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