Papers / arXiv.org


0.33

Impact Factor

0.36

5-Years IF

46

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.04
19920.11000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.1
19960.220100 (%)0.1
19970.22151560.42510043 (17.1%)40.270.09
19980.530.240.534459120.226215815849 (18.7%)20.050.13
19990.080.30.0853112140.1348459559575 (15.5%)70.130.15
20000.30.360.3874186720.39529972911243115 (21.7%)80.110.14
20010.370.360.41972831320.476061274718677147 (24.3%)180.190.16
20020.30.370.281123951330.348011715228380162 (20.2%)230.210.18
20030.290.390.281075021530.33902096038010567 (17.2%)60.060.19
20040.230.410.31506522170.3383321950443135182 (21.8%)180.120.18
20050.210.430.281908422520.365025754540151181 (27.8%)150.080.2
20060.230.450.2824510873380.3156734079656181163 (28.7%)120.050.19
20070.180.380.2428513723770.27112143580804191222 (19.8%)270.090.16
20080.180.390.2230216744750.2893853097977219255 (27.2%)180.060.17
20090.220.360.2334220165830.299795871271172272255 (26%)340.10.17
20100.210.340.2148324996560.2610306441381364288317 (30.8%)350.070.15
20110.230.40.25521302010140.3411958251861657410349 (29.2%)970.190.19
20120.220.440.26587360710790.3117410042221933502412 (35.1%)650.110.2
20130.260.490.28707431414220.33145911082882235616616 (42.2%)1140.160.2
20140.330.530.33796511018570.36123512944332640858435 (35.2%)1270.160.23
20150.360.540.35806591622600.381031150354130941095457 (44.3%)1210.150.24
20160.380.630.37970688627820.4748160260234171261322 (43%)1610.170.28
20170.330.660.361066795231300.39538177659338661381316 (58.7%)1910.180.3
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

382
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

289
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

145
42009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

139
52008Multifractal 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

139
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.

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112
71999The 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.

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111
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

104
91999Scaling 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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104
102009Colloquium: 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

100
112004The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233.

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97
122000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

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95
132011Multifractal 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

95
141998Universal 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.

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93
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

91
162010Optimal 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

91
172010Detrending 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

90
181998Inverse 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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87
192004What 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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86
202011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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83
212000Statistical 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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82
222004Networks 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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81
232013Model-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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79
242004The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0311053.

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78
252000Fractional 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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77
262015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008.

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73
272005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

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69
282003Multifractal 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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68
291997Scaling 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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67
302001Exponential 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

67
312011Evolution 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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66
322001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520.

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66
332004Fitness-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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61
342000Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120.

Full description at Econpapers || Download paper

58
352014A 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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58
362006A 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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58
372007On 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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57
381997Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148.

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55
392014Should 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.

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54
402003Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543.

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52
412000Statistical 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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52
422002Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558.

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50
43Quantifying 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
442009Market 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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48
452007Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874.

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47
462007Correlation 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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46
472010Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:0908.1879.

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46
48Agent-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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45
492008Consistent 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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44
502011Quantifying 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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44

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

166
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

73
32009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

68
42015Arbitrage 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

66
52013Model-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

63
62008Multifractal 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

57
72012Co-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

55
82011Multifractal 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

47
92014A 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

46
102010Detrending 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

46
112011The 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

40
122015Detrended 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

38
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

37
142005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448.

Full description at Econpapers || Download paper

37
152009Colloquium: 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

35
162011Evolution 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

32
172015The 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.

Full description at Econpapers || Download paper

32
181999Universal 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

31
192010Optimal 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

31
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

31
212004Networks 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

29
222015DebtRank: A microscopic foundation for shock propagation. (2015). Bardoscia, Marco ; Caccioli, Fabio ; Battiston, Stefano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1504.01857.

Full description at Econpapers || Download paper

29
232000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

Full description at Econpapers || Download paper

28
242007On 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

26
252014What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003.

Full description at Econpapers || Download paper

26
262014The 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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25
272013Average and Quantile Effects in Nonseparable Panel Models. (2013). Hahn, Jinyong ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Newey, Whitney. In: Papers. RePEc:arx:papers:0904.1990.

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23
282015What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645.

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23
292015Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results. (2015). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1212.0442.

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23
302015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592.

Full description at Econpapers || Download paper

23
312001Exponential 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

23
322004The 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

22
332014Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D.. In: Papers. RePEc:arx:papers:1404.0243.

Full description at Econpapers || Download paper

22
342006A 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

22
352003Multifractal 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

22
362004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0312703.

Full description at Econpapers || Download paper

21
372015Optimal 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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21
382013Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1208.6486.

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21
392011Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Damir Filipovi'c, ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1104.5326.

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20
402010Multinetwork 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
412013Limit 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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20
422016Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian. In: Papers. RePEc:arx:papers:1509.01966.

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20
432013Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951.

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19
442011Quantifying 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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19
452005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

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462013Modelling 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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472015On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1503.02822.

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482013Cascading 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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492013Early-warning signals of topological collapse in interbank networks. (2013). Lelyveld, Iman ; Garlaschelli, Diego ; Squartini, Tiziano ; van Lelyveld, Iman. In: Papers. RePEc:arx:papers:1302.2063.

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18
502015Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application. (2015). Xie, Wen-Jie ; Zhou, Wei-Xing ; Xiong, Xiong ; Gu, Gao-Feng ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1509.05952.

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Citing documents used to compute impact factor 593:


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2017Accommodating Different Learning Styles in the Teaching of Economics: with Emphasis on Fleming and Mills¡¯s Sensory-based Learning Style Typology. (2017). Zhang, Hongxiang . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:1:p:72-83.

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2017Amenities and the Social Structure of Cities. (2017). Thisse, Jacques ; MOIZEAU, Fabien ; Gaigne, Carl. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2017-07.

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2017Amenities and the Social Structure of Cities. (2017). Thisse, Jacques ; MOIZEAU, Fabien ; Gaigne, Carl. In: HSE Working papers. RePEc:hig:wpaper:162/ec/2017.

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2017Assignment of Stock Market Coverage. (2017). Hong, Harrison ; Chang, Briana. In: NBER Working Papers. RePEc:nbr:nberwo:23115.

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2017Amenities and the Social Structure of Cities. (2017). Thisse, Jacques ; MOIZEAU, Fabien ; Gaigne, Carl ; Koster, Hans . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11958.

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2017Contract-farming in Staple Food Chains: The Case of Rice in Benin. (2017). Maertens, Miet ; Velde, Katrien Vande . In: World Development. RePEc:eee:wdevel:v:95:y:2017:i:c:p:73-87.

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2017A General Framework for Portfolio Theory. Part I: theory and various models. (2017). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Papers. RePEc:arx:papers:1710.04579.

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2017Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. (2017). Hermes, Andreas ; Maier-Paape, Stanislaus. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:44-:d:110092.

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2017A level-1 Limit Order book with time dependent arrival rates. (2017). Ch, Jonathan A ; Swishchuk, Anatoliy V ; Bruno, ; Elliott, Robert J. In: Papers. RePEc:arx:papers:1704.06572.

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2017BSDEs with weak reflections and partial hedging of American options. (2017). Dumitrescu, Roxana ; Zhou, Chao ; Sabbagh, Wissal ; Elie, Romuald. In: Papers. RePEc:arx:papers:1708.05957.

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2017GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS. (2017). Swishchuk, Anatoliy ; Schmidt, Julia ; Cera, Katharina ; Hofmeister, Tyler . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500194.

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2017Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis. (2017). Yoon, Seong-Min ; Tiwari, Aviral ; Mensi, walid. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:135-146.

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2017Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200.

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2017Pathwise superhedging on prediction sets. (2017). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2017Exponentially concave functions and a new information geometry. (2017). Pal, Soumik ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1605.05819.

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2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

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2017ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051.

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2017Dead Alphas as Risk Factors. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1709.06641.

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2017Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210.

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2017SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. (2017). Ararat, Ain ; Rudloff, Birgit ; Hamel, Andreas H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261.

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2017From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

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2017NEW ACCOUNTING OPPORTUNITIES AND RELATED CREATION AND DEVELOPMENT OF VIRTUAL SPACE. (2017). DIMITRIU, MIHAIL. In: Contemporary Economy Journal. RePEc:brc:brccej:v:2:y:2017:i:1:p:109-125.

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2017The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective. (2017). F. Saporito, Yuri ; Zubelli, Jorge P ; Yang, XU. In: Papers. RePEc:arx:papers:1711.03023.

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2017Long-range properties and data validity for hydrogeological time series: The case of the Paglia river. (2017). Lupi, Claudio ; Cerqueti, Roy ; ausloos, marcel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:39-50.

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2017Data science for assessing possible tax income manipulation: The case of Italy. (2017). ausloos, marcel ; Mir, Tariq A ; Cerqueti, Roy. In: Papers. RePEc:arx:papers:1709.02129.

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2017Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania. (2017). Oancea, Bogdan ; Andrei, Tudorel ; Herteliu, Claudiu ; Dhesi, Gurjeet ; Richmond, Peter. In: Papers. RePEc:arx:papers:1709.07960.

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2017Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate. (2017). Cheng, Zailei. In: Papers. RePEc:arx:papers:1705.08411.

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2017Optimal dividends in the dual risk model under a stochastic interest rate. (2017). Cheng, Zailei. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500104.

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2017The joint mortality of couples in continuous time. (2017). Jevti, P ; Hurd, T R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:90-97.

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2017Identification of market trends with string and D2-brane maps. (2017). Barto, Erik ; Pinak, Richard . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:57-70.

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2017The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter. (2017). , Caiping ; Yang, Yonghong ; Zhao, Huichang ; Xiong, Gang ; Zhang, Shuning . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:839-854.

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2017Do they make a difference? Professional team sports clubs’ effects on migration and local growth: Evidence from Denmark. (2017). Storm, Rasmus K ; Jakobsen, Tor Georg ; Thomsen, Frederik . In: Sport Management Review. RePEc:eee:spomar:v:20:y:2017:i:3:p:285-295.

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2017How to Bid Better for the Olympics: A Participatory Mega-Event Planning Strategy for Local Legacies. (2017). Kassens-Noor, Eva ; Lauermann, John. In: Journal of the American Planning Association. RePEc:taf:rjpaxx:v:83:y:2017:i:4:p:335-345.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2017Faraway, so Close: Coupled Climate and Economic Dynamics in an Agent-Based Integrated Assessment Model. (2017). Roventini, Andrea ; Napoletano, Mauro ; Lamperti, Francesco ; Dosi, Giovanni ; Sapio, Alessandro. In: LEM Papers Series. RePEc:ssa:lemwps:2017/12.

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2017Complexity and the Economics of Climate Change: A Survey and a Look Forward. (2017). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, A ; Balint, T. In: Ecological Economics. RePEc:eee:ecolec:v:138:y:2017:i:c:p:252-265.

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2017Complexity and the economics of climate change : a survey and a look foreward. (2017). Roventini, Andrea ; Mandel, Antoine ; Sapio, Sandro ; Napoletano, Mauro ; Lamperti, Francesco ; Balint, Tomas. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4.

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2017An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1701.08972.

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2017Purchasing casualty insurance to avoid lifetime ruin. (2017). Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:133-142.

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2017Effective asymptotic analysis for finance. (2017). Grunspan, Cyril ; van der Hoeven, Joris . In: Working Papers. RePEc:hal:wpaper:hal-01573621.

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2017AN EXPLICIT IMPLIED VOLATILITY FORMULA. (2017). Stefanica, Dan ; Radoii, Rado. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480.

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2017TIGHTER BOUNDS FOR IMPLIED VOLATILITY. (2017). Gatheral, Jim ; Stefanica, Dan ; Radoii, Rado ; Mati, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500352.

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2017Non-Gaussian analytic option pricing: a closed formula for the L\evy-stable model. (2017). Aguilar, Jean-Philippe ; Coste, Cyril . In: Papers. RePEc:arx:papers:1609.00987.

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2017American option valuation under time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:57-68.

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2017A series representation for the Black-Scholes formula. (2017). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1710.01141.

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2017Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (2017). Aguilar, Jean-Philippe ; Korbel, Jan ; Coste, Cyril . In: Papers. RePEc:arx:papers:1712.04990.

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2017Concept of dynamic memory in economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088.

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2017Performance assessment and degradation analysis of solar photovoltaic technologies: A review. (2017). Kumar, Manish. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:78:y:2017:i:c:p:554-587.

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2017Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life. (2017). Furtado, Bernardo ; Liu, Fei ; Tseng, Francis . In: Papers. RePEc:arx:papers:1703.05240.

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2017An applied spatial agent-based model of administrative boundaries using SEAL. (2017). Furtado, Bernardo ; Eberhardt, Isaque Daniel . In: Papers. RePEc:arx:papers:1702.03226.

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2017Whose Balance Sheet is this? Neural Networks for Banks Pattern Recognition. (2017). León, Carlos ; Rincon, Carlos Leon ; Cely, Jorge ; Moreno, Jose Fernando . In: Discussion Paper. RePEc:tiu:tiucen:75d8648e-9855-4c5c-9aa9-0d92cc522e1b.

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2017Early Warning Systems for Currency Crises with Real-Time Data. (2017). Kuper, Gerard ; Jacobs, Jan ; Boonman, Tjeerd ; Romero, Alberto. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-18.

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2017Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Gonzalez, Federico ; Schervish, Mark . In: Papers. RePEc:arx:papers:1707.01167.

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2017Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01512430.

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2017Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. (2017). Achab, Massil ; Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:1706.03411.

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2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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2017Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models. (2017). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1703.

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2017On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting. (2017). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1702.

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2017Variance stabilizing transformations for electricity spot price forecasting. (2017). Weron, Rafał ; Uniejewski, Bartosz ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1701.

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2017The value of electricity and reserve services in low carbon electricity systems. (2017). Staffell, Iain ; Vijay, Avinash ; Hawkes, Adam ; Fouquet, Nicolas . In: Applied Energy. RePEc:eee:appene:v:201:y:2017:i:c:p:111-123.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017The decline of solvency contagion risk. (2017). Hill, John ; Bardoscia, Marco ; Codd, Adam Brinley ; Barucca, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0662.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719.

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2017Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (2017). Cozma, Andrei ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1704.07321.

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2017Cost-benefit analysis of transport improvements in the presence of spillovers, matching and an income tax. (2017). Fosgerau, Mogens ; Eliasson, Jonas. In: MPRA Paper. RePEc:pra:mprapa:76526.

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2017Cost-benefit analysis of transport improvements in the presence of spillovers, matching and an income tax. (2017). Fosgerau, Mogens ; Eliasson, Jonas. In: Working papers in Transport Economics. RePEc:hhs:ctswps:2017_003.

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2017Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351.

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2017The specific shapes of gender imbalance in scientific authorships: A network approach. (2017). Araújo, Tanya ; Fontainha, Elsa ; Araujo, Tanya. In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:1:p:88-102.

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2017The topology of inter-industry relations from the Portuguese national accounts. (2017). Araújo, Tanya ; Faustino, Rui ; Araujo, Tanya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:236-248.

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2017Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data. (2017). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Working Papers. RePEc:pre:wpaper:201771.

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2017Measuring Resilience in Malawi. (2017). Jensen, Nathaniel ; Constas, Mark A ; Knippenberg, Erwin. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258229.

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2017Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098.

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2017The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x.

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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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2017From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks. (2017). Straka, Mika J ; Saracco, Fabio ; Squartini, Tiziano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1710.10143.

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2017Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2017Double/debiased machine learning for treatment and structural parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney K ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:28/17.

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2017Bounds for VIX Futures given S&P 500 Smiles. (2017). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832.

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2017Change of numeraire in the two-marginals martingale transport problem. (2017). Laachir, Ismail ; Campi, Luciano ; Martini, Claude. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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2017Bounds for VIX futures given S&P 500 smiles. (2017). Guyon, Julien ; Nutz, Marcel ; Menegaux, Romain . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0334-6.

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2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Derivatives Clearing and Brexit: A comment on the proposed EMIR revisions. (2017). Lannoo, Karel. In: ECMI Papers. RePEc:eps:ecmiwp:13150.

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2017Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets. (2017). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:266-272.

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2017Generalized Cauchy model of sea level fluctuations with long-range dependence. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:309-335.

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2017Distributed demand-side energy management scheme in residential smart grids: An ordinal state-based potential game approach. (2017). Liu, Feng ; Liang, Yile ; Mei, Shengwei ; Wang, Cheng. In: Applied Energy. RePEc:eee:appene:v:206:y:2017:i:c:p:991-1008.

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2017A review on implementation strategies for demand side management (DSM) in Kuwait through incentive-based demand response programs. (2017). Alasseri, Rajeev ; Sreekanth, K J ; Rao, Joji T ; Tripathi, Ashish . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:617-635.

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2017On the Blacks equation for the risk tolerance function. (2017). Kallblad, Sigrid ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1705.07472.

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2017Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. (2017). Agarwal, Ankush ; Liu, Gang ; Gobet, Emmanuel ; de Marco, Stefano. In: Working Papers. RePEc:hal:wpaper:hal-01219616.

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2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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2017Preferences Over all Random Variables: Incompatibility of Convexity and Continuity. (2017). Zimper, Alexander ; Assa, Hirbod. In: Working Papers. RePEc:pre:wpaper:201714.

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2017FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA. (2017). Gulerce, Mustafa ; Unal, Gazanfer. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:03:n:s2010495217500129.

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2017Co-movement of precious metals and forecasting using scale by scale wavelet transform. (2017). Oral, Emrah ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500074.

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2017Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327.

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2017Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers. (2017). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Zunino, Luciano . In: Papers. RePEc:arx:papers:1704.04442.

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2017The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802.

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2017Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options. (2017). Leung, Tim ; Guo, Kevin . In: Papers. RePEc:arx:papers:1610.09403.

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2017Demographic Catastrophes Did Not Shape the Growth of Human Population or the Economic Growth. (2017). Nielsen, Ron W. In: Journal of Economic and Social Thought. RePEc:ksp:journ3:v:4:y:2017:i:2:p:121-141.

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2017On the existence of shadow prices for optimal investment with random endowment. (2017). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing . In: Papers. RePEc:arx:papers:1602.01109.

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2017On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752.

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2017Trading Lightly: Cross-Impact and Optimal Portfolio Execution. (2017). Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe ; Eisler, Zoltan ; Benzaquen, Michael. In: Papers. RePEc:arx:papers:1702.03838.

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2017Learning to forecast, risk aversion, and microstructural aspects of financial stability. (2017). Biondo, Alessio Emanuele. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017104.

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2017INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Sasai, Kazuto ; Kinoshita, Tetsuo ; Gunji, Yukio-Pegio. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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2017On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169.

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2017Population and Economic Growth in Australia: 8,000 BC - AD 1700 Extended to 60,000 BC. (2017). Nielsen, Ron W. In: Journal of Economic and Social Thought. RePEc:ksp:journ3:v:4:y:2017:i:1:p:41-54.

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2017Changing the direction of the economic and demographic research. (2017). Nielsen, Ron W. In: Journal of Economics Library. RePEc:ksp:journ5:v:4:y:2017:i:3:p:288-309.

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2017Puzzling Features of the Historical Income per Capita Distributions Explained. (2017). Nielsen, Ron W. In: Journal of Economics Bibliography. RePEc:ksp:journ6:v:4:y:2017:i:1:p:10-24.

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2017Explaining the Origin of the Anthropocene and Predicting Its Future. (2017). Nielsen, Ron W. In: Journal of Economic and Social Thought. RePEc:ksp:journ3:v:4:y:2017:i:4:p:354-386.

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2017Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111.

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2017Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models. (2017). Leorato, Samantha ; Billé, Anna Gloria ; Bille, Anna Gloria. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps44.

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2017Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan. In: Papers. RePEc:arx:papers:1610.00778.

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2017The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models. (2017). Qin, Likuan ; Linetsky, Vadim. In: Papers. RePEc:arx:papers:1610.00818.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2017Application of Differential Equations in Projecting Growth Trajectories. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1705.06557.

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2017Changing the Direction of the Economic and Demographic Research. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1708.08673.

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2017Application of differential equations in projecting growth trajectories. (2017). Nielsen, Ron W. In: Journal of Economics Bibliography. RePEc:ksp:journ6:v:4:y:2017:i:3:p:203-221.

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2017Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (2017). Ranganathan, Sindhuja ; Kanniainen, Juho ; Kivela, Mikko . In: Papers. RePEc:arx:papers:1708.04430.

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2017Correlations and Clustering in Wholesale Electricity Markets. (2017). Cui, Tianyu ; Ududec, Cozmin ; Caravelli, Francesco. In: Papers. RePEc:arx:papers:1710.11184.

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2017How Safe are Central Counterparties in Derivatives Markets?. (2017). Young, Peyton H ; Paddrik, Mark. In: Economics Series Working Papers. RePEc:oxf:wpaper:826.

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2017How Safe are Central Counterparties in Derivatives Markets?. (2017). Paddrik, Mark ; Young, Peyton H. In: Working Papers. RePEc:ofr:wpaper:17-06.

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2017On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13.

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2017Monetary Policy Transmission in a Macroeconomic Agent-Based Model. (2017). Schasfoort, Joeri ; Kinsella, Stephen ; Godin, Antoine ; Caiani, Alessandro ; Bezemer, Dirk. In: Research Report. RePEc:gro:rugsom:17010-gem.

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2017A Regional Oil Extraction and Consumption Model. Part II: Predicting the Declines in Regional Oil Consumption. (2017). Dittmar, Michael . In: Biophysical Economics and Resource Quality. RePEc:spr:bioerq:v:2:y:2017:i:4:d:10.1007_s41247-017-0032-1.

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2017Testing and confidence intervals for high dimensional proportional hazards models. (2017). Fang, Ethan X ; Liu, Han ; Ning, Yang. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1415-1437.

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2017Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2017). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2017Socio-economic inequality: Relationship between Gini and Kolkata indices. (2017). Chatterjee, Arnab ; Chakrabarti, Bikas K ; Ghosh, Asim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:583-595.

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2017A diffusion approximation for limit order book models. (2017). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1608.01795.

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2017Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios. (2017). Chatsanga, Nonthachote ; Parkes, Andrew J. In: Papers. RePEc:arx:papers:1704.01174.

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2017Martingale Benamou--Brenier: a probabilistic perspective. (2017). Veraguas, Julio Backhoff ; Kallblad, Sigrid ; Huesmann, Martin ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1708.04869.

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2017Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545.

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2017Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2017Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779.

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2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Hyperinflation in Brazil, Israel, and Nicaragua revisited. (2017). Szybisz, Martin A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:1-12.

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2017Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65.

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2017Mapping the interconnectedness between EU banks and shadow banking entities. (2017). Portes, Richard ; Peltonen, Tuomas ; Killeen, Neill ; Abad, Jorge ; Luz, Vera ; D'Errico, Marco ; Urbano, Teresa . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11919.

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2017Mapping the interconnectedness between EU banks and shadow banking entities. (2017). Portes, Richard ; Peltonen, Tuomas ; Killeen, Neill ; Abad, Jorge ; Urbano, Teresa ; Luz, Vera ; Derrico, Marco. In: ESRB Working Paper Series. RePEc:srk:srkwps:201740.

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2017How does risk flow in the credit default swap market?. (2017). Peltonen, Tuomas ; Scheicher, Martin ; Battiston, Stefano ; D'Errico, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172041.

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2017Mapping the Interconnectedness between EU Banks and Shadow Banking Entities. (2017). Portes, Richard ; Peltonen, Tuomas ; Killeen, Neill ; Abad, Jorge ; Urbano, Teresa ; Luz, Vera ; D'Errico, Marco. In: NBER Working Papers. RePEc:nbr:nberwo:23280.

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2017Monitoring vulnerability and impact diffusion in financial networks. (2017). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:109-135.

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2017Optimal equity infusions in interbank networks. (2017). Amini, Hamed ; Sulem, Agnes ; Minca, Andreea. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:1-17.

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2017On Drawdown-Modulated Feedback Control in Stock Trading. (2017). Hsieh, Chung-Han ; Barmish, Ross B. In: Papers. RePEc:arx:papers:1710.01503.

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2017Modelling the rebound effect with network theory: An insight into the European freight transport sector. (2017). Ruzzenenti, Franco ; Basosi, Riccardo . In: Energy. RePEc:eee:energy:v:118:y:2017:i:c:p:272-283.

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2017Employment in the North of Russia: Microdata Analysis. (2017). Giltman, M. In: Journal of the New Economic Association. RePEc:nea:journl:y:2017:i:35:p:103-124.

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2017A new physical model for earthquake time interval distribution. (2017). Liu, Guoliang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:62-65.

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2017Statistical modeling of the Internet traffic dynamics: To which extent do we need long-term correlations?. (2017). Markelov, Oleg ; Bogachev, Mikhail ; Duc, Viet Nguyen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:48-60.

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2017Financial Time Series Prediction Using Deep Learning. (2017). Navon, Ariel ; Keller, Yosi. In: Papers. RePEc:arx:papers:1711.04174.

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2017On the overestimation of the largest eigenvalue of a covariance matrix. (2017). Hayou, Soufiane . In: Papers. RePEc:arx:papers:1708.03551.

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2017The q-dependent detrended cross-correlation analysis of stock market. (2017). Zhao, Longfeng ; Stanley, Eugene H ; Wang, Yougui ; Podobnik, Boris ; Fenu, Andrea ; Li, Wei. In: Papers. RePEc:arx:papers:1705.01406.

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2017Convergence of utility indifference prices to the superreplication price in a multiple-priors framework. (2017). Blanchard, Romain ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1709.09465.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2017A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs. (2017). Fahim, Arash ; Tsai, Wan-Yu. In: Papers. RePEc:arx:papers:1711.01017.

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2017An indifference approach to the cost of capital constraints: KVA and beyond. (2017). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: Papers. RePEc:arx:papers:1708.05319.

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2017Revisiting r>g—The asymptotic dynamics of wealth inequality. (2017). Berman, Yonatan ; Shapira, Yoash . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:562-572.

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2017Uncovering Offshore Financial Centers: Conduits and Sinks in the Global Corporate Ownership Network. (2017). Garcia-Bernardo, Javier ; Fichtner, Jan ; Takes, Frank W ; Heemskerk, Eelke M. In: Papers. RePEc:arx:papers:1703.03016.

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2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

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2017Volatility smile as relativistic effect. (2017). Kakushadze, Zura. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:475:y:2017:i:c:p:59-76.

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2017COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK. (2017). Feng, Qian ; Oosterlee, Cornelis W. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s021902491750056x.

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2017Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data. (2017). Gallegati, Mauro ; Hosseiny, Ali . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:51-59.

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2017A geometrical imaging of the real gap between economies of China and the United States. (2017). Hosseiny, Ali . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:151-161.

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2017A Blockchain Research Framework. (2017). Risius, Marten ; Spohrer, Kai. In: Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK. RePEc:spr:binfse:v:59:y:2017:i:6:d:10.1007_s12599-017-0506-0.

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2017A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector. (2017). Sen, Jaydip ; Chaudhuri, Tamal Datta. In: Papers. RePEc:arx:papers:1705.01144.

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2017Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2017). Cozma, Andrei ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1706.07375.

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2017Active learning with a misspecified prior. (2017). Fudenberg, Drew ; Romanyuk, Gleb ; Strack, Philipp. In: Theoretical Economics. RePEc:the:publsh:2480.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2017Three different ways synchronization can cause contagion in financial markets. (2017). Massad, Naji ; Andersen, Jorgen-Vitting. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01673333.

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2017Three different ways synchronization can cause contagion in financial markets. (2017). Massad, Naji ; Andersen, Jorgen Vitting. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17059.

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2017From Proof of Concept to Scalable Policies: Challenges and Solutions, with an Application. (2017). Berry, James ; Banerjee, Abhijit ; Walton, Michael ; Shotland, Marc ; Mukerji, Shobhini ; Kannan, Harini ; Duflo, Esther ; Banerji, Rukmini. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11762.

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2017Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach. (2017). Strittmatter, Anthony ; Lechner, Michael ; Knaus, Michael. In: Economics Working Paper Series. RePEc:usg:econwp:2017:11.

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2017Placebo Tests for Synthetic Controls. (2017). Pinto, Cristine ; Ferman, Bruno. In: MPRA Paper. RePEc:pra:mprapa:78079.

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2017Robust Synthetic Control. (2017). Amjad, Muhammad Jehangir ; Shen, Dennis ; Shah, Devavrat. In: Papers. RePEc:arx:papers:1711.06940.

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2017Cohesion Policy Incentives for Collaborative Industrial Research. The Evaluation of a Smart Specialisation Forerunner Programme. (2017). de Blasio, Guido ; Giua, Mara ; Crescenzi, Riccardo. In: Department of Economics University of Siena. RePEc:usi:wpaper:769.

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2017Natural disasters and university enrolment: evidence from L’Aquila earthquake. (2017). Di Pietro, Giorgio ; Cerqua, Augusto. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:14:p:1440-1457.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM. (2017). Deng, Pingjin ; Li, Xiufang. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750042x.

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2017Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type. (2017). Beutner, Eric ; Urbain, Jean-Pierre ; Reese, Simon. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:117-125.

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2017Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components. (2017). Toczydlowska, Dorota ; Shevchenko, Pavel V ; Fung, Man Chung ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:42-:d:106077.

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2017Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292.

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2017The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332.

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2017The distant echo of Brexit: Did exporters suffer the most?. (2017). Jackowicz, Krzysztof ; Podgorski, Baej ; Kozowski, Ukasz. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:132-139.

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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2017Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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2017The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk. (2017). Ormos, Mihály ; Dusan, Timotity . In: The B.E. Journal of Theoretical Economics. RePEc:bpj:bejtec:v:17:y:2017:i:2:p:14:n:8.

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2017The unspoken question: A response to Thomas and Ormerod. (2017). Wood, Roy C. In: Tourism Management. RePEc:eee:touman:v:62:y:2017:i:c:p:390-393.

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2017One-Switch Discount Functions. (2017). Anchugina, Nina . In: Papers. RePEc:arx:papers:1702.02254.

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2017Extended nonlinear feedback model for describing episodes of high inflation. (2017). Szybisz, Leszek . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:91-108.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495.

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2017Firm-level simulation of supply chain disruption triggered by actual and predicted earthquakes. (2017). Todo, Yasuyuki ; Inoue, Hiroyasu. In: MPRA Paper. RePEc:pra:mprapa:82920.

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2017Rough volatility: evidence from option prices. (2017). Pallavicini, Andrea ; Livieri, Giulia ; Rosenbaum, Mathieu ; Mouti, Saad . In: Papers. RePEc:arx:papers:1702.02777.

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2017Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2017Perfect hedging in rough Heston models. (2017). Rosenbaum, Mathieu ; el Euch, Omar. In: Papers. RePEc:arx:papers:1703.05049.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933.

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2017Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading. (2017). Gao, Xuefeng ; Zhu, Lingjiong ; Zhou, Xiang. In: Papers. RePEc:arx:papers:1710.01452.

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2017A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481.

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2017Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2017Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa . In: Papers. RePEc:arx:papers:1707.01600.

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2017An exact and robust conformal inference method for counterfactual and synthetic controls. (2017). Chernozhukov, Victor ; Wuthrich, Kaspar. In: CeMMAP working papers. RePEc:ifs:cemmap:62/17.

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2017Some Results on Skorokhod Embedding and Robust Hedging with Local Time. (2017). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:1511.07230.

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2017Conditional Retrospective Voting in Large Elections. (2017). Esponda, Ignacio ; Pouzo, Demian. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:9:y:2017:i:2:p:54-75.

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2017Bounded Rationality And Learning: A Framework and A Robustness Result. (2017). Bohren, Aislinn ; Hauser, Daniel . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12036.

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2017Learning and Equilibrium Refinements in Signalling Games. (2017). He, Kevin ; Fudenberg, Drew. In: Papers. RePEc:arx:papers:1709.01024.

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2017The Streisand effect: Signaling and partial sophistication. (2017). Koessler, Frederic ; Hagenbach, Jeanne. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:143:y:2017:i:c:p:1-8.

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2017Model Averaging and Persistent Disagreement. (2017). Kasa, Kenneth ; Cho, Inkoo. In: Review. RePEc:fip:fedlrv:00085.

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2017A Mean Field Competition. (2017). Nutz, Marcel ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1708.01308.

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2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1709.07329.

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2017Incomplete stochastic equilibria for dynamic monetary utility. (2017). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao. In: Papers. RePEc:arx:papers:1505.07224.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Working Papers. RePEc:hal:wpaper:hal-01598651.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742.

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2017Regularities and irregularities in order flow data. (2017). Theissen, Martin ; Guhr, Thomas ; Krause, Sebastian M. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:90:y:2017:i:11:d:10.1140_epjb_e2017-80087-6.

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2017Credit default prediction and parabolic potential theory. (2017). Bedini, Matteo L ; Hinz, Michael . In: Statistics & Probability Letters. RePEc:eee:stapro:v:124:y:2017:i:c:p:121-125.

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2017Die wirtschaftliche Entwicklung im Ausland: Leichte Belebung der internationalen Konjunktur. (2017). Schmidt, Torsten ; Micheli, Martin ; Döhrn, Roland ; Blagov, Boris ; Dohrn, Roland ; Grozea-Helmenstein, Daniela ; Rujin, Svetlana ; Jager, Philipp. In: RWI Konjunkturberichte. RePEc:zbw:rwikon:156192.

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2017Transportation Infrastructure and Economic Growth in a Dissolving Country: (Ir)relevance of Railroads in the Ottoman Empire. (2017). Hanedar, Avni. In: MPRA Paper. RePEc:pra:mprapa:77974.

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2017Is road infrastructure investment in China excessive? Evidence from productivity of firms. (2017). Li, Zhigang ; Chen, Bin R ; Wu, Mingqin . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:116-126.

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2017Beyond cost-benefit analysis: the search for a comprehensive evaluation of transport investment. (2017). Vickerman, Roger. In: Research in Transportation Economics. RePEc:eee:retrec:v:63:y:2017:i:c:p:5-12.

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2017Decoding Stock Market with Quant Alphas. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1708.02984.

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2017Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1703.00703.

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2017How to combine a billion alphas. (2017). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:1:d:10.1057_s41260-016-0004-9.

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2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1701.00875.

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2017Optimal mean-reverting spread trading: nonlinear integral equation approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0295-y.

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2017Econophysics Macroeconomic Model. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1701.06625.

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2017Econophysics: Past and present. (2017). de Area, Eder Johnson ; da Silva, Marcus Fernandes . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:251-261.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2017An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2017). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying. In: Papers. RePEc:arx:papers:1607.02289.

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2017Modeling loss-propagation in the global supply network: The dynamic agent-based model acclimate. (2017). Wenz, L ; Frieler, K ; Levermann, A ; Willner, S N ; Otto, C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:232-269.

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2017Low Temperature Selective Catalytic Reduction Using Molding Catalysts Mn-Ce/FA and Mn-Ce/FA-30%TiO 2. (2017). Gou, Xiang ; Iram, Saima ; Li, Yamei ; Zhao, Dong ; Liu, Shian ; Wu, Chunfei ; Wang, Yating . In: Energies. RePEc:gam:jeners:v:10:y:2017:i:12:p:2084-:d:122132.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Machine learning methods for solar radiation forecasting: A review. (2017). Notton, Gilles ; Voyant, Cyril ; Fouilloy, Alexis ; Motte, Fabrice ; Paoli, Christophe ; Nivet, Marie-Laure ; Kalogirou, Soteris. In: Renewable Energy. RePEc:eee:renene:v:105:y:2017:i:c:p:569-582.

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2017Forecasting method for global radiation time series without training phase: Comparison with other well-known prediction methodologies. (2017). Voyant, Cyril ; Nivet, Marie-Laure ; Paoli, Christophe ; Notton, Gilles ; Fouilloy, Alexis ; Motte, Fabrice. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:199-208.

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2017Uncertainties in global radiation time series forecasting using machine learning: The multilayer perceptron case. (2017). Voyant, Cyril ; Motte, Fabrice ; Fouilloy, Alexis ; Darras, Christophe ; Notton, Gilles. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:248-257.

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2017Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517.

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2017Pathwise superreplication via Vovk’s outer measure. (2017). Beiglbock, Mathias ; Promel, David J ; Perkowski, Nicolas ; Huesmann, Martin ; Alexander, . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0338-2.

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2017Income inequality in Romania: The exponential-Pareto distribution. (2017). Oancea, Bogdan ; Andrei, Tudorel ; Pirjol, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:486-498.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454.

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2017High-dimensional simultaneous inference with the bootstrap. (2017). Dezeure, Ruben ; Zhang, Cun-Hui ; Buhlmann, Peter. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:4:d:10.1007_s11749-017-0554-2.

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2017Systemic Risk Management in Financial Networks with Credit Default Swaps. (2017). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1601.02156.

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2017Does Financial Tranquility Call for More Stringent Regulation?. (2017). Basak, Deepal ; Zhao, Yunhui ; Murray, Alexander. In: MPRA Paper. RePEc:pra:mprapa:81373.

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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017Systemic Risk in Financial Systems: a feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:461.

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2017Incentivizing resilience in financial networks. (2017). Leduc, Matt V ; Thurner, Stefan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:44-66.

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2017Systemic risk in financial systems: A feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:144:y:2017:i:c:p:97-120.

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2017The effect of heterogeneity on financial contagion due to overlapping portfolios. (2017). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69678.

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2017OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION. (2017). Zou, Bin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500145.

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2017A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Yudovina, Elena ; Kelly, Frank . In: Papers. RePEc:arx:papers:1504.00579.

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2017Modeling partial Greeks of variable annuities with dependence. (2017). Gan, Guojun ; Valdez, Emiliano A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:118-134.

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2017Long-range correlation and market segmentation in bond market. (2017). Wang, Zhongxing ; Chen, Xiaosong ; Yan, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:477-485.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. (2017). Brautigam, Marcel ; Nielsen, Jens P ; Guillen, Montserrat. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:3:d:10.1057_s41288-017-0056-1.

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2017The multiplex dependency structure of financial markets. (2017). Musmeci, Nicolo ; Latora, Vito ; di Matteo, Tiziana ; Aste, Tomaso ; Nicosia, Vincenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85337.

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2017A High Frequency Trade Execution Model for Supervised Learning. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1710.03870.

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2017Optimal Portfolio under Fractional Stochastic Environment. (2017). Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1703.06969.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Zipfs law for share price and company fundamentals. (2017). Kaizoji, Taisei ; Miyano, Michiko . In: Papers. RePEc:arx:papers:1702.00144.

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2017Gaussian processes for computer experiments. (2017). Rulliere, Didier ; Maatouk, Hassan ; Contal, Emile ; Bachoc, Franois . In: Post-Print. RePEc:hal:journl:hal-01665936.

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2017Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options. (2017). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1706.09659.

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2017Short Maturity Asian Options for the CEV Model. (2017). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1702.03382.

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2017Short Maturity Forward Start Asian Options in Local Volatility Models. (2017). Pirjol, Dan ; Zhu, Lingjiong ; Wang, Jing. In: Papers. RePEc:arx:papers:1710.03160.

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2017Risk-Minimizing Hedging of Counterparty Risk. (2017). Bo, Lijun ; Ceci, Claudia ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1709.01115.

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2017SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364.

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2017Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2017). Yang, Zhou ; Zhou, Chao ; Liang, Gechun. In: Papers. RePEc:arx:papers:1711.02939.

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2017Modelling Crypto-Currencies Financial Time-Series. (2017). Catania, Leopoldo ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:417.

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2017Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. (2017). Shevchenko, Pavel V ; Luo, Xiaolin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:104-117.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1705.03787.

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2017Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose . In: Staff Working Papers. RePEc:bca:bocawp:17-30.

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2017Clearing algorithms and network centrality. (2017). Siebenbrunner, Christoph. In: Papers. RePEc:arx:papers:1706.00284.

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2017Two Stage Analysis of Successful Change Implementation of Knowledge Management Strategies in Energy Companies from Romania. (2017). Ceptureanu, Sebastian Ion ; Vlad, Liviu Bogdan ; Popescu, Doina I. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:12:p:1965-:d:120380.

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2017Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (2017). Cai, Jun ; Mao, Tiantian ; Wang, Ying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:105-116.

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2017Set-valued risk statistics with scenario analysis. (2017). Chen, Yanhong ; Hu, Yijun. In: Statistics & Probability Letters. RePEc:eee:stapro:v:131:y:2017:i:c:p:25-37.

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2017Getting rich quick with the Axiom of Choice. (2017). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1604.00596.

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2017The role of measurability in game-theoretic probability. (2017). Vovk, Vladimir. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0336-4.

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2017Duality formulas for robust pricing and hedging in discrete time. (2017). Cheridito, Patrick ; Tangpi, Ludovic ; Kupper, Michael. In: Papers. RePEc:arx:papers:1602.06177.

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2017The Fatou Closedness under Model Uncertainty. (2017). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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2017Structural experimentation to distinguish between models of risk sharing with frictions in rural Paraguay. (2017). Schechter, Laura ; Ligon, Ethan. In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series. RePEc:cdl:agrebk:qt9891t8g3.

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2017The Evolution of Reputation-Based Cooperation in Regular Networks. (2017). Sasaki, Tatsuya ; Uchida, Satoshi ; Okada, Isamu ; Yamamoto, Hitoshi . In: Games. RePEc:gam:jgames:v:8:y:2017:i:1:p:8-:d:88449.

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2017Logit selection promotes cooperation in voluntary public goods game. (2017). Lu, Jinna ; Zhang, Xiaoguang ; Wang, Yi-ling . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:310:y:2017:i:c:p:134-138.

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2017Publishing the donation list incompletely promotes the emergence of cooperation in public goods game. (2017). Chen, Qiao ; Wang, Yongjie. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:310:y:2017:i:c:p:48-56.

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2017Asymmetric evaluation promotes cooperation in network population. (2017). Shen, Chen ; Deng, Zhenghong ; Shi, Lei ; Li, Xiaoping. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:391-397.

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2017Strategy-updating depending on local environment enhances cooperation in prisoner’s dilemma game. (2017). Zhang, Yifan ; Li, YA ; Ali, Y ; Shu, Gang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:301:y:2017:i:c:p:224-232.

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2017A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Yudovina, Elena ; Kelly, Frank . In: Papers. RePEc:arx:papers:1504.00579.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495.

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2017Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599.

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2017Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2017). Yang, Zhou ; Zhou, Chao ; Liang, Gechun. In: Papers. RePEc:arx:papers:1711.02939.

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2017Power law cross-correlations between price change and volume change of Indian stocks. (2017). Hasan, Rashid ; Salim, Mohammed M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:620-631.

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2017Cross-border investment expenditure spillovers in European gas infrastructure. (2017). Scholtens, Bert ; Bouwmeester, Maaike C. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:371-380.

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2017Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933.

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2017Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Papers. RePEc:arx:papers:1604.06609.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-01305929.

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2017Post-hit dynamics of price limit hits in the Chinese stock markets. (2017). Li, Ming-Xia ; Wang, Yue ; Wu, Ting. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:464-471.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354.

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2017How to combine a billion alphas. (2017). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:1:d:10.1057_s41260-016-0004-9.

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2017American options in an imperfect market with default. (2017). Dumitrescu, Roxana ; Sulem, Agnes ; Quenez, Marie-Claire. In: Papers. RePEc:arx:papers:1708.08675.

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2017DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS. (2017). Moreni, Nicola ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500406.

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2017Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01520655.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2017Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:185-195.

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2017Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2017_004.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277.

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2017Statistical Inference for Expectile-based Risk Measures. (2017). Kratschmer, Volker ; Zahle, Henryk. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:2:p:425-454.

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2017Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17006.

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2017Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis. (2017). Zhang, Hong ; Dong, Keqiang ; Gao, You. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:363-369.

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2017Is home sharing driving up rents? Evidence from Airbnb in Boston. (2017). Merante, Mark ; Horn, Keren. In: Journal of Housing Economics. RePEc:eee:jhouse:v:38:y:2017:i:c:p:14-24.

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2017An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1706.09224.

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2017Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy. (2017). Ma, Junjun ; Zhang, Wei ; He, Feng ; Xiong, Xiong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:169-180.

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2017New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840.

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2017The consumption–investment decision of a prospect theory household: A two-period model. (2017). Tsigaris, Panagiotis ; Hlouskova, Jaroslava ; Fortin, Ines . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:70:y:2017:i:c:p:74-89.

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2017A note on optimal expected utility of dividend payments with proportional reinsurance. (2017). Liang, Xiaoqing ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1605.06849.

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2017Why do vulnerability cycles matter in financial networks?. (2017). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:592-606.

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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017The decline of solvency contagion risk. (2017). Hill, John ; Bardoscia, Marco ; Codd, Adam Brinley ; Barucca, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0662.

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2017Complexity and the Economics of Climate Change: A Survey and a Look Forward. (2017). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, A ; Balint, T. In: Ecological Economics. RePEc:eee:ecolec:v:138:y:2017:i:c:p:252-265.

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2017Systemic Risk in Financial Systems: a feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:461.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719.

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2017Systemic risk in financial systems: A feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:144:y:2017:i:c:p:97-120.

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2017Complexity and the economics of climate change : a survey and a look foreward. (2017). Roventini, Andrea ; Mandel, Antoine ; Sapio, Sandro ; Napoletano, Mauro ; Lamperti, Francesco ; Balint, Tomas. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4.

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2017Limit theorems for the compensator of Hawkes processes. (2017). Seol, Youngsoo . In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:165-172.

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2017Quadratic Hawkes processes for financial prices. (2017). Blanc, P ; J.-P. Bouchaud, ; J. -P. Bouchaud, ; Donier, J. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:171-188.

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2017A time of ruin constrained optimal dividend problem for spectrally one-sided L\evy processes. (2017). Hernandez, Camilo ; Junca, Mauricio . In: Papers. RePEc:arx:papers:1608.02550.

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2017The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x.

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2017Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences. (2017). Yao, Can-Zhong ; Zheng, Xu-Zhou ; Lin, Ji-Nan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:75-90.

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2017Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets. (2017). Xu, Wei ; Cao, Guangxi ; Li, Qingchen ; Han, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:119-130.

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2017The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter. (2017). , Caiping ; Yang, Yonghong ; Zhao, Huichang ; Xiong, Gang ; Zhang, Shuning . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:839-854.

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2017Characterization of flow pattern transitions for horizontal liquid–liquid pipe flows by using multi-scale distribution entropy in coupled 3D phase space. (2017). Yan, Cong ; Gao, Zhong-Ke ; Jin, Ning-De ; Wang, Hong-Mei ; Zong, Yan-Bo ; Zhai, Lu-Sheng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:136-147.

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2017Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively. (2017). Zhuang, Xintian ; Yuan, Ying ; Fan, Xiaoqian ; Jin, Xiu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:323-333.

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2017Cross-correlations between the US monetary policy, US dollar index and crude oil market. (2017). Li, Jianfeng ; Sun, Xinxin ; Yue, Gongzheng ; Lu, Xinsheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:326-344.

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2017A comparison of principal components using TPCA and nonstationary principal component analysis on daily air-pollutant concentration series. (2017). Shen, Chenhua . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:453-464.

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2017Ising game: Nonequilibrium steady states of resource-allocation systems. (2017). Xin, C ; Huang, J P ; Yang, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:666-673.

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2017Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets. (2017). Li, Qingchen ; Zhang, Minjia ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:67-76.

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2017Outward foreign direct investments and home country’s economic growth. (2017). Ciesielska, Dorota ; Kotuniak, Marcin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:127-146.

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2017Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation. (2017). Zhang, Wei ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:29-41.

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2017Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA. (2017). Lu, Xinsheng ; Ge, Jintian ; Sun, Xinxin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:144-161.

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2017Cross-correlations between RMB exchange rate and international commodity markets. (2017). Lu, Xinsheng ; Qian, Yubo ; Zhou, Ying ; Li, Jianfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:168-182.

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2017The multiplex dependency structure of financial markets. (2017). Musmeci, Nicolo ; Latora, Vito ; di Matteo, Tiziana ; Aste, Tomaso ; Nicosia, Vincenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85337.

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2017Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets. (2017). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:266-272.

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2017Portuguese and Brazilian stock market integration: a non-linear and detrended approach. (2017). Ferreira, Paulo. In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:1:d:10.1007_s10258-017-0127-z.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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2017Characterization of electric load with Information Theory quantifiers. (2017). , Andre ; Rosso, Osvaldo A ; Viana, Leonardo P ; Frery, Alejandro C ; Ramos, Heitor S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:277-284.

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2017Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers. (2017). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Zunino, Luciano . In: Papers. RePEc:arx:papers:1704.04442.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperue, Waldo ; Basgall, Maria Jose . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:82-90.

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2017Conditional nonlinear expectations. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2017Optimal stopping with random maturity under nonlinear expectations. (2017). Bayraktar, Erhan ; Yao, Song. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2586-2629.

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2017Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2017Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687.

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2017High dimensional semiparametric moment restriction models. (2017). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-17.

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2017Inference in Linear Regression Models with Many Covariates and Heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: Papers. RePEc:arx:papers:1507.02493.

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2017Cross-fitting and fast remainder rates for semiparametric estimation. (2017). Newey, Whitney K ; Robins, James M. In: CeMMAP working papers. RePEc:ifs:cemmap:41/17.

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2017Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects. (2017). Malikov, Emir ; Sun, Yiguo. In: MPRA Paper. RePEc:pra:mprapa:83671.

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2017Testing Missing at Random using Instrumental Variables. (2017). Breunig, Christoph. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-007.

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2017Nonparametric Estimation in Case of Endogenous Selection. (2017). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:58.

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2017Testing Missing At Random Using Instrumental Variables. (2017). Breunig, Christoph. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:59.

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2017Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko. In: Papers. RePEc:arx:papers:1402.5306.

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2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2017Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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2017The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017The Asymmetric Effect in the Volatility of the South African Rand. (2017). Itodo, Idoko Ahmed ; Abu, Michael Maju ; Usman, Ojonugwa. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:3:y:2017:i:3:p:47-53.

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2017Estimation of long memory in volatility using wavelets. (2017). Baruník, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5.

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2017Monetary policy and dark corners in a stylized agent-based model. (2017). Gualdi, Stanislao ; Bouchaud, Jean-Philippe ; Zamponi, Francesco ; Tarzia, Marco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0174-z.

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2017Zero-sum risk-sensitive stochastic games. (2017). Bauerle, Nicole ; Rieder, Ulrich . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:2:p:622-642.

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2017Constrained Optimal Transport. (2017). Soner, Mete H ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1610.02940.

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2017Change of numeraire in the two-marginals martingale transport problem. (2017). Laachir, Ismail ; Campi, Luciano ; Martini, Claude. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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2017A stability result on optimal Skorokhod embedding. (2017). Guo, Gaoyue. In: Papers. RePEc:arx:papers:1701.08204.

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2017Robust Hedging of Options on a Leveraged Exchange Traded Fund. (2017). Kinsley, Sam M ; Alexander, . In: Papers. RePEc:arx:papers:1702.07169.

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2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911.

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2017Optimal Brownian Stopping between radially symmetric marginals in general dimensions. (2017). Ghoussoub, Nassif ; Lim, Tongseok ; Kim, Young-Heon . In: Papers. RePEc:arx:papers:1711.02784.

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2017On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153.

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2017‘Gerontogrowth’ and population ageing in Africa and the Global AgeWatch Index. (2017). da Silva, Antonio A. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:9:y:2017:i:c:p:78-89.

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2017Nonparametric statistics of dynamic networks with distinguishable nodes. (2017). Fraiman, Daniel. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:3:d:10.1007_s11749-017-0524-8.

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2017ROBUST TRADING OF IMPLIED SKEW. (2017). Nadtochiy, Sergey ; Oboj, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750008x.

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2017Duality formulas for robust pricing and hedging in discrete time. (2017). Cheridito, Patrick ; Tangpi, Ludovic ; Kupper, Michael. In: Papers. RePEc:arx:papers:1602.06177.

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2017Martingale Benamou--Brenier: a probabilistic perspective. (2017). Veraguas, Julio Backhoff ; Kallblad, Sigrid ; Huesmann, Martin ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1708.04869.

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2017A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting. (2017). Cuchiero, Christa ; Teichmann, Josef ; Klein, Irene . In: Papers. RePEc:arx:papers:1705.02087.

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2017Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545.

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2017Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517.

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2017Bounds for VIX Futures given S&P 500 Smiles. (2017). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832.

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2017Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999.

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2017The Fatou Closedness under Model Uncertainty. (2017). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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2017Hedging with small uncertainty aversion. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes ; Seifried, Frank Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0309-z.

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2017Model uncertainty and the pricing of American options. (2017). Hobson, David ; Neuberger, Anthony . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0314-2.

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2017Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2017Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa . In: Papers. RePEc:arx:papers:1707.01600.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017The space of outcomes of semi-static trading strategies need not be closed. (2017). Acciaio, Beatrice ; Schachermayer, Walter ; Larsson, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0329-3.

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2017Bounds for VIX futures given S&P 500 smiles. (2017). Guyon, Julien ; Nutz, Marcel ; Menegaux, Romain . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0334-6.

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2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

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2017Pathwise superreplication via Vovk’s outer measure. (2017). Beiglbock, Mathias ; Promel, David J ; Perkowski, Nicolas ; Huesmann, Martin ; Alexander, . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0338-2.

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2017Model uncertainty, recalibration, and the emergence of delta–vega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6.

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2017SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364.

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2017The space of outcomes of semi-static trading strategies need not be closed. (2017). Acciaio, Beatrice ; Schachermayer, Walter ; Larsson, Martin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69804.

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2017Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\evy Models. (2017). Rodosthenous, Neofytos ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1706.03724.

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2017On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13.

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2017Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2017IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING. (2017). Allaj, Erindi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248.

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2017Quantile Hedging in a Semi-Static Market with Model Uncertainty. (2017). Bayraktar, Erhan ; Wang, GU. In: Papers. RePEc:arx:papers:1408.4848.

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2017The Futures Premium and Rice Market Efficiency in Prewar Japan. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.5381.

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2017Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.1164.

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2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

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2017Formation of monopolies in a bipartite market. (2017). Achach, Manuel Rodriguez ; Perez, Enrique Baquedano. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1335-1344.

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2017Economic diversification: Explaining the pattern of diversification in the global economy and its implications for fostering diversification in poorer countries. (2017). Freire, Clovis ; Junior, Clovis Freire. In: MERIT Working Papers. RePEc:unm:unumer:2017033.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim . In: Papers. RePEc:arx:papers:1508.04900.

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2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831.

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2017Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Network topology analysis approach on China’s QFII stock investment behavior. (2017). He, Feng ; Cao, Xing ; Zhang, Yongjie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:77-88.

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2017Pricing via recursive quantization in stochastic volatility models. (2017). Callegaro, Giorgia ; Grasselli, Martino ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:855-872.

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2017On the existence of shadow prices for optimal investment with random endowment. (2017). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing . In: Papers. RePEc:arx:papers:1602.01109.

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2017The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1511.08068.

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2017Grouped multivariate and functional time series forecasting:An application to annuity pricing. (2017). Shang, Han Lin ; Haberman, Steven . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:166-179.

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2017The Impact of Social Media On Belief Formation. (2017). Schwarz, Marco. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:57.

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2017On Game-Theoretic Risk Management (Part Three) - Modeling and Applications. (2017). Rass, Stefan. In: Papers. RePEc:arx:papers:1711.00708.

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2017Trading strategies generated by Lyapunov functions. (2017). Karatzas, Ioannis ; Ruf, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8.

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2017On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169.

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2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

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2017Sharing and growth in general random multiplicative environments. (2017). Kassberger, Stefan ; Hellmich, Martin ; Liebmann, Thomas . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:1:p:193-206.

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2017On absence of steady state in the Bouchaud-M\ezard network model. (2017). Liu, Zhiyuan ; Serota, R A. In: Papers. RePEc:arx:papers:1704.02377.

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2017Correlation and relaxation times for a stochastic process with a fat-tailed steady-state distribution. (2017). Liu, Z ; Serota, R A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:301-311.

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2017Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options. (2017). Leung, Tim ; Guo, Kevin . In: Papers. RePEc:arx:papers:1610.09403.

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2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1701.00875.

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2017Optimal Trading with a Trailing Stop. (2017). Leung, Tim ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1701.03960.

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2017Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market. (2017). Baviera, Roberto ; Baldi, Tommaso Santagostino . In: Papers. RePEc:arx:papers:1706.07021.

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2017Optimal mean-reverting spread trading: nonlinear integral equation approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0295-y.

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2017Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes. (2017). Endres, Sylvia ; Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:172017.

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2017Capacity expansion games with application to competition in power generation investments. (2017). Aid, Rene ; Ludkovski, Michael ; Li, Liangchen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:1-31.

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2017Risk Model Based on General Compound Hawkes Process. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.09038.

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2017Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01512430.

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2017Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

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2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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2017A buffer Hawkes process for limit order books. (2017). Kaj, Ingemar ; Caglar, Mine . In: Papers. RePEc:arx:papers:1710.03506.

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2017A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK. (2017). Dassios, Angelos ; Zhao, Hongbiao. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500030.

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2017STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750039x.

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2017A generalised contagion process with an application to credit risk. (2017). Dassios, Angelos ; Zhao, Hongbiao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68558.

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2017Specification Testing in Hawkes Models*. (2017). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:1:p:139-171..

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2017Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. (2017). Shevchenko, Pavel V ; Luo, Xiaolin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:104-117.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

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2017Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations. (2017). Qiu, Jinniao . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1926-1959.

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2017Perfect hedging under endogenous permanent market impacts. (2017). Fukasawa, Masaaki ; Stadje, Mitja. In: Papers. RePEc:arx:papers:1702.01385.

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2017On Origins of Bubbles. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.03769.

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2017Why Quantitative Structuring?. (2017). Soklakov, Andrei N. In: Papers. RePEc:arx:papers:1507.07219.

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2017Structural correlations in the Italian overnight money market: An analysis based on network configuration models. (2017). Luu, Duc Thi ; Yanovski, Boyan ; Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201702.

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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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2017The missing links: A global study on uncovering financial network structures from partial data. (2017). Silva, Thiago ; Silvestri, Laura ; Salakhova, Dilyara ; Nobili, Stefano ; Lelyveld, Iman ; Halaj, Grzegorz ; Garratt, Rodney ; Banai, Adam ; Anand, Kartik ; Friedrich, Soeren ; van Lelyveldauthor-Name, Iman ; Rajan, Sriram ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez ; Hansen, IB ; Jose, Grzegorz Haajauthor-Name ; Stancato, Sergio Rubens. In: ESRB Working Paper Series. RePEc:srk:srkwps:201751.

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2017A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (2017). Mazzarisi, Piero ; Tantari, Daniele ; Lillo, Fabrizio ; Barucca, Paolo. In: Papers. RePEc:arx:papers:1801.00185.

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2017The evolution of risk and bailout strategy in banking systems. (2017). Brede, Markus ; McGroarty, Frank ; de Caux, Robert . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:109-118.

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2017Significant ties: Identifying relationship lending in temporal interbank networks. (2017). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Discussion Papers. RePEc:koe:wpaper:1717.

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2017An estimation procedure for the Hawkes process. (2017). Kirchner, Matthias. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:571-595.

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2017Capacity choice under uncertainty in a duopoly with endogenous exit. (2017). Lavrutich, Maria N. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:3:p:1033-1053.

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2017Forecasting day-ahead electricity prices in Europe: the importance of considering market integration. (2017). Lago, Jesus ; de Schutter, Bart ; Vrancx, Peter ; de Ridder, Fjo. In: Papers. RePEc:arx:papers:1708.07061.

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2017Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals. (2017). Duangnate, Kannika ; Mjelde, James W. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:411-423.

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2017Design and analysis of the novel concept of high temperature heat and power storage. (2017). Arabkoohsar, A ; Andresen, G B. In: Energy. RePEc:eee:energy:v:126:y:2017:i:c:p:21-33.

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2017Dynamic energy, exergy and market modeling of a High Temperature Heat and Power Storage System. (2017). Arabkoohsar, A ; Andresen, G B. In: Energy. RePEc:eee:energy:v:126:y:2017:i:c:p:430-443.

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2017Insurance makes wealth grow faster. (2017). Peters, Ole ; Adamou, Alexander. In: Papers. RePEc:arx:papers:1507.04655.

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2017Multivariate Density Modeling for Retirement Finance. (2017). Rook, Christopher J. In: Papers. RePEc:arx:papers:1709.04070.

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2017Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; Bouchaud, Jean-Philippe ; da Gama, Joo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:18-34.

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2017The inefficiency of Bitcoin revisited: a dynamic approach. (2017). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:1709.08090.

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2017The inefficiency of Bitcoin revisited: A dynamic approach. (2017). Fernandez Bariviera, Aurelio. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:1-4.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017The implied volatility of forward starting options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa. In: Economics Working Papers. RePEc:upf:upfgen:1568.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017The Jacobi Stochastic Volatility Model. (2017). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir. In: Working Papers. RePEc:hal:wpaper:hal-01338330.

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2017The randomised Heston model. (2017). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1608.07158.

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2017Change of numeraire in the two-marginals martingale transport problem. (2017). Campi, Luciano ; Martini, Claude ; Laachir, Ismail. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0322-2.

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2017Short Maturity Forward Start Asian Options in Local Volatility Models. (2017). Pirjol, Dan ; Zhu, Lingjiong ; Wang, Jing. In: Papers. RePEc:arx:papers:1710.03160.

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2017The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge ; Alos, Elisa. In: Papers. RePEc:arx:papers:1710.11232.

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2017Rawls fairness, income distribution and alarming level of Gini coefficient. (2017). Tao, Yong ; Li, Changshuai ; Wu, Xiangjun. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201767.

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2017Systemic Risk Management in Financial Networks with Credit Default Swaps. (2017). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1601.02156.

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2017Multiplex interbank networks and systemic importance - An application to European data. (2017). Aldasoro, Iñaki ; Alves, Ivan . In: BIS Working Papers. RePEc:bis:biswps:603.

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2017Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets. (2017). Serguieva, Antoaneta . In: Papers. RePEc:arx:papers:1701.06975.

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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Multichannel contagion vs stabilisation in multiple interconnected financial markets. (2017). Serguieva, Antoaneta ; Bholat, David. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-09.

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2017Not all emerging markets are the same: A classification approach with correlation based networks. (2017). Tabak, Benjamin ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Ozturk, Kevser . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:163-186.

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2017Network centrality and funding rates in the e-MID interbank market. (2017). Temizsoy, Asena ; Montes-Rojas, Gabriel ; Iori, Giulia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:346-365.

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2017Identifying Complex Core-Periphery Structures in the Interbank Market. (2017). Carreno, Jose ; Cifuentes, Rodrigo ; Carreo, Jose . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:813.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier . In: Working Papers. RePEc:hal:wpaper:hal-01367277.

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2017Model Spaces for Risk Measures. (2017). Svindland, Gregor ; Liebrich, Felix-Benedikt . In: Papers. RePEc:arx:papers:1703.01137.

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2017Model spaces for risk measures. (2017). Liebrich, Felix-Benedikt ; Svindland, Gregor. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:150-165.

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2017Discounting with Imperfect Collateral. (2017). Lou, Wujiang . In: Papers. RePEc:arx:papers:1702.04053.

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2017Financial networks based on Granger causality: A case study. (2017). Papana, Angeliki ; Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:65-73.

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2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio. In: Papers. RePEc:arx:papers:1604.04963.

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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Particle systems with singular interaction through hitting times: application in systemic risk modeling. (2017). Nadtochiy, Sergey ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1705.00691.

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2017An analysis of simultaneous company defaults using a shot noise process. (2017). Egami, M ; Kevkhishvili, R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:135-161.

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2017Weakly chained matrices, policy iteration, and impulse control. (2017). Azimzadeh, Parsiad ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1510.03928.

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2017Pathwise superhedging on prediction sets. (2017). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2017Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351.

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2017Risk contagion under regular variation and asymptotic tail independence. (2017). Das, Bikramjit ; Fasen, Vicky . In: Papers. RePEc:arx:papers:1603.09406.

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2017SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. (2017). Ararat, Ain ; Rudloff, Birgit ; Hamel, Andreas H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2017Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2. (2017). Fantazzini, Dean ; Ivliev, Sergey ; Sukhanovskaya, Vera ; Nigmatullin, Erik . In: Applied Econometrics. RePEc:ris:apltrx:0308.

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2017Evolutionary dynamics of the cryptocurrency market. (2017). Elbahrawy, Abeer ; Baronchelli, Andrea ; Pastor-Satorras, Romualdo ; Kandler, Anne ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:1705.05334.

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2017Time-consistent mean–variance asset–liability management with random coefficients. (2017). Wei, Jiaqin ; Wang, Tianxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:84-96.

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2017Performance analysis of the optimal strategy under partial information. (2017). Ahmed Bel Hadj Ayed, ; Abergel, Frederic ; el Aoud, Sofiene ; Loeper, Gregoire ; Belhadjayed, Ahmed. In: Post-Print. RePEc:hal:journl:hal-01512432.

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2017PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION. (2017). Hadj, Ahmed Bel ; Abergel, Frederic ; el Aoud, Sofiene ; Loeper, Gregoire. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500169.

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2017Modelling intensities of order flows in a limit order book. (2017). Toke, Ioane Muni ; Yoshida, Nakahiro. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:5:p:683-701.

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2017Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632.

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2017Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets. (2017). Zeng, Yayun ; Xu, Kaixuan ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:364-376.

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2017INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Sasai, Kazuto ; Kinoshita, Tetsuo ; Gunji, Yukio-Pegio. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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2017Transitions in the stock markets of the US, UK and Germany. (2017). Raddant, Matthias ; Wagner, Friedrich . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:289-297.

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2017Capital Allocation in the Insurance Sector. (2017). Balog, Dóra. In: Financial and Economic Review. RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97.

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2017The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1705.03787.

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2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Tightness and duality of martingale transport on the Skorokhod space. (2017). Touzi, Nizar ; Tan, Xiaolu ; Guo, Gaoyue. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:927-956.

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2017Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2017). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2017Trading Strategies with Position Limits. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1712.07649.

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2017Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1604.04608.

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2017Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Merakli, Merve ; Kucukyavuz, Simge . In: Papers. RePEc:arx:papers:1708.01324.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2017Who will build new trade relations? Finding potential relations in international liquefied natural gas trade. (2017). Feng, Sida ; Wen, Shaobo ; Guan, Qing ; Qi, Yabin ; Li, Huajiao. In: Energy. RePEc:eee:energy:v:141:y:2017:i:c:p:1226-1238.

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2017The effect of heterogeneity on flocking behavior and systemic risk. (2017). Sun, Yiwei ; Fang, Fei ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1607.08287.

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2017On fractality and chaos in Moroccan family business stock returns and volatility. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:29-39.

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2017Designing long-lived investments under uncertain and ongoing change. (2017). Paschen, Marius ; Eisenack, Klaus. In: Working Papers. RePEc:old:dpaper:398.

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2017IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION. (2017). Cartea, Alvaro ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500443.

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2017Asymmetric joint multifractal analysis in Chinese stock markets. (2017). Chen, Yuwen ; Zheng, Tingting . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:10-19.

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2017Weighted average price in the Heston stochastic volatility model. (2017). Papi, M ; Donatucci, C ; Pontecorvi, L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0197-5.

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2017Option pricing with Legendre polynomials. (2017). Hok, Julien. In: Papers. RePEc:arx:papers:1610.03086.

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2017Localized motion in random matrix decomposition of complex financial systems. (2017). Qiu, Tian ; Jiang, Xiong-Fei ; Zheng, BO ; Ren, Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:154-161.

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2017Voltage fault diagnosis and prognosis of battery systems based on entropy and Z-score for electric vehicles. (2017). Wang, Zhenpo ; Zhang, Lei ; Liu, Peng ; Hong, Jichao. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:289-302.

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2017Big Data. (2017). Committee, Irving Fisher. In: IFC Bulletins. RePEc:bis:bisifb:44.

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2017Central Bank Communications: information extraction and semantic analysis. (2017). Bruno, Giuseppe. In: IFC Bulletins chapters. RePEc:bis:bisifc:44-17.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Wuthrich, Mario V ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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2017Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292.

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2017Algorithmic trading in a microstructural limit order book model. (2017). , ; Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446.

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2017Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327.

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2017Algorithmic trading in a microstructural limit order book model. (2017). Abergel, Frederic ; Pham, Huyen ; Hure, Come . In: Working Papers. RePEc:hal:wpaper:hal-01514987.

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2017Friends and enemies: a model of signed network formation. (2017). Hiller, Timo. In: Theoretical Economics. RePEc:the:publsh:1937.

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2017Mars or Mercury? The Geopolitics of International Currency Choice. (2017). Mehl, Arnaud ; Eichengreen, Barry ; Chitu, Livia. In: NBER Working Papers. RePEc:nbr:nberwo:24145.

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2017Macroeconomic models used in structural analysis of GDP. (2017). Anghel, Mdlina-Gabriela ; Manole, Alexandru ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(610):y:2017:i:1(610):p:197-206.

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2017Application of Differential Equations in Projecting Growth Trajectories. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1705.06557.

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2017Macroeconomic models used in structural analysis of GDP. (2017). Anghelache, Constantin ; Manole, Alexandru . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:1(610):p:197-206.

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2017The impact of inflation’s evolution on consumption. (2017). Sfetcu, Marian ; Stanciu, Emilia ; Popovici, Marius ; Dumitrescu, Daniel . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:1:p:56-79.

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2017Funding, repo and credit inclusive valuation as modified option pricing. (2017). Brigo, Damiano ; Rutkowski, Marek ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1602.05998.

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2017Financial distress prediction: The case of French small and medium-sized firms. (2017). Mselmi, Nada ; Hamza, Taher ; Lahiani, Amine. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:67-80.

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2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863.

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2017Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Bonollo, Michele ; Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca. In: Papers. RePEc:arx:papers:1704.03244.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017SPATIAL EFFECTS AND EXTERNALITIES OF THE RIVALS’ NETWORKS IN HUNGARY. (2017). Jona, Gyorgy ; Toth, Tamas. In: Journal of Spatial and Organizational Dynamics. RePEc:ris:jspord:0941.

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2017Climate change policy under polar amplification. (2017). Xepapadeas, Anastasios ; Brock, W. In: European Economic Review. RePEc:eee:eecrev:v:94:y:2017:i:c:p:263-282.

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2017Temperature shocks and welfare costs. (2017). Schlag, Christian ; Donadelli, Michael ; Riedel, Max ; Juppner, Marcus. In: SAFE Working Paper Series. RePEc:zbw:safewp:177.

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2017Temperature shocks and welfare costs. (2017). Schlag, Christian ; Donadelli, Michael ; Riedel, M ; Juppner, M. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:331-355.

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2017Climate change policy under polar amplification. (2017). Xepapadeas, Anastasios ; Brock, W. In: European Economic Review. RePEc:eee:eecrev:v:99:y:2017:i:c:p:93-112.

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2017Testing efficiency in small and large financial markets. (2017). Dare, Wale. In: Economics Working Paper Series. RePEc:usg:econwp:2017:14.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454.

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2017The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF. (2017). Basdekidou, Vasiliki A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:7:p:1-13.

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2017LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH. (2017). Leung, Tim ; Park, Hyungbin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500376.

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2017The complex dynamics of products and its asymptotic properties. (2017). Angelini, Orazio ; Pietronero, Luciano ; Zaccaria, Andrea ; Cristelli, Matthieu . In: Papers. RePEc:arx:papers:1610.00274.

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2017Robust Optimization of Credit Portfolios. (2017). Bo, Lijun ; Capponi, Agostino. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:42:y:2017:i:1:p:30-56.

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2017Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula. (2017). Louhichi, Wael ; Harb, Etienne. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:963-975.

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2017Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA. (2017). Papapantoleon, Antonis ; Wardenga, Robert . In: Papers. RePEc:arx:papers:1607.03522.

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2017Interbank interest rates: Funding liquidity risk and XIBOR basis spreads. (2017). Gallitschke, Janek ; Seifried, Frank Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:142-152.

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2017From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks. (2017). Straka, Mika J ; Saracco, Fabio ; Squartini, Tiziano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1710.10143.

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2017Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. II. An ARCH econometric-like modeling. (2017). ausloos, marcel ; Fronczak, Agata ; Nedic, Olgica ; Dekanski, Aleksandar ; Mrowinski, Maciej J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:462-474.

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2017Asset pricing in an imperfect world. (2017). Cassese, Gianluca. In: Economic Theory. RePEc:spr:joecth:v:64:y:2017:i:3:d:10.1007_s00199-016-0999-7.

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2017The Complexity of Bank Holding Companies: A Topological Approach. (2017). Flood, Mark D ; Simon, Jonathan K ; Lumsdaine, Robin L ; Kenett, Dror Y. In: NBER Working Papers. RePEc:nbr:nberwo:23755.

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2017The Complexity of Bank Holding Companies: A New Measurement Approach. (2017). Flood, Mark D ; Simon, Jonathan J ; Lumsdaine, Robin L ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:17-03.

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2017Weighted-average least squares estimation of generalized linear models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: EIEF Working Papers Series. RePEc:eie:wpaper:1711.

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2017A note on the convexity of ruin probabilities. (2017). Landriault, David ; Xu, DI ; Willmot, Gordon E ; Loke, Sooie-Hoe ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:1-6.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:397-407.

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2017Hedging of covered options with linear market impact and gamma constraint. (2017). Bouchard, B ; Zou, Y ; Loeper, G. In: Post-Print. RePEc:hal:journl:hal-01611790.

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2017The amazing power of dimensional analysis: Quantifying market impact. (2017). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1702.05434.

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2017Optimal execution with non-linear transient market impact. (2017). Curato, Gianbiagio ; Lillo, Fabrizio ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54.

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2017The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: Papers. RePEc:arx:papers:1710.07030.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: CARF F-Series. RePEc:cfi:fseres:cf423.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1069.

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2017Multifractal methodology. (2017). Salat, Hadrien ; Murcio, Roberto ; Arcaute, Elsa . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:467-487.

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2017Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017The State of Applied Econometrics: Causality and Policy Evaluation. (2017). Imbens, Guido ; Athey, Susan. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:3-32.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Schied, Alexander ; Zhang, Tao ; Strehle, Elias . In: Papers. RePEc:arx:papers:1509.08281.

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2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2017Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Tukeys transformational ladder for portfolio management. (2017). Ernst, Philip ; Miao, Yinsen ; Thompson, James . In: Papers. RePEc:arx:papers:1603.06050.

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2017Optimal Liquidation under Stochastic Liquidity. (2017). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1603.06498.

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2017Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter. In: Papers. RePEc:arx:papers:1603.06805.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1603.07020.

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2017A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (2017). Bielecki, Tomasz R ; Pitera, Marcin ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1603.09030.

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2017Market Integration in the Prewar Japanese Rice Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1604.00148.

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2017Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743.

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2017Monte Carlo Confidence Sets for Identified Sets. (2017). Chen, Xiaohong ; Tamer, Elie ; Christensen, Timothy . In: Papers. RePEc:arx:papers:1605.00499.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2017High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1605.03653.

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2017Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2017On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017On optimal investment with processes of long or negative memory. (2017). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1608.00768.

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2017The randomised Heston model. (2017). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1608.07158.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999.

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2017Approximate pricing of European and Barrier claims in a local-stochastic volatility setting. (2017). Barger, Weston ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1610.05728.

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2017Model-free bounds on Value-at-Risk using partial dependence information. (2017). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

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2017Convex functions on dual Orlicz spaces. (2017). Delbaen, Freddy ; Owari, Keita . In: Papers. RePEc:arx:papers:1611.06218.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2017Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742.

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2017Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060.

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2017Conditional nonlinear expectations. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2017Political elections and uncertainty -Are BRICS markets equally exposed to Trumps agenda?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1701.02182.

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2017Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098.

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2017On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:1701.04260.

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2017Economic Growth Model with Constant Pace and Dynamic Memory. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1701.06299.

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2017Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Koch-Medina, Pablo ; Baes, Michel ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1702.01936.

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2017Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia. In: Papers. RePEc:arx:papers:1702.04287.

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2017A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus. (2017). Arai, Takuji ; Imai, Yuto. In: Papers. RePEc:arx:papers:1702.07556.

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2017Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017Recovering Linear Equations of XVA in Bilateral Contracts. (2017). Zhou, Chao ; Lee, Junbeom . In: Papers. RePEc:arx:papers:1703.00259.

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2017Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292.

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2017Towards a probability-free theory of continuous martingales. (2017). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1703.08715.

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2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph . In: Papers. RePEc:arx:papers:1704.06388.

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2017Duality in Regret Measures and Risk Measures. (2017). Yao, Qiang ; Sun, Jie ; Yang, Xinmin. In: Papers. RePEc:arx:papers:1705.00340.

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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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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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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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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). Sirignano, Justin. In: Papers. RePEc:arx:papers:1601.01987.

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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). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1602.00235.

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2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes ; Alexander, Carol. 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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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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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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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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2016Recursive utility optimization with concave coefficients. (2016). Ji, Shaolin ; Shi, Xiaomin . In: Papers. RePEc:arx:papers:1607.00721.

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2016A probability-free and continuous-time explanation of the equity premium and CAPM. (2016). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1607.00830.

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2016Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Peters, Gareth W ; Chapelle, Ariane ; Hassani, Bertrand ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1607.02319.

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2016Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory. (2016). Subochev, Andrey. In: Papers. RePEc:arx:papers:1607.02421.

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2016Multiple risk factor dependence structures: Distributional properties. (2016). Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:1607.04739.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016Consistency of option prices under bid-ask spreads. (2016). Gerhold, Stefan ; Gulum, Cetin I. In: Papers. RePEc:arx:papers:1608.05585.

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2016Volatility and Arbitrage. (2016). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis . In: Papers. RePEc:arx:papers:1608.06121.

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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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2016Securities Lending Strategies, Valuation of Term Loans using Option Theory. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1609.01274.

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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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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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2015Affine LIBOR models with multiple curves: theory, examples and calibration. (2015). Papapantoleon, Antonis ; Grbac, Zorana ; Schoenmakers, John ; Skovmand, David. In: Papers. RePEc:arx:papers:1405.2450.

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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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2015Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension. (2015). Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.2701.

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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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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). Lamieri, Marco ; Golo, Natasa ; Solomon, Sorin ; 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). Lamieri, Marco ; Golo, Natasa ; Solomon, Sorin ; 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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2014Inference in High-dimensional Dynamic Panel Data Models. (2014). Kock, Anders ; Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58.

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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, ; Belhadjayed, Ahmed. 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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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). Itkin, Andrey ; Lipton, Alexander. 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. ; Luo, Xiaolin. 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 ; Luo, Xiaolin. 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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2014Market impacts and the life cycle of investors orders. (2014). LEHALLE, Charles-Albert ; Iuga, Adrian ; Lasnier, Matthieu ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:1412.0217.

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