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2018: On the iterated estimation of dynamic discrete choice games Downloads
Federico Bugni and Jackson Bunting
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
Pierre Laffitte and 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: An Operational (Preasymptotic) Measure of Fat-tailedness Downloads
Nassim Nicholas Taleb
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: Structural Estimation of Behavioral Heterogeneity Downloads
Zhentao Shi and Huanhuan Zheng
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: Long-Term-Unemployed hirings: Should targeted or untargeted policies be preferred? Downloads
Alessandra Pasquini, Marco Centra and Guido Pellegrini
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, R. N. Mantegna and T. Di Matteo
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: 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: 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: Consistent Valuation Across Curves Using Pricing Kernels Downloads
Andrea Macrina and Obeid Mahomed
2018: Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity Downloads
Reginald D. Smith
2018: A Game of Random Variables Downloads
Artem Hulko and Mark Whitmeyer
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: Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions Downloads
Zbigniew Palmowski and Joanna Tumilewicz
2018: Quantum Bounds for Option Prices Downloads
Paul McCloud
2018: A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node Downloads
Amirhossein Sobhani and Mariyan Milev
2018: A New Interpretation of the Economic Complexity Index Downloads
Penny Mealy, J. Doyne Farmer and Alexander Teytelboym
2018: Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models' Downloads
Martin Keller-Ressel
2018: On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model Downloads
Zied Ben Salah and Jos\'e Garrido
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: Inference for VARs Identified with Sign Restrictions Downloads
Eleonora Granziera, Hyungsik Roger Moon and Frank Schorfheide
2018: Optimal Inflation Target: Insights from an Agent-Based Model Downloads
Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia and Francesco Zamponi
2018: Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions Downloads
Guosheng Hu, Yuxin Hu, Kai Yang, Zehao Yu, Flood Sung, Zhihong Zhang, Fei Xie, Jianguo Liu, Neil Robertson, Timothy Hospedales and Qiangwei Miemie
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: Multilayer Aggregation with Statistical Validation: Application to Investor Networks Downloads
Kestutis Baltakys, Juho Kanniainen and Frank Emmert-Streib
2018: A General Class of Multifractional Processes and Stock Price Informativeness Downloads
Qidi Peng and Ran Zhao
2018: Multi-scale analysis of lead-lag relationships in high-frequency financial markets Downloads
Takaki Hayashi and Yuta Koike
2018: Technology networks: the autocatalytic origins of innovation Downloads
Lorenzo Napolitano, Evangelos Evangelou, Emanuele Pugliese, Paolo Zeppini and Graham Room
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: Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function Downloads
Maria Grossinho, Yaser Faghan Kord and Daniel Sevcovic
2018: Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2018: Data and uncertainty in extreme risks - a nonlinear expectations approach Downloads
Samuel N. Cohen
2018: On representing and hedging claims for coherent risk measures Downloads
Saul Jacka, Seb Armstrong and Abdelkarem Berkaoui
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: Wavelet-based methods for high-frequency lead-lag analysis Downloads
Takaki Hayashi and Yuta Koike
2018: Optimal stopping with f -expectations: the irregular case Downloads
Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
2018: Option pricing in exponential L\'evy models with transaction costs Downloads
Nicola Cantarutti, Jo\~ao Guerra, Manuel Guerra and Maria Grossinho
2018: Multivariate Garch with dynamic beta Downloads
Matthias Raddant and Friedrich Wagner
2018: Efficient exposure computation by risk factor decomposition Downloads
Cornelis S. L. de Graaf, Drona Kandhai and Christoph Reisinger
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
Jie Li, Bruce M. Boghosian and Chengli Li
2018: Affine representations of fractional processes with applications in mathematical finance Downloads
Philipp Harms and David Stefanovits
2018: Optimal martingale transport between radially symmetric marginals in general dimensions Downloads
Tongseok Lim
2018: Asymptotic distribution of the Markowitz portfolio Downloads
Steven E. Pav
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
Sebastian Poledna, Seraf\'in Mart\'inez-Jaramillo, Fabio Caccioli and Stefan Thurner
2018: Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures Downloads
Rick Steinert and Florian Ziel
2018: Theory of hyper-rational choice Downloads
Madjid Eshaghi Gordji and Gholamreza Askari
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: Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem Downloads
Anton Pichler, Sebastian Poledna and Stefan Thurner
2018: Ambiguity in defaultable term structure models Downloads
Tolulope Fadina and Thorsten Schmidt
2018: Identifying systemically important companies in the entire liability network of a small open economy Downloads
Sebastian Poledna, Abraham Hinteregger and Stefan Thurner
2018: Multi-factor approximation of rough volatility models Downloads
Eduardo Abi Jaber and Omar El Euch
2018: An SPDE Model for Systemic Risk with Endogenous Contagion Downloads
Ben Hambly and Andreas Sojmark
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: Moment Explosions in the Rough Heston Model Downloads
Stefan Gerhold, Christoph Gerstenecker and Arpad Pinter
2018: First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing Downloads
Young Shin Kim
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: Parameter Estimation for Weak Variance-Alpha-Gamma Processes Downloads
Boris Buchmann, Kevin W. Lu and Dilip B. Madan
2018: Rational Models for Inflation-Linked Derivatives Downloads
Henrik Dam, Andrea Macrina, David Skovmand and David Sloth
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: Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes Downloads
Ricardo Crisóstomo and Lorena Couso
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: Protecting Target Zone Currency Markets from Speculative Investors Downloads
Eyal Neuman and Alexander Schied
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: 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
Junwen Qiu, Wenjian Liu and Ning Ning
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: A closed-form formula for pricing bonds between coupon payments Downloads
Sylvia Gottschalk
2018: Large-Scale Simulation of Multi-Asset Ising Financial Markets Downloads
Tetsuya Takaishi
2018: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank Downloads
Anas Yassine and Abdelmadjid Ibenrissoul
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: Shooting Low or High: Do Countries Benefit from Entering Unrelated Activities? Downloads
Flávio Pinheiro, Aamena Alshamsi, Dominik Hartmann, Ron Boschma and C\'esar Hidalgo
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: Greedy algorithms and Zipf laws Downloads
Jos\'e Moran and Jean-Philippe Bouchaud
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: Sales forecasting and risk management under uncertainty in the media industry Downloads
V\'ictor Gallego, Pablo Angulo, Pablo Su\'arez-Garc\'ia and David G\'omez-Ullate
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 K. -H. 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: Dynamic Clearing and Contagion in Financial Networks Downloads
Tathagata Banerjee, Alex Bernstein and Zachary Feinstein
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: Deep Learning for Forecasting Stock Returns in the Cross-Section Downloads
Masaya Abe and Hideki Nakayama
2018: Constructing Metropolis-Hastings proposals using damped BFGS updates Downloads
Johan Dahlin, Adrian Wills and Brett Ninness
2018: Expansion formulas for European quanto options in a local volatility FX-LIBOR model Downloads
Julien Hok, Philip Ngare and Antonis Papapantoleon
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: Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete market Downloads
Ben-zhang Yang, Jia Yue and Nan-jing Huang
2018: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls Downloads
Victor Chernozhukov, Kaspar Wüthrich and Yinchu Zhu
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: 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: 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: Modeling Systemic Risk with Interbank Flows, Borrowing, and Investing Downloads
Aditya Maheshwari and Andrey Sarantsev
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: Tests for qualitative features in the random coefficients model Downloads
Fabian Dunker, Konstantin Eckle, Katharina Proksch and Johannes Schmidt-Hieber
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
2018: The short-term price impact of trades is universal Downloads
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2018: Asset liquidation under drift uncertainty and regime-switching volatility Downloads
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: Stability for gains from large investors' strategies in M1/J1 topologies Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
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: Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions Downloads
Masaaki Fujii and Akihiko Takahashi
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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