EconPapers    
Economics at your fingertips  
 

Papers

From arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


2019: What is the central bank of Wikipedia? Downloads
Denis Demidov, Klaus M. Frahm and Dima L. Shepelyansky
2019: Deep Adaptive Input Normalization for Price Forecasting using Limit Order Book Data Downloads
Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2019: Stacking with Neural network for Cryptocurrency investment Downloads
Avinash Barnwal, Haripad Bharti, Aasim Ali and Vishal Singh
2019: Have Econometric Analyses of Happiness Data Been Futile? A Simple Truth About Happiness Scales Downloads
Le-Yu Chen, Ekaterina Oparina, Nattavudh Powdthavee and Sorawoot Srisuma
2019: Divestment may burst the carbon bubble if investors' beliefs tip to anticipating strong future climate policy Downloads
Birte Ewers, Jonathan F. Donges, Jobst Heitzig and Sonja Peterson
2019: Robust Asset Allocation for Robo-Advisors Downloads
Thibault Bourgeron, Edmond Lezmi and Thierry Roncalli
2019: Elicitation of ambiguous beliefs with mixing bets Downloads
Patrick Schmidt
2019: Matching Refugees to Host Country Locations Based on Preferences and Outcomes Downloads
Avidit Acharya, Kirk Bansak and Jens Hainmueller
2019: Estimation and Inference for Synthetic Control Methods with Spillover Effects Downloads
Jianfei Cao and Connor Dowd
2019: The lattice structure of preference comparison Downloads
Gregorio Curello and Ludvig Sinander
2019: Estimating Network Effects Using Naturally Occurring Peer Notification Queue Counterfactuals Downloads
Craig Tutterow and Guillaume Saint-Jacques
2019: Risk Management with Tail Conditional Certainty Equivalents Downloads
Nicole B\"auerle and Tomer Shushi
2019: Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2019: Discrete Choice under Risk with Limited Consideration Downloads
Levon Barseghyan, Francesca Molinari and Matthew Thirkettle
2019: Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach Downloads
Roberto Baviera and Giulia Bianchi
2019: Existence of solutions to principal-agent problems under general preferences and non-compact allocation space Downloads
Guillaume Carlier and Kelvin Shuangjian Zhang
2019: Market fragmentation and market consolidation: multiple steady states in systems of adaptive traders choosing where to trade Downloads
Aleksandra Alori\'c and Peter Sollich
2019: Options on CPPI with guaranteed minimum equity exposure Downloads
L. Di Persio and I. Oliva. K. Wallbaum
2019: Correlation Patterns in Foreign Exchange Markets Downloads
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
2019: Optimal dividends and capital injection under dividend restrictions Downloads
Kristoffer Lindensj\"o and Filip Lindskog
2019: Semiparametric correction for endogenous truncation bias with Vox Populi based participation decision Downloads
Nir Billfeld and Moshe Kim
2019: Optimal Stopping and Utility in a Simple Model of Unemployment Insurance Downloads
Jason S. Anquandah and Leonid V. Bogachev
2019: Weak Identification and Estimation of Social Interaction Models Downloads
Guy Tchuente
2019: Non-Stationary Dividend-Price Ratios Downloads
Vassilis Polimenis and Ioannis Neokosmidis
2019: A Comparison of Economic Agent-Based Model Calibration Methods Downloads
Donovan Platt
2019: Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes Downloads
Ali Hirsa, Tugce Karatas and Amir Oskoui
2019: Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles Downloads
Jean-Charles Richard and Thierry Roncalli
2019: A New Interaction Index inspired by the Taylor Series Downloads
Ashish Agarwal, Kedar Dhamdhere and Mukund Sundararajan
2019: Partial Identification in nonparametric one-to-one matching models Downloads
Cristina Gualdani and Shruti Sinha
2019: Market Impact: A Systematic Study of the High Frequency Options Market Downloads
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin and Fr\'ed\'eric Abergel
2019: Risk management with machine-learning-based algorithms Downloads
Simon Fecamp, Joseph Mikael and Xavier Warin
2019: Modeling default rate in P2P lending via LSTM Downloads
Yan Wang and Xuelei Sherry Ni
2019: The Illusion of Success and the Nature of Reward Downloads
Didier Sornette and Peter Cauwels
2019: Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities Downloads
David Rushing Dewhurst, Colin M. Van Oort, John H. Ring, Tyler J. Gray, Christopher M. Danforth and Brian F. Tivnan
2019: Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30 Downloads
Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort, John H. Ring, Tyler J. Gray, Brendan F. Tivnan, Matthew T. K. Koehler, Matthew T. McMahon, David Slater, Jason Veneman and Christopher M. Danforth
2019: Global labor flow network reveals the hierarchical organization and dynamics of geo-industrial clusters in the world economy Downloads
Jaehyuk Park, Ian Wood, Elise Jing, Azadeh Nematzadeh, Souvik Ghosh, Michael Conover and Yong-Yeol Ahn
2019: Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance Downloads
Abeer ElBahrawy, Laura Alessandretti and Andrea Baronchelli
2019: Elicitability of Range Value at Risk Downloads
Tobias Fissler and Johanna F. Ziegel
2019: Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants Downloads
Hadrien De March and Pierre Henry-Labordere
2019: Direct determination approach for the multifractal detrending moving average analysis Downloads
Hai-Chuan Xu, Gao-Feng Gu and Wei-Xing Zhou
2019: Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing Downloads
Kathrin Glau, Daniel Kressner and Francesco Statti
2019: Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution Downloads
Marco Bottone, Mauro Bernardi and Lea Petrella
2019: Phase transition in the Bayesian estimation of the default portfolio Downloads
Masato Hisakado and Shintaro Mori
2019: Hawkes processes for credit indices time series analysis: How random are trades arrival times? Downloads
Achraf Bahamou, Maud Doumergue and Philippe Donnat
2019: Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities Downloads
Luca Capriotti and Ruggero Vaia
2019: Are trading invariants really invariant? Trading costs matter Downloads
Fr\'ed\'eric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud and Michael Benzaquen
2019: Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series Downloads
Nick James, Roman Marchant, Richard Gerlach and Sally Cripps
2019: Censored Quantile Regression Forests Downloads
Alexander Hanbo Li and Jelena Bradic
2019: Preserve or retreat? Willingness-to-pay for Coastline Protection in New South Wales Downloads
Ali Ardeshiri, Joffre Swait, Elizabeth C. Heagney and Mladen Kovac
2019: High-performance stock index trading: making effective use of a deep LSTM neural network Downloads
Chariton Chalvatzis and Dimitrios Hristu-Varsakelis
2019: Modelling Extremal Dependence for Operational Risk by a Bipartite Graph Downloads
Oliver Kley, Claudia Kl\"uppelberg and Sandra Paterlini
2019: Expressive mechanisms for equitable rent division on a budget Downloads
Rodrigo A. Velez
2019: Testing the Order of Multivariate Normal Mixture Models Downloads
Hiroyuki Kasahara and Katsumi Shimotsu
2019: Two-Step market clearing for local energy trading in feeder-based markets Downloads
Mohsen Khorasany, Yateendra Mishra and Gerard Ledwich
2019: Static and semi-static hedging as contrarian or conformist bets Downloads
Svetlana Boyarchenko and Sergei Levendorskii
2019: Implementation of a Port-graph Model for Finance Downloads
Nneka Ene
2019: Persuasion Meets Delegation Downloads
Anton Kolotilin and Andriy Zapechelnyuk
2019: Crowdfunding Public Projects: Collaborative Governance for Achieving Citizen Co-funding of Public Goods Downloads
Sounman Hong and Jungmin Ryu
2019: Seasonality Effects on Consumers Preferences Over Quality Attributes of Different Beef Products Downloads
Ali Ardeshiri, Spring Sampson and Joffre Swait
2019: Conservation or deterioration in heritage sites? Estimating willingness to pay for preservation Downloads
Ali Ardeshiri, Roya Etminani Ghasrodashti, Taha Hossein Rashidi, Mahyar Ardeshiri and Ken Willis
2019: Development of an agent-based speculation game for higher reproducibility of financial stylized facts Downloads
Kei Katahira, Yu Chen, Gaku Hashimoto and Hiroshi Okuda
2019: Lifestyles, residential location, and transport mode use: A hierarchical latent class choice model Downloads
Ali Ardeshiri and Akshay Vij
2019: A Bootstrap Test for the Existence of Moments for GARCH Processes Downloads
Alexander Heinemann
2019: How should you discount your backtest PnL? Downloads
Adam Rej, Philip Seager and Jean-Philippe Bouchaud
2019: Foundations of a pathwise volatility framework with explicit fast reversion limits Downloads
Ryan McCrickerd
2019: A General Framework for Prediction in Time Series Models Downloads
Eric Beutner, Alexander Heinemann and Stephan Smeekes
2019: Asymptotic Theory for Clustered Samples Downloads
Bruce E. Hansen and Seojeong Lee
2019: Strong convergence rates for Markovian representations of fractional Brownian motion Downloads
Philipp Harms
2019: A Sieve-SMM Estimator for Dynamic Models Downloads
Jean-Jacques Forneron
2019: How on Earth: Flourishing in a Not-for-Profit World by 2050 Downloads
Jennifer Hinton and Donnie Maclurcan
2019: Surprised by the Hot Hand Fallacy? A Truth in the Law of Small Numbers Downloads
Joshua B. Miller and Adam Sanjurjo
2019: Optimal market making under partial information with general intensities Downloads
Diego Zabaljauregui and Luciano Campi
2019: Factor Investing: Hierarchical Ensemble Learning Downloads
Guanhao Feng and Jingyu He
2019: On Optimal Transparency in Signaling Downloads
Mark Whitmeyer
2019: Approximation of the first passage time distribution for the birth-death processes Downloads
Aleksejus Kononovicius and Vygintas Gontis
2019: The Applications of Graph Theory to Investing Downloads
Joseph Attia
2019: Multivariate risk measures in the non-convex setting Downloads
Andreas Haier and Ilya Molchanov
2019: Asymptotic approximation of the probability of ruin for large values of the Poisson rate Downloads
Asaf Cohen and Virginia R. Young
2019: A copula based Markov Reward approach to the credit spread in European Union Downloads
Guglielmo D'Amico, Filippo Petroni, Philippe Regnault, Stefania Scocchera and Loriano Storchi
2019: Robust Productivity Analysis: An application to German FADN data Downloads
Mathias Kloss, Thomas Kirschstein, Steffen Liebscher and Martin Petrick
2019: How do governments determine policy priorities? Studying development strategies through spillover networks Downloads
Omar A. Guerrero, Gonzalo Casta\~neda and Florian Ch\'avez-Ju\'arez
2019: Quantifying the Coherence of Development Policy Priorities Downloads
Omar A. Guerrero and Gonzalo Casta\~neda
2019: The Importance of Social and Government Learning in Ex Ante Policy Evaluation Downloads
Gonzalo Casta\~eda and Omar A. Guerrero
2019: Does Better Governance Guarantee Less Corruption? Evidence of Loss in Effectiveness of the Rule of Law Downloads
Omar A. Guerrero and Gonzalo Casta\~neda
2019: Modelling transfer profits as externalities in a cooperative game-theoretic model of natural gas networks Downloads
D\'avid Csercsik, Franz Hubert, Balázs Sziklai and L\'aszl\'o \'A. K\'oczy
2019: A Review on Energy, Environmental, and Sustainability Implications of Connected and Automated Vehicles Downloads
Morteza Taiebat, Austin L. Brown, Hannah R. Safford, Shen Qu and Ming Xu
2019: Will a Large Economy Be Stable? Downloads
Jos\'e Moran and Jean-Philippe Bouchaud
2019: RPS(1) Preferences Downloads
Misha Perepelitsa
2019: Dynamic Tail Inference with Log-Laplace Volatility Downloads
Gordon V. Chavez
2019: Decision-making and Fuzzy Temporal Logic Downloads
Jos\'e Cl\'audio do Nascimento
2019: The robust superreplication problem: a dynamic approach Downloads
Laurence Carassus, Jan Obloj and Johannes Wiesel
2019: Closed-form expansions for option prices with respect to the mixing solution Downloads
Kaustav Das and Nicolas Langren\'e
2019: Causality: a decision theoretic approach Downloads
Pablo Schenone
2019: Calibrating rough volatility models: a convolutional neural network approach Downloads
Henry Stone
2019: The cost of information Downloads
Luciano Pomatto, Philipp Strack and Omer Tamuz
2019: Using Column Generation to Solve Extensions to the Markowitz Model Downloads
Lorenz M. Roebers, Aras Selvi and Juan C. Vera
2019: Option Pricing in a Regime Switching Jump Diffusion Model Downloads
Anindya Goswami, Omkar Manjarekar and Anjana R
2019: Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation Downloads
Matthew Norton, Valentyn Khokhlov and Stan Uryasev
2019: Determination of the L\'evy Exponent in Asset Pricing Models Downloads
George Bouzianis and Lane Hughston
2019: Equitable voting rules Downloads
Laurent Bartholdi, Wade Hann-Caruthers, Maya Josyula, Omer Tamuz and Leeat Yariv
2019: Decision-making in Livestock Biosecurity Practices amidst Environmental and Social Uncertainty: Evidence from an Experimental Game Downloads
Scott C. Merrill, Christopher J. Koliba, Susan M. Moegenburg, Asim Zia, Jason Parker, Timothy Sellnow, Serge Wiltshire, Gabriela Bucini, Caitlin Danehy and Julia M. Smith
2019: Revealed Stochastic Preference: A One-Paragraph Proof and Generalization Downloads
Jörg Stoye
2019: A Community Microgrid Architecture with an Internal Local Market Downloads
Bertrand Corn\'elusse, Iacopo Savelli, Simone Paoletti, Antonio Giannitrapani and Antonio Vicino
2019: Integrating electricity markets: Impacts of increasing trade on prices and emissions in the western United States Downloads
Steve Dahlke
2019: University rankings from the revealed preferences of the applicants Downloads
L\'aszl\'o Csat\'o and Csaba T\'oth
2019: Covariate Distribution Balance via Propensity Scores Downloads
Pedro Sant'Anna, Xiaojun Song and Qi Xu
2019: Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM Downloads
Junyan Liu, Sandeep Kumar and Daniel P. Palomar
2019: Contests with a Non-Convex Strategy Space Downloads
Doron Klunover and John Morgan
2019: Non-exchangeability of copulas arising from shock models Downloads
Damjana Kokol Bukov\v{s}ek, Toma\v{z} Ko\v{s}ir, Bla\v{z} Moj\v{s}kerc and Matja\v{z} Omladi\v{c}
2019: Trading Networks with General Preferences Downloads
Jan Christoph Schlegel
2019: Sensitivity Analysis using Approximate Moment Condition Models Downloads
Timothy B. Armstrong and Michal Koles\'ar
2019: A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps Downloads
Liyuan Jiang, Shuang Zhou, Keren Li, Fangfang Wang and Jie Yang
2019: Extrapolating Treatment Effects in Multi-Cutoff Regression Discontinuity Designs Downloads
Matias D. Cattaneo, Luke Keele, Rocio Titiunik and Gonzalo Vazquez-Bare
2019: Exceeding Expectations: Stochastic Dominance as a General Decision Theory Downloads
Christian Tarsney
2019: Machine Learning Classifiers Do Not Improve the Prediction of Academic Risk: Evidence from Australia Downloads
Sarah Cornell-Farrow and Robert Garrard
2019: The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations Downloads
John G. Thistle
2019: Orthogonal Random Forest for Causal Inference Downloads
Miruna Oprescu, Vasilis Syrgkanis and Zhiwei Steven Wu
2019: Stochastic Deflator for an Economic Scenario Generator with Five Factors Downloads
Po-Keng Cheng and Fr\'ed\'eric Planchet
2019: Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Downloads
Callegaro Giorgia, Grasselli Martino and Pag\`es Gilles
2019: Utility maximization with proportional transaction costs under model uncertainty Downloads
Shuoqing Deng, Xiaolu Tan and Xiang Yu
2019: Total, asymmetric and frequency connectedness between oil and forex markets Downloads
Jozef Barun\'ik and Ev\v{z}en Ko\v{c}enda
2019: An extremal fractional Gaussian with a possible application to option-pricing with skew and smile Downloads
Alexander Jurisch
2019: Almost Sure Uniqueness of a Global Minimum Without Convexity Downloads
Gregory Cox
2019: Market Impact: A Systematic Study of Limit Orders Downloads
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson and Fr\'ed\'eric Abergel
2019: Multilevel nested simulation for efficient risk estimation Downloads
Michael B. Giles and Abdul-Lateef Haji-Ali
2019: Irreversible investment with fixed adjustment costs: a stochastic impulse control approach Downloads
Salvatore Federico, Mauro Rosestolato and Elisa Tacconi
2019: Social Learning in a Dynamic Environment Downloads
Krishna Dasaratha, Benjamin Golub and Nir Hak
2019: Quasi-Oracle Estimation of Heterogeneous Treatment Effects Downloads
Xinkun Nie and Stefan Wager
2019: 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
2019: Portfolio Optimization and Model Predictive Control: A Kinetic Approach Downloads
Torsten Trimborn, Lorenzo Pareschi and Martin Frank
2019: 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
2019: Sampling of probability measures in the convex order by Wasserstein projection Downloads
Aur\'elien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
2019: Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book Downloads
Simon Clinet and Yoann Potiron
2019: Inference on Breakdown Frontiers Downloads
Matthew A. Masten and Alexandre Poirier
2019: High-order compact finite difference scheme for option pricing in stochastic volatility jump models Downloads
Bertram D\"uring and Alexander Pitkin
2019: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network Downloads
Vinci Chow
2019: Specification Tests for the Propensity Score Downloads
Pedro Sant'Anna and Xiaojun Song
2019: Exponential utility maximization under model uncertainty for unbounded endowments Downloads
Daniel Bartl
2019: Dual representations for systemic risk measures Downloads
\c{C}a\u{g}{\i}n Ararat and Birgit Rudloff
2019: A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes Downloads
Ravi Kashyap
2019: The Entropic Measure Transform Downloads
Renjie Wang, Cody Hyndman and Anastasis Kratsios
2019: Enhanced Gravity Model of trade: reconciling macroeconomic and network models Downloads
Assaf Almog, Rhys Bird and Diego Garlaschelli
2019: Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network Downloads
Weili Chen, Jun Wu, Zibin Zheng, Chuan Chen and Yuren Zhou
2019: Forecasting the Impact of Connected and Automated Vehicles on Energy Use: A Microeconomic Study of Induced Travel and Energy Rebound Downloads
Morteza Taiebat, Samuel Stolper and Ming Xu
2019: Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model Downloads
Kei Nakagawa, Tomoki Ito, Masaya Abe and Kiyoshi Izumi
2019: Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage Downloads
Darjus Hosszejni and Gregor Kastner
2019: A dynamic factor model approach to incorporate Big Data in state space models for official statistics Downloads
Caterina Schiavoni, Franz Palm, Stephan Smeekes and Jan van den Brakel
2019: The Impact of Taxation on GMWB Contract in a Stochastic Interest Rate Framework Downloads
Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2019: Quantitative Cost and Schedule Risk Analysis of Nuclear Waste Storage Downloads
Alexander Budzier, Bent Flyvbjerg, Andi Garavaglia and Andreas Leed
2019: Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations Downloads
St\'ephane Cr\'epey and Matthew Dixon
2019: Top performing stocks recommendation strategy for portfolio Downloads
Kartikay Gupta and Niladri Chatterjee
2019: Equilibrium Asset Pricing with Transaction Costs Downloads
Martin Herdegen, Johannes Muhle-Karbe and Dylan Possama\"i
2019: Learning Choice Functions Downloads
Karlson Pfannschmidt, Pritha Gupta and Eyke H\"ullermeier
2019: Minimal Investment Risk with Cost and Return Constraints: A Replica Analysis Downloads
Takashi Shinzato
2019: Lost in Diversification Downloads
Marco Bardoscia, Daniele d'Arienzo, Matteo Marsili and Valerio Volpati
2019: Intensity estimation of transaction arrivals on the intraday electricity market Downloads
Micha{\l} Narajewski and Florian Ziel
2019: Deep Learning Volatility Downloads
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
2019: Tangled String for Multi-Scale Explanation of Contextual Shifts in Stock Market Downloads
Yukio Ohsawa, Teruaki Hayashi and Takaaki Yoshino
2019: Stochastic control in high-dimensional statistical arbitrage under an Ornstein-Uhlenbeck process Downloads
Jorge Guijarro-Ordonez
2019: Volatility Models Applied to Geophysics and High Frequency Financial Market Data Downloads
Maria C Mariani, Md Al Masum Bhuiyan, Osei K Tweneboah, Hector Gonzalez-Huizar and Ionut Florescu
2019: A Study on Neural Network Architecture Applied to the Prediction of Brazilian Stock Returns Downloads
Leonardo Felizardo and Afonso Pinto
2019: Technological Parasitism Downloads
Mario Coccia
2019: Orthogonal Statistical Learning Downloads
Dylan J. Foster and Vasilis Syrgkanis
2019: How the investor's risk preferences influence the optimal allocation in a credibilistic portfolio problem Downloads
Irina Georgescu and Jani Kinnunen
2019: Pricing options and computing implied volatilities using neural networks Downloads
Shuaiqiang Liu, Cornelis W. Oosterlee and Sander M. Bohte
2019: Queue-reactive Hawkes models for the order flow Downloads
Peng Wu, Marcello Rambaldi, Jean-Fran\c{c}ois Muzy and Emmanuel Bacry
2019: Theories and Practice of Agent based Modeling: Some practical Implications for Economic Planners Downloads
Hossein Sabzian, Mohammad Ali Shafia, Ali Maleki, Seyeed Mostapha Seyeed Hashemi, Ali Baghaei and Hossein Gharib
2019: Erratum: Higher Order Elicitability and Osband's Principle Downloads
Tobias Fissler and Johanna F. Ziegel
2019: Psychological model of the investor and manager behavior in risk Downloads
O. A. Malafeyev, A. N. Malova and A. E. Tsybaeva
2019: Lattice investment projects support process model with corruption Downloads
O. A. Malafeyev and S. A. Nemnyugin
2019: Optimal Reduction of Public Debt under Partial Observation of the Economic Growth Downloads
Giorgia Callegaro, Claudia Ceci and Giorgio Ferrari
2019: Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data Downloads
Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2019: The Wisdom of a Kalman Crowd Downloads
Ulrik W. Nash
2019: The Economic Complexity of US Metropolitan Areas Downloads
Benedikt S. L. Fritz and Robert A. Manduca
2019: Academic Engagement and Commercialization in an Institutional Transition Environment: Evidence from Shanghai Maritime University Downloads
Dongbo Shi and Yeyanran Ge
2019: Nonextensive triplets in stock market indices Downloads
Dusan Stosic, Darko Stosic and Tatijana Stosic
2019: A Noncooperative Model of Contest Network Formation Downloads
Kenan Huremovic
2019: Dancing with Donald: Polarity in the 2016 Presidential Election Downloads
Robert Chuchro, Kyle D'Souza and Darren Mei
2019: Adapted Wasserstein Distances and Stability in Mathematical Finance Downloads
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglb\"ock and Manu Eder
2019: The spread of a financial virus through Europe and beyond Downloads
Olena Kostylenko, Helena Sofia Rodrigues and Delfim F. M. Torres
2019: A closed formula for illiquid corporate bonds and an application to the European market Downloads
Roberto Baviera, Aldo Nassigh and Emanuele Nastasi
2019: A Backward Simulation Method for Stochastic Optimal Control Problems Downloads
Zhiyi Shen and Chengguo Weng
2019: Optimal redeeming strategy of stock loans under drift uncertainty Downloads
Zuo Quan Xu and Fahuai Yi
2019: Preparing millennials as digital citizens and socially and environmentally responsible business professionals in a socially irresponsible climate Downloads
Barbara Burgess-Wilkerson, Clovia Hamilton, Chlotia Garrison and Keith Robbins
2019: Option Pricing in Illiquid Markets with Jumps Downloads
Jose Cruz and Daniel Sevcovic
2019: On a dividend problem with random funding Downloads
Josef Anton Strini and Stefan Thonhauser
2019: A Probabilistic Approach to Nonparametric Local Volatility Downloads
Martin Tegn\'er and Stephen Roberts
2019: International crop trade networks: The impact of shocks and cascades Downloads
Rebekka Burkholz and Frank Schweitzer
2019: Conditional Optimal Stopping: A Time-Inconsistent Optimization Downloads
Marcel Nutz and Yuchong Zhang
2019: Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach Downloads
J\'er\^ome Lelong
2019: Relational Communication Downloads
Anton Kolotilin and Hongyi Li
2019: lassopack: Model selection and prediction with regularized regression in Stata Downloads
Achim Ahrens, Christian B. Hansen and Mark Schaffer
2019: Slow decay of impact in equity markets: insights from the ANcerno database Downloads
Fr\'ed\'eric Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
2019: Instantaneous Arbitrage and the CAPM Downloads
Lars Tyge Nielsen
2019: An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns Downloads
Elena Green and Daniel M. Heffernan
2019: Econophysics of Asset Price, Return and Multiple Expectations Downloads
Victor Olkhov
2019: Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market Downloads
Higor Y. D. Sigaki, Matjaz Perc and Haroldo V. Ribeiro
2019: Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure Downloads
Sandhya Devi
2019: PROOF OF VALUE ALIENATION (PoVA) - a concept of a cryptocurrency issuance protocol Downloads
Tim Shuliar and Nikita Goldsmit
2019: Inference on Functionals under First Order Degeneracy Downloads
Qihui Chen and Zheng Fang
2019: 100+ Metrics for Software Startups - A Multi-Vocal Literature Review Downloads
Kai-Kristian Kemell, Xiaofeng Wang, Anh Nguyen-Duc, Jason Grendus, Tuure Tuunanen and Pekka Abrahamsson
2019: Empirical forward price distribution from Bitcoin option prices Downloads
Nikolai Zaitsev
2019: Systemic Risk: Conditional Distortion Risk Measures Downloads
Jan Dhaene, Roger Laeven and Yiying Zhang
2019: Designing An Industrial Policy For Developing Countries: A New Approach Downloads
Ali Haeri and Abbas Arabmazar
2019: Remarks on stochastic automatic adjoint differentiation and financial models calibration Downloads
Dmitri Goloubentcev and Evgeny Lakshtanov
2019: Acquisition of Project-Specific Assets with Bayesian Updating Downloads
H. Dharma Kwon and Steven A. Lippman
2019: Inequality, mobility and the financial accumulation process: A computational economic analysis Downloads
Simone Righi and Yuri Biondi
2019: How many people microwork in France? Estimating the size of a new labor force Downloads
Cl\'ement Le Ludec, Paola Tubaro and Antonio A. Casilli
2019: A Risk-Sharing Framework of Bilateral Contracts Downloads
Junbeom Lee, Stephan Sturm and Chao Zhou
2019: Fuzzy Profit Shifting: A Model for Optimal Tax-induced Transfer Pricing with Fuzzy Arm's Length Parameter Downloads
Alex A. T. Rathke
2019: Mastering Panel 'Metrics: Causal Impact of Democracy on Growth Downloads
Shuowen Chen, Victor Chernozhukov and Iv\'an Fern\'andez-Val
2019: Non-Parametric Inference Adaptive to Intrinsic Dimension Downloads
Khashayar Khosravi, Greg Lewis and Vasilis Syrgkanis
2019: Report for the Commission of Inquiry Respecting the Muskrat Falls Project Downloads
Bent Flyvbjerg and Alexander Budzier
2019: Econophysics: Still fringe after 30 years? Downloads
Jean-Philippe Bouchaud
2019: Evaluating betting odds and free coupons using desirability Downloads
Nawapon Nakharutai, Camila C. S. Caiado and Matthias C. M. Troffaes
2019: Community Matters: Heterogeneous Impacts of a Sanitation Intervention Downloads
Laura Abramovsky, Britta Augsburg, Melanie L\"uhrmann, Francisco Oteiza and Juan Pablo Rud
2019: Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems Downloads
Ruimeng Hu
2019: When does privatization spur entrepreneurial performance? The moderating effect of institutional quality in an emerging market Downloads
Christopher Boudreaux
2019: Mean-variance portfolio selection under partial information with drift uncertainty Downloads
Jie Xiong, Zuoquan Xu and Jiayu Zheng
2019: On the bail-out dividend problem for spectrally negative Markov additive models Downloads
Kei Noba, Jos\'e-Luis P\'erez and Xiang Yu
2019: Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds Downloads
Oscar Lopez, Gerardo E. Oleaga and Alejandra Sanchez
2019: Estimating population average treatment effects from experiments with noncompliance Downloads
Kellie Ottoboni and Jason Poulos
2019: Blockchain in Global Supply Chains and Cross Border Trade: A Critical Synthesis of the State-of-the-Art, Challenges and Opportunities Downloads
Yanling Chang, Eleftherios Iakovou and Weidong Shi4
2019: The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach Downloads
Juho Kanniainen and Ye Yue
2019: A dynamic dual representation of the buyer's price of American options in nonlinear incomplete markets Downloads
Roxana Dumitrescu
2019: A Conjecture Involving Positive Solutions of a Simple Scalar Linear Time-Varying State Equation with Delay Downloads
Chung-Han Hsieh, B. Ross Barmish and John A. Gubner
2019: Efficient Minimum Distance Estimation of Pareto Exponent from Top Income Shares Downloads
Alexis Akira Toda and Yulong Wang
2019: Public Health and access to medicine. Pharmaceutical industry's role Downloads
Juan Gonzalez-Blanco
2019: Optimal VWAP execution under transient price impact Downloads
Alexander Barzykin and Fabrizio Lillo
2019: Evaluation of equity-based debt obligations Downloads
Alexander Fromm
2019: Forecasting interest rates through Vasicek and CIR models: a partitioning approach Downloads
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
2019: Semi-parametric dynamic contextual pricing Downloads
Virag Shah, Jose Blanchet and Ramesh Johari
2019: The interconnected wealth of nations: Shock propagation on global trade-investment multiplex networks Downloads
Michele Starnini, Mari\'an Bogu\~n\'a and M. \'Angeles Serrano
2019: Shrinkage for Categorical Regressors Downloads
Phillip Heiler and Jana Mareckova
2019: Timing the market: the economic value of price extremes Downloads
Haibin Xie and Shouyang Wang
2019: Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination Downloads
Adriano Koshiyama, Nick Firoozye and Philip Treleaven
2019: Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream Downloads
H. Dharma Kwon
2019: Conditions for the uniqueness of the Gately point for cooperative games Downloads
Jochen Staudacher and Johannes Anwander
2019: On the Sensitivity of Nonparametric Instrumental Variables Estimators to Misspecification Downloads
Ben Deaner
2019: The market nanostructure origin of asset price time reversal asymmetry Downloads
Marcus Cordi, Damien Challet and Serge Kassibrakis
2019: The Impact Of Country Of Origin In Mobile Phone Choice Of Generation Y And Z Downloads
Szabolcs Nagy
2019: Modeling Dynamic Transport Network with Matrix Factor Models: with an Application to International Trade Flow Downloads
Elynn Y. Chen and Rong Chen
2019: Optimal execution with dynamic risk adjustment Downloads
Xue Cheng, Marina Di Giacinto and Tai-Ho Wang
2019: The Institutional Economics of Collective Waste Recovery Systems: an empirical investigation Downloads
Shteryo Nozharov
2019: Consumption, Investment, and Healthcare with Aging Downloads
Paolo Guasoni and Yu-Jui Huang
2019: Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory Downloads
Ben-zhang Yang, Xinjiang He and Nan-jing Huang
2019: Digital Economy And Society. A Cross Country Comparison Of Hungary And Ukraine Downloads
Szabolcs Nagy
2019: Multitask Learning Deep Neural Network to Combine Revealed and Stated Preference Data Downloads
Shenhao Wang and Jinhua Zhao
2019: Methodological provisions for conducting empirical research of the availability and implementation of the consumers socially responsible intentions Downloads
Lyudmyla Potrashkova, Diana Raiko, Leonid Tseitlin, Olga Savchenko and Szabolcs Nagy
2019: Credit Cycles, Securitization, and Credit Default Swaps Downloads
Juan Ignacio Pe\~na
2019: Optimal Insurance with Limited Commitment in a Finite Horizon Downloads
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
2019: Interdistrict School Choice: A Theory of Student Assignment Downloads
Isa E. Hafalir, Fuhito Kojima and M. Bumin Yenmez
2019: Dynamic Models with Robust Decision Makers: Identification and Estimation Downloads
Timothy M. Christensen
2019: Semiparametric Difference-in-Differences with Potentially Many Control Variables Downloads
Neng-Chieh Chang
2019: Equivalent Choice Functions and Stable Mechanisms Downloads
Jan Christoph Schlegel
2019: Population Growth and Economic Development in Bangladesh: Revisited Malthus Downloads
Md Niaz Murshed Chowdhury and Md. Mobarak Hossain
2019: Multivariate Fractional Components Analysis Downloads
Tobias Hartl and Roland Weigand
2019: Systemic risk measures with markets volatility Downloads
Fei Sun and Yijun Hu
2019: Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting Downloads
Yaodong Yang, Alisa Kolesnikova, Stefan Lessmann, Tiejun Ma, Ming-Chien Sung and Johnnie E. V. Johnson
2019: Discrete Time Dynamic Programming with Recursive Preferences: Optimality and Applications Downloads
Guanlong Ren and John Stachurski
2019: Continual Learning Augmented Investment Decisions Downloads
Daniel Philps, Tillman Weyde, Artur d'Avila Garcez and Roy Batchelor
2019: PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation Downloads
Will Hicks
2019: Economics of disagreement -- financial intuition for the R\'enyi divergence Downloads
Andrei N. Soklakov
2019: Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case Downloads
Erhan Bayraktar, Thomas Caye and Ibrahim Ekren
2019: Dynamic Assortment Optimization with Changing Contextual Information Downloads
Xi Chen, Yining Wang and Yuan Zhou
2019: Optimal Execution Strategy Under Price and Volume Uncertainty Downloads
Julien Vaes and Raphael Hauser
2019: The Politics of Attention Downloads
Li Hu and Anqi Li
2019: Prices, Profits, and Production: Identification and Counterfactuals Downloads
Victor H. Aguiar, Roy Allen and Nail Kashaev
2019: Inference on Functionals of Set-Identified Parameters Defined by Convex Moments Downloads
Thomas M. Russell
2019: Temporal Relational Ranking for Stock Prediction Downloads
Fuli Feng, Xiangnan He, Xiang Wang, Cheng Luo, Yiqun Liu and Tat-Seng Chua
2019: Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time Downloads
Yu-Jui Huang and Zhou Zhou
2019: Financial accumulation implies ever-increasing wealth inequality Downloads
Yuri Biondi and Stefano Olla
2019: Learning L2 Continuous Regression Functionals via Regularized Riesz Representers Downloads
Victor Chernozhukov, Whitney K Newey and Rahul Singh
2019: Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership Downloads
Gregor Zens
2019: Characteristic-Sorted Portfolios: Estimation and Inference Downloads
Matias D. Cattaneo, Richard Crump, Max H. Farrell and Ernst Schaumburg
2019: Order book model with herd behavior exhibiting long-range memory Downloads
Aleksejus Kononovicius and Julius Ruseckas
2019: Suboptimal Control of Dividends under Exponential Utility Downloads
Julia Eisenberg and Paul Kr\"uhner
2019: A Dichotomous Analysis of Unemployment Welfare Downloads
Xingwei Hu
2019: Generating VaR scenarios with product beta distributions Downloads
Dietmar Pfeifer and Olena Ragulina
2019: Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions Downloads
Archil Gulisashvili
2019: A Theory of Dichotomous Valuation with Applications to Variable Selection Downloads
Xingwei Hu
2019: A factor-model approach for correlation scenarios and correlation stress-testing Downloads
Natalie Packham and Fabian Woebbeking
2019: An Impossibility Theorem for Wealth in Heterogeneous-agent Models with Limited Heterogeneity Downloads
John Stachurski and Alexis Akira Toda
2019: Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift Downloads
J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2019: Exit problem as the generalized solution of Dirichlet problem Downloads
Yuecai Han, Qingshuo Song and Gu Wang
2019: Effect of Climate and Geography on worldwide fine resolution economic activity Downloads
Alberto Troccoli
2019: Inference under Covariate-Adaptive Randomization with Multiple Treatments Downloads
Federico A. Bugni, Ivan A. Canay and Azeem Shaikh
2019: A Double Machine Learning Approach to Estimate the Effects of Musical Practice on Student's Skills Downloads
Michael Knaus
2019: Identification in Nonparametric Models for Dynamic Treatment Effects Downloads
Sukjin Han
2019: The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options Downloads
Daniel Guterding and Wolfram Boenkost
2019: High Dimensional Estimation and Multi-Factor Models Downloads
Liao Zhu, Sumanta Basu, Robert Jarrow and Martin T. Wells
2019: Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2019: Simultaneous Mean-Variance Regression Downloads
Richard Spady and Sami Stouli
2019: Indifference pricing of pure endowments via BSDEs under partial information Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2019: Panel Data Analysis with Heterogeneous Dynamics Downloads
Ryo Okui and Takahide Yanagi
2019: Edgeworth trading on networks Downloads
Daniele Cassese and Paolo Pin
2019: A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices Downloads
Wieger Hinderks, Andreas Wagner and Ralf Korn
2019: Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments Downloads
Ruimeng Hu
2019: Stochastic Dynamic Utilities and Inter-Temporal Preferences Downloads
Marco Maggis
2019: Continuous partition-of-unity copulas and their application to risk management Downloads
Dietmar Pfeifer, Andreas M\"andle, Olena Ragulina and C\^ome Girschig
2019: Optimization-Based Algorithm for Evolutionarily Stable Strategies against Pure Mutations Downloads
Sam Ganzfried
2019: Kernel Estimation for Panel Data with Heterogeneous Dynamics Downloads
Ryo Okui and Takahide Yanagi
2019: Computation of optimal transport and related hedging problems via penalization and neural networks Downloads
Stephan Eckstein and Michael Kupper
2019: Knowledge and Unanimous Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory Downloads
Shuige Liu
2019: Volatility options in rough volatility models Downloads
Blanka Horvath, Antoine Jacquier and Peter Tankov
2019: Capital allocation under the Fundamental Review of Trading Book Downloads
Luting Li and Hao Xing
2019: Games of Incomplete Information and Myopic Equilibria Downloads
R. Simon, S. Spiez and H. Torunczyk
2019: Double continuation regions for American and Swing options with negative discount rate in L\'evy models Downloads
Marzia De Donno, Zbigniew Palmowski and Joanna Tumilewicz
2019: Approximation methods for piecewise deterministic Markov processes and their costs Downloads
Peter Kritzer, Gunther Leobacher, Michaela Sz\"olgyenyi and Stefan Thonhauser
2019: Polynomial Jump-Diffusion Models Downloads
Damir Filipovi\'c and Martin Larsson
2019: Forecasting dynamic return distributions based on ordered binary choice Downloads
Stanislav Anatolyev and Jozef Baruník
2019: A Justification of Conditional Confidence Intervals Downloads
Eric Beutner, Alexander Heinemann and Stephan Smeekes
2019: Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach Downloads
Ida Johnsson and Hyungsik Roger Moon
2019: New copulas based on general partitions-of-unity and their applications to risk management (part II) Downloads
Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina
2019: Martingale Benamou--Brenier: a probabilistic perspective Downloads
Julio Backhoff-Veraguas, Mathias Beiglb\"ock, Martin Huesmann and Sigrid K\"allblad
2019: Markov cubature rules for polynomial processes Downloads
Damir Filipovi\'c, Martin Larsson and Sergio Pulido
2019: Portfolio Choice with Small Temporary and Transient Price Impact Downloads
Ibrahim Ekren and Johannes Muhle-Karbe
2019: Incorporating statistical model error into the calculation of acceptability prices of contingent claims Downloads
Martin Glanzer, Georg Ch. Pflug and Alois Pichler
2019: Probability density of lognormal fractional SABR model Downloads
Jiro Akahori, Xiaoming Song and Tai-Ho Wang
2019: Estimation of Risk Contributions with MCMC Downloads
Takaaki Koike and Mihoko Minami
2019: Asset liquidation under drift uncertainty and regime-switching volatility Downloads
Juozas Vaicenavicius
2019: Bank monitoring incentives under moral hazard and adverse selection Downloads
Nicol\'as Hern\'andez Santib\'a\~nez, Dylan Possama\"i and Chao Zhou
2019: Optimal Liquidation under Partial Information with Price Impact Downloads
Katia Colaneri, Zehra Eksi, R\"udiger Frey and Michaela Sz\"olgyenyi
2019: Optimal consumption and investment with liquid and illiquid assets Downloads
Jin Hyuk Choi
2019: Confidence Intervals for Projections of Partially Identified Parameters Downloads
Hiroaki Kaido, Francesca Molinari and Jörg Stoye
2019: A pricing formula for delayed claims: Appreciating the past to value the future Downloads
Enrico Biffis, Beniamin Goldys, Cecilia Prosdocimi and Margherita Zanella
2019: New copulas based on general partitions-of-unity and their applications to risk management Downloads
Dietmar Pfeifer, Herv\'e Awoumlac Tsatedem, Andreas M\"andle and C\^ome Girschig
2019: Introduction to Stochastic Differential Equations (SDEs) for Finance Downloads
Andrew Papanicolaou
2019: Optimal Sharing Rule for a Household with a Portfolio Management Problem Downloads
Adrien Nguyen Huu, Oumar Mbodji, Adrien Nguyen-Huu and Traian A. Pirvu
2019: Certifiably Pseudorandom Financial Derivatives Downloads
David Zuckerman
Page updated 2019-02-23
Sorted by date