Papers

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2018: Possibilistic investment models with background risk: Irina Georgescu
2018: Stochastic Estimated Risk for Storage Capacity: Revathi Anil Kumar and Mark Chamness
2018: Quantum Brownian oscillator for the stock market: Jasmina Jekni\'c-Dugi\'c, Sonja Radi\' C, Igor Petrovi\'c, Momir Arsenijevi\'c and Miroljub Dugi\'c
2018: Investigating Limit Order Book Characteristics for Short Term Price Prediction: a Machine Learning Approach: Faisal I Qureshi
2018: An Inattention Model for Traveler Behavior with e-Coupons: Han Qiu
2018: Modeling tax distribution in metropolitan regions with PolicySpace: Bernardo Furtado
2018: Schr\"{o}dinger type equation for subjective identification of supply and demand: Marcin Makowski, Edward W. Piotrowski and Jan S{\l}adkowski
2018: E-commerce in Hungary: A Market Analysis: Szabolcs Nagy
2018: Selling Wind: Ali Kakhbod, Asuman Ozdaglar and Ian Schneider
2018: Thought Viruses and Asset Prices: Wolfgang Kuhle
2018: The gruesome murder of Jamal Khashoggi: Saudi Arabia's new economy dream at risk ?: Jamal Bouoiyour and Refk Selmi
2018: Predicting "Design Gaps" in the Market: Deep Consumer Choice Models under Probabilistic Design Constraints: Alex Burnap and John Hauser
2018: How to avoid the zero-power trap in testing for correlation: David Preinerstorfer
2018: Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning: Reaz Chowdhury, M. R. C. Mahdy, Tanisha Nourin Alam and Golam Dastegir Al Quaderi
2018: Multimodal deep learning for short-term stock volatility prediction: Marcelo Sardelich and Suresh Manandhar
2018: Cartel Stability under Quality Differentiation: Iwan Bos and Marco Marini
2018: Optimizing Market Making using Multi-Agent Reinforcement Learning: Yagna Patel
2018: Revisiting Transformation and Directional Technology Distance Functions: Yaryna Kolomiytseva
2018: Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting: Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
2018: A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model: Olesya Grishchenko, Xiao Han and Victor Nistor
2018: Characterization of the Ito Integral: Lars Nielsen
2018: Robust Tests for Convergence Clubs: Luisa Corrado, Melvyn Weeks, Thanasis Stengos and Ege Yazgan
2018: The Price of BitCoin: GARCH Evidence from High Frequency Data: Pavel Ciaian, d'Artis Kancs and Miroslava Rajcaniova
2018: An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk: Lucia Cipolina-Kun, Ignacio Ruiz and Mariano Zero-Medina Laris
2018: Poverty, Income Inequality and Growth in Bangladesh: Revisited Karl-Marx: Md Niaz Murshed Chowdhury and Md. Mobarak Hossain
2018: How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades: Stephan Grimm and Thomas Guhr
2018: Internal migration and education: A cross-national comparison: Aude Bernard and Martin Bell
2018: Affine Rough Models: Martin Keller-Ressel, Martin Larsson and Sergio Pulido
2018: An optimization approach to adaptive multi-dimensional capital management: G. A. Delsing, M. R. H. Mandjes, P. J. C. Spreij and E. M. M. Winands
2018: Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios: Hossein Nadeb, Hamzeh Torabi and Ali Dolati
2018: Estimating biomass migration parameters by analyzing the spatial behavior of the fishing fleet: Hugo Salgado and Ariel Soto
2018: Social security and labor absenteeism in a regional health service: Ariel Soto, Roberto Herrera Cofre and Rodrigo Fuentes Solis
2018: Spreading of an infectious disease between different locations: Alessio Muscillo, Paolo Pin and Tiziano Razzolini
2018: Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm: Mostafa Zandieh and Seyed Omid Mohaddesi
2018: Emergence of stylized facts during the opening of stock markets: Sebastian M. Krause, Jonas A. Fiegen and Thomas Guhr
2018: A new time-varying model for forecasting long-memory series: Luisa Bisaglia and Matteo Grigoletto
2018: Double Majority and Generalized Brexit: Explaining Counterintuitive Results: Werner Kirsch, Wojciech S{\l}omczy\'nski, Dariusz Stolicki and Karol \.Zyczkowski
2018: The risk of contagion spreading and its optimal control in the economy: Olena Kostylenko, Helena Sofia Rodrigues and Delfim F. M. Torres
2018: Systemic risk governance in a dynamical model of a banking system: Lorella Fatone and Francesca Mariani
2018: Optimal Dynamic Allocation of Attention: Yeon-Koo Che and Konrad Mierendorff
2018: Ordering the smallest claim amounts from two sets of interdependent heterogeneous portfolios: Hossein Nadeb, Hamzeh Torabi and Ali Dolati
2018: The Rank Effect: Ricardo Fernholz and Christoffer Koch
2018: Apropiaci\'on privada de renta de recursos naturales? El caso del cobre en Chile: Benjam\'in Leiva
2018: A theoretical framework to consider energy transfers within growth theory: Benjamin Leiva, Octavio Ramirez and John R. Schramski
2018: Trade Selection with Supervised Learning and OCA: David Saltiel and Eric Benhamou
2018: Monetary Measures of Risk: Andreas H Hamel
2018: A Numerical Analysis of the Modified Kirk's Formula and Applications to Spread Option Pricing Approximations a numerical analysis of the modified kirk's formula and applications to spread option pricing approximations: Suren Harutyunyan and Adri\`A Masip Borr\`As
2018: Influence of High-Speed Railway System on Inter-city Travel Behavior in Vietnam: Tho V. Le, Junyi Zhang, Makoto Chikaraishi and Akimasa Fujiwara
2018: Shattering the glass ceiling? How the institutional context mitigates the gender gap in entrepreneurship: Christopher Boudreaux and Boris Nikolaev
2018: Mutual Conversion Between Preference Maps And Cook-Seiford Vectors: Fujun Hou
2018: Machine-learned patterns suggest that diversification drives economic development: Charles D. Brummitt, Andres Gomez-Lievano, Ricardo Hausmann and Matthew H. Bonds
2018: A supreme test for periodic explosive GARCH: Stefan Richter, Weining Wang and Wei Biao Wu
2018: Optimal Dynamic Auctions are Virtual Welfare Maximizers: Vahab Mirrokni, Renato Paes Leme, Pingzhong Tang and Song Zuo
2018: Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy: Sonam Srivastava and Ritabratta Bhattacharya
2018: Using published bid/ask curves to error dress spot electricity price forecasts: Gunnhildur H. Steinbakk, Alex Lenkoski, Ragnar Bang Huseby, Anders L{\o}land and Tor Arne {\O}ig{\aa}rd
2018: Quantification of market efficiency based on informational-entropy: Roland Rothenstein
2018: The Alpha-Heston Stochastic Volatility Model: Ying Jiao, Chunhua Ma, Simone Scotti and Chao Zhou
2018: On dynamics of wage-price spiral and stagflation in some model economic systems: Afifa Alintissar, Abdelkader Intissar and Jean-karim Intissar
2018: Necessary and Probably Sufficient Test for Finding Valid Instrumental Variables: Amit Sharma
2018: Column Generation Algorithms for Nonparametric Analysis of Random Utility Models: Bart Smeulders
2018: Modelling China's Credit System with Complex Network Theory for Systematic Credit Risk Control: Xuan Lu, Li Huang and Kangjuan Lyu
2018: The Income Fluctuation Problem with Capital Income Risk: Optimality and Stability: Qingyin Ma, John Stachurski and Alexis Akira Toda
2018: An Optimal Extraction Problem with Price Impact: Giorgio Ferrari and Torben Koch
2018: Strategically Simple Mechanisms: Tilman Börgers and Jiangtao Li
2018: Effects of forecast errors on optimal utilisation in aggregate production planning with stochastic customer demand: Klaus Altendorfer, Thomas Felberbauer and Herbert Jodlbauer
2018: Optimal Resource Allocation over Networks via Lottery-Based Mechanisms: Soham R. Phade and Venkat Anantharam
2018: Ordeal Mechanisms, Information, and the Cost-Effectiveness of Subsidies: Evidence from Subsidized Eyeglasses in Rural China: Sean Sylvia, Xiaochen Ma, Yaojiang Shi, Scott Rozelle and C.-Y. Cynthia Lin Lawell
2018: Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets: Eric Benhamou
2018: Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing: Mitja Stadje
2018: Bayesian Alternatives to the Black-Litterman Model: Mihnea S. Andrei and John S. J. Hsu
2018: Model instability in predictive exchange rate regressions: Niko Hauzenberger and Florian Huber
2018: Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives: Raymond Brummelhuis and Zhongmin Luo
2018: Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness: Gholamreza Hajargasht and D.S. Prasada Rao
2018: Reframing the S\&P500 Network of Stocks along the \nth{21} Century: Tanya Ara\'ujo and Maximilian G\"obel
2018: Machine Learning Estimation of Heterogeneous Causal Effects: Empirical Monte Carlo Evidence: Michael Knaus, Michael Lechner and Anthony Strittmatter
2018: Geometric Local Variance Gamma model: Peter Carr and Andrey Itkin
2018: Unfolding the complexity of the global value chain: Strengths and entropy in the single-layer, multiplex, and multi-layer international trade networks: Luiz G. A. Alves, Giuseppe Mangioni, Francisco A. Rodrigues, Pietro Panzarasa and Yamir Moreno
2018: Uniform Inference in High-Dimensional Gaussian Graphical Models: Sven Klaassen, Jannis K\"uck, Martin Spindler and Victor Chernozhukov
2018: Reflected maxmin copulas and modelling quadrant subindependence: Toma\v{z} Ko\v{s}ir and Matja\v{z} Omladi\v{c}
2018: A maximum entropy network reconstruction of macroeconomic models: Aur\'elien Hazan
2018: Incremental Sharpe and other performance ratios: Eric Benhamou and Beatrice Guez
2018: Bring a friend! Privately or Publicly?: Elias Carroni, Paolo Pin and Simone Righi
2018: A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral: Hovik Tumasyan
2018: The Multivariate Kyle model: More is different: Luis Carlos Garc\'ia del Molino, Iacopo Mastromatteo, Michael Benzaquen and Jean-Philippe Bouchaud
2018: Limit Theory for Moderate Deviation from Integrated GARCH Processes: Yubo Tao
2018: Impact of Contingent Payments on Systemic Risk in Financial Networks: Tathagata Banerjee and Zachary Feinstein
2018: Optimal Investment, Demand and Arbitrage under Price Impact: Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
2018: Conditional heteroskedasticity in crypto-asset returns: Charles Shaw
2018: Affine processes beyond stochastic continuity: Martin Keller-Ressel, Thorsten Schmidt and Robert Wardenga
2018: Ruin probabilities for two collaborating insurance companies: Zbigniew Michna
2018: Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework: Alessandro Casini
2018: Pathwise moderate deviations for option pricing: Antoine Jacquier and Konstantinos Spiliopoulos
2018: Robust utility maximization in markets with transaction costs: Huy N. Chau and Miklos Rasonyi
2018: An Expanded Local Variance Gamma model: Peter Carr and Andrey Itkin
2018: On the binomial approximation of the American put: Damien Lamberton
2018: A Neural Stochastic Volatility Model: Rui Luo, Weinan Zhang, Xiaojun Xu and Jun Wang
2018: Estimation Considerations in Contextual Bandits: Maria Dimakopoulou, Zhengyuan Zhou, Susan Athey and Guido Imbens
2018: Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models: Yuan Liao and Xiye Yang
2018: Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs: Zhou Yang, Gechun Liang and Chao Zhou
2018: Existence in Multidimensional Screening with General Nonlinear Preferences: Kelvin Shuangjian Zhang
2018: Market Delay and G-expectations: Yan Dolinsky and Jonathan Zouari
2018: The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case: Yu-Jui Huang and Zhou Zhou
2018: Pathwise large deviations for the Rough Bergomi model: Antoine Jacquier, Mikko S. Pakkanen and Henry Stone
2018: Financial Series Prediction: Comparison Between Precision of Time Series Models and Machine Learning Methods: Xin-Yao Qian
2018: Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition: Takanori Adachi and Michal Fabinger
2018: The randomised Heston model: Antoine Jacquier and Fangwei Shi
2018: Statistical Industry Classification: Zura Kakushadze and Willie Yu
2018: Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations: Sylwester Arabas and Ahmad Farhat
2018: Random selection of factors preserves the correlation structure in a linear factor model to a high degree: Antti J. Tanskanen, Jani Lukkarinen and Kari Vatanen
2018: Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables: Jozef Barun\'ik and Tobias Kley
2018: Estimating topological properties of weighted networks from limited information: Giulio Cimini, Tiziano Squartini, Andrea Gabrielli and Diego Garlaschelli
2018: Structure conditions under progressively added information: Tahir Choulli and Jun Deng
2018: Individual and Time Effects in Nonlinear Panel Models with Large N, T: Ivan Fernandez-Val and Martin Weidner
2018: Elementary Microeconomics of the Talmudic Rule: Anton Salikhmetov
2018: Geobiodynamics and Roegenian Economic Systems: Constantin Udriste, Massimiliano Ferrara, Dorel Zugravescu, Florin Munteanu and Ionel Tevy
2018: Economic Cycles of Carnot Type: Constantin Udriste, Vladimir Golubyatnikov and Ionel Tevy
2018: Phase Diagram for Roegenian Economics: Constantin Udriste, Massimiliano Ferrara, Ionel Tevy, Dorel Zugravescu and Florin Munteanu
2018: In (Stochastic) Search of a Fairer Alife: Dmitriy Volinskiy, Lana Cuthbertson and Omid Ardakanian
2018: General Compound Hawkes Processes in Limit Order Books: Anatoliy Swishchuk and Aiden Huffman
2018: Predicting future stock market structure by combining social and financial network information: Th\'arsis T. P. Souza and Tomaso Aste
2018: Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds: Greg Kirczenow, Masoud Hashemi, Ali Fathi and Matt Davison
2018: Fair Odds for Noisy Probabilities: Ulrik W. Nash
2018: Why are prices proportional to embodied energies?: Benjamin Leiva
2018: A Residual Bootstrap for Conditional Expected Shortfall: Alexander Heinemann and Sean Telg
2018: Modelling Social Evolutionary Processes and Peer Effects in Agricultural Trade Networks: the Rubber Value Chain in Indonesia: Thomas Kopp and Jan Salecker
2018: Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling: Moshe Milevsky
2018: Lagged correlation-based deep learning for directional trend change prediction in financial time series: Ben Moews, J. Michael Herrmann and Gbenga Ibikunle
2018: Robust Classification of Financial Risk: Suproteem K. Sarkar, Kojin Oshiba, Daniel Giebisch and Yaron Singer
2018: Analysis of the problem of intervention control in the economy on the basis of solving the problem of tuning: Peter Shnurkov and Daniil Novikov
2018: LM-BIC Model Selection in Semiparametric Models: Ivan Korolev
2018: Bull Bear Balance: A Cluster Analysis of Socially Informed Financial Volatility: Jonathan Manfield, Derek Lukacsko and Th\'arsis T. P. Souza
2018: BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books: Zihao Zhang, Stefan Zohren and Stephen Roberts
2018: The implied longevity curve: How long does the market think you are going to live?: Moshe Milevsky, Thomas S. Salisbury and Alexander Chigodaev
2018: Retirement spending and biological age: Huaxiong Huang, Moshe Milevsky and Thomas S. Salisbury
2018: Lee-Carter method for forecasting mortality for Peruvian Population: J. Cerda-Hern\'andez and A. Sikov
2018: Idiosyncrasies and challenges of data driven learning in electronic trading: Vangelis Bacoyannis, Vacslav Glukhov, Tom Jin, Jonathan Kochems and Doo Re Song
2018: High Dimensional Classification through $\ell_0$-Penalized Empirical Risk Minimization: Le-Yu Chen and Sokbae (Simon) Lee
2018: New dynamics of energy use and CO2 emissions in China: Zhu Liu, Bo Zheng and Qiang Zhang
2018: The transmission of liquidity shocks via China's segmented money market: evidence from recent market events: Ruoxi Lu, David Bessler and David Leatham
2018: Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning: Ali Al-Aradi, Adolfo Correia, Danilo Naiff, Gabriel Jardim and Yuri Saporito
2018: Entropy and Transfer Entropy: The Dow Jones and the build up to the 1997 Asian Crisis: Michael S. Harre
2018: Neural Network for CVA: Learning Future Values: Jian-Huang She and Dan Grecu
2018: A sparse grid approach to balance sheet risk measurement: Cyril B\'en\'ezet, J\'er\'emie Bonnefoy, Jean-Fran\c{c}ois Chassagneux, Shuoqing Deng, Camilo Garcia Trillos and Lionel Len\^otre
2018: The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts: Christopher Kath and Florian Ziel
2018: A possible alternative evaluation method for the non-use and nonmarket values of ecosystem services: Shuyao Wu and Shuangcheng Li
2018: An updated review of (sub-)optimal diversification models: Johannes Bock
2018: Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity: Helmut L\"utkepohl and Tomasz Wo\'zniak
2018: Modeling aggressive market order placements with Hawkes factor models: Hai-Chuan Xu and Wei-Xing Zhou
2018: The ETS challenges: a machine learning approach to the evaluation of simulated financial time series for improving generation processes: Javier Franco-Pedroso, Joaquin Gonzalez-Rodriguez, Maria Planas, Jorge Cubero, Rafael Cobo and Fernando Pablos
2018: On the degree of incompleteness of an incomplete financial market: Abdelkarem Berkaoui
2018: CVA and vulnerable options pricing by correlation expansions: Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
2018: A Big data analytical framework for portfolio optimization: Dhanya Jothimani, Ravi Shankar and Surendra S. Yadav
2018: Bayesian learning for the Markowitz portfolio selection problem: Carmine De Franco, Johann Nicolle and Huy\^en Pham
2018: Evolution and structure of technological systems - An innovation output network: Josef Taalbi
2018: Economics of Human-AI Ecosystem: Value Bias and Lost Utility in Multi-Dimensional Gaps: Daniel Muller
2018: The effects of non-tariff measures on agri-food trade: a review and meta-analysis of empirical evidence: Fabio Santeramo and Emilia Lamonaca
2018: Leveraging Financial News for Stock Trend Prediction with Attention-Based Recurrent Neural Network: Huicheng Liu
2018: Measuring Knowledge for Recognition and Knowledge Entropy: Fujun Hou
2018: Operator-Theoretical Treatment of Ergodic Theorem and Its Application to Dynamic Models in Economics: Shizhou Xu
2018: Navigating the Cryptocurrency Landscape: An Islamic Perspective: Hina Binte Haq and Syed Taha Ali
2018: Estimation of High-Dimensional Seemingly Unrelated Regression Models: Lidan Tan, Khai X. Chiong and Hyungsik Moon
2018: Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution: Seungki Min, Costis Maglaras and Ciamac C. Moallemi
2018: Health Care Expenditures, Financial Stability, and Participation in the Supplemental Nutrition Assistance Program (SNAP): Yunhee Chang, Jinhee Kim and Swarnankur Chatterjee
2018: Predicting Distresses using Deep Learning of Text Segments in Annual Reports: Rastin Matin, Casper Hansen, Christian Hansen and Pia M{\o}lgaard
2018: Crossover from linear to square-Root market impact: Fr\'ed\'eric Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
2018: Exploring the role of talent and luck in getting success: Alessandro Pluchino, Alessio. E. Biondo and Andrea Rapisarda
2018: How to Increase Global Wealth Inequality for Fun and Profit: Bruce Knuteson
2018: A Simple Combinatorial Model of World Economic History: Roger Koppl, Abigail Devereaux, Jim Herriot and Stuart Kauffman
2018: Capital Structure and Speed of Adjustment in U.S. Firms. A Comparative Study in Microeconomic and Macroeconomic Conditions - A Quantille Regression Approach: Andreas Kaloudis and Dimitrios Tsolis
2018: A Model of Competing Narratives: Kfir Eliaz and Ran Spiegler
2018: A framework for simulating systemic risk and its application to the South African banking sector: Nadine M Walters, Conrad Beyers, Gusti van Zyl and Rolf van den Heever
2018: Bootstrapping Structural Change Tests: Otilia Boldea, Adriana Cornea-Madeira and Alastair R. Hall
2018: How does stock market volatility react to oil shocks?: Andrea Bastianin and Matteo Manera
2018: Endogeneous Dynamics of Intraday Liquidity: Miko{\l}aj Bi\'nkowski and Charles-Albert Lehalle
2018: Optimal trading using signals: Hadrien De March and Charles-Albert Lehalle
2018: Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series: Qiang Zhang, Rui Luo, Yaodong Yang and Yuanyuan Liu
2018: Multi-channel discourse as an indicator for Bitcoin price and volume movements: Marvin Aron Kennis
2018: Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals: Ellie Birbeck and Dave Cliff
2018: Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market: Arthur le Calvez and Dave Cliff
2018: Nonparametric Analysis of Finite Mixtures: Yuichi Kitamura and Louise Laage
2018: Time will tell - Recovering Preferences when Choices are Noisy: Carlos Alós-Ferrer, Ernst Fehr and Nick Netzer
2018: Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures: Hayette Gatfaoui
2018: The impact of air transport availability on research collaboration: A case study of four universities: Adam Ploszaj, Xiaoran Yan and Katy Borner
2018: Randomization Tests for Equality in Dependence Structure: Juwon Seo
2018: A Splitting Strategy for the Calibration of Jump-Diffusion Models: Vinicius Albani and Jorge Zubelli
2018: Characterizing Permissibility, Proper Rationalizability, and Iterated Admissibility by Incomplete Information: Shuige Liu
2018: A Stochastic Control Approach to Managed Futures Portfolios: Tim Leung and Raphael Yan
2018: Better to stay apart: asset commonality, bipartite network centrality, and investment strategies: Andrea Flori, Fabrizio Lillo, Fabio Pammolli and Alessandro Spelta
2018: An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions: J. Martin van Zyl
2018: Corrigendum to "Managerial Incentive Problems: A Dynamic Perspective": Sander Heinsalu
2018: Aggressive Economic Incentives and Physical Activity: The Role of Choice and Technology Decision Aids: Idris Adjerid, Rachael Purta, Aaron Striegel and George Loewenstein
2018: Offline Multi-Action Policy Learning: Generalization and Optimization: Zhengyuan Zhou, Susan Athey and Stefan Wager
2018: Semi-supervised Text Regression with Conditional Generative Adversarial Networks: Tao Li, Xudong Liu and Shihan Su
2018: A Moral Framework for Understanding of Fair ML through Economic Models of Equality of Opportunity: Hoda Heidari, Michele Loi, Krishna P. Gummadi and Andreas Krause
2018: Adversarial Deep Reinforcement Learning in Portfolio Management: Zhipeng Liang, Hao Chen, Junhao Zhu, Kangkang Jiang and Yanran Li
2018: How does latent liquidity get revealed in the limit order book?: Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
2018: Machine Learning for Dynamic Discrete Choice: Vira Semenova
2018: Mining Illegal Insider Trading of Stocks: A Proactive Approach: Sheikh Rabiul Islam, Sheikh Khaled Ghafoor and William Eberle
2018: Herding behavior in cryptocurrency markets: Obryan Poyser
2018: Anticipating cryptocurrency prices using machine learning: Laura Alessandretti, Abeer ElBahrawy, Luca Maria Aiello and Andrea Baronchelli
2018: Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints: Yu-Jui Huang and Saeed Khalili
2018: Optimal inventory management and order book modeling: Nicolas Baradel, Bruno Bouchard, David Evangelista and Othmane Mounjid
2018: How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness: Nassim Nicholas Taleb
2018: Particle-without-Particle: a practical pseudospectral collocation method for linear partial differential equations with distributional sources: Marius Oltean, Carlos F. Sopuerta and Alessandro D. A. M. Spallicci
2018: Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets: Lorenz Schneider and Bertrand Tavin
2018: Heterogeneous structural breaks in panel data models: Ryo Okui and Wendun Wang
2018: Robust martingale selection problem and its connections to the no-arbitrage theory: Matteo Burzoni and Mario Sikic
2018: Robust expected utility maximization with medial limits: Daniel Bartl, Patrick Cheridito and Michael Kupper
2018: Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view: Bruno Bouchard, Ki Chau, Arij Manai and Ahmed Sid-Ali
2018: The effects of energy and commodity prices on commodity output in a three-factor, two-good general equilibrium trade model: Yoshiaki Nakada
2018: Shape-Constrained Density Estimation via Optimal Transport: Ryan Cumings-Menon
2018: Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL: Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
2018: Wavelet-based methods for high-frequency lead-lag analysis: Takaki Hayashi and Yuta Koike
2018: Model-free bounds on Value-at-Risk using extreme value information and statistical distances: Thibaut Lux and Antonis Papapantoleon
2018: Existence and uniqueness results for BSDEs with jumps: the whole nine yards: Antonis Papapantoleon, Dylan Possama\"i and Alexandros Saplaouras
2018: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications: Ren\'e A\"id, Matteo Basei, Giorgia Callegaro, Luciano Campi and Tiziano Vargiolu
2018: Equity forecast: Predicting long term stock price movement using machine learning: Nikola Milosevic
2018: Is It Possible to OD on Alpha?: Zura Kakushadze and Jim Kyung-Soo Liew
2018: Selling Multiple Correlated Goods: Revenue Maximization and Menu-Size Complexity (old title: "The Menu-Size Complexity of Auctions"): Sergiu Hart and Noam Nisan
2018: The Affordable Care Act and the IRS Iterative Fixed Point Procedure: Samuel J. Ferguson
2018: Risk-Neutral Pricing and Hedging of In-Play Football Bets: Sebastian del Bano Rollin, Zsolt Bihari and Tomaso Aste
2018: Surplus sharing with coherent utility functions: Delia Coculescu and Freddy Delbaen
2018: Quantum Structures in Human Decision-making: Towards Quantum Expected Utility: Sandro Sozzo
2018: Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models: Ying-Ying Lee
2018: Affine Jump-Diffusions: Stochastic Stability and Limit Theorems: Xiaowei Zhang and Peter W. Glynn
2018: Nighttime Light, Superlinear Growth, and Economic Inequalities at the Country Level: Ore Koren and Laura Mann
2018: Asset Price Distributions and Efficient Markets: Ricardo Fernholz and Caleb Stroup
2018: Semiparametrically efficient estimation of the average linear regression function: Bryan Graham and Cristine Pinto
2018: Option market (in)efficiency and implied volatility dynamics after return jumps: Juho Kanniainen and Martin Magris
2018: Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features: Michelle B Graczyk and Silvio M D Queir\'os
2018: Systemic Greeks: Measuring risk in financial networks: Nils Bertschinger and Julian Stobbe
2018: Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization: Sona Kilianova and Daniel Sevcovic
2018: Economic Impact of Wind Generation Penetration in the Colombian Electricity Market: Alvaro Gonzalez-Castellanos, David Pozo, Sergio Martinez, Luis Lopez and Ingrid Oliveros
2018: Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets: Brian F. Tivnan, David Slater, James R. Thompson, Tobin A. Bergen-Hill, Carl D. Burke, Shaun M. Brady, Matthew T. K. Koehler, Matthew T. McMahon, Brendan F. Tivnan and Jason Veneman
2018: Defining and estimating stochastic rate change in a dynamic general insurance portfolio: Roland R. Ramsahai
2018: Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data: Ymir M\"akinen, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2018: Spanning Tests for Markowitz Stochastic Dominance: Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou
2018: How Not To Do Mean-Variance Analysis: Vic Norton
2018: The Case for Formation of ISP-Content Providers Consortiums by Nash Bargaining for Internet Content Delivery: Debasis Mitra and Abhinav Sridhar
2018: A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization: Jize Zhang, Tim Leung and Aleksandr Aravkin
2018: The Losses from Integration in Matching Markets can be Large: Josu\'e Ortega
2018: Using Deep Learning for price prediction by exploiting stationary limit order book features: Avraam Tsantekidis, Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
2018: Expropriations, Property Confiscations and New Offshore Entities: Evidence from the Panama Papers: Ralph-C Bayer, Roland Hodler, Paul Raschky and Anthony Strittmatter
2018: Asset allocation: new evidence through network approaches: Gian Paolo Clemente, Rosanna Grassi and Asmerilda Hitaj
2018: Cliquet option pricing in a jump-diffusion L\'{e}vy model: Markus Hess
2018: Model Selection Techniques -- An Overview: Jie Ding, Vahid Tarokh and Yuhong Yang
2018: Multivariate stable distributions and their applications for modelling cryptocurrency-returns: Szabolcs Majoros and Andr\'as Zempl\'eni
2018: Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems: Jingtang Ma, Jie Xing and Harry Zheng
2018: Hyperfinite Construction of $G$-expectation: Tolulope Fadina and Frederik Herzberg
2018: Description of Incomplete Financial Markets for the Discrete Time Evolution of Risk Assets: N. S. Gonchar
2018: Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models: Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schl\"ogl
2018: CNNPred: CNN-based stock market prediction using several data sources: Ehsan Hoseinzade and Saman Haratizadeh
2018: Reverse Quantum Annealing Approach to Portfolio Optimization Problems: Davide Venturelli and Alexei Kondratyev
2018: Portfolio Construction Matters: Stefano Ciliberti and Stanislao Gualdi
2018: A common trajectory recapitulated by urban economies: Inho Hong, Morgan R. Frank, Iyad Rahwan, Woo-Sung Jung and Hyejin Youn
2018: Quantile Regression Under Memory Constraint: Xi Chen, Weidong Liu and Yichen Zhang
2018: Implied and Realized Volatility: A Study of the Ratio Distribution: M. Dashti Moghaddam and R. A. Serota
2018: Optimal policy design for the sugar tax: Kelly Geyskens, Alexander Grigoriev, Niels Holtrop and Anastasia Nedelko
2018: A Path Integral Approach to Business Cycle Models with Large Number of Agents: Aïleen Lotz, Pierre Gosselin and Marc Wambst
2018: Constructing energy accounts for WIOD 2016 release: Viktoras Kulionis
2018: Opinion Dynamics via Search Engines (and other Algorithmic Gatekeepers): Fabrizio Germano and Francesco Sobbrio
2018: Predicting digital asset market based on blockchain activity data: Zvezdin Besarabov and Todor Kolev
2018: Replica Analysis for Maximization of Net Present Value: Takashi Shinzato
2018: On the sensitivity analysis of energy quanto options: Rodwell Kufakunesu and Farai Mhlanga
2018: Using generalized estimating equations to estimate nonlinear models with spatial data: Cuicui Lu, Weining Wang and Jeffrey Wooldridge
2018: The Broad Consequences of Narrow Banking: Matheus R Grasselli and Alexander Lipton
2018: Deriving the factor endowment--commodity output relationship for Thailand (1920-1927) using a three-factor two-good general equilibrium trade model: Yoshiaki Nakada
2018: Complex Valued Risk Diversification: Yusuke Uchiyama, Takanori Kadoya and Kei Nakagawa
2018: Critical review of models, containing cultural levels beyond the organizational one: Kiril Dimitrov
2018: Dividend Policy and Capital Structure of a Defaultable Firm: Alex S. L. Tse
2018: Wide and Deep Learning for Peer-to-Peer Lending: Kaveh Bastani, Elham Asgari and Hamed Namavari
2018: Deep calibration of rough stochastic volatility models: Christian Bayer and Benjamin Stemper
2018: Evaluating regulatory reform of network industries: a survey of empirical models based on categorical proxies: Andrea Bastianin, Paolo Castelnovo and Massimo Florio
2018: Social capital at venture capital firms and their financial performance: Evidence from China: Qi-lin Cao, Hua-yun Xiang, You-jia Mao and Ben-zhang Yang
2018: The Model Selection Curse: Kfir Eliaz and Ran Spiegler
2018: A General Sensitivity Analysis Approach for Demand Response Optimizations: Ding Xiang and Ermin Wei
2018: Contemporary facets of business successes among leading companies, operating in Bulgaria: Kiril Dimitrov
2018: Geert Hofstede et al's set of national cultural dimensions - popularity and criticisms: Kiril Dimitrov
2018: Dominating Attributes Of Professed Firm Culture Of Holding Companies - Members Of The Bulgarian Industrial Capital Association: Kiril Dimitrov and Marin Geshkov
2018: Talent management - an etymological study: Kiril Dimitrov
2018: Exploring the nuances in the relationship "culture-strategy" for the business world: Kiril Dimitrov
2018: Completeness and Transitivity of Preferences on Mixture Sets: Tsogbadral Galaabaatar, M. Khan and Metin Uyan{\i}k
2018: On the First Hitting Time Density of an Ornstein-Uhlenbeck Process: Alexander Lipton and Vadim Kaushansky
2018: A Machine Learning-based Recommendation System for Swaptions Strategies: Adriano Soares Koshiyama, Nikan Firoozye and Philip Treleaven
2018: District heating systems under high CO2 emission prices: the role of the pass-through from emission cost to electricity prices: Sebastian Wehrle and Johannes Schmidt
2018: Topological Connectedness and Behavioral Assumptions on Preferences: A Two-Way Relationship: M. Khan and Metin Uyan{\i}k
2018: Disability for HIV and Disincentives for Health: The Impact of South Africa's Disability Grant on HIV/AIDS Recovery: Noah Haber, Till B\"arnighausen, Jacob Bor, Jessica Cohen, Frank Tanser, Deenan Pillay and Günther Fink
2018: Granger causality on horizontal sum of Boolean algebras: M. Bohdalov\'a, M. Kalina and O. N\'an\'asiov\'a
2018: Deep Factor Model: Kei Nakagawa, Takumi Uchida and Tomohisa Aoshima
2018: Selectivity correction in discrete-continuous models for the willingness to work as crowd-shippers and travel time tolerance: Tho V. Le and Satish V. Ukkusuri
2018: Methods and Concepts in Economic Complexity: Andres Gomez-Lievano
2018: Eliciting the Endowment Effect under Assigned Ownership: Patrick Barranger, Rohit Nair, Rob Mulla and Shane Conner
2018: Selling Information: Weijie Zhong
2018: Modeling Nelson-Siegel Yield Curve using Bayesian Approach: Sourish Das
2018: Colombian export capabilities: building the firms-products network: Matteo Bruno, Fabio Saracco, Tiziano Squartini and Marco Due\~nas
2018: Deeply Learning Derivatives: Ryan Ferguson and Andrew Green
2018: Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler: Arthur T. Rego and Thiago R. dos Santos
2018: A model for stocks dynamics based on a non-Gaussian path integral: Giovanni Paolinelli and Gianni Arioli
2018: Model-free trading and hedging with continuous price paths: Tigran Atoyan
2018: Tests for price indices in a dynamic item universe: Li-Chun Zhang, Ingvild Johansen and Ragnhild Nygaard
2018: Complexity of products: the effect of data regularisation: Orazio Angelini and Tiziana Di Matteo
2018: Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model: Hyeong Kyu Choi
2018: A new and stable estimation method of country economic fitness and product complexity: Vito D. P. Servedio, Paolo Butt\`a, Dario Mazzilli, Andrea Tacchella and Luciano Pietronero
2018: A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality: Torsten Trimborn
2018: Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis: Yoshiaki Nakada
2018: Approximation of Some Multivariate Risk Measures for Gaussian Risks: E. Hashorva
2018: Theoretical and empirical analysis of trading activity: Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic Tangpi
2018: A bootstrap test to detect prominent Granger-causalities across frequencies: Matteo Farn\'e and Angela Montanari
2018: Economic Implications of Blockchain Platforms: Jun Aoyagi and Daisuke Adachi
2018: Optimization of Fire Sales and Borrowing in Systemic Risk: Maxim Bichuch and Zachary Feinstein
2018: Dynamical regularities of US equities opening and closing auctions: Damien Challet and Nikita Gourianov
2018: Affine forward variance models: Jim Gatheral and Martin Keller-Ressel
2018: SABCEMM-A Simulator for Agent-Based Computational Economic Market Models: Torsten Trimborn, Philipp Otte, Simon Cramer, Max Beikirch, Emma Pabich and Martin Frank
2018: The Better Half of Selling Separately: Sergiu Hart and Philip J. Reny
2018: Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time: Yu-Jui Huang and Zhou Zhou
2018: Cointegration in functional autoregressive processes: Massimo Franchi and Paolo Paruolo
2018: Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching: Lijun Bo, Huafu Liao and Xiang Yu
2018: Series representation of the pricing formula for the European option driven by space-time fractional diffusion: Jean-Philippe Aguilar, Cyril Coste and Jan Korbel
2018: In search of a new economic model determined by logistic growth: Roman G. Smirnov and Kunpeng Wang
2018: Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities: Zachary Feinstein, Weijie Pang, Birgit Rudloff, Eric Schaanning, Stephan Sturm and Mackenzie Wildman
2018: Hybrid marked point processes: characterisation, existence and uniqueness: Maxime Morariu-Patrichi and Mikko S. Pakkanen
2018: Modeling Financial System with Interbank Flows, Borrowing, and Investing: Aditya Maheshwari and Andrey Sarantsev
2018: Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims: Ariel Neufeld
2018: Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models: Andrei Cozma and Christoph Reisinger
2018: On Heckits, LATE, and Numerical Equivalence: Patrick Kline and Christopher Walters
2018: A Game of Nontransitive Dice: Artem Hulko and Mark Whitmeyer
2018: Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process: Andrei Cozma and Christoph Reisinger
2018: Parallelizing Computation of Expected Values in Recombinant Binomial Trees: Sai K. Popuri, Andrew M. Raim, Nagaraj K. Neerchal and Matthias K. Gobbert
2018: Super-Replication with Fixed Transaction Costs: Peter Bank and Yan Dolinsky
2018: The Fatou Closedness under Model Uncertainty: Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland
2018: Bayesian nonparametric sparse VAR models: Monica Billio, Roberto Casarin and Luca Rossini
2018: Residential income segregation: A behavioral model of the housing market: Marco Pangallo, Jean-Pierre Nadal and Annick Vignes
2018: First Order BSPDEs in higher dimension for optimal control problems: Nikolai Dokuchaev
2018: A stochastic Stefan-type problem under first-order boundary conditions: Marvin S. Mueller
2018: Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data: Richard Y. Chen and Per A. Mykland
2018: The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew: Damiano Brigo, Camilla Pisani and Francesco Rapisarda
2018: Estimating the effect of treatments allocated by randomized waiting lists: Clément de Chaisemartin and Luc Behaghel
2018: Inference on causal and structural parameters using many moment inequalities: Victor Chernozhukov, Denis Chetverikov and Kengo Kato
2018: A six-factor asset pricing model: Rahul Roy and Santhakumar Shijin
2018: Advertising and Brand Attitudes: Evidence from 575 Brands over Five Years: Rex Yuxing Du, Mingyu Joo and Kenneth C. Wilbur
2018: Symmetry, Entropy, Diversity and (why not?) Quantum Statistics in Society: J. Rosenblatt
2018: Challenges in approximating the Black and Scholes call formula with hyperbolic tangents: Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
2018: The logic of uncertainty as a logic of experience and chance and the co~event-based Bayes' theorem: Oleg Yu. Vorobyev
2018: Influence of introducing high speed railways on intercity travel behavior in Vietnam: Tho V. Le, Junyi Zhang, Makoto Chikaraishi and Akimasa Fujiwara
2018: Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences: Marcellino Gaudenzi and Michel Vellekoop
2018: Some Nontrivial Properties of a Formula for Compound Interest: Isaac M. Sonin and Mark Whitmeyer
2018: An Adaptive Tabu Search Algorithm for Market Clearing Problem in Turkish Day-Ahead Market: Nermin Elif Kurt, H. Bahadir Sahin and K\"ur\c{s}ad Derinkuyu
2018: Risk sharing for capital requirements with multidimensional security markets: Felix-Benedikt Liebrich and Gregor Svindland
2018: Extended opportunity cost model to find near equilibrium electricity prices under non-convexities: Hassan Shavandi, Mehrdad Pirnia and J. David Fuller
2018: A model of adaptive, market behavior generating positive returns, volatility and system risk: Misha Perepelitsa
2018: Derivatives pricing using signature payoffs: Imanol Perez Arribas
2018: Asynchronous stochastic price pump: Misha Perepelitsa and Ilya Timofeyev
2018: An extension of Heston's SV model to Stochastic Interest Rates: Javier de Frutos and Victor Gaton
2018: On a gap between rational annuitization price for producer and price for customer: Nikolai Dokuchaev
2018: Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization: Ancil Crayton
2018: Constructing Financial Sentimental Factors in Chinese Market Using Natural Language Processing: Junfeng Jiang and Jiahao Li
2018: Eventological H-theorem: Oleg Yu. Vorobyev
2018: A Game of Tax Evasion: evidences from an agent-based model: L. S. Di Mauro, A. Pluchino and A. E. Biondo
2018: Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility: Sahar Albosaily and Serguei Pergamenshchikov
2018: Inferring short-term volatility indicators from Bitcoin blockchain: Nino Antulov-Fantulin, Dijana Tolic, Matija Piskorec, Zhang Ce and Irena Vodenska
2018: Insider Trading with Penalties: Sylvain Carr\'e, Pierre Collin-Dufresne and Franck Gabriel
2018: Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation: Jorge Faleiro
2018: Complex market dynamics in the light of random matrix theory: Hirdesh K. Pharasi, Kiran Sharma, Anirban Chakraborti and Thomas H. Seligman
2018: Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach: Andres Ramirez-Hassan and Manuel Correa-Giraldo
2018: Dynamical variety of shapes in financial multifractality: Stanis{\l}aw Dro\.zd\.z, Rafa{\l} Kowalski, Pawe{\l} O\'swi\c{e}cimka, Rafa{\l} Rak and Robert G\c{e}barowski
2018: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors: Mesias Alfeus, Martino Grasselli and Erik Schl\"ogl
2018: The distortion principle for insurance pricing: properties, identification and robustness: Daniela Escobar and Georg Pflug
2018: Estimating grouped data models with a binary dependent variable and fixed effects: What are the issues: Nathaniel Beck
2018: A Language for Large-Scale Collaboration in Economics: A Streamlined Computational Representation of Financial Models: Jorge Faleiro
2018: Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing: Zorana Grbac, David Krief and Peter Tankov
2018: BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange: Dave Cliff
2018: An incomplete equilibrium with a stochastic annuity: Kim Weston and Gordan Zitkovic
2018: Trends in the Diffusion of Misinformation on Social Media: Hunt Allcott, Matthew Gentzkow and Chuan Yu
2018: On the Choice of Instruments in Mixed Frequency Specification Tests: Yun Liu and Yeonwoo Rho
2018: Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model: Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2018: Valid Simultaneous Inference in High-Dimensional Settings (with the hdm package for R): Philipp Bach, Victor Chernozhukov and Martin Spindler
2018: Measuring Systematic Risk with Neural Network Factor Model: Jeonggyu Huh
2018: Superstatistics with cut-off tails for financial time series: Yusuke Uchiyama and Takanori Kadoya
2018: Mean-Field Leader-Follower Games with Terminal State Constraint: Guanxing Fu and Ulrich Horst
2018: Hyperbolic normal stochastic volatility model: Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
2018: Bootstrap Methods in Econometrics: Joel L. Horowitz
2018: Regression Discontinuity Designs Using Covariates: Sebastian Calonico, Matias Cattaneo, Max Farrell and Rocio Titiunik
2018: Mathematics of Market Microstructure under Asymmetric Information: Umut \c{C}et{\i}n
2018: Nash Equilibria in the Response Strategy of Correlated Games: A. D. Correia and H. T. C. Stoof
2018: Diversification, Volatility, and Surprising Alpha: Adrian Banner, Robert Fernholz, Vassilios Papathanakos, Johannes Ruf and David Schofield
2018: Non-Asymptotic Inference in Instrumental Variables Estimation: Joel L. Horowitz
2018: The Ladder Theory of Behavioral Decision Making: Xingguang Chen
2018: Systemic Risk and the Dependence Structures: Yu-Sin Chang
2018: Pricing the Aunt Michaela Option with a Modified Black-Scholes Equation with a Maturity Condition of Gamma Type: Juan Ospina
2018: Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness: George Milunovich
2018: Worldcoin: A Hypothetical Cryptocurrency for the People and its Government: Sheikh Rabiul Islam
2018: Sion's mini-max theorem and Nash equilibrium in a five-players game with two groups which is zero-sum and symmetric in each group: Atsuhiro Satoh and Yasuhito Tanaka
2018: Nash equilibrium of partially asymmetric three-players zero-sum game with two strategic variables: Atsuhiro Satoh and Yasuhito Tanaka
2018: Dealing with the Dimensionality Curse in Dynamic Pricing Competition: Using Frequent Repricing to Compensate Imperfect Market Anticipations: Rainer Schlosser and Martin Boissier
2018: Generalizing Geometric Brownian Motion: Peter Carr and Zhibai Zhang
2018: The Zumbach effect under rough Heston: Omar El Euch, Jim Gatheral, Rado\v{s} Radoi\v{c}i\'c and Mathieu Rosenbaum
2018: The Core of an Economy with an Endogenous Social Division of Labour: Robert P. Gilles
2018: Multi-agent Economics and the Emergence of Critical Markets: Michael S. Harr\'e
2018: Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model: Michael Preischl and Stefan Thonhauser
2018: Identifying long-term precursors of financial market crashes using correlation patterns: Hirdesh K. Pharasi, Kiran Sharma, Rakesh Chatterjee, Anirban Chakraborti, Francois Leyvraz and Thomas H. Seligman
2018: Multiplicative random cascades with additional stochastic process in financial markets: Jun-ichi Maskawa, Koji Kuroda and Joshin Murai
2018: Model Risk in Real Option Valuation: Carol Alexander and Xi Chen
2018: "Read My Lips": Using Automatic Text Analysis to Classify Politicians by Party and Ideology: Eitan Sapiro-Gheiler
2018: Topological recognition of critical transitions in time series of cryptocurrencies: Marian Gidea, Daniel Goldsmith, Yuri Katz, Pablo Roldan and Yonah Shmalo
2018: Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data: Xi Zhang, Yixuan Li, Senzhang Wang, Binxing Fang and Philip S. Yu
2018: Finding a promising venture capital project with todim under probabilistic hesitant fuzzy circumstance: Weike Zhang, Jiang Du and Xiaoli Tian
2018: Analytic Moments for GARCH Processes: Carol Alexander, Emese Lazar and Silvia Stanescu
2018: Design-based Analysis in Difference-In-Differences Settings with Staggered Adoption: Susan Athey and Guido Imbens
2018: Existence of Equilibrium Prices: A Pedagogical Proof: Simone Tonin
2018: Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging: Haojie Wang, Han Chen, Agus Sudjianto, Richard Liu and Qi Shen
2018: A global consumer-led strategy to tackle climate change: Anthony J. Webster
2018: Weak Correlations of Stocks Future Returns: Ludovico Latmiral
2018: General multilevel Monte Carlo methods for pricing discretely monitored Asian options: Nabil Kahale
2018: Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization: Rongju Zhang, Nicolas Langren\'e, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
2018: Pricing Options with Exponential Levy Neural Network: Jeonggyu Huh
2018: How local in time is the no-arbitrage property under capital gains taxes ?: Christoph K\"uhn
2018: Asian Option Pricing with Orthogonal Polynomials: Sander Willems
2018: An SPDE Model for Systemic Risk with Endogenous Contagion: Ben Hambly and Andreas Sojmark
2018: A Direct Solution Method for Pricing Options in Regime-switching Models: Masahiko Egami and Rusudan Kevkhishvili
2018: Interpreting Economic Complexity: Penny Mealy, J. Farmer and Alexander Teytelboym
2018: Corporate payments networks and credit risk rating: Elisa Letizia and Fabrizio Lillo
2018: Multilevel estimation of expected exit times and other functionals of stopped diffusions: Michael B. Giles and Francisco Bernal
2018: Non-Euclidean Conditional Expectation and Filtering: Anastasis Kratsios and Cody B. Hyndman
2018: Forecasting Across Time Series Databases using Recurrent Neural Networks on Groups of Similar Series: A Clustering Approach: Kasun Bandara, Christoph Bergmeir and Slawek Smyl
2018: Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model: Chuan Goh
2018: The Strength of Absent Ties: Social Integration via Online Dating: Josue Ortega and Philipp Hergovich
2018: Zero-rating of Content and its Effect on the Quality of Service in the Internet: Manjesh K. Hanawal, Fehmina Malik and Yezekael Hayel
2018: DGM: A deep learning algorithm for solving partial differential equations: Justin Sirignano and Konstantinos Spiliopoulos
2018: Nash equilibria for game contingent claims with utility-based hedging: Klebert Kentia and Christoph K\"uhn
2018: On Markowitz Geometry: Valentin Vankov Iliev
2018: Characterization of the community structure in a large-scale production network in Japan: Abhijit Chakraborty, Hazem Krichene, Hiroyasu Inoue and Yoshi Fujiwara
2018: Pairs Trading under Drift Uncertainty and Risk Penalization: S\"uhan Altay, Katia Colaneri and Zehra Eksi
2018: Best reply structure and equilibrium convergence in generic games: Marco Pangallo, Torsten Heinrich and J. Farmer
2018: On a pricing problem for a multi-asset option with general transaction costs: Pablo Amster and Andres P. Mogni
2018: Long-run dynamics of the U.S. patent classification system: François Lafond and Daniel Kim
2018: Asset Pricing with Random Volatility: Xin Liu
2018: Nonparametric Analysis of Random Utility Models: Yuichi Kitamura and Jörg Stoye
2018: Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia: Jianqing Fan, Yuan Ke and Yuan Liao
2018: Sensitivity Analysis of Long-Term Cash Flows: Hyungbin Park
2018: Asymptotic Expansion for Forward-Backward SDEs with Jumps: Masaaki Fujii and Akihiko Takahashi
2018: Dual Regression: Richard Spady and Sami Stouli
2018: House Price Modeling with Digital Census: Enwei Zhu and Stanislav Sobolevsky
2018: A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach: T. R. Santos
2018: Resource and Competence (Internal) View vs. Environment and Market (External) View when defining a Business: Yngve Dahle, Martin Steinert, Anh Nguyen Duc and Roman Chizhevskiy
2018: Repeated Coordination with Private Learning: Pathikrit Basu, Kalyan Chatterjee, Tetsuya Hoshino and Omer Tamuz
2018: A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management: Leander L\"ow, Martin Spindler and Eike Brechmann
2018: The role of complex analysis in modeling economic growth: Angelica Sbardella, Emanuele Pugliese, Andrea Zaccaria and Pasquale Scaramozzino
2018: An Exponential Cox-Ingersoll-Ross Process as Discounting Factor: Julia Eisenberg and Yuliya Mishura
2018: Hierarchical communities in the walnut structure of the Japanese production network: Abhijit Chakraborty, Yuichi Kichikawa, Takashi Iino, Hiroshi Iyetomi, Hiroyasu Inoue, Yoshi Fujiwara and Hideaki Aoyama
2018: Enforcing Regulation Under Illicit Adaptation: Andres Gonzalez Lira and Ahmed Mobarak
2018: Switching Cost Models as Hypothesis Tests: Samuel N. Cohen, Timo Henckel, Gordon D. Menzies, Johannes Muhle-Karbe and Daniel Zizzo
2018: Econophysics as conceived by Meghnad Saha: Bikas K. Chakrabarti
2018: Downstream Effects of Affirmative Action: Sampath Kannan, Aaron Roth and Juba Ziani
2018: Evolutionary dynamics of cryptocurrency transaction networks: An empirical study: Jiaqi Liang, Linjing Li and Daniel Zeng
2018: The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility: Kenjiro Oya
2018: Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets: Jorge Faleiro and Edward Tsang
2018: Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns: Jorge Faleiro and Edward Tsang
2018: On the Normality of Negative Interest Rates: Matheus R. Grasselli and Alexander Lipton
2018: Catch-Up: A Rule that Makes Service Sports More Competitive: Steven Brams, Mehmet S. Ismail, D. Marc Kilgour and Walter Stromquist
2018: Loss Data Analytics: Edward Frees
2018: Deep learning, deep change? Mapping the development of the Artificial Intelligence General Purpose Technology: J. Klinger, J. Mateos-Garcia and K. Stathoulopoulos
2018: Optimal asset allocation for a DC plan with partial information under inflation and mortality risks: Calisto Guambe, Rodwell Kufakunesu, Gusti Van Zyl and Conrad Beyers
2018: $k$th price auctions and Catalan numbers: Abdel-Hameed Nawar and Debapriya Sen
2018: Quantifying the Computational Advantage of Forward Orthogonal Deviations: Robert Phillips
2018: Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective: Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano and Roy Cerqueti
2018: A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences: Slobodan Milovanovi\'c and Lina von Sydow
2018: When Do Households Invest in Solar Photovoltaics? An Application of Prospect Theory: Martin Klein and Marc Deissenroth
2018: Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary: Alexander Lipton, Vadim Kaushansky and Christoph Reisinger
2018: SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations: Svetlana Boyarchenko and Sergei Levendorski\u{i}
2018: Brexit: The Belated Threat: D\'ora Gr\'eta Petr\'oczy, Mark Francis Rogers and L\'aszl\'o \'A. K\'oczy
2018: Game-theoretic dynamic investment model with incomplete information: futures contracts: Oleg Malafeyev and Shulga Andrey
2018: Can GDP measurement be further improved? Data revision and reconciliation: Jan Jacobs, Samad Sarferaz, Jan-Egbert Sturm and Simon van Norden
2018: A Unified Framework for Efficient Estimation of General Treatment Models: Chunrong Ai, Oliver Linton, Kaiji Motegi and Zheng Zhang
2018: Regime-Switching Temperature Dynamics Model for Weather Derivatives: Samuel Gyamerah, Philip Ngare and Dennis Ikpe
2018: Optimal investment-consumption and life insurance with capital constraints: Rodwell Kufakunesu and Calisto Guambe
2018: A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations: Lesedi Mabitsela, Calisto Guambe and Rodwell Kufakunesu
2018: On the optimal investment-consumption and life insurance selection problem with an external stochastic factor: Rodwell Kufakunesu and Calisto Guambe
2018: Turnpike Property and Convergence Rate for an Investment and Consumption Model: Baojun Bian and Harry Zheng
2018: GARCH(1,1) model of the financial market with the Minkowski metric: Richard Pincak and Kabin Kanjamapornkul
2018: A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach: Sina Aghaei, Amirreza Safari Langroudi and Masoud Fekri
2018: Mechanism Design with News Utility: Jetlir Duraj
2018: Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design: Chao Luo
2018: The Impact of Age on Nationality Bias: Evidence from Ski Jumping: Sandra Schneemann, Hendrik Scholten and Christian Deutscher
2018: On smile properties of volatility derivatives and exotic products: understanding the VIX skew: Elisa Al\`os, David Garc\'ia-Lorite and Aitor Muguruza
2018: Small-time moderate deviations for the randomised Heston model: Antoine Jacquier and Fangwei Shi
2018: Exeum: A Decentralized Financial Platform for Price-Stable Cryptocurrencies: Jaehyung Lee and Minhyung Cho
2018: Concave Shape of the Yield Curve and No Arbitrage: Jian Sun
2018: Hysteresis of economic networks in an XY model: Ali Hosseiny, Mohammadreza Absalan, Mohammad Sherafati and Mauro Gallegati
2018: A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment: Matthew Harding and Carlos Lamarche
2018: The value of a liability cash flow in discrete time subject to capital requirements: Hampus Engsner, Kristoffer Lindensj\"o and Filip Lindskog
2018: The financial value of knowing the distribution of stock prices in discrete market models: Ayelet Amiran, Fabrice Baudoin, Skylyn Brock, Berend Coster, Ryan Craver, Ugonna Ezeaka, Phanuel Mariano and Mary Wishart
2018: Change Point Estimation in Panel Data with Time-Varying Individual Effects: Otilia Boldea, Bettina Drepper and Zhuojiong Gan
2018: Network-based Referral Mechanism in a Crowdfunding-based Marketing Pattern: Yongli Li, Zhi-Ping Fan and Wei Zhang
2018: Some Statistical Problems with High Dimensional Financial data: Arnab Chakrabarti and Rituparna Sen
2018: Information Content of DSGE Forecasts: Ray Fair
2018: Lattice Studies of Gerrymandering Strategies: Kyle Gatesman and James Unwin
2018: American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo: Anurag Sodhi
2018: Combining Independent Smart Beta Strategies for Portfolio Optimization: Phil Maguire, Karl Moffett and Rebecca Maguire
2018: A generalized scheme for BSDEs based on derivative approximation and its error estimates: Chol-Kyu Pak, Mun-Chol Kim and O Hun
2018: Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts: Slobodan Milovanovi\'c
2018: Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations: Chol-Kyu Pak, Mun-Chol Kim and Chang-Ho Rim
2018: A characterization of "Phelpsian" statistical discrimination: Christopher Chambers and Federico Echenique
2018: Token Economics in Energy Systems: Concept, Functionality and Applications: Jun Zhang, Fei-Yue Wang and Siyuan Chen
2018: Can Network Theory-based Targeting Increase Technology Adoption?: Lori Beaman, Ariel BenYishay, Jeremy Magruder and Ahmed Mobarak
2018: Asian Option Pricing under Uncertain Volatility Model: Yuecai Han and Chunyang Liu
2018: Optimal Trading with General Signals and Liquidation in Target Zone Models: Christoph Belak, Johannes Muhle-Karbe and Kevin Ou
2018: Dynamic Random Subjective Expected Utility: Jetlir Duraj
2018: Mapping the Privacy-Utility Tradeoff in Mobile Phone Data for Development: Alejandro Noriega-Campero, Alex Rutherford, Oren Lederman, Yves A. de Montjoye and Alex Pentland
2018: Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL: Mnacho Echenim, Herv\'e Guiol and Nicolas Peltier
2018: Asymptotic results under multiway clustering: Laurent Davezies, Xavier D'Haultfoeuille and Yannick Guyonvarch
2018: Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework: Chung-Han Hsieh, John A. Gubner and B. Ross Barmish
2018: Testing of Binary Regime Switching Models using Squeeze Duration Analysis: Milan Kumar Das and Anindya Goswami
2018: A Machine Learning Framework for Stock Selection: XingYu Fu, JinHong Du, YiFeng Guo, MingWen Liu, Tao Dong and XiuWen Duan
2018: A derivation of the Black-Scholes option pricing model using a central limit theorem argument: Rajeshwari Majumdar, Phanuel Mariano, Lowen Peng and Anthony Sisti
2018: Statistical inference for autoregressive models under heteroscedasticity of unknown form: Ke Zhu
2018: A dynamic network model to measure exposure diversification in the Austrian interbank market: Juraj Hledik and Riccardo Rastelli
2018: Efficient construction of threshold networks of stock markets: Xin-Jian Xu, Kuo Wang, Liucun Zhu and Li-Jie Zhang
2018: Limitations of P-Values and $R^2$ for Stepwise Regression Building: A Fairness Demonstration in Health Policy Risk Adjustment: Sherri Rose and Thomas G. McGuire
2018: Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption: Naoya Yamaguchi, Maiya Hori and Yoshinari Ideguchi
2018: An Experimental Investigation of Preference Misrepresentation in the Residency Match: Alex Rees-Jones and Samuel Skowronek
2018: At What Frequency Should the Kelly Bettor Bet?: Chung-Han Hsieh, B. Ross Barmish and John A. Gubner
2018: Panel Data Quantile Regression with Grouped Fixed Effects: Jiaying Gu and Stanislav Volgushev
2018: Optimal Timing to Trade Along a Randomized Brownian Bridge: Tim Leung, Jiao Li and Xin Li
2018: Global Income Inequality and Savings: A Data Science Perspective: Kiran Sharma, Subhradeep Das and Anirban Chakraborti
2018: Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods: Slobodan Milovanovi\'c and Victor Shcherbakov
2018: Variance optimal hedging with application to Electricity markets: Xavier Warin
2018: Orthogonal Machine Learning: Power and Limitations: Lester Mackey, Vasilis Syrgkanis and Ilias Zadik
2018: Stochastic maximum principle under probability distortion: Qizhu Liang and Jie Xiong
2018: Large deviation principle for Volterra type fractional stochastic volatility models: Archil Gulisashvili
2018: Dynamic Portfolio Optimization with Looping Contagion Risk: Longjie Jia, Martijn Pistorius and Harry Zheng
2018: On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important: Chung-Han Hsieh and B. Ross Barmish
2018: Threshold-Based Portfolio: The Role of the Threshold and Its Applications: Sang Il Lee and Seong Joon Yoo
2018: Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon: Hyong-Chol O., Jong-Chol Kim and Il-Gwang Jon
2018: Backtesting Expected Shortfall: a simple recipe?: Felix Moldenhauer and Marcin Pitera
2018: A Scaling Limit for Limit Order Books Driven by Hawkes Processes: Ulrich Horst and Wei Xu
2018: Marginal and dependence uncertainty: bounds, optimal transport, and sharpness: Daniel Bartl, Michael Kupper, Thibaut Lux, Antonis Papapantoleon and Stephan Eckstein
2018: A General Class of Multifractional Processes and Stock Price Informativeness: Qidi Peng and Ran Zhao
2018: Sequential Sampling for CGMY Processes via Decomposition of their Time Changes: Chengwei Zhang and Zhiyuan Zhang
2018: On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models: Mingsi Long and Hongzhong Zhang
2018: An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing: Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
2018: On the minimizers of energy forms with completely monotone kernel: Alexander Schied and Elias Strehle
2018: Most-likely-path in Asian option pricing under local volatility models: Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
2018: Optimal sequential treatment allocation: Anders Kock and Martin Thyrsgaard
2018: Mini-Flash Crashes, Model Risk, and Optimal Execution: Erhan Bayraktar and Alexander Munk
2018: Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves: Rupert Way, François Lafond, Fabrizio Lillo, Valentyn Panchenko and J. Farmer
2018: The Payoff Region of a Strategic Game and Its Extreme Points: Yu-Sung Tu and Wei-Torng Juang
2018: Conditional Davis Pricing: Kasper Larsen, Halil Mete Soner and Gordan \v{Z}itkovi\'c
2018: Optimal stopping with f -expectations: the irregular case: Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
2018: Functional Forms for Tractable Economic Models and the Cost Structure of International Trade: Michal Fabinger and E. Glen Weyl
2018: Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes: Victor Chernozhukov, Iv\'an Fern\'andez-Val, Blaise Melly and Kaspar W\"uthrich
2018: Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?: Kiran Sharma and Anirban Chakraborti
2018: Exact Smooth Term-Structure Estimation: Damir Filipovi\'c and Sander Willems
2018: Local Parametric Estimation in High Frequency Data: Yoann Potiron and Per Mykland
2018: Least squares estimation for the subcritical Heston model based on continuous time observations: Matyas Barczy, Balazs Nyul and Gyula Pap
2018: The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients: Hyong-chol O, Song-gon Jang, Il-Gwang Jon, Mun-Chol Kim, Gyong-Ryol Kim and Hak-Yong Kim
2018: Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices: Erhan Bayraktar and Xiang Yu
2018: Conditional Quantile Processes based on Series or Many Regressors: Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Iv\'an Fern\'andez-Val
2018: Trend without hiccups: a Kalman filter approach: Eric Benhamou
2018: An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers: Aurelio Fernandez Bariviera, Luciano Zunino and Osvaldo A. Rosso
2018: The role of industry, occupation, and location specific knowledge in the survival of new firms: C. Jara-Figueroa, Bogang Jun, Edward Glaeser and Cesar Hidalgo
2018: Adaptive l1-regularization for short-selling control in portfolio selection: Stefania Corsaro and Valentina De Simone
2018: Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities: Franti\v{s}ek \v{C}ech and Jozef Barun\'ik
2018: Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model: Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
2018: Modeling joint probability distribution of yield curve parameters: Jarek Duda and Ma{\l}gorzata Snarska
2018: Shortfall Minimization for Game Options in Discrete Time: Yuri Kifer
2018: Preference Identification: Christopher Chambers, Federico Echenique and Nicolas Lambert
2018: Banking Stability System: Does it Matter if the Rate of Return is Fixed or Stochastic?: Hassan Ghassan
2018: Corrected XVA Modelling Framework and Formulae for KVA and MVA: Antti Vauhkonen
2018: Combined Mutiplicative-Heston Model for Stochastic Volatility: M. Dashti Moghaddam and R. A. Serota
2018: Investigating Wheat Price with a Multi-Agent Model: Gianfranco Giulioni, Edmondo Di Giuseppe, Massimiliano Pasqui, Piero Toscano and Francesco Miglietta
2018: Two-Step Estimation and Inference with Possibly Many Included Covariates: Matias Cattaneo, Michael Jansson and Xinwei Ma
2018: A Collaborative Approach to Angel and Venture Capital Investment Recommendations: Xinyi Liu and Artit Wangperawong
2018: Betas, Benchmarks and Beating the Market: Zura Kakushadze and Willie Yu
2018: Hospitality Students' Perceptions towards Working in Hotels: a case study of the faculty of tourism and hotels in Alexandria University: Sayed El-Houshy
2018: Towards equation of state for a market: A thermodynamical paradigm of economics: Burin Gumjudpai
2018: Apologia Pro Vita Sua: The Vanishing of the White Whale in the Mists: Martin Shubik
2018: CAP and Monetary Policy: Carl Duisberg
2018: Entropy Analysis of Financial Time Series: Stephan Schwill
2018: Utility maximization for L{\'e}vy switching models: Lioudmila Vostrikova and Yuchao Dong
2018: Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models: Bal\'azs Csan\'ad Cs\'aji
2018: Backward SDEs for Control with Partial Information: Andrew Papanicolaou
2018: EMU and ECB Conflicts: William Mackenzie
2018: Optimal Dividend of Compound Poisson Process under a Stochastic Interest Rate: Linlin Tian and Xiaoyi Zhang
2018: Self-regulation promotes cooperation in social networks: Dario Madeo and Chiara Mocenni
2018: Stability in EMU: Theo Peeters
2018: Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016: Abdolrahman Khoshrou and Eric J. Pauwels
2018: A New Index of Human Capital to Predict Economic Growth: Henry Laverde, Juan C. Correa and Klaus Jaffe
2018: Disentangling and quantifying market participant volatility contributions: Marcello Rambaldi, Emmanuel Bacry and Jean-Fran\c{c}ois Muzy
2018: Cross Validation Based Model Selection via Generalized Method of Moments: Junpei Komiyama and Hajime Shimao
2018: A unifying approach to constrained and unconstrained optimal reinsurance: Yuxia Huang and Chuancun Yin
2018: News-based trading strategies: Stefan Feuerriegel and Helmut Prendinger
2018: Customer Sharing in Economic Networks with Costs: Bin Li, Dong Hao, Dengji Zhao and Tao Zhou
2018: Pink Work: Same-Sex Marriage, Employment and Discrimination: Dario Sansone
2018: Analysis of Advisor Portfolio using Multivariate Time Series and Cosine Similarity: Gayatri Pradhan
2018: Log-optimal portfolio without NFLVR: existence, complete characterization, and duality: Tahir Choulli and Sina Yansori
2018: A Mathematical Model for Optimal Decisions in a Representative Democracy: Malik Magdon-Ismail and Lirong Xia
2018: Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors: Vladimir Soloviev and Andrey Belinskiy
2018: Portfolio Optimization with Nondominated Priors and Unbounded Parameters: Kerem Ugurlu
2018: A Simple and Efficient Estimation of the Average Treatment Effect in the Presence of Unmeasured Confounders: Chunrong Ai, Lukang Huang and Zheng Zhang
2018: Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching: Lijun Bo, Huafu Liao and Yongjin Wang
2018: Arbitrage-Free Pricing of Game Options in Nonlinear Markets: Tianyang Nie, Edward Kim and Marek Rutkowski
2018: On the optimal choice of strike conventions in exchange option pricing: Elisa Al\`os and Michael Coulon
2018: Emergence of correlations between securities at short time scales: S. Valeyre, D. S. Grebenkov and S. Aboura
2018: Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey: Martin Guth
2018: Clustering Macroeconomic Time Series: Iwo Augusty\'nski and Pawe{\l} Lasko\'s-Grabowski
2018: Stochastic Switching Games: Liangchen Li and Michael Ludkovski
2018: European Option Pricing with Stochastic Volatility models under Parameter Uncertainty: Samuel N. Cohen and Martin Tegn\'er
2018: Probability measure-valued polynomial diffusions: Christa Cuchiero, Martin Larsson and Sara Svaluto-Ferro
2018: Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting: Sid Ghoshal and Stephen J. Roberts
2018: Simulation Modelling of Inequality in Cancer Service Access: Ka C. Chan, Ruth F. G. Williams, Christopher T. Lenard and Terence M. Mills
2018: Cancer Risk Messages: Public Health and Economic Welfare: Ruth F. G. Williams, Ka C. Chan, Christopher T. Lenard and Terence M. Mills
2018: Cancer Risk Messages: A Light Bulb Model: Ka C. Chan, Ruth F. G. Williams, Christopher T. Lenard and Terence M. Mills
2018: Transaction costs and institutional change of trade litigations in Bulgaria: Shteryo Nozharov and Petya Koralova-Nozharova
2018: Emergence of frustration signals systemic risk: Chandrashekar Kuyyamudi, Anindya S. Chakrabarti and Sitabhra Sinha
2018: Financial Trading as a Game: A Deep Reinforcement Learning Approach: Chien Yi Huang
2018: Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price: Jian Sun
2018: Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes: Marco Piccirilli and Tiziano Vargiolu
2018: Directed Continuous-Time Random Walk with memory: Jaros{\l}aw Klamut and Tomasz Gubiec
2018: Indirect inference through prediction: Ernesto Carrella, Richard M. Bailey and Jens Koed Madsen
2018: Trading Cointegrated Assets with Price Impact: Alvaro Cartea, Luhui Gan and Sebastian Jaimungal
2018: Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions: Damien Challet
2018: Maastricht and Monetary Cooperation: Chris Kirrane
2018: The Bretton Woods Experience and ERM: Chris Kirrane
2018: Is VIX still the investor fear gauge? Evidence for the US and BRIC markets: Marco Neffelli and Marina Resta
2018: Asset Price Bubbles: An Option-based Indicator: Petteri Piiroinen, Lassi Roininen, Tobias Schoden and Martin Simon
2018: Arbitrage-free pricing of American options in nonlinear markets: Edward Kim, Tianyang Nie and Marek Rutkowski
2018: Co-impact: Crowding effects in institutional trading activity: Fr\'ed\'eric Bucci, Iacopo Mastromatteo, Zolt\'an Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud and Charles-Albert Lehalle
2018: Planetary boundaries of consumption growth: Declining social discount rates: Victor E. Gluzberg and Yuri A. Katz
2018: Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects: Stanis{\l}aw Dro\.zd\.z, Robert G\k{e}barowski, Ludovico Minati, Pawe{\l} O\'swi\k{e}cimka and Marcin W\k{a}torek
2018: From Bitcoin to Bitcoin Cash: a network analysis: Marco Alberto Javarone and Craig Steven Wright
2018: Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning: Daniel Kinn
2018: Technical Uncertainty in Real Options with Learning: Ali Al-Aradi, Alvaro Cartea and Sebastian Jaimungal
2018: Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management: Ali Al-Aradi and Sebastian Jaimungal
2018: Kinetic models for optimal control of wealth inequalities: Bertram D\"uring, Lorenzo Pareschi and Giuseppe Toscani
2018: On the solution of the variational optimisation in the rational inattention framework: Nigar Hashimzade
2018: Asset Price Volatility and Price Extrema: Carey Caginalp and Gunduz Caginalp
2018: Calibration for Weak Variance-Alpha-Gamma Processes: Boris Buchmann, Kevin W. Lu and Dilip B. Madan
2018: Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series: Ruben Loaiza-Maya and Michael Smith
2018: Economic Complexity Unfolded: Interpretable Model for the Productive Structure of Economies: Zoran Utkovski, Melanie F. Pradier, Viktor Stojkoski, Fernando Perez-Cruz and Ljupco Kocarev
2018: Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors: Daniel Kosiorowski, Dominik Mielczarek and Jerzy P. Rydlewski
2018: Analytic approach to variance optimization under an $\ell_1$ constraint: Imre Kondor, G\'abor Papp and Fabio Caccioli
2018: On the free boundary of an annuity purchase: Tiziano De Angelis and Gabriele Stabile
2018: Picking Winners: A Data Driven Approach to Evaluating the Quality of Startup Companies: David Scott Hunter, Ajay Saini and Tauhid Zaman
2018: Social Integration in Two-Sided Matching Markets: Josue Ortega
2018: Minimum R\'enyi Entropy Portfolios: Nathan Lassance and Frédéric Vrins
2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers: Masaaki Fujii and Akihiko Takahashi
2018: Multi-unit Assignment under Dichotomous Preferences: Josue Ortega
2018: Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading: Dmitry Muravey
2018: Optimal Shrinkage Estimator for High-Dimensional Mean Vector: Taras Bodnar, Ostap Okhrin and Nestor Parolya
2018: Statistically validated lead-lag networks and inventory prediction in the foreign exchange market: Damien Challet, R\'emy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
2018: Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models: Florian Huber, Gregor Kastner and Martin Feldkircher
2018: On the time consistency of collective preferences: Luis Alcalá
2018: Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes: Sid Ghoshal and Stephen Roberts
2018: Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization: G\'abor Papp, Fabio Caccioli and Imre Kondor
2018: Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction: Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
2018: The False Premises and Promises of Bitcoin: Brian P. Hanley
2018: Key Borrowers Detection by Long-Range Interactions: Fuad Aleskerov, Natalia Meshcheryakova, Alisa Nikitina and Sergey Shvydun
2018: SME investment best strategies. Outliers for assessing how to optimize performance: Marcel Ausloos, Roy Cerqueti, Francesca Bartolacci and Nicola G. Castellano
2018: Investigating the configurations in cross-shareholding: a joint copula-entropy approach: Roy Cerqueti, Giulia Rotundo and Marcel Ausloos
2018: Subvector Inference in Partially Identified Models with Many Moment Inequalities: Alexandre Belloni, Federico Bugni and Victor Chernozhukov
2018: On The Ruin Problem With Investment When The Risky Asset Is A Semimartingale: Lioudmila Vostrikova and J\'er\^ome Spielmann
2018: Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011: Marcel Ausloos, Roy Cerqueti and Tariq A. Mir
2018: Quantitative analysis on the disparity of regional economic development in China and its evolution from 1952 to 2000: Jianhua Xu, Nanshan Ai, Yan Lu, Yong Chen, Yiying Ling and Wenze Yue
2018: What is Wrong with Net Promoter Score: Nicholas I Fisher and Raymond E Kordupleski
2018: Point-identification in multivariate nonseparable triangular models: Florian Gunsilius
2018: Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots: Bo Zhou, Ramon van den Akker and Bas J. M. Werker
2018: What Makes An Asset Useful?: Yves-Laurent Kom Samo and Dieter Hendricks
2018: The transmission of uncertainty shocks on income inequality: State-level evidence from the United States: Manfred Fischer, Florian Huber and Michael Pfarrhofer
2018: Explicit Asymptotics on First Passage Times of Diffusion Processes: Angelos Dassios and Luting Li
2018: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates: Erik Schl\"ogl
2018: Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor: Will Hicks
2018: National debts and government deficits within European Monetary Union: Statistical evidence of economic issues: Mario Coccia
2018: The evolving networks of debtor-creditor relationships with addition and deletion of nodes: a case of P2P lending: Lin Chen, Ping Li and Qiang Li
2018: Credit Value Adjustment for Counterparties with Illiquid CDS: Ola Hammarlid and Marta Leniec
2018: Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity: Takeru Matsuda and Akimichi Takemura
2018: Measuring the response of gold prices to uncertainty: An analysis beyond the mean: Jamal Bouoiyour, Refk Selmi and Mark Wohar
2018: Multifractal characteristics and return predictability in the Chinese stock markets: Xin-Lan Fu, Xing-Lu Gao, Zheng Shan, Zhi-Qiang Jiang and Wei-Xing Zhou
2018: Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity: Andriy Norets and Justinas Pelenis
2018: Two Different Methods for Modelling the Likely Upper Economic Limit of the Future United Kingdom Wind Fleet: Anthony D Stephens and David R Walwyn
2018: On the relation between Sion's minimax theorem and existence of Nash equilibrium in asymmetric multi-players zero-sum game with only one alien: Atsuhiro Satoh and Yasuhito Tanaka
2018: Minimax theorem and Nash equilibrium of symmetric multi-players zero-sum game with two strategic variables: Masahiko Hattori, Atsuhiro Satoh and Yasuhito Tanaka
2018: Portfolio Choice with Market-Credit Risk Dependencies: Lijun Bo and Agostino Capponi
2018: Reconstruction methods for networks: the case of economic and financial systems: Tiziano Squartini, Guido Caldarelli, Giulio Cimini, Andrea Gabrielli and Diego Garlaschelli
2018: Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing: Aur\'elien Alfonsi, David Krief and Peter Tankov
2018: Exploring the Interconnectedness of Cryptocurrencies using Correlation Networks: Andrew Burnie
2018: Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\'evy Models: Moustapha Pemy
2018: Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus: Bilgi Yilmaz
2018: Generalized Log-Normal Chain-Ladder: D. Kuang and B. Nielsen
2018: Financial Risk and Returns Prediction with Modular Networked Learning: Carlos Pedro Gon\c{c}alves
2018: A new approach for American option pricing: The Dynamic Chebyshev method: Kathrin Glau, Mirco Mahlstedt and Christian P\"otz
2018: Martingales and Super-martingales Relative to a Convex Set of Equivalent Measures: Nicholas S. Gonchar
2018: Status maximization as a source of fairness in a networked dictator game: Jan E. Snellman, Gerardo I\~niguez, J\'anos Kert\'esz, R. A. Barrio and Kimmo K. Kaski
2018: The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards: Masahiro Fujimoto
2018: Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation: Karol Gellert and Erik Schl\"ogl
2018: Generalized framework for applying the Kelly criterion to stock markets: Tim Byrnes and Tristan Barnett
2018: How much income inequality is fair? Nash bargaining solution and its connection to entropy: Venkat Venkatasubramanian and Yu Luo
2018: A Profit Optimization Approach Based on the Use of Pumped-Hydro Energy Storage Unit and Dynamic Pricing: Ak{\i}n Ta\c{s}cikarao\u{g}lu and Ozan Erdin\c{c}
2018: Order-book modelling and market making strategies: Xiaofei Lu and Fr\'ed\'eric Abergel
2018: Socioeconomic driving forces of scientific research: Mario Coccia
2018: Trading algorithms with learning in latent alpha models: Philippe Casgrain and Sebastian Jaimungal
2018: Foreign Exchange Markets with Last Look: Alvaro Cartea, Sebastian Jaimungal and Jamie Walton
2018: State and Network Structures of Stock Markets around the Global Financial Crisis: Jae Woo Lee and Ashadun Nobi
2018: Asymmetric response to PMI announcements in China's stock returns: Yingli Wang and Xiaoguang Yang
2018: Estimating Trade-Related Adjustment Costs in the Agricultural Sector in Iran: Omid Karami and Mina Mahmoudi
2018: The Role of Agricultural Sector Productivity in Economic Growth: The Case of Iran's Economic Development Plan: Morteza Tahamipour and Mina Mahmoudi
2018: A Growth Model with Unemployment: Mina Mahmoudi and Mark Pingle
2018: BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets: Yushi Hamaguchi
2018: Time-inhomogeneous polynomial processes: Mar\'ia Fernanda del Carmen Agoitia Hurtado and Thorsten Schmidt
2018: On critical dynamics and thermodynamic efficiency of urban transformations: Emanuele Crosato, Ramil Nigmatullin and Mikhail Prokopenko
2018: On The Calibration of Short-Term Interest Rates Through a CIR Model: Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
2018: Determining the dimension of factor structures in non-stationary large datasets: Matteo Barigozzi and Lorenzo Trapani
2018: Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications: Weiping Wu, Jianjun Gao, Junguo Lu and Xun Li
2018: Optimal portfolio selection in an It\^o-Markov additive market: Zbigniew Palmowski, {\L}ukasz Stettner and Anna Sulima
2018: Pricing Engine: Estimating Causal Impacts in Real World Business Settings: Matt Goldman and Brian Quistorff
2018: Driving by the Elderly and their Awareness of their Driving Difficulties (Hebrew): Idit Sohlberg
2018: On the Relation Between Linearity-Generating Processes and Linear-Rational Models: Damir Filipovic, Martin Larsson and Anders B. Trolle
2018: Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process: B. A. Surya
2018: Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices: Alain B\'elanger, Ndoun\'e Ndoun\'e and Roland Pongou
2018: High-Dimensional Econometrics and Regularized GMM: Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov, Christian Hansen and Kengo Kato
2018: Estimating option prices using multilevel particle filters: P. P. Osei and A. Jasra
2018: Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft): Greg Kirczenow, Ali Fathi and Matt Davison
2018: Financial asset bubbles in banking networks: Francesca Biagini, Andrea Mazzon and Thilo Meyer-Brandis
2018: A Quantitative Analysis of Possible Futures of Autonomous Transport: Christopher L. Benson, Pranav D Sumanth and Alina P Colling
2018: Power-law cross-correlations: Issues, solutions and future challenges: Ladislav Krištoufek
2018: Dynamic optimal contract under parameter uncertainty with risk averse agent and principal: Kerem Ugurlu
2018: A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs: Seojeong Lee
2018: Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators: Seojeong Lee
2018: The Impact of Supervision and Incentive Process in Explaining Wage Profile and Variance: Nitsa Kasir and Idit Sohlberg
2018: Optimal proportional reinsurance and investment for stochastic factor models: Matteo Brachetta and Claudia Ceci
2018: A rational decentralized generalized Nash equilibrium seeking for energy markets: Lorenzo Nespoli, Matteo Salani and Vasco Medici
2018: Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility: Jos\'e Igor Morlanes
2018: A Feynman-Kac type formula for a fixed delay CIR model: Federico Flore and Giovanna Nappo
2018: Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators: Seojeong Lee
2018: Competitive pricing despite search costs if lower price signals quality: Sander Heinsalu
2018: Identification of Conduit Countries and Community Structures in the Withholding Tax Networks: Tembo Nakamoto and Yuichi Ikeda
2018: Trade Network Reconstruction and Simulation with Changes in Trade Policy: Yuichi Ikeda and Hiroshi Iyetomi
2018: The Stock Market Has Grown Unstable Since February 2018: Blake C. Stacey and Yaneer Bar-Yam
2018: A Markov Chain Model for the Cure Rate of Non-Performing Loans: Vilislav Boutchaktchiev
2018: Modeling the residential electricity consumption within a restructured power market: Chelsea Sun
2018: Nonlinearity in stock networks: David Hartman and Jaroslav Hlinka
2018: An ontological investigation of unimaginable events: Thomas Santoli and Christoph Siebenbrunner
2018: Stock management (Gest\~ao de estoques): Cainan K. de Oliveira, Henrique G. Menck, Pedro Y. Takito, Eliandro Rodrigues Cirilo, Neyva Maria Lopes Romeiro, \'Erica R. Takano Natti and Paulo Laerte Natti
2018: Discovering Bayesian Market Views for Intelligent Asset Allocation: Frank Z. Xing, Erik Cambria, Lorenzo Malandri and Carlo Vercellis
2018: Structural Estimation of Behavioral Heterogeneity: Zhentao Shi and Huanhuan Zheng
2018: Implications of macroeconomic volatility in the Euro area: Niko Hauzenberger, Maximilian B\"ock, Michael Pfarrhofer, Anna Stelzer and Gregor Zens
2018: Deep Learning for Forecasting Stock Returns in the Cross-Section: Masaya Abe and Hideki Nakayama
2018: On monitoring development indicators using high resolution satellite images: Potnuru Kishen Suraj, Ankesh Gupta, Makkunda Sharma, Sourabh Paul and Subhashis Banerjee
2018: The Effect of Partisanship and Political Advertising on Close Family Ties: M. Keith Chen and Ryne Rohla
2018: A New Approach to Electricity Market Clearing With Uniform Purchase Price and Curtailable Block Orders: Iacopo Savelli, Bertrand Corn\'elusse, Antonio Giannitrapani, Simone Paoletti and Antonio Vicino
2018: Improved Density and Distribution Function Estimation: Vitaliy Oryshchenko and Richard J. Smith
2018: On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model: Zied Ben Salah and Jos\'e Garrido
2018: Finite Time Identification in Unstable Linear Systems: Mohamad Kazem Shirani Faradonbeh, Ambuj Tewari and George Michailidis
2018: Systemic risk in a mean-field model of interbank lending with self-exciting shocks: Anastasia Borovykh, Andrea Pascucci and Stefano la Rovere
2018: Local Volatility Calibration by Optimal Transport: Ivan Guo, Gr\'egoire Loeper and Shiyi Wang
2018: On the Bail-Out Optimal Dividend Problem: Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Xiang Yu
2018: Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Nikolaus Hautsch and Stefan Voigt
2018: Additive energy forward curves in a Heath-Jarrow-Morton framework: Fred Espen Benth, Marco Piccirilli and Tiziano Vargiolu
2018: Effective risk aversion in thin risk-sharing markets: Michail Anthropelos, Constantinos Kardaras and Georgios Vichos
2018: Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function: Maria Grossinho, Yaser Faghan Kord and Daniel Sevcovic
2018: General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences: Tyler Abbot
2018: Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling: Yaxiong Zeng and Diego Klabjan
2018: How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid: Laurent Pagnier and Philippe Jacquod
2018: Local risk-minimization with multiple assets under illiquidity with applications in energy markets: Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
2018: Incorporating Signals into Optimal Trading: Charles-Albert Lehalle and Eyal Neuman
2018: Mean field and n-agent games for optimal investment under relative performance criteria: Daniel Lacker and Thaleia Zariphopoulou
2018: Learning and Type Compatibility in Signaling Games: Drew Fudenberg and Kevin He
2018: Efficient asymptotic variance reduction when estimating volatility in high frequency data: Simon Clinet and Yoann Potiron
2018: How much market making does a market need?: V\'it Per\v{z}ina and Jan M. Swart
2018: The Markowitz Category: John Armstrong
2018: Regression-based complexity reduction of the nested Monte Carlo methods: Denis Belomestny, Stefan H\"afner and Mikhail Urusov
2018: Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach: Moustapha Pemy
2018: Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market: Abhijit Chakraborty, Soumya Easwaran and Sitabhra Sinha
2018: Functional Ito Calculus, Path-dependence and the Computation of Greeks: Samy Jazaerli and Yuri F. Saporito
2018: A note comprising a negative resolution of the Efficient Market Hypothesis: Robert Viragh
2018: Forecasting the value of battery electric vehicles compared to internal combustion engine vehicles: the influence of driving range and battery technology: JongRoul Woo and Christopher L. Magee
2018: Comparing Alternatives to Measure the Impact of DDoS Attack Announcements on Target Stock Prices: Abhishta, Reinoud Joosten and Lambert J. M. Nieuwenhuis
2018: Implications of EMU for the European Community: Chris Kirrane
2018: Lessons from the History of European EMU: Chris Kirrane
2018: Unravelling Airbnb Predicting Price for New Listing: Paridhi Choudhary, Aniket Jain and Rahul Baijal
2018: Elephants, Donkeys, and Colonel Blotto: Ivan P. Yamshchikov and Sharwin Rezagholi
2018: The effect of prudence on the optimal allocation in possibilistic and mixed models: Irina Georgescu
2018: A New Model for Pricing Collateralized Financial Derivatives: Tim Xiao
2018: Long Short-Term Memory Networks for CSI300 Volatility Prediction with Baidu Search Volume: Yu-Long Zhou, Ren-Jie Han, Qian Xu and Weike Zhang
2018: How do public research labs use funding for research? A case study: Mario Coccia
2018: Quantitative approach to multifractality induced by correlations and broad distribution of data: Rafal Rak and Dariusz Grech
2018: Mortality/longevity Risk-Minimization with or without securitization: Tahir Choulli, Catherine Daveloose and Mich\`ele Vanmaele
2018: Justifying the Adoption and Relevance of Inflation Targeting Framework: A Time-Varying Evidence from Ghana: Nana Akosah, Francis Loloh and Maurice Omane-Adjepong
2018: Neural networks for stock price prediction: Yue-Gang Song, Yu-Long Zhou and Ren-Jie Han
2018: Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models: Michael Pfarrhofer and Philipp Piribauer
2018: Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs: Michele Leonardo Bianchi
2018: Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures: Dukpa Kim, Tatsushi Oka, Francisco Estrada and Pierre Perron
2018: Forecasting the sustainable status of the labor market in agriculture: O. A. Malafeyev, V. E. Onishenko and I. V. Zaytseva
2018: Concentration of dynamic risk measures in a Brownian filtration: Ludovic Tangpi
2018: Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing: R. Scott Hacker and Abdulnasser Hatemi-J
2018: Sensitivity of Regular Estimators: Yaroslav Mukhin
2018: Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures: Richard Gerlach and Chao Wang
2018: Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach: James Paulin, Anisoara Calinescu and Michael Wooldridge
2018: On testing substitutability: Cosmina Croitoru and Kurt Mehlhorn
2018: Bitcoin price and its marginal cost of production: support for a fundamental value: Adam Hayes
2018: Algorithmic Trading with Fitted Q Iteration and Heston Model: Son Le
2018: Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator: Viet Anh Nguyen, Daniel Kuhn and Peyman Mohajerin Esfahani
2018: No-arbitrage implies power-law market impact and rough volatility: Paul Jusselin and Mathieu Rosenbaum
2018: A new $\kappa$-deformed parametric model for the size distribution of wealth: Adams Vallejos, Ignacio Ormazabal, Felix A. Borotto and Hernan F. Astudillo
2018: Happy family of stable marriages: Gershon Wolansky
2018: Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks: Florian Ziel and Rafał Weron
2018: Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions: William B. Haskell, Wenjie Huang and Huifu Xu
2018: Data-Driven Investment Decision-Making: Applying Moore's Law and S-Curves to Business Strategies: Christopher L. Benson and Christopher L. Magee
2018: Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity: Ben-zhang Yang, Jia Yue, Ming-hui Wang and Nan-jing Huang
2018: Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy: Igor Halperin and Ilya Feldshteyn
2018: Can Insider Trading Be Committed Without Trading?: Russell Stanley Q. Geronimo
2018: Aggregating multiple types of complex data in stock market prediction: A model-independent framework: Huiwen Wang, Shan Lu and Jichang Zhao
2018: Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform: Michele Leonardo Bianchi and Gian Luca Tassinari
2018: Rethinking value creation from the resource based view: the case of human capital in moroccan hotels: Youssef Ifleh, Mohamed Lotfi and Mounime Elkabbouri
2018: 'Bosons' and 'fermions' in social and economic systems: Sergey A. Rashkovskiy
2018: The strong Fatou property of risk measures: Shengzhong Chen, Niushan Gao and Foivos Xanthos
2018: The Finite Sample Performance of Treatment Effects Estimators based on the Lasso: Michael Zimmert
2018: Distributional stability and deterministic equilibrium selection under heterogeneous evolutionary dynamics: Dai Zusai
2018: Multifractal analysis of financial markets: Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou and Didier Sornette
2018: A Dynamic Analysis of Nash Equilibria in Search Models with Fiat Money: Federico Bonetto and Maurizio Iacopetta
2018: Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market: Wonse Kim and Sungjae Jun
2018: Bitcoin Risk Modeling with Blockchain Graphs: Cuneyt Akcora, Matthew Dixon, Yulia Gel and Murat Kantarcioglu
2018: Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem: Levon Avanesyan, Mykhaylo Shkolnikov and Ronnie Sircar
2018: Network-based indicators of Bitcoin bubbles: Alexandre Bovet, Carlo Campajola, Jorge F. Lazo, Francesco Mottes, Iacopo Pozzana, Valerio Restocchi, Pietro Saggese, Nicol\'o Vallarano, Tiziano Squartini and Claudio J. Tessone
2018: Efficiency in Micro-Behaviors and FL Bias: Kurihara Kazutaka and Yohei Tutiya
2018: News Sentiment as Leading Indicators for Recessions: Melody Y. Huang, Randall R. Rojas and Patrick D. Convery
2018: Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models: Victor Aguirregabiria, Jiaying Gu and Yao Luo
2018: A mixture autoregressive model based on Student's $t$-distribution: Mika Meitz, Daniel Preve and Pentti Saikkonen
2018: Structural Breaks in Time Series: Alessandro Casini and Pierre Perron
2018: The laws of the evolution of research fields: Mario Coccia
2018: Future exchange rates and Siegel's paradox: Keivan Mallahi-Karai and Pedram Safari
2018: Investor Reaction to Financial Disclosures Across Topics: An Application of Latent Dirichlet Allocation: Stefan Feuerriegel and Nicolas Pr\"ollochs
2018: Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options: Jaehyuk Choi
2018: A Dynamical Systems Approach to Cryptocurrency Stability: Carey Caginalp
2018: Multiple curve L\'evy forward price model allowing for negative interest rates: Ernst Eberlein, Christoph Gerhart and Zorana Grbac
2018: Portfolio Optimization with Delay Factor Models: Shuenn-Jyi Sheu, Li-Hsien Sun and Zheng Zhang
2018: Chebyshev Methods for Ultra-efficient Risk Calculations: Mariano Zeron Medina Laris and Ignacio Ruiz
2018: Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime: Foad Shokrollahi
2018: When panic makes you blind: a chaotic route to systemic risk: Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi
2018: Endogenous growth - A dynamic technology augmentation of the Solow model: Murad Kasim
2018: Sentiment-Based Prediction of Alternative Cryptocurrency Price Fluctuations Using Gradient Boosting Tree Model: Tianyu Ray Li, Anup S. Chamrajnagar, Xander R. Fong, Nicholas R. Rizik and Feng Fu
2018: Quantifying macroeconomic expectations in stock markets using Google Trends: Johannes Bock
2018: Robust Log-Optimal Strategy with Reinforcement Learning: Yifeng Guo, Xingyu Fu, Yuyan Shi and Mingwen Liu
2018: Evaluating Hospital Case Cost Prediction Models Using Azure Machine Learning Studio: Alexei Botchkarev
2018: Should We Adjust for the Test for Pre-trends in Difference-in-Difference Designs?: Jonathan Roth
2018: Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations: Ke Wu, Spencer Wheatley and Didier Sornette
2018: Achieving perfect coordination amongst agents in the co-action minority game: Hardik Rajpal and Deepak Dhar
2018: Long-Term Unemployed hirings: Should targeted or untargeted policies be preferred?: Alessandra Pasquini, Marco Centra and Guido Pellegrini
2018: Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes: Ricardo Crisóstomo and Lorena Couso
2018: Constructing Metropolis-Hastings proposals using damped BFGS updates: Johan Dahlin, Adrian Wills and Brett Ninness
2018: Transition probability of Brownian motion in the octant and its application to default modeling: Vadim Kaushansky, Alexander Lipton and Christoph Reisinger
2018: A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering: Anshul Verma, Riccardo Junior Buonocore and Tiziana di Matteo
2018: Universal fluctuations in growth dynamics of economic systems: Nathan C. Frey, Sakib Matin, H. Eugene Stanley and Michael Salinger
2018: Quantum Bounds for Option Prices: Paul McCloud
2018: Robust bounds for the American Put: David Hobson and Dominykas Norgilas
2018: Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint: Eyal Neuman and Mathieu Rosenbaum
2018: Nonparametric Identification in Index Models of Link Formation: Wayne Gao
2018: Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C: Florian Knobloch, Hector Pollitt, Unnada Chewpreecha, Vassilis Daioglou and Jean-Francois Mercure
2018: On the quadratic variation of the model-free price paths with jumps: Lesiba Ch. Galane, Rafa{\l} M. {\L}ochowski and Farai J. Mhlanga
2018: Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement: Michael Ludkovski and James Risk
2018: Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach: Michael Knaus, Michael Lechner and Anthony Strittmatter
2018: Facebook drives behavior of passive households in stock markets: Milla Siikanen, K\k{e}stutis Baltakys, Juho Kanniainen, Ravi Vatrapu, Raghava Mukkamala and Abid Hussain
2018: Multilayer Aggregation with Statistical Validation: Application to Investor Networks: K\k{e}stutis Baltakys, Juho Kanniainen and Frank Emmert-Streib
2018: Statistical properties and multifractality of Bitcoin: Tetsuya Takaishi
2018: Surplus-invariant risk measures: Niushan Gao and Cosimo Munari
2018: Nonseparable Multinomial Choice Models in Cross-Section and Panel Data: Victor Chernozhukov, Iv\'an Fern\'andez-Val and Whitney Newey
2018: Speed and biases of Fourier-based pricing choices: A numerical analysis: Ricardo Cris\'ostomo
2018: News-sentiment networks as a risk indicator: Thomas Forss and Peter Sarlin
2018: Periodic strategies in optimal execution with multiplicative price impact: Daniel Hern\'andez-Hern\'andez, Harold A. Moreno-Franco and Jos\'e Luis P\'erez
2018: Exploring the relationship between technological improvement and innovation diffusion: An empirical test: JongRoul Woo and Christopher L. Magee
2018: Probabilistic Mid- and Long-Term Electricity Price Forecasting: Florian Ziel and Rick Steinert
2018: Robust Utility Maximization in Discrete-Time Markets with Friction: Ariel Neufeld and Mario Sikic
2018: Epidemics of Liquidity Shortages in Interbank Markets: Giuseppe Brandi, Riccardo Di Clemente and Giulio Cimini
2018: Best Subset Binary Prediction: Le-Yu Chen and Sokbae (Simon) Lee
2018: Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory: Jean-Francois Mercure
2018: Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions: Masaaki Fujii and Akihiko Takahashi
2018: Model-free portfolio theory and its functional master formula: Alexander Schied, Leo Speiser and Iryna Voloshchenko
2018: The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages: Victor Chernozhukov, Ivan Fernandez-Val and Ye Luo
2018: A composition between risk and deviation measures: Marcelo Righi
2018: A martingale representation theorem and valuation of defaultable securities: Tahir Choulli, Catherine Daveloose and Mich\`ele Vanmaele
2018: Trading Networks with Bilateral Contracts: Tam\'as Fleiner, Zsuzsanna Jank\'o, Akihisa Tamura and Alexander Teytelboym
2018: Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model: Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
2018: Symmetric Equilibria in Stochastic Timing Games: Jan-Henrik Steg
2018: An evolutionary advantage of cooperation: Ole Peters and Alexander Adamou
2018: A Data-Driven Approach for Modeling Stochasticity in Oil Market: Sina Aghaei
2018: Critical factors and enablers of food quality and safety compliance risk management in the Vietnamese seafood supply chain: Thi Huong Tran
2018: Are Biotechnology Startups Different?: Herv\'e Lebret
2018: Information Technologies in Public Administration: V. I. Gorelov
2018: Report for the Edinburgh Tram Inquiry: Bent Flyvbjerg and Alexander Budzier
2018: A Physical Review on Currency: Ran Huang
2018: When a `rat race' implies an intergenerational wealth trap: Joel Nishimura
2018: Aide et Croissance dans les pays de l'Union Economique et Mon{\'e}taire Ouest Africaine (UEMOA): retour sur une relation controvers{\'e}e: Nimonka Bayale
2018: Agents' beliefs and economic regimes polarization in interacting markets: Fausto Cavalli, Ahmad Naimzada, Nicol\`o Pecora and Marina Pireddu
2018: Identifying Effects of Multivalued Treatments: Sokbae (Simon) Lee and Bernard Salani\'e
2018: Interpreting Quantile Independence: Matthew Masten and Alexandre Poirier
2018: Application of Probabilistic Graphical Models in Forecasting Crude Oil Price: Danish A. Alvi
2018: New HSIC-based tests for independence between two stationary multivariate time series: Guochang Wang, Wai Keung Li and Ke Zhu
2018: On the complexity of solving a decision problem with flow-depending costs: the case of the IJsselmeer dikes: Aida Abiad, Sander Gribling, Domenico Lahaye, Matthias Mnich, Guus Regts, Lluis Vena, Gerard Verweij and Peter Zwaneveld
2018: Critical analysis of human progress: Its negative and positive sides in the late-capitalism: Mario Coccia and Matteo Bellitto
2018: Chocs technologiques, chocs des prix et fluctuations du ch\^omage en R\'epublique D\'emocratique du Congo: Antoine Kamiantako Miyamueni and Henry Muganza
2018: Deep Learning for Predicting Asset Returns: Guanhao Feng, Jingyu He and Nicholas G. Polson
2018: Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions: Miao Yuan, Cheng Yong Tang, Yili Hong and Jian Yang
2018: Economic inequality and Islamic Charity: An exploratory agent-based modeling approach: Hossein Sabzian, Alireza Aliahmadi, Adel Azar and Madjid Mirzaee
2018: Emerging Market Corporate Bonds as First-to-Default Baskets: Richard Martin and Yao Ma
2018: Compact finite difference method for pricing European and American options under jump-diffusion models: Kuldip Singh Patel and Mani Mehra
2018: Closed-form approximations in derivatives pricing: The Kristensen-Mele approach: Michael Kurz
2018: Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms: Adriana Ocejo
2018: Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers: Andrea Bastianin, Marzio Galeotti and Matteo Manera
2018: Econometric Modeling of Regional Electricity Spot Prices in the Australian Market: Michael Smith and Thomas S. Shively
2018: Price Competition with Geometric Brownian motion in Exchange Rate Uncertainty: Murat Erkoc, Huaqing Wang and Anas Ahmed
2018: Valuation of contingent convertible catastrophe bonds - the case for equity conversion: Krzysztof Burnecki, Mario Nicol\'o Giuricich and Zbigniew Palmowski
2018: Analytical Path-Integral Pricing of Moving-Barrier Options under non-Gaussian Distributions: Andre Catalao and Rogerio Rosenfeld
2018: Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models: Kuldip Singh Patel and Mani Mehra
2018: Optimal investment with transient price impact: Peter Bank and Moritz Vo{\ss}
2018: Classes of elementary function solutions to the CEV model. I: Evangelos Melas
2018: The impact of margin trading on share price evolution: A cascading failure model investigation: Ya-Chun Gao, Huai-Lin Tang, Shi-Min Cai, Jing-Jing Gao and H. Eugene Stanley
2018: The determinants of bank loan recovery rates in good times and bad - new evidence: Hong Wang, Catherine Forbes, Jean-Pierre Fenech and John Vaz
2018: Accounting Noise and the Pricing of CoCos: Mike Derksen, Peter Spreij and Sweder van Wijnbergen
2018: Transaction Costs in Collective Waste Recovery Systems in the EU: Shteryo Nozharov
2018: Estimating Treatment Effects in Mover Designs: Peter Hull
2018: Revisiting the thermal and superthermal two-class distribution of incomes: A critical perspective: Markus Schneider
2018: Quantifying the Economic Case for Electric Semi-Trucks: Shashank Sripad and Venkatasubramanian Viswanathan
2018: A refinement of Bennett's inequality with applications to portfolio optimization: Tony Jebara
2018: The Italian Pension Gap: a Stochastic Optimal Control Approach: Alessandro Milazzo and Elena Vigna
2018: Shapley Value Methods for Attribution Modeling in Online Advertising: Kaifeng Zhao, Seyed Hanif Mahboobi and Saeed R. Bagheri
2018: Distributions of Historic Market Data -- Implied and Realized Volatility: M. Dashti Moghaddam, Zhiyuan Liu and R. A. Serota
2018: Successful Nash Equilibrium Agent for a 3-Player Imperfect-Information Game: Sam Ganzfried, Austin Nowak and Joannier Pinales
2018: Market Making via Reinforcement Learning: Thomas Spooner, John Fearnley, Rahul Savani and Andreas Koukorinis
2018: Optimal liquidation under stochastic price impact: Weston Barger and Matthew Lorig
2018: Moment Inequalities in the Context of Simulated and Predicted Variables: Hiroaki Kaido, Jiaxuan Li and Marc Rysman
2018: Inference on Local Average Treatment Effects for Misclassified Treatment: Takahide Yanagi
2018: Corruption-free scheme of entering into contract: mathematical model: Oleg Malafeyev, Olga Koroleva, Dmitriy Prusskiy and Olga Zenovich
2018: Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment: David Lee
2018: Forex trading and Twitter: Spam, bots, and reputation manipulation: Igor Mozeti\v{c}, Peter Gabrov\v{s}ek and Petra Kralj Novak
2018: Predictive modeling of stock indices closing from web search trends: Arjun R and Suprabha Kr
2018: Pricing sovereign contingent convertible debt: Andrea Consiglio, Michele Tumminello and Stavros Zenios
2018: A Probabilistic Analysis of Autocallable Optimization Securities: Gilna K. Samuel and Donald St. P. Richards
2018: Return Optimization Securities and Other Remarkable Structured Investment Products: Indicators of Future Outcomes for U.S. Treasuries?: Donald St. P. Richards
2018: Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular Financial Crisis of 2008: Donald Richards and Hein Hundal
2018: The value of informational arbitrage: Huy N. Chau, Andrea Cosso and Claudio Fontana
2018: Adversarial Generalized Method of Moments: Gregory Lewis and Vasilis Syrgkanis
2018: An Note on Why Geographically Weighted Regression Overcomes Multidimensional-Kernel-Based Varying-Coefficient Model: Zihao Yuan
2018: Generalized Information Ratio: Zhongzhi Lawrence He
2018: Forecasting the impact of state pension reforms in post-Brexit England and Wales using microsimulation and deep learning: Agnieszka Werpachowska
2018: Blockchain: Data Malls, Coin Economies and Keyless Payments: Zura Kakushadze and Ronald P. Russo
2018: Extracting the multi-timescale activity patterns of online financial markets: Teruyoshi Kobayashi, Anna Sapienza and Emilio Ferrara
2018: Ambiguity in defaultable term structure models: Tolulope Fadina and Thorsten Schmidt
2018: Multi-factor approximation of rough volatility models: Eduardo Abi Jaber and Omar El Euch
2018: Moment Explosions in the Rough Heston Model: Stefan Gerhold, Christoph Gerstenecker and Arpad Pinter
2018: A closed-form formula for pricing bonds between coupon payments: Sylvia Gottschalk
2018: Expansion formulas for European quanto options in a local volatility FX-LIBOR model: Julien Hok, Philip Ngare and Antonis Papapantoleon
2018: A Game of Random Variables: Artem Hulko and Mark Whitmeyer
2018: Notes on Fano Ratio and Portfolio Optimization: Zura Kakushadze and Willie Yu
2018: Polynomial processes for power prices: Damir Filipovic, Martin Larsson and Tony Ware
2018: $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance: Peter A. Forsyth and George Labahn
2018: A posteriori multi-stage optimal trading under transaction costs and a diversification constraint: Mogens Graf Plessen and Alberto Bemporad
2018: Identifying relationship lending in the interbank market: A network approach: Teruyoshi Kobayashi and Taro Takaguchi
2018: VIX-linked fees for GMWBs via Explicit Solution Simulation Methods: Michael A. Kouritzin and Anne MacKay
2018: Technology networks: the autocatalytic origins of innovation: Lorenzo Napolitano, Evangelos Evangelou, Emanuele Pugliese, Paolo Zeppini and Graham Room
2018: Equilibrium Returns with Transaction Costs: Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
2018: Option Pricing under Fast-varying and Rough Stochastic Volatility: Josselin Garnier and Knut Solna
2018: Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis: Shanshan Wang and Thomas Guhr
2018: Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014: Vasilya Usmanova, Yury V. Lysogorskiy and Sumiyoshi Abe
2018: Herding boosts too-connected-to-fail risk in stock market of China: Shan Lu, Jichang Zhao, Huiwen Wang and Ruoen Ren
2018: Unspanned Stochastic Volatility in the Multi-factor CIR Model: Damir Filipovi\'c, Martin Larsson and Francesco Statti
2018: Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models: Tomasz R. Bielecki, Igor Cialenco and Marek Rutkowski
2018: Structural propagation in a production network with restoring substitution elasticities: Satoshi Nakano and Kazuhiko Nishimura
2018: Generalized Random Forests: Susan Athey, Julie Tibshirani and Stefan Wager
2018: A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks: Daniele Petrone and Vito Latora
2018: A String Model of Liquidity in Financial Markets: Sergey Lototsky, Henry Schellhorn and Ran Zhao
2018: Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing: Michael A. Kouritzin
2018: Decentralized Bayesian learning in dynamic games: A framework for studying informational cascades: Deepanshu Vasal and Achilleas Anastasopoulos
2018: Option pricing under fast-varying long-memory stochastic volatility: Josselin Garnier and Knut Solna
2018: Optimal dividend payments for a two-dimensional insurance risk process: Pablo Azcue, Nora Muler and Zbigniew Palmowski
2018: Asian option as a fixed-point: Adriana Ocejo
2018: The CCI30 Index: Igor Rivin and Carlo Scevola
2018: An Attempt at Analyzing the Information Nature of Money: Haibo Chen
2018: Assessing the state of e-Readiness for Small and Medium Companies in Mexico: a Proposed Taxonomy and Adoption Model: Guillermo Rodriguez-Abitia, Susana Vidrio and Claudia Montiel-Sanchez
2018: Warranty Cost Analysis with an Alternating Geometric Process: Richard Arnold, Stefanka Chukova, Yu Hayakawa and Sarah Marshall
2018: The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study: Mounira Chniguir, Mohamed Kefi and Jamel Henchiri
2018: Econophysics Beyond General Equilibrium: the Business Cycle Model: Victor Olkhov
2018: Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference: Ruben van de Geer, Arnoud V. den Boer, Christopher Bayliss, Christine Currie, Andria Ellina, Malte Esders, Alwin Haensel, Xiao Lei, Kyle D. S. Maclean, Antonio Martinez-Sykora, Asbj{\o}rn Nilsen Riseth, Fredrik {\O}degaard and Simos Zachariades
2018: Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective: Michael Ludkovski and Aditya Maheshwari
2018: Mortality in a heterogeneous population - Lee-Carter's methodology: Kamil Jod\'z
2018: Computing the CEV option pricing formula using the semiclassical approximation of path integral: Axel A. Araneda and Marcelo Villena
2018: A Perfect Specialization Model for Gravity Equation in Bilateral Trade based on Production Structure: Majid Einian and Farshad Ranjbar Ravasan
2018: Cluster analysis of stocks using price movements of high frequency data from National Stock Exchange: Charu Sharma, Amber Habib and Sunil Bowry
2018: Cliquet option pricing with Meixner processes: Markus Hess
2018: Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates: Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette
2018: The cooling-off effect of price limits in the Chinese stock markets: Yu-Lei Wan, Gang-Jin Wang, Zhi-Qiang Jiang, Wen-Jie Xie and Wei-Xing Zhou
2018: Fast swaption pricing in Gaussian term structure models: Jaehyuk Choi and Sungchan Shin
2018: Measurement of the evolution of technology: A new perspective: Mario Coccia
2018: Scaling properties of extreme price fluctuations in Bitcoin markets: Stjepan Begu\v{s}i\'c, Zvonko Kostanj\v{c}ar, H. Eugene Stanley and Boris Podobnik
2018: Large large-trader activity weakens the long memory of limit order markets: Kevin Primicerio and Damien Challet
2018: Causal Inference for Survival Analysis: Vikas Ramachandra
2018: An Economic Bubble Model and Its First Passage Time: Angelos Dassios and Luting Li
2018: A path integral based model for stocks and order dynamics: Giovanni Paolinelli and Gianni Arioli
2018: Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization: Alan White
2018: On the Basel Liquidity Formula for Elliptical Distributions: Janine Balter and Alexander J. McNeil
2018: Sparse Reduced Rank Regression With Nonconvex Regularization: Ziping Zhao and Daniel P. Palomar
2018: Exploring the predictability of range-based volatility estimators using RNNs: G\'abor Petneh\'azi and J\'ozsef G\'all
2018: Fear Universality and Doubt in Asset price movements: Igor Rivin
2018: Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling: Luca Spadafora, Francesca Sivero and Nicola Picchiotti
2018: Universal features of price formation in financial markets: perspectives from Deep Learning: Justin Sirignano and Rama Cont
2018: Large-Scale Dynamic Predictive Regressions: Daniele Bianchi and Kenichiro McAlinn
2018: Modeling stock markets through the reconstruction of market processes: Jo\~ao Pedro Rodrigues do Carmo
2018: Mean Reverting Portfolios via Penalized OU-Likelihood Estimation: Jize Zhang, Tim Leung and Aleksandr Y. Aravkin
2018: Evaluating Conditional Cash Transfer Policies with Machine Learning Methods: Tzai-Shuen Chen
2018: Forecasting Economics and Financial Time Series: ARIMA vs. LSTM: Sima Siami-Namini and Akbar Siami Namin
2018: Business Cycles in Economics: Viktor O. Ledenyov and Dimitri O. Ledenyov
2018: Reputation is required for cooperation to emerge in dynamic networks: Jose A. Cuesta, Carlos Gracia-L\'azaro, Yamir Moreno and Angel S\'anchez
2018: Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises: Ludovic Calès, Apostolos Chalkis, Ioannis Z. Emiris and Vissarion Fisikopoulos
2018: Optimal liquidity-based trading tactics: Charles-Albert Lehalle, Othmane Mounjid and Mathieu Rosenbaum
2018: Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model: Spencer Wheatley, Didier Sornette, Tobias Huber, Max Reppen and Robert N. Gantner
2018: Does agricultural subsidies foster Italian southern farms? A Spatial Quantile Regression Approach: Marusca De Castris and Daniele Di Gennaro
2018: Stock Price Prediction using Principle Components: Mahsa Ghorbani and Edwin K. P. Chong
2018: How Smart Are `Water Smart Landscapes'?: Christa Brelsford and Joshua K. Abbott
2018: A Generalization of the Robust Positive Expectation Theorem for Stock Trading via Feedback Control: Atul Deshpande and B. Ross Barmish
2018: Matching distributions: Recovery of implied physical densities from option prices: Jarno Talponen
2018: Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method: Julien Hok and Shih-Hau Tan
2018: Reality-check for Econophysics: Likelihood-based fitting of physics-inspired market models to empirical data: Nils Bertschinger, Iurii Mozzhorin and Sitabhra Sinha
2018: Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty: David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
2018: Behavioural effects on XVA: Chris Kenyon and Hayato Iida
2018: A study of strategy to the remove and ease TBT for increasing export in GCC6 countries: YongJae Kim
2018: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation: Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous and Konstantin M. Zuev
2018: Optimal Portfolio Design for Statistical Arbitrage in Finance: Ziping Zhao, Rui Zhou, Zhongju Wang and Daniel P. Palomar
2018: Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain: Yong Jiang and Zhongbao Zhou
2018: A first look at browser-based Cryptojacking: Shayan Eskandari, Andreas Leoutsarakos, Troy Mursch and Jeremy Clark
2018: Pricing index options by static hedging under finite liquidity: John Armstrong, Teemu Pennanen and Udomsak Rakwongwan
2018: A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data: Zihao Yuan
2018: Modelling stock correlations with expected returns from investors: Ming-Yuan Yang, Sai-Ping Li, Li-Xin Zhong and Fei Ren
2018: A Dynamic Model of Central Counterparty Risk: Tomasz R. Bielecki, Igor Cialenco and Shibi Feng
2018: An Online Algorithm for Learning Buyer Behavior under Realistic Pricing Restrictions: Debjyoti Saharoy and Theja Tulabandhula
2018: Testing a Goodwin model with general capital accumulation rate: Matheus R. Grasselli and Aditya Maheshwari
2018: Pricing Mechanism in Information Goods: Xinming Li and Huaqing Wang
2018: A comment on 'Testing Goodwin: growth cycles in ten OECD countries': Matheus R. Grasselli and Aditya Maheshwari
2018: Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations: Zhongzhi Lawrence He
2018: Mortality data reliability in an internal model: Fabrice Balland, Alexandre Boumezoued, Laurent Devineau, Marine Habart and Tom Popa
2018: Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations: Andreas M\"uhlbacher and Thomas Guhr
2018: Voting patterns in 2016: Exploration using multilevel regression and poststratification (MRP) on pre-election polls: Rob Trangucci, Imad Ali, Andrew Gelman and Doug Rivers
2018: Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem: Anton Pichler, Sebastian Poledna and Stefan Thurner
2018: Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information: Farouq Abdulaziz Masoudy
2018: Evolution of Regional Innovation with Spatial Knowledge Spillovers: Convergence or Divergence?: Jinwen Qiu, Wenjian Liu and Ning Ning
2018: The macroeconomics determinants of default of the borrowers: The case of Moroccan bank: Anas Yassine and Abdelmadjid Ibenrissoul
2018: Shooting High or Low: Do Countries Benefit from Entering Unrelated Activities?: Flávio Pinheiro, Aamena Alshamsi, Dominik Hartmann, Ron Boschma and C\'esar A. Hidalgo
2018: Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets: Ben-zhang Yang, Jia Yue and Nan-jing Huang
2018: Aggregating Google Trends: Multivariate Testing and Analysis: Stephen L. France and Yuying Shi
2018: Artificial Intelligence as Structural Estimation: Economic Interpretations of Deep Blue, Bonanza, and AlphaGo: Mitsuru Igami
2018: Inference on Auctions with Weak Assumptions on Information: Vasilis Syrgkanis, Elie Tamer and Juba Ziani
2018: Fixed Effect Estimation of Large T Panel Data Models: Iv\'an Fern\'andez-Val and Martin Weidner
2018: Second order approximations for limit order books: Ulrich Horst and D\"orte Kreher
2018: Econom\'etrie et Machine Learning: Arthur Charpentier, Emmanuel Flachaire and Antoine Ly
2018: Turbocharging Monte Carlo pricing for the rough Bergomi model: Ryan McCrickerd and Mikko S. Pakkanen
2018: Extended Gini-type measures of risk and variability: Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi
2018: Reduced-form framework under model uncertainty: Francesca Biagini and Yinglin Zhang
2018: Optimal dividend policies with random profitability: Max Reppen, Jean Rochet and H. Mete Soner
2018: Option pricing: A yet simpler approach: Jarno Talponen and Minna Turunen
2018: Tests for qualitative features in the random coefficients model: Fabian Dunker, Konstantin Eckle, Katharina Proksch and Johannes Schmidt-Hieber
2018: Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders: Kiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu and Misako Takayasu
2018: Short-time near-the-money skew in rough fractional volatility models: Christian Bayer, Peter K. Friz, Archil Gulisashvili, Blanka Horvath and Benjamin Stemper
2018: On utility maximization without passing by the dual problem: Miklos Rasonyi
2018: Stability for gains from large investors' strategies in M1/J1 topologies: Dirk Becherer, Todor Bilarev and Peter Frentrup
2018: Dual Moments and Risk Attitudes: Louis Eeckhoudt and Roger Laeven
2018: On exponential functionals of processes with independent increments: P. Salminen and L. Vostrikova
2018: Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency: Charles-Albert Lehalle and Othmane Mounjid
2018: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds: Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
2018: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data: Mikkel Bennedsen
2018: Deep Learning for Mortgage Risk: Justin Sirignano, Apaar Sadhwani and Kay Giesecke
2018: Estimation and prediction of credit risk based on rating transition systems: Jinghai Shao, Siming Li and Yong Li
2018: The Jacobi Stochastic Volatility Model: Damien Ackerer, Damir Filipovi\'c and Sergio Pulido
2018: Robust framework for quantifying the value of information in pricing and hedging: Anna Aksamit, Zhaoxu Hou and Jan Ob\l\'oj
2018: Symmetry reduction and exact solutions of the non-linear Black--Scholes equation: Oleksii Patsiuk and Sergii Kovalenko
2018: On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference: Sebastian Calonico, Matias Cattaneo and Max Farrell
2018: A continuous auction model with insiders and random time of information release: Jos\'e Manuel Corcuera, Giulia Di Nunno, Gergely Farkas and Bernt {\O}ksendal
2018: Matching distributions: Asset pricing with density shape correction: Jarno Talponen
2018: Deep Learning for Causal Inference: Vikas Ramachandra
2018: Synthetic Control Methods and Big Data: Daniel Kinn
2018: Dimensional Analysis in Economics: A Study of the Neoclassical Economic Growth Model: Miguel Alvarez Texocotitla, M. David Alvarez Hernandez and Shani Alvarez Hernandez
2018: Partial Identification of Expectations with Interval Data: Sam Asher, Paul Novosad and Charlie Rafkin
2018: RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection: Yang Wang, Dong Wang, Yaodong Wang and You Zhang
2018: Risk-neutral valuation under differential funding costs, defaults and collateralization: Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini and Marek Rutkowski
2018: The Information Content of Sarbanes-Oxley in Predicting Security Breaches: James Westland
2018: Private Information, Credit Risk and Graph Structure in P2P Lending Networks: James Westland, Tuan Q. Phan and Tianhui Tan
2018: Planning Fallacy or Hiding Hand: Which Is the Better Explanation?: Bent Flyvbjerg
2018: Valuation, Liquidity Price, and Stability of Cryptocurrencies: Carey Caginalp and Gunduz Caginalp
2018: Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications: Jean-Philippe Aguilar and Jan Korbel
2018: Optimal contract for a fund manager, with capital injections and endogenous trading constraints: Sergey Nadtochiy and Thaleia Zariphopoulou
2018: The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation: Abdulnasser Hatemi-J and Youssef El-Khatib
2018: Identifying the occurrence or non occurrence of cognitive bias in situations resembling the Monty Hall problem: Fatemeh Borhani and Edward Green
2018: Measuring the Demand Effects of Formal and Informal Communication: Evidence from Online Markets for Illicit Drugs: Luis Armona
2018: Complexity, Centralization, and Fragility in Economic Networks: Carlo Piccardi and Lucia Tajoli
2018: What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?: Yiyang Gu
2018: Algorithmic Collusion in Cournot Duopoly Market: Evidence from Experimental Economics: Nan Zhou, Li Zhang, Shijian Li and Zhijian Wang
2018: The Security of the United Kingdom Electricity Imports under Conditions of High European Demand: Anthony D Stephens and David R Walwyn
2018: Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies: Giorgio Locatelli
2018: The Allen--Uzawa elasticity of substitution for nonhomogeneous production functions: Elena Burmistrova and Sergey Lobanov
2018: Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics: Kiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu and Misako Takayasu
2018: The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions: Manfred Fischer, Florian Huber, Michael Pfarrhofer and Petra Staufer-Steinnocher
2018: Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors: Yeonwoo Rho and Xiaofeng Shao
2018: Analysis of Financial Credit Risk Using Machine Learning: Jacky C. K. Chow
2018: Stock Market Visualization: Zura Kakushadze and Willie Yu
2018: Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis: Sadamori Kojaku, Giulio Cimini, Guido Caldarelli and Naoki Masuda
2018: Adapting the CVA model to Leland's framework: P. Amster and A. P. Mogni
2018: The Quotient of Normal Random Variables And Application to Asset Price Fat Tails: Carey Caginalp and Gunduz Caginalp
2018: A General Method for Demand Inversion: Lixiong Li
2018: What is the Sharpe Ratio, and how can everyone get it wrong?: Igor Rivin
2018: New Proposals of a Stress Measure in a Capital and its Robust Estimator: Tadeusz Klecha, Daniel Kosiorowski, Dominik Mielczarek and Jerzy P. Rydlewski
2018: Dynamics of observables in rank-based models and performance of functionally generated portfolios: Sergio A. Almada Monter, Mykhaylo Shkolnikov and Jiacheng Zhang
2018: Replica Approach for Minimal Investment Risk with Cost: Takashi Shinzato
2018: Explicit size distributions of failure cascades redefine systemic risk on finite networks: Rebekka Burkholz, Hans J. Herrmann and Frank Schweitzer
2018: Deep Hedging: Hans B\"uhler, Lukas Gonon, Josef Teichmann and Ben Wood
2018: The sum of log-normal variates in geometric Brownian motion: Ole Peters and Alexander Adamou
2018: Immediate Causality Network of Stock Markets: Li Zhou, Lu Qiu, Changgui Gu and Huijie Yang
2018: Prediction of Shared Bicycle Demand with Wavelet Thresholding: James Westland, Jian Mou and Dafei Yin
2018: Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions: Akshay Vij and Rico Krueger
2018: Collateral Unchained: Rehypothecation networks, concentration and systemic effects: Duc Thi Luu, Mauro Napoletano, Paolo Barucca and Stefano Battiston
2018: Generating virtual scenarios of multivariate financial data for quantitative trading applications: Javier Franco-Pedroso, Joaquin Gonzalez-Rodriguez, Jorge Cubero, Maria Planas, Rafael Cobo and Fernando Pablos
2018: Game-Theoretic Capital Asset Pricing in Continuous Time: Vladimir Vovk and Glenn Shafer
2018: Indexed Markov Chains for financial data: testing for the number of states of the index process: Guglielmo D'Amico, Ada Lika and Filippo Petroni
2018: Promoting cooperation by reputation-driven group formation: Han-Xin Yang and Zhen Wang
2018: A game-theoretic derivation of the $\sqrt{dt}$ effect: Vladimir Vovk and Glenn Shafer
2018: The Power of Trading Polarity: Evidence from China Stock Market Crash: Shan Lu, Jichang Zhao and Huiwen Wang
2018: Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows: Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale and Eduardo Rossi
2018: Hyper-rational choice theory: Madjid Eshaghi Gordji and Gholamreza Askari
2018: Predicting crypto-currencies using sparse non-Gaussian state space models: Christian Hotz-Behofsits, Florian Huber and Thomas O. Z\"orner
2018: The Influence of Seed Selection on the Solvency II Ratio: Quinn Culver, Dennis Heitmann and Christian Wei{\ss}
2018: Greedy algorithms and Zipf laws: Jos\'e Moran and Jean-Philippe Bouchaud
2018: Consistent Valuation Across Curves Using Pricing Kernels: Andrea Macrina and Obeid Mahomed
2018: PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation from Financial News using Machine Learning: Raeid Saqur and Nicole Langballe
2018: Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity: Reginald D. Smith
2018: Non-stochastic portfolio theory: Vladimir Vovk
2018: Assessment Voting in Large Electorates: Hans Gersbach, Akaki Mamageishvili and Oriol Tejada
2018: The consentaneous model of the financial markets exhibiting spurious nature of long-range memory: Vygintas Gontis and Aleksejus Kononovicius
2018: Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions: Zbigniew Palmowski and Joanna Tumilewicz
2018: A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node: Amirhossein Sobhani and Mariyan Milev
2018: A Short-term Intervention for Long-term Fairness in the Labor Market: Lily Hu and Yiling Chen
2018: How fragile are information cascades?: Yuval Peres, Miklos Z. Racz, Allan Sly and Izabella Stuhl
2018: Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models': Martin Keller-Ressel
2018: Information measure for financial time series: quantifying short-term market heterogeneity: Linda Ponta and Anna Carbone
2018: Large deviations for risk measures in finite mixture models: Valeria Bignozzi, Claudio Macci and Lea Petrella
2018: Robust Forecast Aggregation: Itai Areili, Yakov Babichenko and Rann Smorodinsky
2018: Kelly's Criterion in Portfolio Optimization: A Decoupled Problem: Zachariah Peterson
2018: Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps: J\'er\^ome Spielmann
2018: Inference for VARs Identified with Sign Restrictions: Eleonora Granziera, Hyungsik Moon and Frank Schorfheide
2018: Universal L\'evy's stable law of stock market and its characterization: Takumi Fukunaga and Ken Umeno
2018: Optimal Inflation Target: Insights from an Agent-Based Model: Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia and Francesco Zamponi
2018: Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions: Guosheng Hu, Yuxin Hu, Kai Yang, Zehao Yu, Flood Sung, Zhihong Zhang, Fei Xie, Jianguo Liu, Neil Robertson, Timothy Hospedales and Qiangwei Miemie
2018: Implementing Flexible Demand: Real-time Price vs. Market Integration: Florian K\"uhnlenz, Pedro H. J. Nardelli, Santtu Karhinen and Rauli Svento
2018: On optimal periodic dividend strategies for L\'evy risk processes: Kei Noba, Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and Kouji Yano
2018: Smoothed GMM for quantile models: Luciano de Castro, Antonio Galvao, David Kaplan and Xin Liu
2018: Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment: Jean-Pierre Fouque and Ruimeng Hu
2018: Nonparametric Regression with Multiple Thresholds: Estimation and Inference: Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen
2018: Data and uncertainty in extreme risks - a nonlinear expectations approach: Samuel N. Cohen
2018: On representing and hedging claims for coherent risk measures: Saul Jacka, Seb Armstrong and Abdelkarem Berkaoui
2018: Existence of a Radner equilibrium in a model with transaction costs: Kim Weston
2018: On a class of path-dependent singular stochastic control problems: Romuald Elie, Ludovic Moreau and Dylan Possama\"i
2018: Multinomial method for option pricing under Variance Gamma: Nicola Cantarutti and Jo\~ao Guerra
2018: Pointwise Arbitrage Pricing Theory in Discrete Time: Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis and Jan Ob{\l}\'oj
2018: Information, Impact, Ignorance, Illegality, Investing, and Inequality: Bruce Knuteson
2018: Asymptotic approximation of optimal portfolio for small time horizons: Rohini Kumar and Hussein Nasralah
2018: Multifractal cross wavelet analysis: Zhi-Qiang Jiang, Xing-Lu Gao, Wei-Xing Zhou and H. Eugene Stanley
2018: Efficient exposure computation by risk factor decomposition: Cornelis S. L. de Graaf, Drona Kandhai and Christoph Reisinger
2018: On the American swaption in the linear-rational framework: Damir Filipovic and Yerkin Kitapbayev
2018: The Affine Wealth Model: An agent-based model of asset exchange that allows for negative-wealth agents and its empirical validation: Jie Li, Bruce M. Boghosian and Chengli Li
2018: Affine representations of fractional processes with applications in mathematical finance: Philipp Harms and David Stefanovits
2018: On the spot-futures no-arbitrage relations in commodity markets: Ren\'e A\"id, Luciano Campi and Delphine Lautier
2018: Optimal martingale transport between radially symmetric marginals in general dimensions: Tongseok Lim
2018: Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies: Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette
2018: Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns: Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Chen, Wei Zhang and Wei-Xing Zhou
2018: Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations: Max Farrell
2018: Relativistic Black-Scholes model: Maciej Trzetrzelewski
2018: Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives: Karolina Bujok, Ben Hambly and Christoph Reisinger
2018: Quantification of systemic risk from overlapping portfolios in the financial system: Sebastian Poledna, Seraf\'in Mart\'inez-Jaramillo, Fabio Caccioli and Stefan Thurner
2018: Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures: Rick Steinert and Florian Ziel
2018: How Can We Induce More Women to Competitions?: Masayuki Yagasaki and Mitsunosuke Morishita
2018: Are `Water Smart Landscapes' Contagious? An epidemic approach on networks to study peer effects: Christa Brelsford and Caterina De Bacco
2018: Identifying systemically important companies in the entire liability network of a small open economy: Sebastian Poledna, Abraham Hinteregger and Stefan Thurner
2018: When does a disaster become a systemic event? Estimating indirect economic losses from natural disasters: Sebastian Poledna, Stefan Hochrainer-Stigler, Michael Gregor Miess, Peter Klimek, Stefan Schmelzer, Johannes Sorger, Elena Shchekinova, Elena Rovenskaya, JoAnne Linnerooth-Bayer, Ulf Dieckmann and Stefan Thurner
2018: First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing: Young Shin Kim
2018: A representative agent model based on risk-neutral prices: Hyungbin Park
2018: Greedy Algorithms for Maximizing Nash Social Welfare: Siddharth Barman, Sanath Kumar Krishnamurthy and Rohit Vaish
2018: On a capital allocation principle coherent with the Solvency 2 standard formula: Fabio Baione, Paolo De Angelis and Ivan Granito
2018: Ordered Kripke Model, Permissibility, and Convergence of Probabilistic Kripke Model: Shuige Liu
2018: Quantifying Health Shocks Over the Life Cycle: Taiyo Fukai, Hidehiko Ichimura and Kyogo Kanazawa
2018: Valuation of Currency Options in Markets with a Crunch: Abdulnasser Hatemi-J and Youssef El-Khatib
2018: A Hilbert Space of Stationary Ergodic Processes: Ishanu Chattopadhyay
2018: A bright future for financial agent-based models: J. Lussange, Alexis Belianin, Sacha Bourgeois-Gironde and B. Gutkin
2018: Target volatility option pricing in lognormal fractional SABR model: Elisa Alos, Rupak Chatterjee, Sebastian Tudor and Tai-Ho Wang
2018: Stock returns forecast: an examination by means of Artificial Neural Networks: Martin Iglesias Caride, Aurelio Fernandez Bariviera and Laura Lanzarini
2018: Spurious seasonality detection: a non-parametric test proposal: Aurelio Fernandez Bariviera, Angelo Plastino and George Judge
2018: Estimating Heterogeneous Consumer Preferences for Restaurants and Travel Time Using Mobile Location Data: Susan Athey, David Blei, Robert Donnelly, Francisco Ruiz and Tobias Schmidt
2018: Generalised Lyapunov Functions and Functionally Generated Trading Strategies: Johannes Ruf and Kangjianan Xie
2018: Alonso and the Scaling of Urban Profiles: Justin Delloye, R\'emi Lemoy and Geoffrey Caruso
2018: Numeraire markets: Robert Fernholz
2018: Characterization of catastrophic instabilities: Market crashes as paradigm: Anirban Chakraborti, Kiran Sharma, Hirdesh K. Pharasi, Sourish Das, Rakesh Chatterjee and Thomas H. Seligman
2018: Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts: Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
2018: Ranking Causal Influence of Financial Markets via Directed Information Graphs: Theo Diamandis, Yonathan Murin and Andrea Goldsmith
2018: Testing the Number of Regimes in Markov Regime Switching Models: Hiroyuki Kasahara and Katsumi Shimotsu
2018: Nonfractional Memory: Filtering, Antipersistence, and Forecasting: J. Eduardo Vera-Vald\'es
2018: Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts: Andreas Kaloudis and Dimitrios Tsolis
2018: Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity): Ricardo Antunes, Daniel Birchal, Jo\~ao M\'arcio Abijaodi, Paulo Abreu and Rog\'erio Peixoto
2018: USDA Forecasts: A meta-analysis study: Bahram Sanginabadi
2018: Ergodic robust maximization of asymptotic growth: Constantinos Kardaras and Scott Robertson
2018: A Dirichlet Process Mixture Model of Discrete Choice: Rico Krueger, Akshay Vij and Taha H. Rashidi
2018: A First Option Calibration of the GARCH Diffusion Model by a PDE Method: Yiannis A. Papadopoulos and Alan Lewis
2018: The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios: Igor Halperin
2018: Large-Scale Simulation of Multi-Asset Ising Financial Markets: Tetsuya Takaishi
2018: CryptoRuble: From Russia with Love: Zura Kakushadze and Jim Kyung-Soo Liew
2018: Evaluating the role of risk networks on risk identification, classification and emergence: Christos Ellinas, Neil Allan and Caroline Coombe
2018: Eliminating the effect of rating bias on reputation systems: Leilei Wu, Zhuoming Ren, Xiao-Long Ren, Jianlin Zhang and Linyuan L\"u
2018: A subordinated CIR intensity model with application to Wrong-Way risk CVA: Cheikh Mbaye and Frédéric Vrins
2018: Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models: Takuji Arai, Yuto Imai and Ryo Nakashima
2018: The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient: Martin Falcke and V. Nicolai Friedhoff
2018: Social Network based Short-Term Stock Trading System: Paolo Cremonesi, Chiara Francalanci, Alessandro Poli, Roberto Pagano, Luca Mazzoni, Alberto Maggioni and Mehdi Elahi
2018: Characterizing Assumption of Rationality by Incomplete Information: Shuige Liu
2018: Coexistence of several currencies in presence of increasing returns to adoption: Alex Lamarche-Perrin, Andr\'e Orl\'ean and Pablo Jensen
2018: Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present: N. Packham
2018: Asymptotic Static Hedge via Symmetrization: Jiro Akahori, Flavia Barsotti and Yuri Imamura
2018: Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?: Patrick Kofod Mogensen
2018: Viable Insider Markets: Olfa Draouil and Bernt {\O}ksendal
2018: Is there a housing bubble in China: Tianhao Zhi, Zhongfei Li, Zhiqiang Jiang, Lijian Wei and Didier Sornette
2018: Generative Models for Stochastic Processes Using Convolutional Neural Networks: Fernando Fernandes Neto
2018: Predict Forex Trend via Convolutional Neural Networks: Yun-Cheng Tsai, Jun-Hao Chen and Jun-Jie Wang
2018: On a Constructive Theory of Markets: Steven D. Moffitt
2018: Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design: Steven D. Moffitt and William T. Ziemba
2018: A Method for Winning at Lotteries: Steven D. Moffitt and William T. Ziemba
2018: Dynamic Pricing and Energy Management Strategy for EV Charging Stations under Uncertainties: Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Dirichlet Forms and Finite Element Methods for the SABR Model: Blanka Horvath and Oleg Reichmann
2018: Diversification, economies of scope, and exports growth of Chinese firms: Mercedes Campi, Marco Due\~nas, Le Li and Huabin Wu
2018: A quantitative approach to choose among multiple mutually exclusive decisions: comparative expected utility theory: Pengyu Zhu
2018: The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis: Danilo Delpini, Stefano Battiston, Guido Caldarelli and Massimo Riccaboni
2018: A Consumer Behavior Based Approach to Multi-Stage EV Charging Station Placement: Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Placement of EV Charging Stations --- Balancing Benefits among Multiple Entities: Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage: Chao Luo, Yih-Fang Huang and Vijay Gupta
2018: Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists: Steven D. Moffitt
2018: Dynamic and granular loss reserving with copulae: Mat\'u\v{s} Maciak, Ostap Okhrin and Michal Pe\v{s}ta
2018: A New Wald Test for Hypothesis Testing Based on MCMC outputs: Yong Li, Xiaobin Liu, Jun Yu and Tao Zeng
2018: A novel improved fuzzy support vector machine based stock price trend forecast model: Shuheng Wang, Guohao Li and Yifan Bao
2018: Exploiting Investors Social Network for Stock Prediction in China's Market: Xi Zhang, Jiawei Shi, Di Wang and Binxing Fang
2018: Improving Stock Market Prediction via Heterogeneous Information Fusion: Xi Zhang, Yunjia Zhang, Senzhang Wang, Yuntao Yao, Binxing Fang and Philip S. Yu
2018: Set Identified Dynamic Economies and Robustness to Misspecification: Andreas Tryphonides
2018: Some Physics Notions on Monetary Standard: Tiago Fernandes
2018: Optimizing S-shaped utility and implications for risk management: John Armstrong and Damiano Brigo
2018: Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk: Xue Dong He and Xianhua Peng
2018: Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE: Jean-Francois Mercure, Hector Pollitt, N. R. Edwards, P. B. Holden, U. Chewpreecha, P. Salas, Aileen Lam, F. Knobloch and J. Vinuales
2018: Mean Reversion Trading with Sequential Deadlines and Transaction Costs: Yerkin Kitapbayev and Tim Leung
2018: Option Pricing in a Regime Switching Stochastic Volatility Model: Arunangshu Biswas, Anindya Goswami and Ludger Overbeck
2018: Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science: Y\'erali Gandica, Marco Valerio Geraci, Sophie B\'ereau and Jean-Yves Gnabo
2018: Principal-Agent Problem with Common Agency without Communication: Thibaut Mastrolia and Zhenjie Ren
2018: Computation of second order price sensitivities in depressed markets: Youssef El-Khatib and Abdulnasser Hatemi-J
2018: Optimal consumption of multiple goods in incomplete markets: Oleksii Mostovyi
2018: Asymptotic multivariate expectiles: V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
2018: Multivariate Geometric Expectiles: Klaus Herrmann, Marius Hofert and Melina Mailhot
2018: Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939: Mikio Ito, Kiyotaka Maeda and Akihiko Noda
2018: The short-term price impact of trades is universal: Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2018: A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing: Johannes Muhle-Karbe and Marcel Nutz
2018: Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities: Jos\'e-Luis P\'erez and Kazutoshi Yamazaki
2018: Dependent Defaults and Losses with Factor Copula Models: Damien Ackerer and Thibault Vatter
2018: Optimal Population in a Finite Horizon: Satoshi Nakano and Kazuhiko Nishimura
2018: Testing for Common Breaks in a Multiple Equations System: Tatsushi Oka and Pierre Perron
2018: Deep Portfolio Theory: J. B. Heaton, N. G. Polson and J. H. Witte
2018: No-arbitrage and hedging with liquid American options: Erhan Bayraktar and Zhou Zhou
2018: Depreciation and the Time Value of Money: Brendon Farrell
2018: Approximate Residual Balancing: De-Biased Inference of Average Treatment Effects in High Dimensions: Susan Athey, Guido Imbens and Stefan Wager
2018: Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes: Milan Kumar Das, Anindya Goswami and Nimit Rana
2018: A Short Note on P-Value Hacking: Nassim Nicholas Taleb
2018: Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps: Damiano Brigo, Nicola Pede and Andrea Petrelli
2018: A Supermartingale Relation for Multivariate Risk Measures: Zachary Feinstein and Birgit Rudloff
2018: Why Indexing Works: J. B. Heaton, N. G. Polson and J. H. Witte
2018: How Market Structure Drives Commodity Prices: Bin Li, K. Y. Michael Wong, Amos H. M. Chan, Tsz Yan So, Hermanni Heimonen, Junyi Wei and David Saad
2018: Graph representation of balance sheets: from exogenous to endogenous money: Cyril Pitrou
2018: Canonical Sectors and Evolution of Firms in the US Stock Markets: Lorien X. Hayden, Ricky Chachra, Alexander A. Alemi, Paul H. Ginsparg and James P. Sethna
2018: Program Evaluation and Causal Inference with High-Dimensional Data: Alexandre Belloni, Victor Chernozhukov, Ivan Fern\'andez-Val and Christian Hansen
2018: Periodic Strategies: A New Solution Concept and an Algorithm for NonTrivial Strategic Form Games: V. K. Oikonomou and J. Jost
2018: Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors: Victor Chernozhukov, Denis Chetverikov and Kengo Kato

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