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2019: Neural networks for option pricing and hedging: a literature review Downloads
Johannes Ruf and Weiguan Wang
2019: Bounds on Multi-asset Derivatives via Neural Networks Downloads
Luca De Gennaro Aquino and Carole Bernard
2019: Quantization-based Bermudan option pricing in the $FX$ world Downloads
Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes and Gilles Pag\`es
2019: How do scientific disciplines evolve in applied sciences? The properties of scientific fission and ambidextrous scientific drivers Downloads
Mario Coccia
2019: Context-aware Dynamic Assets Selection for Online Portfolio Selection based on Contextual Bandit Downloads
Mengying Zhu, Xiaolin Zheng, Yan Wang, Yuyuan Li and Qianqiao Liang
2019: Randomization tests of copula symmetry Downloads
Brendan K. Beare and Juwon Seo
2019: Beveridgean Unemployment Gap Downloads
Pascal Michaillat and Emmanuel Saez
2019: Optical Proof of Work Downloads
Michael Dubrovsky, Marshall Ball and Bogdan Penkovsky
2019: A two-player price impact game Downloads
Moritz Vo{\ss}
2019: An Unethical Optimization Principle Downloads
Nicholas Beale, Heather Battey, Anthony C. Davison and Robert S. MacKay
2019: Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach Downloads
Yu Zheng, Bowei Chen, Timothy M. Hospedales and Yongxin Yang
2019: Analytical solution of $k$th price auction Downloads
Martin Mihelich and Yan Shu
2019: Deviations from Zipf's law contain more information than Zipf's law itself Downloads
Giordano De Marzo, Andrea Gabrielli, Andrea Zaccaria and Luciano Pietronero
2019: A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions Downloads
Liang Chen and Yulong Huo
2019: Extended MinP Tests of Multiple Hypotheses Downloads
Zeng-Hua Lu
2019: Identification and inference in discrete choice models with imperfect information Downloads
Cristina Gualdani and Shruti Sinha
2019: Making Good on LSTMs Unfulfilled Promise Downloads
Daniel Philps, Artur d'Avila Garcez and Tillman Weyde
2019: A path-based many-to-many assignment game to model Mobility-as-a-Service market networks Downloads
Theodoros Pantelidis, Saeid Rasulkhani and Joseph Y. J. Chow
2019: Optimal partitions and Semi-discrete optimal transport Downloads
Gershon Wolansky
2019: Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem Downloads
Torben Koch and Tiziano Vargiolu
2019: Quantitative earnings enhancement from share buybacks Downloads
Lawrence Middleton, James Dodd and Graham Baird
2019: A post hoc test on the Sharpe ratio Downloads
Steven Pav
2019: Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market Downloads
Akihiko Noda
2019: An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation Downloads
Yixiao Sun and Xuexin Wang
2019: Optimal Experimental Design for Staggered Rollouts Downloads
Ruoxuan Xiong, Susan Athey, Mohsen Bayati and Guido Imbens
2019: Tit-for-Tat Dynamics and Market Volatility Downloads
Simina Br\^anzei
2019: Relation between Blomqvist's beta and other measures of concordance of 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}
2019: An analysis of Uniswap markets Downloads
Guillermo Angeris, Hsien-Tang Kao, Rei Chiang, Charlie Noyes and Tarun Chitra
2019: Dual Representation of Expectile based Expected Shortfall and Its Properties Downloads
Samuel Drapeau and Mekonnen Tadese
2019: Dynamic Influence on Replicator Evolution for the Propagation of Competing Technologies Downloads
Elijah D. Bolluyt and Cristina Comaniciu
2019: Behavioral Equivalence of Extensive Game Structures Downloads
Pierpaolo Battigalli, Paolo Leonetti and Fabio Maccheroni
2019: Multiple yield curve modelling with CBI processes Downloads
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
2019: Group Average Treatment Effects for Observational Studies Downloads
Daniel Jacob, Wolfgang Karl H\"ardle and Stefan Lessmann
2019: Relative Maximum Likelihood Updating of Ambiguous Beliefs Downloads
Xiaoyu Cheng
2019: Infinite dimensional polynomial processes Downloads
Christa Cuchiero and Sara Svaluto-Ferro
2019: Deep Learning for Stock Selection Based on High Frequency Price-Volume Data Downloads
Junming Yang, Yaoqi Li, Xuanyu Chen, Jiahang Cao and Kangkang Jiang
2019: Scaling in Income Inequalities and its Dynamical Origin Downloads
Zoltan Neda, Istvan Gere, Tamas S. Biro, Geza Toth and Noemi Derzsy
2019: Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction Downloads
Jaros{\l}aw Duda, Robert Syrek and Henryk Gurgul
2019: Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences Downloads
John Armstrong and Cristin Buescu
2019: Acceptability Indices of Performance for Bounded C\`adl\`ag Processes Downloads
Christos E. Kountzakis and Damiano Rossello
2019: The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations Downloads
Richard Y. Chen
2019: A Rational Finance Explanation of the Stock Predictability Puzzle Downloads
Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
2019: Quantile Factor Models Downloads
Liang Chen, Juan Jose Dolado and Jesus Gonzalo
2019: Robo-advising: Learning Investor's Risk Preferences via Portfolio Choices Downloads
Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli and Matt Stern
2019: A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index Downloads
Abootaleb Shirvani and Dimitri Volchenkov
2019: Nonparametric Quantile Regressions for Panel Data Models with Large T Downloads
Liang Chen
2019: Deep Hedging: Learning to Simulate Equity Option Markets Downloads
Magnus Wiese, Lianjun Bai, Ben Wood and Hans Buehler
2019: Engel's law in the commodity composition of exports Downloads
Sung-Gook Choi and Deok-Sun Lee
2019: Personalized Robo-Advising: Enhancing Investment through Client Interaction Downloads
Agostino Capponi, Sveinn Olafsson and Thaleia Zariphopoulou
2019: Bitcoin Coin Selection with Leverage Downloads
Daniel J. Diroff
2019: iCurrency? Downloads
Zura Kakushadze and Willie Yu
2019: Cheating with (Recursive) Models Downloads
Kfir Eliaz, Ran Spiegler and Yair Weiss
2019: The survival of start-ups in time of crisis. A machine learning approach to measure innovation Downloads
Marco Guerzoni, Consuelo R. Nava and Massimiliano Nuccio
2019: The transport-based meshfree method (TMM) and its applications in finance: a review Downloads
Philippe G. LeFloch and Jean-Marc Mercier
2019: Decision Making under Uncertainty: An Experimental Study in Market Settings Downloads
Federico Echenique, Taisuke Imai and Kota Saito
2019: The Reactive Beta Model Downloads
Sebastien Valeyre, Denis S. Grebenkov and Sofiane Aboura
2019: Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options Downloads
Alan Bain, Matthieu Mariapragassam and Christoph Reisinger
2019: Aggregation for potentially infinite populations without continuity or completeness Downloads
David McCarthy, Kalle Mikkola and Teruji Thomas
2019: Do Chinese Internet Users Exist Heterogeneity in Search Behavior? Downloads
Ren-jie Han, Shi-yuan Liu and Qian Li
2019: Model Specification Test with Unlabeled Data: Approach from Covariate Shift Downloads
Masahiro Kato and Hikaru Kawarazaki
2019: A two-dimensional propensity score matching method for longitudinal quasi-experimental studies: A focus on travel behavior and the built environment Downloads
Haotian Zhong, Wei Li and Marlon G. Boarnet
2019: Modeling National Latent Socioeconomic Health and Examination of Policy Effects via Causal Inference Downloads
F. Swen Kuh, Grace S. Chiu and Anton H. Westveld
2019: Explaining black box decisions by Shapley cohort refinement Downloads
Masayoshi Mase, Art B. Owen and Benjamin Seiler
2019: Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives Downloads
Flavia Antonacci, Cristina Costantini, Fernanda D'Ippoliti and Marco Papi
2019: Time discounting under uncertainty Downloads
Lorenzo Bastianello and Jos\'e Heleno Faro
2019: Asset Prices with Investor Protection in Approximate Fractional Economy Downloads
Jia Yue, Ben-Zhang Yang, Ming-Hui Wang and Nan-Jing Huang
2019: Dominantly Truthful Multi-task Peer Prediction with a Constant Number of Tasks Downloads
Yuqing Kong
2019: Regularized Quantile Regression with Interactive Fixed Effects Downloads
Junlong Feng
2019: Random concave functions Downloads
Peter Baxendale and Ting-Kam Leonard Wong
2019: Multilevel evolutionary developmental optimization (MEDO): A theoretical framework for understanding preferences and selection dynamics Downloads
Adam Safron
2019: The Politics of News Personalization Downloads
Lin Hu, Anqi Li and Ilya Segal
2019: Fragmentation of Distributed Exchanges Downloads
Marius Zoican and Sorin Zoican
2019: How well can we learn large factor models without assuming strong factors? Downloads
Yinchu Zhu
2019: Stochastic Orderings of Multivariate Elliptical Distributions Downloads
Chuancun Yin
2019: Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data Downloads
Jushan Bai and Serena Ng
2019: Singular Perturbation Expansion for Utility Maximization with Order-$\epsilon$ Quadratic Transaction Costs Downloads
Andrew Papanicolaou and Shiva Chandra
2019: How Option Hedging Shapes Market Impact Downloads
Emilio Said
2019: Reversals of signal-posterior monotonicity imply a bias of screening Downloads
Sander Heinsalu
2019: Scoring Strategic Agents Downloads
Ian Ball
2019: SortedEffects: Sorted Causal Effects in R Downloads
Shuowen Chen, Victor Chernozhukov, Iv\'an Fern\'andez-Val and Ye Luo
2019: HATS: A Hierarchical Graph Attention Network for Stock Movement Prediction Downloads
Raehyun Kim, Chan Ho So, Minbyul Jeong, Sanghoon Lee, Jinkyu Kim and Jaewoo Kang
2019: Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty Downloads
Fangzhou Xie
2019: Accelerated Share Repurchase and other buyback programs: what neural networks can bring Downloads
Olivier Gu\'eant, Iuliia Manziuk and Jiang Pu
2019: Bayesian Heterogeneity Pursuit Regression Models for Spatially Dependent Data Downloads
Zhihua Ma, Yishu Xue and Guanyu Hu
2019: Branching Particle Pricers with Heston Examples Downloads
Michael A. Kouritzin and Anne MacKay
2019: Policy Targeting under Network Interference Downloads
Davide Viviano
2019: Kernel Instrumental Variable Regression Downloads
Rahul Singh, Maneesh Sahani and Arthur Gretton
2019: Clusters of investors around Initial Public Offering Downloads
Margarita Baltakien\.e, K\k{e}stutis Baltakys, Juho Kanniainen, Dino Pedreschi and Fabrizio Lillo
2019: A Binomial Asset Pricing Model in a Categorical Setting Downloads
Takanori Adachi, Katsushi Nakajima and Yoshihiro Ryu
2019: Boosting: Why You Can Use the HP Filter Downloads
Peter Phillips and Zhentao Shi
2019: Robust Mathematical Formulation of Agent-Based Computational Economic Market Models Downloads
Maximilian Beikirch, Simon Cramer, Martin Frank, Philipp Otte, Emma Pabich and Torsten Trimborn
2019: Martingale Optimal Transport Duality Downloads
Patrick Cheridito, Matti Kiiski, David J. Promel and H. Mete Soner
2019: Robust Principal Component Analysis with Non-Sparse Errors Downloads
Jushan Bai and Junlong Feng
2019: Phase transition in the Bayesian estimation of the default portfolio Downloads
Masato Hisakado and Shintaro Mori
2019: Intensity estimation of transaction arrivals in the intraday electricity market Downloads
Micha{\l} Narajewski and Florian Ziel
2019: Decomposing Changes in the Distribution of Real Hourly Wages in the U.S Downloads
Iv\'an Fern\'andez-Val, Franco Peracchi, Aico van Vuuren and Francis Vella
2019: Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions) Downloads
Christian P. Fries
2019: Modelling information flows by Meyer-$\sigma$-fields in the singular stochastic control problem of irreversible investment Downloads
Peter Bank and David Besslich
2019: A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models Downloads
Ivan Korolev
2019: Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise Downloads
Richard Y. Chen
2019: Pricing of debt and equity in a financial network with comonotonic endowments Downloads
Tathagata Banerjee and Zachary Feinstein
2019: The "power" dimension in a process of exchange Downloads
Alberto Banterle
2019: An alternative quality of life ranking on the basis of remittances Downloads
D\'ora Gr\'eta Petr\'oczy
2019: Critical slowing down associated with critical transition and risk of collapse in cryptocurrency Downloads
Chengyi Tu, Paolo DOdorico and Samir Suweis
2019: Perturbation analysis of sub/super hedging problems Downloads
Sergey Badikov, Mark H. A. Davis and Antoine Jacquier
2019: Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration Downloads
Angelica Gianfreda, Francesco Ravazzolo and Luca Rossini
2019: Identification of hedonic equilibrium and nonseparable simultaneous equations Downloads
Victor Chernozhukov, Alfred Galichon, Marc Henry and Brendan Pass
2019: Sharp bounds and testability of a Roy model of STEM major choices Downloads
Ismael Mourifie, Marc Henry and Romuald Méango
2019: A McKean-Vlasov approach to distributed electricity generation development Downloads
Ren\'e A\"id, Matteo Basei and Huy\^en Pham
2019: Pricing Variance Swaps on Time-Changed Markov Processes Downloads
Peter Carr, Roger Lee and Matthew Lorig
2019: ElecSim: Monte-Carlo Open-Source Agent-Based Model to Inform Policy for Long-Term Electricity Planning Downloads
Alexander J. M. Kell, Matthew Forshaw and A. Stephen McGough
2019: Integration into \'economie-monde and regionalisation of the Central Eastern European space since 1989 Downloads
Natalia Zdanowska
2019: Spatial polarisation within foreign trade and transnational firms' networks. The Case of Central and Eastern Europe Downloads
Natalia Zdanowska
2019: Exploring cities of Central and Eastern Europe within transnational company networks: the core-periphery effect Downloads
Natalia Zdanowska
2019: Option-based Equity Risk Premiums Downloads
Alan L. Lewis
2019: Credit risk with asymmetric information and a switching default threshold Downloads
Imke Redeker and Ralf Wunderlich
2019: Markov Chain Approximation of One-Dimensional Sticky Diffusions Downloads
Christian Meier, Lingfei Li and Gongqiu Zhang
2019: Power Laws without Gibrat's Law Downloads
John Stachurski
2019: Portfolio Optimization with Expectile and Omega Functions Downloads
Alexander Wagner and Stan Uryasev
2019: Costly Verification in Collective Decisions Downloads
Albin Erlanson and Andreas Kleiner
2019: A Classifiers Voting Model for Exit Prediction of Privately Held Companies Downloads
Giuseppe Carlo Calafiore, Marisa Hillary Morales, Vittorio Tiozzo and Serge Marquie
2019: Find what you are looking for: A data-driven covariance matrix estimation Downloads
Sven Husmann, Antoniya Shivarova and Rick Steinert
2019: Michael Milken: The Junk Dealer Downloads
Ravi Kashyap
2019: Rank-size law, financial inequality indices and gain concentrations by cyclist teams. The case of a multiple stage bicycle race, like Tour de France Downloads
Marcel Ausloos
2019: Time-dependent lead-lag relationships between the VIX and VIX futures markets Downloads
Yan-Hong Yang and Ying-Hui Shao
2019: Lying by Omission Downloads
Shaofei Jiang
2019: The Value of Precise Communication in Persuasion Downloads
Eray Turkel and Yunus Aybas
2019: Microscopic Derivation of Mean Field Game Models Downloads
Martin Frank, Michael Herty and Torsten Trimborn
2019: Hipsters and the Cool: A Game Theoretic Analysis of Social Identity, Trends and Fads Downloads
Russell Golman, Aditi Jain and Sonica Saraf
2019: From microscopic price dynamics to multidimensional rough volatility models Downloads
Mehdi Tomas and Mathieu Rosenbaum
2019: Analyzing China's Consumer Price Index Comparatively with that of United States Downloads
Zhenzhong Wang, Yundong Tu and Song Xi Chen
2019: A Self-Exciting Modelling Framework for Forward Prices in Power Markets Downloads
Giorgia Callegaro, Andrea Mazzoran and Carlo Sgarra
2019: Lexicographic Choice Under Variable Capacity Constraints Downloads
Battal Dogan, Serhat Dogan and Kemal Yildiz
2019: Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality Downloads
Olivier Gu\'eant and Iuliia Manziuk
2019: Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market Downloads
Huai-Long Shi and Wei-Xing Zhou
2019: A generalized reserving model: bridging the gap between pricing and individual reserving Downloads
Jonas Crevecoeur and Katrien Antonio
2019: Testing Forecast Rationality for Measures of Central Tendency Downloads
Timo Dimitriadis, Andrew J. Patton and Patrick Schmidt
2019: Robust Contracting in General Contract Spaces Downloads
Julio Backhoff-Veraguas, Patrick Beissner and Ulrich Horst
2019: Using network science to quantify economic disruptions in regional input-output networks Downloads
Emily P. Harvey and Dion R. J. O'Neale
2019: Dual IV: A Single Stage Instrumental Variable Regression Downloads
Krikamol Muandet, Arash Mehrjou, Si Kai Lee and Anant Raj
2019: Deep convolutional autoencoder for cryptocurrency market analysis Downloads
Vladimir Puzyrev
2019: Almost Quasi-linear Utilities in Disguise: Positive-representation An Extension of Roberts' Theorem Downloads
Ilan Nehama
2019: Price mediated contagion through capital ratio requirements Downloads
Tathagata Banerjee and Zachary Feinstein
2019: Estimating a Large Covariance Matrix in Time-varying Factor Models Downloads
Jaeheon Jung
2019: Change of drift in one-dimensional diffusions Downloads
Sascha Desmettre, Gunther Leobacher and L. C. G. Rogers
2019: Sparsity and Stability for Minimum-Variance Portfolios Downloads
Sven Husmann, Antoniya Shivarova and Rick Steinert
2019: Inequality in Turkey: Looking Beyond Growth Downloads
Bayram Cakir and Ipek Ergul
2019: Building social networks under consent: A survey Downloads
Robert P. Gilles
2019: Does car sharing reduce greenhouse gas emissions? Life cycle assessment of the modal shift and lifetime shift rebound effects Downloads
Levon Amatuni, Juudit Ottelin, Bernhard Steubing and Jos\'e Mogollon
2019: The Persuasion Duality Downloads
Piotr Dworczak and Anton Kolotilin
2019: Coalition-structured governance improves cooperation to provide public goods Downloads
V\'itor V. Vasconcelos, Phillip M. Hannam, Simon A. Levin and Jorge M. Pacheco
2019: Necessary and sufficient condition for equilibrium of the Hotelling model on a circle Downloads
Satoshi Hayashi and Naoki Tsuge
2019: Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models Downloads
Niko Hauzenberger, Florian Huber, Gary Koop and Luca Onorante
2019: Convex Relaxation Based Locational Marginal Prices Downloads
Anna Winnicki, Mariola Ndrio and Subhonmesh Bose
2019: Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids Downloads
Nathalie Gimenes and Emmanuel Guerre
2019: Inference of Binary Regime Models with Jump Discontinuities Downloads
Milan Kumar Das, Anindya Goswami and Sharan Rajani
2019: Principal Component Analysis: A Generalized Gini Approach Downloads
Charpentier, Arthur, Mussard, Stephane and Tea Ouraga
2019: Mesoscale impact of trader psychology on stock markets: a multi-agent AI approach Downloads
J. Lussange, S. Palminteri, S. Bourgeois-Gironde and B. Gutkin
2019: The CMMV Pricing Model in Practice Downloads
Bernard De Meyer and Moussa Dabo
2019: Order patterns, their variation and change points in financial time series and Brownian motion Downloads
Christoph Bandt
2019: Adaptive-Aggressive Traders Don't Dominate Downloads
Daniel Snashall and Dave Cliff
2019: The Value of Insider Information for Super--Replication with Quadratic Transaction Costs Downloads
Yan Dolinsky and Jonathan Zouari
2019: Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models Downloads
Matteo Barigozzi and Matteo Luciani
2019: A hybrid stochastic differential reinsurance and investment game with bounded memory Downloads
Yanfei Bai, Zhongbao Zhou, Helu Xiao, Rui Gao and Feimin Zhong
2019: Relative Net Utility and the Saint Petersburg Paradox Downloads
Daniel Muller and Tshilidzi Marwala
2019: CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks Downloads
Gautier Marti
2019: Bounds in continuous instrumental variable models Downloads
Florian Gunsilius
2019: Pricing Mechanism for Resource Sustainability in Competitive Online Learning Multi-Agent Systems Downloads
Ezra Tampubolon and Holger Boche
2019: Conservation Laws in a Limit Order Book Downloads
Jan Rosenzweig
2019: Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis Downloads
Lu Bai, Lixin Cui, Lixiang Xu, Yue Wang, Zhihong Zhang and Edwin R. Hancock
2019: Multi-Stage Compound Real Options Valuation in Residential PV-Battery Investment Downloads
Yiju Ma, Kevin Swandi, Archie Chapman and Gregor Verbic
2019: Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations Downloads
Jushan Bai, Sung Hoon Choi and Yuan Liao
2019: Overcoming Free-Riding in Bandit Games Downloads
Johannes H\"orner, Nicolas Klein and Sven Rady
2019: Robustness of Delta hedging in a jump-diffusion model Downloads
Frank Bosserhoff and Mitja Stadje
2019: Beating the House: Identifying Inefficiencies in Sports Betting Markets Downloads
Sathya Ramesh, Ragib Mostofa, Marco Bornstein and John Dobelman
2019: Nonhedgeable risk and Credit Risk Pricing Downloads
Juan Dong, Lyudmila Korobenko and Deniz Sezer
2019: Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics Downloads
Jeremy Turiel and Tomaso Aste
2019: Econoquantumphysics and econonetwork: do correlations and eigenstates shape the taxonomy of the cryptocurrency market? Downloads
Carlo Requi\~ao da Cunha and Roberto da Silva
2019: A multilevel analysis to systemic exposure: insights from local and system-wide information Downloads
Y\'erali Gandica, Sophie B\'ereau and Jean-Yves Gnabo
2019: Healthy... Distress... Default Downloads
Zura Kakushadze
2019: Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model Downloads
Samuel Drapeau and Yunbo Zhang
2019: Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference Downloads
Ruoxuan Xiong and Markus Pelger
2019: Forecasting under Long Memory and Nonstationarity Downloads
Uwe Hassler and Marc-Oliver Pohle
2019: Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes Downloads
Wenyuan Wang, Xueyuan Wu and Cheng Chi
2019: The value of power-related options under spectrally negative L\'evy processes Downloads
Jean-Philippe Aguilar
2019: Currency Based on Time Standard Downloads
Tomas Kala
2019: Econometric Models of Network Formation Downloads
Aureo de Paula
2019: Fighting for Not-So-Religious Souls: The Role of Religious Competition in Non-Religious Conflicts Downloads
Hector Galindo-Silva and Guy Tchuente
2019: A General Framework for Inference on Shape Restrictions Downloads
Zheng Fang and Juwon Seo
2019: Asymptotic Theory of $L$-Statistics and Integrable Empirical Processes Downloads
Tetsuya Kaji
2019: Residual Switching Network for Portfolio Optimization Downloads
Jifei Wang and Lingjing Wang
2019: Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition Downloads
Aureo de Paula, Imran Rasul and Pedro Souza
2019: Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset Downloads
Ljudmila A. Bordag
2019: Standard Errors for Panel Data Models with Unknown Clusters Downloads
Jushan Bai, Sung Hoon Choi and Yuan Liao
2019: Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules Downloads
Florian Ziel and Kevin Berk
2019: Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing Downloads
Damir Filipovi\'c, Kathrin Glau, Yuji Nakatsukasa and Francesco Statti
2019: Measuring the Completeness of Theories Downloads
Drew Fudenberg, Jon Kleinberg, Annie Liang and Sendhil Mullainathan
2019: Games of Incomplete Information Played By Statisticians Downloads
Annie Liang
2019: Dynamically Aggregating Diverse Information Downloads
Annie Liang, Xiaosheng Mu and Vasilis Syrgkanis
2019: Optimal ratcheting of dividends in insurance Downloads
Hansjoerg Albrecher, Pablo Azcue and Nora Muler
2019: Robust portfolio optimization with multi-factor stochastic volatility Downloads
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma and Song-Ping Zhu
2019: Fundamental Analysis in China: An Empirical Study of the Relationship between Financial Ratios and Stock Prices Downloads
Lijuan Ma, Marcel Ausloos, Christophe Schinckus and H. L. Felicia Chong
2019: The Cobb-Douglas production function revisited Downloads
Roman G. Smirnov and Kunpeng Wang
2019: Stochastic leverage effect in high-frequency data: a Fourier based analysis Downloads
Imma Valentina Curato and Simona Sanfelici
2019: Precisamos de uma Contabilidade Ambiental para as "Amaz\^onias" Paraense? Downloads
Ailton Castro Pinheiro
2019: Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework Downloads
Tim Leung and Yang Zhou
2019: Principled estimation of regression discontinuity designs with covariates: a machine learning approach Downloads
Jason Anastasopoulos
2019: Eigen-entropy measure to study phase separation in market behavior Downloads
Anirban Chakraborti, Hrishidev, Kiran Sharma and Hirdesh K. Pharasi
2019: A BSDE-based approach for the optimal reinsurance problem under partial information Downloads
Matteo Brachetta and Claudia Ceci
2019: Mixed Levy Subordinated Market Model and Implied Probability Weighting Function Downloads
Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
2019: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures Downloads
Beatrice Acciaio and Julien Guyon
2019: Universal Basic Income: The Last Bullet in the Darkness Downloads
Mohammad Rasoolinejad
2019: Networks of monetary flow at native resolution Downloads
Carolina Mattsson
2019: Portfolio Cuts: A Graph-Theoretic Framework to Diversification Downloads
Bruno Scalzo Dees, Ljubisa Stankovic, Anthony G. Constantinides and Danilo P. Mandic
2019: Systematic Asset Allocation using Flexible Views for South African Markets Downloads
Ann Sebastian and Tim Gebbie
2019: sPortfolio: Stratified Visual Analysis of Stock Portfolios Downloads
Xuanwu Yue, Jiaxin Bai, Qinhan Liu, Yiyang Tang, Abishek Puri, Ke Li and Huamin Qu
2019: A Geometric Model of Opinion Polarization Downloads
Jan H\k{a}z{\l}a, Yan Jin, Elchanan Mossel and Govind Ramnarayan
2019: Measuring productivity dispersion: a parametric approach using the L\'{e}vy alpha-stable distribution Downloads
Jangho Yang, Torsten Heinrich, Julian Winkler, François Lafond, Pantelis Koutroumpis and J. Doyne Farmer
2019: Rational hyperbolic discounting Downloads
Jos\'e Cl\'audio do Nascimento
2019: Stock price formation: useful insights from a multi-agent reinforcement learning model Downloads
J. Lussange, S. Bourgeois-Gironde, S. Palminteri and B. Gutkin
2019: Incorporating Fine-grained Events in Stock Movement Prediction Downloads
Deli Chen, Yanyan Zou, Keiko Harimoto, Ruihan Bao, Xuancheng Ren and Xu Sun
2019: Pricing contingent claims with short selling bans Downloads
Guiyuan Ma, Song-Ping Zhu and Ivan Guo
2019: Optimal Trading of a Basket of Futures Contracts Downloads
Bahman Angoshtari and Tim Leung
2019: Latent Dirichlet Analysis of Categorical Survey Responses Downloads
Evan Munro and Serena Ng
2019: Predicting Auction Price of Vehicle License Plate with Deep Residual Learning Downloads
Vinci Chow
2019: On Existence of Equilibrium Under Social Coalition Structures Downloads
Bugra Caskurlu, Ozgun Ekici and Fatih Erdem Kizilkaya
2019: Robust Likelihood Ratio Tests for Incomplete Economic Models Downloads
Hiroaki Kaido and Yi Zhang
2019: Risk as Challenge: A Dual System Stochastic Model for Binary Choice Behavior Downloads
Samuel Shye and Ido Haber
2019: Transboundary Pollution Externalities: Think Globally, Act Locally? Downloads
Davide La Torre, Danilo Liuzzi and Simone Marsiglio
2019: Representing All Stable Matchings by Walking a Maximal Chain Downloads
Linda Cai and Clayton Thomas
2019: Robust Monopoly Regulation Downloads
Yingni Guo and Eran Shmaya
2019: Averaging estimation for instrumental variables quantile regression Downloads
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2019: Taxation and Social Justice Downloads
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2019: The Disparate Equilibria of Algorithmic Decision Making when Individuals Invest Rationally Downloads
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2019: Hierarchical PCA and Applications to Portfolio Management Downloads
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2019: Distributionally Robust XVA via Wasserstein Distance Part 1: Wrong Way Counterparty Credit Risk Downloads
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2019: Mortality rate forecasting: can recurrent neural networks beat the Lee-Carter model? Downloads
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2019: Direct and Indirect Effects based on Changes-in-Changes Downloads
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2019: Estimating the volatility of Bitcoin using GARCH models Downloads
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2019: Finding Personal Difference of Interpretation about Future in Assessment of Future Economic Conditions: Application of Weakly Supervised Learning and Text Mining Downloads
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2019: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP Downloads
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2019: Competing Models Downloads
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2019: Solving the Reswitching Paradox in the Sraffian Theory of Capital Downloads
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2019: Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints Downloads
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2019: Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis Downloads
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2019: On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls Downloads
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2019: Optimization of the post-crisis recovery plans in scale-free networks Downloads
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2019: Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure Downloads
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2019: Elicitation of ambiguous beliefs with mixing bets Downloads
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2019: Partial Identification and inference in nonparametric one-to-one matching models Downloads
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2019: Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations Downloads
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2019: Solving Quadratic Multi-Leader-Follower Games by Smoothing the Follower's Best Response Downloads
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2019: On the Identifying Content of Instrument Monotonicity Downloads
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2019: Two-way fixed effects estimators with heterogeneous treatment effects Downloads
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2019: Testing Continuity of a Density via g-order statistics in the Regression Discontinuity Design Downloads
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2019: Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models Downloads
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2019: Inference for Impulse Responses under Model Uncertainty Downloads
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2019: On a robust risk measurement approach for capital determination errors minimization Downloads
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2019: Viability and Arbitrage under Knightian Uncertainty Downloads
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2019: Consistent Approval-Based Multi-Winner Rules Downloads
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2019: Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network Downloads
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2019: Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case Downloads
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2019: Nonlinear Factor Models for Network and Panel Data Downloads
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2019: A Classification Framework for Stablecoin Designs Downloads
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2019: The Possible Effects of Personal Income Tax and Value Added Tax on Consumer Behaviors Downloads
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2019: Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers Downloads
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2019: A new proposal for the construction of a multi-period/multilateral price index Downloads
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2019: Macroscopic approximation methods for the analysis of adaptive networked agent-based models: The example of a two-sector investment model Downloads
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2019: Not so Particular about Calibration: Smile Problem Resolved Downloads
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2019: Undiscounted Bandit Games Downloads
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2019: Modelling the health impact of food taxes and subsidies with price elasticities: the case for additional scaling of food consumption using the total food expenditure elasticity Downloads
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2019: A varying terminal time mean-variance model Downloads
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2019: Equity Premium Puzzle or Faulty Economic Modelling? Downloads
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2019: Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions Downloads
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2019: A revenue allocation scheme based on pairwise comparisons Downloads
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2019: A Cloud-Native Globally Distributed Financial Exchange Simulator for Studying Real-World Trading-Latency Issues at Planetary Scale Downloads
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2019: Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset Allocation Downloads
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2019: Collectivised Pension Investment Downloads
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2019: A financial market with delay driven by reflected Brownian motion Downloads
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2019: Maximum Entropy Framework for a Universal Rank Order distribution with Socio-economic Applications Downloads
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2019: Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms Downloads
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2019: Artificial Intelligence BlockCloud (AIBC) Technical Whitepaper Downloads
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2019: Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application Downloads
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2019: Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations Downloads
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2019: Explaining Agent-Based Financial Market Simulation Downloads
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2019: A Statistical Field Approach to Capital Accumulation Downloads
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2019: Considering pricing and uncertainty in designing a reverse logistics network Downloads
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2019: Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions Downloads
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2019: A New Approach to Fair Distribution of Welfare Downloads
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2019: The converse envelope theorem Downloads
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2019: Implied volatility surface predictability: the case of commodity markets Downloads
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2019: A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series Downloads
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2019: Scalable Fair Division for 'At Most One' Preferences Downloads
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2019: Unveiling the relation between herding and liquidity with trader lead-lag networks Downloads
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2019: WATTNet: Learning to Trade FX via Hierarchical Spatio-Temporal Representation of Highly Multivariate Time Series Downloads
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2019: Optimizing Execution Cost Using Stochastic Control Downloads
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2019: Moment constrained optimal dividends: precommitment \& consistent planning Downloads
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2019: Stability properties of Haezendonck-Goovaerts premium principles Downloads
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2019: Structural Change Analysis of Active Cryptocurrency Market Downloads
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2019: Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis Downloads
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2019: Mechanics of good trade execution in the framework of linear temporary market impact Downloads
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2019: Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility Downloads
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2019: Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression Downloads
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2019: Specification Testing in Nonparametric Instrumental Quantile Regression Downloads
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2019: Inference for Linear Conditional Moment Inequalities Downloads
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2019: Meaningful causal decompositions in health equity research: definition, identification, and estimation through a weighting framework Downloads
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2019: Using Machine Learning to Predict Realized Variance Downloads
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2019: Reinforcement Learning for Portfolio Management Downloads
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2019: Gradient Boost with Convolution Neural Network for Stock Forecast Downloads
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2019: CME Iceberg Order Detection and Prediction Downloads
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2019: Double-Robust Identification for Causal Panel Data Models Downloads
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2019: Discerning Solution Concepts Downloads
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2019: Systemic Cascades On Inhomogeneous Random Financial Networks Downloads
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2019: Methods, Models, and the Evolution of Moral Psychology Downloads
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2019: The Design and Operation of Rules of Origin in Greater Arab Free Trade Area: Challenges of Implementation and Reform Downloads
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2019: The Effect of Oil Price on United Arab Emirates Goods Trade Deficit with the United States Downloads
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2019: To Detect Irregular Trade Behaviors In Stock Market By Using Graph Based Ranking Methods Downloads
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2019: Legal Architecture and Design for Gulf Cooperation Council Economic Integration Downloads
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2019: Corruption Risk in Contracting Markets: A Network Science Perspective Downloads
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2019: Does the leverage effect affect the return distribution? Downloads
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2019: New Policy Design for Food Accessibility to the People in Need Downloads
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2019: Informe-pais Brasil Downloads
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2019: Overconfidence and Prejudice Downloads
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2019: Arrow, Hausdorff, and Ambiguities in the Choice of Preferred States in Complex Systems Downloads
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2019: Personal Finance Decisions with Untruthful Advisors: an Agent-Based Model Downloads
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2019: Empirical investigation of state-of-the-art mean reversion strategies for equity markets Downloads
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2019: Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies Downloads
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2019: Conditional survival probabilities under partial information: a recursive quantization approach with applications Downloads
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2019: Illiquid Financial Markets and Monetary Policy Downloads
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2019: Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence Downloads
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2019: Inference in Differences-in-Differences: How Much Should We Trust in Independent Clusters? Downloads
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2019: Nash Equilibria in Optimal Reinsurance Bargaining Downloads
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2019: Stochastic perturbations and fisheries management Downloads
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2019: Bias and Consistency in Three-way Gravity Models Downloads
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2019: Lifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty Downloads
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2019: On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time Downloads
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2019: Robust no arbitrage and the solvability of vector-valued utility maximization problems Downloads
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2019: Interdependency between the Stock Market and Financial News Downloads
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2019: Centrality-oriented Causality -- A Study of EU Agricultural Subsidies and Digital Developement in Poland Downloads
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2019: Infinitely Stochastic Micro Forecasting Downloads
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2019: Improving Information from Manipulable Data Downloads
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2019: Dynamic Programming with State-Dependent Discounting Downloads
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2019: Isotonic regression discontinuity designs Downloads
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2019: Forecast Encompassing Tests for the Expected Shortfall Downloads
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2019: Anomalous diffusions in option prices: connecting trade duration and the volatility term structure Downloads
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2019: Analysing Global Fixed Income Markets with Tensors Downloads
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2019: Dynamic Information Design with Diminishing Sensitivity Over News Downloads
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2019: Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches Downloads
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2019: Electronic markets with multiple submodular buyers Downloads
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2019: Proportional Dynamics in Exchange Economies Downloads
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2019: Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model Downloads
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2019: A Mathematical Analysis of an Election System Proposed by Gottlob Frege Downloads
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2019: Systemic Risk and Heterogeneous Mean Field Type Interbank Network Downloads
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2019: An Econometric Perspective of Algorithmic Sampling Downloads
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2019: Markovian lifts of positive semidefinite affine Volterra type processes Downloads
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2019: Large Volatility Matrix Prediction with High-Frequency Data Downloads
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2019: Lead-lag Relationships in Foreign Exchange Markets Downloads
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2019: Calibration of Local-Stochastic Volatility Models by Optimal Transport Downloads
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2019: Posterior Average Effects Downloads
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2019: Machine Learning on EPEX Order Books: Insights and Forecasts Downloads
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2019: A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options Downloads
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2019: A long short-term memory stochastic volatility model Downloads
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2019: For Whom the Bell (Curve) Tolls: A to F, Trade Your Grade Based on the Net Present Value of Friendships with Financial Incentives Downloads
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2019: Modelling election dynamics and the impact of disinformation Downloads
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2019: A Game Theoretic Setting of Capitation Versus Fee-For-Service Payment Systems Downloads
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2019: Nonparametric Estimation and Inference in Economic and Psychological Experiments Downloads
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2019: Best Portfolio Management Strategies For Synthetic and Real Assets Downloads
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2019: Regulator-based risk statistics for portfolios Downloads
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2019: Journal ranking should depend on the level of aggregation Downloads
L\'aszl\'o Csat\'o
2019: The Role of Strategic Load Participants in Two-Stage Settlement Electricity Markets Downloads
Pengcheng You, Dennice F. Gayme and Enrique Mallada
2019: Semimartingale theory of monotone mean--variance portfolio allocation Downloads
Ale\v{s} \v{C}ern\'y
2019: Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets Downloads
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2019: Optimal Information Acquisition and Consumption Under Habit Formation Preference Downloads
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2019: Deep Adaptive Input Normalization for Time Series Forecasting Downloads
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2019: Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment Downloads
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2019: Optimal Stopping and Utility in a Simple Model of Unemployment Insurance Downloads
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2019: Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution Downloads
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2019: Multivariate risk measures in the non-convex setting Downloads
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2019: May's Instability in Large Economies Downloads
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2019: High-dimensional statistical arbitrage with factor models and stochastic control Downloads
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2019: On the bail-out dividend problem for spectrally negative Markov additive models Downloads
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2019: Functional Sequential Treatment Allocation Downloads
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2019: Many Average Partial Effects: with An Application to Text Regression Downloads
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2019: Econometric modelling and forecasting of intraday electricity prices Downloads
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2019: Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model Downloads
Christian Bayer, Chiheb Ben Hammouda and Raul Tempone
2019: Causality: a decision theoretic approach Downloads
Pablo Schenone
2019: How the network properties of shareholders vary with investor type and country Downloads
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2019: Weak comonotonicity Downloads
Ruodu Wang and Ricardas Zitikis
2019: Deep Neural Networks for Choice Analysis: Extracting Complete Economic Information for Interpretation Downloads
Shenhao Wang, Qingyi Wang and Jinhua Zhao
2019: Doubly Robust Difference-in-Differences Estimators Downloads
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2019: Survival investment strategies in a continuous-time market model with competition Downloads
Mikhail Zhitlukhin
2019: Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes Downloads
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2019: Continuity of Utility Maximization under Weak Convergence Downloads
Erhan Bayraktar, Yan Dolinsky and Jia Guo
2019: Optimal Incentive Contract with Endogenous Monitoring Technology Downloads
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2019: Deep Neural Networks for Choice Analysis: A Statistical Learning Theory Perspective Downloads
Shenhao Wang, Qingyi Wang, Nate Bailey and Jinhua Zhao
2019: Scaling Limits for Super--replication with Transient Price Impact Downloads
Peter Bank and Yan Dolinsky
2019: University rankings from the revealed preferences of the applicants Downloads
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2019: Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments Downloads
JoonHwan Cho and Thomas M. Russell
2019: A New Form of Banking -- Concept and Mathematical Model of Venture Banking Downloads
Brian P Hanley
2019: Deep Neural Networks for Estimation and Inference Downloads
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2019: On the quasi-sure superhedging duality with frictions Downloads
Erhan Bayraktar and Matteo Burzoni
2019: Identifying the Discount Factor in Dynamic Discrete Choice Models Downloads
Jaap H. Abbring and {\O}ystein Daljord
2019: Inference based on Kotlarski's Identity Downloads
Kengo Kato, Yuya Sasaki and Takuya Ura
2019: Voting power of political parties in the Senate of Chile during the whole binomial system period: 1990-2017 Downloads
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2019: Exceeding Expectations: Stochastic Dominance as a General Decision Theory Downloads
Christian Tarsney
2019: Quantile-Regression Inference With Adaptive Control of Size Downloads
Juan Carlos Escanciano and Chuan Goh
2019: Consumption smoothing in the working-class households of interwar Japan Downloads
Kota Ogasawara
2019: Characterizing Cryptocurrency market with Levy's stable distributions Downloads
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2019: Mean field systems on networks, with singular interaction through hitting times Downloads
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2019: Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency Downloads
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2019: Stochastic model specification in Markov switching vector error correction models Downloads
Niko Hauzenberger, Florian Huber, Michael Pfarrhofer and Thomas O. Z\"orner
2019: Orthogonal Random Forest for Causal Inference Downloads
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2019: Equilibrium Restrictions and Approximate Models -- With an application to Pricing Macroeconomic Risk Downloads
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2019: Multiple Treatments with Strategic Interaction Downloads
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2019: Learning non-smooth models: instrumental variable quantile regressions and related problems Downloads
Yinchu Zhu
2019: Gains in evolutionary dynamics: A unifying and intuitive approach to linking static and dynamic stability Downloads
Dai Zusai
2019: DeepTriangle: A Deep Learning Approach to Loss Reserving Downloads
Kevin Kuo
2019: An Endogenous Mechanism of Business Cycles Downloads
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov and Boris Govorkov
2019: Inference on a Distribution from Noisy Draws Downloads
Koen Jochmans and Martin Weidner
2019: The nested structural organization of the worldwide trade multi-layer network Downloads
Luiz G. A. Alves, Giuseppe Mangioni, Isabella Cingolani, Francisco A. Rodrigues, Pietro Panzarasa and Yamir Moreno
2019: Double/De-Biased Machine Learning of Global and Local Parameters Using Regularized Riesz Representers Downloads
Victor Chernozhukov, Whitney Newey, James Robins and Rahul Singh
2019: Censored Quantile Instrumental Variable Estimation with Stata Downloads
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Sukjin Han and Amanda Kowalski
2019: Regression Based Expected Shortfall Backtesting Downloads
Sebastian Bayer and Timo Dimitriadis
2019: Generic Machine Learning Inference on Heterogenous Treatment Effects in Randomized Experiments Downloads
Victor Chernozhukov, Mert Demirer, Esther Duflo and Iv\'an Fern\'andez-Val
2019: QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds Downloads
Igor Halperin
2019: Optimal portfolio with insider information on the stochastic interest rate Downloads
Bernardo D'Auria and Jos\'e Antonio Salmer\'on
2019: 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
2019: Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization Downloads
Samuel Drapeau, Peng Luo and Dewen Xiong
2019: Efficient Policy Learning Downloads
Susan Athey and Stefan Wager
2019: Asset correlation estimation for inhomogeneous exposure pools Downloads
Christoph Wunderer
2019: The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms Downloads
Ignacio Esponda and Demian Pouzo
2019: Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything Downloads
Ravi Kashyap
2019: The Mittag-Leffler Fitting of the Phillips Curve Downloads
Tomas Skovranek
2019: Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs Downloads
Ravi Kashyap
2019: Approximate hedging with proportional transaction costs in stochastic volatility models with jumps Downloads
Thai Huu Nguyen and Serguei Pergamenschchikov
2019: Social learning equilibria Downloads
Elchanan Mossel, Manuel Mueller-Frank, Allan Sly and Omer Tamuz
2019: L1-Penalized Quantile Regression in High-Dimensional Sparse Models Downloads
Alexandre Belloni and Victor Chernozhukov
2019: Systemic Risk Clustering of China Internet Financial Based on t-SNE Machine Learning Algorithm Downloads
Chuanmin Mi, Xu Runjie and Lin Qingtong
2019: Robust Inference about Conditional Tail Features: A Panel Data Approach Downloads
Yuya Sasaki and Yulong Wang
2019: Mapping Firms' Locations in Technological Space: A Topological Analysis of Patent Statistics Downloads
Emerson G. Escolar, Yasuaki Hiraoka, Mitsuru Igami and Yasin Ozcan
2019: Rethinking travel behavior modeling representations through embeddings Downloads
Francisco C. Pereira
2019: Racial Disparities in Voting Wait Times: Evidence from Smartphone Data Downloads
M. Keith Chen, Kareem Haggag, Devin G. Pope and Ryne Rohla
2019: The economics of minority language use: theory and empirical evidence for a language game model Downloads
Stefan Sperlich and Jose-Ramon Uriarte
2019: Culture and the disposition effect Downloads
Bastian Breitmayer, Tim Hasso and Matthias Pelster
2019: Growth Dynamics of Value and Cost Trade-off in Competitive Temporal Networks Downloads
Sheida Hasani, Razieh Masoomi, Jamshid Ardalankia, Mohammadbashir Sedighi and Hamid Jafari
2019: Stock Price Forecasting and Hypothesis Testing Using Neural Networks Downloads
Kerda Varaku
2019: A multi-scale symmetry analysis of uninterrupted trends returns of daily financial indices Downloads
C. M. Rodr\'iguez-Mart\'inez, H. F. Coronel-Brizio and A. R. Hern\'andez-Montoya
2019: MFGs for partially reversible investment Downloads
Haoyang Cao, Xin Guo and Joon Seok Lee
2019: Reinforcement Learning: Prediction, Control and Value Function Approximation Downloads
Haoqian Li and Thomas Lau
2019: Publish and Perish: Creative Destruction and Macroeconomic Theory Downloads
Jean-Bernard Chatelain and Kirsten Ralf
2019: A Cardinal Comparison of Experts Downloads
Itay Kavaler and Rann Smorodinsky
2019: Coase Meets Bellman: Dynamic Programming and Production Chains Downloads
Tomoo Kikuchi, Kazuo Nishimura, John Stachurski and Junnan Zhang
2019: Theory of Weak Identification in Semiparametric Models Downloads
Tetsuya Kaji
2019: Martingale transport with homogeneous stock movements Downloads
Stephan Eckstein and Michael Kupper
2019: Interaction of a Hydrogen Refueling Station Network for Heavy-Duty Vehicles and the Power System in Germany for 2050 Downloads
Philipp Kluschke and Fabian Neumann
2019: Future competitive bioenergy technologies in the German heat sector: Findings from an economic optimization approach Downloads
Matthias Jordan, Volker Lenz, Markus Millinger, Katja Oehmichen and Daniela Thr\"an
2019: Christmas Jump in LIBOR Downloads
Vikenty Mikheev and Serge E. Miheev
2019: Optimal life-cycle consumption and investment decisions under age-dependent risk preferences Downloads
Andreas Lichtenstern, Pavel V. Shevchenko and Rudi Zagst
2019: Construction of Martingale Measure in the Hazard Process Model of Credit Risk Downloads
Marek Capi\'nski and Tomasz Zastawniak
2019: Spatial pattern and city size distribution Downloads
Tomoya Mori
2019: Industrial Concentration of the Brazilian Automobile Market and Positioning in the World Market Downloads
Zionam E. L. Rolim, Rafa\"el R. de Oliveira and H\'elio M. de Oliveira
2019: Expansion method for pricing foreign exchange options under stochastic volatility and interest rates Downloads
Kenji Nagami
2019: Sorting on the Used-Car Market After the Volkswagen Emission Scandal Downloads
Anthony Strittmatter and Michael Lechner
2019: Revenue Sharing in the Internet: A Moral Hazard Approach and a Net-neutrality Perspective Downloads
Fehmina Malik, Manjesh K. ~Hanawal, Yezekael Hayel and Jayakrishnan Nair
2019: The Ridge Path Estimator for Linear Instrumental Variables Downloads
Nandana Sengupta and Fallaw Sowell
2019: Inference on weighted average value function in high-dimensional state space Downloads
Victor Chernozhukov, Whitney Newey and Vira Semenova
2019: Constraint Qualifications in Partial Identification Downloads
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2019: Dyadic Regression Downloads
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2019: Latency and Liquidity Risk Downloads
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2019: Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes Downloads
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2019: Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve Downloads
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2019: Review of the Plan for Integrating Big Data Analytics Program for the Electronic Marketing System and Customer Relationship Management: A Case Study XYZ Institution Downloads
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2019: Risk-Control Strategies Downloads
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2019: Semiparametric Wavelet-based JPEG IV Estimator for endogenously truncated data Downloads
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2019: Evaluating Pest Management Strategies: A Robust Method and its Application to Strawberry Disease Management Downloads
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2019: The Time Importance for Prospect Theory Downloads
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2019: Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees Downloads
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2019: Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction Downloads
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2019: Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk Downloads
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2019: Detection of Accounting Anomalies in the Latent Space using Adversarial Autoencoder Neural Networks Downloads
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2019: Detecting Identification Failure in Moment Condition Models Downloads
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2019: Testing for time-varying properties under misspecified conditional mean and variance Downloads
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2019: Multitask Learning Deep Neural Networks to Combine Revealed and Stated Preference Data Downloads
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2019: Fast Training Algorithms for Deep Convolutional Fuzzy Systems with Application to Stock Index Prediction Downloads
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2019: Decentralization Estimators for Instrumental Variable Quantile Regression Models Downloads
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2019: On the K\"ahler Geometry of Certain Optimal Transport Problems Downloads
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2019: Dynamic Competitive Persuasion Downloads
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2019: Estimation of a Heterogeneous Demand Function with Berkson Errors Downloads
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2019: Complete Subset Averaging with Many Instruments Downloads
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2019: Geometrically Convergent Simulation of the Extrema of L\'{e}vy Processes Downloads
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2019: Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time Downloads
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2019: Capital Regulation under Price Impacts and Dynamic Financial Contagion Downloads
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2019: Implementing Convex Optimization in R: Two Econometric Examples Downloads
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2019: Shift-Share Designs: Theory and Inference Downloads
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2019: Leave-out estimation of variance components Downloads
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2019: Stationarity and ergodicity of vector STAR models Downloads
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2019: Analyzing order flows in limit order books with ratios of Cox-type intensities Downloads
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2019: Utility maximization with proportional transaction costs under model uncertainty Downloads
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2019: Chain effects of clean water: The Mills-Reincke phenomenon in early twentieth-century Japan Downloads
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2019: Continuous Record Laplace-based Inference about the Break Date in Structural Change Models Downloads
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2019: Schooling Choice, Labour Market Matching, and Wages Downloads
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2019: Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims Downloads
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2019: Simultaneous Confidence Intervals for High-dimensional Linear Models with Many Endogenous Variables Downloads
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2019: A Random Attention Model Downloads
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2019: A Black--Scholes inequality: applications and generalisation Downloads
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2019: Multivariate Garch with dynamic beta Downloads
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2019: Indirect Inference With(Out) Constraints Downloads
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2019: Comprehensive Time-Series Regression Models Using GRETL -- U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013 Downloads
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2019: Certifiably Pseudorandom Financial Derivatives Downloads
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2019: AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks Downloads
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2019: Anti-Money Laundering in Bitcoin: Experimenting with Graph Convolutional Networks for Financial Forensics Downloads
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2019: Hedging Non-Tradable Risks with Transaction Costs and Price Impact Downloads
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2019: Kernel Density Estimation for Undirected Dyadic Data Downloads
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2019: Career Choice as an Extended Spatial Evolutionary Public Goods Game Downloads
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2019: Predicting credit default probabilities using machine learning techniques in the face of unequal class distributions Downloads
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2019: Open shop scheduling games Downloads
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2019: A Comparison of First-Difference and Forward Orthogonal Deviations GMM Downloads
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2019: Closed form solutions of Lucas Uzawa model with externalities via partial Hamiltonian approach. Some Clarifications Downloads
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2019: Killer Technologies: the destructive creation in the technical change Downloads
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2019: Cities and space: Common power laws and spatial fractal structures Downloads
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2019: Taxable Stock Trading with Deep Reinforcement Learning Downloads
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2019: Marked Hawkes process modeling of price dynamics and volatility estimation Downloads
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2019: Investigating the effect of competitiveness power in estimating the average weighted price in electricity market Downloads
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2019: Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets Downloads
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2019: Time-consistent feedback strategies with Volterra processes Downloads
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2019: Does the short-term boost of renewable energies guarantee their stable long-term growth? Assessment of the dynamics of feed-in tariff policy Downloads
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2019: The new face of multifractality: Multi-branchness and the phase transitions in time series of inter-event times Downloads
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2019: Dealing with Stochastic Volatility in Time Series Using the R Package stochvol Downloads
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2019: Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol Downloads
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2019: P\'olygamma Data Augmentation to address Non-conjugacy in the Bayesian Estimation of Mixed Multinomial Logit Models Downloads
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2019: Multiple-interaction kinetic modelling of a virtual-item gambling economy Downloads
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2019: Subgeometrically ergodic autoregressions Downloads
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2019: Price Setting on a Network Downloads
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2019: Peer Effects in Random Consideration Sets Downloads
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2019: Boomerang: Rebounding the Consequences of Reputation Feedback on Crowdsourcing Platforms Downloads
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2019: Eliciting Preferences of Ridehailing Users and Drivers: Evidence from the United States Downloads
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2019: Rational Inattention and Retirement Puzzles Downloads
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2019: Dynamic investment model of the life cycle of a company under the influence of factors in a competitive environment Downloads
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2019: Distribution Regression in Duration Analysis: an Application to Unemployment Spells Downloads
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2019: A Weight-based Information Filtration Algorithm for Stock-Correlation Networks Downloads
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2019: Identification of Noncausal Models by Quantile Autoregressions Downloads
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2019: Deep-learning based numerical BSDE method for barrier options Downloads
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2019: Understanding consumer demand for new transport technologies and services, and implications for the future of mobility Downloads
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2019: Stochastic Comparative Statics in Markov Decision Processes Downloads
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2019: Optimal excess-of-loss reinsurance for stochastic factor risk models Downloads
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2019: On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market Downloads
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2019: Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models Downloads
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2019: A Normative Dual-value Theory for Bitcoin and other Cryptocurrencies Downloads
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2019: (Martingale) Optimal Transport And Anomaly Detection With Neural Networks: A Primal-dual Algorithm Downloads
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2019: Why understanding multiplex social network structuring processes will help us better understand the evolution of human behavior Downloads
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2019: Entrepreneurship, Institutions, and Economic Growth: Does the Level of Development Matter? Downloads
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2019: Strict Local Martingales and the Khasminskii test for Explosions Downloads
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2019: Optimal Climate Strategy with Mitigation, Carbon Removal, and Solar Geoengineering Downloads
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2019: Influence of petroleum and gas trade on EU economies from the reduced Google matrix analysis of UN COMTRADE data Downloads
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2019: Multiscale Features of Cross Correlation of Price and Trading Volume Downloads
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2019: Cross-shareholding networks and stock price synchronicity: Evidence from China Downloads
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2019: Piketty's second fundamental law of capitalism as an emergent property in a kinetic wealth-exchange model of economic growth Downloads
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2019: Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method Downloads
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2019: Cover's Rebalancing Option With Discrete Hindsight Optimization Downloads
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2019: Model Selection in Utility-Maximizing Binary Prediction Downloads
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2019: Using Artificial Intelligence to Recapture Norms: Did #metoo change gender norms in Sweden? Downloads
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2019: Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market Downloads
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2019: Approximation Properties of Variational Bayes for Vector Autoregressions Downloads
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2019: Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions Downloads
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2019: Cryptocurrency market structure: connecting emotions and economics Downloads
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2019: Identifying Bid Leakage In Procurement Auctions: Machine Learning Approach Downloads
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2019: Implementing a financial derivative as smart contract Downloads
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2019: Mean-field moral hazard for optimal energy demand response management Downloads
Romuald Elie, Emma Hubert, Thibaut Mastrolia and Dylan Possama\"i
2019: Global labor flow network reveals the hierarchical organization and dynamics of geo-industrial clusters in the world economy Downloads
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2019: Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance Downloads
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2019: Orthogonal Statistical Learning Downloads
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2019: Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure Downloads
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2019: Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination Downloads
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2019: Efficient hedging under ambiguity in continuous time Downloads
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2019: Approximate State Space Modelling of Unobserved Fractional Components Downloads
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2019: What Is the Value Added by Using Causal Machine Learning Methods in a Welfare Experiment Evaluation? Downloads
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2019: The drivers of urban economic complexity and their connection to urban economic performance Downloads
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2019: Improved Inference on the Rank of a Matrix Downloads
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2019: Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK Downloads
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2019: Semi-Device Independent Quantum Money Downloads
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2019: New fat-tail normality test based on conditional second moments with applications to finance Downloads
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2019: High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models Downloads
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2019: Nuclear Norm Regularized Estimation of Panel Regression Models Downloads
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2019: Religion and Terrorism: Evidence from Ramadan Fasting Downloads
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2019: Mid-price estimation for European corporate bonds: a particle filtering approach Downloads
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2019: k-price auctions and Combination auctions Downloads
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2019: Exact Replication of the Best Rebalancing Rule in Hindsight Downloads
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2019: Super-Replication of the Best Pairs Trade in Hindsight Downloads
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2019: On Carr and Lee's correlation immunization strategy Downloads
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2019: Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations Downloads
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2019: Contests with a Non-Convex Strategy Space Downloads
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2019: Model Risk Measurement under Wasserstein Distance Downloads
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2019: Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors Downloads
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2019: Risk-based optimal portfolio of an insurer with regime switching and noisy memory Downloads
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2019: Coverage Error Optimal Confidence Intervals for Local Polynomial Regression Downloads
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2019: On SDEs with Lipschitz coefficients, driven by continuous, model-free price paths Downloads
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2019: A theory for combinations of risk measures Downloads
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2019: Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates Downloads
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2019: Quantum Nash equilibrium in the thermodynamic limit Downloads
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2019: Affine processes under parameter uncertainty Downloads
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2019: Optimal dividends with partial information and stopping of a degenerate reflecting diffusion Downloads
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2019: Multi-layered Network Structure: Relationship Between Financial and Macroeconomic Dynamics Downloads
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2019: Dealing with cross-country heterogeneity in panel VARs using finite mixture models Downloads
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2019: Bi-Demographic Changes and Current Account using SVAR Modeling Downloads
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2019: Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates Downloads
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2019: Mixing LSMC and PDE Methods to Price Bermudan Options Downloads
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2019: A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics Downloads
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2019: A Term Structure Model for Dividends and Interest Rates Downloads
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2019: Nonparametric Bayesian volatility estimation Downloads
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