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2018: Dynkin games with incomplete and asymmetric information Downloads
Tiziano De Angelis, Erik Ekstr\"om and Kristoffer Glover
2018: A Consistent LM Type Specification Test for Semiparametric Models Downloads
Ivan Korolev
2018: Vanna-Volga Method for Normal Volatilities Downloads
Volodymyr Perederiy
2018: Optimal policy design for the sugar tax Downloads
Kelly Geyskens, Alexander Grigoriev, Niels Holtrop and Anastasia Nedelko
2018: Accounting for Unobservable Heterogeneity in Cross Section Using Spatial First Differences Downloads
Hannah Druckenmiller and Solomon Hsiang
2018: A Path Integral Approach to Business Cycle Models with Large Number of Agents Downloads
A\"ileen Lotz, Pierre Gosselin and Marc Wambst
2018: Constructing energy accounts for WIOD 2016 release Downloads
Viktoras Kulionis
2018: Opinion Dynamics via Search Engines (and other Algorithmic Gatekeepers) Downloads
Fabrizio Germano and Francesco Sobbrio
2018: Aggressive Economic Incentives and Physical Activity: The Role of Choice and Technology Decision Aids Downloads
Idris Adjerid, Rachael Purta, Aaron Striegel and George Loewenstein
2018: Predicting digital asset market based on blockchain activity data Downloads
Zvezdin Besarabov and Todor Kolev
2018: Replica Analysis for Maximization of Net Present Value Downloads
Takashi Shinzato
2018: On the sensitivity analysis of energy quanto options Downloads
Rodwell Kufakunesu and Farai Mhlanga
2018: Mean-Field Games with Differing Beliefs for Algorithmic Trading Downloads
Philippe Casgrain and Sebastian Jaimungal
2018: Mid-price estimation for European corporate bonds: a particle filtering approach Downloads
Olivier Gu\'eant and Jiang Pu
2018: Using generalized estimating equations to estimate nonlinear models with spatial data Downloads
Cuicui Lu, Weining Wang and Jeffrey M. Wooldridge
2018: The Broad Consequences of Narrow Banking Downloads
Matheus R Grasselli and Alexander Lipton
2018: Stochastic Revealed Preferences with Measurement Error Downloads
Victor H. Aguiar and Nail Kashaev
2018: Martingale Functional Control variates via Deep Learning Downloads
Marc Sabate Vidales, David Siska and Lukasz Szpruch
2018: Time consistency for scalar multivariate risk measures Downloads
Zachary Feinstein and Birgit Rudloff
2018: Lifting the Heston model Downloads
Eduardo Abi Jaber
2018: Deriving the factor endowment--commodity output relationship for Thailand (1920-1927) using a three-factor two-good general equilibrium trade model Downloads
Yoshiaki Nakada
2018: Offline Multi-Action Policy Learning: Generalization and Optimization Downloads
Zhengyuan Zhou, Susan Athey and Stefan Wager
2018: Integrating electricity markets: Impacts of increasing trade on prices and emissions in the western United States Downloads
Steve Dahlke
2018: Prices, Profits, and Production Downloads
Victor H. Aguiar, Roy Allen and Nail Kashaev
2018: New closed-form approximations in multi-asset market making Downloads
David Evangelista and Douglas Vieira
2018: Complex Valued Risk Diversification Downloads
Yusuke Uchiyama, Takanori Kadoya and Kei Nakagawa
2018: A universal university ranking from the preferences of the applicants Downloads
L\'aszl\'o Csat\'o and Csaba T\'oth
2018: The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation Downloads
Arturas Juodis and Simon Reese
2018: Critical review of models, containing cultural levels beyond the organizational one Downloads
Kiril Dimitrov
2018: Classifying Markets up to Isomorphism Downloads
John Armstrong
2018: Dividend Policy and Capital Structure of a Defaultable Firm Downloads
Alex S. L. Tse
2018: k-price auctions and Combination auctions Downloads
Martin Mihelich and Yan Shu
2018: Wide and Deep Learning for Peer-to-Peer Lending Downloads
Kaveh Bastani, Elham Asgari and Hamed Namavari
2018: Deep calibration of rough stochastic volatility models Downloads
Christian Bayer and Benjamin Stemper
2018: Evaluating regulatory reform of network industries: a survey of empirical models based on categorical proxies Downloads
Andrea Bastianin, Paolo Castelnovo and Massimo Florio
2018: Inference on Functionals of Set-Identified Parameters Defined by Convex Moments Downloads
Thomas M. Russell
2018: On LASSO for Predictive Regression Downloads
Ji Hyung Lee, Zhentao Shi and Zhan Gao
2018: Social capital at venture capital firms and their financial performance: Evidence from China Downloads
Qi-lin Cao, Hua-yun Xiang, You-jia Mao and Ben-zhang Yang
2018: The Model Selection Curse Downloads
Kfir Eliaz and Ran Spiegler
2018: A General Sensitivity Analysis Approach for Demand Response Optimizations Downloads
Ding Xiang and Ermin Wei
2018: Contemporary facets of business successes among leading companies, operating in Bulgaria Downloads
Kiril Dimitrov
2018: Geert Hofstede et al's set of national cultural dimensions - popularity and criticisms Downloads
Kiril Dimitrov
2018: Dominating Attributes Of Professed Firm Culture Of Holding Companies - Members Of The Bulgarian Industrial Capital Association Downloads
Kiril Dimitrov and Marin Geshkov
2018: Talent management - an etymological study Downloads
Kiril Dimitrov
2018: Exploring the nuances in the relationship "culture-strategy" for the business world Downloads
Kiril Dimitrov
2018: An Introduction to fast-Super Paramagnetic Clustering Downloads
Lionel Yelibi and Tim Gebbie
2018: Exact Replication of the Best Rebalancing Rule in Hindsight Downloads
Alexander Garivaltis
2018: Completeness and Transitivity of Preferences on Mixture Sets Downloads
Tsogbadral Galaabaatar, M. Ali Khan and Metin Uyan{\i}k
2018: Multilinear Superhedging of Lookback Options Downloads
Alexander Garivaltis
2018: Super-Replication of the Best Pairs Trade in Hindsight Downloads
Alexander Garivaltis
2018: On the First Hitting Time Density of an Ornstein-Uhlenbeck Process Downloads
Alexander Lipton and Vadim Kaushansky
2018: A Machine Learning-based Recommendation System for Swaptions Strategies Downloads
Adriano Soares Koshiyama, Nick Firoozye and Philip Treleaven
2018: District heating systems under high CO2 emission prices: the role of the pass-through from emission cost to electricity prices Downloads
Sebastian Wehrle and Johannes Schmidt
2018: An Efficient Approach for Removing Look-ahead Bias in the Least Square Monte Carlo Algorithm: Leave-One-Out Downloads
Jaehyuk Choi, Chenru Liu and Jeechul Woo
2018: Topological Connectedness and Behavioral Assumptions on Preferences: A Two-Way Relationship Downloads
M. Ali Khan and Metin Uyan{\i}k
2018: Disability for HIV and Disincentives for Health: The Impact of South Africa's Disability Grant on HIV/AIDS Recovery Downloads
Noah Haber, Till B\"arnighausen, Jacob Bor, Jessica Cohen, Frank Tanser, Deenan Pillay and G\"unther Fink
2018: Granger causality on horizontal sum of Boolean algebras Downloads
M. Bohdalov\'a, M. Kalina and O. N\'an\'asiov\'a
2018: A General Weighted Average Representation of the Ordinary and Two-Stage Least Squares Estimands Downloads
Tymon S{\l}oczy\'nski
2018: Pricing of debt and equity in a financial network with comonotonic endowments Downloads
Tathagata Banerjee and Zachary Feinstein
2018: Covariate Distribution Balance via Propensity Scores Downloads
Pedro H. C. Sant'Anna, Xiaojun Song and Qi Xu
2018: Deep Factor Model Downloads
Kei Nakagawa, Takumi Uchida and Tomohisa Aoshima
2018: Semi-supervised Text Regression with Conditional Generative Adversarial Networks Downloads
Tao Li, Xudong Liu and Shihan Su
2018: Inverse Gaussian quadrature and finite normal-mixture approximation of generalized hyperbolic distribution Downloads
Jaehyuk Choi, Yeda Du and Qingshuo Song
2018: Selectivity correction in discrete-continuous models for the willingness to work as crowd-shippers and travel time tolerance Downloads
Tho V. Le and Satish V. Ukkusuri
2018: Jensen-Shannon Divergence as a Goodness-of-Fit Measure for Maximum Likelihood Estimation and Curve Fitting Downloads
Mark Levene and Aleksejus Kononovicius
2018: Methods and Concepts in Economic Complexity Downloads
Andres Gomez-Lievano
2018: Deterministic Conditions for the Absence and Existence of Arbitrage in Continuous Financial Markets Downloads
David Criens
2018: Eliciting the Endowment Effect under Assigned Ownership Downloads
Patrick Barranger, Rohit Nair, Rob Mulla and Shane Conner
2018: State-dependent Hawkes processes and their application to limit order book modelling Downloads
Maxime Morariu-Patrichi and Mikko S. Pakkanen
2018: Selling Information Downloads
Weijie Zhong
2018: Modeling Nelson-Siegel Yield Curve using Bayesian Approach Downloads
Sourish Das
2018: Contests with a Non-Convex Strategy Space Downloads
Doron Klunover and John Morgan
2018: An alternative quality of life ranking on the basis of remittances Downloads
D\'ora Gr\'eta Petr\'oczy
2018: Colombian export capabilities: building the firms-products network Downloads
Matteo Bruno, Fabio Saracco, Tiziano Squartini and Marco Due\~nas
2018: New face of multifractality: Multi-branched left-sidedness and phase transitions in multifractality of interevent times Downloads
Jaros{\l}aw Klamut, Ryszard Kutner, Tomasz Gubiec and Zbigniew R. Struzik
2018: Efficient Difference-in-Differences Estimation with High-Dimensional Common Trend Confounding Downloads
Michael Zimmert
2018: Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler Downloads
Arthur T. Rego and Thiago R. dos Santos
2018: A model for stocks dynamics based on a non-Gaussian path integral Downloads
Giovanni Paolinelli and Gianni Arioli
2018: Model-free trading and hedging with continuous price paths Downloads
Tigran Atoyan
2018: Tests for price indices in a dynamic item universe Downloads
Li-Chun Zhang, Ingvild Johansen and Ragnhild Nygaard
2018: A Dichotomous Analysis of Unemployment Welfare Downloads
Xingwei Hu
2018: Complexity of products: the effect of data regularisation Downloads
Orazio Angelini and Tiziana Di Matteo
2018: Dynamic programming for optimal stopping via pseudo-regression Downloads
Christian Bayer, Martin Redmann and John Schoenmakers
2018: Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model Downloads
Hyeong Kyu Choi
2018: Exceeding Expectations: Stochastic Dominance as a General Decision Theory Downloads
Christian Tarsney
2018: A new and stable estimation method of country economic fitness and product complexity Downloads
Vito D. P. Servedio, Paolo Butt\`a, Dario Mazzilli, Andrea Tacchella and Luciano Pietronero
2018: The Urban Wage Premium: Sorting, agglomeration economies or statistical artifact? The problem of sampling from lognormals Downloads
Andres Gomez-Lievano, Vladislav Vysotsky and Jose Lobo
2018: An Impossibility Theorem for Wealth in Heterogeneous-agent Models with Limited Heterogeneity Downloads
John Stachurski and Alexis Akira Toda
2018: Minimizing Sensitivity to Model Misspecification Downloads
St\'ephane Bonhomme and Martin Weidner
2018: A theory for combinations of risk measures Downloads
Marcelo Brutti Righi
2018: Cluster-Robust Standard Errors for Linear Regression Models with Many Controls Downloads
Riccardo D'Adamo
2018: A Practical Method of Estimation and Inference for Policy-Relevant Treatment Effects Downloads
Yuya Sasaki and Takuya Ura
2018: Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis Downloads
Yoshiaki Nakada
2018: Approximation of Some Multivariate Risk Measures for Gaussian Risks Downloads
E. Hashorva
2018: Theoretical and empirical analysis of trading activity Downloads
Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic Tangpi
2018: Proxyeconomics, A theory of proxy based competition Downloads
Oliver Braganza
2018: Economic Implications of Blockchain Platforms Downloads
Jun Aoyagi and Daisuke Adachi
2018: Optimization of Fire Sales and Borrowing in Systemic Risk Downloads
Maxim Bichuch and Zachary Feinstein
2018: Dynamical regularities of US equities opening and closing auctions Downloads
Damien Challet and Nikita Gourianov
2018: SABCEMM-A Simulator for Agent-Based Computational Economic Market Models Downloads
Torsten Trimborn, Philipp Otte, Simon Cramer, Max Beikirch, Emma Pabich and Martin Frank
2018: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls Downloads
Victor Chernozhukov, Kaspar Wüthrich and Yinchu Zhu
2018: Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time Downloads
Yu-Jui Huang and Zhou Zhou
2018: Series representation of the pricing formula for the European option driven by space-time fractional diffusion Downloads
Jean-Philippe Aguilar, Cyril Coste and Jan Korbel
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: Hybrid marked point processes: characterisation, existence and uniqueness Downloads
Maxime Morariu-Patrichi and Mikko S. Pakkanen
2018: Modeling Technical Analysis Downloads
Jun Maeda and Saul D. Jacka
2018: Modeling Financial System with Interbank Flows, Borrowing, and Investing Downloads
Aditya Maheshwari and Andrey Sarantsev
2018: Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims Downloads
Ariel Neufeld
2018: Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models Downloads
Andrei Cozma and Christoph Reisinger
2018: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process Downloads
Andrei Cozma and Christoph Reisinger
2018: Efficient Policy Learning Downloads
Susan Athey and Stefan Wager
2018: Super-Replication with Fixed Transaction Costs Downloads
Peter Bank and Yan Dolinsky
2018: The Fatou Closedness under Model Uncertainty Downloads
Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2018: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data Downloads
Richard Y. Chen and Per A. Mykland
2018: Elicitation Complexity of Statistical Properties Downloads
Rafael Frongillo and Ian A. Kash
2018: Symmetry, Entropy, Diversity and (why not?) Quantum Statistics in Society Downloads
J. Rosenblatt
2018: Challenges in approximating the Black and Scholes call formula with hyperbolic tangents Downloads
Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
2018: Auction Theory Extensions for Real Life Applications Downloads
Ravi Kashyap
2018: The logic of uncertainty as a logic of experience and chance and the co~event-based Bayes' theorem Downloads
Oleg Yu Vorobyev
2018: A New Form of Banking - Concept and Mathematical Model of Venture Banking Downloads
Brian P Hanley
2018: Nonparametric Regression with Selectively Missing Covariates Downloads
Christoph Breunig and Peter Haan
2018: Nonparametric Estimation and Identification in Non-Separable Models Using Panel Data Downloads
Ben Deaner
2018: Influence of introducing high speed railways on intercity travel behavior in Vietnam Downloads
Tho V. Le, Junyi Zhang, Makoto Chikaraishi and Akimasa Fujiwara
2018: Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences Downloads
Marcellino Gaudenzi and Michel Vellekoop
2018: Change of Measure in the Heston Model given a violated Feller Condition Downloads
Sascha Desmettre
2018: Portfolio Optimization in Fractional and Rough Heston Models Downloads
Nicole B\"auerle and Sascha Desmettre
2018: Some Nontrivial Properties of a Formula for Compound Interest Downloads
Isaac M. Sonin and Mark Whitmeyer
2018: An Adaptive Tabu Search Algorithm for Market Clearing Problem in Turkish Day-Ahead Market Downloads
Nermin Elif Kurt, H. Bahadir Sahin and K\"ur\c{s}ad Derinkuyu
2018: A Numerical Study of Carr and Lee's Correlation Immunization Strategy for Volatility Derivatives Downloads
Jimin Lin and Matthew Lorig
2018: Monotone Sharpe ratios and related measures of investment performance Downloads
Mikhail Zhitlukhin
2018: Trading Strategies Generated by Path-dependent Functionals of Market Weights Downloads
Ioannis Karatzas and Donghan Kim
2018: Risk sharing for capital requirements with multidimensional security markets Downloads
Felix-Benedikt Liebrich and Gregor Svindland
2018: Deep Neural Networks for Estimation and Inference: Application to Causal Effects and Other Semiparametric Estimands Downloads
Max H. Farrell, Tengyuan Liang and Sanjog Misra
2018: Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations Downloads
Yuta Yamauchi and Yasuhiro Omori
2018: Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations Downloads
Marius Pfeuffer, Goncalo dos Reis and Greig Smith
2018: Extended opportunity cost model to find near equilibrium electricity prices under non-convexities Downloads
Hassan Shavandi, Mehrdad Pirnia and J. David Fuller
2018: A big data based method for pass rates optimization in mathematics university lower division courses Downloads
Fernando A Morales, Carlos A Osorio and Daniel Cabarcas J
2018: A model of adaptive, market behavior generating positive returns, volatility and system risk Downloads
Misha Perepelitsa
2018: Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies Downloads
Arun Advani, Toru Kitagawa and Tymon S{\l}oczy\'nski
2018: Derivatives pricing using signature payoffs Downloads
Imanol Perez Arribas
2018: Temporal Relational Ranking for Stock Prediction Downloads
Fuli Feng, Xiangnan He, Xiang Wang, Cheng Luo, Yiqun Liu and Tat-Seng Chua
2018: Asynchronous stochastic price pump Downloads
Misha Perepelitsa and Ilya Timofeyev
2018: Robustness in the Optimization of Risk Measures Downloads
Paul Embrechts, Alexander Schied and Ruodu Wang
2018: Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time Downloads
Yu-Jui Huang and Zhou Zhou
2018: An extension of Heston's SV model to Stochastic Interest Rates Downloads
Javier de Frutos and Victor Gaton
2018: On a gap between rational annuitization price for producer and price for customer Downloads
Nikolai Dokuchaev
2018: An Automated Approach Towards Sparse Single-Equation Cointegration Modelling Downloads
Stephan Smeekes and Etienne Wijler
2018: Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization Downloads
Ancil Crayton
2018: Financial accumulation implies ever-increasing wealth inequality Downloads
Yuri Biondi and Stefano Olla
2018: Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution Downloads
Alan L. Lewis
2018: Tail probabilities for short-term returns on stocks Downloads
Henrik O. Rasmussen and Paul Wilmott
2018: Chaos and Order in the Bitcoin Market Downloads
Josselin Garnier and Knut Solna
2018: Constructing Financial Sentimental Factors in Chinese Market Using Natural Language Processing Downloads
Junfeng Jiang and Jiahao Li
2018: The "power" dimension in a process of exchange Downloads
Alberto Banterle
2018: Time-consistent conditional expectation under probability distortion Downloads
Jin Ma, Ting-Kam Leonard Wong and Jianfeng Zhang
2018: Eventological H-theorem Downloads
Oleg Yu. Vorobyev
2018: A Game of Tax Evasion: evidences from an agent-based model Downloads
L. S. Di Mauro, A. Pluchino and A. E. Biondo
2018: Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility Downloads
Sahar Albosaily and Serguei Pergamenshchikov
2018: Inferring short-term volatility indicators from Bitcoin blockchain Downloads
Nino Antulov-Fantulin, Dijana Tolic, Matija Piskorec, Zhang Ce and Irena Vodenska
2018: Shapley-like values without symmetry Downloads
Jacob North Clark and Stephen Montgomery-Smith
2018: Geometric Local Variance Gamma model Downloads
Peter Carr and Andrey Itkin
2018: Insider Trading with Penalties Downloads
Sylvain Carr\'e, Pierre Collin-Dufresne and Franck Gabriel
2018: On the quasi-sure superhedging duality with frictions Downloads
Erhan Bayraktar and Matteo Burzoni
2018: Unfolding the complexity of the global value chain: Strengths and entropy in the single-layer, multiplex, and multi-layer international trade networks Downloads
Luiz G. A. Alves, Giuseppe Mangioni, Francisco A. Rodrigues, Pietro Panzarasa and Yamir Moreno
2018: Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing Downloads
Helder Rojas and David Dias
2018: Pricing American Options by Exercise Rate Optimization Downloads
Christian Bayer, Ra\'ul Tempone and S\"oren Wolfers
2018: Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM Downloads
Junyan Liu, Sandeep Kumar and Daniel P. Palomar
2018: Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation Downloads
Jorge Faleiro
2018: Complex market dynamics in the light of random matrix theory Downloads
Hirdesh K. Pharasi, Kiran Sharma, Anirban Chakraborti and Thomas H. Seligman
2018: A revisit of the Borch rule for the Principal-Agent Risk-Sharing problem Downloads
Jessica Martin and Anthony R\'eveillac
2018: Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach Downloads
Andres Ramirez-Hassan and Manuel Correa-Giraldo
2018: Matching in Dynamic Imbalanced Markets Downloads
Itai Ashlagi, Afshin Nikzad and Philipp Strack
2018: The structure of the environment and the complexity of rational choice procedures Downloads
Paulo Oliva and Philipp Zahn
2018: On expansions for the Black-Scholes prices and hedge parameters Downloads
Jean-Philippe Aguilar
2018: Dynamical variety of shapes in financial multifractality Downloads
Stanis{\l}aw Dro\.zd\.z, Rafa{\l} Kowalski, Pawe{\l} O\'swi\c{e}cimka, Rafa{\l} Rak and Robert G\c{e}barowski
2018: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Downloads
Mesias Alfeus, Martino Grasselli and Erik Schl\"ogl
2018: The distortion principle for insurance pricing: properties, identification and robustness Downloads
Daniela Escobar and Georg Pflug
2018: Estimating grouped data models with a binary dependent variable and fixed effects: What are the issues Downloads
Nathaniel Beck
2018: A Language for Large-Scale Collaboration in Economics: A Streamlined Computational Representation of Financial Models Downloads
Jorge Faleiro
2018: Liberal Radicalism: Formal Rules for a Society Neutral among Communities Downloads
Vitalik Buterin, Zoe Hitzig and E. Glen Weyl
2018: Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing Downloads
Zorana Grbac, David Krief and Peter Tankov
2018: BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange Downloads
Dave Cliff
2018: Optimal Dynamic Basis Trading Downloads
Bahman Angoshtari and Tim Leung
2018: An incomplete equilibrium with a stochastic annuity Downloads
Kim Weston and Gordan Zitkovic
2018: Trends in the Diffusion of Misinformation on Social Media Downloads
Hunt Allcott, Matthew Gentzkow and Chuan Yu
2018: Control Variables, Discrete Instruments, and Identification of Structural Functions Downloads
Whitney Newey and Sami Stouli
2018: Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization Downloads
Yuki Kinoshita and Yumiharu Nakano
2018: On the Choice of Instruments in Mixed Frequency Specification Tests Downloads
Yun Liu and Yeonwoo Rho
2018: Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model Downloads
Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2018: Random Fixed Points, Limits and Systemic risk Downloads
Veeraruna Kavitha, Indrajit Saha and Sandeep Juneja
2018: Learning L2 Continuous Regression Functionals via Regularized Riesz Representers Downloads
Victor Chernozhukov, Whitney K Newey and Rahul Singh
2018: Time preference and information acquisition Downloads
Weijie Zhong
2018: Valid Simultaneous Inference in High-Dimensional Settings (with the hdm package for R) Downloads
Philipp Bach, Victor Chernozhukov and Martin Spindler
2018: Measuring Systematic Risk with Neural Network Factor Model Downloads
Jeonggyu Huh
2018: Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership Downloads
Gregor Zens
2018: Superstatistics with cut-off tails for financial time series Downloads
Yusuke Uchiyama and Takanori Kadoya
2018: Mean-Field Leader-Follower Games with Terminal State Constraint Downloads
Guanxing Fu and Ulrich Horst
2018: Hyperbolic normal stochastic volatility model Downloads
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
2018: Bootstrap Methods in Econometrics Downloads
Joel L. Horowitz
2018: Fast calibration of two-factor models for energy option pricing Downloads
Emanuele Fabbiani, Andrea Marziali and Giuseppe De Nicolao
2018: Regression Discontinuity Designs Using Covariates Downloads
Sebastian Calonico, Matias D. Cattaneo, Max H. Farrell and Rocio Titiunik
2018: Mathematics of Market Microstructure under Asymmetric Information Downloads
Umut \c{C}et{\i}n
2018: Nash Equilibria in the Response Strategy of Correlated Games Downloads
A. D. Correia and H. T. C. Stoof
2018: Diversification, Volatility, and Surprising Alpha Downloads
Adrian Banner, Robert Fernholz, Vassilios Papathanakos, Johannes Ruf and David Schofield
2018: Model Risk Measurement under Wasserstein Distance Downloads
Yu Feng and Erik Schl\"ogl
2018: Non-Asymptotic Inference in Instrumental Variables Estimation Downloads
Joel L. Horowitz
2018: Characteristic-Sorted Portfolios: Estimation and Inference Downloads
Matias D. Cattaneo, Richard K. Crump, Max H. Farrell and Ernst Schaumburg
2018: A class of stochastic games and moving free boundary problems Downloads
Xin Guo, Wenpin Tang and Renyuan Xu
2018: The Ladder Theory of Behavioral Decision Making Downloads
Xingguang Chen
2018: Systemic Risk and the Dependence Structures Downloads
Yu-Sin Chang
2018: A Moral Framework for Understanding of Fair ML through Economic Models of Equality of Opportunity Downloads
Hoda Heidari, Michele Loi, Krishna P. Gummadi and Andreas Krause
2018: Pricing the Aunt Michaela Option with a Modified Black-Scholes Equation with a Maturity Condition of Gamma Type Downloads
Juan Ospina
2018: Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness Downloads
George Milunovich
2018: Order book model with herd behavior exhibiting long-range memory Downloads
Aleksejus Kononovicius and Julius Ruseckas
2018: Worldcoin: A Hypothetical Cryptocurrency for the People and its Government Downloads
Sheikh Rabiul Islam
2018: Sion's mini-max theorem and Nash equilibrium in a five-players game with two groups which is zero-sum and symmetric in each group Downloads
Atsuhiro Satoh and Yasuhito Tanaka
2018: Nash equilibrium of partially asymmetric three-players zero-sum game with two strategic variables Downloads
Atsuhiro Satoh and Yasuhito Tanaka
2018: Dealing with the Dimensionality Curse in Dynamic Pricing Competition: Using Frequent Repricing to Compensate Imperfect Market Anticipations Downloads
Rainer Schlosser and Martin Boissier
2018: A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations Downloads
Philipp Grohs, Fabian Hornung, Arnulf Jentzen and Philippe von Wurstemberger
2018: Change-Point Testing and Estimation for Risk Measures in Time Series Downloads
Lin Fan, Peter W. Glynn and Markus Pelger
2018: Generalizing Geometric Brownian Motion Downloads
Peter Carr and Zhibai Zhang
2018: Applying Deep Learning to Derivatives Valuation Downloads
Ryan Ferguson and Andrew Green
2018: The Zumbach effect under rough Heston Downloads
Omar El Euch, Jim Gatheral, Rado\v{s} Radoi\v{c}i\'c and Mathieu Rosenbaum
2018: Diversity and Sparsity: A New Perspective on Index Tracking Downloads
Yongxin Yang, Yu Zheng and Timothy M. Hospedales
2018: Suboptimal Control of Dividends under Exponential Utility Downloads
Julia Eisenberg and Paul Kr\"uhner
2018: Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint Downloads
Ulrich Horst and Xiaonyu Xia
2018: Deep Reinforcement Learning in High Frequency Trading Downloads
Prakhar Ganesh and Puneet Rakheja
2018: The Core of an Economy with an Endogenous Social Division of Labour Downloads
Robert P. Gilles
2018: Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach Downloads
Huyen Pham, Xiaoli Wei and Chao Zhou
2018: Multi-agent Economics and the Emergence of Critical Markets Downloads
Michael S. Harr\'e
2018: Shape-Enforcing Operators for Point and Interval Estimators Downloads
Xi Chen, Victor Chernozhukov, Iv\'an Fern\'andez-Val, Scott Kostyshak and Ye Luo
2018: Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model Downloads
Michael Preischl and Stefan Thonhauser
2018: How to model fake news Downloads
Dorje C. Brody and David M. Meier
2018: Identifying long-term precursors of financial market crashes using correlation patterns Downloads
Hirdesh K. Pharasi, Kiran Sharma, Rakesh Chatterjee, Anirban Chakraborti, Francois Leyvraz and Thomas H. Seligman
2018: Multiplicative random cascades with additional stochastic process in financial markets Downloads
Jun-ichi Maskawa, Koji Kuroda and Joshin Murai
2018: Model Risk in Real Option Valuation Downloads
Carol Alexander and Xi Chen
2018: "Read My Lips": Using Automatic Text Analysis to Classify Politicians by Party and Ideology Downloads
Eitan Sapiro-Gheiler
2018: Indirect information measure and dynamic learning Downloads
Weijie Zhong
2018: Topological recognition of critical transitions in time series of cryptocurrencies Downloads
Marian Gidea, Daniel Goldsmith, Yuri Katz, Pablo Roldan and Yonah Shmalo
2018: Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data Downloads
Xi Zhang, Yixuan Li, Senzhang Wang, Binxing Fang and Philip S. Yu
2018: Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs Downloads
Sebastian Calonico, Matias D. Cattaneo and Max H. Farrell
2018: Finding a promising venture capital project with todim under probabilistic hesitant fuzzy circumstance Downloads
Weike Zhang, Jiang Du and Xiaoli Tian
2018: Analytic Moments for GARCH Processes Downloads
Carol Alexander, Emese Lazar and Silvia Stanescu
2018: Trading Networks with General Preferences Downloads
Jan Christoph Schlegel
2018: Design-based Analysis in Difference-In-Differences Settings with Staggered Adoption Downloads
Susan Athey and Guido Imbens
2018: Existence of Equilibrium Prices: A Pedagogical Proof Downloads
Simone Tonin
2018: Gaussian stochastic volatility models: Large deviations, moderate deviations, and central limit scaling regime Downloads
Archil Gulisashvili
2018: Incremental Sharpe and other performance ratios Downloads
Eric Benhamou and Beatrice Guez
2018: A Machine Learning Approach for Detecting Students at Risk of Low Academic Achievement Downloads
Sarah Cornell-Farrow and Robert Garrard
2018: Stochastic Dominance Under Independent Noise Downloads
Luciano Pomatto, Philipp Strack and Omer Tamuz
2018: Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging Downloads
Haojie Wang, Han Chen, Agus Sudjianto, Richard Liu and Qi Shen
2018: On SDEs with Lipschitz coefficients, driven by continuous, model-free price paths Downloads
Lesiba Ch. Galane, Rafa{\l} M. {\L}ochowski and Farai J. Mhlanga
2018: A global consumer-led strategy to tackle climate change Downloads
Anthony J. Webster
2018: The Role of the Propensity Score in Fixed Effect Models Downloads
Dmitry Arkhangelsky and Guido Imbens
2018: A Generalized Framework for Simultaneous Long-Short Feedback Trading Downloads
Joseph D. O'Brien, Mark E. Burke and Kevin Burke
2018: Weak Correlations of Stocks Future Returns Downloads
Ludovico Latmiral
2018: Quasi-Experimental Shift-Share Research Designs Downloads
Kirill Borusyak, Peter Hull and Xavier Jaravel
2018: Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Downloads
Callegaro Giorgia, Grasselli Martino and Pag\`es Gilles
2018: General multilevel Monte Carlo methods for pricing discretely monitored Asian options Downloads
Nabil Kahale
2018: $k$-step correction for mixed integer linear programming: a new approach for instrumental variable quantile regressions and related problems Downloads
Yinchu Zhu
2018: Transport plans with domain constraints Downloads
Erhan Bayraktar, Xin Zhang and Zhou Zhou
2018: Monte Carlo pathwise sensitivities for barrier options Downloads
Thomas Gerstner, Bastian Harrach and Daniel Roth
2018: Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment Downloads
Jean-Pierre Fouque and Ruimeng Hu
2018: Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2018: Smart TWAP trading in continuous-time equilibria Downloads
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
2018: Market Impact: A systematic study of limit orders Downloads
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson, Fr\'ed\'eric Abergel, Ahmed Bel and Hadj Ayed
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: Asian Option Pricing with Orthogonal Polynomials Downloads
Sander Willems
2018: An SPDE Model for Systemic Risk with Endogenous Contagion Downloads
Ben Hambly and Andreas Sojmark
2018: Revealed Price Preference: Theory and Empirical Analysis Downloads
Rahul Deb, Yuichi Kitamura, John Quah and Jörg Stoye
2018: A Direct Solution Method for Pricing Options in Regime-switching Models Downloads
Masahiko Egami and Rusudan Kevkhishvili
2018: Interpreting Economic Complexity Downloads
Penny Mealy, J. Doyne Farmer and Alexander Teytelboym
2018: Corporate payments networks and credit risk rating Downloads
Elisa Letizia and Fabrizio Lillo
2018: Pathwise superhedging on prediction sets Downloads
Daniel Bartl, Michael Kupper and Ariel Neufeld
2018: Matrix Completion Methods for Causal Panel Data Models Downloads
Susan Athey, Mohsen Bayati, Nikolay Doudchenko, Guido Imbens and Khashayar Khosravi
2018: A Mathematical Analysis of Technical Analysis Downloads
Matthew Lorig, Zhou Zhou and Bin Zou
2018: Multilevel estimation of expected exit times and other functionals of stopped diffusions Downloads
Michael B. Giles and Francisco Bernal
2018: Non-Euclidean Conditional Expectation and Filtering Downloads
Anastasis Kratsios and Cody B. Hyndman
2018: Forecasting Across Time Series Databases using Recurrent Neural Networks on Groups of Similar Series: A Clustering Approach Downloads
Kasun Bandara, Christoph Bergmeir and Slawek Smyl
2018: Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model Downloads
Chuan Goh
2018: The Strength of Absent Ties: Social Integration via Online Dating Downloads
Josue Ortega and Philipp Hergovich
2018: Zero-rating of Content and its Effect on the Quality of Service in the Internet Downloads
Manjesh K. Hanawal, Fehmina Malik and Yezekael Hayel
2018: Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference Downloads
Worapree Maneesoonthorn, Gael M. Martin and Catherine S. Forbes
2018: DGM: A deep learning algorithm for solving partial differential equations Downloads
Justin Sirignano and Konstantinos Spiliopoulos
2018: Nash equilibria for game contingent claims with utility-based hedging Downloads
Klebert Kentia and Christoph K\"uhn
2018: On Markowitz Geometry Downloads
Valentin Vankov Iliev
2018: Characterization of the community structure in a large-scale production network in Japan Downloads
Abhijit Chakraborty, Hazem Krichene, Hiroyasu Inoue and Yoshi Fujiwara
2018: A Dynkin game on assets with incomplete information on the return Downloads
Tiziano De Angelis, Fabien Gensbittel and St\'ephane Villeneuve
2018: Pairs Trading under Drift Uncertainty and Risk Penalization Downloads
S\"uhan Altay, Katia Colaneri and Zehra Eksi
2018: Best reply structure and equilibrium convergence in generic games Downloads
Marco Pangallo, Torsten Heinrich and J Doyne Farmer
2018: On a pricing problem for a multi-asset option with general transaction costs Downloads
Pablo Amster and Andres P. Mogni
2018: Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method Downloads
Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2018: Long-run dynamics of the U.S. patent classification system Downloads
François Lafond and Daniel Kim
2018: Managing Default Contagion in Inhomogeneous Financial Networks Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
2018: Asset Pricing with Random Volatility Downloads
Xin Liu
2018: Nonparametric Analysis of Random Utility Models Downloads
Yuichi Kitamura and Jörg Stoye
2018: Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia Downloads
Jianqing Fan, Yuan Ke and Yuan Liao
2018: David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs Downloads
Ravi Kashyap
2018: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2018: Sensitivity Analysis of Long-Term Cash Flows Downloads
Hyungbin Park
2018: Asymptotic Expansion for Forward-Backward SDEs with Jumps Downloads
Masaaki Fujii and Akihiko Takahashi
2018: Inference on causal and structural parameters using many moment inequalities Downloads
Victor Chernozhukov, Denis Chetverikov and Kengo Kato
2018: Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation Downloads
Michael Giles, Kristian Debrabant and Andreas R\"o{\ss}ler
2018: Dual Regression Downloads
Richard Spady and Sami Stouli
2018: House Price Modeling with Digital Census Downloads
Enwei Zhu and Stanislav Sobolevsky
2018: The Impact of LIBOR Linked Borrowing to Cover Venture Bank Investment Loans Creates a New Systemic Risk Downloads
Brian P. Hanley
2018: A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach Downloads
T. R. Santos
2018: Resource and Competence (Internal) View vs. Environment and Market (External) View when defining a Business Downloads
Yngve Dahle, Martin Steinert, Anh Nguyen Duc and Roman Chizhevskiy
2018: The NEU Meta-Algorithm for Geometric Learning with Applications in Finance Downloads
Anastasis Kratsios and Cody B. Hyndman
2018: Repeated Coordination with Private Learning Downloads
Pathikrit Basu, Kalyan Chatterjee, Tetsuya Hoshino and Omer Tamuz
2018: Identifying the Discount Factor in Dynamic Discrete Choice Models Downloads
Jaap H. Abbring and {\O}ystein Daljord
2018: A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management Downloads
Leander L\"ow, Martin Spindler and Eike Brechmann
2018: Uniform Inference in High-Dimensional Gaussian Graphical Models Downloads
Sven Klaassen, Jannis K\"uck and Martin Spindler
2018: The role of complex analysis in modeling economic growth Downloads
Angelica Sbardella, Emanuele Pugliese, Andrea Zaccaria and Pasquale Scaramozzino
2018: An Exponential Cox-Ingersoll-Ross Process as Discounting Factor Downloads
Julia Eisenberg and Yuliya Mishura
2018: Hierarchical communities in the walnut structure of the Japanese production network Downloads
Abhijit Chakraborty, Yuichi Kichikawa, Takashi Iino, Hiroshi Iyetomi, Hiroyasu Inoue, Yoshi Fujiwara and Hideaki Aoyama
2018: Deep Reinforcement Learning in Portfolio Management Downloads
Zhipeng Liang, Kangkang Jiang, Hao Chen, Junhao Zhu and Yanran Li
2018: Enforcing Regulation Under Illicit Adaptation Downloads
Andres Gonzalez Lira and Ahmed Mushfiq Mobarak
2018: Continuous-time Duality for Super-replication with Transient Price Impact Downloads
Peter Bank and Yan Dolinsky
2018: Asymmetry 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}
2018: Switching Cost Models as Hypothesis Tests Downloads
Samuel N. Cohen, Timo Henckel, Gordon D. Menzies, Johannes Muhle-Karbe and Daniel Zizzo
2018: Smile Modelling in Commodity Markets Downloads
Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli
2018: How does latent liquidity get revealed in the limit order book? Downloads
Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
2018: Almost Envy-Free Allocations with Connected Bundles Downloads
Vittorio Bil\`o, Ioannis Caragiannis, Michele Flammini, Ayumi Igarashi, Gianpiero Monaco, Dominik Peters, Cosimo Vinci and William S. Zwicker
2018: Emergence of Turbulent Epochs in Oil Prices Downloads
Josselin Garnier and Knut Solna
2018: Gamma-controlled pathwise hedging in generalised Black-Scholes models Downloads
John Armstrong, Claudio Bellani, Damiano Brigo and Thomas Cass
2018: Inference based on Kotlarski's Identity Downloads
Kengo Kato, Yuya Sasaki and Takuya Ura
2018: Econophysics as conceived by Meghnad Saha Downloads
Bikas K. Chakrabarti
2018: A Residual Bootstrap for Conditional Value-at-Risk Downloads
Eric Beutner, Alexander Heinemann and Stephan Smeekes
2018: Downstream Effects of Affirmative Action Downloads
Sampath Kannan, Aaron Roth and Juba Ziani
2018: Optimal mitigation with endogenous learning and a cumulative constraint: with application to negative emissions of carbon dioxide Downloads
Ashwin K Seshadri
2018: Evolutionary dynamics of cryptocurrency transaction networks: An empirical study Downloads
Jiaqi Liang, Linjing Li and Daniel Zeng
2018: Dynamic Initial Margin via Chebyshev Spectral Decomposition Downloads
Ignacio Ruiz and Mariano Zeron
2018: The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility Downloads
Kenjiro Oya
2018: Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets Downloads
Jorge Faleiro and Edward Tsang
2018: Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns Downloads
Jorge Faleiro and Edward Tsang
2018: Solving Quadratic Multi-Leader-Follower Games by Smoothing the Follower's Best Response Downloads
Michael Herty, Sonja Steffensen and Anna Th\"unen
2018: On the Normality of Negative Interest Rates Downloads
Matheus R. Grasselli and Alexander Lipton
2018: Voting power of political parties in the Senate of Chile during the whole binomial system period: 1990-2017 Downloads
Fabi\'an Riquelme, Pablo Gonz\'alez-Cantergiani and Gabriel Godoy
2018: Asymmetric linkages: maxmin vs. reflected maxmin copulas 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}
2018: Reflected maxmin copulas and modelling quadrant subindependence Downloads
Toma\v{z} Ko\v{s}ir and Matja\v{z} Omladi\v{c}
2018: Optimizing the tie-breaker regression discontinuity design Downloads
Art B. Owen and Hal Varian
2018: Sensitivity Analysis using Approximate Moment Condition Models Downloads
Timothy B. Armstrong and Michal Koles\'ar
2018: Scenario-based Risk Evaluation Downloads
Ruodu Wang and Johanna F. Ziegel
2018: Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models Downloads
Ben Hambly, Jasdeep Kalsi and James Newbury
2018: Catch-Up: A Rule that Makes Service Sports More Competitive Downloads
Steven J. Brams, Mehmet S. Ismail, D. Marc Kilgour and Walter Stromquist
2018: The story of conflict and cooperation Downloads
Mehmet S. Ismail
2018: Loss Data Analytics Downloads
Edward Frees
2018: A unified Framework for Robust Modelling of Financial Markets in discrete time Downloads
Jan Obloj and Johannes Wiesel
2018: Deep learning, deep change? Mapping the development of the Artificial Intelligence General Purpose Technology Downloads
J. Klinger, J. Mateos-Garcia and K. Stathoulopoulos
2018: Optimal asset allocation for a DC plan with partial information under inflation and mortality risks Downloads
Calisto Guambe, Rodwell Kufakunesu, Gusti Van Zyl and Conrad Beyers
2018: $k$th price auctions and Catalan numbers Downloads
Abdel-Hameed Nawar and Debapriya Sen
2018: Quantifying the Computational Advantage of Forward Orthogonal Deviations Downloads
Robert Phillips
2018: Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective Downloads
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano and Roy Cerqueti
2018: A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences Downloads
Slobodan Milovanovi\'c and Lina von Sydow
2018: Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors Downloads
Sukjin Han and Sungwon Lee
2018: When Do Households Invest in Solar Photovoltaics? An Application of Prospect Theory Downloads
Martin Klein and Marc Deissenroth
2018: Deep Learning for Energy Markets Downloads
Michael Polson and Vadim Sokolov
2018: Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary Downloads
Alexander Lipton, Vadim Kaushansky and Christoph Reisinger
2018: SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations Downloads
Svetlana Boyarchenko and Sergei Levendorski\u{i}
2018: A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap Downloads
Liyuan Jiang, Shuang Zhou, Keren Li, Fangfang Wang and Jie Yang
2018: Inventory Management for High-Frequency Trading with Imperfect Competition Downloads
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang
2018: Brexit: The Belated Threat Downloads
D\'ora Gr\'eta Petr\'oczy, Mark Francis Rogers and L\'aszl\'o \'A. K\'oczy
2018: Game-theoretic dynamic investment model with incomplete information: futures contracts Downloads
Oleg Malafeyev and Shulga Andrey
2018: Can GDP measurement be further improved? Data revision and reconciliation Downloads
Jan Jacobs, Samad Sarferaz, Jan-Egbert Sturm and Simon van Norden
2018: A Unified Framework for Efficient Estimation of General Treatment Models Downloads
Chunrong Ai, Oliver Linton, Kaiji Motegi and Zheng Zhang
2018: Robust XVA Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
2018: Latent Agents in Networks: Estimation and Pricing Downloads
Baris Ata, Alexandre Belloni and Ozan Candogan
2018: Regime-Switching Temperature Dynamics Model for Weather Derivatives Downloads
Samuel Asante Gyamerah, Philip Ngare and Dennis Ikpe
2018: Optimal investment-consumption and life insurance with capital constraints Downloads
Rodwell Kufakunesu and Calisto Guambe
2018: A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations Downloads
Lesedi Mabitsela, Calisto Guambe and Rodwell Kufakunesu
2018: On the optimal investment-consumption and life insurance selection problem with an external stochastic factor Downloads
Rodwell Kufakunesu and Calisto Guambe
2018: Risk-based optimal portfolio of an insurer with regime switching and noisy memory Downloads
Rodwell Kufakunesu, Calisto Guambe and Lesedi Mabitsela
2018: Extrapolating Treatment Effects in Multi-Cutoff Regression Discontinuity Designs Downloads
Matias D. Cattaneo, Luke Keele, Rocio Titiunik and Gonzalo Vazquez-Bare
2018: Turnpike Property and Convergence Rate for an Investment and Consumption Model Downloads
Baojun Bian and Harry Zheng
2018: Connecting Sharpe ratio and Student t-statistic, and beyond Downloads
Eric Benhamou
2018: GARCH(1,1) model of the financial market with the Minkowski metric Downloads
Richard Pincak and Kabin Kanjamapornkul
2018: A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach Downloads
Sina Aghaei, Amirreza Safari Langroudi and Masoud Fekri
2018: Mechanism Design with News Utility Downloads
Jetlir Duraj
2018: Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design Downloads
Chao Luo
2018: The Impact of Age on Nationality Bias: Evidence from Ski Jumping Downloads
Sandra Schneemann, Hendrik Scholten and Christian Deutscher
2018: DeepLOB: Deep Convolutional Neural Networks for Limit Order Books Downloads
Zihao Zhang, Stefan Zohren and Stephen Roberts
2018: On smile properties of volatility derivatives and exotic products: understanding the VIX skew Downloads
Elisa Al\`os, David Garc\'ia-Lorite and Aitor Muguruza
2018: Small-time moderate deviations for the randomised Heston model Downloads
Antoine Jacquier and Fangwei Shi
2018: Exeum: A Decentralized Financial Platform for Price-Stable Cryptocurrencies Downloads
Jaehyung Lee and Minhyung Cho
2018: Concave Shape of the Yield Curve and No Arbitrage Downloads
Jian Sun
2018: Bond Pricing under Knightian Uncertainty: A Short Rate Model with Drift and Volatility Uncertainty Downloads
Julian H\"olzermann
2018: Hysteresis of economic networks in an XY model Downloads
Ali Hosseiny, Mohammadreza Absalan, Mohammad Sherafati and Mauro Gallegati
2018: A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment Downloads
Matthew Harding and Carlos Lamarche
2018: The value of a liability cash flow in discrete time subject to capital requirements Downloads
Hampus Engsner, Kristoffer Lindensj\"o and Filip Lindskog
2018: The financial value of knowing the distribution of stock prices in discrete market models Downloads
Ayelet Amiran, Fabrice Baudoin, Skylyn Brock, Berend Coster, Ryan Craver, Ugonna Ezeaka, Phanuel Mariano and Mary Wishart
2018: Change Point Estimation in Panel Data with Time-Varying Individual Effects Downloads
Otilia Boldea, Bettina Drepper and Zhuojiong Gan
2018: Network-based Referral Mechanism in a Crowdfunding-based Marketing Pattern Downloads
Yongli Li, Zhi-Ping Fan and Wei Zhang
2018: Some Statistical Problems with High Dimensional Financial data Downloads
Arnab Chakrabarti and Rituparna Sen
2018: Information Content of DSGE Forecasts Downloads
Ray Fair
2018: Lattice Studies of Gerrymandering Strategies Downloads
Kyle Gatesman and James Unwin
2018: American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo Downloads
Anurag Sodhi
2018: Machine Learning for Dynamic Models of Imperfect Information and Semiparametric Moment Inequalities Downloads
Vira Semenova
2018: Combining Independent Smart Beta Strategies for Portfolio Optimization Downloads
Phil Maguire, Karl Moffett and Rebecca Maguire
2018: A generalized scheme for BSDEs based on derivative approximation and its error estimates Downloads
Chol-Kyu Pak, Mun-Chol Kim and O Hun
2018: Generating VaR scenarios with product beta distributions Downloads
Dietmar Pfeifer and Olena Ragulina
2018: Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts Downloads
Slobodan Milovanovi\'c
2018: Optimal stopping via deeply boosted backward regression Downloads
Denis Belomestny, John Schoenmakers, Vladimir Spokoiny and Yuri Tavyrikov
2018: Robust Pricing with Refunds Downloads
Toomas Hinnosaar and Keiichi Kawai
2018: Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations Downloads
Chol-Kyu Pak, Mun-Chol Kim and Chang-Ho Rim
2018: Coverage Error Optimal Confidence Intervals Downloads
Sebastian Calonico, Matias D. Cattaneo and Max H. Farrell
2018: A characterization of "Phelpsian" statistical discrimination Downloads
Christopher Chambers and Federico Echenique
2018: Token Economics in Energy Systems: Concept, Functionality and Applications Downloads
Jun Zhang, Fei-Yue Wang and Siyuan Chen
2018: Can Network Theory-based Targeting Increase Technology Adoption? Downloads
Lori Beaman, Ariel BenYishay, Jeremy Magruder and Ahmed Mobarak
2018: Optimal Model Points Portfolio in Life Insurance Downloads
Enrico Ferri
2018: Law-invariant insurance pricing and its limitations Downloads
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari and Gregor Svindland
2018: Asian Option Pricing under Uncertain Volatility Model Downloads
Yuecai Han and Chunyang Liu
2018: Optimal Trading with General Signals and Liquidation in Target Zone Models Downloads
Christoph Belak, Johannes Muhle-Karbe and Kevin Ou
2018: Dynamic Random Subjective Expected Utility Downloads
Jetlir Duraj
2018: Mapping the Privacy-Utility Tradeoff in Mobile Phone Data for Development Downloads
Alejandro Noriega-Campero, Alex Rutherford, Oren Lederman, Yves A. de Montjoye and Alex Pentland
2018: The Evolution of Security Prices Is Governed by a Physicomathematical Law Downloads
Wally Tzara
2018: Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL Downloads
Mnacho Echenim, Herv\'e Guiol and Nicolas Peltier
2018: Asymptotic results under multiway clustering Downloads
Laurent Davezies, Xavier D'Haultfoeuille and Yannick Guyonvarch
2018: Consumption smoothing in the working-class households of interwar Japan Downloads
Kota Ogasawara
2018: Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework Downloads
Chung-Han Hsieh, John A. Gubner and B. Ross Barmish
2018: Testing of Binary Regime Switching Models using Squeeze Duration Analysis Downloads
Milan Kumar Das and Anindya Goswami
2018: Beating the curse of dimensionality in options pricing and optimal stopping Downloads
David A. Goldberg and Yilun Chen
2018: Mining Illegal Insider Trading of Stocks: A Proactive Approach Downloads
Sheikh Rabiul Islam, Sheikh Khaled Ghafoor and William Eberle
2018: Shift-Share Designs: Theory and Inference Downloads
Rodrigo Ad\~ao, Michal Koles\'ar and Eduardo Morales
2018: LASSO-Driven Inference in Time and Space Downloads
Victor Chernozhukov, Wolfgang K. H\"ardle, Chen Huang and Weining Wang
2018: Stochastic deflator for an economic scenario generator with five factors Downloads
Po-Keng Cheng and Fr\'ed\'eric Planchet
2018: A Machine Learning Framework for Stock Selection Downloads
XingYu Fu, JinHong Du, YiFeng Guo, MingWen Liu, Tao Dong and XiuWen Duan
2018: Cascading Losses in Reinsurance Networks Downloads
Ariah Klages-Mundt and Andreea Minca
2018: Dynamic Advisor-Based Ensemble (dynABE): Case Study in Stock Trend Prediction of Critical Metal Companies Downloads
Zhengyang Dong
2018: Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018 Downloads
Jan-Christian Gerlach, Guilherme Demos and Didier Sornette
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: Specification testing in random coefficient models Downloads
Christoph Breunig and Stefan Hoderlein
2018: Statistical inference for autoregressive models under heteroscedasticity of unknown form Downloads
Ke Zhu
2018: A dynamic network model to measure exposure diversification in the Austrian interbank market Downloads
Juraj Hledik and Riccardo Rastelli
2018: Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment Downloads
Brantly Callaway and Pedro Sant'Anna
2018: Two-way fixed effects estimators with heterogeneous treatment effects Downloads
Cl\'ement de Chaisemartin and Xavier D'Haultf{\oe}uille
2018: Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates Downloads
Matteo Basei
2018: Testing Continuity of a Density via g-order statistics in the Regression Discontinuity Design Downloads
Federico A. Bugni and Ivan A. Canay
2018: Efficient construction of threshold networks of stock markets Downloads
Xin-Jian Xu, Kuo Wang, Liucun Zhu and Li-Jie Zhang
2018: Limitations of P-Values and $R^2$ for Stepwise Regression Building: A Fairness Demonstration in Health Policy Risk Adjustment Downloads
Sherri Rose and Thomas G. McGuire
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: An Experimental Investigation of Preference Misrepresentation in the Residency Match Downloads
Alex Rees-Jones and Samuel Skowronek
2018: At What Frequency Should the Kelly Bettor Bet? Downloads
Chung-Han Hsieh, B. Ross Barmish and John A. Gubner
2018: Panel Data Quantile Regression with Grouped Fixed Effects Downloads
Jiaying Gu and Stanislav Volgushev
2018: Irreversible investment with fixed adjustment costs: a stochastic impulse control approach Downloads
Salvatore Federico, Mauro Rosestolato and Elisa Tacconi
2018: Social Learning in a Dynamic Environment Downloads
Krishna Dasaratha, Benjamin Golub and Nir Hak
2018: Optimal Timing to Trade Along a Randomized Brownian Bridge Downloads
Tim Leung, Jiao Li and Xin Li
2018: 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
2018: Global Income Inequality and Savings: A Data Science Perspective Downloads
Kiran Sharma, Subhradeep Das and Anirban Chakraborti
2018: Player-Compatible Equilibrium Downloads
Drew Fudenberg and Kevin He
2018: Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods Downloads
Slobodan Milovanovi\'c and Victor Shcherbakov
2018: Variance optimal hedging with application to Electricity markets Downloads
Xavier Warin
2018: Orthogonal Machine Learning: Power and Limitations Downloads
Lester Mackey, Vasilis Syrgkanis and Ilias Zadik
2018: Stochastic maximum principle under probability distortion Downloads
Qizhu Liang and Jie Xiong
2018: Large deviation principle for Volterra type fractional stochastic volatility models Downloads
Archil Gulisashvili
2018: Dynamic Portfolio Optimization with Looping Contagion Risk Downloads
Longjie Jia, Martijn Pistorius and Harry Zheng
2018: Arbitrage-Free Regularization Downloads
Anastasis Kratsios and Cody B. Hyndman
2018: On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important Downloads
Chung-Han Hsieh and B. Ross Barmish
2018: Distributions of Centrality on Networks Downloads
Krishna Dasaratha
2018: Threshold-Based Portfolio: The Role of the Threshold and Its Applications Downloads
Sang Il Lee and Seong Joon Yoo
2018: Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon Downloads
Hyong-Chol O., Jong-Chol Kim and Il-Gwang Jon
2018: Backtesting Expected Shortfall: a simple recipe? Downloads
Felix Moldenhauer and Marcin Pitera
2018: A Scaling Limit for Limit Order Books Driven by Hawkes Processes Downloads
Ulrich Horst and Wei Xu
2018: Marginal and dependence uncertainty: bounds, optimal transport, and sharpness Downloads
Daniel Bartl, Michael Kupper, Thibaut Lux, Antonis Papapantoleon and Stephan Eckstein
2018: A General Class of Multifractional Processes and Stock Price Informativeness Downloads
Qidi Peng and Ran Zhao
2018: Indirect Inference with a Non-Smooth Criterion Function Downloads
David T. Frazier, Tatsushi Oka and Dan Zhu
2018: Model Misspecification in ABC: Consequences and Diagnostics Downloads
David T. Frazier, Christian P. Robert and Judith Rousseau
2018: Spectral backtests of forecast distributions with application to risk management Downloads
Michael Gordy and Alexander J. McNeil
2018: Sequential Sampling for CGMY Processes via Decomposition of their Time Changes Downloads
Chengwei Zhang and Zhiyuan Zhang
2018: A robust approach for minimization of risk measurement errors Downloads
Fernanda Maria M\"uller and Marcelo Brutti Righi
2018: Default Insurance Notes to Implement Venture Banking Downloads
Brian P. Hanley
2018: On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models Downloads
Mingsi Long and Hongzhong Zhang
2018: An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing Downloads
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
2018: On the minimizers of energy forms with completely monotone kernel Downloads
Alexander Schied and Elias Strehle
2018: Most-likely-path in Asian option pricing under local volatility models Downloads
Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
2018: Optimal sequential treatment allocation Downloads
Anders Kock and Martin Thyrsgaard
2018: Mini-Flash Crashes, Model Risk, and Optimal Execution Downloads
Erhan Bayraktar and Alexander Munk
2018: Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves Downloads
Rupert Way, François Lafond, Fabrizio Lillo, Valentyn Panchenko and J. Doyne Farmer
2018: Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods Downloads
Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2018: The Payoff Region of a Strategic Game and Its Extreme Points Downloads
Yu-Sung Tu and Wei-Torng Juang
2018: Game-Theoretic Vaccination Against Networked SIS Epidemics and Impacts of Human Decision-Making Downloads
Ashish R. Hota and Shreyas Sundaram
2018: Conditional Davis Pricing Downloads
Kasper Larsen, Halil Mete Soner and Gordan \v{Z}itkovi\'c
2018: Optimal stopping with f -expectations: the irregular case Downloads
Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
2018: Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Downloads
Alexis Bismuth, Olivier Gu\'eant and Jiang Pu
2018: Functional Forms for Tractable Economic Models and the Cost Structure of International Trade Downloads
Michal Fabinger and E. Glen Weyl
2018: Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Blaise Melly and Kaspar W\"uthrich
2018: Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms? Downloads
Kiran Sharma and Anirban Chakraborti
2018: Exact Smooth Term-Structure Estimation Downloads
Damir Filipovi\'c and Sander Willems
2018: Local Parametric Estimation in High Frequency Data Downloads
Yoann Potiron and Per Mykland
2018: Least squares estimation for the subcritical Heston model based on continuous time observations Downloads
Matyas Barczy, Balazs Nyul and Gyula Pap
2018: The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients Downloads
Hyong-chol O, Song-gon Jang, Il-Gwang Jon, Mun-Chol Kim, Gyong-Ryol Kim and Hak-Yong Kim
2018: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices Downloads
Erhan Bayraktar and Xiang Yu
2018: Conditional Quantile Processes based on Series or Many Regressors Downloads
Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Iv\'an Fern\'andez-Val
2018: "Quantum Equilibrium-Disequilibrium": Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons Downloads
Igor Halperin and Matthew Dixon
2018: Trend without hiccups: a Kalman filter approach Downloads
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2018: An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers Downloads
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2018: The role of industry, occupation, and location specific knowledge in the survival of new firms Downloads
C. Jara-Figueroa, Bogang Jun, Edward Glaeser and Cesar Hidalgo
2018: Adaptive l1-regularization for short-selling control in portfolio selection Downloads
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2018: A Theory of Dichotomous Valuation with Applications to Variable Selection Downloads
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2018: Strict strategy-proofness Downloads
Matteo Escud\'e and Ludvig Sinander
2018: On the Unbiased Asymptotic Normality of Quantile Regression with Fixed Effects Downloads
Antonio F. Galvao, Jiaying Gu and Stanislav Volgushev
2018: A critique of the econometrics of happiness: Are we underestimating the returns to education and income? Downloads
Christopher P Barrington-Leigh
2018: Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities Downloads
Franti\v{s}ek \v{C}ech and Jozef Barun\'ik
2018: Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model Downloads
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
2018: Modeling joint probability distribution of yield curve parameters Downloads
Jarek Duda and Ma{\l}gorzata Snarska
2018: Shortfall Minimization for Game Options in Discrete Time Downloads
Yuri Kifer
2018: Preference Identification Downloads
Christopher Chambers, Federico Echenique and Nicolas S. Lambert
2018: Explaining Parochialism: A Causal Account for Political Polarization in Changing Economic Environments Downloads
Alexander J. Stewart, Nolan McCarty and Joanna J. Bryson
2018: Local Linear Forests Downloads
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2018: A factor-model approach for correlation scenarios and correlation stress-testing Downloads
Natalie Packham and Fabian Woebbeking
2018: Banking Stability System: Does it Matter if the Rate of Return is Fixed or Stochastic? Downloads
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2018: Corrected XVA Modelling Framework and Formulae for KVA and MVA Downloads
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2018: Combined Mutiplicative-Heston Model for Stochastic Volatility Downloads
M. Dashti Moghaddam and R. A. Serota
2018: Scalar multivariate risk measures with a single eligible asset Downloads
Zachary Feinstein and Birgit Rudloff
2018: Investigating Wheat Price with a Multi-Agent Model Downloads
Gianfranco Giulioni, Edmondo Di Giuseppe, Massimiliano Pasqui, Piero Toscano and Francesco Miglietta
2018: A maximum entropy network reconstruction of macroeconomic models Downloads
Aur\'elien Hazan
2018: Two-Step Estimation and Inference with Possibly Many Included Covariates Downloads
Matias D. Cattaneo, Michael Jansson and Xinwei Ma
2018: A Collaborative Approach to Angel and Venture Capital Investment Recommendations Downloads
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2018: Betas, Benchmarks and Beating the Market Downloads
Zura Kakushadze and Willie Yu
2018: Hospitality Students' Perceptions towards Working in Hotels: a case study of the faculty of tourism and hotels in Alexandria University Downloads
Sayed El-Houshy
2018: Towards equation of state for a market: A thermodynamical paradigm of economics Downloads
Burin Gumjudpai
2018: Apologia Pro Vita Sua: The Vanishing of the White Whale in the Mists Downloads
Martin Shubik
2018: CAP and Monetary Policy Downloads
Carl Duisberg
2018: Entropy Analysis of Financial Time Series Downloads
Stephan Schwill
2018: Utility maximization for L{\'e}vy switching models Downloads
Lioudmila Vostrikova and Yuchao Dong
2018: Atomic Swaptions: Cryptocurrency Derivatives Downloads
James A. Liu
2018: Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models Downloads
Bal\'azs Csan\'ad Cs\'aji
2018: Liquidity in Competitive Dealer Markets Downloads
Peter Bank, Ibrahim Ekren and Johannes Muhle-Karbe
2018: Backward SDEs for Control with Partial Information Downloads
Andrew Papanicolaou
2018: EMU and ECB Conflicts Downloads
William Mackenzie
2018: Optimal Dividend of Compound Poisson Process under a Stochastic Interest Rate Downloads
Linlin Tian and Xiaoyi Zhang
2018: Self-regulation promotes cooperation in social networks Downloads
Dario Madeo and Chiara Mocenni
2018: Stability in EMU Downloads
Theo Peeters
2018: Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016 Downloads
Abdolrahman Khoshrou and Eric J. Pauwels
2018: Take a Look Around: Using Street View and Satellite Images to Estimate House Prices Downloads
Stephen Law, Brooks Paige and Chris Russell
2018: A New Index of Human Capital to Predict Economic Growth Downloads
Henry Laverde, Juan C. Correa and Klaus Jaffe
2018: Disentangling and quantifying market participant volatility contributions Downloads
Marcello Rambaldi, Emmanuel Bacry and Jean-Fran\c{c}ois Muzy
2018: Cross Validation Based Model Selection via Generalized Method of Moments Downloads
Junpei Komiyama and Hajime Shimao
2018: Quantile-Regression Inference With Adaptive Control of Size Downloads
Juan Carlos Escanciano and Chuan Goh
2018: A unifying approach to constrained and unconstrained optimal reinsurance Downloads
Yuxia Huang and Chuancun Yin
2018: News-based trading strategies Downloads
Stefan Feuerriegel and Helmut Prendinger
2018: Customer Sharing in Economic Networks with Costs Downloads
Bin Li, Dong Hao, Dengji Zhao and Tao Zhou
2018: Pink Work: Same-Sex Marriage, Employment and Discrimination Downloads
Dario Sansone
2018: Analysis of Advisor Portfolio using Multivariate Time Series and Cosine Similarity Downloads
Gayatri Pradhan
2018: Log-optimal portfolio without NFLVR: existence, complete characterization, and duality Downloads
Tahir Choulli and Sina Yansori
2018: Limit Theorems for Factor Models Downloads
Stanislav Anatolyev and Anna Mikusheva
2018: A Mathematical Model for Optimal Decisions in a Representative Democracy Downloads
Malik Magdon-Ismail and Lirong Xia
2018: Hedging with transient price impact for non-covered and covered options Downloads
Dirk Becherer and Todor Bilarev
2018: Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors Downloads
Vladimir Soloviev and Andrey Belinskiy
2018: Forecasting market states Downloads
Pier Francesco Procacci and Tomaso Aste
2018: Portfolio Optimization with Nondominated Priors and Unbounded Parameters Downloads
Kerem Ugurlu
2018: A Simple and Efficient Estimation of the Average Treatment Effect in the Presence of Unmeasured Confounders Downloads
Chunrong Ai, Lukang Huang and Zheng Zhang
2018: Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching Downloads
Lijun Bo, Huafu Liao and Yongjin Wang
2018: Nearly Optimal Pricing Algorithms for Production Constrained and Laminar Bayesian Selection Downloads
Nima Anari, Rad Niazadeh, Amin Saberi and Ali Shameli
2018: Arbitrage-Free Pricing of Game Options in Nonlinear Markets Downloads
Tianyang Nie, Edward Kim and Marek Rutkowski
2018: On the optimal choice of strike conventions in exchange option pricing Downloads
Elisa Al\`os and Michael Coulon
2018: Characterizing Cryptocurrency market with Levy's stable distributions Downloads
Shinji Kakinaka and Ken Umeno
2018: Markets Beyond Nash Welfare for Leontief Utilities Downloads
Ashish Goel, Reyna Hulett and Benjamin Plaut
2018: At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem Downloads
Sean Ledger and Andreas Sojmark
2018: Emergence of correlations between securities at short time scales Downloads
S. Valeyre, D. S. Grebenkov and S. Aboura
2018: Analysis of a Dynamic Voluntary Contribution Mechanism Public Good Game Downloads
Dmytro Bogatov
2018: Pricing without martingale measure Downloads
Julien Baptiste, Laurence Carassus and Emmanuel L\'epinette
2018: Statistical estimation of superhedging prices Downloads
Jan Obloj and Johannes Wiesel
2018: Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey Downloads
Martin Guth
2018: Factor models with many assets: strong factors, weak factors, and the two-pass procedure Downloads
Stanislav Anatolyev and Anna Mikusheva
2018: Clustering Macroeconomic Time Series Downloads
Iwo Augusty\'nski and Pawe{\l} Lasko\'s-Grabowski
2018: Stochastic Switching Games Downloads
Liangchen Li and Michael Ludkovski
2018: European Option Pricing with Stochastic Volatility models under Parameter Uncertainty Downloads
Samuel N. Cohen and Martin Tegn\'er
2018: Nash equilibrium for risk-averse investors in a market impact game with transient price impact Downloads
Xiangge Luo and Alexander Schied
2018: Probability measure-valued polynomial diffusions Downloads
Christa Cuchiero, Martin Larsson and Sara Svaluto-Ferro
2018: Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting Downloads
Sid Ghoshal and Stephen J. Roberts
2018: Simulation Modelling of Inequality in Cancer Service Access Downloads
Ka C. Chan, Ruth F. G. Williams, Christopher T. Lenard and Terence M. Mills
2018: Cancer Risk Messages: Public Health and Economic Welfare Downloads
Ruth F. G. Williams, Ka C. Chan, Christopher T. Lenard and Terence M. Mills
2018: Cancer Risk Messages: A Light Bulb Model Downloads
Ka C. Chan, Ruth F. G. Williams, Christopher T. Lenard and Terence M. Mills
2018: Transaction costs and institutional change of trade litigations in Bulgaria Downloads
Shteryo Nozharov and Petya Koralova-Nozharova
2018: Emergence of frustration signals systemic risk Downloads
Chandrashekar Kuyyamudi, Anindya S. Chakrabarti and Sitabhra Sinha
2018: Measurement Errors as Bad Leverage Points Downloads
Eric Blankmeyer
2018: Financial Trading as a Game: A Deep Reinforcement Learning Approach Downloads
Chien Yi Huang
2018: Capital Regulation under Price Impacts and Dynamic Financial Contagion Downloads
Zachary Feinstein
2018: EPIC: Welfare Maximization under Economically Postulated Independent Cascade Model Downloads
Prithu Banerjee, Wei Chen and Laks V. S. Lakshmanan
2018: A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework Downloads
Chao Wang, Richard Gerlach and Qian Chen
2018: Autoregressive Wild Bootstrap Inference for Nonparametric Trends Downloads
Marina Friedrich, Stephan Smeekes and Jean-Pierre Urbain
2018: State-Varying Factor Models of Large Dimensions Downloads
Markus Pelger and Ruoxuan Xiong
2018: Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price Downloads
Jian Sun
2018: Mean field systems on networks, with singular interaction through hitting times Downloads
Sergey Nadtochiy and Mykhaylo Shkolnikov
2018: Bring a friend! Privately or Publicly? Downloads
Elias Carroni, Paolo Pin and Simone Righi
2018: Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes Downloads
Marco Piccirilli and Tiziano Vargiolu
2018: Directed Continuous-Time Random Walk with memory Downloads
Jaros{\l}aw Klamut and Tomasz Gubiec
2018: Systems of infinite horizon and ergodic BSDE arising in regime switching forward performance processes Downloads
Ying Hu, Gechun Liang and Shanjian Tang
2018: Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency Downloads
Ken Seng Tan, Wei Wei and Xun Yu Zhou
2018: Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns Downloads
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
2018: On the Identifying Content of Instrument Monotonicity Downloads
Vishal Kamat
2018: Indirect inference through prediction Downloads
Ernesto Carrella, Richard M. Bailey and Jens Koed Madsen
2018: Trading Cointegrated Assets with Price Impact Downloads
Alvaro Cartea, Luhui Gan and Sebastian Jaimungal
2018: Optimal investment and consumption with forward preferences and uncertain parameters Downloads
Wing Fung Chong and Gechun Liang
2018: Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions Downloads
Damien Challet
2018: Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift Downloads
J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2018: Stochastic model specification in Markov switching vector error correction models Downloads
Florian Huber, Michael Pfarrhofer and Thomas O. Z\"orner
2018: Maastricht and Monetary Cooperation Downloads
Chris Kirrane
2018: The Bretton Woods Experience and ERM Downloads
Chris Kirrane
2018: A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts Downloads
Hovik Tumasyan
2018: Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios Downloads
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya and Wofgang Schmid
2018: Is VIX still the investor fear gauge? Evidence for the US and BRIC markets Downloads
Marco Neffelli and Marina Resta
2018: Orthogonal Random Forest for Heterogeneous Treatment Effect Estimation Downloads
Miruna Oprescu, Vasilis Syrgkanis and Zhiwei Steven Wu
2018: Asset Price Bubbles: An Option-based Indicator Downloads
Petteri Piiroinen, Lassi Roininen, Tobias Schoden and Martin Simon
2018: Utility maximization with proportional transaction costs under model uncertainty Downloads
Shuoqing Deng, Xiaolu Tan and Xiang Yu
2018: Improving Value-at-Risk prediction under model uncertainty Downloads
Shige Peng, Shuzhen Yang and Jianfeng Yao
2018: Arbitrage-free pricing of American options in nonlinear markets Downloads
Edward Kim, Tianyang Nie and Marek Rutkowski
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: High Dimensional Estimation and Multi-Factor Models Downloads
Liao Zhu, Sumanta Basu, Robert Jarrow and Martin T. Wells
2018: Planetary boundaries of consumption growth: Declining social discount rates Downloads
Victor E. Gluzberg and Yuri A. Katz
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: From Bitcoin to Bitcoin Cash: a network analysis Downloads
Marco Alberto Javarone and Craig Steven Wright
2018: Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning Downloads
Daniel Kinn
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: 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: Kinetic models for optimal control of wealth inequalities Downloads
Bertram D\"uring, Lorenzo Pareschi and Giuseppe Toscani
2018: On the solution of the variational optimisation in the rational inattention framework Downloads
Nigar Hashimzade
2018: Asset Price Volatility and Price Extrema Downloads
Carey Caginalp and Gunduz Caginalp
2018: Calibration for Weak Variance-Alpha-Gamma Processes Downloads
Boris Buchmann, Kevin W. Lu and Dilip B. Madan
2018: Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series Downloads
Ruben Loaiza-Maya and Michael Stanley Smith
2018: Economic Complexity Unfolded: Interpretable Model for the Productive Structure of Economies Downloads
Zoran Utkovski, Melanie F. Pradier, Viktor Stojkoski, Fernando Perez-Cruz and Ljupco Kocarev
2018: Estimation Considerations in Contextual Bandits Downloads
Maria Dimakopoulou, Susan Athey and Guido Imbens
2018: SHOPPER: A Probabilistic Model of Consumer Choice with Substitutes and Complements Downloads
Francisco J. R. Ruiz, Susan Athey and David M. Blei
2018: Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors Downloads
Daniel Kosiorowski, Dominik Mielczarek and Jerzy P. Rydlewski
2018: Analytic approach to variance optimization under an $\ell_1$ constraint Downloads
Imre Kondor, G\'abor Papp and Fabio Caccioli
2018: On the free boundary of an annuity purchase Downloads
Tiziano De Angelis and Gabriele Stabile
2018: Viability and Arbitrage under Knightian Uncertainty Downloads
Matteo Burzoni, Frank Riedel and H. Mete Soner
2018: Exponential utility maximization and indifference valuation with unbounded payoffs Downloads
Ying Hu, Gechun Liang and Shanjian Tang
2018: Picking Winners: A Data Driven Approach to Evaluating the Quality of Startup Companies Downloads
David Scott Hunter, Ajay Saini and Tauhid Zaman
2018: Social Integration in Two-Sided Matching Markets Downloads
Josue Ortega
2018: Minimum R\'enyi Entropy Portfolios Downloads
Nathan Lassance and Fr\'ed\'eric Vrins
2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers Downloads
Masaaki Fujii and Akihiko Takahashi
2018: Multi-unit Assignment under Dichotomous Preferences Downloads
Josue Ortega
2018: Stochastic control on the half-line and applications to the optimal dividend/consumption problem Downloads
Dariusz Zawisza
2018: Network Structure and Naive Sequential Learning Downloads
Krishna Dasaratha and Kevin He
2018: Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading Downloads
Dmitry Muravey
2018: Optimal shrinkage-based portfolio selection in high dimensions Downloads
Taras Bodnar, Yarema Okhrin and Nestor Parolya
2018: Optimal Shrinkage Estimator for High-Dimensional Mean Vector Downloads
Taras Bodnar, Ostap Okhrin and Nestor Parolya
2018: Statistically validated lead-lag networks and inventory prediction in the foreign exchange market Downloads
Damien Challet, R\'emy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
2018: Fixed-Effect Regressions on Network Data Downloads
Koen Jochmans and Martin Weidner
2018: Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models Downloads
Florian Huber, Gregor Kastner and Martin Feldkircher
2018: On the time consistency of collective preferences Downloads
Luis Alcalá
2018: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes Downloads
Sid Ghoshal and Stephen Roberts
2018: Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization Downloads
G\'abor Papp, Fabio Caccioli and Imre Kondor
2018: A Simple Measure of Economic Complexity Downloads
Sabiou Inoua
2018: Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction Downloads
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
2018: The False Premises and Promises of Bitcoin Downloads
Brian P. Hanley
2018: Key Borrowers Detection by Long-Range Interactions Downloads
Fuad Aleskerov, Natalia Meshcheryakova, Alisa Nikitina and Sergey Shvydun
2018: SME investment best strategies. Outliers for assessing how to optimize performance Downloads
Marcel Ausloos, Roy Cerqueti, Francesca Bartolacci and Nicola G. Castellano
2018: Investigating the configurations in cross-shareholding: a joint copula-entropy approach Downloads
Roy Cerqueti, Giulia Rotundo and Marcel Ausloos
2018: Subvector Inference in Partially Identified Models with Many Moment Inequalities Downloads
Alexandre Belloni, Federico Bugni and Victor Chernozhukov
2018: Herding behavior in cryptocurrency markets Downloads
Obryan Poyser
2018: On The Ruin Problem With Investment When The Risky Asset Is A Semimartingale Downloads
Lioudmila Vostrikova and J\'er\^ome Spielmann
2018: Time consistency of the mean-risk problem Downloads
Gabriela Kovacova and Birgit Rudloff
2018: Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011 Downloads
Marcel Ausloos, Roy Cerqueti and Tariq A. Mir
2018: Quantitative analysis on the disparity of regional economic development in China and its evolution from 1952 to 2000 Downloads
Jianhua Xu, Nanshan Ai, Yan Lu, Yong Chen, Yiying Ling and Wenze Yue
2018: What is Wrong with Net Promoter Score Downloads
Nicholas I Fisher and Raymond E Kordupleski
2018: Two Examples of Convex-Programming-Based High-Dimensional Econometric Estimators Downloads
Zhan Gao and Zhentao Shi
2018: Fund Characteristics and Performances of Socially Responsible Mutual Funds: Do ESG Ratings Play a Role? Downloads
Swarn Chatterjee
2018: Point-identification in multivariate nonseparable triangular models Downloads
Florian Gunsilius
2018: Testability of the exclusion restriction in continuous instrumental variable models Downloads
Florian Gunsilius
2018: Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots Downloads
Bo Zhou, Ramon van den Akker and Bas J. M. Werker
2018: Exit problem as the generalized solution of Dirichlet problem Downloads
Yuecai Han, Qingshuo Song and Gu Wang
2018: Optimal periodic replenishment policies for spectrally positive L\'evy demand processes Downloads
Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Alain Bensoussan
2018: What Makes An Asset Useful? Downloads
Yves-Laurent Kom Samo and Dieter Hendricks
2018: Critical slowing down associated with critical transition and risk of collapse in cryptocurrency Downloads
Chengyi Tu, Paolo DOdorico and Samir Suweis
2018: The transmission of uncertainty shocks on income inequality: State-level evidence from the United States Downloads
Manfred 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: Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor Downloads
Will Hicks
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: 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: 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: 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: 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: 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
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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 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: 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: 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: 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: Stability results for martingale representations: the general case Downloads
Antonis Papapantoleon, Dylan Possamai and Alexandros Saplaouras
2018: A rational decentralized generalized Nash equilibrium seeking for energy markets Downloads
Lorenzo Nespoli, Matteo Salani and Vasco Medici
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: A Markov Chain Model for the Cure Rate of Non-Performing Loans Downloads
Vilislav Boutchaktchiev
2018: Modeling the residential electricity consumption within a restructured power market Downloads
Chelsea Sun
2018: Identification in Nonparametric Models for Dynamic Treatment Effects Downloads
Sukjin Han
2018: Nonlinearity in stock networks Downloads
David Hartman and Jaroslav Hlinka
2018: Bi-Demographic Changes and Current Account using SVAR Modeling Downloads
Hassan Ghassan, Hassan R. Al-Hajhoj and Faruk Balli
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: An ontological investigation of unimaginable events Downloads
Thomas Santoli and Christoph Siebenbrunner
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: Discovering Bayesian Market Views for Intelligent Asset Allocation Downloads
Frank Z. Xing, Erik Cambria, Lorenzo Malandri and Carlo Vercellis
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: Implications of macroeconomic volatility in the Euro area Downloads
Niko Hauzenberger, Maximilian B\"ock, Michael Pfarrhofer, Anna Stelzer and Gregor Zens
2018: Deep Learning for Forecasting Stock Returns in the Cross-Section Downloads
Masaya Abe and Hideki Nakayama
2018: Quasi-Oracle Estimation of Heterogeneous Treatment Effects Downloads
Xinkun Nie and Stefan Wager
2018: On monitoring development indicators using high resolution satellite images Downloads
Potnuru Kishen Suraj, Ankesh Gupta, Makkunda Sharma, Sourabh Bikas Paul and Subhashis Banerjee
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: 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: Local Volatility Calibration by Optimal Transport Downloads
Ivan Guo, Gr\'egoire Loeper and Shiyi Wang
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: 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
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: Local risk-minimization with multiple assets under illiquidity with applications in energy markets Downloads
Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
2018: Sparse Bayesian vector autoregressions in huge dimensions Downloads
Gregor Kastner and Florian Huber
2018: Incorporating Signals into Optimal Trading Downloads
Charles-Albert Lehalle and Eyal Neuman
2018: Mean field and n-agent games for optimal investment under relative performance criteria Downloads
Daniel Lacker and Thaleia Zariphopoulou
2018: Incorporating statistical model error into the calculation of acceptability prices of contingent claims Downloads
Martin Glanzer, Georg Ch. Pflug and Alois Pichler
2018: Obligations with Physical Delivery in a Multi-Layered Financial Network Downloads
Zachary Feinstein
2018: Learning and Type Compatibility in Signaling Games Downloads
Drew Fudenberg and Kevin He
2018: Efficient asymptotic variance reduction when estimating volatility in high frequency data Downloads
Simon Clinet and Yoann Potiron
2018: How much market making does a market need? Downloads
V\'it Per\v{z}ina and Jan M. Swart
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: 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: 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: Unravelling Airbnb Predicting Price for New Listing Downloads
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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: 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: 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 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 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: 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: 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: 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 Rafał Weron
2018: Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions Downloads
William B. Haskell, Wenjie Huang and Huifu Xu
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: 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: 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
Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi
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
Tianyu Ray Li, Anup S. Chamrajnagar, Xander R. Fong, Nicholas R. Rizik and Feng Fu
2018: Quantifying macroeconomic expectations in stock markets using Google Trends 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
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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
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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
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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
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2018: Predictable Forward Performance Processes: The Binomial Case Downloads
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2018: Robust Utility Maximization in Discrete-Time Markets with Friction Downloads
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2018: Epidemics of Liquidity Shortages in Interbank Markets Downloads
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2018: Best Subset Binary Prediction Downloads
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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
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2018: Model-free portfolio theory and its functional master formula Downloads
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2018: The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages Downloads
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2018: A composition between risk and deviation measures Downloads
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2018: A martingale representation theorem and valuation of defaultable securities Downloads
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2018: Trading Networks with Bilateral Contracts Downloads
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2018: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model Downloads
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2018: One trade at a time -- unraveling the Equity Premium Puzzle Downloads
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2018: Symmetric Equilibria in Stochastic Timing Games Downloads
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2018: An evolutionary advantage of cooperation Downloads
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2018: A Data-Driven Approach for Modeling Stochasticity in Oil Market Downloads
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2018: Critical factors and enablers of food quality and safety compliance risk management in the Vietnamese seafood supply chain Downloads
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2018: Are Biotechnology Startups Different? Downloads
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2018: Information Technologies in Public Administration Downloads
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2018: Report for the Edinburgh Tram Inquiry Downloads
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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
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2018: Agents' beliefs and economic regimes polarization in interacting markets Downloads
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2018: Identifying Effects of Multivalued Treatments Downloads
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2018: Interpreting Quantile Independence Downloads
Matthew A. Masten and Alexandre Poirier
2018: Application of Probabilistic Graphical Models in Forecasting Crude Oil Price Downloads
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2018: New HSIC-based tests for independence between two stationary multivariate time series Downloads
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2018: On the complexity of solving a decision problem with flow-depending costs: the case of the IJsselmeer dikes Downloads
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2018: Critical analysis of human progress: Its negative and positive sides in the late-capitalism Downloads
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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
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2018: Optimal Investment and Derivative Demand Under Price Impact Downloads
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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
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2018: Closed-form approximations in derivatives pricing: The Kristensen-Mele approach Downloads
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2018: Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms Downloads
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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: Valuation of contingent convertible catastrophe bonds - the case for equity conversion Downloads
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2018: Empirical Equilibrium Downloads
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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
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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
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2018: Estimating Treatment Effects in Mover Designs Downloads
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2018: Ruin probabilities for two collaborating insurance companies Downloads
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2018: Triggers for cooperative behavior in the thermodynamic limit: a case study in Public goods game Downloads
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2018: Revisiting the thermal and superthermal two-class distribution of incomes: A critical perspective Downloads
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2018: Quantum Blockchain using entanglement in time Downloads
Del Rajan and Matt Visser
2018: Quantifying the Economic Case for Electric Semi-Trucks Downloads
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2018: Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects Downloads
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2018: Spatial risk measures induced by powers of max-stable random fields Downloads
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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
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2018: Distributions of Historic Market Data -- Implied and Realized Volatility Downloads
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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
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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: 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
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2018: An extremal fractional Gaussian with a possible application to option-pricing with skew and smile Downloads
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2018: Corruption-free scheme of entering into contract: mathematical model Downloads
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2018: Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment Downloads
David Lee
2018: Forex trading and Twitter: Spam, bots, and reputation manipulation Downloads
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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
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2018: Pricing sovereign contingent convertible debt Downloads
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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
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2018: Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular Financial Crisis of 2008 Downloads
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2018: The value of informational arbitrage Downloads
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2018: Adversarial Generalized Method of Moments Downloads
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2018: Spatial risk measures and rate of spatial diversification Downloads
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2018: An Endogenous Mechanism of Business Cycles Downloads
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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
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2018: Generalized Information Ratio Downloads
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2018: Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning Downloads
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2018: Blockchain: Data Malls, Coin Economies and Keyless Payments Downloads
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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: 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: A Game of Random Variables Downloads
Artem Hulko and Mark Whitmeyer
2018: A Random Attention Model Downloads
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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: 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: Unspanned Stochastic Volatility in the Multi-factor CIR Model Downloads
Damir Filipovi\'c, Martin Larsson and Francesco Statti
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: 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 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: 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: 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: 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: 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: 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: Business Cycles in Economics Downloads
Viktor O. Ledenyov and Dimitri O. Ledenyov
2018: Reputation is required for cooperation to emerge in dynamic networks Downloads
Jose A. Cuesta, Carlos Gracia-L\'azaro, Yamir Moreno and Angel S\'anchez
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: 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: 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: 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
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2018: Matching distributions: Recovery of implied physical densities from option prices Downloads
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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
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2018: Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty Downloads
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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
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2018: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation Downloads
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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
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2018: The nested structural organization of the worldwide trade multi-layer network Downloads
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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
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2018: A Term Structure Model for Dividends and Interest Rates Downloads
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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
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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
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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
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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: 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: 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
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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
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2018: Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information Downloads
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2018: Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence? Downloads
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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
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2018: Confidence set for group membership Downloads
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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: 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: Second order approximations for limit order books Downloads
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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: Extended Gini-type measures of risk and variability Downloads
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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: The coordination of centralised and distributed generation Downloads
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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: 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
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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
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2018: Asymptotic distribution of the Markowitz portfolio Downloads
Steven E. Pav
2018: Optimal investment-consumption problem post-retirement with a minimum guarantee Downloads
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2018: Deep Learning for Causal Inference Downloads
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2018: Synthetic Control Methods and Big Data Downloads
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2018: Dimensional Analysis in Economics: A Study of the Neoclassical Economic Growth Model Downloads
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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: 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: 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: 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 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: Knowledge and Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory Downloads
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2018: A General Method for Demand Inversion Downloads
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2018: What is the Sharpe Ratio, and how can everyone get it wrong? Downloads
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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
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2018: Replica Approach for Minimal Investment Risk with Cost Downloads
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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
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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: 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
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2018: The Samuelson Effect and Seasonal Stochastic Volatility in Agricultural Futures Markets Downloads
Lorenz Schneider and Bertrand Tavin
2018: Promoting cooperation by reputation-driven group formation Downloads
Han-Xin Yang and Zhen Wang
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: 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: How fragile are information cascades? Downloads
Yuval Peres, Miklos Z. Racz, Allan Sly and Izabella Stuhl
2018: The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes 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: 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
Eleonora Granziera, Hyungsik Roger Moon and Frank Schorfheide
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
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: 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
Kei Noba, Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Kouji Yano
2018: Smoothed GMM for quantile models Downloads
Luciano de Castro, Antonio F. Galvao, David Kaplan and Xin Liu
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
Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen
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: 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
Nicol\'as Hern\'andez Santib\'a\~nez, Dylan Possama\"i and Chao Zhou
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: 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
Cornelis S. L. de Graaf, Drona Kandhai and Christoph Reisinger
2018: On the American swaption in the linear-rational framework Downloads
Damir Filipovic and Yerkin Kitapbayev
2018: Frequentist size of Bayesian inequality tests Downloads
David Kaplan and Longhao Zhuo
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: 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
Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette
2018: Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns Downloads
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Chen, Wei Zhang and Wei-Xing Zhou
2018: Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations 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: Social learning equilibria Downloads
Elchanan Mossel, Manuel Mueller-Frank, Allan Sly and Omer Tamuz
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: 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
Young Shin Kim
2018: A representative agent model based on risk-neutral prices Downloads
Hyungbin Park
2018: Greedy Algorithms for Maximizing Nash Social Welfare Downloads
Siddharth Barman, Sanath Kumar Krishnamurthy and Rohit Vaish
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, Sacha 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: 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: Eliminating the effect of rating bias on reputation systems Downloads
Leilei Wu, Zhuoming Ren, Xiao-Long Ren, Jianlin Zhang and Linyuan L\"u
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: 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: 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: 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: 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: Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists Downloads
Steven D. Moffitt
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
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2018: Some Physics Notions on Monetary Standard Downloads
Tiago Fernandes
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: 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: 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
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: 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: 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: 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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