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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 A. McWalter, Joerg Kienitz and Eckhard Platen
2018: Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information Downloads
Farouq Abdulaziz Masoudy
2018: The Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence? Downloads
Junwen Qiu, Wenjian Liu and Ning Ning
2018: Ranking Causal Influence of Financial Markets via Directed Information Graphs Downloads
Theo Diamandis, Yonathan Murin and Andrea Goldsmith
2018: Testing the Number of Regimes in Markov Regime Switching Models Downloads
Hiroyuki Kasahara and Katsumi Shimotsu
2018: On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets Downloads
Mikl\'os R\'asonyi and Andrea Meireles-Rodrigues
2018: At What Frequency Should the Kelly Bettor Bet? Downloads
Chung-Han Hsieh, B. Ross Barmish and John A. Gubner
2018: A Second Order Cumulant Spectrum Based Test for Strict Stationarity Downloads
Douglas Patterson, Melvin Hinich and Denisa Roberts
2018: Nonfractional Memory: Filtering, Antipersistence, and Forecasting Downloads
J. Eduardo Vera-Vald\'es
2018: Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts Downloads
Andreas Kaloudis and Dimitrios Tsolis
2018: Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity) Downloads
Ricardo Antunes, Daniel Birchal, Jo\~ao M\'arcio Abijaodi, Paulo Abreu and Rog\'erio Peixoto
2018: USDA Forecasts: A meta-analysis study Downloads
Bahram Sanginabadi
2018: Ergodic robust maximization of asymptotic growth Downloads
Constantinos Kardaras and Scott Robertson
2018: Affine forward variance models Downloads
Jim Gatheral and Martin Keller-Ressel
2018: Predicting crypto-currencies using sparse non-Gaussian state space models Downloads
Christian Hotz-Behofsits, Florian Huber and Thomas O. Z\"orner
2018: A Dirichlet Process Mixture Model of Discrete Choice Downloads
Rico Krueger, Akshay Vij and Taha H. Rashidi
2018: A First Option Calibration of the GARCH Diffusion Model by a PDE Method Downloads
Yiannis A. Papadopoulos and Alan L. Lewis
2018: The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios Downloads
Igor Halperin
2018: A closed-form formula for pricing bonds between coupon payments Downloads
Sylvia Gottschalk
2018: Large-Scale Simulation of Multi-Asset Ising Financial Markets Downloads
Tetsuya Takaishi
2018: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank Downloads
Anas Yassine and Abdelmadjid Ibenrissoul
2018: CryptoRuble: From Russia with Love Downloads
Zura Kakushadze and Jim Kyung-Soo Liew
2018: Evaluating the role of risk networks on risk identification, classification and emergence Downloads
Christos Ellinas, Neil Allan and Caroline Coombe
2018: A subordinated CIR intensity model with application to Wrong-Way risk CVA Downloads
Cheikh Mbaye and Fr\'ed\'eric Vrins
2018: Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models Downloads
Takuji Arai, Yuto Imai and Ryo Nakashima
2018: The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient Downloads
Martin Falcke and V. Nicolai Friedhoff
2018: The Influence of Seed Selection on the Solvency II Ratio Downloads
Quinn Culver, Dennis Heitmann and Christian Wei{\ss}
2018: Shooting Low or High: Do Countries Benefit from Entering Unrelated Activities? Downloads
Fl\'avio L. Pinheiro, Aamena Alshamsi, Dominik Hartmann, Ron Boschma and C\'esar Hidalgo
2018: Censored Quantile Instrumental Variable Estimation with Stata Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Sukjin Han and Amanda Kowalski
2018: Social Network based Short-Term Stock Trading System Downloads
Paolo Cremonesi, Chiara Francalanci, Alessandro Poli, Roberto Pagano, Luca Mazzoni, Alberto Maggioni and Mehdi Elahi
2018: Greedy algorithms and Zipf laws Downloads
Jos\'e Moran and Jean-Philippe Bouchaud
2018: Panel Data Quantile Regression with Grouped Fixed Effects Downloads
Jiaying Gu and Stanislav Volgushev
2018: Consistent Valuation Across Curves Using Pricing Kernels Downloads
Andrea Macrina and Obeid Mahomed
2018: Characterizing Assumption of Rationality by Incomplete Information Downloads
Shuige Liu
2018: Heterogeneous structural breaks in panel data models Downloads
Ryo Okui and Wendun Wang
2018: Irreversible investment with fixed adjustment costs: a stochastic impulse control approach Downloads
Salvatore Federico, Mauro Rosestolato and Elisa Tacconi
2018: Coexistence of several currencies in presence of increasing returns to adoption Downloads
Alex Lamarche-Perrin, Andr\'e Orl\'ean and Pablo Jensen
2018: Regression Based Expected Shortfall Backtesting Downloads
Sebastian Bayer and Timo Dimitriadis
2018: Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present Downloads
N. Packham
2018: Asymptotic Static Hedge via Symmetrization Downloads
Jiro Akahori, Flavia Barsotti and Yuri Imamura
2018: Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function? Downloads
Patrick Kofod Mogensen
2018: From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$) Downloads
Libo Li
2018: Viable Insider Markets Downloads
Olfa Draouil and Bernt {\O}ksendal
2018: The time interpretation of expected utility theory Downloads
Ole Peters and Alexander Adamou
2018: Is there a housing bubble in China Downloads
Tianhao Zhi, Zhongfei Li, Zhiqiang Jiang, Lijian Wei and Didier Sornette
2018: Robust martingale selection problem and its connections to the no-arbitrage theory Downloads
Matteo Burzoni and Mario Sikic
2018: Generative Models for Stochastic Processes Using Convolutional Neural Networks Downloads
Fernando Fernandes Neto
2018: Sales forecasting and risk management under uncertainty in the media industry Downloads
V\'ictor Gallego, Pablo Angulo, Pablo Su\'arez-Garc\'ia and David G\'omez-Ullate
2018: Predict Forex Trend via Convolutional Neural Networks Downloads
Yun-Cheng Tsai, Jun-Hao Chen and Jun-Jie Wang
2018: On a Constructive Theory of Markets Downloads
Steven D. Moffitt
2018: Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design Downloads
Steven D. Moffitt and William T. Ziemba
2018: A Method for Winning at Lotteries Downloads
Steven D. Moffitt and William T. Ziemba
2018: A time change strategy to model reporting delay dynamics in claims reserving Downloads
Jonas Crevecoeur, Katrien Antonio and Roel Verbelen
2018: Implications of Macroeconomic Volatility in the Euro Area Downloads
Niko Hauzenberger, Maximilian B\"ock, Michael Pfarrhofer, Anna Stelzer and Gregor Zens
2018: Dynamic Pricing and Energy Management Strategy for EV Charging Stations under Uncertainties Downloads
Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Dirichlet Forms and Finite Element Methods for the SABR Model Downloads
Blanka Horvath and Oleg Reichmann
2018: Revealed Price Preference: Theory and Empirical Analysis Downloads
Rahul Deb, Yuichi Kitamura, John K. -H. Quah and Jörg Stoye
2018: Diversification, economies of scope, and exports growth of Chinese firms Downloads
Mercedes Campi, Marco Due\~nas, Le Li and Huabin Wu
2018: A quantitative approach to choose among multiple mutually exclusive decisions: comparative expected utility theory Downloads
Pengyu Zhu
2018: The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis Downloads
Danilo Delpini, Stefano Battiston, Guido Caldarelli and Massimo Riccaboni
2018: A Consumer Behavior Based Approach to Multi-Stage EV Charging Station Placement Downloads
Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Placement of EV Charging Stations --- Balancing Benefits among Multiple Entities Downloads
Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage Downloads
Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Dynamic Clearing and Contagion in Financial Networks Downloads
Tathagata Banerjee, Alex Bernstein and Zachary Feinstein
2018: Bayesian Social Learning in a Dynamic Environment Downloads
Krishna Dasaratha, Benjamin Golub and Nir Hak
2018: Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists Downloads
Steven D. Moffitt
2018: SABCEMM-A Simulation Framework for Agent-Based Computational Economic Market Models Downloads
Torsten Trimborn, Philipp Otte, Simon Cramer, Max Beikirch, Emma Pabich and Martin Frank
2018: Dynamic and granular loss reserving with copulae Downloads
Mat\'u\v{s} Maciak, Ostap Okhrin and Michal Pe\v{s}ta
2018: Deep Learning for Forecasting Stock Returns in the Cross-Section Downloads
Masaya Abe and Hideki Nakayama
2018: Constructing Metropolis-Hastings proposals using damped BFGS updates Downloads
Johan Dahlin, Adrian Wills and Brett Ninness
2018: Expansion formulas for European quanto options in a local volatility FX-LIBOR model Downloads
Julien Hok, Philip Ngare and Antonis Papapantoleon
2018: Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration Downloads
Angelica Gianfreda, Francesco Ravazzolo and Luca Rossini
2018: Simple Explicit Formula for Near-Optimal Stochastic Lifestyling Downloads
Ale\v{s} \v{C}ern\'y and Igor Melicher\v{c}\'ik
2018: A New Wald Test for Hypothesis Testing Based on MCMC outputs Downloads
Yong Li, Xiaobin Liu, Jun Yu and Tao Zeng
2018: Complexity Theory, Game Theory, and Economics Downloads
Tim Roughgarden
2018: A novel improved fuzzy support vector machine based stock price trend forecast model Downloads
Shuheng Wang, Guohao Li and Yifan Bao
2018: Exploiting Investors Social Network for Stock Prediction in China's Market Downloads
Xi Zhang, Jiawei Shi, Di Wang and Binxing Fang
2018: Improving Stock Market Prediction via Heterogeneous Information Fusion Downloads
Xi Zhang, Yunjia Zhang, Senzhang Wang, Yuntao Yao, Binxing Fang and Philip S. Yu
2018: Pricing variance swaps under Levy process with stochastic volatility and CIR interest rate Downloads
Ben-zhang Yang, Jia Yue and Nan-jing Huang
2018: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls Downloads
Victor Chernozhukov, Kaspar Wüthrich and Yinchu Zhu
2018: The Parable of the Fruit Sellers Or, A Game of Random Variables Downloads
Artem Hulko and Mark Whitmeyer
2018: Risk Sensitive Portfolio Optimization with Regime-Switching Downloads
Lijun Bo, Huafu Liao and Xiang Yu
2018: Set Identified Dynamic Economies and Robustness to Misspecification Downloads
Andreas Tryphonides
2018: Quantum Bounds for Option Prices Downloads
Paul McCloud
2018: Some Physics Notions on Monetary Standard Downloads
Tiago Fernandes
2018: On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models Downloads
Masahiko Egami and Rusudan Kevkhishvili
2018: Towards a new paradigm for mathematical modelling of growth Downloads
Roman G. Smirnov and Kunpeng Wang
2018: Optimizing S-shaped utility and implications for risk management Downloads
John Armstrong and Damiano Brigo
2018: Large deviation principle for Volterra type fractional stochastic volatility models Downloads
Archil Gulisashvili
2018: On the quadratic variation of the model-free price paths with jumps Downloads
Lesiba. Ch. Galane, Rafa{\l} M. {\L}ochowski and Farai J. Mhlanga
2018: 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: 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: Pathwise large deviations for the Rough Bergomi model Downloads
Antoine Jacquier, Mikko S. Pakkanen and Henry Stone
2018: Principal-Agent Problem with Common Agency without Communication Downloads
Thibaut Mastrolia and Zhenjie Ren
2018: Optimal sequential treatment allocation Downloads
Anders Kock and Martin Thyrsgaard
2018: 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: Stability for gains from large investors' strategies in M1/J1 topologies Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
2018: A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing Downloads
Johannes Muhle-Karbe and Marcel Nutz
2018: Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities Downloads
Jos\'e-Luis P\'erez and Kazutoshi Yamazaki
2018: Dependent Defaults and Losses with Factor Copula Models Downloads
Damien Ackerer and Thibault Vatter
2018: Optimal Population in a Finite Horizon Downloads
Satoshi Nakano and Kazuhiko Nishimura
2018: A New Approach To Time Varying Parameters in Vector Autoregressive Models Downloads
Florian Huber, Gregor Kastner and Martin Feldkircher
2018: 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: 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: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes Downloads
Milan Kumar Das, Anindya Goswami and Nimit Rana
2018: Optimal investment and consumption with liquid and illiquid assets Downloads
Jin Hyuk Choi
2018: Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps Downloads
Damiano Brigo, Nicola Pede and Andrea Petrelli
2018: 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: 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
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