Papers

From arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2016: Quantum Econophysics: Esteban Guevara Hidalgo
2016: The Why of the Applicability of Statistical Physics to Economics: Esteban Guevara Hidalgo
2016: Les produits Halal dans les {\'e}conomies occidentales: Abdelatif Kerzabi
2016: Mathematical models describing the effects of different tax evasion behaviors: M. L. Bertotti and G. Modanese
2016: Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e: Gane Samb Lo and Cheikh Mohamed Haidara
2016: Numerical analysis of an extended structural default model with mutual liabilities and jump risk: Vadim Kaushansky, Alexander Lipton and Christoph Reisinger
2016: A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility: Javier de Frutos and Victor Gaton
2016: The Random Walk behind Volatility Clustering: Sabiou Inoua
2016: Global economic dynamics of the forthcoming years. A forecast: Askar Akaev and Andrey Korotayev
2016: Population and trends in the global mean temperature: Richard Tol
2016: Pricing of Asian-type and Basket Options via Upper and Lower Bounds: Alexander Novikov, Scott Alexander, Nino Kordzakhia and Timothy Ling
2016: Speculation and Power Law: Sabiou Inoua
2016: Crisis' Heritage Management - New Business Opportunities Out of the Financial Collapse: Hristian Daskalov
2016: A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework: Diederik Aerts, Emmanuel Haven and Sandro Sozzo
2016: Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures: Richard Gerlach and Chao Wang
2016: Understanding the Impacts of Dark Pools on Price Discovery: Linlin Ye
2016: A Generalized Population Dynamics Model of a City and an Algorithm for Engineering Regime Shifts: James PL Tan
2016: The prevalence of chaotic dynamics in games with many players: James B. T. Sanders, J. Farmer and Tobias Galla
2016: Rating evaluation of sports development efficiency using statistical analysis: evidence from Russian football: Ilya Solntsev, Anatoly Vorobyev, Elnura Irmatova and Nikita Osokin
2016: Leverage and Uncertainty: Mihail Turlakov
2016: Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits: Claudia Kl\"uppelberg and Miriam Isabel Seifert
2016: Pricing Derivatives in Hermite Markets: Svetlozar T. Rachev, Stefan Mittnik and Frank Fabozzi
2016: The Impact of Negative Interest Rates on Optimal Capital Injections: Julia Eisenberg and Paul Kr\"uhner
2016: Shot-Noise Processes in Finance: Thorsten Schmidt
2016: Panel dataset description for econometric analysis of the ISP-OTT relationship in the years 2008-2013: Chiara Perillo, Angelos Antonopoulos and Christos Verikoukis
2016: Quantifying Retail Agglomeration using Diverse Spatial Data: Duccio Piovani, Vassilis Zachariadis and Michael Batty
2016: The Topology of Inter-industry Relations from the Portuguese National Accounts: Tanya Ara\'ujo and Rui Faustino
2016: The Blockchain: A Gentle Four Page Introduction: Jan Hendrik Witte
2016: Optimal Investment under Information Driven Contagious Distress: Lijun Bo and Agostino Capponi
2016: Should we opt for the Black Friday discounted price or wait until the Boxing Day?: Jiang Wu and Ricardas Zitikis
2016: Extreme prices in electricity balancing markets from an approach of statistical physics: Mario Mureddu and Hildegard Meyer-Ortmanns
2016: Stylized Facts and Simulating Long Range Financial Data: Laurie Davies and Walter Kr\"amer
2016: European banking supervision, the role of stress test. Some brief considerations: Simone Manduchi
2016: Predictability Hidden by Anomalous Observations: Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
2016: Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market: Empirical Analysis: Jaeyong An, P. R. Kumar and Le Xie
2016: Agent-based Model for Spot and Balancing Electricity Markets: Florian K\"uhnlenz and Pedro H. J. Nardelli
2016: Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations: Jos\'e E. Figueroa-L\'opez and Cheng Li
2016: Dynamic Convex Duality in Constrained Utility Maximization: Yusong Li and Harry Zheng
2016: S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes: Panagiotis Papaioannou, Thomas Dionysopoulos, Dietmar Janetzko and Constantinos Siettos
2016: The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company: Alicja Wolny-Dominiak
2016: Fractal Optimization of Market Neutral Portfolio: Sergey Kamenshchikov and Ilia Drozdov
2016: Early exercise decision in American options with dividends, stochastic volatility and jumps: Antonio Cosma, Stefano Galluccio, Paola Pederzoli and Olivier Scaillet
2016: Risk averse fractional trading using the current drawdown: Stanislaus Maier-Paape
2016: Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016: Barack Wamkaya Wanjawa
2016: Order statistics of horse racing and the randomly broken stick: Peter A. Bebbington and Julius Bonart
2016: Game options with gradual exercise and cancellation under proportional transaction costs: Alet Roux and Tomasz Zastawniak
2016: Financial market with no riskless (safe) asset: Svetlozar Rachev and Frank Fabozzi
2016: Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion: Y. S. Kim, S. Stoyanov, S. Rachev and Frank Fabozzi
2016: Stability of calibration procedures: fractals in the Black-Scholes model: Yiran Cui, Sebastian del Bano Rollin and Guido Germano
2016: A multi-asset investment and consumption problem with transaction costs: David Hobson, Alex S. L. Tse and Yeqi Zhu
2016: A Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade: Xu Wang and Ryan P. Badman
2016: A Model of Synchronization for Self-Organized Crowding Behavior: Jake J. Xia
2016: Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach: Tim Leung and Hyungbin Park
2016: Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach: Mahmood Mahmoudzadeh and Seyyed Ali Zeytoon Nejad Moosavian
2016: A Market Driver Volatility Model via Policy Improvement Algorithm: Jun Maeda and Saul D. Jacka
2016: Optimal consumption and investment under transaction costs: David Hobson, Alex S. L. Tse and Yeqi Zhu
2016: Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models: Maciej Balajewicz and Jari Toivanen
2016: Predicting the rise of right-wing populism in response to unbalanced immigration: Boris Podobnik, Marko Jusup and H. Eugene Stanley
2016: The Coconut Model with Heterogeneous Strategies and Learning: Sven Banisch and Eckehard Olbrich
2016: The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications: Christian Hansen and Yuan Liao
2016: Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks: Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu, Wei Chen, Wei-Xing Zhou and H. E. Stanley
2016: Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals: Kensuke Ishitani
2016: Network reconstruction via density sampling: Tiziano Squartini, Giulio Cimini, Andrea Gabrielli and Diego Garlaschelli
2016: Unit-linked life insurance policies: optimal hedging in partially observable market models: Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: The Opium for the Poor Is Opium. Medicare Providers in States with Low Income Prescribe High Levels of Opiates: Eugen Tarnow
2016: Toward an integrated workforce planning framework using structured equations: Marie Doumic, Beno\^it Perthame, Edouard Ribes, Delphine Salort and Nathan Toubiana
2016: Descending Price Optimally Coordinates Search: Robert Kleinberg, Bo Waggoner and E. Glen Weyl
2016: Bank distress in the news: Describing events through deep learning: Samuel R\"onnqvist and Peter Sarlin
2016: Oracle Estimation of a Change Point in High Dimensional Quantile Regression: Sokbae (Simon) Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin
2016: Economic and Technological Complexity: A Model Study of Indicators of Knowledge-based Innovation Systems: Inga Ivanova, Oivind Strand, Duncan Kushnir and Loet Leydesdorff
2016: Stock loans with liquidation: Parsiad Azimzadeh
2016: Trajectory based models. Evaluation of minmax pricing bounds: Ivan Degano, Sebastian Ferrando and Alfredo Gonzalez
2016: Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines: Vladislav Malyshkin and Ray Bakhramov
2016: Universal portfolios in stochastic portfolio theory: Ting-Kam Leonard Wong
2016: On a method of solving the Black-Scholes Equation: Binur Yermukanova, Laila Zhexembay and Natanael Karjanto
2016: Bin Size Independence in Intra-day Seasonalities for Relative Prices: Esteban Guevara Hidalgo
2016: A multivariate model for financial indices and an algorithm for detection of jumps in the volatility: Mario Bonino, Matteo Camelia and Paolo Pigato
2016: Additive versus multiplicative parameters - applications in economics and finance: Helena Jasiulewicz and Wojciech Kordecki
2016: Continuous-Time Random Walk with multi-step memory: An application to market dynamics: Tomasz Gubiec and Ryszard Kutner
2016: Elasticity theory of structuring: Andrei N. Soklakov
2016: Common Markets, Strong Currencies & the Collective Welfare: Esteban Guevara Hidalgo
2016: Maximum Entropy, the Collective Welfare Principle and the Globalization Process: Esteban Guevara Hidalgo
2016: Heterogeneity of the educational system: an introduction to the problem: Fuad Aleskerov, I. Frumin and Elena Kardanova
2016: An analysis of potential conflict zones in the arctic region: Fuad Aleskerov and E. Victorova
2016: Research and Teaching Efficiencies of Turkish Universities with Heterogeneity Considerations: Application of Multi-Activity DEA and DEA by Sequential Exclusion of Alternatives Methods: Y. \c{C}inar
2016: Revenue Forecasting for Enterprise Products: Amita Gajewar and Gagan Bansal
2016: Choquet integral in decision analysis - lessons from the axiomatization: Mikhail Timonin
2016: Exploring the Uncharted Export: an Analysis of Tourism-Related Foreign Expenditure with International Spend Data: Michele Coscia, Ricardo Hausmann and Frank Neffke
2016: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio: Christa Cuchiero, Walter Schachermayer and Ting-Kam Leonard Wong
2016: Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets: N. S. Gonchar
2016: Mean-Reverting Portfolio Design via Majorization-Minimization Method: Ziping Zhao and Daniel P. Palomar
2016: The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement: Johan G. Andreasson and Pavel V. Shevchenko
2016: Multiple Time Series Ising Model for Financial Market Simulations: Tetsuya Takaishi
2016: Dynamical Stationarity as a Result of Sustained Random Growth: Tam\'as Bir\'o and Zolt\'an N\'eda
2016: Model reduction for calibration of American options: Olena Burkovska, Kathrin Glau, Mirco Mahlstedt and Barbara Wohlmuth
2016: Interplay between endogenous and exogenous fluctuations in financial markets: Vygintas Gontis
2016: Calibration to American Options: Numerical Investigation of the de-Americanization: Olena Burkovska, Maximilian Ga{\ss}, Kathrin Glau, Mirco Mahlstedt, Wim Schoutens and Barbara Wohlmuth
2016: On the wavelets-based SWIFT method for backward stochastic differential equations: Ki Wai Chau and Cornelis Oosterlee
2016: Value-at-Risk Prediction in R with the GAS Package: David Ardia, Kris Boudt and Leopoldo Catania
2016: Robust Trading of Implied Skew: Sergey Nadtochiy and Jan Obloj
2016: Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach: Kathia Pinz\'on
2016: Toward Economics as a New Complex System: Taisei Kaizoji
2016: The Asset Liability Management problem of a nuclear operator: a numerical stochastic optimization approach: Xavier Warin
2016: Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall: Marie Kratz, Yen Lok and Alexander J McNeil
2016: Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry: Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert and Jan Korbel
2016: How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation: Matteo Serri, Guido Caldarelli and Giulio Cimini
2016: Immediate price impact of a stock and its warrant: Power-law or logarithmic model?: Hai-Chuan Xu, Zhi-Qiang Jiang and Wei-Xing Zhou
2016: Time-varying return predictability in the Chinese stock market: Huai-Long Shi, Zhi-Qiang Jiang and Wei-Xing Zhou
2016: What do central counterparties default funds really cover? A network-based stress test answer: Giulia Poce, Giulio Cimini, Andrea Gabrielli, Andrea Zaccaria, Giuditta Baldacci, Marco Polito, Mariangela Rizzo and Silvia Sabatini
2016: Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing: Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert and Jan Korbel
2016: A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models: Maarten Wyns and Jacques Du Toit
2016: Unexpected Default in an Information Based Model: Matteo Ludovico Bedini, Rainer Buckdahn and Hans-J\"urgen Engelbert
2016: Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment: Damiano Brigo and Frédéric Vrins
2016: The missing assets and the size of Shadow Banking: an update: Davide Fiaschi, Imre Kondor, Matteo Marsili and Valerio Volpati
2016: Application of the Generalized Linear Models in Actuarial Framework: Murwan H. M. A. Siddig
2016: Emerging interdependence between stock values during financial crashes: Jacopo Rocchi, Enoch Yan Lok Tsui and David Saad
2016: Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility: Milan Kumar Das, Anindya Goswami and Tanmay S. Patankar
2016: An Equilibrium Model with Computationally Constrained Agents: Wolfgang Kuhle
2016: EM Algorithm and Stochastic Control in Economics: Steven Kou, Xianhua Peng and Xingbo Xu
2016: `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers: Vasyl Golosnoy and Nestor Parolya
2016: A fair monetization model to reconcile authors and consumers of intellectual property: Evgeny Ivanko
2016: International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints: Nonthachote Chatsanga and Andrew J. Parkes
2016: Liquidity induced asset bubbles via flows of ELMMs: Francesca Biagini, Andrea Mazzon and Thilo Meyer-Brandis
2016: Revealing the Anatomy of Vote Trading: Omar Guerrero and Ulrich Matter
2016: Sparse grid high-order ADI scheme for option pricing in stochastic volatility models: Bertram D\"uring, Christian Hendricks and James Miles
2016: Naive Diversification Preferences and their Representation: Enrico De Giorgi and Ola Mahmoud
2016: LQG for portfolio optimization: M. Abeille, E. Serie, A. Lazaric and X. Brokmann
2016: Working Paper on Organizational Dynamics within Corporate Venture Capital Firms: Michael Rolfes and Alex "Sandy" Pentland
2016: Joint multifractal analysis based on wavelet leaders: Zhi-Qiang Jiang, Yan-Hong Yang, Gang-Jin Wang and Wei-Xing Zhou
2016: Socio-economic inequality and prospects of institutional Econophysics: Arnab Chatterjee, Asim Ghosh and Bikas K Chakrabarti
2016: Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo: Ivan Guo and Gregoire Loeper
2016: Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids: Bertram D\"uring and Christof Heuer
2016: Globalization Process in Emerging Capital Markets -- Lessons and Implications to China: Zichong Li and Pengyu Huang
2016: Dissecting cross-impact on stock markets: An empirical analysis: Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
2016: On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models: Benjamin Avanzi, Jos\'e-Luis P\'erez, Bernard Wong and Kazutoshi Yamazaki
2016: Limit order trading with a mean reverting reference price: Saran Ahuja, George Papanicolaou, Weiluo Ren and Tzu-Wei Yang
2016: Optimal Resource Extraction in Regime Switching L\'evy Markets: Moustapha Pemy
2016: Stochastic Effects in a Discretized Kinetic Model of Economic Exchange: M. L. Bertotti, A. K. Chattopadhyay and G. Modanese
2016: Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models: Leopoldo Catania and Nima Nonejad
2016: Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment: Jean-Pierre Fouque and Ruimeng Hu
2016: Deviations in expected price impact for small transaction volumes under fee restructuring: Michael Harvey, Dieter Hendricks, Tim Gebbie and Diane Wilcox
2016: Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+: Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
2016: Optimal Trading with Linear and (small) Non-Linear Costs: A. Rej, R. Benichou, J. de Lataillade, G. Z\'erah and J. -Ph. Bouchaud
2016: Intragroup transfers, intragroup diversification and their risk assessment: Andreas Haier, Ilya Molchanov and Michael Schmutz
2016: Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE: Gechun Liang and Thaleia Zariphopoulou
2016: Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time: Bin Zou and Rudi Zagst
2016: On the aggregation of experts' information in Bonus-Malus systems: V\'ictor Blanco and Jos\'e M. P\'erez-S\'anchez
2016: LSV models with stochastic interest rates and correlated jumps: Andrey Itkin
2016: Magic points in finance: Empirical integration for parametric option pricing: Maximilian Ga{\ss}, Kathrin Glau and Maximilian Mair
2016: Dynamics of multivariate default system in random environment: Nicole El Karoui, Monique Jeanblanc and Ying Jiao
2016: A reduced-form model for level-1 limit order books: Tzu-Wei Yang and Lingjiong Zhu
2016: Estimation of integrated quadratic covariation with endogenous sampling times: Yoann Potiron and Per Mykland
2016: Financial Contagion and Asset Liquidation Strategies: Zachary Feinstein
2016: Mass at zero in the uncorrelated SABR model and implied volatility asymptotics: Archil Gulisashvili, Blanka Horvath and Antoine Jacquier
2016: Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems: Jingnan Fan and Andrzej Ruszczynski
2016: Rough paths in idealized financial markets: Vladimir Vovk
2016: Economics cannot isolate itself from political theory: a mathematical demonstration: Brendan Markey-Towler
2016: The Influence of Collaboration in Procurement Relationships: Wesley S. Boyce, Haim Mano and John L. Kent
2016: The distribution dynamics of Carbon Dioxide Emission intensity across Chinese provinces: A weighted Approach: Jian-Xin Wu and Ling-Yun He
2016: How do Chinese cities grow? A distribution dynamics approach: Jian-Xin Wu and Ling-Yun He
2016: The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection: Ling-Yun He and Li Liu
2016: China building energy consumption: definitions and measures from an operational perspective: Ling-Yun He and Wei Wei
2016: Are Chinese transport policies effective? A new perspective from direct pollution rebound effect, and empirical evidence from road transport sector: Lu-Yi Qiu and Ling-Yun He
2016: Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies: Tim Leung and Jamie Kang
2016: Effects of income redistribution on the evolution of cooperation in spatial public goods games: Zhenhua Pei, Baokui Wang and Jinming Du
2016: Optimal retirement income tontines: Moshe Milevsky and Thomas S. Salisbury
2016: Meta-CTA Trading Strategies based on the Kelly Criterion: Bernhard K. Meister
2016: Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts: Eckhard Platen and David Taylor
2016: Long-range Correlation and Market Segmentation in Bond Market: Zhongxing Wang, Yan Yan and Xiaosong Chen
2016: Numerical study of splitting methods for American option valuation: Karel in 't Hout and Radoslav Valkov
2016: Understanding the Tracking Errors of Commodity Leveraged ETFs: Kevin Guo and Tim Leung
2016: Equitable retirement income tontines: Mixing cohorts without discriminating: Moshe Milevsky and T. S. Salisbury
2016: Calls, zonoids, peacocks and log-concavity: Michael R. Tehranchi
2016: On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models: Takuji Arai and Yuto Imai
2016: Theory of earthquakes interevent times applied to financial markets: Maciej Jagielski, Ryszard Kutner and Didier Sornette
2016: Income and wealth distribution of the richest Norwegian individuals: An inequality analysis: Maciej Jagielski, Kordian Czy\.zewski, Ryszard Kutner and H. Eugene Stanley
2016: Agnostic Risk Parity: Taming Known and Unknown-Unknowns: Raphael Benichou, Yves Lemp\'eri\`ere, Emmanuel S\'eri\'e, Julien Kockelkoren, Philip Seager, Jean-Philippe Bouchaud and Marc Potters
2016: Intrinsic risk measures: W. Farkas and A. Smirnow
2016: Equity Market Impact Modeling: an Empirical Analysis for Chinese Market: Shiyu Han, Lan Wu and Yuan Cheng
2016: $\kappa$-generalized models of income and wealth distributions: A survey: Fabio Clementi, Mauro Gallegati, G. Kaniadakis and S. Landini
2016: Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point: Oliver Janke
2016: Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio: Ankush Agarwal and Ronnie Sircar
2016: quantreg.nonpar: An R Package for Performing Nonparametric Series Quantile Regression: Michael Lipsitz, Alexandre Belloni, Victor Chernozhukov and Iv\'an Fern\'andez-Val
2016: Short term prediction of extreme returns based on the recurrence interval analysis: Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley and Wei-Xing Zhou
2016: Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics: Tim Leung and Zheng Wang
2016: Cleaning large correlation matrices: tools from random matrix theory: Jo\"el Bun, Jean-Philippe Bouchaud and Marc Potters
2016: Counterfactual: An R Package for Counterfactual Analysis: Mingli Chen, Victor Chernozhukov, Iv\'an Fern\'andez-Val and Blaise Melly
2016: Population growth, interest rate, and housing tax in the transitional China: Ling-Yun He and Xing-Chun Wen
2016: The asset price bubbles in emerging financial markets: a new statistical approach: Shu-Peng Chen and Ling-Yun He
2016: Asymptotic of Non-Crossings probability of Additive Wiener Fields: Pingjin Deng
2016: Techniques for multifractal spectrum estimation in financial time series: Petr Jizba and Jan Korbel
2016: Centrality measures in networks based on nodes attributes, long-range interactions and group influence: Fuad Aleskerov, Natalia Meshcheryakova and Sergey Shvydun
2016: Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques: A. Belenky and Lyudmila Egorova
2016: Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression: Ning Xu, Jian Hong and Timothy Fisher
2016: Detection of intensity bursts using Hawkes processes: an application to high frequency financial data: Marcello Rambaldi, Vladimir Filimonov and Fabrizio Lillo
2016: Urban-rural gap and poverty traps in China: A prefecture level analysis: Jian-Xin Wu and Ling-Yun He
2016: Uncertainty Estimates in the Heston Model via Fisher Information: Oliver Pfante and Nils Bertschinger
2016: Time-Varying Comovement of Foreign Exchange Markets: Mikio Ito, Akihiko Noda and Tatsuma Wada
2016: Time value of extra information against its timely value: N. Serhan Aydin
2016: Optimal Consumption and Investment with Fixed and Proportional Transaction Costs: Albert Altarovici, Max Reppen and H. Mete Soner
2016: A framework for analyzing contagion in assortative banking networks: Thomas R. Hurd, James P. Gleeson and Sergey Melnik
2016: Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models: Francisco Blasques, P Gorgi, Siem Jan Koopman and Olivier Wintenberger
2016: Multiple risk factor dependence structures: Copulas and related properties: Jianxi Su and Edward Furman
2016: Efficient Valuation of SCR via a Neural Network Approach: Seyed Amir Hejazi and Kenneth R. Jackson
2016: Trading against disorderly liquidation of a large position under asymmetric information and market impact: Caroline Hillairet, Cody Hyndman, Ying Jiao and Renjie Wang
2016: The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?: Ananjan Bhattacharyya and Abhijeet Chandra
2016: Information inefficiency in a random linear economy model: Joao Pedro Jerico and Renato Vicente
2016: A Duality Result for Robust Optimization with Expectation Constraints: Christopher W. Miller
2016: Taylor's Law of temporal fluctuation scaling in stock illiquidity: Qing Cai, Hai-Chuan Xu and Wei-Xing Zhou
2016: Inventory growth cycles with debt-financed investment: Matheus Grasselli and Adrien Nguyen-Huu
2016: Sharpe portfolio using a cross-efficiency evaluation: Juan F. Monge, Mercedes Landete and Jos\'e L. Ruiz
2016: Exponential functionals of Levy processes and variable annuity guaranteed benefits: Runhuan Feng, Alexey Kuznetsov and Fenghao Yang
2016: Optimal Portfolios of Illiquid Assets: T. R. Hurd, Quentin H. Shao and Tuan Tran
2016: Volatility Inference and Return Dependencies in Stochastic Volatility Models: Oliver Pfante and Nils Bertschinger
2016: Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016: Rui Menezes and Sonia Bentes
2016: XVA at the Exercise Boundary: Andrew Green and Chris Kenyon
2016: Crises and Physical Phases of a Bipartite Market Model: Nima Dehmamy, Sergey Buldyrev, Shlomo Havlin, Harry Eugene Stanley and Irena Vodenska
2016: From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes: Christof Henkel
2016: Multivariate Mixed Tempered Stable Distribution: Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri and Edit Rroji
2016: Electoral Systems Used around the World: Siamak F. Shahandashti
2016: Arbitrage without borrowing or short selling?: Jani Lukkarinen and Mikko S. Pakkanen
2016: Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework: Wujiang Lou
2016: Commodity Dynamics: A Sparse Multi-class Approach: Luca Barbaglia, Ines Wilms and Christophe Croux
2016: Numerical approximation of a cash-constrained firm value with investment opportunities: Erwan Pierre, St\'ephane Villeneuve and Xavier Warin
2016: No-arbitrage bounds for the forward smile given marginals: Sergey Badikov, Antoine Jacquier, Daphne Qing Liu and Patrick Roome
2016: A rank based mean field game in the strong formulation: Erhan Bayraktar and Yuchong Zhang
2016: Should employers pay their employees better? An asset pricing approach: Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Francois Bonnin
2016: Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function: Sokbae (Simon) Lee, Ryo Okui and Yoon-Jae Whang
2016: On the Non-Asymptotic Properties of Regularized M-estimators: Demian Pouzo
2016: Sparse Mean-Variance Portfolios: A Penalized Utility Approach: David Puelz, P. Richard Hahn and Carlos M. Carvalho
2016: Moral hazard under ambiguity: Thibaut Mastrolia and Dylan Possama\"i
2016: A simple agent-based spatial model of the economy: tools for policy: Bernardo Furtado and Isaque Eberhardt
2016: Identifying collusion groups using spectral clustering: Suneel Sarswat, Kandathil Mathew Abraham and Subir Kumar Ghosh
2016: Kriging Metamodels and Experimental Design for Bermudan Option Pricing: Michael Ludkovski
2016: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals: Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovicius, Boris Podobnik and H. Eugene Stanley
2016: Diversification Preferences in the Theory of Choice: Enrico De Giorgi and Ola Mahmoud
2016: The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks: Zachary Feinstein and Fatena El-Masri
2016: Sensitivity and Computational Complexity in Financial Networks: Brett Hemenway and Sanjeev Khanna
2016: Measures of Systemic Risk: Zachary Feinstein, Birgit Rudloff and Stefan Weber
2016: Rotational invariant estimator for general noisy matrices: Jo\"el Bun, Romain Allez, Jean-Philippe Bouchaud and Marc Potters
2016: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing: Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer
2016: Quasi-Centralized Limit Order Books: Martin D. Gould, Mason A. Porter and Sam D. Howison
2016: Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets: Andrei Cozma, Matthieu Mariapragassam and Christoph Reisinger
2016: Long Term Risk: A Martingale Approach: Likuan Qin and Vadim Linetsky
2016: Stochastic Analysis Seminar on Filtering Theory: Andrew Papanicolaou
2016: A remark on Gatheral's 'most-likely path approximation' of implied volatility: Martin Keller-Ressel and Josef Teichmann
2016: Economic information from Smart Meter: Nexus Between Demand Profile and Electricity Retail Price Between Demand Profile and Electricity Retail Price: Yang Yu, Guangyi Liu, Wendong Zhu, Fei Wang, Bin Shu, Kai Zhang, Ram Rajagopal and Nicolas Astier
2016: A decomposition algorithm for computing income taxes with pass-through entities and its application to the Chilean case: Javiera Barrera, Eduardo Moreno and Sebastian Varas
2016: Optimal trading policies for wind energy producer: Zongjun Tan and Peter Tankov
2016: Administration Costs in the Management of Research Funds; A Case Study of a Public Fund for the Promotion of Industrial Innovation: David R Walwyn
2016: Biased Roulette Wheel: A Quantitative Trading Strategy Approach: Giancarlo Salirrosas Mart\'inez
2016: The Role of Rating and Loan Characteristics in Online Microfunding Behaviors: Gaurav Paruthi, Enrique Frias-Martinez and Vanessa Frias-Martinez
2016: Fractional order statistic approximation for nonparametric conditional quantile inference: Matt Goldman and David Kaplan
2016: Smoothed estimating equations for instrumental variables quantile regression: David Kaplan and Yixiao Sun
2016: When Big Data Fails! Relative success of adaptive agents using coarse-grained information to compete for limited resources: V. Sasidevan, Appilineni Kushal and Sitabhra Sinha
2016: Clustering Approaches for Financial Data Analysis: a Survey: Fan Cai, Nhien-An Le-Khac and Tahar Kechadi
2016: Strongly Consistent Multivariate Conditional Risk Measures: Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland
2016: Risk-Consistent Conditional Systemic Risk Measures: Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland
2016: Short Maturity Asian Options in Local Volatility Models: Dan Pirjol and Lingjiong Zhu
2016: Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options: Dan Pirjol and Lingjiong Zhu
2016: Data-driven nonlinear expectations for statistical uncertainty in decisions: Samuel N. Cohen
2016: Static vs adapted optimal execution strategies in two benchmark trading models: Damiano Brigo and Clement Piat
2016: Replica Analysis for the Duality of the Portfolio Optimization Problem: Takashi Shinzato
2016: Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016: Barack Wamkaya Wanjawa
2016: The microstructural foundations of leverage effect and rough volatility: El Euch Omar, Fukasawa Masaaki and Rosenbaum Mathieu
2016: Export dynamics as an optimal growth problem in the network of global economy: Michele Caraglio, Fulvio Baldovin and Attilio L. Stella
2016: Spatial firm competition in two dimensions with linear transportation costs: simulations and analytical results: Alan Roncoroni and Matus Medo
2016: Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility: Tanmay S. Patankar
2016: Price impact without order book: A study of the OTC credit index market: Zoltan Eisler and Jean-Philippe Bouchaud
2016: The joint distributions of running maximum of a Slepian processes: Pingjin Deng
2016: Entropy and efficiency of the ETF market: Lucio Maria Calcagnile, Fulvio Corsi and Stefano Marmi
2016: Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization: Jonathan Yu-Meng Li
2016: SEAL's operating manual: a Spatially-bounded Economic Agent-based Lab: Bernardo Furtado, Isaque Eberhardt and Alexandre Messa
2016: The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets: Joachim Groeger
2016: Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression: Ning Xu, Jian Hong and Timothy Fisher
2016: The Solution to Science's Replication Crisis: Bruce Knuteson
2016: Value at risk and the diversification dogma: Arturo Erdely
2016: Generalized Autoregressive Score Models in R: The GAS Package: David Ardia, Kris Boudt and Leopoldo Catania
2016: The interaction between trade and FDI: the CEE countries experience: Claudiu Albulescu and Daniel Goyeau
2016: The characteristic function of rough Heston models: Omar El Euch and Mathieu Rosenbaum
2016: The loss of interest for the euro in Romania: Claudiu Albulescu and Dominique P\'epin
2016: Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions: Antoine Emil Zambelli
2016: Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity: Mourad Lazgham
2016: On Jensen's inequality for generalized Choquet integral with an application to risk aversion: Wioletta Szeligowska and Marek Kaluszka
2016: Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China: Atif Ansar, Bent Flyvbjerg, Alexander Budzier and Daniel Lunn
2016: An adjoint method for the exact calibration of Stochastic Local Volatility models: Maarten Wyns and Karel in 't Hout
2016: Discrete hierarchy of sizes and performances in the exchange-traded fund universe: Benjamin Vandermarliere, Jan Ryckebusch, Koen Schoors, Peter Cauwels and Didier Sornette
2016: L\'evy-Vasicek Models and the Long-Bond Return Process: Dorje C. Brody, Lane P. Hughston and David M. Meier
2016: Arbitrage and utility maximization in market models with an insider: Ngoc Huy Chau, Wolfgang Runggaldier and Peter Tankov
2016: Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?: Gareth W. Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
2016: Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance: Byung-Geun Choi, Napat Rujeerapaiboon and Ruiwei Jiang
2016: Socio-economic inequality: Relationship between Gini and Kolkata indices: Arnab Chatterjee, Asim Ghosh and Bikas K Chakrabarti
2016: Utility maximization problem with random endowment and transaction costs: when wealth may become negative: Yiqing Lin and Junjian Yang
2016: Statistically validated network of portfolio overlaps and systemic risk: Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente and Damien Challet
2016: Average cross-responses in correlated financial market: Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Option spanning beyond $L_p$-models: Niushan Gao and Foivos Xanthos
2016: Polynomial Diffusion Models for Life Insurance Liabilities: Francesca Biagini and Yinglin Zhang
2016: Unravelling the trading invariance hypothesis: Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
2016: Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model: Philipp Harms, David Stefanovits, Josef Teichmann and Mario V. W\"uthrich
2016: Distress propagation in complex networks: the case of non-linear DebtRank: Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti, Gianna Vivaldo and Guido Caldarelli
2016: Integration with respect to model-free price paths with jumps: Rafa{\l} M. {\L}ochowski
2016: On the C-property and $w^*$-representations of risk measures: Niushan Gao and Foivos Xanthos
2016: Semi-static completeness and robust pricing by informed investors: Beatrice Acciaio and Martin Larsson
2016: The pricing of contingent claims and optimal positions in asymptotically complete markets: Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
2016: On the emergence of scale-free production networks: Stanislao Gualdi and Antoine Mandel
2016: Super-replication in Fully Incomplete Markets: Yan Dolinsky and Ariel Neufeld
2016: A martingale analysis of first passage times of time-dependent Wiener diffusion models: Vaibhav Srivastava, Samuel F. Feng, Jonathan D. Cohen, Naomi Ehrich Leonard and Amitai Shenhav
2016: On the Robust Dynkin Game: Erhan Bayraktar and Song Yao
2016: On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models: David Landriault, Bin Li and Hongzhong Zhang
2016: Consistent Recalibration of Yield Curve Models: Philipp Harms, David Stefanovits, Josef Teichmann and Mario W\"uthrich
2016: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection: Ben Hambly, Matthieu Mariapragassam and Christoph Reisinger
2016: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems: Umut \c{C}etin and Albina Danilova
2016: Option Pricing in an Imperfect World: Gianluca Cassese
2016: Drawdown: From Practice to Theory and Back Again: Lisa R. Goldberg and Ola Mahmoud
2016: A Bitcoin system with no mining and no history transactions: Build a compact Bitcoin system: Xiaochao Qian
2016: Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion: John Armstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang
2016: Double Cascade Model of Financial Crises: Thomas R. Hurd, Davide Cellai, Sergey Melnik and Quentin Shao
2016: A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory: Leonardo Bargigli, Andrea Lionetto and Stefano Viaggiu
2016: A Comparison of Various Electricity Tariff Price Forecasting Techniques in Turkey and Identifying the Impact of Time Series Periods: T. O. Benli
2016: "Butterfly Effect" vs Chaos in Energy Futures Markets: Loretta Mastroeni and Pierluigi Vellucci
2016: Institutionalization in Efficient Markets: The Case of Price Bubbles: Sheen S. Levine and Edward J. Zajac
2016: Risk measures and Margining control: Giuseppe Carlo Calafiore and Leonardo Massai
2016: On the Market-Neutrality of Optimal Pairs-Trading Strategies: Bahman Angoshtari
2016: What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013: Deepak Malghan and Hema Swaminathan
2016: Networks: An Economic Perspective: Matthew Jackson, Brian W. Rogers and Yves Zenou
2016: Rethinking Financial Contagion: Gabriele Visentin, Stefano Battiston and Marco D'Errico
2016: Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship: Neeraj and Prasanta K. Panigrahi
2016: Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach: Mansooreh Kazemilari, Maman Abdurachman Djauhari and Zuhaimy Ismail
2016: Quantile Dependence between Stock Markets and its Application in Volatility Forecasting: Heejoon Han
2016: Strategic Growth with Recursive Preferences: Decreasing Marginal Impatience: Luis Alcalá, Fernando Tohmé and Carlos Dabus
2016: RELARM: A rating model based on relative PCA attributes and k-means clustering: Elnura Irmatova
2016: Volatility and Arbitrage: E. Robert Fernholz, Ioannis Karatzas and Johannes Ruf
2016: New economic windows on income and wealth: The k-generalized family of distributions: Fabio Clementi and Mauro Gallegati
2016: Optimal Switching under Ambiguity and Its Applications in Finance: Yuki Shigeta
2016: The Growth of Oligarchy in a Yard-Sale Model of Asset Exchange: A Logistic Equation for Wealth Condensation: Bruce M. Boghosian, Adrian Devitt-Lee and Hongyan Wang
2016: Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation: Zdzislaw Brzezniak and Tayfun Kok
2016: Poverty Index With Time Varying Consumption and Income Distributions: Amit K Chattopadhyay, T Krishna Kumar and Sushanta Mallick
2016: The structure of the climate debate: Richard Tol
2016: A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes: V. G. Filev, P. Neykov and G. S. Vasilev
2016: Filling the gaps smoothly: Andrey Itkin and Alexander Lipton
2016: General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics: Anatoliy Swishchuk, Katharina Cera, Julia Schmidt and Tyler Hofmeister
2016: Electoral Stability and Rigidity: Michael Y. Levy
2016: Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit: Nettey Boevi Gilles Koumou
2016: Monetary economics from econophysics perspective: Victor Yakovenko
2016: Optimal importance sampling for L\'evy Processes: Adrien Genin and Peter Tankov
2016: Rank-optimal weighting or "How to be best in the OECD Better Life Index?": Jan Lorenz, Christoph Brauer and Dirk A. Lorenz
2016: Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion: Luis Alvarez and Paavo Salminen
2016: Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk: Takashi Shinzato
2016: Time-scale effects on the gain-loss asymmetry in stock indices: Bulcs\'u S\'andor, Ingve Simonsen, B\'alint Zsolt Nagy and Zolt\'an N\'eda
2016: Property bubble in Hong Kong: A predicted decade-long slump (2016-2025): Peter Richmond and Bertrand M. Roehner
2016: A General Framework for Pairs Trading with a Control-Theoretic Point of View: Atul Deshpande and B. Ross Barmish
2016: Emergent organization in a model market: Avinash Chand Yadav, Kaustubh Manchanda and Ramakrishna Ramaswamy
2016: A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives: Daniel Conus and Mackenzie Wildman
2016: Some Contributions to Sequential Monte Carlo Methods for Option Pricing: Deborshee Sen, Ajay Jasra and Yan Zhou
2016: Managing counterparty credit risk via BSDEs: Andrew Lesniewski and Anja Richter
2016: Dynamic portfolio strategy using clustering approach: Fei Ren, Ya-Nan Lu, Sai-Ping Li, Xiong-Fei Jiang, Li-Xin Zhong and Tian Qiu
2016: Dynamic structure of stock communities: A comparative study between stock returns and turnover rates: Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li, Li-Xin Zhong and Fei Ren
2016: Another example of duality between game-theoretic and measure-theoretic probability: Vladimir Vovk
2016: Arbitrage-Free XVA: Maxim Bichuch, Agostino Capponi and Stephan Sturm
2016: Who would invest only in the risk-free asset?: Nuno Azevedo, Diogo Pinheiro, Stylianos Xanthopoulos and Athanasios Yannacopoulos
2016: Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall: Bernardi Mauro, Roy Cerqueti and Arsen Palestini
2016: Toward Development of a New Health Economic Evaluation Definition: Alexei Botchkarev
2016: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs: Christoph Czichowsky, R\'emi Peyre, Walter Schachermayer and Junjian Yang
2016: The boundary non-Crossing probabilities for Slepian process: Pingjin Deng
2016: Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method: Susmita Bhaduri, Dipak Ghosh and Subhadeep Ghosh
2016: On the Use of Computer Programs as Money: Ross D. King
2016: SPDE limit of the global fluctuations in rank-based models: Praveen Kolli and Mykhaylo Shkolnikov
2016: A continuous and efficient fundamental price on the discrete order book grid: Julius Bonart and Fabrizio Lillo
2016: hdm: High-Dimensional Metrics: Victor Chernozhukov, Chris Hansen and Martin Spindler
2016: A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-: Jana Bielagk, Ulrich Horst and Santiago Moreno--Bromberg
2016: The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios: Krzysztof Domino
2016: Convergence of Economic Growth and the Great Recession as Seen From a Celestial Observatory: Eamon Duede and Victor Zhorin
2016: Optimal Data Collection for Randomized Control Trials: Pedro Carneiro, Sokbae (Simon) Lee and Daniel Wilhelm
2016: High-Dimensional Metrics in R: Victor Chernozhukov, Chris Hansen and Martin Spindler
2016: Non-concave optimal investment and no-arbitrage: a measure theoretical approach: Romain Blanchard, Laurence Carassus and Mikl\'os R\'asonyi
2016: Robust Mean-Variance Hedging via G-Expectation: Francesca Biagini, Jacopo Mancin and Thilo Meyer Brandis
2016: Moment explosions, implied volatility and local volatility at extreme strikes: Sidi Mohamed Aly
2016: Uniform bounds for Black--Scholes implied volatility: Michael R. Tehranchi
2016: Arbitrage and Hedging in model-independent markets with frictions: Matteo Burzoni
2016: Electricity Price Forecasting using Sale and Purchase Curves: The X-Model: Florian Ziel and Rick Steinert
2016: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer: Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu and Marcos L\'opez de Prado
2016: Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk: Paul Larsen
2016: Bridging AIC and BIC: a new criterion for autoregression: Jie Ding, Vahid Tarokh and Yuhong Yang
2016: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences: Ali Hosseiny
2016: Tightness and duality of martingale transport on the Skorokhod space: Gaoyue Guo, Xiaolu Tan and Nizar Touzi
2016: Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models: David Criens, Kathrin Glau and Zorana Grbac
2016: Nonparametric and arbitrage-free construction of call surfaces using l1-recovery: Pierre M. Blacque-Florentin and Badr Missaoui
2016: Optimal Skorokhod embedding under finitely-many marginal constraints: Gaoyue Guo, Xiaolu Tan and Nizar Touzi
2016: The gradual evolution of buyer--seller networks and their role in aggregate fluctuations: Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
2016: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion: Christoph Czichowsky and Walter Schachermayer
2016: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis: Maxim Bichuch, Agostino Capponi and Stephan Sturm
2016: Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples: Maxim Bichuch, Agostino Capponi and Stephan Sturm
2016: Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model: Dmitry Kramkov and Sergio Pulido
2016: Path Integral and Asset Pricing: Zura Kakushadze
2016: An expansion in the model space in the context of utility maximization: Kasper Larsen, Oleksii Mostovyi and Gordan \v{Z}itkovi\'c
2016: A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics: Christian Bayer, Ulrich Horst and Jinniao Qiu
2016: Change of measure up to a random time: Details: D\"orte Kreher
2016: Option pricing with linear market impact and non-linear Black and Scholes equations: Gregoire Loeper
2016: Copula-Based Univariate Time Series Structural Shift Identification Test: Henry Penikas
2016: A Simple Model of Credit Expansion: Alexander Smirnov
2016: Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma: Fuad Aleskerov and Victoria Oleynik
2016: Pricing Weakly Model Dependent Barrier Products: Jan Kuklinski, Panagiotis Papaioannou and Kevin Tyloo
2016: Metastable Features of Economic Networks and Responses to Exogenous Shocks: Ali Hosseiny, Mohammad Bahrami, Antonio Palestrini and Mauro Gallegati
2016: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility: S. Kuchuk-Iatsenko, Y. Mishura and Y. Munchak
2016: Self-organization in a distributed coordination game through heuristic rules: S. Agarwal, Diptesh Ghosh and A. S. Chakrabarti
2016: Asymmetric volatility connectedness on forex markets: Jozef Baruník, Evžen Kočenda and Lukas Vacha
2016: Modelling the impact of financialization on agricultural commodity markets: Maria d'Errico, Alessandro Laio and Guido L. Chiarotti
2016: The Rank Effect for Commodities: Ricardo Fernholz and Christoffer Koch
2016: Systemic Risk and Stochastic Games with Delay: Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi and Li-Hsien Sun
2016: Effects of Sea Level Rise on Economy of the United States: Monika Novackova and Richard Tol
2016: A Comparison of Nineteen Various Electricity Consumption Forecasting Approaches and Practicing to Five Different Households in Turkey: T. O. Benli
2016: Identification of market trends with string and D2-brane maps: Erik Barto\v{s} and Richard Pin\v{c}\'ak
2016: Sectoral co-movements in the Indian stock market: A mesoscopic network analysis: Kiran Sharma, Shreyansh Shah, Anindya S. Chakrabarti and Anirban Chakraborti
2016: Extracting Geography from Trade Data: Yuke Li, Tianhao Wu, Nicholas Marshall and Stefan Steinerberger
2016: Numerical and analytical methods for bond pricing in short rate convergence models of interest rates: Zuzana Buckova, Beata Stehlikova and Daniel Sevcovic
2016: Multiple risk factor dependence structures: Distributional properties: Jianxi Su and Edward Furman
2016: A form of multivariate Pareto distribution with applications to financial risk measurement: Jianxi Su and Edward Furman
2016: The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games: Bent Flyvbjerg, Allison Stewart and Alexander Budzier
2016: Insurance valuation: a computable multi-period cost-of-capital approach: Hampus Engsner, Mathias Lindholm and Filip Lindskog
2016: Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals: Taisei Kaizoji and Michiko Miyano
2016: Fair division with divisible and indivisible items: Alexander Rubchinsky
2016: Rating models: emerging market distinctions: Alexandr Karminsky
2016: Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory: Andrey Subochev and Igor Zakhlebin
2016: Divisive-agglomerative algorithm and complexity of automatic classification problems: Alexander Rubchinsky
2016: Tail protection for long investors: Trend convexity at work: Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble, Yves Lemp\'eri\`ere, Jean-Philippe Bouchaud and Marc Potters
2016: Matrix-vector representation of various solution concepts: Fuad Aleskerov and Andrey Subochev
2016: Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework: Tamal Datta Chaudhuri and Indranil Ghosh
2016: Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction: Somwrita Sarkar and Sanjay Chawla
2016: Granger Independent Martingale Processes: Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci and Silvia Romagnoli
2016: Dynamic optimization and its relation to classical and quantum constrained systems: Mauricio Contreras, Rely Pellicer and Marcelo Villena
2016: Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching: Nemat Safarov and Colin Atkinson
2016: A probability-free and continuous-time explanation of the equity premium and CAPM: Vladimir Vovk and Glenn Shafer
2016: Comments on the BCBS proposal for a New Standardized Approach for Operational Risk: Giulio Mignola, Roberto Ugoccioni and Eric Cope
2016: Recursive utility optimization with concave coefficients: Shaolin Ji and Xiaomin Shi
2016: The State of Applied Econometrics - Causality and Policy Evaluation: Susan Athey and Guido Imbens
2016: The Econometrics of Randomized Experiments: Susan Athey and Guido Imbens
2016: Time-Inconsistent Stochastic Linear-quadratic Differential Game: Qinglong Zhou and Gaofeng Zong
2016: The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth: Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
2016: Betting and Belief: Prediction Markets and Attribution of Climate Change: John J. Nay, Martin Van der Linden and Jonathan M. Gilligan
2016: Tipping elements and climate-economic shocks: Pathways toward integrated assessment: Robert Kopp, Rachael Shwom, Gernot Wagner and Jiacan Yuan
2016: On optimal strategies for utility maximizers in the Arbitrage Pricing Model: Miklos Rasonyi
2016: The value of foresight: Philip Ernst, L. C. G. Rogers and Quan Zhou
2016: Deep Learning for Limit Order Books: Justin Sirignano
2016: A unified view of LIBOR models: Kathrin Glau, Zorana Grbac and Antonis Papapantoleon
2016: A detailed heterogeneous agent model for a single asset financial market with trading via an order book: Roberto Mota Navarro and Hern\'an Larralde Ridaura
2016: Minimax perfect stopping rules for selling an asset near its ultimate maximum: Dmitry B. Rokhlin
2016: MVA Transfer Pricing: Wujiang Lou
2016: FX Options in Target Zone: Peter Carr and Zura Kakushadze
2016: A Theory of Individualism, Collectivism and Economic Outcomes: Kartik Ahuja, Mihaela van der Schaar and William Zame
2016: Approximate Option Pricing in the L\'evy Libor Model: Zorana Grbac, David Krief and Peter Tankov
2016: Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series: Matteo Barigozzi and Marc Hallin
2016: Hedging with Temporary Price Impact: Peter Bank, Mete Soner and Moritz Vo{\ss}
2016: Cointegrating Jumps: an Application to Energy Facilities: Nicola Cufaro Petroni and Piergiacomo Sabino
2016: Sequential Design for Ranking Response Surfaces: Ruimeng Hu and Mike Ludkovski
2016: Detecting early signs of the 2007-2008 crisis in the world trade: Fabio Saracco, Riccardo Di Clemente, Andrea Gabrielli and Tiziano Squartini
2016: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle: Zachary Feinstein and Birgit Rudloff
2016: Model-independent bounds for Asian options: a dynamic programming approach: Alexander M. G. Cox and Sigrid K\"allblad
2016: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments: Rachael Meager
2016: Optimal Stopping with Random Maturity under Nonlinear Expectations: Erhan Bayraktar and Song Yao
2016: Chebyshev Interpolation for Parametric Option Pricing: Maximilian Ga{\ss}, Kathrin Glau, Mirco Mahlstedt and Maximilian Mair
2016: Pathwise super-replication via Vovk's outer measure: Mathias Beiglb\"ock, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski and David J. Pr\"omel
2016: Risk Sensitive Control of the Lifetime Ruin Problem: Erhan Bayraktar and Asaf Cohen
2016: Equilibrium in risk-sharing games: Michail Anthropelos and Constantinos Kardaras
2016: Regulatory Capital Modelling for Credit Risk: Marek Rutkowski and Silvio Tarca
2016: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia: Silvio Tarca and Marek Rutkowski
2016: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That: Peter B. Lerner
2016: Optimising Credit Portfolio Using a Quadratic Nonlinear Projection Method: Boguk Kim, Chulwoo Han and Frank Chongwoo Park
2016: Comeback kids: an evolutionary approach of the long-run innovation process: Shidong Wang, Renaud Foucart and Cheng Wan
2016: General smile asymptotics with bounded maturity: Francesco Caravenna and Jacopo Corbetta
2016: GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk: Cody B. Hyndman and Menachem Wenger
2016: Banach geometry of arbitrage free markets: A. V. Lebedev and P. P. Zabreiko
2016: Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments: Xiang Yu
2016: Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$: Shiqi Song
2016: Paths and indices of maximal tail dependence: Edward Furman, Jianxi Su and Ri\v{c}ardas Zitikis
2016: Multivariate risk measures: a constructive approach based on selections: Ignacio Cascos and Ilya Molchanov
2016: Properties of the financial break-even point in a simple investment project as a function of the discount rate: Domingo A. Tarzia
2016: A mathematical model for a gaming community: Romulus Breban
2016: Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information: Albina Danilova
2016: A multilayer approach for price dynamics in financial markets: Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda
2016: Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement: Johan G. Andreasson, Pavel V. Shevchenko and Alex Novikov
2016: Replica approach to mean-variance portfolio optimization: Istvan Varga-Haszonits, Fabio Caccioli and Imre Kondor
2016: Complex Systems and a Computational Social Science Perspective on the Labor Market: Abdullah Almaatouq
2016: An agent behavior based model for diffusion price processes with application to phase transition and oscillations: Christof Henkel
2016: A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities: Seyed Amir Hejazi and Kenneth R. Jackson
2016: Spread, volatility, and volume relationship in financial markets and market making profit optimization: Jack Sarkissian
2016: Validation of the Replica Trick for Simple Models: Takashi Shinzato
2016: A New Currency of the Future: The Novel Commodity Money with Attenuation Coefficient Based on the Logistics Cost of Anchor: Boliang Lin and Ruixi Lin
2016: Brexit or Bremain ? Evidence from bubble analysis: Marco Bianchetti, Davide Galli, Camilla Ricci, Angelo Salvatori and Marco Scaringi
2016: A mathematical model of demand-supply dynamics with collectability and saturation factors: Y. Charles Li and Hong Yang
2016: Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options: Gilles Pag\`es, Olivier Pironneau and Guillaume Sall
2016: Using String Invariants for Prediction Searching for Optimal Parameters: Marek Bundzel, Tomas Kasanicky and Richard Pincak
2016: A new decomposition of portfolio return: Robert Fernholz
2016: Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations: Shaolin Ji and Xiaomin Shi
2016: The multiplex dependency structure of financial markets: Nicol\'o Musmeci, Vincenzo Nicosia, Tomaso Aste, Tiziana Di Matteo and Vito Latora
2016: The Sound of Silence: equilibrium filtering and optimal censoring in financial markets: Miles B. Gietzmann and Adam J. Ostaszewski
2016: Kolmogorov Space in Time Series Data: Kabin Kanjamapornkul and R. Pin\v{c}\'ak
2016: Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring: Mihály Ormos and Dusan Timotity
2016: Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading: Mihály Ormos and Dusan Timotity
2016: The study of Thai stock market across the 2008 financial crisis: Kabin Kanjamapornkul, Richard Pin\v{c}\'ak and Erik Barto\v{s}
2016: A non-equilibrium formulation of food security resilience: Matteo Smerlak and Bapu Vaitla
2016: A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine: Olga Nicoara and David White
2016: On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis: Marcel Ausloos, Franck Jovanovic and Christophe Schinckus
2016: A data driven network approach to rank countries production diversity and food specialization: Chengyi Tu, Joel Carr and Samir Suweis
2016: World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive: Marcin W\k{a}torek, Stanis{\l}aw Dro\.zd\.z and Pawe{\l} O\'swi\k{e}cimka
2016: A/B Testing of Auctions: Shuchi Chawla, Jason D. Hartline and Denis Nekipelov
2016: The space of outcomes of semi-static trading strategies need not be closed: Beatrice Acciaio, Martin Larsson and Walter Schachermayer
2016: Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso: Ning Xu, Jian Hong and Timothy Fisher
2016: Trading VIX Futures under Mean Reversion with Regime Switching: Jiao Li
2016: Pathwise Iteration for Backward SDEs: Christian Bender, Christian Gaertner and Nikolaus Schweizer
2016: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model: Dominique Pépin
2016: How to Combine a Billion Alphas: Zura Kakushadze and Willie Yu
2016: Empirical Methods for Dynamic Power Law Distributions in the Social Sciences: Ricardo Fernholz
2016: Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model: Zorana Grbac, Laura Meneghello and Wolfgang J. Runggaldier
2016: Purely pathwise probability-free Ito integral: Vladimir Vovk
2016: Optimal Real-Time Bidding Strategies: Joaquin Fernandez-Tapia, Olivier Gu\'eant and Jean-Michel Lasry
2016: Latency and liquidity provision in a limit order book: Julius Bonart and Martin Gould
2016: Foundations for Wash Sales: Phillip G. Bradford
2016: Pathwise no-arbitrage in a class of Delta hedging strategies: Alexander Schied and Iryna Voloshchenko
2016: Law invariant risk measures and information divergences: Daniel Lacker
2016: A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts: Jian Yang
2016: Optimal growth trajectories with finite carrying capacity: Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli and Cozmin Ududec
2016: Retarded action principle and self-financing portfolio dynamics: Dmitry Lesnik
2016: Reputational Learning and Network Dynamics: Simpson Zhang and Mihaela van der Schaar
2016: Complete Duality for Martingale Optimal Transport on the Line: Mathias Beiglb\"ock, Marcel Nutz and Nizar Touzi
2016: Resolute refinements of social choice correspondences: Daniela Bubboloni and Michele Gori
2016: Semimartingale detection and goodness-of-fit tests: Adam D. Bull
2016: The Temporal Dimension of Risk: Ola Mahmoud
2016: Conditional Analysis and a Principal-Agent problem: Julio Backhoff and Ulrich Horst
2016: An $\alpha$-stable limit theorem under sublinear expectation: Erhan Bayraktar and Alexander Munk
2016: Fragility of the Commons under Prospect-Theoretic Risk Attitudes: Ashish R. Hota, Siddharth Garg and Shreyas Sundaram
2016: Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models: Alexandre Belloni, Victor Chernozhukov and Kengo Kato
2016: Pathwise stochastic integrals for model free finance: Nicolas Perkowski and David J. Pr\"omel
2016: Varadhan's formula, conditioned diffusions, and local volatilities: Stefano De Marco and Peter Friz
2016: Note on level r consensus: Nikolay Poliakov
2016: Local Operators in Kinetic Wealth Distribution: M. Andrecut
2016: Credit allocation based on journal impact factor and coauthorship contribution: Javier E. Contreras-Reyes
2016: A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting: Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
2016: What does past correlation structure tell us about the future? An answer from network filtering: Nicol\'o Musmeci, Tomaso Aste and Tiziana Di Matteo
2016: Modelling Trading Networks and the Role of Trust: Rafael A. Barrio, Tzipe Govezensky, \'Elfego Ruiz-Guti\'errez and Kimmo K. Kaski
2016: Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?: Anirban Chakraborti, Dhruv Raina and Kiran Sharma
2016: Contracting theory with competitive interacting agents: Romuald Elie and Dylan Possama\"i
2016: Foreign exchange risk premia: from traditional to state-space analyses: Siwat Nakmai
2016: Generalized Subjective Lexicographic Expected Utility Representation: Hugo Cruz-Sanchez
2016: Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index: Dhanya Jothimani, Ravi Shankar and Surendra S. Yadav
2016: Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints: Takashi Shinzato
2016: Portfolio Optimization Problem with Non-identical Variances of Asset Returns using Statistical Mechanical Informatics: Takashi Shinzato
2016: Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed: Takashi Shinzato
2016: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets: Lisana B. Martinez, M. Belen Guercio, Aurelio Fernandez Bariviera and Antonio Terce\~no
2016: Hedging with Small Uncertainty Aversion: Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
2016: BSDEs with mean reflection: Philippe Briand, Romuald Elie and Ying Hu
2016: Some Mathematical Aspects of Price Optimisation: Y. Bai, E. Hashorva, G. Ratovomirija and M. Tamraz
2016: Recursive utility maximization under partial information: Shaolin Ji and Xiaomin Shi
2016: Far from equilibrium: Wealth reallocation in the United States: Yonatan Berman, Ole Peters and Alexander Adamou
2016: Elections in Russia, 1991-2008: Daniel Treisman
2016: Wrong-Way Risk Models: A Comparison of Analytical Exposures: Frédéric Vrins
2016: Optimality of two-parameter strategies in stochastic control: Kazutoshi Yamazaki
2016: Quantum theory of securities price formation in financial markets: Jack Sarkissian
2016: Extended nonlinear feedback model for describing episodes of high inflation: M A Szybisz and L Szybisz
2016: Learning zero-cost portfolio selection with pattern matching: Tim Gebbie and Fayyaaz Loonat
2016: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums: Ewa Marciniak and Zbigniew Palmowski
2016: Knight--Walras Equilibria: Patrick Beissner and Frank Riedel
2016: Empowering cash managers to achieve cost savings by improving predictive accuracy: Francisco Salas-Molina, Francisco J. Martin, Juan A. Rodr\'iguez-Aguilar, Joan Serr\`a and Josep Ll. Arcos
2016: Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions: Takashi Kato
2016: Survey on log-normally distributed market-technical trend data: Ren\'e Kempen and Stanislaus Maier-Paape
2016: Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate: Martin Gremm
2016: Economic Development and Inequality: a complex system analysis: Angelica Sbardella, Emanuele Pugliese and Luciano Pietronero
2016: Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model: Siyan Zhang, Anna L. Mazzucato and Victor Nistor
2016: Stochastic Portfolio Theory: A Machine Learning Perspective: Yves-Laurent Kom Samo and Alexander Vervuurt
2016: Generalized semi-Markovian dividend discount model: risk and return: Guglielmo D'Amico
2016: Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors: Sujay Mukhoti and Pritam Ranjan
2016: Coherence and incoherence collective behavior in financial market: Shangmei Zhao, Qiuchao Xie, Qing Lu, Xin Jiang and Wei Chen
2016: Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula: Donya Rahmani, Saeed Heravi, Hossein Hassani and Mansi Ghodsi
2016: Unbiased Monte Carlo Simulation of Diffusion Processes: Louis Paulot
2016: The Accounting Network: how financial institutions react to systemic crisis: Andrea Flori, Giuseppe Pappalardo, Michelangelo Puliga, Alessandro Chessa and Fabio Pammolli
2016: The wage transition in developed countries and its implications for China: Belal Baaquie, Bertrand M. Roehner and Qinghai Wang
2016: Is it "natural" to expect Economics to become a part of the Natural Sciences?: Arnab Chatterjee
2016: Modeling and Simulation of the Economics of Mining in the Bitcoin Market: Luisanna Cocco and Michele Marchesi
2016: Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics: A. Paliathanasis, R. M. Morris and P. G. L. Leach
2016: Regrets, learning and wisdom: Damien Challet
2016: On Optimal Retirement (How to Retire Early): Philip Ernst, Dean Foster and Larry Shepp
2016: Revisiting a Theorem of L.A. Shepp on Optimal Stopping: Philip Ernst and Larry Shepp
2016: Why have asset price properties changed so little in 200 years: Jean-Philippe Bouchaud and Damien Challet
2016: A unified pricing of variable annuity guarantees under the optimal stochastic control framework: Pavel V. Shevchenko and Xiaolin Luo
2016: Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options: Jan Kuklinski and Kevin Tyloo
2016: Stochastic Perron for Stochastic Target Problems: Erhan Bayraktar and Jiaqi Li
2016: The unresolved mystery of the great divergence is solved: Ron W Nielsen
2016: Sharp convex bounds on the aggregate sums--An alternative proof: Chuancun Yin and Dan Zhu
2016: Strength of weak layers in cascading failures on multiplex networks: case of the international trade network: Kyu-Min Lee and Kwang-Il Goh
2016: Modeling the relation between income and commuting distance: Giulia Carra, Ismir Mulalic, Mogens Fosgerau and Marc Barthelemy
2016: The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013: Guillermo Garc\'ia-P\'erez, Mari\'an Bogu\~n\'a, Antoine Allard and M. \'Angeles Serrano
2016: Full and fast calibration of the Heston stochastic volatility model: Yiran Cui, Sebastian del Ba\~no Rollin and Guido Germano
2016: Preemptive Investment under Uncertainty: Jan-Henrik Steg
2016: An empirical analysis of the relationships between crude oil, gold and stock markets: Semei Coronado, Rebeca Jim\'enez-Rodr\'iguez and Omar Rojas
2016: Mathematical Analysis of the Historical Economic Growth: Ron W. Nielsen
2016: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility: A. Paliathanasis, K. Krishnakumar, K. M. Tamizhmani and P. G. L. Leach
2016: Optimal Taxation with Endogenous Default under Incomplete Markets: Demian Pouzo and Ignacio Presno
2016: Minimizing the Probability of Lifetime Drawdown under Constant Consumption: Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: One bank problem in the federal funds market: Traian A. Pirvu and Elena Cristina Canepa
2016: Inequality and risk aversion in economies open to altruistic attitudes: Eleonora Perversi and Eugenio Regazzini
2016: Model-free Superhedging Duality: Matteo Burzoni, Marco Frittelli and Marco Maggis
2016: A system of non-local parabolic PDE and application to option pricing: Anindya Goswami, Jeeten Patel and Poorva Shevgaonkar
2016: Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk: Yao Tung Huang, Qingshuo Song and Harry Zheng
2016: A Profit-maximization Model for a Company that Sells an Arbitrary Number of Products: Dragos-Patru Covei
2016: Optimally Investing to Reach a Bequest Goal: Erhan Bayraktar and Virginia R. Young
2016: Equilibrium in Misspecified Markov Decision Processes: Ignacio Esponda and Demian Pouzo
2016: A weak law of large numbers for a limit order book model with fully state dependent order dynamics: Ulrich Horst and D\"orte Kreher
2016: Shortfall Deviation Risk: An alternative to risk measurement: Marcelo Righi and Paulo Sergio Ceretta
2016: Optimal execution of ASR contracts with fixed notional: Olivier Gu\'eant
2016: A system of quadratic BSDEs arising in a price impact model: Dmitry Kramkov and Sergio Pulido
2016: Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models: Stefan Gerhold, I. Cetin G\"ul\"um and Arpad Pinter
2016: Generalised arbitrage-free SVI volatility surfaces: Gaoyue Guo, Antoine Jacquier, Claude Martini and Leo Neufcourt
2016: The Effect of Market Power on Risk-Sharing: Michail Anthropelos
2016: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model: Louis Paulot
2016: Kinetic and mean field description of Gibrat's law: Giuseppe Toscani
2016: Robustness of mathematical models and technical analysis strategies: Ahmed Bel Hadj Ayed, Gr\'egoire Loeper and Fr\'ed\'eric Abergel
2016: The puzzle that just isn't: Christian Mueller-Kademann
2016: A new structural stochastic volatility model of asset pricing and its stylized facts: Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
2016: Pricing Bermudan options under local L\'evy models with default: Anastasia Borovykh, Cornelis Oosterlee and Andrea Pascucci
2016: An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration: Du Nguyen
2016: Convex Hedging in Incomplete Markets: Birgit Rudloff
2016: On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation: Martijn Pistorius and Mitja Stadje
2016: On the Surprising Explanatory Power of Higher Realized Moments in Practice: Keren Shen, Jianfeng Yao and Wai Keung Li
2016: Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil: Leno S. Rocha, Frederico S. A. Rocha and Th\'arsis T. P. Souza
2016: Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model: Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Entropy and credit risk in highly correlated markets: Sylvia Gottschalk
2016: On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums: Ewa Marciniak and Zbigniew Palmowski
2016: Entangling credit and funding shocks in interbank markets: Giulio Cimini and Matteo Serri
2016: Optimal trading with online parameters revisions: N Baradel, B Bouchard and Ngoc Minh Dang
2016: Multidimensional matching: Pierre-Andr\'e Chiappori, Robert McCann and Brendan Pass
2016: Regime switching vine copula models for global equity and volatility indices: Holger Fink, Yulia Klimova, Claudia Czado and Jakob St\"ober
2016: High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation: Yuri M. Dimitrov and Lubin G. Vulkov
2016: On the survival of poor peasants: Andrea C. Levi and Ubaldo Garibaldi
2016: Pricing American options using martingale bases: J\'er\^ome Lelong
2016: Reconstruction of Order Flows using Aggregated Data: Ioane Muni Toke
2016: Program Evaluation with Right-Censored Data: Pedro Sant'Anna
2016: More on hedging American options under model uncertainty: David Hobson and Anthony Neuberger
2016: On the value of being American: David Hobson and Anthony Neuberger
2016: Kriging of financial term-structures: Areski Cousin, Hassan Maatouk and Didier Rulli\`ere
2016: The statistical significance of multivariate Hawkes processes fitted to limit order book data: Roger Martins and Dieter Hendricks
2016: Aggregating time preferences with decreasing impatience: Nina Anchugina, Matthew Ryan and Arkadii Slinko
2016: Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses: Mario Guti\'errez-Roig, Carlota Segura, Jordi Duch and Josep Perell\'o
2016: Relativistic Quantum Finance: Juan M. Romero and Ilse B. Zubieta-Mart\'inez
2016: Copula--based Specification of vector MEMs: Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2016: Controllability Analyses on Firm Networks Based on Comprehensive Data: Hiroyasu Inoue
2016: Option Pricing in the Moderate Deviations Regime: Peter Friz, Stefan Gerhold and Arpad Pinter
2016: From Big Data To Important Information: Yaneer Bar-Yam
2016: On regularity of primal and dual dynamic value functions related to investment problem: Michael Mania and Revaz Tevzadze
2016: Systemic Risks in CCP Networks: Russell Barker, Andrew Dickinson, Alex Lipton and Rajeev Virmani
2016: Clustering Financial Time Series: How Long is Enough?: Gautier Marti, S\'ebastien Andler, Frank Nielsen and Philippe Donnat
2016: Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$: Martin Forde and Hongzhong Zhang
2016: Mathematical analysis of historical income per capita distributions: Ron W Nielsen
2016: Cross-response in correlated financial markets: individual stocks: Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Puzzling properties of the historical growth rate of income per capita explained: Ron W Nielsen
2016: When does inequality freeze an economy?: Jo\~ao Pedro Jerico, Fran\c{c}ois P. Landes, Matteo Marsili, Isaac P\'erez Castillo and Valerio Volpati
2016: The noisy voter model on complex networks: Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel
2016: Power-law cross-correlations estimation under heavy tails: Ladislav Krištoufek
2016: Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information: Anton A. Shardin and Michaela Sz\"olgyenyi
2016: Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps: Michael Ho and Jack Xin
2016: Model-Free Discretisation-Invariant Swap Contracts: Carol Alexander and Johannes Rauch
2016: Predicting Human Cooperation: John J. Nay and Yevgeniy Vorobeychik
2016: Hyperinflation in Brazil, Israel, and Nicaragua revisited: M. A. Szybisz and L. Szybisz
2016: Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model: Hiroyasu Inoue
2016: An elementary approach to the option pricing problem: Nikolaos Halidias
2016: A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model: Andrei Cozma and Christoph Reisinger
2016: Bounds for randomly shared risk of heavy-tailed loss factors: Oliver Kley and Claudia Kluppelberg
2016: How crude oil prices shape the global division of labour: Francesco Picciolo, Andreas Papandreou, Klaus Hubacek and Franco Ruzzenenti
2016: Diversification, protection of liability holders and regulatory arbitrage: Pablo Koch-Medina, Cosimo Munari and Mario Sikic
2016: Portfolio Optimization under Shortfall Risk Constraint: Oliver Janke and Qinghua Li
2016: Toward robust early-warning models: A horse race, ensembles and model uncertainty: Markus Holopainen and Peter Sarlin
2016: Stochastic Perron for stochastic target games: Erhan Bayraktar and Jiaqi Li
2016: An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients: Jean-Francois Chassagneux, Antoine Jacquier and Ivo Mihaylov
2016: Non-Arbitrage under a Class of Honest Times: Tahir Choulli, Anna Aksamit, Jun Deng and Monique Jeanblanc
2016: On the probability density function of baskets: Christian Bayer, Peter Friz and Peter Laurence
2016: On the Robust Optimal Stopping Problem: Erhan Bayraktar and Song Yao
2016: Chinese Medical Device Market and The Investment Vector: Weifan Zhang, Rebecca Liu and Chris Chatwin
2016: Mortgages and Refinancing: Khizar Qureshi and Cheng Su
2016: Value-at-Risk: The Effect of Autoregression in a Quantile Process: Khizar Qureshi
2016: Optimal investment and consumption with downside risk constraint in jump-diffusion models: Thai Nguyen
2016: Low-traffic limit and first-passage times for a simple model of the continuous double auction: Enrico Scalas, Fabio Rapallo and Tijana Radivojevi\'c
2016: Deterministic Income with Deterministic and Stochastic Interest Rates: Julia Eisenberg
2016: Pricing occupation-time options in a mixed-exponential jump-diffusion model: Djilali Ait Aoudia and Jean-Fran\c{c}ois Renaud
2016: Modelling income, wealth, and expenditure data by use of Econophysics: Elvis Oltean
2016: Interest Rates and Inflation: Michael Coopersmith and Pascal J. Gambardella
2016: Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching: Jiling Cao, Teh Raihana Nazirah Roslan and Wenjun Zhang
2016: Trading Strategies Generated by Lyapunov Functions: Ioannis Karatzas and Johannes Ruf
2016: A Flexible Galerkin Scheme for Option Pricing in L\'evy Models: Maximilian Ga{\ss} and Kathrin Glau
2016: Robust Optimization of Credit Portfolios: Agostino Capponi and Lijun Bo
2016: Conjoint axiomatization of the Choquet integral for heterogeneous product sets: Mikhail Timonin
2016: GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model: Tetsuya Takaishi
2016: On clustering financial time series: a need for distances between dependent random variables: Gautier Marti, Frank Nielsen, Philippe Donnat and S\'ebastien Andler
2016: A Note on the Optimal Dividends Paid in a Foreign Currency: Julia Eisenberg and Paul Kr\"uhner
2016: Conic Martingales from Stochastic Integrals: Frédéric Vrins and Monique Jeanblanc
2016: The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents: F. Knobloch and Jean-Francois Mercure
2016: Universal trading under proportional transaction costs: Richard J Martin
2016: The mathematics of non-linear metrics for nested networks: Rui-Jie Wu, Gui-Yuan Shi, Yi-Cheng Zhang and Manuel Sebastian Mariani
2016: Switching Economics for Physics and the Carbon Price Inflation: Problems in Integrated Assessment Models and their Implications: Sgouris Sgouridis, Abdulla Kaya and Denes Csala
2016: Risk-Constrained Kelly Gambling: Enzo Busseti, Ernest K. Ryu and Stephen Boyd
2016: The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle: Ravi Kashyap
2016: Online Networks, Social Interaction and Segregation: An Evolutionary Approach: Angelo Antoci, Fabio Sabatini and Francesco Sarracino
2016: The geometric phase of stock trading: Claudio Altafini
2016: Market Dynamics vs. Statistics: Limit Order Book Example: Vladislav Malyshkin and Ray Bakhramov
2016: Modeling and Estimation of the Risk When Choosing a Provider: Alla Sorokina
2016: Can banks default overnight? Modeling endogenous contagion on O/N interbank market: Pawe{\l} Smaga, Mateusz Wili\'nski, Piotr Ochnicki, Piotr Arendarski and Tomasz Gubiec
2016: Contagion and Stability in Financial Networks: Seyyed Mostafa Mousavi, Robert Mackay and Alistair Tucker
2016: Analysis of the nonlinear option pricing model under variable transaction costs: Daniel Sevcovic and Magdalena Zitnanska
2016: Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model: Ale\v{s} \v{C}ern\'y
2016: Financial contagion in investment funds: Leonardo dos Santos Pinheiro and Flavio Codeco Coelho
2016: Capital Valuation Adjustment and Funding Valuation Adjustment: Claudio Albanese, Simone Caenazzo and St\'ephane Cr\'epey
2016: Interacting Default Intensity with Hidden Markov Process: Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu and Tak Kuen Siu
2016: Libor at crossroads: stochastic switching detection using information theory quantifiers: Aurelio Fernandez Bariviera, M. Belen Guercio, Lisana B. Martinez and Osvaldo A. Rosso
2016: Convex duality in optimal investment and contingent claim valuation in illiquid markets: Teemu Pennanen and Ari-Pekka Perkki\"o
2016: Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX: Hannah Cheng, Juan Zhan, William Rea and Alethea Rea
2016: Exponentially concave functions and high dimensional stochastic portfolio theory: Soumik Pal
2016: Latent class analyisis for reliable measure of inflation expectation in the indian public: Sunil Kumar
2016: Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes: Claudiu Albulescu, Christian Aubin and Daniel Goyeau
2016: Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law: Marcel Ausloos, Rosella Castellano and Roy Cerqueti
2016: Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments: Gareth W. Peters, Wilson Y. Chen and Richard H. Gerlach
2016: The Value of A Statistical Life in Absence of Panel Data: What can we do?: Andr\'es Riquelme and Marcela Parada
2016: Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models: Ludovic Gouden\`ege, Andrea Molent and Antonino Zanette
2016: Tsallis statistics in the income distribution of Brazil: Abner D. Soares, Newton J. Moura and Marcelo Ribeiro
2016: The Postulate of the Three Regimes of Economic Growth Contradicted by Data: Ron W Nielsen
2016: Multifactor Risk Models and Heterotic CAPM: Zura Kakushadze and Willie Yu
2016: Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift: J\"orn Sass, Dorothee Westphal and Ralf Wunderlich
2016: Unified Growth Theory Contradicted by the Absence of Takeoffs in the Gross Domestic Product: Ron W Nielsen
2016: A nonlinear impact: evidences of causal effects of social media on market prices: Th\'arsis T. P. Souza and Tomaso Aste
2016: Unified Growth Theory Contradicted by the Economic Growth in Latin America: Ron W Nielsen
2016: Geography and distance effect on financial dynamics in the Chinese stock market: Xing Li, Tian Qiu, Guang Chen, Li-Xin Zhong and Xiong-Fei Jiang
2016: 101 Formulaic Alphas: Zura Kakushadze
2016: The F\"ollmer-Schweizer decomposition under incomplete information: Claudia Ceci, Katia Colaneri and Alessandra Cretarola
2016: A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions: Xin Liu, Qi Gong and Vidyadhar G. Kulkarni
2016: Dynamics and Stability in Retail Competition: Marcelo Villena and Axel A. Araneda
2016: Price response in correlated financial markets: empirical results: Shanshan Wang, Rudi Sch\"afer and Thomas Guhr
2016: Performance v. Turnover: A Story by 4,000 Alphas: Zura Kakushadze and Igor Tulchinsky
2016: Optimal trading strategies - a time series approach: Peter A. Bebbington and Reimer Kuehn
2016: Forecasting stock market returns over multiple time horizons: Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov and Boris Govorkov
2016: Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets: Mikhail Timonin
2016: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model: Nicolas Langren\'e, Geoffrey Lee and Zili Zhu
2016: Convergence of Estimated Option Price in a Regime switching Market: Anindya Goswami and Sanket Nandan
2016: Time-scale analysis of co-movement in EU sovereign bond markets: Filip Smolik and Lukas Vacha
2016: Transition from lognormal to chi-square superstatistics for financial time series: Dan Xu and Christian Beck
2016: Small-time asymptotics for Gaussian self-similar stochastic volatility models: Archil Gulisashvili, Frederi Viens and Xin Zhang
2016: Pricing complexity options: Malihe Alikhani, Bj{\o}rn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
2016: New class of distortion risk measures and their tail asymptotics with emphasis on VaR: Chuancun Yin and Dan Zhu
2016: Principal Components Analysis for Semimartingales and Stochastic PDE: Alberto Ohashi and Alexandre B Simas
2016: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion: Hagen Kleinert and Jan Korbel
2016: Robust Utility Maximization with L\'evy Processes: Ariel Neufeld and Marcel Nutz
2016: Existence and Uniqueness of a Steady State for an OTC Market with Several Assets: Alain Belanger and Ndoune Ndoune
2016: Pricing and Hedging Long-Term Options: Hyungbin Park
2016: A polynomial distribution applied to income and wealth distribution: Elvis Oltean and Fedor Kusmartsev
2016: A statistical physics analysis of expenditure in the UK: Elvis Oltean and Fedor Kusmartsev
2016: An econophysical approach of polynomial distribution applied to income and expenditure: Elvis Oltean
2016: An Econophysical dynamical approach of expenditure and income distribution in the UK: Elvis Oltean and Fedor Kusmartsev
2016: Applications of statistical physics distributions to several types of income: Elvis Oltean and Fedor V. Kusmartsev
2016: A study of Methods from Statistical Mechanics applied to income distribution: Elvis Oltean and Fedor Kusmartsev
2016: One-level limit order book models with memory and variable spread: Jonathan A. Ch\'avez-Casillas and Jos\'e E. Figueroa-L\'opez
2016: Change of numeraire in the two-marginals martingale transport problem: Luciano Campi, Ismail Laachir and Claude Martini
2016: On the stationarity of Dynamic Conditional Correlation models: Jean-David Fermanian and Hassan Malongo
2016: Graphical potential games: Yakov Babichenko and Omer Tamuz
2016: Polynomial Term Structure Models: Si Cheng and Michael R. Tehranchi
2016: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures: Worapree Maneesoonthorn, Catherine Forbes and Gael Martin
2016: Learning from the past, predicting the statistics for the future, learning an evolving system: Daniel Levin, Terry Lyons and Hao Ni
2016: Post-Selection Inference for Generalized Linear Models with Many Controls: Alexandre Belloni, Victor Chernozhukov and Ying Wei
2016: Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities: Paul M. N. Feehan and Camelia A. Pop
2016: The topology of card transaction money flows: Massimiliano Zanin, David Papo, Miguel Romance, Regino Criado and Santiago Moral
2016: Fairs for e-commerce: the benefits of aggregating buyers and sellers: Pierluigi Gallo, Francesco Randazzo and Ignazio Gallo
2016: A Rank-Based Approach to Zipf's Law: Ricardo Fernholz and Robert Fernholz
2016: Microscopic models for the study of taxpayer audit effects: M. L. Bertotti and G. Modanese
2016: No such thing as a risk-neutral market: D. L. Wilcox
2016: Spatio-temporal analysis of micro economic activities in Rome reveals patterns of mixed-use urban evolution: Alessandro Fiasconaro, Emanuele Strano, Vincenzo Nicosia, Sergio Porta and Vito Latora
2016: Order Book, Financial Markets and Self-Organized Criticality: Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda
2016: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles: Vladimir Filimonov, Guilherme Demos and Didier Sornette
2016: The role of volume in order book dynamics: a multivariate Hawkes process analysis: Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo
2016: The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation: Yuval Rabani and Leonard J. Schulman
2016: Contagion in the world's stock exchanges seen as a set of coupled oscillators: Lucia Bellenzier, J{\o}rgen Vitting Andersen and Giulia Rotundo
2016: Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble: Alberto Bicci
2016: Credit risk and companies' inter-organizational networks: Assessing impact of suppliers and buyers on CDS spreads: Tore Opsahl and William Newton
2016: Solar energy production: Short-term forecasting and risk management: C\'edric Join, Michel Fliess, Cyril Voyant and Fr\'ed\'eric Chaxel
2016: Household Income Distribution in the USA: Costas Efthimiou and Adam Wearne
2016: Modeling Stock Price Dynamics with Fuzzy Opinion Networks: Li-Xin Wang
2016: Accrual valuation and mark to market adjustment: Alexey Bakshaev
2016: Blunt Honesty, Incentives, and Knowledge Exchange: Bruce Knuteson
2016: Density analysis of non-Markovian BSDEs and applications to biology and finance: Thibaut Mastrolia
2016: On the Profitability of Optimal Mean Reversion Trading Strategies: Peng Huang and Tianxiang Wang
2016: Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution: Stavros Stavroyiannis
2016: Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling: Ying Jiao, Chunhua Ma and Simone Scotti
2016: Robust Financial Bubbles: Francesca Biagini and Jacopo Mancin
2016: Studies on Regional Wealth Inequalities: the case of Italy: Marcel Ausloos and Roy Cerqueti
2016: Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models: Vikram Krishnamurthy, Elisabeth Leoff and J\"orn Sass
2016: Dynamic portfolio selection without risk-free assets: Chi Kin Lam, Yuhong Xu and Guosheng Yin
2016: A pathwise approach to continuous-time trading: Candia Riga
2016: Bayesian Dividend Optimization and Finite Time Ruin Probabilities: Gunther Leobacher, Michaela Sz\"olgyenyi and Stefan Thonhauser
2016: Dividend maximization in a hidden Markov switching model: Michaela Sz\"olgyenyi
2016: Mediation with near insolvent defaulting suppliers: a linear optimisation model to find an optimal outcome: Eric Lavallee
2016: Market Dynamics. On Supply and Demand Concepts: Vladislav Malyshkin
2016: Local Volatility Models in Commodity Markets and Online Calibration: Vinicius Albani, Uri M. Ascher and Jorge P. Zubelli
2016: Path probability of stochastic motion: A functional approach: Masayuki Hattori and Sumiyoshi Abe
2016: On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estonia: Stephanie Rend\'on de la Torre, Jaan Kalda, Robert Kitt and J\"uri Engelbrecht
2016: Modelling intensities of order flows in a limit order book: Ioane Muni Toke and Nakahiro Yoshida
2016: Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects: Sebastian Poledna, Olaf Bochmann and Stefan Thurner
2016: Pricing options on forwards in energy markets: the role of mean reversion's speed: Maren Diane Schmeck
2016: A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico: Semei Coronado and Omar Rojas
2016: The square-root impact law also holds for option markets: Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
2016: Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations: Fred Espen Benth and Heidar Eyjolfsson
2016: Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact: Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
2016: Issues with the Smith-Wilson method: Andreas Lager{\aa}s and Mathias Lindholm
2016: Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices: Emre Kahraman and Gazanfer \"Unal
2016: On the parameter identifiability problem in Agent Based economical models: Di Molfetta Giuseppe
2016: A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality: Lingqi Gu, Yiqing Lin and Junjian Yang
2016: Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications: Dariusz Zawisza
2016: Tail Risk Premia for Long-Term Equity Investors: Johannes Rauch and Carol Alexander
2016: How to improve accuracy for DFA technique: Alessandro Stringhi and Silvia Figini
2016: Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes: Adil Yilmaz and Gazanfer Unal
2016: Critical value of the total debt in view of the debts durations: I. A. Molotkov and N. A. Ryabova
2016: On construction of boundary preserving numerical schemes: Nikolaos Halidias
2016: Dependence of technological improvement on artifact interactions: Subarna Basnet and Christopher L. Magee
2016: Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences: Ravi Kashyap
2016: Unified Growth Theory Contradicted by the Economic Growth in Europe: Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in the Former USSR: Ron W Nielsen
2016: Unified Growth Theory Contradicted by the Economic Growth in Asia: Ron W Nielsen
2016: Deep Learning Stock Volatility with Google Domestic Trends: Ruoxuan Xiong, Eric P. Nichols and Yuan Shen
2016: Unified Growth Theory Contradicted by the Economic Growth in Africa: Ron W Nielsen
2016: A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge: Takanori Adachi
2016: Inequality measures in kinetic exchange models of wealth distributions: Asim Ghosh, Arnab Chatterjee, Jun-ichi Inoue and Bikas K. Chakrabarti
2016: Game Design and Analysis for Price based Demand Response: An Aggregate Game Approach: Maojiao Ye and Guoqiang Hu
2016: Modelling complex systems of heterogeneous agents to better design sustainability transitions policy: Jean-Francois Mercure, Hector Pollitt, A. M. Bassi, J. E Vi\~nuales and N. R. Edwards
2016: Business cycle synchronization within the European Union: A wavelet cohesion approach: Luboš Hanus and Lukas Vacha
2016: Optimal Investment to Minimize the Probability of Drawdown: Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young
2016: Time-consistency of risk measures with GARCH volatilities and their estimation: Claudia Kl\"uppelberg and Jianing Zhang
2016: Leveraging the network: a stress-test framework based on DebtRank: Stefano Battiston, Marco D'Errico, Stefano Gurciullo and Guido Caldarelli
2016: Arbitrage, hedging and utility maximization using semi-static trading strategies with American options: Erhan Bayraktar and Zhou Zhou
2016: Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix: Patrick Steffen Michelberger and Jan Hendrik Witte
2016: Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming: Erhan Bayraktar, David Promislow and Virginia Young
2016: Hydrodynamic limit of order book dynamics: Xuefeng Gao and S. J. Deng
2016: Indifference pricing for Contingent Claims: Large Deviations Effects: Scott Robertson and Konstantinos Spiliopoulos
2016: Mean-Reversion and Optimization: Zura Kakushadze
2016: Utility indifference pricing and hedging for structured contracts in energy markets: Giorgia Callegaro, Luciano Campi, Valeria Giusto and Tiziano Vargiolu
2016: Gambling in contests with random initial law: Han Feng and David Hobson
2016: Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia: Carol Alexander and Johannes Rauch
2016: Parameter estimation for the subcritical Heston model based on discrete time observations: Matyas Barczy, Gyula Pap and Tamas T. Szabo
2016: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax: Sebastian Poledna and Stefan Thurner
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks: Li-Xin Wang
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models: Li-Xin Wang
2016: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models: Li-Xin Wang
2016: Investor's sentiment in multi-agent model of the continuous double auction: A. Lykov, S. Muzychka and K. Vaninsky
2016: The Topology of African Exports: emerging patterns on spanning trees: Tanya Ara\'ujo and M. Ennes Ferreira
2016: Bunching of numbers in a non-ideal roulette: the key to winning strategies: A. V. Kavokin, A. S. Sheremet and M. Yu. Petrov
2016: Trading Strategy with Stochastic Volatility in a Limit Order Book Market: Wai-Ki Ching, Jia-Wen Gu, Tak Kuen Siu and Qing-Qing Yang
2016: Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling: Lev B. Klebanov, Greg Temnov and Ashot V. Kakosyan
2016: Market correlation structure changes around the Great Crash: Rui-Qi Han, Wen-Jie Xie, Xiong Xiong, Wei Zhang and Wei-Xing Zhou
2016: CoCos under short-term uncertainty: Jos\'e Manuel Corcuera and Arturo Valdivia
2016: A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect: Christopher L. Magee and Tessaleno C. Devezas
2016: Exact solutions for optimal execution of portfolios transactions and the Riccati equation: Juan M. Romero and Jorge Bautista
2016: The ecology of social interactions in online and offline environments: Angelo Antoci, Alexia Delfino, Fabio Paglieri and Fabio Sabatini
2016: Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I: Michael Dittmar
2016: Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles: Maximilian Seyrich and Didier Sornette
2016: Portfolio Optimization in the Stochastic Portfolio Theory Framework: Vassilios Papathanakos
2016: Trading-profit attribution for the size factor: Vassilios Papathanakos
2016: Sufficiency on the Stock Market: Peter Harremo\"es
2016: Robust Optimal Risk Sharing and Risk Premia in Expanding Pools: Thomas Knispel, Roger Laeven and Gregor Svindland
2016: Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data: Jonas Hallgren and Timo Koski
2016: Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums: Likuan Qin, Vadim Linetsky and Yutian Nie
2016: Explicit moments of decision times for single- and double-threshold drift-diffusion processes: Vaibhav Srivastava, Philip Holmes and Patrick Simen
2016: RiskRank: Measuring interconnected risk: J\'ozsef Mezei and Peter Sarlin
2016: On "A General Framework for Pricing Asian Options Under Markov Processes": Zhenyu Cui, Chihoon Lee and Yanchu Liu
2016: Portfolio Optimisation Under Flexible Dynamic Dependence Modelling: Mauro Bernardi and Leopoldo Catania
2016: Econo- and socio- physics based remarks on the economical growth of the World: Rzoska Agata Angelika
2016: General Equilibrium and Recession Phenomenon: Nicholas S. Gonchar, Wolodymyr H. Kozyrski and Anatol S. Zhokhin
2016: The Excess Returns of "Quality" Stocks: A Behavioral Anomaly: Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier, Guillaume Simon and David Thesmar
2016: On bivariate lifetime modelling in life insurance applications: Fran\c{c}ois Dufresne, Enkelejd Hashorva, Gildas Ratovomirija and Youssouf Toukourou
2016: Negative oil price bubble is likely to burst in March - May 2016. A forecast on the basis of the law of log-periodical dynamics: Alexey Fomin, Andrey Korotayev and Julia Zinkina
2016: Speculative Futures Trading under Mean Reversion: Tim Leung, Jiao Li, Xin Li and Zheng Wang
2016: A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks: M. Fern\'andez-Mart\'inez, M. A S\'anchez-Granero, Mar\'ia Jos\'e Mu\~noz Torrecillas and Bill McKelvey
2016: A Statistical Model of Inequality: Ricardo Fernholz
2016: Do Mature Economies Grow Exponentially?: Steffen Lange, Peter P\"utz and Thomas Kopp
2016: Inter-occurrence times and universal laws in finance, earthquakes and genomes: Constantino Tsallis
2016: Generalization of Doob decomposition Theorem: Nicholas Gonchar
2016: Convex duality for stochastic differential utility: Anis Matoussi and Hao Xing
2016: Large losses - probability minimizing approach: Micha{\l} Barski
2016: Quantile hedging on markets with proportional transaction costs: Micha{\l} Barski
2016: On a law of large numbers for insurance risks: Yumiharu Nakano
2016: International Trade: a Reinforced Urn Network Model: Stefano Peluso, Antonietta Mira, Pietro Muliere and Alessandro Lomi
2016: Credit risk: Taking fluctuating asset correlations into account: Thilo A. Schmitt, Rudi Sch\"afer and Thomas Guhr
2016: The invisible hand and the rational agent are behind bubbles and crashes: Serge Galam
2016: Quantifying invariant features of within-group inequality in consumption across groups: Anindya S. Chakrabarti, Arnab Chatterjee, Tushar Nandi, Asim Ghosh and Anirban Chakraborti
2016: Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector: Jaydip Sen and Tamal Datta Chaudhuri
2016: Negative interest rates: why and how?: Jozef Kiselak, Philipp Hermann and Milan Stehlik
2016: Computing semiparametric bounds on the expected payments of insurance instruments via column generation: Robert Howley, Robert Storer, Juan Vera and Luis F. Zuluaga
2016: Irreversibility of financial time series: a graph-theoretical approach: Lucas Lacasa and Ryan Flanagan
2016: Brownian Bridges on Random Intervals: Matteo Ludovico Bedini, Rainer Buckdahn and Hans-J\"urgen Engelbert
2016: Teaching Economics and Providing Visual "Big Pictures": Seyyed Ali Zeytoon Nejad Moosavian
2016: A Semi-Markovian Modeling of Limit Order Markets: Anatoliy Swishchuk and Nelson Vadori
2016: Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton: Gurjeet Dhesi and Marcel Ausloos
2016: Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation: Sergii Kuchuk-Iatsenko and Yuliya Mishura
2016: Pricing barrier options with discrete dividends: D. Jason Gibson and Aaron Wingo
2016: Long memory and multifractality: A joint test: John Goddard and Enrico Onali
2016: Multistage Portfolio Optimization: A Duality Result in Conic Market Models: Robert Bassett and Khoa Le
2016: Essay on the State of Research and Innovation in France and the European Union: Antoine Kornprobst
2016: No Stable Distributions in Finance, please!: Lev B Klebanov
2016: Black-Litterman model with intuitionistic fuzzy posterior return: Krzysztof Echaust and Krzysztof Piasecki
2016: Time and Frequency Structure of Causal Correlation Network in China Bond Market: Zhongxing Wang, Yan Yan and Xiaosong Chen
2016: Long-run evolution of the global economy - Part 2: Hindcasts of innovation and growth: Timothy J. Garrett
2016: On a Generalization of Markowitz Preference Relation: Valentin Vankov Iliev
2016: My Reflections on the First Man vs. Machine No-Limit Texas Hold 'em Competition: Sam Ganzfried
2016: Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure: Florian Ziel
2016: A BSDE arising in an exponential utility maximization problem in a pure jump market model: Carla Mereu and Robert Stelzer
2016: Bermudan options by simulation: L. C. G. Rogers
2016: Heterotic Risk Models: Zura Kakushadze
2016: Identification of Insurance Models with Multidimensional Screening: Gaurab Aryal, Isabelle Perrigne and Quang Vuong
2016: Bifurcation patterns of market regime transition: Sergey Kamenshchikov
2016: Record statistics for random walk bridges: Claude Godreche, Satya N. Majumdar and Gregory Schehr
2016: Switching-GAS Copula Models With Application to Systemic Risk: Mauro Bernardi and Leopoldo Catania
2016: Local risk-minimization for Barndorff-Nielsen and Shephard models: Takuji Arai, Yuto Imai and Ryoichi Suzuki
2016: Monetary Policy and Dark Corners in a stylized Agent-Based Model: Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
2016: Solving finite time horizon Dynkin games by optimal switching: Randall Martyr
2016: Conditional Preference Orders and their Numerical Representations: Samuel Drapeau and Asgar Jamneshan
2016: Near-optimal estimation of jump activity in semimartingales: Adam D. Bull
2016: On Correlated Defaults and Incomplete Information: Wai-Ki Ching, Jia-Wen Gu and Harry Zheng
2016: Default contagion risks in Russian interbank market: A. V. Leonidov and Evgeny Rumyantsev
2016: Risk-sensitive investment in a finite-factor model: Grzegorz Andruszkiewicz, Mark H. A. Davis and Sebastien Lleo
2016: Bregman superquantiles. Estimation methods and applications: Tatiana Labopin-Richard, Fabrice Gamboa, Aur\'elien Garivier and Bertrand Iooss
2016: Simultaneous Trading in 'Lit' and Dark Pools: M. Alessandra Crisafi and Andrea Macrina
2016: Tails of weakly dependent random vectors: Peter Tankov
2016: Tail behavior of sums and differences of log-normal random variables: Archil Gulisashvili and Peter Tankov
2016: Energy, entropy, and arbitrage: Soumik Pal and Ting-Kam Leonard Wong
2016: Pricing and Valuation under the Real-World Measure: Gabriel Frahm
2016: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan: Akihiko Noda
2016: C^{1,1} regularity for degenerate elliptic obstacle problems: Panagiota Daskalopoulos and Paul M. N. Feehan
2016: The maximum maximum of a martingale with given $n$ marginals: Pierre Henry-Labord\`ere, Jan Ob{\l}\'oj, Peter Spoida and Nizar Touzi
2016: Integral representations of risk functions for basket derivatives: Micha{\l} Barski
2016: Quantile hedging for basket derivatives: Micha{\l} Barski
2016: On incompleteness of bond markets with infinite number of random factors: Micha{\l} Barski, Jacek Jakubowski and Jerzy Zabczyk

Papers

Papers sorted by date

Papers sorted by date