Population in a Finite Horizon
*Satoshi Nakano* and *Kazuhiko Nishimura*
- 2018: A New Approach To Time Varying Parameters in Vector Autoregressive Models
*Florian Huber*, *Gregor Kastner* and *Martin Feldkircher*
- 2018: Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions
*Masaaki Fujii* and *Akihiko Takahashi*
- 2018: Testing for Common Breaks in a Multiple Equations System
*Tatsushi Oka* and *Pierre Perron*
- 2018: Linear Credit Risk Models
*Damien Ackerer* and *Damir Filipovi\'c*
- 2018: Deep Portfolio Theory
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2018: No-arbitrage and hedging with liquid American options
*Erhan Bayraktar* and *Zhou Zhou*
- 2018: Depreciation and the Time Value of Money
*Brendon Farrell*
- 2018: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
*Ren\'e A\"id*, *Matteo Basei*, *Giorgia Callegaro*, *Luciano Campi* and *Tiziano Vargiolu*
- 2018: Approximate Residual Balancing: De-Biased Inference of Average Treatment Effects in High Dimensions
*Susan Athey*, *Guido W. Imbens* and *Stefan Wager*
- 2018: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
*Milan Kumar Das*, *Anindya Goswami* and *Nimit Rana*
- 2018: A Short Note on P-Value Hacking
*Nassim Nicholas Taleb*
- 2018: Optimal investment and consumption with liquid and illiquid assets
*Jin Hyuk Choi*
- 2018: Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps
*Damiano Brigo*, *Nicola Pede* and *Andrea Petrelli*
- 2018: A Supermartingale Relation for Multivariate Risk Measures
*Zachary Feinstein* and *Birgit Rudloff*
- 2018: Why Indexing Works
*J. B. Heaton*, *N. G. Polson* and *J. H. Witte*
- 2018: How Market Structure Drives Commodity Prices
*Bin Li*, *K. Y. Michael Wong*, *Amos H. M. Chan*, *Tsz Yan So*, *Hermanni Heimonen*, *Junyi Wei* and *David Saad*
- 2018: Graph representation of balance sheets: from exogenous to endogenous money
*Cyril Pitrou*
- 2018: Canonical Sectors and Evolution of Firms in the US Stock Markets
*Lorien X. Hayden*, *Ricky Chachra*, *Alexander A. Alemi*, *Paul H. Ginsparg* and *James P. Sethna*
- 2018: Program Evaluation and Causal Inference with High-Dimensional Data
*Alexandre Belloni*, *Victor Chernozhukov*, *Ivan Fern\'andez-Val* and *Christian Hansen*
- 2018: Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems
*Alexandre Belloni*, *Victor Chernozhukov* and *Kengo Kato*
- 2018: Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
*Victor Chernozhukov*, *Denis Chetverikov* and *Kengo Kato*
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