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Papers / arXiv.org


0.38

Impact Factor

0.36

5-Years IF

42

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.13000 (%)0.07
19940.14000 (%)0.07
19950.18000 (%)0.11
19960.230100 (%)0.1
19970.22151560.42250042 (18.7%)40.270.09
19980.530.240.534459120.224115815844 (18.3%)20.050.13
19990.080.30.0853112130.1243859559570 (16%)60.110.16
20000.290.380.3774186700.38451972811241103 (22.8%)80.110.14
20010.370.370.4972831300.465541274718675138 (24.9%)180.190.17
20020.280.370.261123951260.326891714828374143 (20.8%)230.210.18
20030.280.390.271075021490.33532095938010263 (17.8%)60.060.19
20040.210.420.281506522020.3173621946443124165 (22.4%)140.090.18
20050.20.430.271898412450.2955625751540145156 (28.1%)150.080.21
20060.230.450.2724510863290.345733978655179136 (29.8%)100.040.19
20070.190.380.2428613723800.2893243481803193204 (21.9%)270.090.17
20080.180.390.2230116734900.2979053196977218220 (27.8%)190.060.17
20090.20.370.2134220155340.277885871171171250233 (29.6%)320.090.18
20100.210.340.248324986240.258296431361363279277 (33.4%)310.060.15
20110.220.410.2451830169780.329228251811657395297 (32.2%)910.180.2
20120.220.460.25587360310360.2991410012191930488345 (37.7%)620.110.21
20130.250.490.26702430513480.31103611052742231573492 (47.5%)1070.150.21
20140.320.550.3797510217490.3481312894132632795337 (41.5%)1170.150.26
20150.330.580.33834593621030.35625149949130871006339 (54.2%)1270.150.27
20160.380.70.361094703027510.39366163161534381252206 (56.3%)1790.160.4
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

Full description at Econpapers || Download paper

281
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

237
31999Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305.

Full description at Econpapers || Download paper

128
42008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0803.2773.

Full description at Econpapers || Download paper

122
51999The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369.

Full description at Econpapers || Download paper

103
61999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

Full description at Econpapers || Download paper

101
72009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

100
81999Scaling of the distribution of price fluctuations of individual companies. (1999). Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; Meyer, M. ; L. A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9907161.

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97
92009Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518.

Full description at Econpapers || Download paper

83
101998Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100.

Full description at Econpapers || Download paper

82
112011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang . In: Papers. RePEc:arx:papers:1103.2577.

Full description at Econpapers || Download paper

80
122010Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1005.0877.

Full description at Econpapers || Download paper

80
132000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

Full description at Econpapers || Download paper

80
141998Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374.

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80
152004The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233.

Full description at Econpapers || Download paper

77
162004The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0311053.

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76
172012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1201.4776.

Full description at Econpapers || Download paper

75
182010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

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75
192004Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300.

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72
202005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter . In: Papers. RePEc:arx:papers:math/0508448.

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71
212004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0312703.

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69
222000Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113.

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69
231997Scaling behavior in economics: I. Empirical results for company growth. (1997). Salinger, Michael ; Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082.

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64
242005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

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63
252001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520.

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60
262011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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59
272000Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454.

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58
282001Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544.

Full description at Econpapers || Download paper

58
292003Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012.

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57
302013Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929.

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57
312004Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051.

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56
322006A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108.

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54
332015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008.

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50
342002Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558.

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50
352003Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543.

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49
362011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555.

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48
37Quantifying Stock Price Response to Demand Fluctuations. (2001). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0106657.

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48
382000Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256.

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47
392000Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120.

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45
401997Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148.

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44
412014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921.

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42
422007Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251.

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42
431997Scaling in stock market data: stable laws and beyond. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama . In: Papers. RePEc:arx:papers:cond-mat/9705087.

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41
442008Consistent price systems and face-lifting pricing under transaction costs. (2008). Mikl'os R'asonyi, ; Schachermayer, Walter ; Guasoni, Paolo . In: Papers. RePEc:arx:papers:0803.4416.

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40
452009Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202.

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39
462007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

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39
472005The Growth of Business Firms: Theoretical Framework and Empirical Evidence. (2005). Riccaboni, Massimo ; Pammolli, Fabio ; Fu, Dongfeng ; Buldyrev, S. V. ; Yamasaki, Kazuko ; Matia, Kaushik ; Stanley, H. E.. In: Papers. RePEc:arx:papers:physics/0512005.

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38
482009The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0908.1089.

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37
492001Agent-based simulation of a financial market. (2001). Raberto, Marco ; Marchesi, Michele ; Cincotti, Silvano ; FOCARDI, SERGIO M.. In: Papers. RePEc:arx:papers:cond-mat/0103600.

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37
502007Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874.

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36

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

Full description at Econpapers || Download paper

118
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

63
32008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0803.2773.

Full description at Econpapers || Download paper

59
42013Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929.

Full description at Econpapers || Download paper

49
52015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008.

Full description at Econpapers || Download paper

47
62010Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1005.0877.

Full description at Econpapers || Download paper

47
72011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang . In: Papers. RePEc:arx:papers:1103.2577.

Full description at Econpapers || Download paper

44
82012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1201.4776.

Full description at Econpapers || Download paper

42
92009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

42
102014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921.

Full description at Econpapers || Download paper

38
112010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

Full description at Econpapers || Download paper

34
122011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

Full description at Econpapers || Download paper

33
132014Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002.

Full description at Econpapers || Download paper

30
142004Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300.

Full description at Econpapers || Download paper

30
152005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter . In: Papers. RePEc:arx:papers:math/0508448.

Full description at Econpapers || Download paper

29
162009Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518.

Full description at Econpapers || Download paper

29
171999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

Full description at Econpapers || Download paper

26
182015Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435.

Full description at Econpapers || Download paper

25
192011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555.

Full description at Econpapers || Download paper

23
201999Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305.

Full description at Econpapers || Download paper

23
212001Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544.

Full description at Econpapers || Download paper

22
222005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

Full description at Econpapers || Download paper

21
232000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

Full description at Econpapers || Download paper

21
242006A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108.

Full description at Econpapers || Download paper

21
252010Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego . In: Papers. RePEc:arx:papers:0908.1879.

Full description at Econpapers || Download paper

20
262012Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; Baruník, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1201.1535.

Full description at Econpapers || Download paper

19
272007Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251.

Full description at Econpapers || Download paper

19
282007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

Full description at Econpapers || Download paper

19
292012Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: Papers. RePEc:arx:papers:1106.0123.

Full description at Econpapers || Download paper

19
302012Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez . In: Papers. RePEc:arx:papers:1106.3279.

Full description at Econpapers || Download paper

19
312013A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (2013). Acciaio, Beatrice ; Schachermayer, Walter ; Beiglbock, Mathias ; Penkner, Friedrich . In: Papers. RePEc:arx:papers:1301.5568.

Full description at Econpapers || Download paper

19
322009Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202.

Full description at Econpapers || Download paper

19
332004The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233.

Full description at Econpapers || Download paper

18
341999The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369.

Full description at Econpapers || Download paper

18
352013Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1208.6486.

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18
362003Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012.

Full description at Econpapers || Download paper

18
372013Homogenization and asymptotics for small transaction costs. (2013). Soner, Mete H. ; Touzi, Nizar . In: Papers. RePEc:arx:papers:1202.6131.

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18
382013Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes. (2013). Veraart, Almut ; Almut E. D. Veraart, ; Barndorff-Nielsen, Ole E. ; Benth, Fred Espen . In: Papers. RePEc:arx:papers:1307.6332.

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17
392013Critical reflexivity in financial markets: a Hawkes process analysis. (2013). Bouchaud, Jean-Philippe ; Hardiman, Stephen J. ; Bercot, Nicolas . In: Papers. RePEc:arx:papers:1302.1405.

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17
402014Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D.. In: Papers. RePEc:arx:papers:1404.0243.

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17
412015The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Seraf'in Mart'inez-Jaramillo, ; Jos'e Luis Molina-Borboa, ; Poledna, Sebastian . In: Papers. RePEc:arx:papers:1505.04276.

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16
422014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. (2014). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1307.3060.

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16
432012Quantifying reflexivity in financial markets: towards a prediction of flash crashes. (2012). Sornette, Didier ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1201.3572.

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16
442013Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation. (2013). Stanley, Eugene H. ; Huang, Xuqing ; Havlin, Shlomo ; Vodenska, Irena . In: Papers. RePEc:arx:papers:1210.4973.

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16
452011Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices. (2011). Podobnik, Boris ; Stanley, Eugene H. ; Wang, Duan ; Davor Horvati'c, . In: Papers. RePEc:arx:papers:1102.2240.

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15
462014Leverage-induced systemic risk under Basle II and other credit risk policies. (2014). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan ; Poledna, Sebastian . In: Papers. RePEc:arx:papers:1301.6114.

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15
472013Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Papers. RePEc:arx:papers:1012.0349.

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15
482004Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051.

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15
492012Identifying States of a Financial Market. (2012). Francois Leyvraz Thomas H. Seligman, ; Guhr, Thomas ; Shimada, Takashi ; Schafer, Rudi ; Munnix, Michael C. ; Stanley, H. E.. In: Papers. RePEc:arx:papers:1202.1623.

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15
501998Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374.

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15

Citing documents used to compute impact factor 615:


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2016Utility indifference valuation for non-smooth payoffs with an application to power derivatives. (2016). Benedetti, Giuseppe ; Campi, Luciano . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63016.

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2016Tightness and duality of martingale transport on the Skorokhod space. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1507.01125.

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2016Hedging with Temporary Price Impact. (2016). Bank, Peter ; Voss, Moritz ; Soner, Mete . In: Papers. RePEc:arx:papers:1510.03223.

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2016A Primer on Portfolio Choice with Small Transaction Costs. (2016). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1612.01302.

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2016Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1.

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2016Superreplication when trading at market indifference prices. (2016). Gokay, Selim ; Bank, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:153-182.

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2016Superreplication when trading at market indifference prices. (2016). Bank, Peter ; Gokay, Selim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0278-7.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016Extremes for coherent risk measures. (2016). Asimit, Alexandru V ; Li, Jinzhu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:332-341.

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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Rosnan, Chotard ; Marie, Kratz ; Michel, Dacorogna . In: ESSEC Working Papers. RePEc:ebg:essewp:dr-16018.

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2016Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander ; Lok, Yen . In: Working Papers. RePEc:hal:wpaper:hal-01424279.

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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Chotard, Rosnan ; Kratz, Marie ; Dacorogna, Michel . In: Working Papers. RePEc:hal:wpaper:hal-01424285.

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2016A pair of optimal reinsurance–investment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:284-294.

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2016The predictive power of Japanese candlestick charting in Chinese stock market. (2016). Chen, Shi ; Bao, SI ; Zhou, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:457:y:2016:i:c:p:148-165.

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2016Trading strategy based on dynamic mode decomposition: Tested in Chinese stock market. (2016). Cui, Ling-Xiao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:498-508.

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2016Message from an Italian bottleneck: inter-industry relationships and efficiency spillover. (2016). Sallusti, Federico ; Costa, Stefano . In: Working Papers LuissLab. RePEc:lui:lleewp:16128.

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2016The Consumption-Investment Decision of a Prospect Theory Household. (2016). Tsigaris, Panagiotis ; Hlouskova, Jaroslava ; Fortin, Ines . In: Economics Series. RePEc:ihs:ihsesp:322.

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2016Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments. (2016). Yu, Xiang . In: Papers. RePEc:arx:papers:1408.1382.

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2016Modeling Financial Networks: a feedback approach. (2016). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre . In: Working Papers Series. RePEc:bcb:wpaper:438.

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2016Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Wili, Mateusz ; Smaga, Pawel . In: Papers. RePEc:arx:papers:1603.05142.

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2016DebtRank Analysis of Financial Distress Propagation on a Production Network in Japan. (2016). Yoshi, FUJIWARA ; Wataru, SOUMA ; Yuji, FUJITA ; Masaaki, Terai . In: Discussion papers. RePEc:eti:dpaper:16046.

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2016Why Do Vulnerability Cycles Matter in Financial Networks?. (2016). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Working Papers Series. RePEc:bcb:wpaper:442.

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2016Complexity and the Economics of Climate Change : a survey and look forward.. (2016). Roventini, Andrea ; Mandel, Antoine ; Lamperti, Francesco ; Balint, T ; Author-Workplace, Sapio A ; School, Skema Businees . In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1623.

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2016Complexity and the Economics of Climate Change: a Survey and a Look Forward. (2016). Roventini, Andrea ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, Sandro ; Balint, Tomas ; Napoletano, Mauro . In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/5qr7f0k4sk8rbq4do5u6v70rm0.

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2016Rethinking Financial Contagion. (2016). Visentin, Gabriele ; D'Errico, Marco ; Battiston, Stefano . In: Papers. RePEc:arx:papers:1608.07831.

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2016Complexity and the Economics of Climate Change: a Survey and a Look Forward. (2016). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Balint, Tomas ; Sapio, Alessandro ; Lamperti, Francesco . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16058.

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2016What do central counterparties default funds really cover? A network-based stress test answer. (2016). Sabatini, Silvia ; Poce, Giulia ; Zaccaria, Andrea ; Gabrielli, Andrea ; Cimini, Giulio ; Rizzo, Mariangela ; Polito, Marco ; Baldacci, Giuditta . In: Papers. RePEc:arx:papers:1611.03782.

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2016Complexity and the Economics of Climate Change: a Survey and a Look Forward. (2016). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Balint, Tomas ; Lamperti, Francesco ; Sapio, Alessandro . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01390694.

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2016Decomposition of Systemic Risk Drivers in Evolving Financial Networks. (2016). Barroso, João ; Stancato, Sergio Rubens ; Silva, Thiago Christiano ; Ribeiro, Joo Barata . In: Working Papers Series. RePEc:bcb:wpaper:448.

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2016Affine realizations with affine state processes for stochastic partial differential equations. (2016). Tappe, Stefan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:7:p:2062-2091.

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2016Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits. (2016). Kluppelberg, Claudia ; Seifert, Miriam Isabel . In: Papers. RePEc:arx:papers:1612.07132.

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2016Asymptotic Analysis for Optimal Dividends in a Dual Risk Model. (2016). Fahim, Arash ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1601.03435.

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2016Multifractal detrended cross-correlation analysis of genome sequences using chaos-game representation. (2016). Rao, Madhusudana P ; Kiran, Satya V ; Pal, Mayukha ; Manimaran, P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:288-293.

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2016Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis. (2016). Wang, Fang ; Yang, Zhaohui . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:954-962.

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2016An analysis of the intrinsic cross-correlations between API and meteorological elements using DPCCA. (2016). Shen, Chen-Hua ; Li, Cao-Ling . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:446:y:2016:i:c:p:100-109.

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2016Cross-correlations between price and volume in Chinese gold markets. (2016). Ruan, Qingsong ; Ma, Guofeng ; Jiang, Wei . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:10-22.

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2016A comparative study of two-dimensional multifractal detrended fluctuation analysis and two-dimensional multifractal detrended moving average algorithm to estimate the multifractal spectrum. (2016). , Caiping ; Zhao, Huichang ; Xiong, Gang ; Zhang, Shunning . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:454:y:2016:i:c:p:34-50.

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2016Statistical analysis of digital images of periodic fibrous structures using generalized Hurst exponent distributions. (2016). Blachowicz, Tomasz ; Domino, Krzysztof ; Ehrmann, Andrea . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:452:y:2016:i:c:p:167-177.

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2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal). (2016). da Silva, Marcus Fernandes ; Zebende, Gilney Figueira ; Vivas, Jose Garcia ; Nunes, Arleys Pereira ; de Area, Eder Johnson . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:1-8.

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2016How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index. (2016). Gu, Rongbao ; Shao, Yanmin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:150-161.

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2016Cross-correlations between Baltic Dry Index and crude oil prices. (2016). Ruan, Qingsong ; Qin, Jing ; Lu, Xinsheng ; Wang, Yao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:278-289.

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2016The influence of trading volume on market efficiency: The DCCA approach. (2016). Hengpunya, Varagorn ; Sukpitak, Jessada . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:259-265.

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2016A generalized voter model with time-decaying memory on a multilayer network. (2016). Zhong, Chen-Yang ; Chen, Rong-Da ; Qiu, Tian ; Wang, Li-Liang ; Shi, Yong-Dong ; Xu, Wen-Juan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:95-105.

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2016Does the Euro crisis change the cross-correlation pattern between bank shares and national indexes?. (2016). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:320-329.

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2016Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets. (2016). Li, Sai-Ping ; Tu, Jing-Qing ; Wang, Dong-Hua ; Jia, Rui-Lin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:464:y:2016:i:c:p:83-92.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016Robust Utility Maximization with L\evy Processes. (2016). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1502.05920.

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2016Robust Utility Maximization in Discrete-Time Markets with Friction. (2016). Neufeld, Ariel ; Sikic, Mario . In: Papers. RePEc:arx:papers:1610.09230.

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2016Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy. (2016). Fernandez Bariviera, Aurelio ; Zunino, Luciano ; Rosso, Osvaldo A ; Martinez, Lisana B ; Guercio, Belen M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:1-9.

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2016LIBOR troubles: Anomalous movements detection based on maximum entropy. (2016). Fernandez Bariviera, Aurelio ; Plastino, Angelo ; Martin, Maria T ; Vampa, Victoria . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:401-407.

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2016The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. (2016). Fernandez Bariviera, Aurelio ; Terceno, Antonio ; Guercio, Belen M ; Martinez, Lisana B. In: Papers. RePEc:arx:papers:1605.06700.

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2016On the Robust Optimal Stopping Problem. (2016). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1301.0091.

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2016Optimal Stopping with Random Maturity under Nonlinear Expectations. (2016). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1505.07533.

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2016On the Robust Dynkin Game. (2016). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1506.09184.

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2016Minimizing the probability of lifetime drawdown under constant consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:210-223.

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2016Pointwise dual representation of dynamic convex expectations. (2016). Bartl, Daniel . In: Papers. RePEc:arx:papers:1612.09103.

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2016Foster–Hart optimal portfolios. (2016). Anand, Abhinav ; Kurosaki, Tetsuo ; Li, Tiantian ; Kim, Young Shin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:117-130.

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2016Is momentum trading profitable from Shariah compliant stocks?. (2016). , Mamunurrashid ; Ee, Mong Shan ; Li, Bob ; Rashid, Mamunur . In: Review of Financial Economics. RePEc:eee:revfin:v:31:y:2016:i:c:p:56-63.

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2016Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2016). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor . In: Papers. RePEc:arx:papers:1602.08297.

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2016Replica approach to mean-variance portfolio optimization. (2016). Kondor, Imre ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1606.08679.

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2016On the difference between locally risk-minimizing and delta hedging strategies for exponential L\evy models. (2016). Arai, Takuji ; Imai, Yuto . In: Papers. RePEc:arx:papers:1610.09085.

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2016Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2016). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2016Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2016). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap . In: Papers. RePEc:arx:papers:1610.09292.

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2016Foreign exchange rate entropy evolution during financial crises. (2016). Stosic, Tatijana ; Ludermir, Teresa ; de Oliveira, Wilson . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:233-239.

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2016Portfolio optimization near horizon. (2016). Nasralah, Hussein ; Kumar, Rohini . In: Papers. RePEc:arx:papers:1611.09300.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016Optimal Skorokhod embedding under finitely-many marginal constraints. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1506.04063.

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2016Constrained Optimal Transport. (2016). Soner, Mete H ; Ekren, Ibrahim . In: Papers. RePEc:arx:papers:1610.02940.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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2016Change of numeraire in the two-marginals martingale transport problem. (2016). Laachir, Ismail ; Campi, Luciano ; Martini, Claude . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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2016Controlling public debt without forgetting Inflation. (2016). Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:564.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Podobnik, B ; Havlin, S ; Kononovicius, A ; Stanley, H E ; Gontis, V. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102.

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2016Trajectory based models. Evaluation of minmax pricing bounds. (2016). Degano, Ivan ; Gonzalez, Alfredo ; Ferrando, Sebastian . In: Papers. RePEc:arx:papers:1511.01207.

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2016Pathwise super-replication via Vovks outer measure. (2016). Alexander M. G. Cox, ; Perkowski, Nicolas ; Beiglbock, Mathias ; Huesmann, Martin ; Promel, David J.. In: Papers. RePEc:arx:papers:1504.03644.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin . In: Papers. RePEc:arx:papers:1510.01890.

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2016Pathwise no-arbitrage in a class of Delta hedging strategies. (2016). Schied, Alexander ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1511.00026.

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2016Generalization of Doob decomposition Theorem. (2016). Gonchar, Nicholas . In: Papers. RePEc:arx:papers:1601.03574.

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2016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50.

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2016Model-independent superhedging under portfolio constraints. (2016). Huang, Yu-Jui ; Fahim, Arash . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:51-81.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:83-98.

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2016On the value of being American. (2016). Hobson, David ; Neuberger, Anthony . In: Papers. RePEc:arx:papers:1604.02269.

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2016More on hedging American options under model uncertainty. (2016). Hobson, David ; Neuberger, Anthony . In: Papers. RePEc:arx:papers:1604.02274.

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2016No-arbitrage and hedging with liquid American options. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1605.01327.

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2016Robust framework for quantifying the value of information in pricing and hedging. (2016). Aksamit, Anna ; Obl, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1605.02539.

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2016Hedging with Small Uncertainty Aversion. (2016). Herrmann, Sebastian ; Seifried, Frank Thomas ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1605.06429.

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2016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x.

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2016Model-independent superhedging under portfolio constraints. (2016). Fahim, Arash ; Huang, Yu-Jui . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0284-9.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0286-7.

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2016The space of outcomes of semi-static trading strategies need not be closed. (2016). Larsson, Martin ; Acciaio, Beatrice ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1606.00631.

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2016Who would invest only in the risk-free asset?. (2016). Azevedo, Nuno ; Yannacopoulos, Athanasios ; Xanthopoulos, Stylianos ; Pinheiro, Diogo . In: Papers. RePEc:arx:papers:1608.02446.

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2016Bounds for VIX Futures given S&P 500 Smiles. (2016). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832.

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2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834.

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2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3.

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2016Exponential utility maximization under model uncertainty for unbounded endowments. (2016). Bartl, Daniel . In: Papers. RePEc:arx:papers:1610.00999.

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2016Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518.

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2016Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets. (2016). Gonchar, N S. In: Papers. RePEc:arx:papers:1611.09062.

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2016Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1612.07618.

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2016Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2016). Pennanen, Teemu ; Perkkio, Ari-Pekka . In: Papers. RePEc:arx:papers:1603.02867.

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2016Quantile Hedging in a Semi-Static Market with Model Uncertainty. (2016). Bayraktar, Erhan ; Wang, Gu. In: Papers. RePEc:arx:papers:1408.4848.

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2016Immediate price impact of a stock and its warrant: Power-law or logarithmic model?. (2016). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xu, Hai-Chuan . In: Papers. RePEc:arx:papers:1611.04091.

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2016Moral hazard under ambiguity. (2016). Mastrolia, Thibaut ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1511.03616.

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2016Contracting theory with competitive interacting agents. (2016). Elie, Romuald ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1605.08099.

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2016The Futures Premium and Rice Market Efficiency in Prewar Japan. (2016). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.5381.

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2016Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230.

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2016Minimizing lifetime poverty with a penalty for bankruptcy. (2016). Cohen, Asaf ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:156-167.

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2016Survey on Log-Normally Distributed Market-Technical Trend Data. (2016). Brenner, Ren ; Maier-Paape, Stanislaus . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:20-:d:73301.

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2016Nonparametric estimation of risk measures of collective risks. (2016). Alexandra, Lauer ; Henryk, Zahle . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:89-102:n:3.

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2016Non-concave optimal investment and no-arbitrage: a measure theoretical approach. (2016). Blanchard, Romain ; Carassus, Laurence . In: Papers. RePEc:arx:papers:1602.06685.

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2016The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates. (2016). Biagini, Francesca ; Hartel, Maximilian ; Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1507.00208.

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2016Detecting early signs of the 2007-2008 crisis in the world trade. (2016). Di Clemente, Riccardo ; Squartini, Tiziano ; Gabrielli, Andrea ; Saracco, Fabio . In: Papers. RePEc:arx:papers:1508.03533.

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2016Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1602.02735.

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2016Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1604.07556.

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2016A stochastic Stefan-type problem under first order boundary conditions. (2016). Mueller, Marvin S. In: Papers. RePEc:arx:papers:1601.03968.

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2016Price impact without order book: A study of the OTC credit index market. (2016). Eisler, Zoltan ; Bouchaud, Jean-Philippe . In: Papers. RePEc:arx:papers:1609.04620.

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2016Identification of Insurance Models with Multidimensional Screening. (2016). Aryal, Gaurab ; Vuong, Quang ; Perrigne, Isabelle . In: Papers. RePEc:arx:papers:1508.02919.

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2016Optimality of hybrid continuous and periodic barrier strategies in the dual model. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1612.02444.

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2016Exponentially concave functions and high dimensional stochastic portfolio theory. (2016). Pal, Soumik . In: Papers. RePEc:arx:papers:1603.01865.

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2016Trading Strategies Generated by Lyapunov Functions. (2016). Karatzas, Ioannis ; Ruf, Johannes . In: Papers. RePEc:arx:papers:1603.08245.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016On the Linkage between the International Crude Oil Price and Stock Markets: Evidence from the Nordic and Other European Oil Importing and Oil Exporting Countries. (2016). Bein, murad ; Aga, Mehmet . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:4:p:115-134.

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2016Term Structure of Uncertainty in the Macroeconomy. (2016). Hansen, Lars ; Borovička, Jaroslav. In: NBER Working Papers. RePEc:nbr:nberwo:22364.

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2016Empirical evidence on legal levers aimed at addressing child maltreatment. (2016). Eldred, Lindsey M ; Gifford, Elizabeth J. In: Children and Youth Services Review. RePEc:eee:cysrev:v:60:y:2016:i:c:p:11-19.

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2016Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions. (2016). Fujii, Masaaki ; Takahashi, Akihiko . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1016.

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2016Counterparty risk and funding: immersion and beyond. (2016). Crepey, Stephane ; Song, Shiqi . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0305-3.

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2016A continuous and efficient fundamental price on the discrete order book grid. (2016). Lillo, Fabrizio ; Bonart, Julius . In: Papers. RePEc:arx:papers:1608.00756.

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2016Anomalous volatility scaling in high frequency financial data. (2016). Nava, Noemi ; di Matteo, T ; Aste, Tomaso . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:447:y:2016:i:c:p:434-445.

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2016Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone. (2016). Anagnostidis, P ; Emmanouilides, C J ; Varsakelis, C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:447:y:2016:i:c:p:116-128.

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2016On clustering financial time series: a need for distances between dependent random variables. (2016). Marti, Gautier ; Andler, S'Ebastien ; Donnat, Philippe ; Nielsen, Frank . In: Papers. RePEc:arx:papers:1603.07822.

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2016Static vs adapted optimal execution strategies in two benchmark trading models. (2016). Piat, Clement ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1609.05523.

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2016Rough paths in idealized financial markets. (2016). Vovk, Vladimir . In: Papers. RePEc:arx:papers:1005.0279.

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2016Systemic Risk Management in Financial Networks with Credit Default Swaps. (2016). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian . In: Papers. RePEc:arx:papers:1601.02156.

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2016Fiscal austerity in ambiguous times. (2016). Karantounias, Anastasios ; Ferriere, Axelle. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2016-06.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Scotti, Simone ; Jiao, Ying ; Ma, Chunhua . In: Papers. RePEc:arx:papers:1602.05541.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Working Papers. RePEc:hal:wpaper:hal-01275397.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1609.02108.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

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2016On construction of boundary preserving numerical schemes. (2016). Halidias, Nikolaos . In: Papers. RePEc:arx:papers:1601.07864.

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2016Multidimensional Similarities at a Global Scale: An Approach to Mapping Open Society Orientations. (2016). Buscema, Massimo ; Ferilli, Guido ; Sacco, Pier Luigi . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:128:y:2016:i:3:d:10.1007_s11205-015-1077-4.

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2016Critical value of the total debt in view of the debts durations. (2016). Molotkov, I A ; Ryabova, N A. In: Papers. RePEc:arx:papers:1601.07900.

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2016A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico. (2016). Rojas, Omar ; Coronado, Semei . In: Papers. RePEc:arx:papers:1602.03271.

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2016Quantitative empirical trends in technical performance. (2016). Magee, C L ; Benson, C L ; Funk, J L ; Basnet, S. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:104:y:2016:i:c:p:237-246.

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2016Utility maximization problem with random endowment and transaction costs: when wealth may become negative. (2016). Lin, Yiqing ; Yang, Junjian . In: Papers. RePEc:arx:papers:1604.08224.

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2016Optimal consumption and investment under transaction costs. (2016). Zhu, Yeqi ; Lex, A ; Alex, ; Hobson, David . In: Papers. RePEc:arx:papers:1612.00720.

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2016A multi-asset investment and consumption problem with transaction costs. (2016). Alex, ; Hobson, David ; Zhu, Yeqi . In: Papers. RePEc:arx:papers:1612.01327.

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2016The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2016). Barucca, Paolo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1511.08068.

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2016Stochastic Portfolio Theory: A Machine Learning Perspective. (2016). Samo, Yves-Laurent Kom ; Vervuurt, Alexander . In: Papers. RePEc:arx:papers:1605.02654.

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2016Model-free portfolio theory and its functional master formula. (2016). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325.

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2016Numerical analysis of an extended structural default model with mutual liabilities and jump risk. (2016). Lipton, Alexander ; Kaushansky, Vadim ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1701.00030.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1601.04210.

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2016On the Profitability of Optimal Mean Reversion Trading Strategies. (2016). Wang, Tianxiang ; Huang, Peng . In: Papers. RePEc:arx:papers:1602.05858.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945.

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2016ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS. (2016). Jaimungal, Sebastian ; Cartea, Alvaro . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:p:1650038-01-1650038-18.

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2016Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics. (2016). Leung, Tim ; Wang, Zheng . In: Papers. RePEc:arx:papers:1610.08143.

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2016Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies. (2016). Leung, Tim ; Kang, Jamie . In: Papers. RePEc:arx:papers:1611.03110.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Li, Jiao ; Wang, Zheng . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:4:d:10.1007_s10690-016-9215-9.

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2016Nash equilibria of threshold type for two-player nonzero-sum games of stopping. (2016). de Angelis, Tiziano ; Moriarty, John ; Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:563.

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2016A reduced-form model for level-1 limit order books. (2016). Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1508.07891.

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2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

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2016The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter . In: Papers. RePEc:arx:papers:1604.01824.

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2016A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

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2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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2016Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383.

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2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Pelizzon, Loriana ; Schneider, Michael ; Lillo, Fabrizio . In: SAFE Working Paper Series. RePEc:zbw:safewp:151.

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2016Modelling order arrivals at price limits using Hawkes processes. (2016). Haghighi, Afshin ; Eyvazlu, Reza ; Fallahpour, Saeid . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:267-272.

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2016MVA Transfer Pricing. (2016). Lou, Wujiang . In: Papers. RePEc:arx:papers:1512.07337.

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2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2016). Kruse, T ; Popier, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2554-2592.

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2016Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2016). Graewe, Paulwin ; Horst, Ulrich . In: Papers. RePEc:arx:papers:1611.03435.

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2016Multivariate models for dependent clusters of variables with conditional independence given aggregation variables. (2016). Joe, Harry ; Sang, Peijun . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:97:y:2016:i:c:p:114-132.

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2016What drives the energy saving role of FDI and industrialization in East Africa?. (2016). ADOM, PHILIP ; Amuakwa-Mensah, Franklin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:65:y:2016:i:c:p:925-942.

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2016A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions. (2016). Liu, Xin ; Kulkarni, Vidyadhar G ; Gong, QI. In: Papers. RePEc:arx:papers:1511.04096.

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2016Optimal execution of ASR contracts with fixed notional. (2016). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1410.1481.

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2016Trading Strategy with Stochastic Volatility in a Limit Order Book Market. (2016). Siu, Tak Kuen ; Yang, Qing-Qing ; Ching, Wai-Ki ; Gu, Jia-Wen . In: Papers. RePEc:arx:papers:1602.00358.

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2016On Origins of Bubbles. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1610.03769.

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2016Density analysis of non-Markovian BSDEs and applications to biology and finance. (2016). Mastrolia, Thibaut . In: Papers. RePEc:arx:papers:1602.06101.

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2016Out of control: Fluctuation of cascading dynamics in networks. (2016). Wang, Jianwei ; Cai, Lin ; Xu, BO ; Zhu, Zhiguo ; Sun, Enhui ; Li, Peng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1231-1243.

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2016Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model. (2016). Grbac, Zorana ; Runggaldier, Wolfgang J ; Meneghello, Laura . In: Papers. RePEc:arx:papers:1512.03259.

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2016Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework. (2016). Lou, Wujiang . In: Papers. RePEc:arx:papers:1604.05406.

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2016Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models. (2016). Weron, Rafał ; Ziel, Florian . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1608.

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2016Electricity price forecasting using sale and purchase curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:435-454.

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2016Deep Learning for Limit Order Books. (2016). . In: Papers. RePEc:arx:papers:1601.01987.

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2016The Mythology of Capital in the Twenty-First Century. (2016). Veetil, Vipin P. In: Journal of Private Enterprise. RePEc:jpe:journl:1247.

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2016Too dynamic to fail: empirical support for an autocatalytic model of Minsky’s financial instability hypothesis. (2016). Kelman, Guy ; Lamieri, Marco ; Ussher, Leanne ; Bree, David S ; Golo, Nataa ; Solomon, Sorin . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:11:y:2016:i:2:d:10.1007_s11403-015-0163-7.

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2016Conditional Analysis and a Principal-Agent problem. (2016). Horst, Ulrich ; Backhoff, Julio . In: Papers. RePEc:arx:papers:1412.4698.

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2016Measuring and Analyzing the Shares of Economic Growth Sources in the Mining Sector of Iran: A Neoclassical Growth Accounting Approach. (2016). Zeytoon Nejad Moosavian, Seyyed Ali ; Mahmoudzadeh, Mahmood . In: Papers. RePEc:arx:papers:1612.00833.

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2016The Sources of Economic Growth in Iran’s Economy. (2016). Khadimee, Mehrdad . In: Journal of Economics Library. RePEc:ksp:journ5:v:3:y:2016:i:4:p:621-631.

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2016When should a winner take all, or pay some? Innovation and imitation incentives in a dynamic duopoly. (2016). Ruble, Richard ; Billette de Villemeur, Etienne ; Versaevel, Bruno . In: MPRA Paper. RePEc:pra:mprapa:75465.

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2016Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1087-1123.

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2016The Jacobi Stochastic Volatility Model. (2016). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07099.

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2016The Jacobi Stochastic Volatility Model. (2016). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir . In: Working Papers. RePEc:hal:wpaper:hal-01338330.

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2016On the dual problem of utility maximization in incomplete markets. (2016). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1019-1035.

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2016How Brexit affects European Union power distribution. (2016). Kóczy, László. In: Working Paper Series. RePEc:pkk:wpaper:1601.

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2016How Brexit affects European Union power distribution. (2016). . In: IEHAS Discussion Papers. RePEc:has:discpr:1611.

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2016Internal migration and EU regional policy transfer payments: A panel data analysis for the EU-28 member countries. (2016). Schmidt, Peter. In: ERSA conference papers. RePEc:wiw:wiwrsa:ersa16p172.

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2016Short-Term Liquidity Contagion in the Interbank Market. (2016). Martínez, Constanza ; Martinez, Constanza ; Leon, C E ; Cepeda, Freddy . In: Discussion Paper. RePEc:tiu:tiucen:c49d4eff-9bfd-4a01-af6f-7af97ef07584.

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2016Multiplex interbank networks and systemic importance: an application to European data. (2016). Aldasoro, Iñaki ; Alves, Ivan . In: Working Paper Series. RePEc:ecb:ecbwps:20161962.

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2016CONTAGION IN HETEROGENEOUS FINANCIAL NETWORKS. (2016). Guan, Yuanying ; Pollak, Micah . In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:19:y:2016:i:01n02:p:1650001-01-1650001-25.

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2016Multiplex interbank networks and systemic importance – An application to European data. (2016). Aldasoro, Iaki ; Alves, Ivan . In: ESRB Working Paper Series. RePEc:srk:srkwps:201620.

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2016Time-consistency of risk measures with GARCH volatilities and their estimation. (2016). Claudia, Kluppelberg ; Jianing, Zhang . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:103-124:n:2.

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2016Law invariant risk measures and information divergences. (2016). Lacker, Daniel . In: Papers. RePEc:arx:papers:1510.07030.

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2016Dating the financial cycle with uncertainty estimates: a wavelet proposition. (2016). Ardila, Diego ; Sornette, Didier . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:298-304.

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2016The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123.

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2016Weakly chained matrices, policy iteration, and impulse control. (2016). Azimzadeh, Parsiad ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1510.03928.

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2016A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1606.07831.

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2016A neural network approach to efficient valuation of large portfolios of variable annuities. (2016). Jackson, Kenneth R ; Hejazi, Seyed Amir . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:169-181.

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2016On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. (2016). Cong, F ; Oosterlee, C W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:178-193.

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2016Generalized Recovery. (2016). Pedersen, Lasse ; Lando, David ; Jensen, Christian Skov . In: 2016 Meeting Papers. RePEc:red:sed016:935.

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2016Model-free Superhedging Duality. (2016). Burzoni, Matteo ; Maggis, Marco ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1506.06608.

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2016Arbitrage and Hedging in model-independent markets with frictions. (2016). Burzoni, Matteo . In: Papers. RePEc:arx:papers:1512.01488.

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2016Studies on Regional Wealth Inequalities: the case of Italy. (2016). Cerqueti, Roy ; ausloos, marcel. In: Papers. RePEc:arx:papers:1602.05356.

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2016Dual representations for systemic risk measures. (2016). Rudloff, Birgit ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1607.03430.

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2016Systemic risk measures on general measurable spaces. (2016). Kromer, E ; Zilch, K ; Overbeck, L. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0545-1.

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2016Long Term Risk: A Martingale Approach. (2016). Qin, Likuan ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1411.3078.

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2016Analyzing volatility risk and risk premium in option contracts: A new theory. (2016). Carr, Peter ; Wu, Liuren . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:1-20.

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2016Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach. (2016). Leung, Tim ; Park, Hyungbin . In: Papers. RePEc:arx:papers:1612.01013.

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2016Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. (2016). Liang, Gechun ; Zariphopoulou, Thaleia . In: Papers. RePEc:arx:papers:1511.04863.

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2016Long-range Ising model for credit portfolios with heterogeneous credit exposures. (2016). Kato, Kensuke . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1103-1119.

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2016Everything you always wanted to know about bitcoin modelling but were afraid to ask. (2016). Fantazzini, Dean ; Sukhanovskaya, Vera ; Ivliev, Sergey ; Nigmatullin, Erik . In: MPRA Paper. RePEc:pra:mprapa:71946.

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2016Bank distress in the news: Describing events through deep learning. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Papers. RePEc:arx:papers:1603.05670.

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2016Environmental and market determinants of economic orientation among rain forest communities: Evidence from a large-scale survey in western Amazonia. (2016). Takasaki, Yoshito ; Abizaid, Christian ; Coomes, Oliver T ; Arroyo-Mora, Pablo J. In: Ecological Economics. RePEc:eee:ecolec:v:129:y:2016:i:c:p:260-271.

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2016Limit order trading with a mean reverting reference price. (2016). Ahuja, Saran ; Ren, Weiluo ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1607.00454.

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2016Evaluating measures of adverse financial conditions. (2016). Oet, Mikhail V ; Sarlin, Peter ; Gramlich, Dieter . In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:234-249.

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2016Optimal dividend payments for a two-dimensional insurance risk process. (2016). Azcue, Pablo ; Palmowski, Zbigniew ; Muler, Nora . In: Papers. RePEc:arx:papers:1603.07019.

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2016Time-Inconsistent Stochastic Linear-quadratic Differential Game. (2016). Zong, Gaofeng . In: Papers. RePEc:arx:papers:1607.00638.

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2016Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123.

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2016The Impact of Countries’ Roles on the International Photovoltaic Trade Pattern: The Complex Networks Analysis. (2016). Guan, Qing ; Jia, Xiaoliang ; Hao, Xiaoqing . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:4:p:313-:d:66767.

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2016The Impact of Countries’ Roles on the International Photovoltaic Trade Pattern: The Complex Networks Analysis. (2016). Guan, Qing ; Jia, Xiaoliang ; Hao, Xiaoqing . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:4:p:313:d:66767.

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2016The shadow costs of repos and bank liability structure. (2016). Klimenko, Nataliya ; Moreno-Bromberg, Santiago . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:65:y:2016:i:c:p:1-29.

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2016Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry. (2016). Lasserre, Pierre ; ben Abdallah, Skander . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-37.

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2016Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry. (2016). Lasserre, Pierre ; ben Abdallah, Skander . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:144-164.

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2016Does the S&P500 index lead the crude oil dynamics? A complexity-based approach. (2016). Kyrtsou, Catherine ; Papana, Angeliki ; Mikropoulou, Christina . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:239-246.

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2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

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2016Bounds for randomly shared risk of heavy-tailed loss factors. (2016). Kluppelberg, Claudia ; Kley, Oliver . In: Papers. RePEc:arx:papers:1503.03726.

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2016Networks of volatility spillovers among stock markets. (2016). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard. In: KIER Working Papers. RePEc:kyo:wpaper:941.

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2016Time-varying causal network of the Korean financial system based on firm-specific risk premiums. (2016). Chang, Woojin ; Cho, Poongjin ; Song, Jae Wook ; Ko, Bonggyun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:287-302.

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2016Robust inference of risks of large portfolios. (2016). Fan, Jianqing ; Liu, Han ; Han, Fang ; Vickers, Byron . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:298-308.

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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian ; Tang, Haihan . In: CORE Discussion Papers. RePEc:cor:louvco:2016044.

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2016Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1502.06681.

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2016Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1604.04608.

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2016Integration with respect to model-free price paths with jumps. (2016). Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1511.08194.

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2016Clustering-based preconditioning for stochastic programs. (2016). Laird, Carl D ; Zavala, Victor M ; Cao, Yankai . In: Computational Optimization and Applications. RePEc:spr:coopap:v:64:y:2016:i:2:d:10.1007_s10589-015-9813-x.

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2016Stochastic Electricity Dispatch: A challenge for market design. (2016). Bjørndal, Endre Jostein ; Tomasgard, Asgeir ; Bjorndal, Mette ; Midthun, Kjetil . In: Discussion Papers. RePEc:hhs:nhhfms:2016_011.

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2016Congestion Management in a Stochastic Dispatch Model for Electricity Markets. (2016). Bjørndal, Endre Jostein ; Bjorndal, Mette ; Midthun, Kjetil ; Zakeri, Golbon . In: Discussion Papers. RePEc:hhs:nhhfms:2016_012.

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2016A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

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2016Directional multivariate extremes in environmental phenomena. (2016). Lillo, Rosa E ; Torres, Raul ; Laniado, Henry ; de Michele, Carlo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23419.

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2016Vorhersagen der Windgeschwindigkeit und Windenergie in Deutschland. (2016). Ambach, Daniel ; Garthoff, Robert . In: AStA Wirtschafts- und Sozialstatistisches Archiv. RePEc:spr:astaws:v:10:y:2016:i:1:d:10.1007_s11943-016-0177-1.

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2016Lasso estimation for GEFCom2014 probabilistic electric load forecasting. (2016). Ziel, Florian ; Liu, Bidong . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:1029-1037.

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2016Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model. (2016). Barczy, Matyas ; Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed . In: Papers. RePEc:arx:papers:1509.08869.

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2016Features and evolution of international fossil fuel trade network based on value of emergy. (2016). Zhong, Weiqiong ; Dong, DI ; Gao, Xiangyun ; Fang, Wei . In: Applied Energy. RePEc:eee:appene:v:165:y:2016:i:c:p:868-877.

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2016Network-based recommendation algorithms: A review. (2016). Zeng, AN ; Medo, Matu ; Gillard, Sebastien . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:452:y:2016:i:c:p:192-208.

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2016The mathematics of non-linear metrics for nested networks. (2016). Zhang, Yi-Cheng ; Mariani, Manuel Sebastian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:460:y:2016:i:c:p:254-269.

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2016The effect of heterogeneity on flocking behavior and systemic risk. (2016). Sun, Yiwei ; Fang, Fei ; Spiliopoulos, Konstantinos . In: Papers. RePEc:arx:papers:1607.08287.

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2016Technology ladders and R&D in dynamic Cournot markets. (2016). Ludkovski, Michael ; Sircar, Ronnie . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:127-151.

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2016The noisy voter model on complex networks. (2016). Carro, Adri'an ; San Miguel, Maxi ; Toral, Ra'ul . In: Papers. RePEc:arx:papers:1602.06935.

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2016Improving quality of sample entropy estimation for continuous distribution probability functions. (2016). Mikiewicz, Janusz . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:473-485.

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2016Women Farm Operators in the U.S. Meat Goat Production: Who is More Productive?. (2016). Gillespie, Jeffrey ; Qushim, Berdikul . In: 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas. RePEc:ags:saea16:230004.

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2016A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. (2016). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung . In: Papers. RePEc:arx:papers:1605.09484.

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2016Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios. (2016). Mailhot, Melina ; Mesfioui, Mhamed . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:33-:d:78760.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Friends and enemies: a model of signed network formation. (2016). Hiller, Timo . In: Theoretical Economics. RePEc:the:publsh:1937.

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2016Managing counterparty credit risk via BSDEs. (2016). Lesniewski, Andrew ; Richter, Anja . In: Papers. RePEc:arx:papers:1608.03237.

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2016Unified Growth Theory Contradicted by the Mathematical Analysis of the Historical Growth of Human Population. (2016). Nielsen, Ron W. In: Journal of Economics and Political Economy. RePEc:ksp:journ1:v:3:y:2016:i:2:p:242-263.

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2016Mathematical Analysis of Historical Income Per Capita Distributions. (2016). Nielsen, Ron W. In: Turkish Economic Review. RePEc:ksp:journ2:v:3:y:2016:i:2:p:300-319.

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2016The Unresolved Mystery of the Great Divergence is Solved. (2016). Nielsen, Ron W. In: Journal of Economic and Social Thought. RePEc:ksp:journ3:v:3:y:2016:i:2:p:196-219.

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2016Mathematical Analysis of Income Per Capita in the United Kingdom. (2016). Nielsen, Ron W. In: Turkish Economic Review. RePEc:ksp:journ2:v:3:y:2016:i:4:p:551-561.

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2016Scientifically Unacceptable Established Knowledge in Demography and in Economic Research. (2016). Nielsen, Ron W. In: Journal of Economics Library. RePEc:ksp:journ5:v:3:y:2016:i:3:p:429-457.

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2016Funding, Repo and Credit Inclusion in Option Pricing via Dividends. (2016). Brigo, Damiano ; Rutkowski, Marek ; BUESCU, CRISTIN . In: Papers. RePEc:arx:papers:1602.05998.

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2016Modelling complex systems of heterogeneous agents to better design sustainability transitions policy. (2016). Mercure, Jean-Francois ; J. -F. Mercure, ; Edwards, N. R. ; J. E Vi~nuales, ; Bassi, A. M. ; Pollitt, H.. In: Papers. RePEc:arx:papers:1506.07432.

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2016Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$. (2016). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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2016Resolute refinements of social choice correspondences. (2016). Gori, Michele ; Bubboloni, Daniela . In: Mathematical Social Sciences. RePEc:eee:matsoc:v:84:y:2016:i:c:p:37-49.

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2016Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation. (2016). Kuchuk-Iatsenko, Sergii ; Mishura, Yuliya . In: Papers. RePEc:arx:papers:1601.01128.

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2016Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility. (2016). Kuchuk-Iatsenko, S ; Munchak, Y ; Mishura, Y. In: Papers. RePEc:arx:papers:1608.00230.

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2016Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data. (2016). Chen, Shi ; Zhou, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:443:y:2016:i:c:p:117-127.

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2016Power-law cross-correlations estimation under heavy tails. (2016). Krištoufek, Ladislav ; Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1602.05385.

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2016Vehicle to Grid regulation services of electric delivery trucks: Economic and environmental benefit analysis. (2016). Zhao, Yang ; Tatari, Omer ; Noori, Mehdi . In: Applied Energy. RePEc:eee:appene:v:170:y:2016:i:c:p:161-175.

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2016The Topology of African Exports: emerging patterns on spanning trees. (2016). Araújo, Tanya ; Araujo, Tanya ; Ferreira, Ennes . In: Working Papers Department of Economics. RePEc:ise:isegwp:wp062016.

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2016The Topology of African Exports: emerging patterns on spanning trees. (2016). Ara, Tanya ; Ferreira, Ennes M. In: Papers. RePEc:arx:papers:1604.03522.

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2016The topology of African exports: Emerging patterns on spanning trees. (2016). Araujo, Tanya ; Ferreira, Manuel Ennes . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:962-976.

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2016Climate Change Policy under Spatial Heat Transport and Polar Amplification. (2016). Xepapadeas, Anastasios ; Brock, William. In: DEOS Working Papers. RePEc:aue:wpaper:1604.

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2016Spatial Heat Transport, Polar Amplification and Climate Change Policy. (2016). Xepapadeas, Anastasios ; Brock, William. In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232182.

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2016Climate Change Policy under Polar Amplification. (2016). Xepapadeas, Anastasios ; Brock, William. In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232717.

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2016Climate Change Policy under Polar Amplification. (2016). Xepapadeas, Anastasios ; Brock, William. In: Working Papers. RePEc:fem:femwpa:2016.19.

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2016Substitutability and the social cost of carbon in a solvable growth model with irreversible climate change. (2016). Quaas, Martin ; Brocker, Johannes . In: Economics Working Papers. RePEc:zbw:cauewp:201609.

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2016Climate Change Economics and Heat Transport across the Globe: Spatial-DSICE. (2016). Xepapadeas, Anastasios ; Cai, Yongyang ; Brock, William. In: 2017 Allied Social Science Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois. RePEc:ags:assa17:251833.

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2016No arbitrage of the first kind and local martingale numéraires. (2016). Кабанов, Юрий ; Song, Shiqi ; Kabanov, Yuri ; Kardaras, Constantinos . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0310-6.

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2016The complex dynamics of products and its asymptotic properties. (2016). Angelini, Orazio ; Pietronero, Luciano ; Zaccaria, Andrea ; Cristelli, Matthieu . In: Papers. RePEc:arx:papers:1610.00274.

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2016Robust Optimization of Credit Portfolios. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1603.08169.

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2016A general HJM framework for multiple yield curve modelling. (2016). Fontana, Claudio ; Gnoatto, Alessandro ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0291-5.

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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2016Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. (2016). ausloos, marcel ; Dekanski, Aleksandar ; Nedic, Olgica . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:197-203.

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2016Renewable energy technology acceptance in Peninsular Malaysia. (2016). Kardooni, Roozbeh ; Kari, Fatimah Binti ; Yusoff, Sumiani Binti . In: Energy Policy. RePEc:eee:enepol:v:88:y:2016:i:c:p:1-10.

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2016Optimization of assigning passengers to seats on airplanes based on their carry-on luggage. (2016). Milne, John R ; Salari, Mostafa . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:54:y:2016:i:c:p:104-110.

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2016Mathematical models describing the effects of different tax evasion behaviors. (2016). Bertotti, M L ; Modanese, G. In: Papers. RePEc:arx:papers:1701.02662.

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2016Optimality of two-parameter strategies in stochastic control. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1605.04995.

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2016Optimality of hybrid continuous and periodic barrier strategies in the dual model. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1612.02444.

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2016LSV models with stochastic interest rates and correlated jumps. (2016). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460.

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2016Efficient exposure computation by risk factor decomposition. (2016). , Cornelis ; Reisinger, Christoph ; KANDHAI, DRONA . In: Papers. RePEc:arx:papers:1608.01197.

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2016An adjoint method for the exact calibration of Stochastic Local Volatility models. (2016). Wyns, Maarten ; In, Karel . In: Papers. RePEc:arx:papers:1609.00232.

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2016Law invariant risk measures and information divergences. (2016). Lacker, Daniel . In: Papers. RePEc:arx:papers:1510.07030.

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2016A definition of qualitative robustness for general point estimators, and examples. (2016). Zahle, Henryk . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:143:y:2016:i:c:p:12-31.

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2016Risk measures with the CxLS property. (2016). Delbaen, Freddy ; Ziegel, Johanna F ; Bignozzi, Valeria ; Bellini, Fabio . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-015-0279-6.

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2016Nonparametric estimation of risk measures of collective risks. (2016). Alexandra, Lauer ; Henryk, Zahle . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:89-102:n:3.

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2016Bifurcation patterns of market regime transition. (2016). Kamenshchikov, Sergey . In: Papers. RePEc:arx:papers:1507.03141.

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2016Inequality measures in kinetic exchange models of wealth distributions. (2016). Ghosh, Asim ; Chakrabarti, Bikas K ; Inoue, Jun-Ichi ; Chatterjee, Arnab . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:465-474.

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2016Group-theoretic spectrum analysis of hexagonal city distributions in Southern Germany and Eastern USA. (2016). Takayama, Yuki ; Ikeda, Kiyohiro ; Kamei, Motohiro ; Murota, Kazuo . In: MPRA Paper. RePEc:pra:mprapa:74567.

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2016First results on applying a non-linear effect formalism to alliances between political parties and buy and sell dynamics. (2016). Haven, Emmanuel ; Bagarello, F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:403-414.

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2016Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. (2016). Liang, Gechun ; Zariphopoulou, Thaleia . In: Papers. RePEc:arx:papers:1511.04863.

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2016The impact of location and type on the performance of low-voltage network connected battery energy storage systems. (2016). Yunusov, Timur ; Potter, Ben ; Holderbaum, William ; Frame, Damien . In: Applied Energy. RePEc:eee:appene:v:165:y:2016:i:c:p:202-213.

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2016Microgrid and renewable generation integration: University of California, San Diego. (2016). Sreedharan, P ; Wang, J ; Woo, C K ; Cutter, E ; Farbes, J. In: Applied Energy. RePEc:eee:appene:v:169:y:2016:i:c:p:709-720.

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2016Optimum community energy storage system for demand load shifting. (2016). Gillott, Mark ; Parra, David ; Norman, Stuart A ; Walker, Gavin S. In: Applied Energy. RePEc:eee:appene:v:174:y:2016:i:c:p:130-143.

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2016Trading strategies for distribution company with stochastic distributed energy resources. (2016). Zhang, Chunyu ; Khodayar, Mohammad E ; Ostergaard, Jacob ; Korps, Magnus ; Wang, Jianhui . In: Applied Energy. RePEc:eee:appene:v:177:y:2016:i:c:p:625-635.

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2016Comparing demand response and battery storage to optimize self-consumption in PV systems. (2016). Santos, Carlos Augusto ; Lorenzi, Guido . In: Applied Energy. RePEc:eee:appene:v:180:y:2016:i:c:p:524-535.

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2016Economic evaluation of grid-connected micro-grid system with photovoltaic and energy storage under different investment and financing models. (2016). Wang, Lina ; Han, Xiaojuan ; Zhang, Hua ; YU, Xiaoling . In: Applied Energy. RePEc:eee:appene:v:184:y:2016:i:c:p:103-118.

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2016Modelling complex systems of heterogeneous agents to better design sustainability transitions policy. (2016). Mercure, Jean-Francois ; J. -F. Mercure, ; Edwards, N. R. ; J. E Vi~nuales, ; Bassi, A. M. ; Pollitt, H.. In: Papers. RePEc:arx:papers:1506.07432.

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2016Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. (2016). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1505.02416.

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2016The pricing of contingent claims and optimal positions in asymptotically complete markets. (2016). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott . In: Papers. RePEc:arx:papers:1509.06210.

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2016Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market. (2016). Aloud, Monira Essa . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-08.

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2016Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834.

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2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671.

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2016Clustering of Casablanca stock market based on hurst exponent estimates. (2016). Lahmiri, Salim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:310-318.

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2016Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy. (2016). Fernandez Bariviera, Aurelio ; Zunino, Luciano ; Rosso, Osvaldo A ; Martinez, Lisana B ; Guercio, Belen M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:1-9.

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2016The long memory and the transaction cost in financial markets. (2016). Men, Ming ; Li, Daye ; Nishimura, Yusaku . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:442:y:2016:i:c:p:312-320.

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2016Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China. (2016). Ma, Pengcheng ; Li, Shuo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:163-176.

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2016Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone. (2016). Anagnostidis, P ; Emmanouilides, C J ; Varsakelis, C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:447:y:2016:i:c:p:116-128.

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2016Dynamic Efficiency of Stock Markets and Exchange Rates. (2016). Tabak, Benjamin ; Sensoy, Ahmet ; Şensoy, Ahmet. In: Working Paper. RePEc:bor:wpaper:1632.

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2016Foreign exchange rate entropy evolution during financial crises. (2016). Stosic, Tatijana ; Ludermir, Teresa ; de Oliveira, Wilson . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:233-239.

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2016Gold, currencies and market efficiency. (2016). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Vosvrda, Miloslav ; Kristoufek, Ladislav . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:27-34.

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2016On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations. (2016). Auer, Benjamin R. In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:255-267.

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2016Corporate social responsibility disclosure and market valuation: evidence from Spanish listed firms. (2016). Reverte, Carmelo . In: Review of Managerial Science. RePEc:spr:rvmgts:v:10:y:2016:i:2:d:10.1007_s11846-014-0151-7.

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2016Efficiency of Thai stock markets: Detrended fluctuation analysis. (2016). Hengpunya, Varagorn ; Sukpitak, Jessada . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:204-209.

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2016The influence of trading volume on market efficiency: The DCCA approach. (2016). Hengpunya, Varagorn ; Sukpitak, Jessada . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:259-265.

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2016Dynamic efficiency of stock markets and exchange rates. (2016). Tabak, Benjamin ; Sensoy, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:353-371.

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2016Fractal Market Hypothesis: The Emergent Financial Markets Case. (2016). Barna, Flavia ; Paca, Lucian ; Dima, Bogdan . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:137-150.

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2016Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead. (2016). Roventini, Andrea ; Fagiolo, Giorgio. In: LEM Papers Series. RePEc:ssa:lemwps:2016/17.

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2016Macroeconomic policy in DGSE and agent based models redux : new developments and challenges ahead. (2016). Roventini, Andrea ; Fagiolo, Giorgio. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:16011.

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2016Macroeconomic Policy in DGSE and Agent-Based Models Redux: New Developments and Challenges Ahead. (2016). Roventini, Andrea ; Fagiolo, Giorgio. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f.

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2016Multiplex interbank networks and systemic importance: an application to European data. (2016). Aldasoro, Iñaki ; Alves, Ivan . In: Working Paper Series. RePEc:ecb:ecbwps:20161962.

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2016Multiplex interbank networks and systemic importance – An application to European data. (2016). Aldasoro, Iaki ; Alves, Ivan . In: ESRB Working Paper Series. RePEc:srk:srkwps:201620.

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2016On the emergence of scale-free production networks. (2016). Mandel, Antoine ; Gualdi, Stanislao . In: Papers. RePEc:arx:papers:1509.01483.

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2016On the Emergence of Scale-free Production Networks. (2016). Mandel, Antoine ; Gualdi, Stanislao . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01370207.

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2016On the emergence of scale-free production networks. (2016). Mandel, Antoine ; Gualdi, Stanislao . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01387547.

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2016On the emergence of scale-free production networks. (2016). Mandel, Antoine ; Gualdi, Stanislao . In: PSE - Labex OSE-Ouvrir la Science Economique. RePEc:hal:pseose:halshs-01387547.

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2016Emerging interdependence between stock values during financial crashes. (2016). Rocchi, Jacopo ; Saad, David ; Lok, Enoch Yan . In: Papers. RePEc:arx:papers:1611.02549.

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2016A Network Model of Multilaterally Equilibrium Exchange Rates. (2016). Kireyev, Alexei ; Leonidov, Andrei . In: IMF Working Papers. RePEc:imf:imfwpa:16/130.

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2016Optimal execution of ASR contracts with fixed notional. (2016). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1410.1481.

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2016A Structural Model for Electricity Forward Prices. (2016). Benth, Fred Espen ; Paraschiv, Florentina . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:11.

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2016Regular finite fuel stochastic control problems with exit time. (2016). Rokhlin, Dmitry B ; Mironenko, Georgii . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:1:d:10.1007_s00186-016-0536-2.

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2016On the Robust Dynkin Game. (2016). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1506.09184.

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2016Duality theory for portfolio optimisation under transaction costs. (2016). Czichowsky, Christoph ; Schachermayer, Walter . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63362.

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2016Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process. (2016). Maier-Paape, Stanislaus . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:27-:d:73452.

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2016Optimal investment and risk control for an insurer under inside information. (2016). Wang, Wenyuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:104-116.

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2016Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents. (2016). In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:45-67.

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2016Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications. (2016). Zawisza, Dariusz . In: Papers. RePEc:arx:papers:1602.00899.

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2016INVESTORS SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION. (2016). Vaninsky, Kirill ; Lykov, Alexander ; Muzychka, Stepan . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:p:1650040-01-1650040-29.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218.

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2016Reconstruction of Order Flows using Aggregated Data. (2016). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1604.02759.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y.

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2016Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift. (2016). Sass, Jorn ; Wunderlich, Ralf ; Westphal, Dorothee . In: Papers. RePEc:arx:papers:1601.08155.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin . In: Papers. RePEc:arx:papers:1510.01890.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:83-98.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0286-7.

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2016A Duality Result for Robust Optimization with Expectation Constraints. (2016). Miller, Christopher W. In: Papers. RePEc:arx:papers:1610.01227.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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2016A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152.

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2016Affine representations of fractional processes with applications in mathematical finance. (2016). Harms, Philipp . In: Papers. RePEc:arx:papers:1510.04061.

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2016Discretely sampled signals and the rough Hoff process. (2016). Lyons, Terry ; Hambly, Ben ; Flint, Guy . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2593-2614.

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2016The highly intelligent virtual agents for modeling financial markets. (2016). Huang, J P ; Yang, G ; Chen, Y. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:443:y:2016:i:c:p:98-108.

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2016Equilibrium pricing in an order book environment: Case study for a spin model. (2016). Meudt, Frederik ; Guhr, Thomas ; Schafer, Rudi ; Schmitt, Thilo A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:228-235.

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2016Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1.

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2016How to Combine a Billion Alphas. (2016). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1603.05937.

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2016State and group dynamics of world stock market by principal component analysis. (2016). Nobi, Ashadun ; Lee, Jae Woo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:85-94.

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2016Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach. (2016). Leung, Tim ; Park, Hyungbin . In: Papers. RePEc:arx:papers:1612.01013.

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2016WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES. (2016). Belak, Christoph ; Christensen, Soren ; Menkens, Olaf . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:02:p:1650009-01-1650009-36.

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2016A study of hierarchical structure on South China industrial electricity-consumption correlation. (2016). Lin, Ji-Nan ; Liu, Xiao-Feng ; Yao, Can-Zhong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:129-145.

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2016Time–frequency featured co-movement between the stock and prices of crude oil and gold. (2016). Gao, Xiangyun ; Huang, Xuan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:985-995.

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2016Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices. (2016). Kahraman, Emre ; Unal, Gazanfer . In: Papers. RePEc:arx:papers:1602.01960.

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2016The global interdependence among oil-equity nexuses. (2016). An, Haizhong ; Huang, Shupei ; Jia, Xiaoliang ; Wen, Shaobo ; Gao, Xiangyun . In: Energy. RePEc:eee:energy:v:107:y:2016:i:c:p:259-271.

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2016Unveiling heterogeneities of relations between the entire oil–stock interaction and its components across time scales. (2016). Huang, Shupei ; Hao, Xiaoqing ; Gao, Xiangyun . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:70-80.

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2016Credit Default Swaps as Indicators of Bank Financial Distress. (2016). cotter, john ; Avino, Davide ; Conlon, Thomas . In: Working Papers. RePEc:ucd:wpaper:201601.

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2016CEO political preference and corporate tax sheltering. (2016). Wu, Qiang ; HASAN, IFTEKHAR ; Francis, Bill B ; Sun, Xian . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:37-53.

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2016The missing assets and the size of Shadow Banking: an update. (2016). Fiaschi, Davide ; Volpati, Valerio ; Marsili, Matteo ; Kondor, Imre . In: Papers. RePEc:arx:papers:1611.02760.

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2016The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter . In: Papers. RePEc:arx:papers:1604.01824.

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2016Discrete time stochastic multi-player competitive games with affine payoffs. (2016). Rutkowski, Marek ; Guo, Ivan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:1:p:1-32.

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2016Optimal trading with online parameters revisions. (2016). Baradel, N ; Dang, Ngoc Minh ; Bouchard, B. In: Papers. RePEc:arx:papers:1604.06342.

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2016Mean Field Game of Controls and An Application To Trade Crowding. (2016). LEHALLE, Charles-Albert ; Cardaliaguet, Pierre . In: Papers. RePEc:arx:papers:1610.09904.

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2016LQG for portfolio optimization. (2016). Abeille, M ; Brokmann, X ; Lazaric, A ; Serie, E. In: Papers. RePEc:arx:papers:1611.00997.

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2016Optimal trading with online parameters revisions. (2016). Baradel, N ; Dang, Ngoc Minh ; Bouchard, B. In: Working Papers. RePEc:hal:wpaper:hal-01304019.

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2016Direct shrinkage estimation of large dimensional precision matrix. (2016). Parolya, Nestor ; Bodnar, Taras ; Gupta, Arjun K. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:146:y:2016:i:c:p:223-236.

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2016Exact and asymptotic tests on a factor model in low and large dimensions with applications. (2016). Bodnar, Taras ; Reiss, Markus . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:125-151.

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2016Tail asymptotics of generalized deflated risks with insurance applications. (2016). Peng, Zuoxiang ; Ling, Chengxiu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:220-231.

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2016Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information. (2016). Szolgyenyi, Michaela ; Shardin, Anton A. In: Papers. RePEc:arx:papers:1602.04662.

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2016Dividend maximization in a hidden Markov switching model. (2016). Szolgyenyi, Michaela . In: Papers. RePEc:arx:papers:1602.04656.

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2016OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION. (2016). Szolgyenyi, Michaela ; Shardin, Anton A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650026-01-1650026-27.

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2016A unified pricing of variable annuity guarantees under the optimal stochastic control framework. (2016). Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1605.00339.

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2016Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benfords Law. (2016). Cerqueti, Roy ; Castellano, Rosella ; ausloos, marcel. In: Papers. RePEc:arx:papers:1603.01103.

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2016The leading digit distribution of the worldwide illicit financial flows. (2016). Mir, T. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:50:y:2016:i:1:p:271-281.

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2016Benford’s law, its applicability and breakdown in the IR spectra of polymers. (2016). Bormashenko, YE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:524-529.

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2016Studies on Regional Wealth Inequalities: the case of Italy. (2016). Cerqueti, Roy ; ausloos, marcel. In: Papers. RePEc:arx:papers:1602.05356.

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2016The leading digit distribution of the worldwide illicit financial flows. (2016). Mir, T A. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:50:y:2016:i:1:d:10.1007_s11135-014-0147-z.

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2016An analysis of bibliometric indicators to JCR according to Benford’s law. (2016). Alves, Alexandre Donizeti ; Soma, Nei Yoshihiro ; Yanasse, Horacio Hideki . In: Scientometrics. RePEc:spr:scient:v:107:y:2016:i:3:d:10.1007_s11192-016-1908-3.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2016Revisiting the Benford law: When the Benford-like distribution of leading digits in sets of numerical data is expectable?. (2016). Ohtori, N. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:595-601.

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2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

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2016Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Figueroa-Lopez, Jose ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:219-265.

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2016Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0281-z.

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2016Forecasting Unemployment with Google Searches. (2016). Tuhkuri, Joonas. In: ETLA Working Papers. RePEc:rif:wpaper:35.

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2016Investigating the interplay between fundamentals of national research systems: Performance, investments and international collaborations. (2016). Cimini, Giulio ; Gabrielli, Andrea ; Zaccaria, Andrea . In: Journal of Informetrics. RePEc:eee:infome:v:10:y:2016:i:1:p:200-211.

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2016A case study for a new metrics for economic complexity: The Netherlands. (2016). Kupers, Roland ; Pietronero, Luciano ; Cristelli, Matthieu ; Zaccaria, Andrea . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:11:y:2016:i:1:d:10.1007_s11403-015-0145-9.

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2016The complex dynamics of products and its asymptotic properties. (2016). Angelini, Orazio ; Pietronero, Luciano ; Zaccaria, Andrea ; Cristelli, Matthieu . In: Papers. RePEc:arx:papers:1610.00274.

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2016Evaluating predictive count data distributions in retail sales forecasting. (2016). Kolassa, Stephan . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:788-803.

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2016Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783.

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2016Quasi-Centralized Limit Order Books. (2016). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A.. In: Papers. RePEc:arx:papers:1502.00680.

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2016Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk. (2016). Larsen, Paul . In: Papers. RePEc:arx:papers:1508.02824.

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2016On stability of operational risk estimates by LDA: From causes to approaches. (2016). Fabozzi, Frank J ; Zhou, Xiaoping ; Durfee, Antonina V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:266-278.

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2016Trade Costs and Income in European Regions. (2016). Fichet de Clairfontaine, Aurélien ; Hammer, Christoph . In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp220.

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2016Long-term social, economic and fiscal effects of immigration into the EU: The role of the integration policy. (2016). Lecca, Patrizio ; Kancs, d'Artis. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2016_08.

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2016RHOMOLO Model Manual: A Dynamic Spatial General Equilibrium Model for EU Regions and Sectors. (2016). Kancs, d'Artis ; Diukanova, Olga ; Di Comite, Francesco. In: JRC Working Papers. RePEc:ipt:iptwpa:jrc96776.

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2016Assessing the Social and Macroeconomic Impacts of the High-Skill Labour Market Integration: The European Qualifications Framework. (2016). Kancs, d'Artis ; Ciaian, Pavel ; Kielyte, Julda . In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2016_19.

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2016THE ECONOMIC IMPACT OF THE COHESION POLICY. (2016). , Carmen ; Marcu, Nicu . In: Revista Economica. RePEc:blg:reveco:v:68:y:2016:i:3:p:74-93.

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2016Modeling Stock Price Dynamics with Fuzzy Opinion Networks. (2016). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1602.06213.

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2016An Ising spin state explanation for financial asset allocation. (2016). Sinha, Amit ; Horvath, Philip A ; Roos, Kelly R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:445:y:2016:i:c:p:112-116.

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2016Linking market interaction intensity of 3D Ising type financial model with market volatility. (2016). Ke, Jinchuan ; Feng, Ling ; Wang, Jun ; Fang, Wen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:531-542.

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2016Breaking down the barriers between econophysics and financial economics. (2016). Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:256-266.

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2016Market ecologies: The effect of information on the interaction and profitability of technical trading strategies. (2016). Ladley, Daniel ; Jackson, Antony . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:270-280.

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2016Negative bubbles and shocks in cryptocurrency markets. (2016). Cheah, Eng-Tuck ; Fry, John . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:343-352.

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2016Arbitrage and Hedging in model-independent markets with frictions. (2016). Burzoni, Matteo . In: Papers. RePEc:arx:papers:1512.01488.

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2016Utility maximization problem with random endowment and transaction costs: when wealth may become negative. (2016). Lin, Yiqing ; Yang, Junjian . In: Papers. RePEc:arx:papers:1604.08224.

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2016Systemic risk measures on general measurable spaces. (2016). Kromer, E ; Zilch, K ; Overbeck, L. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0545-1.

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2016Capital Valuation Adjustment and Funding Valuation Adjustment. (2016). Albanese, Claudio ; Cr, St'Ephane ; Caenazzo, Simone . In: Papers. RePEc:arx:papers:1603.03012.

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2016Capital Valuation Adjustment and Funding Valuation Adjustment. (2016). Albanese, Claudio ; Crepey, Stephane ; Caenazzo, Simone . In: Working Papers. RePEc:hal:wpaper:hal-01285363.

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2016Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework. (2016). Lou, Wujiang . In: Papers. RePEc:arx:papers:1604.05406.

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2016Managing counterparty credit risk via BSDEs. (2016). Lesniewski, Andrew ; Richter, Anja . In: Papers. RePEc:arx:papers:1608.03237.

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2016XVA at the Exercise Boundary. (2016). Kenyon, Chris ; Green, Andrew . In: Papers. RePEc:arx:papers:1610.00256.

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2016The topology of card transaction money flows. (2016). Zanin, Massimiliano ; Moral, Santiago ; Criado, Regino ; Romance, Miguel ; Papo, David . In: Papers. RePEc:arx:papers:1605.04938.

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2016The topology of card transaction money flows. (2016). Moral, Santiago ; Papo, David ; Zanin, Massimiliano ; Criado, Regino ; Romance, Miguel . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:134-140.

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2016A formulation of computational trust based on quantum decision theory. (2016). ASHTIANI, MEHRDAD ; AZGOMI, MOHAMMAD ABDOLLAHI . In: Information Systems Frontiers. RePEc:spr:infosf:v:18:y:2016:i:4:d:10.1007_s10796-015-9555-4.

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2016Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. (2016). Boreiko, D V ; Ch, G ; Kaniovski, Y M. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:24:y:2016:i:4:d:10.1007_s10100-015-0415-6.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1609.02108.

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2016Optimal consumption and investment under transaction costs. (2016). Zhu, Yeqi ; Lex, A ; Alex, ; Hobson, David . In: Papers. RePEc:arx:papers:1612.00720.

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2016An Equivalence Result on the Reduction of Games with Unawareness. (2016). Sasaki, Yasuo . In: International Game Theory Review (IGTR). RePEc:wsi:igtrxx:v:18:y:2016:i:03:p:1650009-01-1650009-27.

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2016Robust Utility Maximization with L\evy Processes. (2016). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1502.05920.

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2016Ambiguïté, comportements et marchés financiers. (2016). Jeleva, Meglena . In: Post-Print. RePEc:hal:journl:halshs-01109639.

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2016Robust Utility Maximization in Discrete-Time Markets with Friction. (2016). Neufeld, Ariel ; Sikic, Mario . In: Papers. RePEc:arx:papers:1610.09230.

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2016Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients. (2016). Zhang, Jianfeng ; Keller, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:3:p:735-766.

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2016A generalized voter model with time-decaying memory on a multilayer network. (2016). Zhong, Chen-Yang ; Chen, Rong-Da ; Qiu, Tian ; Wang, Li-Liang ; Shi, Yong-Dong ; Xu, Wen-Juan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:95-105.

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2016Revisiting asymmetric price transmission in the U.S. oil-gasoline markets: A multiple threshold error-correction analysis. (2016). Qin, Xiao ; Wu, Chongfeng ; Zhou, Chunyang . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:583-591.

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2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal). (2016). da Silva, Marcus Fernandes ; Zebende, Gilney Figueira ; Vivas, Jose Garcia ; Nunes, Arleys Pereira ; de Area, Eder Johnson . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:1-8.

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2016Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX. (2016). Li, Daye ; Men, Ming ; Nishimura, Yusaku . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:167-178.

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2016Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets. (2016). Lau, Chi Keung ; Gözgör, Giray ; Bilgin, Mehmet ; Gozgor, Giray ; Marco, Chi Keung . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:35-45.

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2016Intrinsic risk measures. (2016). Farkas, W ; Smirnow, A. In: Papers. RePEc:arx:papers:1610.08782.

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2016Importance sampling and statistical Romberg method for Lévy processes. (2016). ben Alaya, Mohamed ; Kebaier, Ahmed ; Hajji, Kaouther . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:7:p:1901-1931.

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2016Option Pricing under Heston Stochastic Volatility Model using Discontinuous Galerkin Finite Elements. (2016). Kozpinar, Sinem ; Karasozen, Bulent ; Okur, Yeliz Yolcu ; Uzunca, Murat . In: Papers. RePEc:arx:papers:1606.08381.

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2016A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance. (2016). Radi, Davide ; Ballestra, Luca Vincenzo ; Pacelli, Graziella . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:330-344.

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2016Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids. (2016). During, Bertram ; Heuer, Christof . In: Papers. RePEc:arx:papers:1611.00316.

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2016Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. (2016). Miles, James ; During, Bertram ; Hendricks, Christian . In: Papers. RePEc:arx:papers:1611.01379.

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2016Constrained incremental bundle method with partial inexact oracle for nonsmooth convex semi-infinite programming problems. (2016). Pang, Li-Ping ; Wang, Jin-He ; Lv, Jian . In: Computational Optimization and Applications. RePEc:spr:coopap:v:64:y:2016:i:2:d:10.1007_s10589-015-9810-0.

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2016Robust unit commitment with $$n-1$$ n - 1 security criteria. (2016). Pozo, David ; Nguyen, Tri-Dung ; Xu, Huifu ; Gourtani, Arash . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:83:y:2016:i:3:d:10.1007_s00186-016-0532-6.

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2016Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Wili, Mateusz ; Smaga, Pawel . In: Papers. RePEc:arx:papers:1603.05142.

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2016Techniques for multifractal spectrum estimation in financial time series. (2016). Jizba, Petr ; Korbel, Jan . In: Papers. RePEc:arx:papers:1610.07028.

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2016Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis. (2016). Wang, Fang ; Yang, Zhaohui . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:954-962.

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2016An analysis of the intrinsic cross-correlations between API and meteorological elements using DPCCA. (2016). Shen, Chen-Hua ; Li, Cao-Ling . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:446:y:2016:i:c:p:100-109.

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2016Volatility and correlation-based systemic risk measures in the US market. (2016). Civitarese, Jamil . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:459:y:2016:i:c:p:55-67.

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2016Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples. (2016). Capponi, Agostino ; Sturm, Stephan ; Bichuch, Maxim . In: Papers. RePEc:arx:papers:1501.05893.

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2016Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis. (2016). Capponi, Agostino ; Sturm, Stephan ; Bichuch, Maxim . In: Papers. RePEc:arx:papers:1502.06106.

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2016Evolution of international trade and investment networks. (2016). Zhang, Shuhong ; Wang, Xiaofan ; Liu, Zhixin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:752-763.

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2016Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230.

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2016An entropy-based early warning indicator for systemic risk. (2016). Billio, Monica ; Pasqualini, Andrea ; Costola, Michele ; Casarin, Roberto . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59.

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2016China’s Imports Slowdown; Spillovers, Spillins, and Spillbacks. (2016). Kireyev, Alexei ; Leonidov, Andrei . In: IMF Working Papers. RePEc:imf:imfwpa:16/51.

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2016Financial Models with Defaultable Num\eraires. (2016). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1511.04314.

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2016Financial Models with Defaultable Numéraires. (2016). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01240736.

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2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3.

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2016Hedging with Small Uncertainty Aversion. (2016). Herrmann, Sebastian ; Seifried, Frank Thomas ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1605.06429.

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2016MUDANÇAS RECENTES NAS RELAÇÕES INTERSETORIAIS: UM EXAME DAS ATIVIDADES DE SERVIÇO E INDUSTRIAIS A PARTIR DA ANÁLISE DE INSUMO-PRODUTO E DE REDES. (2016). de Barros, Vinicius Cardoso ; Gomes, Rogerio. In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:160.

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2016Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4.

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2016Optimally Investing to Reach a Bequest Goal. (2016). Bayraktar, Erhan ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1503.00961.

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2016Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming. (2016). Bayraktar, Erhan ; Promislow, David ; Young, Virginia . In: Papers. RePEc:arx:papers:1412.2262.

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2016A pair of optimal reinsurance–investment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:284-294.

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2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle. (2016). Huang, Huaxiong ; Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:50-62.

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2016Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2016). Pennanen, Teemu ; Perkkio, Ari-Pekka . In: Papers. RePEc:arx:papers:1603.02867.

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2016Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2016). Czichowsky, Christoph ; Yang, Junjian ; Schachermayer, Walter ; Peyre, R'Emi . In: Papers. RePEc:arx:papers:1608.01415.

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2016Omega diffusion risk model with surplus-dependent tax and capital injections. (2016). Cui, Zhenyu ; Nguyen, Duy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:150-161.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Gontis, Vygintas ; Stanley, Eugene H ; Podobnik, Boris ; Kononovicius, Aleksejus ; Havlin, Shlomo . In: Papers. RePEc:arx:papers:1507.05203.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Podobnik, B ; Havlin, S ; Kononovicius, A ; Stanley, H E ; Gontis, V. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102.

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2016Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency. (2016). LEHALLE, Charles-Albert ; Mounjid, Othmane . In: Papers. RePEc:arx:papers:1610.00261.

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2016Long Term Risk: A Martingale Approach. (2016). Qin, Likuan ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1411.3078.

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2016Extracting Geography from Trade Data. (2016). Marshall, Nicholas ; Wu, Tianhao ; Li, Yuke ; Steinerberger, Stefan . In: Papers. RePEc:arx:papers:1607.05235.

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2016Assessing Systemic Importance With a Fuzzy Logic Inference System. (2016). Murcia, Andrés ; Sarlin, Peter ; Machado, Clara ; Leon, Carlos . In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:23:y:2016:i:1-2:p:121-153.

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2016A Flexible Galerkin Scheme for Option Pricing in L\evy Models. (2016). Gass, Maximilian ; Glau, Kathrin . In: Papers. RePEc:arx:papers:1603.08216.

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2016A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates. (2016). Glau, Kathrin . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0301-7.

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2016A simple probabilistic approach of the Yard-Sale model. (2016). Chorro, Christophe . In: Statistics & Probability Letters. RePEc:eee:stapro:v:112:y:2016:i:c:p:35-40.

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2016Risk governance: conceptualization, tasks, and research agenda. (2016). Stein, Volker ; Wiedemann, Arnd . In: Journal of Business Economics. RePEc:spr:jbecon:v:86:y:2016:i:8:d:10.1007_s11573-016-0826-4.

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2016Parametric model risk and power plant valuation. (2016). Bannor, Karl ; Scherer, Matthias ; Nazarova, Anna ; Kiesel, Rudiger . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:423-434.

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2016Model-free bounds on Value-at-Risk using partial dependence information. (2016). Lux, Thibaut ; Papapantoleon, Antonis . In: Papers. RePEc:arx:papers:1610.09734.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1601.04210.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945.

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2016Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics. (2016). Leung, Tim ; Wang, Zheng . In: Papers. RePEc:arx:papers:1610.08143.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Li, Jiao ; Wang, Zheng . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:4:d:10.1007_s10690-016-9215-9.

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2016Architectures engender crises: The emergence of power laws in social networks. (2016). Larrosa, Juan ; Tohme, Fernando . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:305-316.

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2016Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point. (2016). Janke, Oliver . In: Papers. RePEc:arx:papers:1610.08644.

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2016Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

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2016The inclusive wealth index. A critical appraisal. (2016). Roman, Philippe ; Thiry, Geraldine . In: Ecological Economics. RePEc:eee:ecolec:v:124:y:2016:i:c:p:185-192.

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2016The effect of economic growth, oil prices, and the benefits of reactor standardization: Duration of nuclear power plant construction revisited. (2016). Csereklyei, Zsuzsanna ; Kuchenhoff, Helmut ; Bauer, Alexander ; Thurner, Paul W. In: Energy Policy. RePEc:eee:enepol:v:91:y:2016:i:c:p:49-59.

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2016Institutions for Infrastructure in Developing Countries: What We Know and the Lot We still Need to Know. (2016). Estache, Antonio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/230527.

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2016Offshore wind investments – Realism about cost developments is necessary. (2016). Schwanitz, Valeria Jana ; Wierling, August . In: Energy. RePEc:eee:energy:v:106:y:2016:i:c:p:170-181.

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2016The Hinkley Point decision: An analysis of the policy process. (2016). Thomas, Stephen . In: Energy Policy. RePEc:eee:enepol:v:96:y:2016:i:c:p:421-431.

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2016Big is Fragile: An Attempt at Theorizing Scale. (2016). Ansar, Atif ; Lunn, Daniel ; Budzier, Alexander ; Flyvbjerg, Bent . In: Papers. RePEc:arx:papers:1603.01416.

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2016Environmental and Social Impacts of Hydroelectric Dams in Brazilian Amazonia: Implications for the Aluminum Industry. (2016). Fearnside, Philip. In: World Development. RePEc:eee:wdevel:v:77:y:2016:i:c:p:48-65.

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2016The effects of climate risk on hydropower P3 contract value: Preliminary study of the Inga 3 Dam. (2016). Sakhrani, Vivek ; Swanson, Richard . In: WIDER Working Paper Series. RePEc:unu:wpaper:wp2016-030.

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2016Does infrastructure investment lead to economic growth or economic fragility? Evidence from China. (2016). Lunn, Daniel ; Budzier, Alexander ; Flyvbjerg, Bent ; Ansar, Atif . In: Oxford Review of Economic Policy. RePEc:oup:oxford:v:32:y:2016:i:3:p:360-390..

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2016Managing the cost overrun risks of hydroelectric dams: An application of reference class forecasting techniques. (2016). Jenkins, Glenn ; Awojobi, Omotola . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:63:y:2016:i:c:p:19-32.

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2016Hydropower Megaprojects in Colombia and the Influence of Local Communities: A View from Prospect Theory to Decision Making Process based on Expert Judgment used in Large Organizations. (2016). Sarmiento, Alvaro Zerda ; Sierra, Rodolfo Garcia . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-03-6.

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2016Damming the transnational Ayeyarwady basin. Hydropower and the water-energy nexus. (2016). Hennig, Thomas . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:65:y:2016:i:c:p:1232-1246.

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2016Renewable and nuclear electricity: Comparison of environmental impacts. (2016). McCombie, Charles ; Jefferson, Michael . In: Energy Policy. RePEc:eee:enepol:v:96:y:2016:i:c:p:758-769.

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2016The Impact of Power Rationing on Zambias Agricultural Sector. (2016). Chapoto, Antony ; Mweemba, Bruno ; Mofya-Mukuka, Rhoda ; Kuteya, Auckland ; Samboko, Paul ; Munsaka, Eustensia ; Kabwe, Stephen . In: Food Security Collaborative Working Papers. RePEc:ags:midcwp:245111.

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2016Challenges in Cost Estimation under Uncertainty—A Case Study of the Decommissioning of Barsebäck Nuclear Power Plant. (2016). Torp, Olav ; Klakegg, Ole Jonny . In: Administrative Sciences. RePEc:gam:jadmsc:v:6:y:2016:i:4:p:14-:d:80931.

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2016Investing in Electricity, Growth, and Debt Sustainability; The Case of Lesotho. (2016). Andreolli, Michele ; Abdychev, Aidar . In: IMF Working Papers. RePEc:imf:imfwpa:16/115.

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2016Project Risk Management: Challenge Established Practice. (2016). Klakegg, Ole Jonny . In: Administrative Sciences. RePEc:gam:jadmsc:v:6:y:2016:i:4:p:21-:d:85782.

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2016THE EFFECTS OF BANKRUPTCY ON THE PREDICTABILITY OF PRICE FORMATION PROCESSES ON WARSAW’S STOCK MARKET. (2016). Fiedor, Paweł. In: e-Finanse. RePEc:rze:efinan:v:12:y:2016:i:1:p:32-42.

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2016MVA Transfer Pricing. (2016). Lou, Wujiang . In: Papers. RePEc:arx:papers:1512.07337.

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2016Hedging with Temporary Price Impact. (2016). Bank, Peter ; Voss, Moritz ; Soner, Mete . In: Papers. RePEc:arx:papers:1510.03223.

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2016Hierarchical structure of the countries based on electricity consumption and economic growth. (2016). Aslan, Alper ; Kantar, Ersin ; Keskin, Mustafa ; Deviren, Bayram . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:454:y:2016:i:c:p:1-10.

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2016A study of causality structure and dynamics in industrial electricity consumption based on Granger network. (2016). Lin, Qing-Wen ; Zheng, Xu-Zhou ; Liu, Xiao-Feng ; Yao, Can-Zhong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:297-320.

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2016What drives Bitcoin price?. (2016). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal ; Olayeni, Olaolu Richard . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00311.

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2016Virtual Currencies, the Money Market, and Monetary Policy. (2016). Sauer, Beate. In: International Advances in Economic Research. RePEc:kap:iaecre:v:22:y:2016:i:2:d:10.1007_s11294-016-9576-x.

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2016Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; Bouri, Elie ; Roubaud, David . In: Working Papers. RePEc:pre:wpaper:201654.

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2016Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law. (2016). Brigo, Damiano ; Scherer, Matthias ; Mai, Jan-Frederik . In: Statistics & Probability Letters. RePEc:eee:stapro:v:114:y:2016:i:c:p:60-66.

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2016Toward robust early-warning models: A horse race, ensembles and model uncertainty. (2016). Sarlin, Peter ; Holopainen, Markus . In: Papers. RePEc:arx:papers:1501.04682.

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2016Bank networks from text: interrelations, centrality and determinants. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20161876.

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2016Conditional Preference Orders and their Numerical Representations. (2016). Jamneshan, Asgar ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:1410.5466.

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2016Model-independent superhedging under portfolio constraints. (2016). Huang, Yu-Jui ; Fahim, Arash . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:51-81.

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2016No-arbitrage and hedging with liquid American options. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1605.01327.

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2016Model-independent superhedging under portfolio constraints. (2016). Fahim, Arash ; Huang, Yu-Jui . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0284-9.

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2016A test of the adaptive market hypothesis using a time-varying AR model in Japan. (2016). Noda, Akihiko. In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:66-71.

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2016Time-Varying Comovement of Foreign Exchange Markets. (2016). Noda, Akihiko ; Ito, Mikio ; Wada, Tatsuma . In: Papers. RePEc:arx:papers:1610.04334.

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2016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Kardaras, Constantinos ; Fontana, Claudio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1761-1784.

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2016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Fontana, Claudio ; Kardaras, Constantinos . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:65150.

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2016Quantile Hedging in a Semi-Static Market with Model Uncertainty. (2016). Bayraktar, Erhan ; Wang, Gu. In: Papers. RePEc:arx:papers:1408.4848.

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2016Pathwise super-replication via Vovks outer measure. (2016). Alexander M. G. Cox, ; Perkowski, Nicolas ; Beiglbock, Mathias ; Huesmann, Martin ; Promel, David J.. In: Papers. RePEc:arx:papers:1504.03644.

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2016Optimal Skorokhod embedding under finitely-many marginal constraints. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1506.04063.

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2016Model-free Superhedging Duality. (2016). Burzoni, Matteo ; Maggis, Marco ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1506.06608.

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2016Tightness and duality of martingale transport on the Skorokhod space. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1507.01125.

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2016Model-independent bounds for Asian options: a dynamic programming approach. (2016). Alexander M. G. Cox, ; Kallblad, Sigrid . In: Papers. RePEc:arx:papers:1507.02651.

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2016Robust hedging of options on local time. (2016). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue . In: Papers. RePEc:arx:papers:1511.07230.

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2016Distribution-Constrained Optimal Stopping. (2016). Bayraktar, Erhan ; Miller, Christopher W. In: Papers. RePEc:arx:papers:1604.03042.

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2016Optimal martingale transport between radially symmetric marginals in general dimensions. (2016). Lim, Tongseok . In: Papers. RePEc:arx:papers:1412.3530.

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2016The space of outcomes of semi-static trading strategies need not be closed. (2016). Larsson, Martin ; Acciaio, Beatrice ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1606.00631.

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2016On the support of extremal martingale measures with given marginals: the countable case. (2016). Martini, Claude ; Campi, Luciano . In: Papers. RePEc:arx:papers:1607.07197.

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2016Bounds for VIX Futures given S&P 500 Smiles. (2016). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832.

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2016An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x.

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2016Model-independent pricing with insider information: a Skorokhod embedding approach. (2016). Acciaio, Beatrice ; Huesmann, Martin ; Alexander, . In: Papers. RePEc:arx:papers:1610.09124.

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2016Discrete Wasserstein barycenters: optimal transport for discrete data. (2016). Anderes, Ethan ; Miller, Jacob ; Borgwardt, Steffen . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0549-x.

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2016Constrained Optimal Transport. (2016). Soner, Mete H ; Ekren, Ibrahim . In: Papers. RePEc:arx:papers:1610.02940.

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2016A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1508.02367.

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2016A Supermartingale Relation for Multivariate Risk Measures. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1510.05561.

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2016Dual representations for systemic risk measures. (2016). Rudloff, Birgit ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1607.03430.

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2016Agnostic Risk Parity: Taming Known and Unknown-Unknowns. (2016). Benichou, Raphael ; Potters, Marc ; Bouchaud, Jean-Philippe ; Seager, Philip ; Kockelkoren, Julien ; Emmanuel, ; Lemp, Yves . In: Papers. RePEc:arx:papers:1610.08818.

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2016The Impact of Momentum Factors on Multi Asset Portfolio. (2016). Isiksal, Aliya Zhakanova ; Backhaus, Achim . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:4:p:146-169.

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2016Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. (2016). Fouque, Jean-Pierre ; Sircar, Ronnie ; Lorig, Matthew . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0298-y.

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2016Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio. (2016). Agarwal, Ankush ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1610.08558.

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2016Pricing of Asian-type and Basket Options via Upper and Lower Bounds. (2016). Kordzakhia, Nino ; Novikov, Alexander ; Alexander, Scott ; Ling, Timothy . In: Papers. RePEc:arx:papers:1612.08767.

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2016Additive subordination and its applications in finance. (2016). Li, Lingfei ; Mendoza-Arriaga, Rafael . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0300-8.

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2016Hedging under an expected loss constraint with small transaction costs. (2016). Soner, Mete ; Bouchard, Bruno ; Moreau, Ludovic . In: Post-Print. RePEc:hal:journl:hal-00863562.

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2016Learning zero-cost portfolio selection with pattern matching. (2016). Gebbie, Tim ; Loonat, Fayyaaz . In: Papers. RePEc:arx:papers:1605.04600.

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2016Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy. (2016). Lian, Yu-Min ; Chen, Jun-Home . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:208-219.

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2016Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman . In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124.

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2016Default contagion risks in Russian interbank market. (2016). Leonidov, A V ; Rumyantsev, E L. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:36-48.

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2016Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction. (2016). Fabozzi, Frank J ; Sun, Andrew ; Lachanski, Michael . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:272-281.

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2016ALGORITHMIC TRADING WITH LEARNING. (2016). Kinzebulatov, Damir ; Cartea, Alvaro ; Jaimungal, Sebastian . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650028-01-1650028-30.

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2016The invisible hand and the rational agent are behind bubbles and crashes. (2016). Galam, Serge . In: Papers. RePEc:arx:papers:1601.02990.

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2016Weakly unimodal domains, anti-exchange properties, and coalitional strategy-proofness of aggregation rules. (2016). Vannucci, Stefano . In: Mathematical Social Sciences. RePEc:eee:matsoc:v:84:y:2016:i:c:p:56-67.

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2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

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2016Taming the Basel leverage cycle. (2016). Aymanns, Christoph ; Vincent, ; Farmer, Doyne J ; Caccioli, Fabio . In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:263-277.

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2016Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2016). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2016A Primer on Portfolio Choice with Small Transaction Costs. (2016). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1612.01302.

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2016The F\ollmer-Schweizer decomposition under incomplete information. (2016). Cretarola, Alessandra ; Ceci, Claudia ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1511.05465.

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2016Unit-linked life insurance policies: optimal hedging in partially observable market models. (2016). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1608.07226.

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2016Near-optimal estimation of jump activity in semimartingales. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1409.8150.

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2016Statistical inference for time-changed Lévy processes via Mellin transform approach. (2016). Belomestny, Denis ; Schoenmakers, John . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:7:p:2092-2122.

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2016Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016. (2016). Wanjawa, Barack Wamkaya . In: Papers. RePEc:arx:papers:1609.05394.

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2016Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016. (2016). Wanjawa, Barack Wamkaya . In: Papers. RePEc:arx:papers:1612.02666.

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2016Everything you always wanted to know about bitcoin modelling but were afraid to ask. I. (2016). Fantazzini, Dean ; Nigmatullin, Erik ; Ivliev, Sergey ; Sukhanovskaya, Vera . In: Applied Econometrics. RePEc:ris:apltrx:0301.

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2016Everything you always wanted to know about bitcoin modelling but were afraid to ask. (2016). Fantazzini, Dean ; Sukhanovskaya, Vera ; Ivliev, Sergey ; Nigmatullin, Erik . In: MPRA Paper. RePEc:pra:mprapa:71946.

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2016Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions. (2016). Tiwari, Aviral ; GUPTA, RANGAN ; Bouri, Elie ; Roubaud, David . In: Working Papers. RePEc:pre:wpaper:201690.

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2016A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. (2016). Ferrari, Giorgio ; de Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:531.

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2016On an Optimal Extraction Problem with Regime Switching. (2016). Ferrari, Giorgio ; Yang, Shuzhen . In: Papers. RePEc:arx:papers:1602.06765.

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2016A solvable two-dimensional singular stochastic control problem with non convex costs. (2016). Ferrari, Giorgio ; de Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:561.

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2016On an optimal extraction problem with regime switching. (2016). Ferrari, Giorgio ; Yang, Shuzhen . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:562.

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2016Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. (2016). de Angelis, Tiziano ; Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:565.

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2016Optimal entry to an irreversible investment plan with non convex costs. (2016). Martyr, Randall ; Ferrari, Giorgio ; de Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:566.

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2016Interpreting the movement of oil prices: Driven by fundamentals or bubbles?. (2016). Zhang, Yue-Jun ; Yao, Ting . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:226-240.

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2016Emotion-driven negative policy bubbles. (2016). Maor, Moshe . In: Policy Sciences. RePEc:kap:policy:v:49:y:2016:i:2:d:10.1007_s11077-015-9228-7.

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2016Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1602.02735.

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2016Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1604.07556.

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2016A continuous and efficient fundamental price on the discrete order book grid. (2016). Lillo, Fabrizio ; Bonart, Julius . In: Papers. RePEc:arx:papers:1608.00756.

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2016Beyond the pan-european standard for reporting of exploration results, mineral resources and reserves. (2016). Krzemie, Alicja ; Alvarez, Isidro Diego ; Sanchez, Ana Suarez ; Fernandez, Pedro Riesgo . In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:81-91.

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2016Pricing Bermudan options under local L\evy models with default. (2016). Pascucci, Andrea ; Borovykh, Anastasia ; Oosterlee, Cornelis W. In: Papers. RePEc:arx:papers:1604.08735.

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2016Immediate price impact of a stock and its warrant: Power-law or logarithmic model?. (2016). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xu, Hai-Chuan . In: Papers. RePEc:arx:papers:1611.04091.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Arbitrage without borrowing or short selling?. (2016). Lukkarinen, Jani ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2016-13.

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2016Efficient Bailouts?. (2016). Bianchi, Javier. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:12:p:3607-59.

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2016Tails of weakly dependent random vectors. (2016). TANKOV, PETER. In: Papers. RePEc:arx:papers:1402.4683.

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2016A statistical physics analysis of expenditure in the UK. (2016). Oltean, Elvis ; Kusmartsev, Fedor . In: Papers. RePEc:arx:papers:1410.3865.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1410.6144.

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2016Regulatory Capital Modelling for Credit Risk. (2016). Rutkowski, Marek ; Tarca, Silvio . In: Papers. RePEc:arx:papers:1412.1183.

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2016Optimal martingale transport between radially symmetric marginals in general dimensions. (2016). Lim, Tongseok . In: Papers. RePEc:arx:papers:1412.3530.

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2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1502.04359.

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2016Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis. (2016). Capponi, Agostino ; Sturm, Stephan ; Bichuch, Maxim . In: Papers. RePEc:arx:papers:1502.06106.

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2016Leveraging the network: a stress-test framework based on DebtRank. (2016). Caldarelli, Guido ; Gurciullo, Stefano ; Battiston, Stefano ; D'Errico, Marco . In: Papers. RePEc:arx:papers:1503.00621.

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2016Pathwise super-replication via Vovks outer measure. (2016). Alexander M. G. Cox, ; Perkowski, Nicolas ; Beiglbock, Mathias ; Huesmann, Martin ; Promel, David J.. In: Papers. RePEc:arx:papers:1504.03644.

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2016Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1505.05256.

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2016Optimal Investment to Minimize the Probability of Drawdown. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1506.00166.

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2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671.

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2016Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1507.08713.

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2016A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1508.02367.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin . In: Papers. RePEc:arx:papers:1510.01890.

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2016Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2016). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2016A Supermartingale Relation for Multivariate Risk Measures. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1510.05561.

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2016Pathwise no-arbitrage in a class of Delta hedging strategies. (2016). Schied, Alexander ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1511.00026.

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2016Magic points in finance: Empirical integration for parametric option pricing. (2016). Gass, Maximilian ; Mair, Maximilian ; Glau, Kathrin . In: Papers. RePEc:arx:papers:1511.00884.

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2016A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions. (2016). Liu, Xin ; Kulkarni, Vidyadhar G ; Gong, QI. In: Papers. RePEc:arx:papers:1511.04096.

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2016Loss-Deviation risk measures. (2016). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1511.06943.

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2016Robust hedging of options on local time. (2016). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue . In: Papers. RePEc:arx:papers:1511.07230.

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2016Integration with respect to model-free price paths with jumps. (2016). Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1511.08194.

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2016Purely pathwise probability-free Ito integral. (2016). Vovk, Vladimir . In: Papers. RePEc:arx:papers:1512.01698.

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2016Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model. (2016). Teichmann, Josef ; Harms, Philipp ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:1512.06454.

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2016A unified view of LIBOR models. (2016). Glau, Kathrin ; Papapantoleon, Antonis ; Grbac, Zorana . In: Papers. RePEc:arx:papers:1601.01352.

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2016Deep Learning for Limit Order Books. (2016). . In: Papers. RePEc:arx:papers:1601.01987.

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2016Systemic Risk Management in Financial Networks with Credit Default Swaps. (2016). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian . In: Papers. RePEc:arx:papers:1601.02156.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Empirical Methods for Dynamic Power Law Distributions in the Social Sciences. (2016). Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1602.00159.

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2016Model-Free Discretisation-Invariant Swap Contracts. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00235.

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2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00865.

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2016On clustering financial time series: a need for distances between dependent random variables. (2016). Marti, Gautier ; Andler, S'Ebastien ; Donnat, Philippe ; Nielsen, Frank . In: Papers. RePEc:arx:papers:1603.07822.

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2016Relativistic Quantum Finance. (2016). Romero, Juan M ; Zubieta-Mart, Ilse B. In: Papers. RePEc:arx:papers:1604.01447.

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2016The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter . In: Papers. RePEc:arx:papers:1604.01824.

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2016The Topology of African Exports: emerging patterns on spanning trees. (2016). Ara, Tanya ; Ferreira, Ennes M. In: Papers. RePEc:arx:papers:1604.03522.

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2016Arbitrage without borrowing or short selling?. (2016). Lukkarinen, Jani ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1604.07690.

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2016Regrets, learning and wisdom. (2016). Challet, Damien. In: Papers. RePEc:arx:papers:1605.01052.

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2016Robust framework for quantifying the value of information in pricing and hedging. (2016). Aksamit, Anna ; Obl, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1605.02539.

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2016Stochastic Portfolio Theory: A Machine Learning Perspective. (2016). Samo, Yves-Laurent Kom ; Vervuurt, Alexander . In: Papers. RePEc:arx:papers:1605.02654.

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2016On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2016). Marciniak, Ewa ; Palmowski, Zbigniew . In: Papers. RePEc:arx:papers:1605.04584.

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2016Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07419.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945.

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2016The space of outcomes of semi-static trading strategies need not be closed. (2016). Larsson, Martin ; Acciaio, Beatrice ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1606.00631.

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2016Model-free portfolio theory and its functional master formula. (2016). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325.

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2016Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03590.

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2016A new decomposition of portfolio return. (2016). Fernholz, Robert . In: Papers. RePEc:arx:papers:1606.05877.

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2016Physicists approach to studying socio-economic inequalities: Can humans be modelled as atoms?. (2016). Chakraborti, Anirban ; Sharma, Kiran . In: Papers. RePEc:arx:papers:1606.06051.

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2015Dynamic Model of Markets of Homogenous Non-Durable. (2015). Kaldasch, Joachim. In: Papers. RePEc:arx:papers:1109.5791.

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2015Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. (2015). Gozzi, Fausto ; federico, salvatore ; Gassiat, Paul . In: Papers. RePEc:arx:papers:1301.0280.

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2015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008.

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2015On hedging American options under model uncertainty. (2015). Bayraktar, Erhan ; Zhou, Zhou ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1309.2982.

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2015Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235.

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2015Default Clustering in Large Pools: Large Deviations. (2015). Spiliopoulos, Konstantinos ; Sowers, Richard B.. In: Papers. RePEc:arx:papers:1311.0498.

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2015General indifference pricing with small transaction costs. (2015). Possamai, Dylan ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1401.3261.

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2015On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints. (2015). Bayraktar, Erhan ; Bayrkatar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1402.2596.

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2015Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304.

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2015Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648.

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2015Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2015). Alexander M. G. Cox, ; Hou, Zhaoxu ; Obloj, Jan . In: Papers. RePEc:arx:papers:1406.0551.

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2015Robust Superhedging with Jumps and Diffusion. (2015). Nutz, Marcel . In: Papers. RePEc:arx:papers:1407.1674.

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2015Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (2015). Gonzalez, Alfredo L. ; Sebastian. E. Ferrando, ; Rahsepar, Massoome ; Degano, Ivan L.. In: Papers. RePEc:arx:papers:1407.1769.

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2015Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences. (2015). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1407.3201.

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2015Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (2015). Targino, Rodrigo ; Peters, Gareth W. ; Shevchenko, Pavel V.. In: Papers. RePEc:arx:papers:1410.1101.

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2015Arbitrage theory without a num\eraire. (2015). Tehranchi, Michael R.. In: Papers. RePEc:arx:papers:1410.2976.

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2015Robust Fundamental Theorem for Continuous Processes. (2015). Bouchard, Bruno ; Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos . In: Papers. RePEc:arx:papers:1410.4962.

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2015The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels. (2015). Park, Hyungbin ; Han, Jihun . In: Papers. RePEc:arx:papers:1411.4606.

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2015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin . In: Papers. RePEc:arx:papers:1411.5062.

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2015Misspecified Recovery. (2015). Scheinkman, Jose ; Hansen, Lars ; Borovivcka, Jaroslav ; Jos'e A. Scheinkman, . In: Papers. RePEc:arx:papers:1412.0042.

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2015Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. (2015). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1412.2053.

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2015A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius . In: Papers. RePEc:arx:papers:1412.4503.

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2015The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs. (2015). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1501.02276.

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2015Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756.

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2015An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions. (2015). Leung, Tim ; Dahlgren, Eric . In: Papers. RePEc:arx:papers:1502.00861.

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2015Convex duality with transaction costs. (2015). Soner, Mete H. ; Dolinsky, Yan . In: Papers. RePEc:arx:papers:1502.01735.

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2015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592.

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2015Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (2015). Macrina, Andrea ; Nguyen, Tuyet Mai ; Crepey, Stephane ; Skovmand, David . In: Papers. RePEc:arx:papers:1502.07397.

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2015Affine LIBOR models driven by real-valued affine processes. (2015). Waldenberger, Stefan ; Muller, Wolfgang . In: Papers. RePEc:arx:papers:1503.00864.

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2015On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1503.02822.

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2015Black-Scholes in a CEV random environment: a new approach to smile modelling. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1503.08082.

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2015Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100.

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2015Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. (2015). Leung, Tim ; Li, Xin ; Wang, Zheng . In: Papers. RePEc:arx:papers:1504.04682.

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2015SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806.

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2015Google matrix of the world network of economic activities. (2015). Escaith, Hubert ; Shepelyansky, D. L. ; Kandiah, V.. In: Papers. RePEc:arx:papers:1504.06773.

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2015Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704.

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2015Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810.

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2015Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1505.04936.

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2015Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07313.

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2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705.

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2015Many-to-one contagion of economic growth rate across trade credit network of firms. (2015). Golo, Natasa ; Solomon, Sorin ; Lamieri, Marco ; Usher, Leanne ; Bree, David S. ; Kelman, Guy . In: Papers. RePEc:arx:papers:1506.01734.

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2015Autoregressive approaches to import--export time series II: a concrete case study. (2015). Di Persio, Luca ; Segala, Chiara . In: Papers. RePEc:arx:papers:1506.01984.

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2015Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074.

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2015Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets. (2015). Schneider, Lorenz ; Tavin, Bertrand . In: Papers. RePEc:arx:papers:1506.05911.

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2015Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1506.06180.

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2015On Elicitation Complexity and Conditional Elicitation. (2015). Frongillo, Rafael ; Kash, Ian A.. In: Papers. RePEc:arx:papers:1506.07212.

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2015Too dynamic to fail. Empirical support for an autocatalytic model of Minskys financial instability hypothesis. (2015). Golo, Natasa ; Solomon, Sorin ; Lamieri, Marco ; Usher, Leanne ; Kelman, Guy ; Bree, David S.. In: Papers. RePEc:arx:papers:1506.07582.

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2015Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. (2015). Fissler, Tobias ; Gneiting, Tilmann ; Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1507.00244.

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2015Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil . In: Papers. RePEc:arx:papers:1507.01175.

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2015Contagion effects in the world network of economic activities. (2015). Escaith, Hubert ; Kandiah, V. ; Shepelyansky, D. L.. In: Papers. RePEc:arx:papers:1507.03278.

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Recent citations received in 2014

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2014Determinants of food availability and access in Ghana: what can we learn beyond the regression results?. (2014). ADOM, PHILIP. In: Studies in Agricultural Economics. RePEc:ags:stagec:196909.

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2014Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel . In: Papers. RePEc:arx:papers:1301.3227.

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2014Weak and strong no-arbitrage conditions for continuous financial markets. (2014). Fontana, Claudio . In: Papers. RePEc:arx:papers:1302.7192.

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2014Explicit implied volatilities for multifactor local-stochastic volatility models. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1306.5447.

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2014Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras . In: Papers. RePEc:arx:papers:1308.0931.

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2014A statistical physics perspective on criticality in financial markets. (2014). Bury, Thomas . In: Papers. RePEc:arx:papers:1310.2446.

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2014Sticky continuous processes have consistent price systems. (2014). Bender, Christian ; Pakkanen, Mikko S. ; Sayit, Hasanjan . In: Papers. RePEc:arx:papers:1310.7857.

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2014Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133.

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2014Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift. (2014). GABIH, ABDELALI ; Wunderlich, Ralf ; Sass, Jorn ; Kondakji, Hakam . In: Papers. RePEc:arx:papers:1402.6313.

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2014Micro to macro models for income distribution in the absence and in the presence of tax evasion. (2014). Modanese, Giovanni ; Bertotti, Maria Letizia . In: Papers. RePEc:arx:papers:1403.0015.

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2014Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics. (2014). Joseph, Andreas ; Vodenska, Irena ; Chen, Guanrong ; Stanley, Eugene . In: Papers. RePEc:arx:papers:1403.0848.

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2014Do Google Trend data contain more predictability than price returns?. (2014). Challet, Damien ; Bel Hadj Ayed, Ahmed ; Ahmed Bel Hadj Ayed, . In: Papers. RePEc:arx:papers:1403.1715.

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2014High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey. In: Papers. RePEc:arx:papers:1403.1804.

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2014Multilevel Monte Carlo For Exponential L\{e}vy Models. (2014). Giles, Mike ; Xia, Yuan . In: Papers. RePEc:arx:papers:1403.5309.

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2014A Note on the Quantile Formulation. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1403.7269.

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2014Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling. (2014). Hillairet, Caroline ; el Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1895.

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2014Ramsey Rule with Progressive utility and Long Term Affine Yields Curves. (2014). Hillairet, Caroline ; el Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1913.

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2014Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153.

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2014Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes. (2014). Racorean, Ovidiu. In: Papers. RePEc:arx:papers:1404.6637.

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2014Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs. (2014). Bayraktar, Erhan ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1404.7406.

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2014How does bad and good volatility spill over across petroleum markets?. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1405.2445.

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2014Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769.

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2014Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1405.6111.

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2014VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution. (2014). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1405.7611.

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2014Decoding Stock Market Behavior with the Topological Quantum Computer. (2014). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1406.3531.

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2014Instabilities in large economies: aggregate volatility without idiosyncratic shocks. (2014). thesmar, david ; Landier, Augustin ; Bonart, Julius ; Bouchaud, Jean-Philippe . In: Papers. RePEc:arx:papers:1406.5022.

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2014Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1406.6496.

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2014Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902.

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2014Linear vector optimization and European option pricing under proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1407.5877.

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2014Contagious Synchronization and Endogenous Network Formation in Financial Networks. (2014). Georg, Co-Pierre ; Aymanns, Christoph . In: Papers. RePEc:arx:papers:1408.0440.

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2014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David . In: Papers. RePEc:arx:papers:1408.1494.

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2014Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989.

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2014Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513.

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2014Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation. (2014). Shevchenko, Pavel V.. In: Papers. RePEc:arx:papers:1408.6938.

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2014Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407.

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2014Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1409.2023.

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2014The effect of the number of states on the validity of credit ratings. (2014). Raischel, F. ; Lencastre, P. ; Lind, P. G.. In: Papers. RePEc:arx:papers:1409.2661.

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2014The Immediate Exchange model: an analytical investigation. (2014). Katriel, Guy . In: Papers. RePEc:arx:papers:1409.6646.

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2014Finite sample properties of power-law cross-correlations estimators. (2014). Krištoufek, Ladislav. In: Papers. RePEc:arx:papers:1409.6857.

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2014Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit . In: Papers. RePEc:arx:papers:1409.7933.

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2014Fair and profitable bilateral prices under funding costs and collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0448.

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2014Fair bilateral prices in Bergmans model. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0673.

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2014An initial approach to Risk Management of Funding Costs. (2014). Brigo, Damiano ; Durand, Cyril . In: Papers. RePEc:arx:papers:1410.2034.

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2014Randomisation and recursion methods for mixed-exponential Levy models, with financial applications. (2014). Mijatovic, Aleksandar ; Pistorius, Martijn ; Stolte, Johannes . In: Papers. RePEc:arx:papers:1410.7316.

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2014The Model Confidence Set package for R. (2014). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1410.8504.

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2014Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy. (2014). Shevchenko, Pavel . In: Papers. RePEc:arx:papers:1410.8609.

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2014Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426.

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2014Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Nishinari, Katsuhiro ; Ichiki, Shingo . In: Papers. RePEc:arx:papers:1411.2215.

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2014Risk-Sensitive Mean-Field Type Control under Partial Observation. (2014). Djehiche, Boualem ; Tembine, Hamidou . In: Papers. RePEc:arx:papers:1411.7231.

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2014Asymptotic behaviour of the fractional Heston model. (2014). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza . In: Papers. RePEc:arx:papers:1411.7653.

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Recent citations received in 2013

YearCiting document
2013Risk premia in energy markets. (2013). Veraart, Almut ; Almut E. D. Veraart, ; Luitgard A. M. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2013-02.

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2013Assessing Relative Volatility/Intermittency/Energy Dissipation. (2013). Schmiegel, Jurgen ; Barndorff-Nielsen, Ole E. ; Pakkanen, Mikko S.. In: CREATES Research Papers. RePEc:aah:create:2013-15.

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2013A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. (2013). Wei, Wei ; Lunde, Asger ; Brix, Anne Floor . In: CREATES Research Papers. RePEc:aah:create:2015-46.

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2013The explicit Laplace transform for the Wishart process. (2013). Gnoatto, Alessandro ; Grasselli, Martino . In: Papers. RePEc:arx:papers:1107.2748.

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2013A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems. (2013). Bayraktar, Erhan ; Fahim, Arash . In: Papers. RePEc:arx:papers:1109.5752.

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2013On the Existence of Shadow Prices. (2013). Benedetti, Giuseppe ; Campi, Luciano ; Muhle-Karbe, Johannes ; Kallsen, Jan . In: Papers. RePEc:arx:papers:1111.6633.

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2013Why are quadratic normal volatility models analytically tractable?. (2013). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Papers. RePEc:arx:papers:1202.6187.

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2013On the Hedging of Options On Exploding Exchange Rates. (2013). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Papers. RePEc:arx:papers:1202.6188.

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2013Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. (2013). Riedel, Frank ; Ferrari, Giorgio ; Chiarolla, Maria B.. In: Papers. RePEc:arx:papers:1203.3757.

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2013Negative Call Prices. (2013). Ruf, Johannes . In: Papers. RePEc:arx:papers:1204.1903.

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2013Constructing Sublinear Expectations on Path Space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Papers. RePEc:arx:papers:1205.2415.

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2013Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall. (2013). LEHALLE, Charles-Albert ; Labadie, Mauricio . In: Papers. RePEc:arx:papers:1205.3482.

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2013Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. (2013). Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1205.4588.

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2013Numerical methods for the quadratic hedging problem in Markov models with jumps. (2013). TANKOV, PETER ; De Franco, Carmine ; Warin, Xavier . In: Papers. RePEc:arx:papers:1206.5393.

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2013Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression. (2013). Baruník, Jozef ; Barunik, Jozef ; Barunikova, Michaela . In: Papers. RePEc:arx:papers:1208.4831.

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2013Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1208.6486.

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2013Optimal Investment with Stocks and Derivatives. (2013). Siorpaes, Pietro . In: Papers. RePEc:arx:papers:1210.5466.

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2013Homogenization and asymptotics for small transaction costs: the multidimensional case. (2013). Possamai, Dylan ; Touzi, Nizar ; Soner, Mete H.. In: Papers. RePEc:arx:papers:1212.6275.

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2013Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments. (2013). Michalski, Grzegorz. In: Papers. RePEc:arx:papers:1301.3824.

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2013Polish and Silesian Non-Profit Organizations Liquidity Strategies. (2013). Michalski, Grzegorz ; Aleksander, Mercik ; Mercik, Aleksander . In: Papers. RePEc:arx:papers:1301.3825.

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2013A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (2013). Acciaio, Beatrice ; Schachermayer, Walter ; Beiglbock, Mathias ; Penkner, Friedrich . In: Papers. RePEc:arx:papers:1301.5568.

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2013Basis of financial arithmetic from the viewpoint of the utility theory. (2013). Piasecki, Krzysztof. In: Papers. RePEc:arx:papers:1302.0537.

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2013On the Robust superhedging of measurable claims. (2013). Possamai, Dylan ; Touzi, Nizar ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1302.1850.

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2013An Explicit Martingale Version of Breniers Theorem. (2013). Touzi, Nizar ; Henry-Labordere, Pierre . In: Papers. RePEc:arx:papers:1302.4854.

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2013Optimal dividends problem with a terminal value for spectrally positive Levy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Papers. RePEc:arx:papers:1302.6011.

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2013Realtime market microstructure analysis: online Transaction Cost Analysis. (2013). LEHALLE, Charles-Albert ; Beri, Arjun ; Gadhyan, Yutheeka ; Azencott, Robert ; Joseph, Nicolas ; Rowley, Matthew . In: Papers. RePEc:arx:papers:1302.6363.

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2013On the theory of firm in nonlinear dynamic financial and economic systems. (2013). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1302.6721.

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2013Optimal investment and price dependence in a semi-static market. (2013). Siorpaes, Pietro . In: Papers. RePEc:arx:papers:1303.0237.

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2013The Small-Maturity Heston Forward Smile. (2013). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1303.4268.

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2013On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems. (2013). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1304.4807.

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2013Risk measures for processes and BSDEs. (2013). Reveillac, Anthony ; Penner, Irina . In: Papers. RePEc:arx:papers:1304.4853.

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2013Balancing small fixed and proportional transaction cost in trading strategies. (2013). Fahim, Arash ; Alcala, Jose V.. In: Papers. RePEc:arx:papers:1304.7562.

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2013Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (2013). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1305.5575.

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2013To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks. (2013). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1305.5656.

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2013Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information. (2013). O, Hyong-Chol ; Ri, Song-Hun ; Jo, Jong-Jun . In: Papers. RePEc:arx:papers:1305.6988.

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2013Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (2013). Chen, Wei. In: Papers. RePEc:arx:papers:1306.4070.

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2013On the time spent in the red by a refracted L\evy risk process. (2013). Renaud, Jean-Franccois . In: Papers. RePEc:arx:papers:1306.4619.

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2013Explicit Description of HARA Forward Utilities and Their Optimal Portfolios. (2013). Ma, Junfeng ; Choulli, Tahir . In: Papers. RePEc:arx:papers:1307.0785.

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2013On model-independent pricing/hedging using shortfall risk and quantiles. (2013). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1307.2493.

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2013Utility Maximization under Model Uncertainty in Discrete Time. (2013). Nutz, Marcel . In: Papers. RePEc:arx:papers:1307.3597.

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2013Correct usage of transmission coefficient for timing the market. (2013). Racorean, Ovidiu. In: Papers. RePEc:arx:papers:1307.5975.

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2013Quantum Tunneling of Stock Price in Range Bound Market Conditions. (2013). Racorean, Ovidiu. In: Papers. RePEc:arx:papers:1307.6727.

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2013American options with gradual exercise under proportional transaction costs. (2013). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1308.2688.

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2013A pricing measure to explain the risk premium in power markets. (2013). Benth, Fred Espen ; Ortiz-Latorre, Salvador . In: Papers. RePEc:arx:papers:1308.3378.

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2013Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison. (2013). Kim, Changki ; Choi, Yangho ; Lee, Woojoo ; Ahn, Jae Youn . In: Papers. RePEc:arx:papers:1308.3966.

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2013Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363.

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2013A Taylor series approach to pricing and implied vol for LSV models. (2013). Pascucci, Andrea ; Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1308.5019.

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2013G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty. (2013). Chen, Wei. In: Papers. RePEc:arx:papers:1308.6256.

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2013Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model). (2013). O, Hyong-Chol ; Pak, Chol-Hyok ; Kim, Dong-Hyok . In: Papers. RePEc:arx:papers:1309.1647.

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2013A Systematic Approach to Constructing Market Models With Arbitrage. (2013). Ruf, Johannes ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1309.1988.

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