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2017: Urn model for products' shares in international trade

Matthieu Barbier and D. -S. Lee

2017: Demographic Modeling Via 3-dimensional Markov Chains

Juan Jose Viquez, Alexander Campos, Jorge Loria, Luis Alfredo Mendoza and Jorge Aurelio Viquez

2017: Resource Abundance and Life Expectancy

Bahram Sanginabadi

2017: A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market

Piero Mazzarisi, Paolo Barucca, Fabrizio Lillo and Daniele Tantari

2017: A simple mathematical model for unemployment: a case study in Portugal with optimal control

Anibal Galindro and Delfim F. M. Torres

2017: Foreign Portfolio Investment and Economy: The Network Perspective

Muhammad Mohsin Hakeem and Ken-ichi Suzuki

2017: How Short Sales Circumvent the Capital Gains Tax System

Russell Stanley Q. Geronimo

2017: Why Long-Term Debt Instruments Cannot Be Deposit Substitutes

Russell Stanley Q. Geronimo

2017: De Facto Control: Applying Game Theory to the Law on Corporate Nationality

Russell Stanley Q. Geronimo

2017: No arbitrage and lead-lag relationships

Takaki Hayashi and Yuta Koike

2017: Accelerators in macroeconomics: Comparison of discrete and continuous approaches

Valentina V. Tarasova and Vasily E. Tarasov

2017: An Artificial Neural Network-based Stock Trading System Using Technical Analysis and Big Data Framework

O. B. Sezer, M. Ozbayoglu and E. Dogdu

2017: Economic interpretation of fractional derivatives

Valentina V. Tarasova and Vasily E. Tarasov

2017: Logistic map with memory from economic model

Valentina V. Tarasova and Vasily E. Tarasov

2017: Concept of dynamic memory in economics

Valentina V. Tarasova and Vasily E. Tarasov

2017: Dynamic intersectoral models with power-law memory

Valentina V. Tarasova and Vasily E. Tarasov

2017: Maximizing the Collective Learning Effects in Regional Economic Development

Jian Gao

2017: Closed-form Solutions for the Lucas-Uzawa model: Unique or Multiple

Rehana Naz

2017: Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation

Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba and Jos\'e Carlos Dias

2017: Efficient European and American option pricing under a jump-diffusion process

Marcellino Gaudenzi, Alice Spangaro and Patrizia Stucchi

2017: On Long Memory Origins and Forecast Horizons

J. Eduardo Vera-Vald\'es

2017: Gibbs sampler with jump diffusion model: application in European call option and annuity

Kein Joe Lau, Yong Kheng Goh and An-Chow Lai

2017: Trading Strategies with Position Limits

Valerii Salov

2017: Transformation Models in High-Dimensions

Sven Klaassen, Jannis Kueck and Martin Spindler

2017: First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment

Yuri F. Saporito

2017: Another Look at the Ho-Lee Bond Option Pricing Model

Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev and Frank Fabozzi

2017: Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model

Roberto Baviera

2017: The Saga of KPR: Theoretical and Experimental developments

Kiran Sharma, Anamika, Anindya S. Chakrabarti, Anirban Chakraborti and Sujoy Chakravarty

2017: The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

Tetsuya Takaishi and Ting Ting Chen

2017: The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

Foad Shokrollahi

2017: The Mathematics of Market Timing

Guy Metcalfe

2017: Stock market as temporal network

Longfeng Zhao, Gang-Jin Wang, Mingang Wang, Weiqi Bao, Wei Li and H. Eugene Stanley

2017: Optimal Stochastic Decensoring and Applications to Calibration of Market Models

Anastasis Kratsios

2017: Inverse Reinforcement Learning for Marketing

Igor Halperin

2017: The Calculus of Democratization and Development

Jacob Ferguson

2017: Enhancing Binomial and Trinomial Equity Option Pricing Models

Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev and Frank Fabozzi

2017: Compound Hawkes Processes in Limit Order Books

Anatoliy Swishchuk, Bruno Remillard, Robert Elliott and Jonathan Chavez-Casillas

2017: Mixed Models as an Alternative to Farima

Jos\'e Igor Morlanes

2017: On Metropolis Growth

Syed Amaar Ahmad

2017: Online Red Packets: A Large-scale Empirical Study of Gift Giving on WeChat

Yuan Yuan, Tracy Liu, Chenhao Tan and Jie Tang

2017: Remarks on Bayesian Control Charts

Amir Ahmadi-Javid and Mohsen Ebadi

2017: Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models

Anatoliy Swishchuk and Zijia Wang

2017: Linear and nonlinear market correlations: characterizing financial crises and portfolio optimization

Alexander Haluszczynski, Ingo Laut, Heike Modest and Christoph R\"ath

2017: Risk Apportionment: The Dual Story

Louis Eeckhoudt, Roger Laeven and Harris Schlesinger

2017: On the Singular Control of Exchange Rates

Giorgio Ferrari and Tiziano Vargiolu

2017: Multi-currency reserving for coherent risk measures

Saul Jacka, Seb Armstrong and Abdel Berkaoui

2017: Inferring agent objectives at different scales of a complex adaptive system

Dieter Hendricks, Adam Cobb, Richard Everett, Jonathan Downing and Stephen J. Roberts

2017: A particle model for the herding phenomena induced by dynamic market signals

Hyeong-Ohk Bae, Seung-yeon Cho, Sang-hyeok Lee and Seok-Bae Yun

2017: The balance of growth and risk in population dynamics

Thomas Gueudr\'e and David Martin

2017: Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis

Dat Thanh Tran, Alexandros Iosifidis, Juho Kanniainen and Moncef Gabbouj

2017: An Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate Governance and Capital Structure in Emerging Markets: Evidence from Chinese Listed Companies

ManYing Kang and Marcel Ausloos

2017: Dynamic optimization of a portfolio

Oleg Malafeyev and Achal Awasthi

2017: Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility

Lena Schutte

2017: Empirical comparison of three models for determining market clearing prices in Turkish day-ahead electricity market

G\"okhan Ceyhan, Nermin Elif Kurt, H. Bahadir Sahin and K\"ur\c{s}ad Derinkuyu

2017: Distributions of Historic Market Data - Stock Returns

Zhiyuan Liu, M. Dashti Moghaddam and R. A. Serota

2017: Modal Regression using Kernel Density Estimation: a Review

Yen-Chi Chen

2017: The tipping point: a mathematical model for the profit-driven abandonment of restaurant tipping

Sara M. Clifton, Eileen Herbers, Jack Chen and Daniel M. Abrams

2017: Preliminary steps toward a universal economic dynamics for monetary and fiscal policy

Yaneer Bar-Yam, Jean Langlois-Meurinne, Mari Kawakatsu and Rodolfo Garcia

2017: A High Frequency Trade Execution Model for Supervised Learning

Matthew F Dixon

2017: Forecasting day-ahead electricity prices in Europe: the importance of considering market integration

Jesus Lago, Fjo De Ridder, Peter Vrancx and Bart De Schutter

2017: An Alternative Estimation Method of a Time-Varying Parameter Model

Mikio Ito, Akihiko Noda and Tatsuma Wada

2017: Unfolding the innovation system for the development of countries: co-evolution of Science, Technology and Production

Emanuele Pugliese, Giulio Cimini, Aurelio Patelli, Andrea Zaccaria, Luciano Pietronero and Andrea Gabrielli

2017: Gini estimation under infinite variance

Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo

2017: Open Source Fundamental Industry Classification

Zura Kakushadze and Willie Yu

2017: Optimal Portfolio under Fractional Stochastic Environment

Jean-Pierre Fouque and Ruimeng Hu

2017: Existence, uniqueness and stability of optimal portfolios of eligible assets

Michel Baes, Pablo Koch-Medina and Cosimo Munari

2017: On the tail behavior of a class of multivariate conditionally heteroskedastic processes

Rasmus Pedersen and Olivier Wintenberger

2017: Exponential Structure of Income Inequality: Evidence from 67 Countries

Yong Tao, Xiangjun Wu, Tao Zhou, Weibo Yan, Yanyuxiang Huang, Han Yu, Benedict Mondal and Victor Yakovenko

2017: Convex functions on dual Orlicz spaces

Freddy Delbaen and Keita Owari

2017: An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach

Kristoffer Lindensj\"o

2017: Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets

David Criens

2017: On the Optimal Management of Public Debt: a Singular Stochastic Control Problem

Giorgio Ferrari

2017: Volatility Forecasts Using Nonlinear Leverage Effects

Kenichiro McAlinn, Asahi Ushio and Teruo Nakatsuma

2017: On an Optimal Extraction Problem with Regime Switching

Giorgio Ferrari and Shuzhen Yang

2017: Risk Quantification in Stochastic Simulation under Input Uncertainty

Helin Zhu, Tianyi Liu and Enlu Zhou

2017: Measuring the frequency dynamics of financial connectedness and systemic risk

Jozef Baruník and Tomas Krehlik

2017: Homogenization and Clustering as a Non-Statistical Methodology to Assess Multi-Parametrical Chain Problems

Johannes Freiesleben and Nicolas Gu\'erin

2017: A hybrid tree/finite-difference approach for Heston-Hull-White type models

M. Briani, L. Caramellino and A. Zanette

2017: Community detection in temporal multilayer networks, with an application to correlation networks

Marya Bazzi, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn and Sam D. Howison

2017: The Query Complexity of Correlated Equilibria

Sergiu Hart and Noam Nisan

2017: Approximate Revenue Maximization with Multiple Items

Sergiu Hart and Noam Nisan

2017: Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview

Daniel Kosiorowski, Dominik Mielczarek and Jerzy. P. Rydlewski

2017: Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries

Jing Shi, Marcel Ausloos and Tingting Zhu

2017: Hint of a Universal Law for the Financial Gains of Competitive Sport Teams. The case of Tour de France cycle race

Marcel Ausloos

2017: Fluctuation identities with continuous monitoring and their application to price barrier options

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai and Guido Germano

2017: Factor endowment -- commodity output relationships in a three-factor, two-good general equilibrium trade model

Yoshiaki Nakada

2017: Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece

George P Papaioannou, Christos Dikaiakos, Anargyros Dramountanis, Dionysios S Georgiadis and Panagiotis G Papaioannou

2017: Identification of and correction for publication bias

Isaiah Andrews and Maximilian Kasy

2017: Conditional cores and conditional convex hulls of random sets

Emmanuel Lepinette and Ilya Molchanov

2017: Optimal Risk Allocation in Reinsurance Networks

Nicole B\"auerle and Alexander Glauner

2017: Comment on Suzuki's rebuttal of Batra and Casas

Yoshiaki Nakada

2017: Constructive Identification of Heterogeneous Elasticities in the Cobb-Douglas Production Function

Tong Li and Yuya Sasaki

2017: Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model

Olivares Pablo and Villamor Enrique

2017: Option pricing for Informed Traders

Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev and Frank Fabozzi

2017: The Research on the Stagnant Development of Shantou Special Economic Zone Under Reform and Opening-Up Policy

Bowen Cai

2017: Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison

Kamilla Sabitova

2017: Valuation of equity warrants for uncertain financial market

Foad Shokrollahi

2017: Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model

F. M. Stefan and A. P. F. Atman

2017: Price Optimisation for New Business

Maissa Tamraz and Yaming Yang

2017: Statistical properties of market collective responses

Shanshan Wang, Sebastian Neus\"u{\ss} and Thomas Guhr

2017: Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level

Takashi Kato

2017: Influence of jump-at-default in IR and FX on Quanto CDS prices

Andrey Itkin, V. Shcherbakov and A. Veygman

2017: Robust Synthetic Control

Muhammad Jehangir Amjad, Devavrat Shah and Dennis Shen

2017: Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble

Martin Herdegen and Sebastian Herrmann

2017: Multi-objective risk-averse two-stage stochastic programming problems

\c{C}a\u{g}{\i}n Ararat, \"Ozlem \c{C}avu\c{s} and Ali \.Irfan Mahmuto\u{g}ullar{\i}

2017: Rich or poor: Who should pay higher tax rates?

Paulo Murilo Castro de Oliveira

2017: Identifying the community structure of the international food-trade multi network

Sofia Torreggiani, Giuseppe Mangioni, Michael J. Puma and Giorgio Fagiolo

2017: Bank Panics and Fire Sales, Insolvency and Illiquidity

T. R. Hurd

2017: Black was right: Price is within a factor 2 of Value

J. P. Bouchaud, S. Ciliberti, Y. Lemp\'eri\`ere, A. Majewski, P. Seager and K. Sin Ronia

2017: Closed-form Solutions of Relativistic Black-Scholes Equations

Yanlin Qu and Randall R. Rojas

2017: Financial Time Series Prediction Using Deep Learning

Ariel Navon and Yosi Keller

2017: Testing for observation-dependent regime switching in mixture autoregressive models

Mika Meitz and Pentti Saikkonen

2017: Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis

Martin Magris, Jiyeong Kim, Esa Rasanen and Juho Kanniainen

2017: Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets

Zhepeng Hu, Mindy Mallory, Teresa Serra and Philip Garcia

2017: Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon

Alon Dourban and Liron Yedidsion

2017: The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective

Yuri F. Saporito, Xu Yang and Jorge P. Zubelli

2017: Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity

Kevin Fergusson and Eckhard Platen

2017: Optimal Brownian Stopping between radially symmetric marginals in general dimensions

Nassif Ghoussoub, Young-Heon Kim and Tongseok Lim

2017: Mean Field Limit of a Behavioral Financial Market Model

Torsten Trimborn, Martin Frank and Stephan Martin

2017: Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach

Calisto Guambe and Rodwell Kufakunesu

2017: Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals

Renko Siebols

2017: A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs

Arash Fahim and Wan-Yu Tsai

2017: On Game-Theoretic Risk Management (Part Three) - Modeling and Applications

Stefan Rass

2017: Equity in Startups

Herv\'e Lebret

2017: Startups and Stanford University

Herv\'e Lebret

2017: Pricing of commodity derivatives on processes with memory

Fred Espen Benth, Asma Khedher and Mich\`ele Vanmaele

2017: Correlations and Clustering in Wholesale Electricity Markets

Tianyu Cui, Francesco Caravelli and Cozmin Ududec

2017: Tensor Representation in High-Frequency Financial Data for Price Change Prediction

Dat Thanh Tran, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis

2017: Principal Components and Regularized Estimation of Factor Models

Jushan Bai and Serena Ng

2017: qBitcoin: A Peer-to-Peer Quantum Cash System

Kazuki Ikeda

2017: The speed of sequential asymptotic learning

Wade Hann-Caruthers, Vadim V. Martynov and Omer Tamuz

2017: Singular Fourier-Pad\'e Series Expansion of European Option Prices

Tat Lung Chan

2017: Complex Correlation Approach for High Frequency Financial Data

Mateusz Wilinski, Yuichi Ikeda and Hideaki Aoyama

2017: Evolutionary dynamics of the cryptocurrency market

Abeer ElBahrawy, Laura Alessandretti, Anne Kandler, Romualdo Pastor-Satorras and Andrea Baronchelli

2017: Stability of zero-growth economics analysed with a Minskyan model

Adam B. Barrett

2017: Quantifying China's Regional Economic Complexity

Jian Gao and Tao Zhou

2017: Model Spaces for Risk Measures

Felix-Benedikt Liebrich and Gregor Svindland

2017: Solvency II, or How to Sweep the Downside Risk Under the Carpet

Stefan Weber

2017: A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus

Takuji Arai and Yuto Imai

2017: Optimal liquidation in a Level-I limit order book for large tick stocks

Antoine Jacquier and Hao Liu

2017: Random matrix approach to estimation of high-dimensional factor models

Joongyeub Yeo and George Papanicolaou

2017: Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function

Maria Grossinho, Yaser Kord Faghan and Daniel Sevcovic

2017: Canonical Supermartingale Couplings

Marcel Nutz and Florian Stebegg

2017: The dividend problem with a finite horizon

Tiziano De Angelis and Erik Ekstr\"om

2017: Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model

Jean-Philippe Aguilar, Cyril Coste and Jan Korbel

2017: Sparse Bayesian time-varying covariance estimation in many dimensions

Gregor Kastner

2017: Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes

Andrew Papanicolaou and Konstantinos Spiliopoulos

2017: A Mean Field Game of Optimal Stopping

Marcel Nutz

2017: Optimal Liquidation under Stochastic Liquidity

Dirk Becherer, Todor Bilarev and Peter Frentrup

2017: General dynamic term structures under default risk

Claudio Fontana and Thorsten Schmidt

2017: Black-Scholes in a CEV random environment

Antoine Jacquier and Patrick Roome

2017: Russian-Doll Risk Models

Zura Kakushadze

2017: Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model

Jos\'e E. Figueroa-L\'opez, Ruoting Gong and Christian Houdr\'e

2017: Customer Selection Model with Grouping and Hierarchical Ranking Analysis

Bowen Cai

2017: Dis-embedded Openness: Inequalities in European Economic Integration at the Sectoral Level

Balazs Vedres and Carl Nordlund

2017: A continuous selection for optimal portfolios under convex risk measures does not always exist

Michel Baes and Cosimo Munari

2017: On some further properties and application of Weibull-R family of distributions

Indranil Ghosh and Saralees Nadarajah

2017: Network models of financial systemic risk: A review

Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi

2017: Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending

Jessica Foo, Lek-Heng Lim and Ken Sze-Wai Wong

2017: The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

Elisa Alos, Antoine Jacquier and Jorge Leon

2017: Statistical validation of financial time series via visibility graph

Matteo Serafino, Andrea Gabrielli, Guido Caldarelli and Giulio Cimini

2017: Research on ruin probability of risk model based on AR(1) series

Wenhao Li, Bolong Wang, Tianxiang Shen, Ronghua Zhu and Dehui Wang

2017: Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model

Jingtang Ma, Wenyuan Li and Harry Zheng

2017: Quantum attacks on Bitcoin, and how to protect against them

Divesh Aggarwal, Gavin K. Brennen, Troy Lee, Miklos Santha and Marco Tomamichel

2017: From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks

Mika J. Straka, Guido Caldarelli, Tiziano Squartini and Fabio Saracco

2017: Calibrated Projection in MATLAB: Users' Manual

Hiroaki Kaido, Francesca Molinari, Jörg Stoye and Matthew Thirkettle

2017: Reference Class Forecasting for Hong Kong's Major Roadworks Projects

Bent Flyvbjerg, Chi-keung Hon and Wing Huen Fok

2017: Asymptotic Distribution and Simultaneous Confidence Bands for Ratios of Quantile Functions

Fabian Dunker, Stephan Klasen and Tatyana Krivobokova

2017: Calibration of Machine Learning Classifiers for Probability of Default Modelling

Pedro G. Fonseca and Hugo D. Lopes

2017: A Topological Approach to Scaling in Financial Data

Jean de Carufel, Martin Brooks, Michael Stieber and Paul Britton

2017: Propensity score matching for multiple treatment levels: A CODA-based contribution

Hajime Seya and Takahiro Yoshida

2017: Electricity Market Theory Based on Continuous Time Commodity Model

Haoyong Chen and Lijia Han

2017: A regularity structure for rough volatility

Christian Bayer, Peter K. Friz, Paul Gassiat, Joerg Martin and Benjamin Stemper

2017: Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures

Jing-Chao Chen, Yu Zhou and Xi Wang

2017: Frequency Based Index Estimating the Subclusters' Connection Strength

Lukas Pastorek

2017: Minimax Linear Estimation at a Boundary Point

Wayne Gao

2017: Revenue-based Attribution Modeling for Online Advertising

Kaifeng Zhao, Seyed Hanif Mahboobi and Saeed Bagheri

2017: Navigating dark liquidity (How Fisher catches Poisson in the Dark)

Ilija Zovko

2017: Disruptive firms

Mario Coccia

2017: Efficient hedging in Bates model using high-order compact finite differences

Bertram D\"uring and Alexander Pitkin

2017: Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model

Ziping Zhao and Daniel P. Palomar

2017: Mean Field Game Approach to Production and Exploration of Exhaustible Commodities

Michael Ludkovski and Xuwei Yang

2017: A General Framework for Portfolio Theory. Part II: drawdown risk measures

Stanislaus Maier-Paape and Qiji Jim Zhu

2017: A General Framework for Portfolio Theory. Part I: theory and various models

Stanislaus Maier-Paape and Qiji Jim Zhu

2017: Computational Analysis of the structural properties of Economic and Financial Networks

Frank Emmert-Streib, Aliyu Musa, Kestutis Baltakys, Juho Kanniainen, Shailesh Tripathi, Olli Yli-Harja, Herbert Jodlbauer and Matthias Dehmer

2017: Utility maximization problem under transaction costs: optimal dual processes and stability

Lingqi Gu, Yiqing Lin and Junjian Yang

2017: Market impact with multi-timescale liquidity

Michael Benzaquen and Jean-Philippe Bouchaud

2017: Measuring the gradualist approach to internationalization

M\'onica Clavel, Jes\'us Arteaga-Ortiz, Rub\'en Fern\'andez-Ortiz and Pablo Dorta-Gonz\'alez

2017: A buffer Hawkes process for limit order books

Ingemar Kaj and Mine Caglar

2017: A Strategic Investment Framework for Biotechnology Markets via Dynamic Asset Allocation and Class Diversification

Abhishek Mohan and Agnibho Roy

2017: Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing

Svetlozar Rachev, Stoyan Stoyanov and Frank Fabozzi

2017: Short Maturity Forward Start Asian Options in Local Volatility Models

Dan Pirjol, Jing Wang and Lingjiong Zhu

2017: A Unified Approach on the Local Power of Panel Unit Root Tests

Zhongwen Liang

2017: An Optimized Microeconomic Modeling System for Analyzing Industrial Externalities in Non-OECD Countries

Agnibho Roy and Abhishek Mohan

2017: Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm

Philipp J. Kremer, Sangkyun Lee, Malgorzata Bogdan and Sandra Paterlini

2017: A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games

Shuige Liu

2017: Intervention On Default Contagion Under Partial Information

Yang Xu

2017: The Chebyshev method for the implied volatility

Kathrin Glau, Paul Herold, Dilip B. Madan and Christian P\"otz

2017: On Kelly Betting: Some Limitations

Chung-Han Hsieh and B. Ross Barmish

2017: Kelly Betting Can Be Too Conservative

Chung-Han Hsieh, B. Ross Barmish and John A. Gubner

2017: On Drawdown-Modulated Feedback Control in Stock Trading

Chung-Han Hsieh and B. Ross Barmish

2017: Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading

Xuefeng Gao, Xiang Zhou and Lingjiong Zhu

2017: Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions

Igor Halperin

2017: A series representation for the Black-Scholes formula

Jean-Philippe Aguilar

2017: Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging

Kamil Kladivko and Mihail Zervos

2017: Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation

Jinglun Yao, Sabine Laurent and Brice B\'enaben

2017: A Note on the Multi-Agent Contracts in Continuous Time

Qi Luo and Romesh Saigal

2017: Obstacle problems for nonlocal operators

Donatella Danielli, Arshak Petrosyan and Camelia A. Pop

2017: Estimation of Graphical Models using the $L_{1,2}$ Norm

Khai X. Chiong and Hyungsik Moon

2017: Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic?

Mogens Graf Plessen and Alberto Bemporad

2017: Bias Reduction in Instrumental Variable Estimation through First-Stage Shrinkage

Jann Spiess

2017: Unbiased Shrinkage Estimation

Jann Spiess

2017: Instantaneous order impact and high-frequency strategy optimization in limit order books

Federico Gonzalez and Mark Schervish

2017: An Optimal Execution Problem with S-shaped Market Impact Functions

Takashi Kato

2017: Hierarchical organization of H. Eugene Stanley scientific collaboration community in weighted network representation

Stanislaw Drozdz, Andrzej Kulig, Jaroslaw Kwapien, Artur Niewiarowski and Marek Stanuszek

2017: Robust and Consistent Estimation of Generators in Credit Risk

Greig Smith and Goncalo dos Reis

2017: Pricing insurance drawdown-type contracts with underlying L\'evy assets

Zbigniew Palmowski and Joanna Tumilewicz

2017: Robust Optimal Investment in Discrete Time for Unbounded Utility Function

Laurence Carassus and Romain Blanchard

2017: The Local Fractional Bootstrap

Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen

2017: Do co-jumps impact correlations in currency markets?

Jozef Baruník and Lukas Vacha

2017: Fighting Uncertainty with Uncertainty: A Baby Step

Ravi Kashyap

2017: Systemic Risk Management in Financial Networks with Credit Default Swaps

Matt V. Leduc, Sebastian Poledna and Stefan Thurner

2017: Some Results on Skorokhod Embedding and Robust Hedging with Local Time

Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere

2017: Financial Models with Defaultable Num\'eraires

Travis Fisher, Sergio Pulido and Johannes Ruf

2017: The Limits of Leverage

Paolo Guasoni and Eberhard Mayerhofer

2017: Product-Mix Auctions and Tropical Geometry

Ngoc Mai Tran and Josephine Yu

2017: The ABC of Simulation Estimation with Auxiliary Statistics

Jean-Jacques Forneron and Serena Ng

2017: Do Classics Exist in Megaproject Management?

Bent Flyvbjerg and J. Rodney Turner

2017: A 700-seat no-loss composition for the 2019 European Parliament

G. R. Grimmett, F. Pukelsheim, V. Ram\'irez Gonz\'alez, W. S{\l}omczy\'nski and K. \.Zyczkowski

2017: Explaining the Mechanism of Growth in the Past Two Million Years Vol. I

Ron W. Nielsen

2017: A Structural Model for Fluctuations in Financial Markets

Kartik Anand, Jonathan Khedair and Reimer Kuehn

2017: Forecasting with Dynamic Panel Data Models

Laura Liu, Hyungsik Moon and Frank Schorfheide

2017: Equilibrium distributions and discrete Schur-constant models

Anna Casta\~ner and M Merc\`e Claramunt

2017: Wealth distribution in presence of debts. A Fokker--Planck description

Marco Torregrossa and Giuseppe Toscani

2017: Quasi-random Monte Carlo application in CGE systematic sensitivity analysis

Theodoros Chatzivasileiadis

2017: Kinetic models for goods exchange in a multi-agent market

Carlo Brugna and Giuseppe Toscani

2017: A Bimodal Network Approach to Model Topic Dynamics

Luigi Di Caro, Marco Guerzoni, Massimiliano Nuccio and Giovanni Siragusa

2017: Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints

Delia Coculescu and Monique Jeanblanc

2017: Discrete Choice and Rational Inattention: a General Equivalence Result

Mogens Fosgerau, Emerson Melo, André de Palma and Matthew Shum

2017: Inference on Estimators defined by Mathematical Programming

Yu-Wei Hsieh, Xiaoxia Shi and Matthew Shum

2017: Pricing derivatives in Hermite markets

Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik and Frank Fabozzi

2017: Bounds On Treatment Effects On Transitions

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2017: The stabilizing effect of volatility in financial markets

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2017: Changing the Direction of the Economic and Demographic Research

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2017: Default Contagion with Domino Effect, A First Passage Time Approach

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2017: Dynamic trading under integer constraints

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2017: Trends and Risk Premia: Update and Additional Plots

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2017: Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo

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2017: Semiparametric GARCH via Bayesian model averaging

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2017: Active Preference Learning for Personalized Portfolio Construction

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2017: The Keynesian Model in the General Theory: A Tutorial

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2017: Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece

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2017: Systematic Noise: Micro-movements in Equity Options Markets

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2017: Volatility and Economic Growth in the Twentieth Century

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2017: Unemployment: Study of Causes and Possible Solutions

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2017: Fake News in Social Networks

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2017: Portfolio Optimization with Entropic Value-at-Risk

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2017: Quantum Barro--Gordon Game in Monetary Economics

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2017: Generalizations of Szpilrajn's Theorem in economic and game theories

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2017: Comparing distributions by multiple testing across quantiles or CDF values

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2017: Some stylized facts of the Bitcoin market

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2017: Dynamics of Investor Spanning Trees Around Dot-Com Bubble

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2017: Optimum thresholding using mean and conditional mean square error

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2017: Optimal placement of a small order in a diffusive limit order book

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2017: Valuation of a Bermudan DB underpin hybrid pension benefit

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2017: 729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index)

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2017: Order Flows and Limit Order Book Resiliency on the Meso-Scale

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2017: The phase space structure of the oligopoly dynamical system by means of Darboux integrability

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2017: Financial option insurance

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2017: Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach

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2017: Machine learning in sentiment reconstruction of the simulated stock market

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2017: A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices

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2017: Vector-Valued Multivariate Conditional Value-at-Risk

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2017: Why we like the ECI+ algorithm

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2017: Lorenz curves interpretations of the Bruss-Duerinckx theorem for resource dependent branching processes

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2017: Stock-flow consistent macroeconomic model with nonuniform distributional constraint

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2017: The "Size Premium" in Equity Markets: Where is the Risk?

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2017: Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach

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2017: Universal scaling and nonlinearity of aggregate price impact in financial markets

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2017: Noisy independent component analysis of auto-correlated components

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2017: A fractional reaction-diffusion description of supply and demand

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2017: A Joint Quantile and Expected Shortfall Regression Framework

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2017: Discounting with Imperfect Collateral

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2017: Super Generalized Central Limit Theorem: Limit distributions for sums of non-identical random variables with power-laws

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2017: An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model

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2017: Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model

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2017: Generalized Optimal Liquidation Problems Across Multiple Trading Venues

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2017: Tukey's transformational ladder for portfolio management

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2017: Portfolio Selection: The Power of Equal Weight

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2017: Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading

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2017: Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets

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2017: Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective

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2017: American Options with Asymmetric Information and Reflected BSDE

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2017: Sorting in Networks: Adversity and Structure

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2017: Competition and Efficiency of Coalitions in Cournot Games with Uncertainty

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2017: Asymptotic behaviour of the fractional Heston model

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2017: An inverse optimal stopping problem for diffusion processes

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2017: Relationship between Remittances and Macroeconomic Variables in Times of Political and Social Upheaval: Evidence from Tunisia's Arab Spring

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2017: New Market Creation via Innovation: A Study on Tata Nano

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2017: Explicit expressions for European option pricing under a generalized skew normal distribution

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2017: Identification of Treatment Effects under Conditional Partial Independence

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2017: Mutation Clusters from Cancer Exome

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2017: Ether: Bitcoin's competitor or ally?

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2017: Stock Prediction: a method based on extraction of news features and recurrent neural networks

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2017: Agent Inspired Trading Using Recurrent Reinforcement Learning and LSTM Neural Networks

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2017: Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

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2017: Geopolitical Model of Investment Project Implementation

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2017: Improving the Economic Complexity Index

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2017: Correlations and Flow of Information between The New York Times and Stock Markets

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2017: Network analysis of Japanese global business using quasi-exhaustive micro-data for Japanese overseas subsidiaries

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2017: Sequence Classification of the Limit Order Book using Recurrent Neural Networks

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2017: Impact and Recovery Process of Mini Flash Crashes: An Empirical Study

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2017: Machine learning application in online lending risk prediction

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2017: A short introduction to quasi-Monte Carlo option pricing

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2017: The Wealth of Nations: Complexity Science for an Interdisciplinary Approach in Economics

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2017: Residual Value Forecasting Using Asymmetric Cost Functions

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2017: Model for Constructing an Options Portfolio with a Certain Payoff Function

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2017: Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model

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2017: Option Pricing with Delayed Information

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2017: You are in a drawdown. When should you start worrying?

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2017: Nonlinear Parabolic Equations arising in Mathematical Finance

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2017: The Bitcoin price formation: Beyond the fundamental sources

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2017: Multi-state models for evaluating conversion options in life insurance

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2017: Bonus--malus systems with different claim types and varying deductibles

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2017: Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model

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2017: General Price Bounds for Guaranteed Annuity Options

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2017: Checking account activity and credit default risk of enterprises: An application of statistical learning methods

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2017: Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations

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2017: Foreign exchange market modelling and an on-line portfolio selection algorithm

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2017: Regret-based Selection for Sparse Dynamic Portfolios

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2017: A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

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2017: Bilateral multifactor CES general equilibrium with state-replicating Armington elasticities

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2017: Hedging in fractional Black-Scholes model with transaction costs

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2017: The Action Principle in Market Mechanics

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2017: Leontief Meets Shannon - Measuring the Complexity of the Economic System

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2017: Disentangling Price, Risk and Model Risk: V&R measures

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2017: *K-means and Cluster Models for Cancer Signatures

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2017: Hawkes process model with a time-dependent background rate and its application to high-frequency financial data

Takahiro Omi, Yoshito Hirata and Kazuyuki Aihara

2017: Contagion in financial systems: A Bayesian network approach

Carsten Chong and Claudia Kl\"uppelberg

2017: Trading strategies for stock pairs regarding to the cross-impact cost

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2017: Economic Accelerator with Memory: Discrete Time Approach

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2017: Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

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2017: Optimal portfolio selection under vanishing fixed transaction costs

S\"oren Christensen, Albrecht Irle and Andreas Ludwig

2017: On Origins of Bubbles

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2017: Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions

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2017: The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models

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2017: Long-Term Factorization of Affine Pricing Kernels

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2017: Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model

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2017: On American VIX options under the generalized 3/2 and 1/2 models

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2017: Distribution-Constrained Optimal Stopping

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2017: On the overlaps between eigenvectors of correlated random matrices

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2017: Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

Gregor Kastner, Sylvia Fr\"uhwirth-Schnatter and Hedibert Freitas Lopes

2017: Game options in an imperfect market with default

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2017: Stochastic control for a class of nonlinear kernels and applications

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2017: Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

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2017: Utility Maximisation for Exponential Levy Models with option and information processes

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2017: Insurance makes wealth grow faster

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2017: The Theory of a Heliospheric Economy

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2017: Assessment of 48 Stock markets using adaptive multifractal approach

Paulo Ferreira, Andreia Dion\'isio and S. M. S. Movahed

2017: The asymptotic smile of a multiscaling stochastic volatility model

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2017: Implicit transaction costs and the fundamental theorems of asset pricing

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2017: Hedging in L\'evy Models and the Time Step Equivalent of Jumps

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2017: On the Structure of General Mean-Variance Hedging Strategies

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2017: Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market

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2017: An Investigation into Laboucheres Betting System to Improve Odds of Favorable Outcomes to Generate a Positive Externality Empirically

Jake Billings and Sebastian Del Barco

2017: Extreme portfolio loss correlations in credit risk

Andreas M\"uhlbacher and Thomas Guhr

2017: Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria

Robin Nicole and Peter Sollich

2017: Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options

Dan Pirjol and Lingjiong Zhu

2017: Risk Model Based on General Compound Hawkes Process

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2017: Intergenerational mobility measures in a bivariate normal model

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2017: A Possibilistic and Probabilistic Approach to Precautionary Saving

Irina Georgescu, Adolfo Cristobal-Campoamor and Ana Maria Lucia Casademunt

2017: General Compound Hawkes Processes in Limit Order Books

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2017: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets

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2017: Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market

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2017: Market Efficiency and Growth Optimal Portfolio

Eckhard Platen and Renata Rendek

2017: Deep Learning in (and of) Agent-Based Models: A Prospectus

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2017: Symbolic dynamics techniques for complex systems: Application to share price dynamics

Dan Xu and Christian Beck

2017: Food Productivity Trends from Hybrid Corn: Statistical Analysis of Patents and Field-test data

Mariam Barry, Giorgio Triulzi and Christopher L. Magee

2017: Quantifying the Benefits of Infrastructure Sharing

Matthew Andrews, Milan Bradonjic and Iraj Saniee

2017: Modeling credit default swap premiums with stochastic recovery rate

Zahra Sokoot, Navideh Modarresi and Farzaneh Niknejad

2017: Transfer entropy between communities in complex networks

Jan Korbel, Xiongfei Jiang and Bo Zheng

2017: Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models

Gregor Kastner and Sylvia Fr\"uhwirth-Schnatter

2017: Effect of Intellectual Property Policy on the Speed of Technological Advancement

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2017: Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models

Neofytos Rodosthenous and Hongzhong Zhang

2017: Portfolio optimization for a large investor controlling market sentiment under partial information

S\"uhan Altay, Katia Colaneri and Zehra Eksi

2017: Economics of limiting cumulative CO2 emissions

Ashwin K Seshadri

2017: Analysis of order book flows using a nonparametric estimation of the branching ratio matrix

Massil Achab, Emmanuel Bacry, Jean-Fran\c{c}ois Muzy and Marcello Rambaldi

2017: A Deep Causal Inference Approach to Measuring the Effects of Forming Group Loans in Online Non-profit Microfinance Platform

Thai T. Pham and Yuanyuan Shen

2017: Adaptive Robust Control Under Model Uncertainty

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2017: Testing Ambiguity and Machina Preferences Within a Quantum-theoretic Framework for Decision-making

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2017: Informing Additive Manufacturing technology adoption: total cost and the impact of capacity utilisation

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2017: A predictive pan-European economic and production dispatch model for the energy transition in the electricity sector

Laurent Pagnier and Philippe Jacquod

2017: Pricing Asian options for NIG and VG Levy markets

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2017: Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series

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2017: Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions

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2017: Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options

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2017: Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality

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2017: Clearing algorithms and network centrality

Christoph Siebenbrunner

2017: Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion

Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy and Alexandre Boumezoued

2017: Application of Differential Equations in Projecting Growth Trajectories

Ron W. Nielsen

2017: The q-dependent detrended cross-correlation analysis of stock market

Longfeng Zhao, Wei Li, Andrea Fenu, Boris Podobnik, Yougui Wang and H. Eugene Stanley

2017: Implied Stopping Rules for American Basket Options from Markovian Projection

Christian Bayer, Juho H\"app\"ol\"a and Ra\'ul Tempone

2017: High-Frequency Jump Analysis of the Bitcoin Market

Olivier Scaillet, Adrien Treccani and Christopher Trevisan

2017: Extremal Behavior of Long-Term Investors with Power Utility

Nicole B\"auerle and Stefanie Grether

2017: Mini-symposium on automatic differentiation and its applications in the financial industry

S\'ebastien Geeraert, Charles-Albert Lehalle, Barak Pearlmutter, Olivier Pironneau and Adil Reghai

2017: Incremental computation of block triangular matrix exponentials with application to option pricing

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2017: The Shapley Value of Digraph Games

Krishna Khatri

2017: Chebyshev Reduced Basis Function applied to Option Valuation

Javier de Frutos and Victor Gaton

2017: Empirical analysis of daily cash flow time series and its implications for forecasting

Francisco Salas-Molina, Juan A. Rodr\'iguez-Aguilar, Joan Serr\`a, Montserrat Guillen and Francisco J. Martin

2017: Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures

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2017: Bounds for VIX Futures given S&P 500 Smiles

Julien Guyon, Romain Menegaux and Marcel Nutz

2017: Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility

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2017: The effect of heterogeneity on flocking behavior and systemic risk

Fei Fang, Yiwei Sun and Konstantinos Spiliopoulos

2017: Statistical inference for the doubly stochastic self-exciting process

Simon Clinet and Yoann Potiron

2017: Incentivizing Resilience in Financial Networks

Matt V. Leduc and Stefan Thurner

2017: Endogenous Formation of Limit Order Books: Dynamics Between Trades

Roman Gayduk and Sergey Nadtochiy

2017: Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty

Erhan Bayraktar and Zhou Zhou

2017: Big is Fragile: An Attempt at Theorizing Scale

Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn

2017: Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance

Thibaut Lux and Antonis Papapantoleon

2017: Backtesting Lambda Value at Risk

Jacopo Corbetta and Ilaria Peri

2017: Funding, repo and credit inclusive valuation as modified option pricing

Damiano Brigo, Cristin Buescu and Marek Rutkowski

2017: Ruin under stochastic dependence between premium and claim arrivals

Matija Vidmar

2017: Nash equilibria for non zero-sum ergodic stochastic differential games

Samuel N. Cohen and Victor Fedyashov

2017: Pricing and Referrals in Diffusion on Networks

Matt V. Leduc, Matthew Jackson and Ramesh Johari

2017: Optimal investment with intermediate consumption under no unbounded profit with bounded risk

Huy N. Chau, Andrea Cosso, Claudio Fontana and Oleksii Mostovyi

2017: The strong predictable representation property in initially enlarged filtrations under the density hypothesis

Claudio Fontana

2017: Analysis of cyclical behavior in time series of stock market returns

Djordje Stratimirovic, Darko Sarvan, Vladimir Miljkovic and Suzana Blesic

2017: Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

Johan Dahlin, Mattias Villani and Thomas B. Sch\"on

2017: Randomized versions of Mazur lemma and Krein-Smulian theorem

Jose Miguel Zapata

2017: Smooth solutions to portfolio liquidation problems under price-sensitive market impact

Paulwin Graewe, Ulrich Horst and Eric S\'er\'e

2017: Parameter estimation for stable distributions with application to commodity futures log returns

Michael Kateregga, Sure Mataramvura and David Taylor

2017: Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds

Jaydip Sen and Tamal Datta Chaudhuri

2017: An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector: An Application of the R Programming in Time Series Decomposition and Forecasting

Jaydip Sen and Tamal Datta Chaudhuri

2017: Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves

Victor Olkhov

2017: Identification of Credit Risk Based on Cluster Analysis of Account Behaviours

Maha Bakoben, Tony Bellotti and Niall Adams

2017: Stock Trading Using PE ratio: A Dynamic Bayesian Network Modeling on Behavioral Finance and Fundamental Investment

Haizhen Wang, Ratthachat Chatpatanasiri and Pairote Sattayatham

2017: Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables

Victor Olkhov

2017: Trends in Banking 2017 and onwards

Peter Mitic

2017: Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Tim Leung and Brian Ward

2017: The Impact of Digital Financial Services on Firm's Performance: a Literature Review

Tariq Abbasi and Hans Weigand

2017: Standardised Reputation Measurement

Peter Mitic

2017: Growth-Optimal Portfolio Selection under CVaR Constraints

Guy Uziel and Ran El-Yaniv

2017: The geometry of multi-marginal Skorokhod Embedding

Mathias Beiglboeck, Alexander Cox and Martin Huesmann

2017: Financial Time Series Forecasting: Semantic Analysis Of Economic News

Kateryna Kononova and Anton Dek

2017: Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate

Zailei Cheng

2017: Sensitivity analysis of the utility maximization problem with respect to model perturbations

Oleksii Mostovyi and Mihai S\^irbu

2017: Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies

Yash Sharma

2017: On the Black's equation for the risk tolerance function

Sigrid K\"allblad and Thaleia Zariphopoulou

2017: Wealth dynamics in a sentiment-driven market

Mikhail Goykhman

2017: CDS Rate Construction Methods by Machine Learning Techniques

Raymond Brummelhuis and Zhongmin Luo

2017: Conduct Risk - distribution models with very thin Tails

Peter Mitic

2017: Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility

David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid

2017: Analytic techniques for option pricing under a hyperexponential L\'{e}vy model

Daniel Hackmann

2017: A Novel Approach to Quantification of Model Risk for Practitioners

Zuzana Krajcovicova, Pedro Pablo Perez-Velasco and Carlos Vazquez

2017: Calibration and Filtering of Exponential L\'evy Option Pricing Models

Stavros J. Sioutis

2017: Murphy Diagrams: Forecast Evaluation of Expected Shortfall

Johanna F. Ziegel, Fabian Kr\"uger, Alexander Jordan and Fernando Fasciati

2017: Investing for the Long Run

Dietmar Leisen and Eckhard Platen

2017: A note on the impact of management fees on the pricing of variable annuity guarantees

Jin Sun, Pavel V. Shevchenko and Man Chung Fung

2017: Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

Miryana Grigorova and Marie-Claire Quenez

2017: Hybrid PDE solver for data-driven problems and modern branching

Francisco Bernal, Gon\c{c}alo dos Reis and Greig Smith

2017: Polynomial processes in stochastic portfolio theory

Christa Cuchiero

2017: Maximum Entropy Principle underlying the dynamics of automobile sales

A. Hernando, D. Villuendas, M. Sulc, R. Hernando, R. Seoane and A. Plastino

2017: Machine Learning Techniques for Mortality Modeling

Philippe Deprez, Pavel V. Shevchenko and Mario V. W\"uthrich

2017: An equation for a time-dependent profit rate

Rafael D. Sorkin

2017: The Indirect Effects of FDI on Trade: A Network Perspective

Paolo Sgrignoli, Rodolfo Metulini, Zhen Zhu and Massimo Riccaboni

2017: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting

Christa Cuchiero, Irene Klein and Josef Teichmann

2017: An Alternative Estimation of Market Volatility based on Fuzzy Transform

Luigi Troiano, Elena Mejuto Villa and Pravesh Kriplani

2017: A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes

Syed Ali Asad Rizvi, Stephen J. Roberts, Michael A. Osborne and Favour Nyikosa

2017: Towards the Exact Simulation Using Hyperbolic Brownian Motion

Yuuki Ida and Yuri Imamura

2017: Particle systems with singular interaction through hitting times: application in systemic risk modeling

Sergey Nadtochiy and Mykhaylo Shkolnikov

2017: Are target date funds dinosaurs? Failure to adapt can lead to extinction

Peter A. Forsyth, Yuying Li and Kenneth R. Vetzal

2017: A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?

Stavros Stavroyiannis

2017: Social dynamics of financial networks

Teruyoshi Kobayashi and Taro Takaguchi

2017: Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network

Javier Garcia-Bernardo, Jan Fichtner, Eelke M. Heemskerk and Frank W. Takes

2017: Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula

Stefano De Marco and Claude Martini

2017: A generalized public goods game with coupling of individual ability and project benefit

Li-Xin Zhong, Wen-Juan Xu, Yun-Xin He, Chen-Yang Zhong, Rong-Da Chen, Tian Qiu, Yong-Dong Shi and Fei Ren

2017: Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version

Ruediger Frey, Lars Roesler and Dan Lu

2017: A Primer on Portfolio Choice with Small Transaction Costs

Johannes Muhle-Karbe, Max Reppen and H. Mete Soner

2017: Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations

Jaroslaw Kwapien, Pawel Oswiecimka, Marcin Forczek and Stanislaw Drozdz

2017: The complex dynamics of products and its asymptotic properties

Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria and Luciano Pietronero

2017: A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes

Camilo Hernandez, Mauricio Junca and Harold Moreno-Franco

2017: Inferring monopartite projections of bipartite networks: an entropy-based approach

Fabio Saracco, Mika J. Straka, Riccardo Di Clemente, Andrea Gabrielli, Guido Caldarelli and Tiziano Squartini

2017: Utility Indifference Pricing of Insurance Catastrophe Derivatives

Andreas Eichler, Gunther Leobacher and Michaela Sz\"olgyenyi

2017: A note on optimal expected utility of dividend payments with proportional reinsurance

Xiaoqing Liang and Zbigniew Palmowski

2017: Exponentially concave functions and a new information geometry

Soumik Pal and Ting-Kam Leonard Wong

2017: Optimal market making

Olivier Gu\'eant

2017: Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets

Dieter Hendricks

2017: A Mathematical Model of Foreign Capital Inflow

Gopal K. Basak, Pranab Das and Allena Rohit

2017: Financial Services, Economic Growth and Well-Being: A Four-Pronged Study

Ravi Kashyap

2017: On minimising a portfolio's shortfall probability

Anatolii A. Puhalskii and Michael Jay Stutzer

2017: Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations

Yusong Li and Harry Zheng

2017: High-frequency limit of Nash equilibria in a market impact game with transient price impact

Alexander Schied, Elias Strehle and Tao Zhang

2017: Liquidity Effects of Trading Frequency

Roman Gayduk and Sergey Nadtochiy

2017: Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making

Daniel Martin Katz, Michael Bommarito, Tyler Soellinger and James Ming Chen

2017: Valuation of capital protection options

Xiaolin Luo and Pavel V. Shevchenko

2017: Hybrid scheme for Brownian semistationary processes

Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2017: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

Miryana Grigorova, Peter Imkeller, Elias Offen, Youssef Ouknine and Marie-Claire Quenez

2017: Nonparametric Stochastic Discount Factor Decomposition

Timothy Christensen

2017: Multilevel Monte Carlo For Exponential L\'{e}vy Models

Mike Giles and Yuan Xia

2017: Shapes of implied volatility with positive mass at zero

Stefano De Marco, Caroline Hillairet and Antoine Jacquier

2017: A market impact game under transient price impact

Alexander Schied and Tao Zhang

2017: Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces

Zbigniew Palmowski and Sebastian Baran

2017: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

Takashi Kato

2017: Linear and nonlinear correlations in order aggressiveness of Chinese stocks

Peng Yue, Hai-Chuan Xu, Wei Chen, Xiong Xiong and Wei-Xing Zhou

2017: The effect of the behavior of an average consumer on the public debt dynamics

Roberto De Luca, Marco Di Mauro, Angelo Falzarano and Adele Naddeo

2017: An\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda en Estados Unidos, Canad\'a y M\'exico

Emiliano Diaz

2017: Classifications of Innovations Survey and Future Directions

Mario Coccia

2017: A Quantum-like Model of Selection Behavior

Masanari Asano, Irina Basieva, Andrei Khrennikov, Masanori Ohya and Yoshiharu Tanaka

2017: Propensity to spending of an average consumer over a brief period

Roberto De Luca, Marco Di Mauro, Angelo Falzarano and Adele Naddeo

2017: Stochastic modelling of non-stationary financial assets

Joana Estevens, Paulo Rocha, Joao Boto and Pedro Lind

2017: A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector

Jaydip Sen and Tamal Datta Chaudhuri

2017: Stratonovich representation of semimartingale rank processes

Robert Fernholz

2017: Multi-Period Trading via Convex Optimization

Stephen Boyd, Enzo Busseti, Steven Diamond, Ronald N. Kahn, Kwangmoo Koh, Peter Nystrup and Jan Speth

2017: Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

Tetsuya Takaishi

2017: Optimal client recommendation for market makers in illiquid financial products

Dieter Hendricks and Stephen J. Roberts

2017: Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model

Nian Yao and Zhiming Yang

2017: Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle

Umberto Cherubini and Paolo Neri

2017: The effect of heterogeneity on financial contagion due to overlapping portfolios

Opeoluwa Banwo, Fabio Caccioli, Paul Harrald and Francesca Medda

2017: A level-1 Limit Order book with time dependent arrival rates

Jonathan A. Ch\'avez-Casillas, Robert J. Elliott, Bruno R\'emillard and Anatoliy V. Swishchuk

2017: On mean-variance hedging under partial observations and terminal wealth constraints

Vitalii Makogin, Alexander Melnikov and Yuliya Mishura

2017: Scaling evidence of the homothetic nature of cities

R\'emi Lemoy and Geoffrey Caruso

2017: Simple wealth distribution model causing inequality-induced crisis without external shocks

Henri Benisty

2017: Fast Quantization of Stochastic Volatility Models

Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen

2017: Structural price model for electricity coupled markets

Clemence Alasseur and Olivier Feron

2017: Anomalous Scaling of Stochastic Processes and the Moses Effect

Lijian Chen, Kevin E. Bassler, Joseph L. McCauley and Gemunu H. Gunaratne

2017: A generalized Bayesian framework for the analysis of subscription based businesses

Rahul Madhavan and Ankit Baraskar

2017: Quantifying instabilities in Financial Markets

Bruna Amin Gon\c{c}alves, Laura Carpi, Osvaldo A. Rosso, Martin G. Ravetti and A. P. F Atman

2017: The case of 'Less is more': Modelling risk-preference with Expected Downside Risk

Mihály Ormos and Dusan Timotity

2017: Measurement of Economic Growth, Development and Under Development: New Model and Application

Mario Coccia

2017: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Sebastian Herrmann and Johannes Muhle-Karbe

2017: Simplifying credit scoring rules using LVQ+PSO

Laura Cristina Lanzarini, Augusto Villa Monte, Aurelio Fernandez Bariviera and Patricia Jimbo Santana

2017: Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers

Aurelio Fernandez Bariviera, Luciano Zunino and Osvaldo A. Rosso

2017: An empirical behavioural order-driven model with price limit rules

Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu, Wei Zhang, Yong-Jie Zhang, Wei Chen and Wei-Xing Zhou

2017: Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time

Michele Bonollo, Luca Di Persio, Luca Mammi and Immacolata Oliva

2017: On Feature Reduction using Deep Learning for Trend Prediction in Finance

Luigi Troiano, Elena Mejuto and Pravesh Kriplani

2017: Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility

Dirk Becherer and Klebert Kentia

2017: Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics

Jennifer Jhun, Patricia Palacios and James Owen Weatherall

2017: On absence of steady state in the Bouchaud-M\'ezard network model

Zhiyuan Liu and R. A. Serota

2017: A systemic shock model for too big to fail financial institutions

Sabrina Mulinacci

2017: The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries

Claudiu Albulescu, Dominique P\'epin and Stephen Miller

2017: Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks

Andreas Fr\"ohlich and Annegret Weng

2017: Replica Analysis for Portfolio Optimization with Single-Factor Model

Takashi Shinzato

2017: ICT and Employment in India: A Sectoral Level Analysis

Dr. Pawan Kumar

2017: The Wandering of Corn

Valerii Salov

2017: Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios

Nonthachote Chatsanga and Andrew J. Parkes

2017: How Wave - Wavelet Trading Wins and "Beats" the Market

Lanh Tran

2017: Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms

Visant Ahuja

2017: Agent-Based Model Calibration using Machine Learning Surrogates

Francesco Lamperti, Andrea Roventini and Amir Sani

2017: Biased Risk Parity with Fractal Model of Risk

Sergey Kamenshchikov and Ilia Drozdov

2017: Topological Data Analysis of Financial Time Series: Landscapes of Crashes

Marian Gidea and Yuri Katz

2017: Performance of information criteria used for model selection of Hawkes process models of financial data

J. M. Chen, A. G. Hawkes, Enrico Scalas and M. Trinh

2017: Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets

Antoaneta Serguieva

2017: Parameter uncertainty and reserve risk under Solvency II

Andreas Fr\"ohlich and Annegret Weng

2017: Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options

Kevin Guo and Tim Leung

2017: Approximate pricing of European and Barrier claims in a local-stochastic volatility setting

Weston Barger and Matthew Lorig

2017: Covariance of random stock prices in the Stochastic Dividend Discount Model

Arianna Agosto, Alessandra Mainini and Enrico Moretto

2017: Stochastic Tail Exponent For Asymmetric Power Laws

Nassim Nicholas Taleb

2017: Bayesian Posteriors For Arbitrarily Rare Events

Drew Fudenberg, Kevin He and Lorens Imhof

2017: Hedging under generalized good-deal bounds and model uncertainty

Dirk Becherer and Klebert Kentia

2017: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou

2017: Swaption Prices in HJM model. Nonparametric fit

V. M. Belyaev

2017: Skorohod's representation theorem and optimal strategies for markets with frictions

Huy N. Chau and Mikl\'os R\'asonyi

2017: Robust pricing--hedging duality for American options in discrete time financial markets

Anna Aksamit, Shuoqing Deng, Jan Ob\l\'oj and Xiaolu Tan

2017: Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty

Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward

2017: Risk contagion under regular variation and asymptotic tail independence

Bikramjit Das and Vicky Fasen

2017: Statistical mechanics of complex economies

Marco Bardoscia, Giacomo Livan and Matteo Marsili

2017: Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables

Jamie Fairbrother, Amanda Turner and Stein Wallace

2017: Analysis of Markovian Competitive Situations using Nonatomic Games

Jian Yang

2017: Game-theoretic Modeling of Players' Ambiguities on External Factors

Jian Yang

2017: Risk management under Omega measure

Michael R. Metel, Traian A. Pirvu and Julian Wong

2017: An Insurance-Led Response to Climate Change

Anthony J. Webster and Richard H. Clarke

2017: Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression

Xiaohong Chen and Timothy M. Christensen

2017: Actuarial Applications and Estimation of Extended~CreditRisk$^+$

Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko

2017: Optimal Asset Liquidation with Multiplicative Transient Price Impact

Dirk Becherer, Todor Bilarev and Peter Frentrup

2017: The Convexity of the Free Boundary for the American put option

Hsuan-Ku Liu

2017: On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

Dilip Madan, Martijn Pistorius and Mitja Stadje

2017: An Economic analogy to Electrodynamics

Sanjay Dasari and Anindya Kumar Biswas

2017: Machine Learning for Better Models for Predicting Bond Prices

Swetava Ganguli and Jared Dunnmon

2017: Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market

Vahid Moosavi

2017: Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model

Gifty Malhotra, R. Srivastava and H. C. Taneja

2017: Harry Potter and the Goblin Bank of Gringotts

Zachary Feinstein

2017: Rational Choice and Artificial Intelligence

Tshilidzi Marwala

2017: FIEMS: Fast Italian Energy Market Simulator

Matteo Gardini and Marco Diana

2017: Smallest order closed sublattices and option spanning

Niushan Gao and Denny H. Leung

2017: Non-parametric and semi-parametric asset pricing

Peter Erdos, Mihály Ormos and David Zibriczky

2017: Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange

Tetsuya Takaishi and Toshiaki Watanabe

2017: A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet

Amirhossein Sobhani and Mariyan Milev

2017: Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information

Ravi Kashyap

2017: Ex-post core, fine core and rational expectations equilibrium allocations

Anuj Bhowmik and Jiling Cao

2017: Emergence of world-stock-market network

M. Saeedian, T. Jamali, M. Z. Kamali, H. Bayani, T. Yasseri and G. R. Jafari

2017: Towards a probability-free theory of continuous martingales

Vladimir Vovk and Glenn Shafer

2017: A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping

Sigrid K\"allblad

2017: Cohort effects in mortality modelling: a Bayesian state-space approach

Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko

2017: An Agent-based Model of Contagion in Financial Networks

Leonardo dos Santos Pinheiro and Flavio Codeco COelho

2017: New approaches in agent-based modeling of complex financial systems

T. T. Chen, B. Zheng, Y. Li and X. F. Jiang

2017: A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors

Sujay Mukhoti and Pritam Ranjan

2017: Pricing VIX Derivatives With Free Stochastic Volatility Model

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2017: Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life

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2017: Model Selection for Explosive Models

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2017: Blockchains and Distributed Ledgers in Retrospective and Perspective

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2017: Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies

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2017: Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

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2017: Are Trump and Bitcoin Good Partners?

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2017: An applied spatial agent-based model of administrative boundaries using SEAL

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2017: The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets

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2017: Stratified regression-based variance reduction approach for weak approximation schemes

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2017: "Chaos" in energy and commodity markets: a controversial matter

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2017: Systemic Risk and Interbank Lending

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2017: Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *

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2017: Option pricing with Legendre polynomials

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2017: Serendipity and strategy in rapid innovation

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2017: The Problem of Calibrating an Agent-Based Model of High-Frequency Trading

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2017: High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering

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2017: Evidence of Self-Organization in Time Series of Capital Markets

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2017: Getting rich quick with the Axiom of Choice

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2017: Solving Society's Big Ills, A Small Step

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2017: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms

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2017: Sticky processes, local and true martingales

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2017: Correction to Black-Scholes formula due to fractional stochastic volatility

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2017: Maximizing expected utility in the Arbitrage Pricing Model

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2017: Multivariate Shortfall Risk Allocation and Systemic Risk

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2017: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$

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2017: On Trading American Put Options with Interactive Volatility

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2017: The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations

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2017: Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability

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2017: Economic inequality and mobility for stochastic models with multiplicative noise

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2017: Time series momentum and contrarian effects in the Chinese stock market

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2017: Robust Hedging of Options on a Leveraged Exchange Traded Fund

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2017: Structural Change in (Economic) Time Series

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2017: Network-based Anomaly Detection for Insider Trading

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2017: Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria

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2017: Estimation for the Prediction of Point Processes with Many Covariates

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2017: Uncertain Volatility Models with Stochastic Bounds

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2017: PyCaMa: Python for cash management

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2017: Estimating VaR in credit risk: Aggregate vs single loss distribution

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2017: Regularities and Irregularities in Order Flow Data

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2017: Labor Contract Law -An Economic View

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2017: Demonetization and Its Impact on Employment in India

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2017: Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency

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2017: Monetary value measures in a category of probability spaces

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2017: Invariance times

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2017: Emergence of Distributed Coordination in the Kolkata Paise Restaurant Problem with Finite Information

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2017: Record statistics of a strongly correlated time series: random walks and L\'evy flights

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2017: A confidence-based model for asset and derivative prices in the BitCoin market

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2017: The valuation of European option with transaction costs by mixed fractional Merton model

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2017: Zipf's law for share price and company fundamentals

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2017: Extremal Quantile Regression: An Overview

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2017: probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects

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2017: Volatility Smile as Relativistic Effect

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2017: Fractal approach towards power-law coherency to measure cross-correlations between time series

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2017: Elicitability and backtesting: Perspectives for banking regulation

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2017: Smoothing the payoff for efficient computation of Basket option prices

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2017: Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA

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2017: On the properties of the Lambda value at risk: robustness, elicitability and consistency

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2017: Affine multiple yield curve models

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2017: On the existence of shadow prices for optimal investment with random endowment

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2017: Limit-order book resiliency after effective market orders: Spread, depth and intensity

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2017: Equilibrium pricing under relative performance concerns

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2017: Detecting intraday financial market states using temporal clustering

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2017: Central Clearing Valuation Adjustment

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2017: Incomplete stochastic equilibria for dynamic monetary utility

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2017: Sharper asset ranking from total drawdown durations

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2017: Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective

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2017: Sensitivity analysis for expected utility maximization in incomplete Brownian market models

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2017: Measuring Systemic Risk: Robust Ranking Techniques Approach

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2017: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models

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2017: Optimal Digital Product Maintenance with a Continuous Revenue Stream

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2017: Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets

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2017: Modeling non-stationarities in high-frequency financial time series

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2017: Fractional delta hedging strategy for pricing currency options with transaction costs

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2017: Understanding food inflation in India: A Machine Learning approach

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2017: Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach

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2017: Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity

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2017: A stability result on optimal Skorokhod embedding

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2017: Supply based on demand dynamical model

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2017: Premium valuation for a multiple state model containing manifold premium-paid states

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2017: Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes

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2017: Time Series Copulas for Heteroskedastic Data

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2017: Monotone Martingale Transport Plans and Skorohod Embedding

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2017: Econophysics Macroeconomic Model

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2017: Topology data analysis of critical transitions in financial networks

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2017: Asymptotic efficiency of the proportional compensation scheme for a large number of producers

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2017: The Value of Timing Risk

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2017: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations

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2017: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints

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2017: An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation

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2017: Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk

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2017: Mean-Reverting Portfolio Design with Budget Constraint

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2017: A geometric approach to the transfer problem for a finite number of traders

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2017: Interpolating between matching and hedonic pricing models

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2017: On VIX Futures in the rough Bergomi model

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2017: Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

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2017: A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities

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2017: The structural constraints of income inequality in Latin America

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2017: Robust Portfolio Optimisation with Specified Competitors

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2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

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2017: Phase-type Approximation of the Gerber-Shiu Function

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2017: Recursive Marginal Quantization of Higher-Order Schemes

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2017: Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality

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2017: Political elections and uncertainty -Are BRICS markets equally exposed to Trump's agenda?

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2017: Functional Analytic (Ir-)Regularity Properties of SABR-type Processes

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2017: Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives

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2017: Predicting Economic Recessions Using Machine Learning Algorithms

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2017: Rational Decision-Making Under Uncertainty: Observed Betting Patterns on a Biased Coin

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2017: Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets

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2017: Brownian trading excursions and avalanches

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2017: Pricing European Options by Stable Fourier-Cosine Series Expansions

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2017: Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

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2017: Net Stable Funding Ratio: Impact on Funding Value Adjustment

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2017: Measuring the temperature and diversity of the U.S. regulatory ecosystem

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2017: Fractional Dynamics of Natural Growth and Memory Effect in Economics

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2017: Analytic solution to variance optimization with no short-selling

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2017: Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping

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2017: Price Dynamics Via Expectations, and the Role of Money Therein

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2017: Role of Intensive and Extensive Variables in a Soup of Firms in Economy to Address Long Run Prices and Aggregate Data

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2017: Multifactor CES General Equilibrium: Models and Applications

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2017: Existence of a calibrated regime switching local volatility model and new fake Brownian motions

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2017: Mean field games of timing and models for bank runs

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2017: A constraint-based framework to study rationality, competition and cooperation in fisheries

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2017: Factor Models for Cancer Signatures

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2017: Concurrent Credit Portfolio Losses

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2017: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

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2017: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

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2017: Statistical Risk Models

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2017: Option Pricing in Markets with Unknown Stochastic Dynamics

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2017: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate

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2017: Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model

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2017: Optimal Control of Conditional Value-at-Risk in Continuous Time

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2017: Dynamic programming approach to principal-agent problems

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2017: Correlated Poisson processes and self-decomposable laws

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2017: Inference in Linear Regression Models with Many Covariates and Heteroskedasticity

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2017: Linking Economic Complexity, Institutions and Income Inequality

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2017: An equilibrium model for spot and forward prices of commodities

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2017: VWAP Execution as an Optimal Strategy

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2017: On the optimal exercise boundaries of swing put options

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2017: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs

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2017: A heuristic pricing and hedging framework for multi-currency fixed income desks

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2017: Sensitivity analysis in a market with memory

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2017: On the Market Viability under Proportional Transaction Costs

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2017: Stationary Markov Perfect Equilibria in Discounted Stochastic Games

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2017: Stock price direction prediction by directly using prices data: an empirical study on the KOSPI and HSI

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2017: Deriving Derivatives

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