Papers
From arXiv.org
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- 2014: Theory of pricing as relativistic kinematics
- Sergiy Melnyk and I. G. Tuluzov
- 2014: ANN Model to Predict Stock Prices at Stock Exchange Markets
- B. W. Wanjawa and L. Muchemi
- 2014: Observing Each Other's Observations in the Electronic Mail Game
- Dominik Grafenhofer and Wolgang Kuhle
- 2014: Optimal Selling Time of a Stock under Capital Gains Taxes
- Christoph K\"uhn, Budhi Arta Surya and Bj\"orn Ulbricht
- 2014: Towards a formalization of a two traders market with information exchange
- F. Bagarello and Emmanuel Haven
- 2014: Derivatives pricing in energy markets: an infinite dimensional approach
- Fred Espen Benth and Paul Kr\"uhner
- 2014: Optimal switching for pairs trading rule: a viscosity solutions approach
- Minh Man Ngo and Huyen Pham
- 2014: Tail Risk Constraints and Maximum Entropy
- Donald Geman, H\'elyette Geman and Nassim Nicholas Taleb
- 2014: Inflation and speculation in a dynamic macroeconomic model
- Matheus Grasselli and Adrien Nguyen-Huu
- 2014: An $H$ theorem for Boltzmann's equation for the Yard-Sale Model of asset exchange
- Bruce M. Boghosian, Merek Johnson and Jeremy Marcq
- 2014: Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
- Emmanuel Bacry, Thibault Jaisson and Jean-Francois Muzy
- 2014: Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets
- Andrei Lebedev and Petr Zabreiko
- 2014: Risk measuring under liquidity risk
- Erindi Allaj
- 2014: Dynamic Conic Finance via Backward Stochastic Difference Equations
- Tomasz R. Bielecki, Igor Cialenco and Tao Chen
- 2014: Backtest of Trading Systems on Candle Charts
- Stanislaus Maier-Paape and Andreas Platen
- 2014: Aggregation operators for the measurement of systemic risk
- Jozsef Mezei and Peter Sarlin
- 2014: A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
- Galina Andreeva, Raffaella Calabrese and Silvia Angela Osmetti
- 2014: Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
- Chris Kenyon and Andrew Green
- 2014: Convenient liquidity measure for Financial markets
- Oleh Danyliv, Bruce Bland and Daniel Nicholass
- 2014: Optimal execution with nonlinear transient market impact
- Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
- 2014: On Pareto theory of circulation of elites
- Ricardo P\'erez-Marco
- 2014: Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
- Q. Feng and Cornelis Oosterlee
- 2014: Max-factor individual risk models with application to credit portfolios
- Michel Denuit, Anna Kiriliouk and Johan Segers
- 2014: Multilevel approximation of backward stochastic differential equations
- Dirk Becherer and Plamen Turkedjiev
- 2014: Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
- Omar Rojas and Carlos Trejo-Pech
- 2014: Taxation as an instrument of stimulation of innovation-active business entities
- Andrey Nechaev
- 2014: A BSDE approach to fair bilateral pricing under endogenous collateralization
- Tianyang Nie and Marek Rutkowski
- 2014: Modellierungskonzepte der Synergetik und der Theorie der Selbstorganisation
- Werner Ebeling and Andrea Scharnhorst
- 2014: Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
- Elia Zarinelli, Michele Treccani, J. Farmer and Fabrizio Lillo
- 2014: Competition of Commodities for the Status of Money in an Agent-based Model
- Robert G\k{e}barowski, Stanis{\l}aw Dro\.zd\.z, Andrzej Z. G\'orski and Pawe{\l} O\'swi\k{e}cimka
- 2014: Reserve-Dependent Surrender
- Kamille Sofie T{\aa}gholt Gad, Jeppe Juhl and Mogens Steffensen
- 2014: Stess-testing the system: Financial shock contagion in the realm of uncertainty
- Stefano Gurciullo
- 2014: Spanning trees of the World Trade Web: real-world data and the gravity model of trade
- Patryk Skowron, Mariusz Karpiarz, Agata Fronczak and Piotr Fronczak
- 2014: A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
- Giovanni Mottola
- 2014: Model-Independent Pricing of Asian Options via Optimal Martingale Transport
- Florian Stebegg
- 2014: Gas Storage valuation with regime switching
- Nicole B\"auerle and Viola Riess
- 2014: Skewness and kurtosis analysis for non-Gaussian distributions
- Ahmet Celikoglu and Ugur Tirnakli
- 2014: Firm size distribution in Italy and employment protection
- Luca Amendola
- 2014: Market impacts and the life cycle of investors orders
- Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier and Charles-Albert Lehalle
- 2014: The impact of startup costs and the grid operator on the power price equilibrium
- Miha Troha and Raphael Hauser
- 2014: Risk minimization and portfolio diversification
- Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
- 2014: On the Coherent Risk Measure Representations in the Discrete Probability Spaces
- Kerem Ugurlu
- 2014: Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
- Nicole B\"auerle, Igor Gilitschenski and Uwe D. Hanebeck
- 2014: Global Value Trees
- Zhen Zhu, Michelangelo Puliga, Federica Cerina, Alessandro Chessa and Massimo Riccaboni
- 2014: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks
- Zhang Li, Xiaojun Lin, Borja Peleato-Inarrea and Ilya Pollak
- 2014: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
- Cody Hyndman and Xinghua Zhou
- 2014: Fair bilateral prices in Bergman's model
- Tianyang Nie and Marek Rutkowski
- 2014: Fair and profitable bilateral prices under funding costs and collateralization
- Tianyang Nie and Marek Rutkowski
- 2014: On the convergence of the Fitness-Complexity Algorithm
- Emanuele Pugliese, Andrea Zaccaria and Luciano Pietronero
- 2014: Classical mechanics of economic networks
- Nima Dehmamy, Sergey V. Buldyrev, Shlomo Havlin, H. Eugene Stanley and Irena Vodenska
- 2014: On the interplay between short and long term memory in the power-law cross-correlations setting
- Ladislav Krištoufek
- 2014: Optimal double stopping of a Brownian bridge
- Erik J. Baurdoux, Nan Chen, Budhi A. Surya and Kazutoshi Yamazaki
- 2014: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
- Xiaolin Luo and Pavel V. Shevchenko
- 2014: Comparing the $G$-Normal Distribution to its Classical Counterpart
- Erhan Bayraktar and Alexander Munk
- 2014: A convex duality method for optimal liquidation with participation constraints
- Olivier Gu\'eant, Jean-Michel Lasry and Jiang Pu
- 2014: To sigmoid-based functional description of the volatility smile
- Andrey Itkin
- 2014: Modeling FX market activity around macroeconomic news: a Hawkes process approach
- Marcello Rambaldi, Paris Pennesi and Fabrizio Lillo
- 2014: Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Tomasz R. Bielecki and Marek Rutkowski
- 2014: Optimal stopping under model uncertainty: randomized stopping times approach
- Denis Belomestny and Volker Kraetschmer
- 2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
- Masaaki Fujii
- 2014: Agent-based models for latent liquidity and concave price impact
- Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
- 2014: Cascades in real interbank markets
- Fariba Karimi and Matthias Raddant
- 2014: Optimal execution and block trade pricing: a general framework
- Olivier Gu\'eant
- 2014: An Optimal Execution Problem with Market Impact
- Takashi Kato
- 2014: Dual Stochastic Transformations of Solvable Diffusions
- Giuseppe Campolieti and Roman N. Makarov
- 2014: Analyses of Statistical Structures in Economic Indices
- Frank W. K. Firk
- 2014: Budget Imbalance Criteria for Auctions: A Formalized Theorem
- Marco B. Caminati, Manfred Kerber and Colin Rowat
- 2014: A biased view of a few possible components when reflecting on the present decade financial and economic crisis
- Marcel Ausloos
- 2014: Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
- Roy Cerqueti and Marcel Ausloos
- 2014: Improving predictability of time series using maximum entropy methods
- Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard and Anton Golub
- 2014: Indirect Influences in International Trade
- Rafael Diaz and Laura Gomez
- 2014: Risk-Sensitive Mean-Field Type Control under Partial Observation
- Boualem Djehiche and Hamidou Tembine
- 2014: Inference in High Dimensional Panel Models with an Application to Gun Control
- Alexandre Belloni, Victor Chernozhukov, Christian Hansen and Damian Kozbur
- 2014: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
- Tim Leung, Xin Li and Zheng Wang
- 2014: Two maxentropic approaches to determine the probability density of compound risk losses
- Erika Gomes-Gon\c{c}alves, Henryk Gzyl and Silvia Mayoral
- 2014: Large deviations of the realized (co-)volatility vector
- Hac\`ene Djellout, Arnaud Guillin and Yacouba Samoura
- 2014: Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines
- David Walsh-Jones, Daniel Jones and Christoph Reisinger
- 2014: Diversification versus specialization -- lessons from a noise driven linear dynamical system
- Gabriell Mate and Zoltan Neda
- 2014: Theories of Accounting: Evolution & Developments, Income-Determination and Diversities in Use
- Angus O. Unegbu
- 2014: Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
- Peter Spoida
- 2014: Kelly criterion for variable pay-off
- Ricardo P\'erez-Marco
- 2014: Trend and Fractality Assessment of Mexico's Stock Exchange
- Javier Morales, V\'ictor Tercero, Fernando Camacho, Eduardo Cordero, Luis L\'opez and F-Javier Almaguer
- 2014: Exact solution of a generalized version of the Black-Scholes equation
- Liviu-Adrian Cotfas, Camelia Delcea and Nicolae Cotfas
- 2014: Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary
- Giorgio Ferrari and Paavo Salminen
- 2014: Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction
- Shingo Ichiki and Katsuhiro Nishinari
- 2014: Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series
- Simone Cirillo, Stefan Lloyd and Peter Nordin
- 2014: It's not the economy, stupid! How social capital and GDP relate to happiness over time
- Stefano Bartolini and Francesco Sarracino
- 2014: A General Equilibrium Theorem for the Economy of Giving
- W. P. Weijland
- 2014: On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
- Daniel Wilson-Nunn and Hector Zenil
- 2014: Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
- Mateusz Denys, Tomasz Gubiec and Ryszard Kutner
- 2014: Income Distribution in the European Union Versus in the United States
- Maciej Jagielski, Rafa{\l} Duczmal and Ryszard Kutner
- 2014: Modelling cross-border systemic risk in the European banking sector: a copula approach
- Raffaella Calabrese and Silvia Osmetti
- 2014: Incorporating Views on Marginal Distributions in the Calibration of Risk Models
- Santanu Dey, Sandeep Juneja and Karthyek R. A. Murthy
- 2014: Risk measures with the CxLS property
- Freddy Delbaen, Fabio Bellini, Valeria Bignozzi and Johanna F. Ziegel
- 2014: Spectrum-based estimators of the bivariate Hurst exponent
- Ladislav Krištoufek
- 2014: Efficient solution of structural default models with correlated jumps and mutual obligations
- Andrey Itkin and Alexander Lipton
- 2014: Optimization of relative arbitrage
- Ting-Kam Leonard Wong
- 2014: Exact and asymptotic solutions of the call auction problem
- Ioane Muni Toke
- 2014: Game Theory, Statistical Mechanics and Income Inequality
- Venkat Venkatasubramanian, Yu Luo and Jay Sethuraman
- 2014: Thermodynamics of inequalities: from precariousness to economic stratification
- Matteo Smerlak
- 2014: On possible origins of trends in financial market price changes
- Ryo Murakami, Tomomichi Nakamura, Shin Kimura, Masashi Manabe and Toshihiro Tanizawa
- 2014: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness
- J. D. Opdyke
- 2014: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
- Tiziano De Angelis, Giorgio Ferrari and John Moriarty
- 2014: On the Super-Additivity and Estimation Biases of Quantile Contributions
- Nassim N Taleb and Raphael Douady
- 2014: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
- Erhan Bayraktar and Yuchong Zhang
- 2014: The Master Equation in Mean Field Theory
- Alain Bensoussan, Jens Frehse and Phillip Yam
- 2014: Asymptotics for $d$-dimensional L\'evy-type processes
- Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
- 2014: On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market
- Alexandra Rodkina and Nikolai Dokuchaev
- 2014: A First-Order BSPDE for Swing Option Pricing: Classical Solutions
- Christian Bender and Nikolai Dokuchaev
- 2014: Reconstructing the world trade multiplex: the role of intensive and extensive biases
- Rossana Mastrandrea, Tiziano Squartini, Giorgio Fagiolo and Diego Garlaschelli
- 2014: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
- Erhan Bayraktar and Yuchong Zhang
- 2014: Mathematical Foundations for the Economy of Giving
- W. P. Weijland
- 2014: Estimating time-changes in noisy L\'evy models
- Adam D. Bull
- 2014: Local risk-minimization under restricted information to asset prices
- Claudia Ceci, Katia Colaneri and Alessandra Cretarola
- 2014: Analytical expansions for parabolic equations
- Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
- 2014: Time--consistent investment under model uncertainty: the robust forward criteria
- Sigrid Kallblad, Jan Obloj and Thaleia Zariphopoulou
- 2014: Revisiting the Merit-Order Effect of Renewable Energy Sources
- Marcus Hildmann, Andreas Ulbig and G\"oran Andersson
- 2014: Explicit implied volatilities for multifactor local-stochastic volatility models
- Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
- 2014: A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
- Yannis G. Yatracos
- 2014: An age structured demographic theory of technological change
- Jean-Francois Mercure
- 2014: Pricing approximations and error estimates for local L\'evy-type models with default
- Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
- 2014: Optimal order placement in limit order markets
- Rama Cont and Arseniy Kukanov
- 2014: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
- Paul M. N. Feehan and Camelia A. Pop
- 2014: A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
- Taras Bodnar, Nestor Parolya and Wolfgang Schmid
- 2014: Valuation and parities for exchange options
- Constantinos Kardaras
- 2014: An algorithm for the orthogonal decomposition of financial return data
- Vic Norton
- 2014: Universal Algorithm for Online Trading Based on the Method of Calibration
- Vladimir V'yugin and Vladimir Trunov
- 2014: Why is order flow so persistent?
- Bence Toth, Imon Palit, Fabrizio Lillo and J. Farmer
- 2014: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
- Runhuan Feng, Hans Volkmer, Shuaiqi Zhang and Chao Zhu
- 2014: Optimal strategies in collective Parrondo games
- Luis Dinis and Juan M. R. Parrondo
- 2014: Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- Jamal Amani Rad and Kourosh Parand
- 2014: Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Jamal Amani Rad, Kourosh Parand and Saeid Abbasbandy
- 2014: Cooperation under Incomplete Information on the Discount Factors
- Cy Maor and Eilon Solan
- 2014: Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
- Xiaolin Luo and Pavel Shevchenko
- 2014: The Model Confidence Set package for R
- Mauro Bernardi and Leopoldo Catania
- 2014: Cycling in stochastic general equilibrium
- Zhijian Wang and Bin Xu
- 2014: When does the stock market listen to economic news? New evidence from copulas and news wires
- Ivan Medovikov
- 2014: Optimal Allocation of Trend Following Strategies
- Denis S. Grebenkov and Jeremy Serror
- 2014: Efficient price dynamics in a limit order market: an utility indifference approach
- Masaaki Fukasawa
- 2014: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
- Vladimir Dombrovskii and Tatyana Obedko
- 2014: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
- Hao-Che Chen
- 2014: A new multivariate dependence measure based on comonotonicity
- Ying Zhang and Chuancun Yin
- 2014: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window
- Luca Onorante and Adrian E. Raftery
- 2014: Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
- Aleksandar Mijatovic, Martijn Pistorius and Johannes Stolte
- 2014: Are news important to predict large losses?
- Mauro Bernardi, Leopoldo Catania and Lea Petrella
- 2014: qGaussian model of default
- Yuri A. Katz
- 2014: Stock fluctuations are correlated and amplified across networks of interlocking directorates
- Serguei Saavedra, Luis J. Gilarranz, Rudolf P. Rohr, Michael Schnabel, Brian Uzzi and Jordi Bascompte
- 2014: Asset Pricing in an Imperfect World
- Gianluca Cassese
- 2014: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
- Beata Stehlikova
- 2014: The non-linear trade-off between return and risk: a regime-switching multi-factor framework
- John Cotter and Enrique Salvador
- 2014: Recombining binomial tree for constant elasticity of variance process
- Hi Jun Choe, Jeong Ho Chu and So Jeong Shin
- 2014: The Precautionary Principle (with Application to the Genetic Modification of Organisms)
- Nassim Nicholas Taleb, Rupert Read, Raphael Douady, Joseph Norman and Yaneer Bar-Yam
- 2014: Risk diversification: a study of persistence with a filtered correlation-network approach
- Nicol\'o Musmeci, Tomaso Aste and Tiziana Di Matteo
- 2014: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
- Andries Brandsma, d'Artis Kancs, Philippe Monfort and Alexandra Rillaers
- 2014: Assessing the Inequalities of Wealth in Regions: the Italian Case
- Roy Cerqueti and Marcel Ausloos
- 2014: Volatility is rough
- Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
- 2014: Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
- Tariq Ahmad Mir, Marcel Ausloos and Roy Cerqueti
- 2014: Communication impacting financial markets
- Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam
- 2014: Propagation of Systemic Risk in Interbank Networks
- Vanessa Hoffmann de Quadros, Juan Carlos Gonz\'alez-Avella and Jos\'e Roberto Iglesias
- 2014: Reconstructing topological properties of complex networks using the fitness model
- Giulio Cimini, Tiziano Squartini, Nicol\`o Musmeci, Michelangelo Puliga, Andrea Gabrielli, Diego Garlaschelli, Stefano Battiston and Guido Caldarelli
- 2014: An initial approach to Risk Management of Funding Costs
- Damiano Brigo and Cyril Durand
- 2014: Tug-of-war, market manipulation and option pricing
- Kaj Nystr\"om and Mikko Parviainen
- 2014: On volatility smile and an investment strategy with out-of-the-money calls
- Jarno Talponen
- 2014: Rationality parameter for exercising American put
- K. Gad and J. L. Pedersen
- 2014: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control
- Vladimir Dombrovskii and Tatyana Obyedko
- 2014: A General Duality Relation with Applications in Quantitative Risk Management
- Raphael Hauser, Sergey Shahverdyan and Paul Embrechts
- 2014: Systemic Interbank Network Risks in Russia
- A. V. Leonidov and Evgeny Rumyantsev
- 2014: The Fourier estimation method with positive semi-definite estimators
- Jiro Akahori, Nien-Lin Liu, Maria Elvira Mancino and Yukie Yasuda
- 2014: Socio-economic inequalities: a statistical physics perspective
- Arnab Chatterjee
- 2014: A simple dynamical model leading to Pareto wealth distribution and stability
- Ricardo P\'erez-Marco
- 2014: Optimal Execution with Dynamic Order Flow Imbalance
- Kyle Bechler and Mike Ludkovski
- 2014: New Pricing Framework: Options and Bonds
- Nick Laskin
- 2014: A Bellman View of Jesse Livermore
- Nick Polson and Jan Hendrik Witte
- 2014: Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes
- Paolo Barucca
- 2014: Factor Models for Alpha Streams
- Zura Kakushadze
- 2014: Multilevel path simulation for weak approximation schemes
- Denis Belomestny and Tigran Nagapetyan
- 2014: Can Turnover Go to Zero?
- Zura Kakushadze
- 2014: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets
- Nassim N. Taleb
- 2014: KVA: Capital Valuation Adjustment
- Andrew Green and Chris Kenyon
- 2014: Stochastic Evolution of Stock Market Volume-Price Distributions
- Paulo Rocha, Frank Raischel, Jo\~ao P. da Cruz and Pedro G. Lind
- 2014: Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility
- Jos\'e E. Figueroa-L\'opez and Sveinn \'Olafsson
- 2014: Are credit ratings time-homogeneous and Markov?
- Pedro Lencastre, Frank Raischel, Pedro G. Lind and Tim Rogers
- 2014: Utility maximization in the large markets
- Oleksii Mostovyi
- 2014: Branching ratio approximation for the self-exciting Hawkes process
- Stephen J. Hardiman and Jean-Philippe Bouchaud
- 2014: Zipf's law in city size from a resource utilization model
- Asim Ghosh, Arnab Chatterjee, Anindya S. Chakrabarti and Bikas K Chakrabarti
- 2014: Efficient Modeling and Forecasting of the Electricity Spot Price
- Florian Ziel, Rick Steinert and Sven Husmann
- 2014: Martingale Inequalities and Deterministic Counterparts
- Mathias Beiglb\"ock and Marcel Nutz
- 2014: Optimal Strategies for a Long-Term Static Investor
- Lingjiong Zhu
- 2014: Community detection for correlation matrices
- Mel MacMahon and Diego Garlaschelli
- 2014: Analytical solution for a class of network dynamics with mechanical and financial applications
- Pavel Krej\v{c}\'i, Harbir Lamba, Sergey Melnik and Dmitrii Rachinskii
- 2014: Heavy tailed time series with extremal independence
- Rafal Kulik and Philippe Soulier
- 2014: Existence of an endogenously complete equilibrium driven by a diffusion
- Dmitry Kramkov
- 2014: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
- Lingjiong Zhu
- 2014: Multiportfolio time consistency for set-valued convex and coherent risk measures
- Zachary Feinstein and Birgit Rudloff
- 2014: Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
- Baojun Bian, Nan Wu and Harry Zheng
- 2014: Hedge and Mutual Funds' Fees and the Separation of Private Investments
- Paolo Guasoni and Gu Wang
- 2014: Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
- Xiaolin Luo and Pavel V. Shevchenko
- 2014: Impact of credit default swaps on financial contagion
- Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga and Hirokazu Matsushima
- 2014: Impact of shadow banks on financial contagion
- Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga and Hirokazu Matsushima
- 2014: Time Evolution of Non-linear Currency Networks
- Paweł Fiedor and Artur Ho{\l}da
- 2014: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach
- Sascha Hokamp and G. Seibold
- 2014: Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
- Darko Sarvan, Djordje Stratimirovic, Suzana Blesic and Vladimir Miljkovic
- 2014: Multi-asset consumption-investment problems with infinite transaction costs
- David Hobson and Yeqi Zhu
- 2014: Parametric Risk Parity
- Lorenzo Mercuri and Edit Rroji
- 2014: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
- Baojun Bian and Harry Zheng
- 2014: The evolution of wealth transmission in human populations: a stochastic model
- G. Augustins, L. Etienne, J-B. Ferdy, R. Ferrer, B. Godelle, E. Pitard and F. Rousset
- 2014: High-Resilience Limits of Block-Shaped Order Books
- Jan Kallsen and Johannes Muhle-Karbe
- 2014: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty
- Patrick Beißner and Frank Riedel
- 2014: Finite sample properties of power-law cross-correlations estimators
- Ladislav Krištoufek
- 2014: A GDP-driven model for the binary and weighted structure of the International Trade Network
- Assaf Almog, Tiziano Squartini and Diego Garlaschelli
- 2014: The Immediate Exchange model: an analytical investigation
- Guy Katriel
- 2014: Calculation of a power price equilibrium
- Miha Troha and Raphael Hauser
- 2014: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
- Paul Gaskell, Frank McGroarty and Thanassis Tiropanis
- 2014: Optimal models of extreme volume-prices are time-dependent
- Paulo Rocha, Frank Raischel, Jo\~ao Pedro Boto and Pedro G. Lind
- 2014: Funding Value Adjustment and Incomplete Markets
- Lorenzo Cornalba
- 2014: Option pricing in constant elasticity of variance model with liquidity costs
- Krzysztof Turek
- 2014: Distance to the line in the Heston model
- Archil Gulisashvili
- 2014: International trade network: fractal properties and globalization puzzle
- Mariusz Karpiarz, Piotr Fronczak and Agata Fronczak
- 2014: Bounds on Portfolio Quality
- Steven E. Pav
- 2014: Pricing and hedging of energy spread options and volatility modulated Volterra processes
- Fred Espen Benth and Hanna Zdanowicz
- 2014: Empirical Study of the 1-2-3 Trend Indicator
- Yasemin Hafizogullari, Stanislaus Maier-Paape and Andreas Platen
- 2014: The $\alpha$-Hypergeometric Stochastic Volatility Model
- José Da Fonseca and Claude Martini
- 2014: Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
- Matteo Formenti
- 2014: The Credibility Theory applied to backtesting Counterparty Credit Risk
- Matteo Formenti
- 2014: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
- Matteo Formenti
- 2014: Visualising stock flow consistent models as directed acyclic graphs
- Peter G. Fennell, David O'Sullivan, Antoine Godin and Stephen Kinsella
- 2014: Indicators of availability of non-market relations in the sphere of labor market in Ukraine
- Valery Tabakov
- 2014: Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient
- Yong Tao, Xiangjun Wu and Changshuai Li
- 2014: Portfolio Selection with Mandatory Bequest
- Jiacheng Feng
- 2014: Instability and network effects in innovative markets
- Paolo Sgrignoli, Elena Agliari, Raffaella Burioni and Augusto Schianchi
- 2014: The World Trade Web: A Multiple-Network Perspective
- Paolo Sgrignoli
- 2014: Optimal consumption and sale strategies for a risk averse agent
- David Hobson and Yeqi Zhu
- 2014: Endogenous crisis waves: a stochastic model with synchronized collective behavior
- Stanislao Gualdi, Jean-Philippe Bouchaud, Giulia Cencetti, Marco Tarzia and Francesco Zamponi
- 2014: Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values
- Inga Ivanova, Oivind Strand and Loet Leydesdorff
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- Desislava Chetalova, Thilo A. Schmitt, Rudi Sch\"afer and Thomas Guhr
- 2014: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
- Taras Bodnar, Arjun K. Gupta and Nestor Parolya
- 2014: The Financing of Innovative SMEs: a multicriteria credit rating model
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- 2014: Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
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- 2014: Dynamic Credit Investment in Partially Observed Markets
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- 2014: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
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- 2014: How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related
- Tahir Choulli, Jun Deng and Junfeng Ma
- 2014: From characteristic functions to implied volatility expansions
- Antoine Jacquier and Matthew Lorig
- 2014: Patience vs. Impatience of Stock Traders
- Peter Lerner
- 2014: On the concentration of large deviations for fat tailed distributions, with application to financial data
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- 2014: American and Bermudan options in currency markets under proportional transaction costs
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- 2014: Computation of copulas by Fourier methods
- Antonis Papapantoleon
- 2014: Field Theory of Macroeconomics
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- 2014: Path Diffusion, Part I
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- 2014: Structure of local interactions in complex financial dynamics
- X. F. Jiang, T. T. Chen and B. Zheng
- 2014: Explicit investment rules with time-to-build and uncertainty
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- 2014: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics
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- 2014: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
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- 2014: Mixed Tempered Stable distribution
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- 2014: Option Pricing in a Dynamic Variance-Gamma Model
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- 2014: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
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- 2014: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
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- 2014: R&D Strategy Document
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- 2014: Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
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- 2014: Stationarity of Bivariate Dynamic Contagion Processes
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- 2014: Micro and Macro Benefits of Random Investments in Financial Markets
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- 2014: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index
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- 2014: Correlation structure and principal components in global crude oil market
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- 2014: Rough paths, Signatures and the modelling of functions on streams
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- 2014: The Economics of BitCoin Price Formation
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- 2014: Quantum spatial-periodic harmonic model for daily price-limited stock markets
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- 2014: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions
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- 2014: Distortion Risk Measures and Elicitability
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- 2014: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information
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- 2014: A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
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- 2014: Can Analysts Predict Rallies Better Than Crashes?
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- 2014: The systematic structure and predictability of urban business diversity
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- 2014: Arbitrage Pricing of Multi-person Game Contingent Claims
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- 2014: Interest rate models and Whittaker functions
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- 2014: How does bad and good volatility spill over across petroleum markets?
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- 2014: A Multi-factor Adaptive Statistical Arbitrage Model
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- 2014: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market
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- 2014: Merchant Sharing Towards a Zero Marginal Cost Economy
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- 2014: The super-replication theorem under proportional transaction costs revisited
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- 2014: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
- Gao-Feng Gu, Xiong Xiong, Yong-Jie Zhang, Wei Chen, Wei Zhang and Wei-Xing Zhou
- 2014: Market risk modelling in Solvency II regime and hedging options not using underlying
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- 2014: Market Coupling as the Universal Algorithm to Assess Zonal Divisions
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- 2014: Spatial interactions in agent-based modeling
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- 2014: Hedging of equity-linked with maximal success factor
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- 2014: Stationarity, non-stationarity and early warning signals in economic networks
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- 2014: A Multiple Network Approach to Corporate Governance
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- 2014: The Origin of Fat Tails
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- 2014: The fine structure of volatility feedback II: overnight and intra-day effects
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- 2014: Analytical models of operational risk and new results on the correlation problem
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- 2014: Admissible Trading Strategies under Transaction Costs
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- 2014: Option pricing with non-Gaussian scaling and infinite-state switching volatility
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- 2014: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
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- 2014: Collective Philanthropy: Describing and Modeling the Ecology of Giving
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- 2014: VWAP execution and guaranteed VWAP
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- 2014: Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
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- 2014: Survey data and Bayesian analysis: a cost-efficient way to estimate customer equity
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- 2014: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
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- 2014: Weak and strong no-arbitrage conditions for continuous financial markets
- Claudio Fontana
- 2014: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
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- 2014: Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
- M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou
- 2014: Price manipulation in a market impact model with dark pool
- Florian Kl\"ock, Alexander Schied and Yuemeng Sun
- 2014: The Wishart short rate model
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- 2014: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
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- 2014: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation
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- 2014: An Optimal Consumption-Investment Model with Constraint on Consumption
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- 2014: The role of the information set for forecasting - with applications to risk management
- Hajo Holzmann and Matthias Eulert
- 2014: Predictive regressions for macroeconomic data
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- 2014: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
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- 2014: Analysis of a decision model in the context of equilibrium pricing and order book pricing
- Daniel C. Wagner, Thilo A. Schmitt, Rudi Sch\"afer, Thomas Guhr and Dietrich E. Wolf
- 2014: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
- Damiano Brigo, Qing Liu, Andrea Pallavicini and David Sloth
- 2014: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries
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- 2014: Incorporating a Volatility Smile into the Markov-Functional Model
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- 2014: Measurement and Internalization of Systemic Risk in a Global Banking Network
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- 2014: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
- Jakub Trybu{\l}a and Dariusz Zawisza
- 2014: Reconstruction of density functions by sk-splines
- A. Kushpel and J. Levesley
- 2014: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
- Takashi Shinzato
- 2014: Towards a Monotonicity-Compliant Price Index for the Art Market
- Ventura Charlin and Arturo Cifuentes
- 2014: High-order compact finite difference scheme for option pricing in stochastic volatility models
- Bertram D\"uring and Michel Fourni\'e
- 2014: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Bertram D\"uring, Michel Fourni\'e and Christof Heuer
- 2014: Expected Cash Flow: A Novel Model Of Evaluating Financial Assets
- Magomet Yandiev
- 2014: Approximate aggregation in the neoclassical growth model with ideosyncratic shocks
- Karsten Chipeniuk, Nets Hawk Katz and Todd Walker
- 2014: Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
- Jan Kuklinski, Doinita Negru and Pawel Pliszka
- 2014: Directed Random Market: the equilibrium distribution
- Guy Katriel
- 2014: $L_p$ regularized portfolio optimization
- Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
- 2014: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
- Mark Higgins
- 2014: Smile from the Past: A general option pricing framework with multiple volatility and leverage components
- Adam Aleksander Majewski, Giacomo Bormetti and Fulvio Corsi
- 2014: Stability and Identification with Optimal Macroprudential Policy Rules
- Jean-Bernard Chatelain and Kirsten Ralf
- 2014: Two centuries of trend following
- Y. Lemp\'eri\`ere, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud
- 2014: A Note on the Pricing of Basket Options Using Taylor Approximations
- Pablo Olivares and Alexander Alvarez
- 2014: Estimating nonlinear regression errors without doing regression
- Hong Pi and Carsten Peterson
- 2014: A Dynamical Model of the Industrial Economy of the Humber Region
- Christopher J. K. Knight, Alexandra S. Penn and Rebecca B. Hoyle
- 2014: Pricing of Basket Options Using Polynomial Approximations
- Pablo Olivares
- 2014: Facelifting in Utility Maximization
- Kasper Larsen, H. Mete Soner and Gordan Zitkovic
- 2014: Financial bubbles: mechanisms and diagnostics
- Didier Sornette and Peter Cauwels
- 2014: Bayesian DEJD model and detection of asymmetric jumps
- Maciej Kostrzewski
- 2014: Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
- Nicole El Karoui, Mohamed Mrad and Caroline Hillairet
- 2014: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
- Nicole El Karoui, Caroline Hillairet and Mohamed Mrad
- 2014: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
- Robert Stelzer and Jovana Zavi\v{s}in
- 2014: Impulse Control of a Diffusion with a Change Point
- Lokman A. Abbas-Turki, Ioannis Karatzas and Qinghua Li
- 2014: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- Boualem Djehiche, Hamidou Tembine and Raul Tempone
- 2014: Emergence of communities on a coevolutive model of wealth interchange
- A. Agreda and K. Tucci
- 2014: Parallel American Monte Carlo
- Calypso Herrera and Louis Paulot
- 2014: Utility indifference pricing of derivatives written on industrial loss indexes
- Gunther Leobacher and Philip Ngare
- 2014: On parameter identification in stochastic differential equations by penalized maximum likelihood
- Fabian Dunker and Thorsten Hohage
- 2014: Principal wind turbines for a conditional portfolio approach to wind farms
- Vitor V. Lopes, Teresa Scholz, Frank Raischel and Pedro G. Lind
- 2014: On the range of admissible term-structures
- Areski Cousin and Ibrahima Niang
- 2014: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
- D. Sornette
- 2014: A Note on the Quantile Formulation
- Zuo Quan Xu
- 2014: Systemic risk in dynamical networks with stochastic failure criterion
- B. Podobnik, D. Horvatic, M. Bertella, L. Feng, X. Huang and B. Li
- 2014: Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
- Johan Gunnesson and Alberto Fern\'andez Mu\~noz de Morales
- 2014: The adaptive nature of liquidity taking in limit order books
- Damian Eduardo Taranto, Giacomo Bormetti and Fabrizio Lillo
- 2014: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
- Mauro Bernardi and Lea Petrella
- 2014: Propagation of Economic Shocks in Input-Output Networks: A Cross-Country Analysis
- Martha G. Alatriste Contreras and Giorgio Fagiolo
- 2014: IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax
- Reza Farrahi Moghaddam, Fereydoun Farrahi Moghaddam and Mohamed Cheriet
- 2014: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades
- Teruyoshi Kobayashi
- 2014: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
- Eric Beutner, Janina Schweizer and Antoon Pelsser
- 2014: The Interrupted Power Law and The Size of Shadow Banking
- Davide Fiaschi, Imre Kondor, Matteo Marsili and Valerio Volpati
- 2014: Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
- Andrey Itkin
- 2014: Information, no-arbitrage and completeness for asset price models with a change point
- Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li
- 2014: Asymptotic arbitrage in the Heston model
- Fatma Haba and Antoine Jacquier
- 2014: An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)
- Jacky Mallett
- 2014: Parameter estimation for a subcritical affine two factor model
- Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap
- 2014: High-order short-time expansions for ATM option prices of exponential L\'evy models
- Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Christian Houdr\'e
- 2014: Stochastic target games with controlled loss
- Bruno Bouchard, Ludovic Moreau and Marcel Nutz
- 2014: Involving copula functions in Conditional Tail Expectation
- Brahim Brahimi
- 2014: Asymptotically optimal discretization of hedging strategies with jumps
- Mathieu Rosenbaum and Peter Tankov
- 2014: The structure of optimal portfolio strategies for continuous time markets
- Nikolai Dokuchaev
- 2014: Stable-1/2 Bridges and Insurance
- Edward Hoyle, Lane P. Hughston and Andrea Macrina
- 2014: Posterior Inference in Curved Exponential Families under Increasing Dimensions
- Alexandre Belloni and Victor Chernozhukov
- 2014: An agent-based computational model for China's stock market and stock index futures market
- Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou
- 2014: Pseudo Linear Pricing Rule for Utility Indifference Valuation
- Vicky Henderson and Gechun Liang
- 2014: Evolution of wealth in a nonconservative economy driven by local Nash equilibria
- Pierre Degond, Jian-Guo Liu and Christian Ringhofer
- 2014: Omega risk model with tax
- Zhenyu Cui
- 2014: Anatomy of a Bail-In
- Thomas Conlon and John Cotter
- 2014: Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
- Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti
- 2014: Contextual and Structural Representations of Market-mediated Economic Value
- Bradly Alicea
- 2014: Credit acceptance process strategy case studies - the power of Credit Scoring
- Karol Przanowski
- 2014: Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies
- Stefan Bornholdt and Kim Sneppen
- 2014: Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
- Benedikt Fuchs and Stefan Thurner
- 2014: The role of the "Maximizing Output Growth Inflation Rate" in monetary policy
- Dominique Pépin
- 2014: The Implied Volatility Analysis: The South African Experience
- Romuald N. Kenmoe S and Carine D. Tafou
- 2014: Sophisticated gamblers ruin and survival chances
- Salil Mehta
- 2014: The acceptance-rejection method for low-discrepancy sequences
- Nguyet Nguyen and Giray \"Okten
- 2014: Time-changed CIR default intensities with two-sided mean-reverting jumps
- Rafael Mendoza-Arriaga and Vadim Linetsky
- 2014: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
- Archil Gulisashvili and Josep Vives
- 2014: Portfolio Optimization in Affine Models with Markov Switching
- Marcos Escobar Anel, Daniela Neykova and Rudi Zagst
- 2014: A change of measure preserving the affine structure in the BNS model for commodity markets
- Fred Espen Benth and Salvador Ortiz-Latorre
- 2014: Predicting market instability: New dynamics between volume and volatility
- Zeyu Zheng, Zhi Qiao, Joel N. Tenenbaum, H. Eugene Stanley and Baowen Li
- 2014: Collective behaviours in the stock market -- A maximum entropy approach
- Thomas Bury
- 2014: Which factor dominates the industry evolution? A synergy analysis based on China's ICT industry
- Yaya Li, Yongli Li, Yulin Zhao and Fang Wang
- 2014: Least quartic Regression Criterion with Application to Finance
- Giuseppe Arbia
- 2014: Representation of infinite dimensional forward price models in commodity markets
- Fred Espen Benth and Paul Kr\"uhner
- 2014: Momentum Strategies with L1 Filter
- Tung-Lam Dao
- 2014: A fast Fourier transform method for Mellin-type option pricing
- D. J. Manuge and P. T. Kim
- 2014: Networked relationships in the e-MID Interbank market: A trading model with memory
- Giulia Iori, Rosario Mantegna, Luca Marotta, Salvatore Micciche', James Porter and Michele Tumminello
- 2014: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
- Claudiu Albulescu, Dominique Pépin and Aviral Tiwari
- 2014: Testing for Detailed Balance in a Financial Market
- Rudolf Fiebig and David Musgrove
- 2014: Anomalous impact in reaction-diffusion models
- Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
- 2014: Empirical properties of inter-cancellation durations in the Chinese stock market
- Gao-Feng Gu, Xiong Xiong, Wei Zhang, Yong-Jie Zhang and Wei-Xing Zhou
- 2014: Coherent Chaos Interest Rate Models
- Dorje C. Brody and Stala Hadjipetri
- 2014: Detecting informed activities in European-style option tradings
- Lyudmila A. Glik and Oleg L. Kritski
- 2014: Merton problem with one additional indivisible asset
- Jakub Trybu{\l}a
- 2014: Distribution of the asset price movement and market potential
- Dong Han Kim and Stefano Marmi
- 2014: Quadratic BSDEs with jumps: related non-linear expectations
- M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou
- 2014: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
- Dieter Hendricks and Diane Wilcox
- 2014: Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models
- Michael B. Walker
- 2014: Partial Mutual Information Analysis of Financial Networks
- Paweł Fiedor
- 2014: Introduction to Risk Parity and Budgeting
- Thierry Roncalli
- 2014: High-Order Splitting Methods for Forward PDEs and PIDEs
- Andrey Itkin
- 2014: Do Google Trend data contain more predictability than price returns?
- Damien Challet and Ahmed Bel Hadj Ayed
- 2014: Inside Money, Procyclical Leverage, and Banking Catastrophes
- Charles D. Brummitt, Rajiv Sethi and Duncan J. Watts
- 2014: To bail-out or to bail-in? Answers from an agent-based model
- Peter Klimek, Sebastian Poledna, J. Farmer and Stefan Thurner
- 2014: Modelling the Bid and Ask Prices of Illiquid CDSs
- Michael B. Walker
- 2014: International Transmission of Shocks and Fragility of a Bank Network
- Xiaobing Feng, Woo Seong Jo and Beom Jun Kim
- 2014: On the Frequency of Drawdowns for Brownian Motion Processes
- David Landriault, Bin Li and Hongzhong Zhang
- 2014: Asset Prices and Risk Aversion
- Dominique Pépin
- 2014: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics
- Andreas Joseph, Irena Vodenska, Eugene Stanley and Guanrong Chen
- 2014: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
- Xiangyu Cui, Duan Li and Xun Li
- 2014: Multi-period Trading Prediction Markets with Connections to Machine Learning
- Jinli Hu and Amos Storkey
- 2014: Exchange Rate Predictability in a Changing World
- Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
- 2014: Investing and Stopping
- Moritz Duembgen and L. C. G. Rogers
- 2014: Leverage effect in energy futures
- Ladislav Krištoufek
- 2014: Prospect Theory for Online Financial Trading
- Yang-Yu Liu, Jose C. Nacher, Tomoshiro Ochiai, Mauro Martino and Yaniv Altshuler
- 2014: Mapping systemic risk: critical degree and failures distribution in financial networks
- Matteo Smerlak, Brady Stoll, Agam Gupta and James Magdanz
- 2014: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
- Bin Zou and Abel Cadenillas
- 2014: Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
- Petr Jizba and Jan Korbel
- 2014: Global inequality in energy consumption from 1980 to 2010
- Scott Lawrence, Qin Liu and Victor Yakovenko
- 2014: No-arbitrage conditions and absolutely continuous changes of measure
- Claudio Fontana
- 2014: Predicting trend reversals using market instantaneous state
- Thomas Bury
- 2014: Power identities for L\'evy risk models under taxation and capital injections
- Hansjoerg Albrecher and Jevgenijs Ivanovs
- 2014: Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
- Mikl\'os R\'asonyi and Andrea Meireles Rodrigues
- 2014: Efficient hedging in general Black-Scholes model
- Kyong-Hui Kim and Myong-Guk Sin
- 2014: Do the rich get richer? An empirical analysis of the BitCoin transaction network
- D\'aniel Kondor, M\'arton P\'osfai, Istv\'an Csabai and G\'abor Vattay
- 2014: Measuring risk with multiple eligible assets
- Walter Farkas, Pablo Koch-Medina and Cosimo Munari
- 2014: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
- Taras Bodnar, Arjun K. Gupta and Nestor Parolya
- 2014: Gold, Oil, and Stocks
- Jozef Baruník, Evžen Kočenda and Lukas Vacha
- 2014: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
- Gordan Zitkovic
- 2014: Predicting financial markets with Google Trends and not so random keywords
- Damien Challet and Ahmed Bel Hadj Ayed
- 2014: Strict Local Martingales with Jumps
- Philip Protter
- 2014: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
- Albert Ferreiro-Castilla and Kees van Schaik
- 2014: Permanent market impact can be nonlinear
- Olivier Gu\'eant
- 2014: Coherence and elicitability
- Johanna F. Ziegel
- 2014: A Modern Approach to the Efficient-Market Hypothesis
- Gabriel Frahm
- 2014: On the optimal dividend problem for a spectrally positive Levy process
- Chuancun Yin, Yuzhen Wen and Yongxia Zhao
- 2014: The effect of debt on corporate profitability: Evidence from French service sector
- Mazen Kebewar
- 2014: Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
- Maria B. Chiarolla and Tiziano De Angelis
- 2014: Quadratic BSDEs with jumps: a fixed-point approach
- M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou
- 2014: Exploiting the flexibility of a family of models for taxation and redistribution
- Maria Letizia Bertotti and Giovanni Modanese
- 2014: Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
- Taisei Kaizoji, M. Leiss, A. Saichev and D. Sornette
- 2014: Quantile Regression with Censoring and Endogeneity
- Victor Chernozhukov, Ivan Fernandez-Val and Amanda Kowalski
- 2014: Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
- Hanqing Jin and Yimin Yang
- 2014: Finding informed traders in futures and their inderlying assets in intraday trading
- Lyudmila A. Glik and Oleg L. Kritski
- 2014: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
- Abdelali Gabih, Hakam Kondakji, J\"orn Sass and Ralf Wunderlich
- 2014: The role of information in a two-traders market
- F. Bagarello and Emmanuel Haven
- 2014: Time-dependent Heston model
- G. S. Vasilev
- 2014: Estimation Error of Expected Shortfall
- Imre Kondor
- 2014: Technology Parks Potential for Small and Medium Enterprises
- Anna V. Vilisova and Qiang Fu
- 2014: Densely Entangled Financial Systems
- Bhaskar DasGupta and Lakshmi Kaligounder
- 2014: A debt behaviour model
- Wenjun Zhang and John Holt
- 2014: On Simulation of Various Effects in Consolidated Order Book
- A. O. Glekin, A. Lykov and K. L. Vaninsky
- 2014: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
- M. Koz{\l}owska, T. Gubiec, T. R. Werner, M. Denys, A. Sienkiewicz, R. Kutner and Z. Struzik
- 2014: Information-theoretic approach to lead-lag effect on financial markets
- Paweł Fiedor
- 2014: Systemic Losses Due to Counter Party Risk in a Stylized Banking System
- Annika Birch and Tomaso Aste
- 2014: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
- Matija Pi\v{s}korec, Nino Antulov-Fantulin, Petra Kralj Novak, Igor Mozeti\v{c}, Miha Gr\v{c}ar, Irena Vodenska and Tomislav \v{S}muc
- 2014: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
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- 2014: Estimate nothing
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- 2014: Informational Efficiency under Short Sale Constraints
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- 2014: Optimal consumption and portfolio choice with ambiguity
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- 2014: Local Variance Gamma and Explicit Calibration to Option Prices
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- 2014: Optimal investment for all time horizons and Martin boundary of space-time diffusions
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- 2014: The Skin In The Game Heuristic for Protection Against Tail Events
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- 2014: Cross-border Portfolio Investment Networks and Indicators for Financial Crises
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- 2014: Note on multidimensional Breeden-Litzenberger representation for state price densities
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- 2014: Model-free CPPI
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- 2014: Maximum Lebesgue Extension of Monotone Convex Functions
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- 2014: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals
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- 2014: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
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- 2014: Rationalizing Investors Choice
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- 2014: Leverage-induced systemic risk under Basle II and other credit risk policies
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- 2014: A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
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- 2014: Second-order BSDEs with general reflection and game options under uncertainty
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- 2014: Market structure explained by pairwise interactions
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- 2014: Statistical pairwise interaction model of stock market
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- 2014: Transaction Costs, Shadow Prices, and Duality in Discrete Time
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- 2014: Comparative and qualitative robustness for law-invariant risk measures
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- 2014: Capital requirements with defaultable securities
- Walter Farkas, Pablo Koch-Medina and Cosimo Munari
- 2014: Killed Brownian motion with a prescribed lifetime distribution and models of default
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- 2014: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
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- 2014: A Coupled Markov Chain Approach to Credit Risk Modeling
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