Citation analysis for Papers / arXiv.org

Papers / arXiv.org

0.33

Impact Factor

0.35

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.11			0				0		0		(%)			0.06
1991		0.1			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.05
1993		0.13			0				0		0		(%)			0.06
1994		0.14			0				0		0		(%)			0.06
1995		0.17			0				0		0		(%)			0.1
1996		0.22			0	1			0		0		(%)			0.09
1997		0.22		15	15	6	0.4	259	0		0		44 (17%)	4	0.27	0.09
1998	0.53	0.24	0.53	44	59	12	0.2	272	15	8	15	8	51 (18.8%)	2	0.05	0.12
1999	0.08	0.3	0.08	53	112	14	0.13	496	59	5	59	5	78 (15.7%)	7	0.13	0.15
2000	0.3	0.36	0.38	74	186	72	0.39	547	97	29	112	43	116 (21.2%)	8	0.11	0.14
2001	0.37	0.36	0.41	97	283	132	0.47	619	127	47	186	77	149 (24.1%)	18	0.19	0.16
2002	0.3	0.37	0.28	112	395	133	0.34	825	171	52	283	80	165 (20%)	23	0.21	0.18
2003	0.29	0.39	0.28	107	502	153	0.3	400	209	61	380	106	68 (17%)	6	0.06	0.19
2004	0.23	0.4	0.31	150	652	221	0.34	852	219	51	443	138	182 (21.4%)	19	0.13	0.18
2005	0.21	0.42	0.28	190	842	252	0.3	666	257	54	540	151	182 (27.3%)	15	0.08	0.2
2006	0.24	0.45	0.28	245	1087	348	0.32	586	340	81	656	184	164 (28%)	12	0.05	0.19
2007	0.18	0.38	0.24	285	1372	381	0.28	1149	435	80	804	194	228 (19.8%)	27	0.09	0.16
2008	0.18	0.39	0.23	302	1674	480	0.29	971	530	97	977	220	260 (26.8%)	19	0.06	0.17
2009	0.22	0.36	0.23	342	2016	590	0.29	1003	587	128	1172	275	259 (25.8%)	34	0.1	0.17
2010	0.22	0.34	0.22	483	2499	670	0.27	1063	644	143	1364	295	321 (30.2%)	35	0.07	0.15
2011	0.23	0.4	0.25	521	3020	1018	0.34	1230	825	186	1657	412	354 (28.8%)	97	0.19	0.19
2012	0.22	0.44	0.26	587	3607	1090	0.3	1214	1004	223	1933	502	423 (34.8%)	65	0.11	0.2
2013	0.26	0.49	0.28	707	4314	1427	0.33	1536	1108	288	2235	617	634 (41.3%)	114	0.16	0.2
2014	0.34	0.52	0.33	795	5109	1862	0.36	1307	1294	437	2640	862	452 (34.6%)	127	0.16	0.23
2015	0.36	0.54	0.36	804	5913	2284	0.39	1114	1502	544	3093	1106	481 (43.2%)	119	0.15	0.24
2016	0.38	0.6	0.37	965	6878	2796	0.41	811	1599	600	3414	1264	339 (41.8%)	160	0.17	0.27
2017	0.33	0.64	0.35	1016	7894	3098	0.39	612	1769	581	3858	1368	342 (55.9%)	180	0.18	0.28

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:

#	Year	Title	Cited
1	2007	The 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	396
2	2002	On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers \|\| Download paper	304
3	2009	The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers \|\| Download paper	151
4	2008	Multifractal 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	150
5	1999	Scaling 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	148
6	1999	The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers \|\| Download paper	117
7	1999	Universal 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	113
8	2012	Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers \|\| Download paper	111
9	1999	Scaling 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. Full description at Econpapers \|\| Download paper	109
10	2011	Multifractal 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	102
11	2009	Colloquium: 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	101
12	2000	Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers \|\| Download paper	98
13	2004	The 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	97
14	2010	Detrending 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	96
15	2004	What 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	95
16	1998	Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100. Full description at Econpapers \|\| Download paper	94
17	2010	Optimal 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	94
18	1998	Inverse 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. Full description at Econpapers \|\| Download paper	93
19	2005	Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers \|\| Download paper	93
20	2000	Statistical 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. Full description at Econpapers \|\| Download paper	90
21	2011	The 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	85
22	2004	Networks 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	82
23	2013	Model-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	80
24	2000	Fractional 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. Full description at Econpapers \|\| Download paper	80
25	2004	The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0311053. Full description at Econpapers \|\| Download paper	79
26	2015	Arbitrage 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	75
27	2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520. Full description at Econpapers \|\| Download paper	71
28	2003	Multifractal 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	71
29	2005	Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066. Full description at Econpapers \|\| Download paper	71
30	2001	Exponential 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	70
31	2011	Evolution 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	67
32	1997	Scaling 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. Full description at Econpapers \|\| Download paper	67
33	2004	Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051. Full description at Econpapers \|\| Download paper	61
34	1997	Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148. Full description at Econpapers \|\| Download paper	60
35	2000	Fractional 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	60
36	2007	On 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	60
37	2006	A 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	59
38	2014	A 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	59
39	2014	Should 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	57
40	2000	Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256. Full description at Econpapers \|\| Download paper	54
41	2003	Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543. Full description at Econpapers \|\| Download paper	53
42	2002	Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558. Full description at Econpapers \|\| Download paper	50
43	2015	Detrended 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	50
44	2009	The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0908.1089. Full description at Econpapers \|\| Download paper	48
45	2009	Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202. Full description at Econpapers \|\| Download paper	48
46		Quantifying Stock Price Response to Demand Fluctuations. (2001). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0106657. Full description at Econpapers \|\| Download paper	48
47	2007	Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874. Full description at Econpapers \|\| Download paper	48
48	2007	Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers \|\| Download paper	48
49	2010	Multinetwork 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	46
50	2011	Quantifying 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. Full description at Econpapers \|\| Download paper	46

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

#	Year	Title	Cited
1	2007	The 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	180
2	2002	On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers \|\| Download paper	80
3	2009	The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers \|\| Download paper	80
4	2015	Arbitrage 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	68
5	2008	Multifractal 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	68
6	2013	Model-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	64
7	2012	Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers \|\| Download paper	62
8	2011	Multifractal 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	54
9	2010	Detrending 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	51
10	2015	Detrended 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	50
11	2014	A 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	47
12	2011	The 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	42
13	2014	Should 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	40
14	2005	Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers \|\| Download paper	38
15	2009	Colloquium: 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	36
16	1999	Scaling 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	34
17	2010	Optimal 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	33
18	2015	The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, JosÃÂ© 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	33
19	2011	Evolution 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	33
20	2014	What 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	32
21	1999	Universal 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	32
22	2000	Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers \|\| Download paper	31
23	2013	Average and Quantile Effects in Nonseparable Panel Models. (2013). Hahn, Jinyong ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Newey, Whitney. In: Papers. RePEc:arx:papers:0904.1990. Full description at Econpapers \|\| Download paper	30
24	2014	The 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. Full description at Econpapers \|\| Download paper	30
25	2015	DebtRank: 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	30
26	2004	Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers \|\| Download paper	30
27	2007	On 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	29
28	2015	What 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. Full description at Econpapers \|\| Download paper	28
29	2016	Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian. In: Papers. RePEc:arx:papers:1509.01966. Full description at Econpapers \|\| Download paper	27
30	2015	Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers \|\| Download paper	27
31	2017	Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532. Full description at Econpapers \|\| Download paper	26
32	2001	Exponential 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	26
33	2015	Some 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. Full description at Econpapers \|\| Download paper	26
34	2013	Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951. Full description at Econpapers \|\| Download paper	26
35	2014	Physics 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	24
36	2004	What 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	24
37	2003	Multifractal 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	24
38	2015	Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1411.5062. Full description at Econpapers \|\| Download paper	23
39	2016	Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models. (2016). Esponda, Ignacio ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.1152. Full description at Econpapers \|\| Download paper	23
40	2015	Joint 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. Full description at Econpapers \|\| Download paper	23
41	2006	A 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	23
42	2014	Detrended Cross-Correlation Analysis Consistently Extended to Multifractality. (2014). Jaros{l}aw Kwapie'n, ; Jadach, Stanislaw ; Stanis{l}aw Dro. zd. z, ; O'swicecimka, Pawel ; Forczek, Marcin . In: Papers. RePEc:arx:papers:1308.6148. Full description at Econpapers \|\| Download paper	23
43	1999	The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers \|\| Download paper	22
44	2017	When Should You Adjust Standard Errors for Clustering?. (2017). Athey, Susan ; Abadie, Alberto ; Wooldridge, Jeffrey ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926. Full description at Econpapers \|\| Download paper	22
45	2013	Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1208.6486. Full description at Econpapers \|\| Download paper	22
46	2004	The 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
47	1999	Scaling 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. Full description at Econpapers \|\| Download paper	22
48	2013	Cascading 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. Full description at Econpapers \|\| Download paper	21
49	2000	Fractional 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. Full description at Econpapers \|\| Download paper	21
50	2005	Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066. Full description at Econpapers \|\| Download paper	21

Citing documents used to compute impact factor 581:

Year	Title
2017	Accommodating Different Learning Styles in the Teaching of Economics: with Emphasis on Fleming and MillsÂ¡Â¯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. Full description at Econpapers \|\| Download paper
2017	Amenities 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. Full description at Econpapers \|\| Download paper
2017	Amenities and the Social Structure of Cities. (2017). Thisse, Jacques ; MOIZEAU, Fabien ; Gaigne, Carl. In: HSE Working papers. RePEc:hig:wpaper:162/ec/2017. Full description at Econpapers \|\| Download paper
2017	Assignment of Stock Market Coverage. (2017). Hong, Harrison ; Chang, Briana. In: NBER Working Papers. RePEc:nbr:nberwo:23115. Full description at Econpapers \|\| Download paper
2017	Amenities and the Social Structure of Cities. (2017). Thisse, Jacques ; MOIZEAU, Fabien ; Gaigne, Carl ; Koster, Hans . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11958. Full description at Econpapers \|\| Download paper
2017	Contract-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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Existence 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	BSDEs 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. Full description at Econpapers \|\| Download paper
2017	GENERAL 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. Full description at Econpapers \|\| Download paper
2017	Global 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. Full description at Econpapers \|\| Download paper
2017	Time-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. Full description at Econpapers \|\| Download paper
2017	Exponentially concave functions and a new information geometry. (2017). Pal, Soumik ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1605.05819. Full description at Econpapers \|\| Download paper
2017	Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647. Full description at Econpapers \|\| Download paper
2017	ASYMPTOTICS 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. Full description at Econpapers \|\| Download paper
2017	Dead Alphas as Risk Factors. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1709.06641. Full description at Econpapers \|\| Download paper
2017	Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210. Full description at Econpapers \|\| Download paper
2017	SET-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. Full description at Econpapers \|\| Download paper
2017	From 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. Full description at Econpapers \|\| Download paper
2017	NEW 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Long-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. Full description at Econpapers \|\| Download paper
2017	Data 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. Full description at Econpapers \|\| Download paper
2017	Decomposition 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. Full description at Econpapers \|\| Download paper
2017	Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate. (2017). Cheng, Zailei. In: Papers. RePEc:arx:papers:1705.08411. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Identification 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Do they make a difference? Professional team sports clubsâ 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. Full description at Econpapers \|\| Download paper
2017	How 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Faraway, 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. Full description at Econpapers \|\| Download paper
2017	Complexity 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. Full description at Econpapers \|\| Download paper
2017	Complexity 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. Full description at Econpapers \|\| Download paper
2017	An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1701.08972. Full description at Econpapers \|\| Download paper
2017	Purchasing 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. Full description at Econpapers \|\| Download paper
2017	Effective asymptotic analysis for finance. (2017). Grunspan, Cyril ; van der Hoeven, Joris . In: Working Papers. RePEc:hal:wpaper:hal-01573621. Full description at Econpapers \|\| Download paper
2017	AN 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. Full description at Econpapers \|\| Download paper
2017	TIGHTER 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. Full description at Econpapers \|\| Download paper
2017	Non-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. Full description at Econpapers \|\| Download paper
2017	American option valuation under time changed tempered stable LÃ©vy 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. Full description at Econpapers \|\| Download paper
2017	A series representation for the Black-Scholes formula. (2017). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1710.01141. Full description at Econpapers \|\| Download paper
2017	Concept of dynamic memory in economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088. Full description at Econpapers \|\| Download paper
2017	Performance 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. Full description at Econpapers \|\| Download paper
2017	Humans 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. Full description at Econpapers \|\| Download paper
2017	An applied spatial agent-based model of administrative boundaries using SEAL. (2017). Furtado, Bernardo ; Eberhardt, Isaque Daniel . In: Papers. RePEc:arx:papers:1702.03226. Full description at Econpapers \|\| Download paper
2017	Whose Balance Sheet is this? Neural Networks for Banks Pattern Recognition. (2017). LeÃÂ³n, Carlos ; Rincon, Carlos Leon ; Cely, Jorge ; Moreno, Jose Fernando . In: Discussion Paper. RePEc:tiu:tiucen:75d8648e-9855-4c5c-9aa9-0d92cc522e1b. Full description at Econpapers \|\| Download paper
2017	Early 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. Full description at Econpapers \|\| Download paper
2017	Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Gonzalez, Federico ; Schervish, Mark . In: Papers. RePEc:arx:papers:1707.01167. Full description at Econpapers \|\| Download paper
2017	Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01512430. Full description at Econpapers \|\| Download paper
2017	Analysis 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. Full description at Econpapers \|\| Download paper
2017	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models. (2017). Weron, RafaÅ ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1703. Full description at Econpapers \|\| Download paper
2017	On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II â Probabilistic forecasting. (2017). Weron, RafaÅ ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1702. Full description at Econpapers \|\| Download paper
2017	Variance stabilizing transformations for electricity spot price forecasting. (2017). Weron, RafaÅ ; Uniejewski, Bartosz ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1701. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719. Full description at Econpapers \|\| Download paper
2017	Cost-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. Full description at Econpapers \|\| Download paper
2017	Cost-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. Full description at Econpapers \|\| Download paper
2017	Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351. Full description at Econpapers \|\| Download paper
2017	The specific shapes of gender imbalance in scientific authorships: A network approach. (2017). AraÃÂºjo, Tanya ; Fontainha, Elsa ; Araujo, Tanya. In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:1:p:88-102. Full description at Econpapers \|\| Download paper
2017	The topology of inter-industry relations from the Portuguese national accounts. (2017). AraÃÂºjo, 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. Full description at Econpapers \|\| Download paper
2017	Time-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. Full description at Econpapers \|\| Download paper
2017	Measuring 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. Full description at Econpapers \|\| Download paper
2017	Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Computational 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. Full description at Econpapers \|\| Download paper
2017	From 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. Full description at Econpapers \|\| Download paper
2017	Double/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. Full description at Econpapers \|\| Download paper
2017	Double/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. Full description at Econpapers \|\| Download paper
2017	Bounds for VIX Futures given S&P 500 Smiles. (2017). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832. Full description at Econpapers \|\| Download paper
2017	Change 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. Full description at Econpapers \|\| Download paper
2017	Bounds 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. Full description at Econpapers \|\| Download paper
2017	Monotone 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. Full description at Econpapers \|\| Download paper
2017	Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067. Full description at Econpapers \|\| Download paper
2017	Derivatives Clearing and Brexit: A comment on the proposed EMIR revisions. (2017). Lannoo, Karel. In: ECMI Papers. RePEc:eps:ecmiwp:13150. Full description at Econpapers \|\| Download paper
2017	Burst 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. Full description at Econpapers \|\| Download paper
2017	Generalized 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. Full description at Econpapers \|\| Download paper
2017	Distributed 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	On the Blacks equation for the risk tolerance function. (2017). Kallblad, Sigrid ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1705.07472. Full description at Econpapers \|\| Download paper
2017	Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466. Full description at Econpapers \|\| Download paper
2017	Preferences Over all Random Variables: Incompatibility of Convexity and Continuity. (2017). Zimper, Alexander ; Assa, Hirbod. In: Working Papers. RePEc:pre:wpaper:201714. Full description at Econpapers \|\| Download paper
2017	FORECASTING 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. Full description at Econpapers \|\| Download paper
2017	Co-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. Full description at Econpapers \|\| Download paper
2017	Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327. Full description at Econpapers \|\| Download paper
2017	Crude 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. Full description at Econpapers \|\| Download paper
2017	The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802. Full description at Econpapers \|\| Download paper
2017	Understanding 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. Full description at Econpapers \|\| Download paper
2017	Demographic 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	Trading Lightly: Cross-Impact and Optimal Portfolio Execution. (2017). Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe ; Eisler, Zoltan ; Benzaquen, Michael. In: Papers. RePEc:arx:papers:1702.03838. Full description at Econpapers \|\| Download paper
2017	Learning to forecast, risk aversion, and microstructural aspects of financial stability. (2017). Biondo, Alessio Emanuele. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017104. Full description at Econpapers \|\| Download paper
2017	INTERMITTENT 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. Full description at Econpapers \|\| Download paper
2017	Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing. (2017). Rachev, Svetlozar ; Fabozzi, Frank J ; Stoyanov, Stoyan. In: Papers. RePEc:arx:papers:1710.03205. Full description at Econpapers \|\| Download paper
2017	On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169. Full description at Econpapers \|\| Download paper
2017	Population 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. Full description at Econpapers \|\| Download paper
2017	Changing 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. Full description at Econpapers \|\| Download paper
2017	Puzzling 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. Full description at Econpapers \|\| Download paper
2017	Explaining 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. Full description at Econpapers \|\| Download paper
2017	Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111. Full description at Econpapers \|\| Download paper
2017	Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models. (2017). Leorato, Samantha ; BillÃÂ©, Anna Gloria ; Bille, Anna Gloria. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps44. Full description at Econpapers \|\| Download paper
2017	Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan. In: Papers. RePEc:arx:papers:1610.00778. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Networks of Volatility Spillovers among Stock Markets. (2017). VÃÂ½rost, TomÃ¡Å¡ ; LyÃÂ³csa, Å tefan ; KoÄenda, EvÅ¾en ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476. Full description at Econpapers \|\| Download paper
2017	Application of Differential Equations in Projecting Growth Trajectories. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1705.06557. Full description at Econpapers \|\| Download paper
2017	Changing the Direction of the Economic and Demographic Research. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1708.08673. Full description at Econpapers \|\| Download paper
2017	Application 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. Full description at Econpapers \|\| Download paper
2017	Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (2017). Ranganathan, Sindhuja ; Kanniainen, Juho ; Kivela, Mikko . In: Papers. RePEc:arx:papers:1708.04430. Full description at Econpapers \|\| Download paper
2017	Correlations and Clustering in Wholesale Electricity Markets. (2017). Cui, Tianyu ; Ududec, Cozmin ; Caravelli, Francesco. In: Papers. RePEc:arx:papers:1710.11184. Full description at Econpapers \|\| Download paper
2017	How Safe are Central Counterparties in Derivatives Markets?. (2017). Young, Peyton H ; Paddrik, Mark. In: Economics Series Working Papers. RePEc:oxf:wpaper:826. Full description at Econpapers \|\| Download paper
2017	How Safe are Central Counterparties in Derivatives Markets?. (2017). Paddrik, Mark ; Young, Peyton H. In: Working Papers. RePEc:ofr:wpaper:17-06. Full description at Econpapers \|\| Download paper
2017	On the optimality of periodic barrier strategies for a spectrally positive LÃ©vy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13. Full description at Econpapers \|\| Download paper
2017	Monetary 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Testing 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. Full description at Econpapers \|\| Download paper
2017	Socio-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. Full description at Econpapers \|\| Download paper
2017	A diffusion approximation for limit order book models. (2017). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1608.01795. Full description at Econpapers \|\| Download paper
2017	Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios. (2017). Chatsanga, Nonthachote ; Parkes, Andrew J. In: Papers. RePEc:arx:papers:1704.01174. Full description at Econpapers \|\| Download paper
2017	Martingale Benamou--Brenier: a probabilistic perspective. (2017). Veraguas, Julio Backhoff ; Kallblad, Sigrid ; Huesmann, Martin ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1708.04869. Full description at Econpapers \|\| Download paper
2017	Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545. Full description at Econpapers \|\| Download paper
2017	Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867. Full description at Econpapers \|\| Download paper
2017	Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779. Full description at Econpapers \|\| Download paper
2017	Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588. Full description at Econpapers \|\| Download paper
2017	The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers \|\| Download paper
2017	Hyperinflation 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. Full description at Econpapers \|\| Download paper
2017	Electricity 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. Full description at Econpapers \|\| Download paper
2017	Mapping 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: CEPR Discussion Papers. RePEc:cpr:ceprdp:11919. Full description at Econpapers \|\| Download paper
2017	Mapping 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. Full description at Econpapers \|\| Download paper
2017	How 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. Full description at Econpapers \|\| Download paper
2017	Mapping 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. Full description at Econpapers \|\| Download paper
2017	Monitoring 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. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	On Drawdown-Modulated Feedback Control in Stock Trading. (2017). Hsieh, Chung-Han ; Barmish, Ross B. In: Papers. RePEc:arx:papers:1710.01503. Full description at Econpapers \|\| Download paper
2017	Modelling 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. Full description at Econpapers \|\| Download paper
2017	Employment 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Statistical 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. Full description at Econpapers \|\| Download paper
2017	Financial Time Series Prediction Using Deep Learning. (2017). Navon, Ariel ; Keller, Yosi. In: Papers. RePEc:arx:papers:1711.04174. Full description at Econpapers \|\| Download paper
2017	On the overestimation of the largest eigenvalue of a covariance matrix. (2017). Hayou, Soufiane . In: Papers. RePEc:arx:papers:1708.03551. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Convergence 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. Full description at Econpapers \|\| Download paper
2017	A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Revisiting r>gâThe 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. Full description at Econpapers \|\| Download paper
2017	Uncovering 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. Full description at Econpapers \|\| Download paper
2017	Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456. Full description at Econpapers \|\| Download paper
2017	Volatility 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. Full description at Econpapers \|\| Download paper
2017	COMPUTING 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. Full description at Econpapers \|\| Download paper
2017	Role 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector. (2017). Sen, Jaydip ; Chaudhuri, Tamal Datta. In: Papers. RePEc:arx:papers:1705.01144. Full description at Econpapers \|\| Download paper
2017	Active learning with a misspecified prior. (2017). Fudenberg, Drew ; Romanyuk, Gleb ; Strack, Philipp. In: Theoretical Economics. RePEc:the:publsh:2480. Full description at Econpapers \|\| Download paper
2017	Should 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. Full description at Econpapers \|\| Download paper
2017	Three different ways synchronization can cause contagion in financial markets. (2017). Massad, Naji ; Andersen, Jorgen-Vitting. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01673333. Full description at Econpapers \|\| Download paper
2017	Three 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. Full description at Econpapers \|\| Download paper
2017	From 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. Full description at Econpapers \|\| Download paper
2017	Heterogeneous 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. Full description at Econpapers \|\| Download paper
2017	Placebo Tests for Synthetic Controls. (2017). Pinto, Cristine ; Ferman, Bruno. In: MPRA Paper. RePEc:pra:mprapa:78079. Full description at Econpapers \|\| Download paper
2017	Robust Synthetic Control. (2017). Amjad, Muhammad Jehangir ; Shen, Dennis ; Shah, Devavrat. In: Papers. RePEc:arx:papers:1711.06940. Full description at Econpapers \|\| Download paper
2017	Cohesion 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. Full description at Econpapers \|\| Download paper
2017	Natural disasters and university enrolment: evidence from LâAquila earthquake. (2017). Di Pietro, Giorgio ; Cerqua, Augusto. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:14:p:1440-1457. Full description at Econpapers \|\| Download paper
2017	Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers \|\| Download paper
2017	BARRIER 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. Full description at Econpapers \|\| Download paper
2017	Identifiability issues of ageâperiod and ageâperiodâcohort models of the LeeâCarter 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. Full description at Econpapers \|\| Download paper
2017	Stochastic 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. Full description at Econpapers \|\| Download paper
2017	Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292. Full description at Econpapers \|\| Download paper
2017	The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, MihÃÂ¡ly ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Mutual 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. Full description at Econpapers \|\| Download paper
2017	Identifying events in financial time series â 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. Full description at Econpapers \|\| Download paper
2017	The Case of âLess is Moreâ: Modelling Risk-Preference with Expected Downside Risk. (2017). Ormos, MihÃÂ¡ly ; Dusan, Timotity . In: The B.E. Journal of Theoretical Economics. RePEc:bpj:bejtec:v:17:y:2017:i:2:p:14:n:8. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	One-Switch Discount Functions. (2017). Anchugina, Nina . In: Papers. RePEc:arx:papers:1702.02254. Full description at Econpapers \|\| Download paper
2017	Extended 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. Full description at Econpapers \|\| Download paper
2017	The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495. Full description at Econpapers \|\| Download paper
2017	Firm-level simulation of supply chain disruption triggered by actual and predicted earthquakes. (2017). Todo, Yasuyuki ; Inoue, Hiroyasu. In: MPRA Paper. RePEc:pra:mprapa:82920. Full description at Econpapers \|\| Download paper
2017	Rough volatility: evidence from option prices. (2017). Pallavicini, Andrea ; Livieri, Giulia ; Rosenbaum, Mathieu ; Mouti, Saad . In: Papers. RePEc:arx:papers:1702.02777. Full description at Econpapers \|\| Download paper
2017	Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081. Full description at Econpapers \|\| Download paper
2017	Perfect hedging in rough Heston models. (2017). Rosenbaum, Mathieu ; el Euch, Omar. In: Papers. RePEc:arx:papers:1703.05049. Full description at Econpapers \|\| Download paper
2017	Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933. Full description at Econpapers \|\| Download paper
2017	Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading. (2017). Gao, Xuefeng ; Zhu, Lingjiong ; Zhou, Xiang. In: Papers. RePEc:arx:papers:1710.01452. Full description at Econpapers \|\| Download paper
2017	A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481. Full description at Econpapers \|\| Download paper
2017	Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078. Full description at Econpapers \|\| Download paper
2017	Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa. In: Papers. RePEc:arx:papers:1707.01600. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Some 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. Full description at Econpapers \|\| Download paper
2017	Conditional 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. Full description at Econpapers \|\| Download paper
2017	Bounded Rationality And Learning: A Framework and A Robustness Result. (2017). Bohren, Aislinn ; Hauser, Daniel . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12036. Full description at Econpapers \|\| Download paper
2017	Learning and Equilibrium Refinements in Signalling Games. (2017). He, Kevin ; Fudenberg, Drew. In: Papers. RePEc:arx:papers:1709.01024. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Model Averaging and Persistent Disagreement. (2017). Kasa, Kenneth ; Cho, Inkoo. In: Review. RePEc:fip:fedlrv:00085. Full description at Econpapers \|\| Download paper
2017	Bounded Rationality And Learning: A Framwork and A Robustness Result. (2017). Bohren, Aislinn ; Hauser, Daniel . In: PIER Working Paper Archive. RePEc:pen:papers:17-007*. Full description at Econpapers \|\| Download paper
2017	Costly Interpretation of Asset Prices. (2017). Vives, Xavier ; Yang, Liyan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12360. Full description at Econpapers \|\| Download paper
2017	A Mean Field Competition. (2017). Nutz, Marcel ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1708.01308. Full description at Econpapers \|\| Download paper
2017	Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1709.07329. Full description at Econpapers \|\| Download paper
2017	Incomplete stochastic equilibria for dynamic monetary utility. (2017). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao. In: Papers. RePEc:arx:papers:1505.07224. Full description at Econpapers \|\| Download paper
2017	Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218. Full description at Econpapers \|\| Download paper
2017	Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Working Papers. RePEc:hal:wpaper:hal-01598651. Full description at Econpapers \|\| Download paper
2017	Modeling 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. Full description at Econpapers \|\| Download paper
2017	Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742. Full description at Econpapers \|\| Download paper
2017	Regularities 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. Full description at Econpapers \|\| Download paper
2017	Credit 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. Full description at Econpapers \|\| Download paper
2017	Die wirtschaftliche Entwicklung im Ausland: Leichte Belebung der internationalen Konjunktur. (2017). Schmidt, Torsten ; Rujin, Svetlana ; Micheli, Martin ; DÃÂ¶hrn, Roland ; Blagov, Boris ; Dohrn, Roland ; Grozea-Helmenstein, Daniela ; Jager, Philipp. In: RWI Konjunkturberichte. RePEc:zbw:rwikon:156192. Full description at Econpapers \|\| Download paper
2017	Transportation 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. Full description at Econpapers \|\| Download paper
2017	Is 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. Full description at Econpapers \|\| Download paper
2017	Beyond 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. Full description at Econpapers \|\| Download paper
2017	Decoding Stock Market with Quant Alphas. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1708.02984. Full description at Econpapers \|\| Download paper
2017	Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743. Full description at Econpapers \|\| Download paper
2017	Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883. Full description at Econpapers \|\| Download paper
2017	K-means and Cluster Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1703.00703*. Full description at Econpapers \|\| Download paper
2017	How 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. Full description at Econpapers \|\| Download paper
2017	Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1701.00875. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Econophysics Macroeconomic Model. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1701.06625. Full description at Econpapers \|\| Download paper
2017	Econophysics: 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. Full description at Econpapers \|\| Download paper
2017	Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Modeling 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. Full description at Econpapers \|\| Download paper
2017	Low 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. Full description at Econpapers \|\| Download paper
2017	Bayesian 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. Full description at Econpapers \|\| Download paper
2017	Machine 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. Full description at Econpapers \|\| Download paper
2017	Forecasting 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. Full description at Econpapers \|\| Download paper
2017	Uncertainties 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. Full description at Econpapers \|\| Download paper
2017	Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517. Full description at Econpapers \|\| Download paper
2017	Pathwise superreplication via Vovkâs 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. Full description at Econpapers \|\| Download paper
2017	Income 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. Full description at Econpapers \|\| Download paper
2017	Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454. Full description at Econpapers \|\| Download paper
2017	High-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. Full description at Econpapers \|\| Download paper
2017	Systemic Risk Management in Financial Networks with Credit Default Swaps. (2017). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1601.02156. Full description at Econpapers \|\| Download paper
2017	Does Financial Tranquility Call for More Stringent Regulation?. (2017). Basak, Deepal ; Zhao, Yunhui ; Murray, Alexander. In: MPRA Paper. RePEc:pra:mprapa:81373. Full description at Econpapers \|\| Download paper
2017	Basel 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. Full description at Econpapers \|\| Download paper
2017	Systemic Risk in Financial Systems: a feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:461. Full description at Econpapers \|\| Download paper
2017	Incentivizing 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. Full description at Econpapers \|\| Download paper
2017	Systemic 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	OPTIMAL 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. Full description at Econpapers \|\| Download paper
2017	A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Yudovina, Elena ; Kelly, Frank . In: Papers. RePEc:arx:papers:1504.00579. Full description at Econpapers \|\| Download paper
2017	Modeling 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. Full description at Econpapers \|\| Download paper
2017	Long-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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Facing 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	A High Frequency Trade Execution Model for Supervised Learning. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1710.03870. Full description at Econpapers \|\| Download paper
2017	Optimal Portfolio under Fractional Stochastic Environment. (2017). Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1703.06969. Full description at Econpapers \|\| Download paper
2017	Modeling 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. Full description at Econpapers \|\| Download paper
2017	Zipfs law for share price and company fundamentals. (2017). Kaizoji, Taisei ; Miyano, Michiko . In: Papers. RePEc:arx:papers:1702.00144. Full description at Econpapers \|\| Download paper
2017	Gaussian processes for computer experiments. (2017). Rulliere, Didier ; Maatouk, Hassan ; Contal, Emile ; Bachoc, Franois . In: Post-Print. RePEc:hal:journl:hal-01665936. Full description at Econpapers \|\| Download paper
2017	Asymptotics 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. Full description at Econpapers \|\| Download paper
2017	Short Maturity Asian Options for the CEV Model. (2017). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1702.03382. Full description at Econpapers \|\| Download paper
2017	Short Maturity Forward Start Asian Options in Local Volatility Models. (2017). Pirjol, Dan ; Zhu, Lingjiong ; Wang, Jing. In: Papers. RePEc:arx:papers:1710.03160. Full description at Econpapers \|\| Download paper
2017	Risk-Minimizing Hedging of Counterparty Risk. (2017). Bo, Lijun ; Ceci, Claudia ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1709.01115. Full description at Econpapers \|\| Download paper
2017	SUPER-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. Full description at Econpapers \|\| Download paper
2017	Modelling Crypto-Currencies Financial Time-Series. (2017). Catania, Leopoldo ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:417. Full description at Econpapers \|\| Download paper
2017	Valuation 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose. In: Staff Working Papers. RePEc:bca:bocawp:17-30. Full description at Econpapers \|\| Download paper
2017	Clearing algorithms and network centrality. (2017). Siebenbrunner, Christoph. In: Papers. RePEc:arx:papers:1706.00284. Full description at Econpapers \|\| Download paper
2017	Two 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. Full description at Econpapers \|\| Download paper
2017	Tail 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. Full description at Econpapers \|\| Download paper
2017	Set-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. Full description at Econpapers \|\| Download paper
2017	Getting rich quick with the Axiom of Choice. (2017). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1604.00596. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Duality formulas for robust pricing and hedging in discrete time. (2017). Cheridito, Patrick ; Tangpi, Ludovic ; Kupper, Michael. In: Papers. RePEc:arx:papers:1602.06177. Full description at Econpapers \|\| Download paper
2017	Structural 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Logit 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. Full description at Econpapers \|\| Download paper
2017	Publishing 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. Full description at Econpapers \|\| Download paper
2017	Asymmetric 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. Full description at Econpapers \|\| Download paper
2017	Strategy-updating depending on local environment enhances cooperation in prisonerâs 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. Full description at Econpapers \|\| Download paper
2017	Rare 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. Full description at Econpapers \|\| Download paper
2017	A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Yudovina, Elena ; Kelly, Frank . In: Papers. RePEc:arx:papers:1504.00579. Full description at Econpapers \|\| Download paper
2017	The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495. Full description at Econpapers \|\| Download paper
2017	Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599. Full description at Econpapers \|\| Download paper
2017	Power 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. Full description at Econpapers \|\| Download paper
2017	Cross-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. Full description at Econpapers \|\| Download paper
2017	Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867. Full description at Econpapers \|\| Download paper
2017	Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933. Full description at Econpapers \|\| Download paper
2017	Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439. Full description at Econpapers \|\| Download paper
2017	Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications . (2017). Pham, Huyen. In: Papers. RePEc:arx:papers:1604.06609*. Full description at Econpapers \|\| Download paper
2017	A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302. Full description at Econpapers \|\| Download paper
2017	Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications . (2017). Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-01305929*. Full description at Econpapers \|\| Download paper
2017	Post-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. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	How 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. Full description at Econpapers \|\| Download paper
2017	American options in an imperfect market with default. (2017). Dumitrescu, Roxana ; Sulem, Agnes ; Quenez, Marie-Claire. In: Papers. RePEc:arx:papers:1708.08675. Full description at Econpapers \|\| Download paper
2017	DERIVATIVE 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. Full description at Econpapers \|\| Download paper
2017	Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01520655. Full description at Econpapers \|\| Download paper
2017	Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2017_004. Full description at Econpapers \|\| Download paper
2017	Risk 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. Full description at Econpapers \|\| Download paper
2017	Robust 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. Full description at Econpapers \|\| Download paper
2017	Gini-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. Full description at Econpapers \|\| Download paper
2017	MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277. Full description at Econpapers \|\| Download paper
2017	Statistical 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. Full description at Econpapers \|\| Download paper
2017	Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17006. Full description at Econpapers \|\| Download paper
2017	Dynamical 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. Full description at Econpapers \|\| Download paper
2017	Is 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. Full description at Econpapers \|\| Download paper
2017	An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1706.09224. Full description at Econpapers \|\| Download paper
2017	Volatility 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. Full description at Econpapers \|\| Download paper
2017	New 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. Full description at Econpapers \|\| Download paper
2017	The consumptionâinvestment 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. Full description at Econpapers \|\| Download paper
2017	A note on optimal expected utility of dividend payments with proportional reinsurance. (2017). Liang, Xiaoqing ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1605.06849. Full description at Econpapers \|\| Download paper
2017	Why 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. Full description at Econpapers \|\| Download paper
2017	Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944. Full description at Econpapers \|\| Download paper
2017	Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Complexity 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. Full description at Econpapers \|\| Download paper
2017	Systemic Risk in Financial Systems: a feedback approach. (2017). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:461. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719. Full description at Econpapers \|\| Download paper
2017	Systemic 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. Full description at Econpapers \|\| Download paper
2017	Complexity 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. Full description at Econpapers \|\| Download paper
2017	Limit 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. Full description at Econpapers \|\| Download paper
2017	Quadratic 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Coupling 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. Full description at Econpapers \|\| Download paper
2017	Asymmetric 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Characterization of flow pattern transitions for horizontal liquidâliquid 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. Full description at Econpapers \|\| Download paper
2017	Long 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. Full description at Econpapers \|\| Download paper
2017	Cross-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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Ising 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. Full description at Econpapers \|\| Download paper
2017	Volatility-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. Full description at Econpapers \|\| Download paper
2017	Outward foreign direct investments and home countryâs 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. Full description at Econpapers \|\| Download paper
2017	Nonlinear 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. Full description at Econpapers \|\| Download paper
2017	Dynamic 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. Full description at Econpapers \|\| Download paper
2017	Cross-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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Burst 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. Full description at Econpapers \|\| Download paper
2017	Portuguese 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. Full description at Econpapers \|\| Download paper
2017	Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532. Full description at Econpapers \|\| Download paper
2017	Characterization 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. Full description at Econpapers \|\| Download paper
2017	Crude 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. Full description at Econpapers \|\| Download paper
2017	Some 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. Full description at Econpapers \|\| Download paper
2017	Conditional nonlinear expectations. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248. Full description at Econpapers \|\| Download paper
2017	Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687. Full description at Econpapers \|\| Download paper
2017	High 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. Full description at Econpapers \|\| Download paper
2017	Inference in Linear Regression Models with Many Covariates and Heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: Papers. RePEc:arx:papers:1507.02493. Full description at Econpapers \|\| Download paper
2017	Cross-fitting and fast remainder rates for semiparametric estimation. (2017). Newey, Whitney K ; Robins, James M. In: CeMMAP working papers. RePEc:ifs:cemmap:41/17. Full description at Econpapers \|\| Download paper
2017	Estimation 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. Full description at Econpapers \|\| Download paper
2017	Testing Missing at Random using Instrumental Variables. (2017). Breunig, Christoph. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-007. Full description at Econpapers \|\| Download paper
2017	Nonparametric Estimation in Case of Endogenous Selection. (2017). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:58. Full description at Econpapers \|\| Download paper
2017	Testing Missing At Random Using Instrumental Variables. (2017). Breunig, Christoph. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:59. Full description at Econpapers \|\| Download paper
2017	Measuring financial risk and portfolio reversion with time changed tempered stable LÃ©vy 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. Full description at Econpapers \|\| Download paper
2017	Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067. Full description at Econpapers \|\| Download paper
2017	Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko. In: Papers. RePEc:arx:papers:1402.5306. Full description at Econpapers \|\| Download paper
2017	Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097. Full description at Econpapers \|\| Download paper
2017	Bayesian 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. Full description at Econpapers \|\| Download paper
2017	Tests 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. Full description at Econpapers \|\| Download paper
2017	The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, MihÃÂ¡ly ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332. Full description at Econpapers \|\| Download paper
2017	Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Estimation of long memory in volatility using wavelets. (2017). BarunÃÂk, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5. Full description at Econpapers \|\| Download paper
2017	Monetary 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. Full description at Econpapers \|\| Download paper
2017	Zero-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. Full description at Econpapers \|\| Download paper
2017	Constrained Optimal Transport. (2017). Soner, Mete H ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1610.02940. Full description at Econpapers \|\| Download paper
2017	Change 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. Full description at Econpapers \|\| Download paper
2017	A stability result on optimal Skorokhod embedding. (2017). Guo, Gaoyue. In: Papers. RePEc:arx:papers:1701.08204. Full description at Econpapers \|\| Download paper
2017	Robust Hedging of Options on a Leveraged Exchange Traded Fund. (2017). Kinsley, Sam M ; Alexander, . In: Papers. RePEc:arx:papers:1702.07169. Full description at Econpapers \|\| Download paper
2017	Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588. Full description at Econpapers \|\| Download paper
2017	Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911. Full description at Econpapers \|\| Download paper
2017	Optimal Brownian Stopping between radially symmetric marginals in general dimensions. (2017). Ghoussoub, Nassif ; Lim, Tongseok ; Kim, Young-Heon . In: Papers. RePEc:arx:papers:1711.02784. Full description at Econpapers \|\| Download paper
2017	On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153. Full description at Econpapers \|\| Download paper
2017	âGerontogrowthâ 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. Full description at Econpapers \|\| Download paper
2017	Nonparametric 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. Full description at Econpapers \|\| Download paper
2017	ROBUST 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. Full description at Econpapers \|\| Download paper
2017	Duality formulas for robust pricing and hedging in discrete time. (2017). Cheridito, Patrick ; Tangpi, Ludovic ; Kupper, Michael. In: Papers. RePEc:arx:papers:1602.06177. Full description at Econpapers \|\| Download paper
2017	Martingale Benamou--Brenier: a probabilistic perspective. (2017). Veraguas, Julio Backhoff ; Kallblad, Sigrid ; Huesmann, Martin ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1708.04869. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545. Full description at Econpapers \|\| Download paper
2017	Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517. Full description at Econpapers \|\| Download paper
2017	Bounds for VIX Futures given S&P 500 Smiles. (2017). Menegaux, Romain ; Nutz, Marcel ; Guyon, Julien . In: Papers. RePEc:arx:papers:1609.05832. Full description at Econpapers \|\| Download paper
2017	Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999. Full description at Econpapers \|\| Download paper
2017	Hedging 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. Full description at Econpapers \|\| Download paper
2017	Model 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. Full description at Econpapers \|\| Download paper
2017	Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779. Full description at Econpapers \|\| Download paper
2017	Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524. Full description at Econpapers \|\| Download paper
2017	Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa. In: Papers. RePEc:arx:papers:1707.01600. Full description at Econpapers \|\| Download paper
2017	The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Bounds 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. Full description at Econpapers \|\| Download paper
2017	Monotone 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. Full description at Econpapers \|\| Download paper
2017	Pathwise superreplication via Vovkâs 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. Full description at Econpapers \|\| Download paper
2017	Model uncertainty, recalibration, and the emergence of deltaâvega 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. Full description at Econpapers \|\| Download paper
2017	SUPER-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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Beating 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. Full description at Econpapers \|\| Download paper
2017	On the optimality of periodic barrier strategies for a spectrally positive LÃ©vy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13. Full description at Econpapers \|\| Download paper
2017	Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311. Full description at Econpapers \|\| Download paper
2017	IMPLICIT 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. Full description at Econpapers \|\| Download paper
2017	Quantile Hedging in a Semi-Static Market with Model Uncertainty. (2017). Bayraktar, Erhan ; Wang, GU. In: Papers. RePEc:arx:papers:1408.4848. Full description at Econpapers \|\| Download paper
2017	The Futures Premium and Rice Market Efficiency in Prewar Japan. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.5381. Full description at Econpapers \|\| Download paper
2017	Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.1164. Full description at Econpapers \|\| Download paper
2017	Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527. Full description at Econpapers \|\| Download paper
2017	Formation of monopolies in a bipartite market. (2017). Achach, Manuel Rodriguez ; Perez, Enrique Baquedano. In: ContadurÃa y AdministraciÃ³n. RePEc:nax:conyad:v:62:y:2017:i:4:p:1335-1344. Full description at Econpapers \|\| Download paper
2017	Economic 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. Full description at Econpapers \|\| Download paper
2017	Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900. Full description at Econpapers \|\| Download paper
2017	Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831. Full description at Econpapers \|\| Download paper
2017	Alpha-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. Full description at Econpapers \|\| Download paper
2017	Modeling 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. Full description at Econpapers \|\| Download paper
2017	Network topology analysis approach on Chinaâs 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. Full description at Econpapers \|\| Download paper
2017	Pricing 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Grouped 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. Full description at Econpapers \|\| Download paper
2017	The Impact of Social Media On Belief Formation. (2017). Schwarz, Marco. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:57. Full description at Econpapers \|\| Download paper
2017	Network Structure and Consolidation in the U.S. Airline Industry, 1990-2015. (2017). Ciliberto, Federico ; Williams, Jonathan ; Cook, Emily. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12485. Full description at Econpapers \|\| Download paper
2017	On Game-Theoretic Risk Management (Part Three) - Modeling and Applications. (2017). Rass, Stefan. In: Papers. RePEc:arx:papers:1711.00708. Full description at Econpapers \|\| Download paper
2017	Trading 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. Full description at Econpapers \|\| Download paper
2017	On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169. Full description at Econpapers \|\| Download paper
2017	Analysis of variance based instruments for OrnsteinâUhlenbeck 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. Full description at Econpapers \|\| Download paper
2017	Sharing 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. Full description at Econpapers \|\| Download paper
2017	On absence of steady state in the Bouchaud-M\ezard network model. (2017). Liu, Zhiyuan ; Serota, R A. In: Papers. RePEc:arx:papers:1704.02377. Full description at Econpapers \|\| Download paper
2017	Correlation 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. Full description at Econpapers \|\| Download paper
2017	Understanding 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. Full description at Econpapers \|\| Download paper
2017	Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1701.00875. Full description at Econpapers \|\| Download paper
2017	Optimal Trading with a Trailing Stop. (2017). Leung, Tim ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1701.03960. Full description at Econpapers \|\| Download paper
2017	Stop-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. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Optimal trading strategies for LÃ©vy-driven Ornstein-Uhlenbeck processes. (2017). Endres, Sylvia ; Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:172017. Full description at Econpapers \|\| Download paper
2017	Capacity 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. Full description at Econpapers \|\| Download paper
2017	Risk Model Based on General Compound Hawkes Process. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.09038. Full description at Econpapers \|\| Download paper
2017	Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01512430. Full description at Econpapers \|\| Download paper
2017	Statistical 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. Full description at Econpapers \|\| Download paper
2017	A buffer Hawkes process for limit order books. (2017). Kaj, Ingemar ; Caglar, Mine . In: Papers. RePEc:arx:papers:1710.03506. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	STATIONARY 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Specification 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.*. Full description at Econpapers \|\| Download paper
2017	Valuation 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. Full description at Econpapers \|\| Download paper
2017	Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435. Full description at Econpapers \|\| Download paper
2017	Weak solution for a class of fully nonlinear stochastic HamiltonâJacobiâBellman equations. (2017). Qiu, Jinniao . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1926-1959. Full description at Econpapers \|\| Download paper
2017	Perfect hedging under endogenous permanent market impacts. (2017). Fukasawa, Masaaki ; Stadje, Mitja. In: Papers. RePEc:arx:papers:1702.01385. Full description at Econpapers \|\| Download paper
2017	On Origins of Bubbles. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.03769. Full description at Econpapers \|\| Download paper
2017	Why Quantitative Structuring?. (2017). Soklakov, Andrei N. In: Papers. RePEc:arx:papers:1507.07219. Full description at Econpapers \|\| Download paper
2017	Structural 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. Full description at Econpapers \|\| Download paper
2017	Computational 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Significant ties: Identifying relationship lending in temporal interbank networks. (2017). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Discussion Papers. RePEc:koe:wpaper:1717. Full description at Econpapers \|\| Download paper
2017	An estimation procedure for the Hawkes process. (2017). Kirchner, Matthias. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:571-595. Full description at Econpapers \|\| Download paper
2017	Capacity 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. Full description at Econpapers \|\| Download paper
2017	Forecasting 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. Full description at Econpapers \|\| Download paper
2017	Comparison 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. Full description at Econpapers \|\| Download paper
2017	Design 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. Full description at Econpapers \|\| Download paper
2017	Dynamic 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. Full description at Econpapers \|\| Download paper
2017	Insurance makes wealth grow faster. (2017). Peters, Ole ; Adamou, Alexander. In: Papers. RePEc:arx:papers:1507.04655. Full description at Econpapers \|\| Download paper
2017	Multivariate Density Modeling for Retirement Finance. (2017). Rook, Christopher J. In: Papers. RePEc:arx:papers:1709.04070. Full description at Econpapers \|\| Download paper
2017	Do 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. Full description at Econpapers \|\| Download paper
2017	The inefficiency of Bitcoin revisited: a dynamic approach. (2017). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:1709.08090. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Stochastic 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers \|\| Download paper
2017	The Jacobi Stochastic Volatility Model. (2017). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir. In: Working Papers. RePEc:hal:wpaper:hal-01338330. Full description at Econpapers \|\| Download paper
2017	Change 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. Full description at Econpapers \|\| Download paper
2017	Short Maturity Forward Start Asian Options in Local Volatility Models. (2017). Pirjol, Dan ; Zhu, Lingjiong ; Wang, Jing. In: Papers. RePEc:arx:papers:1710.03160. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Rawls fairness, income distribution and alarming level of Gini coefficient. (2017). Tao, Yong ; Li, Changshuai ; Wu, Xiangjun. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201767. Full description at Econpapers \|\| Download paper
2017	Systemic Risk Management in Financial Networks with Credit Default Swaps. (2017). Leduc, Matt V ; Thurner, Stefan ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1601.02156. Full description at Econpapers \|\| Download paper
2017	Multiplex interbank networks and systemic importance - An application to European data. (2017). Aldasoro, IÃÂ±aki ; Alves, Ivan . In: BIS Working Papers. RePEc:bis:biswps:603. Full description at Econpapers \|\| Download paper
2017	Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets. (2017). Serguieva, Antoaneta . In: Papers. RePEc:arx:papers:1701.06975. Full description at Econpapers \|\| Download paper
2017	Basel 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. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Multichannel contagion vs stabilisation in multiple interconnected financial markets. (2017). Serguieva, Antoaneta ; Bholat, David. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-09. Full description at Econpapers \|\| Download paper
2017	Not 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. Full description at Econpapers \|\| Download paper
2017	Network 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. Full description at Econpapers \|\| Download paper
2017	Identifying 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. Full description at Econpapers \|\| Download paper
2017	MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier . In: Working Papers. RePEc:hal:wpaper:hal-01367277. Full description at Econpapers \|\| Download paper
2017	Model Spaces for Risk Measures. (2017). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1703.01137. Full description at Econpapers \|\| Download paper
2017	Model 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. Full description at Econpapers \|\| Download paper
2017	Discounting with Imperfect Collateral. (2017). Lou, Wujiang . In: Papers. RePEc:arx:papers:1702.04053. Full description at Econpapers \|\| Download paper
2017	Financial 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. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218. Full description at Econpapers \|\| Download paper
2017	Particle systems with singular interaction through hitting times: application in systemic risk modeling. (2017). Nadtochiy, Sergey ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1705.00691. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Weakly chained matrices, policy iteration, and impulse control. (2017). Azimzadeh, Parsiad ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1510.03928. Full description at Econpapers \|\| Download paper
2017	Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351. Full description at Econpapers \|\| Download paper
2017	Risk contagion under regular variation and asymptotic tail independence. (2017). Das, Bikramjit ; Fasen, Vicky . In: Papers. RePEc:arx:papers:1603.09406. Full description at Econpapers \|\| Download paper
2017	SET-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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2. (2017). Fantazzini, Dean ; Nigmatullin, Erik ; Ivliev, Sergey ; Sukhanovskaya, Vera . In: Applied Econometrics. RePEc:ris:apltrx:0308. Full description at Econpapers \|\| Download paper
2017	Evolutionary dynamics of the cryptocurrency market. (2017). Elbahrawy, Abeer ; Baronchelli, Andrea ; Pastor-Satorras, Romualdo ; Kandler, Anne ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:1705.05334. Full description at Econpapers \|\| Download paper
2017	Time-consistent meanâvariance assetâliability 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. Full description at Econpapers \|\| Download paper
2017	Performance 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. Full description at Econpapers \|\| Download paper
2017	PERFORMANCE 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. Full description at Econpapers \|\| Download paper
2017	Modelling 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. Full description at Econpapers \|\| Download paper
2017	Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632. Full description at Econpapers \|\| Download paper
2017	Complexity 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. Full description at Econpapers \|\| Download paper
2017	INTERMITTENT 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. Full description at Econpapers \|\| Download paper
2017	Transitions 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. Full description at Econpapers \|\| Download paper
2017	Capital Allocation in the Insurance Sector. (2017). Balog, DÃÂ³ra. In: Financial and Economic Review. RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647. Full description at Econpapers \|\| Download paper
2017	Identification 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. Full description at Econpapers \|\| Download paper
2017	Generalized 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. Full description at Econpapers \|\| Download paper
2017	Tightness 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. Full description at Econpapers \|\| Download paper
2017	Trading Strategies with Position Limits. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1712.07649. Full description at Econpapers \|\| Download paper
2017	Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1604.04608. Full description at Econpapers \|\| Download paper
2017	Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Merakli, Merve ; Kucukyavuz, Simge . In: Papers. RePEc:arx:papers:1708.01324. Full description at Econpapers \|\| Download paper
2017	Forecasting 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. Full description at Econpapers \|\| Download paper
2017	Who 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. Full description at Econpapers \|\| Download paper
2017	The effect of heterogeneity on flocking behavior and systemic risk. (2017). Sun, Yiwei ; Fang, Fei ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1607.08287. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	Designing long-lived investments under uncertain and ongoing change. (2017). Paschen, Marius ; Eisenack, Klaus. In: Working Papers. RePEc:old:dpaper:398. Full description at Econpapers \|\| Download paper
2017	IRREVERSIBLE 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. Full description at Econpapers \|\| Download paper
2017	Asymmetric 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. Full description at Econpapers \|\| Download paper
2017	Weighted 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. Full description at Econpapers \|\| Download paper
2017	Option pricing with Legendre polynomials. (2017). Hok, Julien. In: Papers. RePEc:arx:papers:1610.03086. Full description at Econpapers \|\| Download paper
2017	Localized 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. Full description at Econpapers \|\| Download paper
2017	Voltage 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. Full description at Econpapers \|\| Download paper
2017	Big Data. (2017). Committee, Irving Fisher. In: IFC Bulletins. RePEc:bis:bisifb:44. Full description at Econpapers \|\| Download paper
2017	Central Bank Communications: information extraction and semantic analysis. (2017). Bruno, Giuseppe. In: IFC Bulletins chapters. RePEc:bis:bisifc:44-17. Full description at Econpapers \|\| Download paper
2017	Bayesian 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. Full description at Econpapers \|\| Download paper
2017	Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292. Full description at Econpapers \|\| Download paper
2017	Algorithmic trading in a microstructural limit order book model. (2017). , ; Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446. Full description at Econpapers \|\| Download paper
2017	Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327. Full description at Econpapers \|\| Download paper
2017	Algorithmic trading in a microstructural limit order book model. (2017). Abergel, Frederic ; Pham, Huyen ; Hure, Come . In: Working Papers. RePEc:hal:wpaper:hal-01514987. Full description at Econpapers \|\| Download paper
2017	Friends and enemies: a model of signed network formation. (2017). Hiller, Timo. In: Theoretical Economics. RePEc:the:publsh:1937. Full description at Econpapers \|\| Download paper
2017	Mars or Mercury? The Geopolitics of International Currency Choice. (2017). Mehl, Arnaud ; Eichengreen, Barry ; Chitu, Livia. In: NBER Working Papers. RePEc:nbr:nberwo:24145. Full description at Econpapers \|\| Download paper
2017	Macroeconomic 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. Full description at Econpapers \|\| Download paper
2017	Application of Differential Equations in Projecting Growth Trajectories. (2017). Nielsen, Ron W. In: Papers. RePEc:arx:papers:1705.06557. Full description at Econpapers \|\| Download paper
2017	Macroeconomic 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. Full description at Econpapers \|\| Download paper
2017	The impact of inflationâs 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. Full description at Econpapers \|\| Download paper
2017	Funding, repo and credit inclusive valuation as modified option pricing. (2017). Brigo, Damiano ; Rutkowski, Marek ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1602.05998. Full description at Econpapers \|\| Download paper
2017	Financial 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. Full description at Econpapers \|\| Download paper
2017	Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863. Full description at Econpapers \|\| Download paper
2017	Estimating 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. Full description at Econpapers \|\| Download paper
2017	Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers \|\| Download paper
2017	SPATIAL EFFECTS AND EXTERNALITIES OF THE RIVALSâ NETWORKS IN HUNGARY. (2017). Jona, Gyorgy ; Toth, Tamas. In: Journal of Spatial and Organizational Dynamics. RePEc:ris:jspord:0941. Full description at Econpapers \|\| Download paper
2017	Climate 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. Full description at Econpapers \|\| Download paper
2017	Temperature shocks and welfare costs. (2017). Schlag, Christian ; Donadelli, Michael ; Riedel, Max ; Juppner, Marcus. In: SAFE Working Paper Series. RePEc:zbw:safewp:177. Full description at Econpapers \|\| Download paper
2017	Temperature 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. Full description at Econpapers \|\| Download paper
2017	Climate 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. Full description at Econpapers \|\| Download paper
2017	Testing efficiency in small and large financial markets. (2017). Dare, Wale. In: Economics Working Paper Series. RePEc:usg:econwp:2017:14. Full description at Econpapers \|\| Download paper
2017	Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	LONG-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. Full description at Econpapers \|\| Download paper
2017	The complex dynamics of products and its asymptotic properties. (2017). Angelini, Orazio ; Pietronero, Luciano ; Zaccaria, Andrea ; Cristelli, Matthieu . In: Papers. RePEc:arx:papers:1610.00274. Full description at Econpapers \|\| Download paper
2017	Robust 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. Full description at Econpapers \|\| Download paper
2017	Pricing 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. Full description at Econpapers \|\| Download paper
2017	Continuous 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. Full description at Econpapers \|\| Download paper
2017	Interbank 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. Full description at Econpapers \|\| Download paper
2017	From 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. Full description at Econpapers \|\| Download paper
2017	Day 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. Full description at Econpapers \|\| Download paper
2017	Asset 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Weighted-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. Full description at Econpapers \|\| Download paper
2017	Some Remarks on Real Estate Pricing. (2017). Liu, Cocker ; Smith, Patrick ; Nowak, Adam. In: Working Papers. RePEc:wvu:wpaper:17-20. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374. Full description at Econpapers \|\| Download paper
2017	Time 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. Full description at Econpapers \|\| Download paper
2017	Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552. Full description at Econpapers \|\| Download paper
2017	Wax 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. Full description at Econpapers \|\| Download paper
2017	Hedging 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. Full description at Econpapers \|\| Download paper
2017	The amazing power of dimensional analysis: Quantifying market impact. (2017). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1702.05434. Full description at Econpapers \|\| Download paper
2017	Optimal 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. Full description at Econpapers \|\| Download paper
2017	The impact of crude oil prices on financial market indicators: copula approach. (2017). KÃÂÃÂÃÂKÃÂZMEN, 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. Full description at Econpapers \|\| Download paper
2017	Can 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Oil 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. Full description at Econpapers \|\| Download paper
2017	Multifractal 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. Full description at Econpapers \|\| Download paper
2017	Price Volatility Modelling â Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Decoupling 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers \|\| Download paper
2017	High-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. Full description at Econpapers \|\| Download paper
2017	Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097. Full description at Econpapers \|\| Download paper
2017	Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439. Full description at Econpapers \|\| Download paper
2017	Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218. Full description at Econpapers \|\| Download paper
2017	Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers \|\| Download paper
2017	Tukeys transformational ladder for portfolio management. (2017). Ernst, Philip ; Miao, Yinsen ; Thompson, James. In: Papers. RePEc:arx:papers:1603.06050. Full description at Econpapers \|\| Download paper
2017	Optimal Liquidation under Stochastic Liquidity. (2017). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1603.06498. Full description at Econpapers \|\| Download paper
2017	Using 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. Full description at Econpapers \|\| Download paper
2017	Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Market Integration in the Prewar Japanese Rice Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1604.00148. Full description at Econpapers \|\| Download paper
2017	Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743. Full description at Econpapers \|\| Download paper
2017	Monte Carlo Confidence Sets for Identified Sets. (2017). Chen, Xiaohong ; Tamer, Elie ; Christensen, Timothy . In: Papers. RePEc:arx:papers:1605.00499. Full description at Econpapers \|\| Download paper
2017	The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868. Full description at Econpapers \|\| Download paper
2017	High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1605.03653. Full description at Econpapers \|\| Download paper
2017	Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311. Full description at Econpapers \|\| Download paper
2017	On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153. Full description at Econpapers \|\| Download paper
2017	Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883. Full description at Econpapers \|\| Download paper
2017	On optimal investment with processes of long or negative memory. (2017). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1608.00768. Full description at Econpapers \|\| Download paper
2017	Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers \|\| Download paper
2017	Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999. Full description at Econpapers \|\| Download paper
2017	Approximate pricing of European and Barrier claims in a local-stochastic volatility setting. (2017). Barger, Weston ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1610.05728. Full description at Econpapers \|\| Download paper
2017	Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435. Full description at Econpapers \|\| Download paper
2017	Convex functions on dual Orlicz spaces. (2017). Delbaen, Freddy ; Owari, Keita . In: Papers. RePEc:arx:papers:1611.06218. Full description at Econpapers \|\| Download paper
2017	A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302. Full description at Econpapers \|\| Download paper
2017	Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742. Full description at Econpapers \|\| Download paper
2017	Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060. Full description at Econpapers \|\| Download paper
2017	Conditional nonlinear expectations. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103. Full description at Econpapers \|\| Download paper
2017	Political elections and uncertainty -Are BRICS markets equally exposed to Trumps agenda?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1701.02182. Full description at Econpapers \|\| Download paper
2017	Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098. Full description at Econpapers \|\| Download paper
2017	On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:1701.04260. Full description at Econpapers \|\| Download paper
2017	Economic Growth Model with Constant Pace and Dynamic Memory. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1701.06299. Full description at Econpapers \|\| Download paper
2017	Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Koch-Medina, Pablo ; Baes, Michel ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1702.01936. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081. Full description at Econpapers \|\| Download paper
2017	Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744. Full description at Econpapers \|\| Download paper
2017	Quantifying Chinas Regional Economic Complexity. (2017). Zhou, Tao ; Gao, Jian. In: Papers. RePEc:arx:papers:1703.01292. Full description at Econpapers \|\| Download paper
2017	Towards a probability-free theory of continuous martingales. (2017). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1703.08715. Full description at Econpapers \|\| Download paper
2017	Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588. Full description at Econpapers \|\| Download paper
2017	Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639. Full description at Econpapers \|\| Download paper
2017	A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers \|\| Download paper
2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1704.06388. Full description at Econpapers \|\| Download paper
2017	Duality in Regret Measures and Risk Measures. (2017). Yao, Qiang ; Sun, Jie ; Yang, Xinmin. In: Papers. RePEc:arx:papers:1705.00340. Full description at Econpapers \|\| Download paper
2017	Algorithmic trading in a microstructural limit order book model. (2017). , ; Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446. Full description at Econpapers \|\| Download paper
2017	Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933. Full description at Econpapers \|\| Download paper
2017	Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Mostovyi, Oleksii ; Sirbu, Mihai. In: Papers. RePEc:arx:papers:1705.08291. Full description at Econpapers \|\| Download paper
2017	Moral hazard in welfare economics: on the advantage of Planners advices to manage employees actions. (2017). Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1706.01254. Full description at Econpapers \|\| Download paper

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Recent citations received in 2016

Year	Citing document
2016	Arbitrage without borrowing or short selling?. (2016). Lukkarinen, Jani ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2016-13. Full description at Econpapers \|\| Download paper
2016	Efficient Bailouts?. (2016). Bianchi, Javier. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:12:p:3607-59. Full description at Econpapers \|\| Download paper
2016	Tails of weakly dependent random vectors. (2016). TANKOV, PETER. In: Papers. RePEc:arx:papers:1402.4683. Full description at Econpapers \|\| Download paper
2016	A statistical physics analysis of expenditure in the UK. (2016). Oltean, Elvis ; Kusmartsev, Fedor . In: Papers. RePEc:arx:papers:1410.3865. Full description at Econpapers \|\| Download paper
2016	Stability 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. Full description at Econpapers \|\| Download paper
2016	Regulatory Capital Modelling for Credit Risk. (2016). Rutkowski, Marek ; Tarca, Silvio . In: Papers. RePEc:arx:papers:1412.1183. Full description at Econpapers \|\| Download paper
2016	A 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. Full description at Econpapers \|\| Download paper
2016	Arbitrage-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. Full description at Econpapers \|\| Download paper
2016	Leveraging 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. Full description at Econpapers \|\| Download paper
2016	Pathwise 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. Full description at Econpapers \|\| Download paper
2016	Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1505.05256. Full description at Econpapers \|\| Download paper
2016	Optimal Investment to Minimize the Probability of Drawdown. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1506.00166. Full description at Econpapers \|\| Download paper
2016	Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers \|\| Download paper
2016	Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1507.08713. Full description at Econpapers \|\| Download paper
2016	A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1508.02367. Full description at Econpapers \|\| Download paper
2016	Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin. In: Papers. RePEc:arx:papers:1510.01890. Full description at Econpapers \|\| Download paper
2016	Pathwise no-arbitrage in a class of Delta hedging strategies. (2016). Schied, Alexander ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1511.00026. Full description at Econpapers \|\| Download paper
2016	Magic points in finance: Empirical integration for parametric option pricing. (2016). Gass, Maximilian ; Mair, Maximilian ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1511.00884. Full description at Econpapers \|\| Download paper
2016	A 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. Full description at Econpapers \|\| Download paper
2016	Integration with respect to model-free price paths with jumps. (2016). Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1511.08194. Full description at Econpapers \|\| Download paper
2016	Purely pathwise probability-free Ito integral. (2016). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1512.01698. Full description at Econpapers \|\| Download paper
2016	Consistent 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. Full description at Econpapers \|\| Download paper
2016	A unified view of LIBOR models. (2016). Glau, Kathrin ; Papapantoleon, Antonis ; Grbac, Zorana. In: Papers. RePEc:arx:papers:1601.01352. Full description at Econpapers \|\| Download paper
2016	Deep Learning for Limit Order Books. (2016). Sirignano, Justin. In: Papers. RePEc:arx:papers:1601.01987. Full description at Econpapers \|\| Download paper
2016	Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199. Full description at Econpapers \|\| Download paper
2016	Empirical Methods for Dynamic Power Law Distributions in the Social Sciences. (2016). Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1602.00159. Full description at Econpapers \|\| Download paper
2016	Model-Free Discretisation-Invariant Swap Contracts. (2016). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1602.00235. Full description at Econpapers \|\| Download paper
2016	Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes ; Alexander, Carol. In: Papers. RePEc:arx:papers:1602.00865. Full description at Econpapers \|\| Download paper
2016	On 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. Full description at Econpapers \|\| Download paper
2016	Relativistic Quantum Finance. (2016). Romero, Juan M ; Zubieta-Mart, Ilse B. In: Papers. RePEc:arx:papers:1604.01447. Full description at Econpapers \|\| Download paper
2016	The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter. In: Papers. RePEc:arx:papers:1604.01824. Full description at Econpapers \|\| Download paper
2016	The Topology of African Exports: emerging patterns on spanning trees. (2016). Ara, Tanya ; Ferreira, Ennes M. In: Papers. RePEc:arx:papers:1604.03522. Full description at Econpapers \|\| Download paper
2016	Arbitrage without borrowing or short selling?. (2016). Lukkarinen, Jani ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1604.07690. Full description at Econpapers \|\| Download paper
2016	Regrets, learning and wisdom. (2016). Challet, Damien. In: Papers. RePEc:arx:papers:1605.01052. Full description at Econpapers \|\| Download paper
2016	Stochastic Portfolio Theory: A Machine Learning Perspective. (2016). Samo, Yves-Laurent Kom ; Vervuurt, Alexander . In: Papers. RePEc:arx:papers:1605.02654. Full description at Econpapers \|\| Download paper
2016	On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2016). Marciniak, Ewa ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1605.04584. Full description at Econpapers \|\| Download paper
2016	Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao. In: Papers. RePEc:arx:papers:1605.07945. Full description at Econpapers \|\| Download paper
2016	The 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. Full description at Econpapers \|\| Download paper
2016	Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading. (2016). Ormos, MihÃÂ¡ly ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03590. Full description at Econpapers \|\| Download paper
2016	Recursive utility optimization with concave coefficients. (2016). Ji, Shaolin ; Shi, Xiaomin . In: Papers. RePEc:arx:papers:1607.00721. Full description at Econpapers \|\| Download paper
2016	A probability-free and continuous-time explanation of the equity premium and CAPM. (2016). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1607.00830. Full description at Econpapers \|\| Download paper
2016	Should 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. Full description at Econpapers \|\| Download paper
2016	Alternative 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. Full description at Econpapers \|\| Download paper
2016	Multiple risk factor dependence structures: Distributional properties. (2016). Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:1607.04739. Full description at Econpapers \|\| Download paper
2016	Allocation 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. Full description at Econpapers \|\| Download paper
2016	Consistency of option prices under bid-ask spreads. (2016). Gerhold, Stefan ; Gulum, Cetin I. In: Papers. RePEc:arx:papers:1608.05585. Full description at Econpapers \|\| Download paper
2016	Volatility and Arbitrage. (2016). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1608.06121. Full description at Econpapers \|\| Download paper
2016	Rethinking Financial Contagion. (2016). Visentin, Gabriele ; D'Errico, Marco ; Battiston, Stefano. In: Papers. RePEc:arx:papers:1608.07831. Full description at Econpapers \|\| Download paper
2016	The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108. Full description at Econpapers \|\| Download paper
2016	Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris. In: Papers. RePEc:arx:papers:1609.02354. Full description at Econpapers \|\| Download paper

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Recent citations received in 2015

Year	Citing document
2015	Dynamic Model of Markets of Homogenous Non-Durable. (2015). Kaldasch, Joachim. In: Papers. RePEc:arx:papers:1109.5791. Full description at Econpapers \|\| Download paper
2015	Utility 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. Full description at Econpapers \|\| Download paper
2015	Arbitrage 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
2015	On hedging American options under model uncertainty. (2015). Bayraktar, Erhan ; Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1309.2982. Full description at Econpapers \|\| Download paper
2015	Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers \|\| Download paper
2015	Default Clustering in Large Pools: Large Deviations. (2015). Spiliopoulos, Konstantinos ; Sowers, Richard B.. In: Papers. RePEc:arx:papers:1311.0498. Full description at Econpapers \|\| Download paper
2015	General indifference pricing with small transaction costs. (2015). Possamai, Dylan ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1401.3261. Full description at Econpapers \|\| Download paper
2015	On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints. (2015). Bayraktar, Erhan ; Bayrkatar, Erhan ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1402.2596. Full description at Econpapers \|\| Download paper
2015	Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers \|\| Download paper
2015	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers \|\| Download paper
2015	Affine 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. Full description at Econpapers \|\| Download paper
2015	Robust 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. Full description at Econpapers \|\| Download paper
2015	Robust Superhedging with Jumps and Diffusion. (2015). Nutz, Marcel. In: Papers. RePEc:arx:papers:1407.1674. Full description at Econpapers \|\| Download paper
2015	Discrete, 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. Full description at Econpapers \|\| Download paper
2015	Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences. (2015). Green, Andrew ; Kenyon, Chris. In: Papers. RePEc:arx:papers:1407.3201. Full description at Econpapers \|\| Download paper
2015	Sequential 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. Full description at Econpapers \|\| Download paper
2015	Arbitrage theory without a num\eraire. (2015). Tehranchi, Michael R.. In: Papers. RePEc:arx:papers:1410.2976. Full description at Econpapers \|\| Download paper
2015	Robust Fundamental Theorem for Continuous Processes. (2015). Bouchard, Bruno ; Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1410.4962. Full description at Econpapers \|\| Download paper
2015	Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension. (2015). Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.2701. Full description at Econpapers \|\| Download paper
2015	The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels. (2015). Park, Hyungbin ; Han, Jihun . In: Papers. RePEc:arx:papers:1411.4606. Full description at Econpapers \|\| Download paper
2015	Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1411.5062. Full description at Econpapers \|\| Download paper
2015	Misspecified Recovery. (2015). Scheinkman, Jose ; Hansen, Lars ; Borovivcka, Jaroslav ; Jos'e A. Scheinkman, . In: Papers. RePEc:arx:papers:1412.0042. Full description at Econpapers \|\| Download paper
2015	Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. (2015). Bayraktar, Erhan ; Yao, Song. In: Papers. RePEc:arx:papers:1412.2053. Full description at Econpapers \|\| Download paper
2015	A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius. In: Papers. RePEc:arx:papers:1412.4503. Full description at Econpapers \|\| Download paper
2015	The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs. (2015). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1501.02276. Full description at Econpapers \|\| Download paper
2015	Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756. Full description at Econpapers \|\| Download paper
2015	An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions. (2015). Leung, Tim ; Dahlgren, Eric . In: Papers. RePEc:arx:papers:1502.00861. Full description at Econpapers \|\| Download paper
2015	Convex duality with transaction costs. (2015). Soner, Mete H. ; Dolinsky, Yan . In: Papers. RePEc:arx:papers:1502.01735. Full description at Econpapers \|\| Download paper
2015	Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers \|\| Download paper
2015	Rational 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. Full description at Econpapers \|\| Download paper
2015	Affine LIBOR models driven by real-valued affine processes. (2015). Waldenberger, Stefan ; Muller, Wolfgang . In: Papers. RePEc:arx:papers:1503.00864. Full description at Econpapers \|\| Download paper
2015	On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1503.02822. Full description at Econpapers \|\| Download paper
2015	Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers \|\| Download paper
2015	Optimal 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. Full description at Econpapers \|\| Download paper
2015	SMC-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. Full description at Econpapers \|\| Download paper
2015	Google matrix of the world network of economic activities. (2015). Escaith, Hubert ; Shepelyansky, D. L. ; Kandiah, V.. In: Papers. RePEc:arx:papers:1504.06773. Full description at Econpapers \|\| Download paper
2015	Collective 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. Full description at Econpapers \|\| Download paper
2015	Dynamics 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. Full description at Econpapers \|\| Download paper
2015	Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1505.04936. Full description at Econpapers \|\| Download paper
2015	Optimal 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. Full description at Econpapers \|\| Download paper
2015	An 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. Full description at Econpapers \|\| Download paper
2015	Many-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. Full description at Econpapers \|\| Download paper
2015	Autoregressive approaches to import--export time series II: a concrete case study. (2015). di Persio, Luca ; Segala, Chiara . In: Papers. RePEc:arx:papers:1506.01984. Full description at Econpapers \|\| Download paper
2015	Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers \|\| Download paper
2015	Seasonal 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. Full description at Econpapers \|\| Download paper
2015	Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:1506.06180. Full description at Econpapers \|\| Download paper
2015	Too 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. Full description at Econpapers \|\| Download paper
2015	Expected 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. Full description at Econpapers \|\| Download paper
2015	Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil. In: Papers. RePEc:arx:papers:1507.01175. Full description at Econpapers \|\| Download paper
2015	Contagion effects in the world network of economic activities. (2015). Escaith, Hubert ; Kandiah, V. ; Shepelyansky, D. L.. In: Papers. RePEc:arx:papers:1507.03278. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

Recent citations received in 2014

Year	Citing document
2014	Inference in High-dimensional Dynamic Panel Data Models. (2014). Kock, Anders ; Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58. Full description at Econpapers \|\| Download paper
2014	Determinants 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. Full description at Econpapers \|\| Download paper
2014	Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel. In: Papers. RePEc:arx:papers:1301.3227. Full description at Econpapers \|\| Download paper
2014	Weak and strong no-arbitrage conditions for continuous financial markets. (2014). Fontana, Claudio. In: Papers. RePEc:arx:papers:1302.7192. Full description at Econpapers \|\| Download paper
2014	Explicit implied volatilities for multifactor local-stochastic volatility models. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1306.5447. Full description at Econpapers \|\| Download paper
2014	Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1308.0931. Full description at Econpapers \|\| Download paper
2014	A statistical physics perspective on criticality in financial markets. (2014). Bury, Thomas . In: Papers. RePEc:arx:papers:1310.2446. Full description at Econpapers \|\| Download paper
2014	Sticky continuous processes have consistent price systems. (2014). Bender, Christian ; Pakkanen, Mikko S. ; Sayit, Hasanjan . In: Papers. RePEc:arx:papers:1310.7857. Full description at Econpapers \|\| Download paper
2014	Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1401.3133. Full description at Econpapers \|\| Download paper
2014	Expert 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. Full description at Econpapers \|\| Download paper
2014	Micro 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. Full description at Econpapers \|\| Download paper
2014	Netconomics: 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. Full description at Econpapers \|\| Download paper
2014	Do 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. Full description at Econpapers \|\| Download paper
2014	High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey. In: Papers. RePEc:arx:papers:1403.1804. Full description at Econpapers \|\| Download paper
2014	A Note on the Quantile Formulation. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1403.7269. Full description at Econpapers \|\| Download paper
2014	Ramsey 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. Full description at Econpapers \|\| Download paper
2014	Ramsey 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. Full description at Econpapers \|\| Download paper
2014	Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers \|\| Download paper
2014	Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes. (2014). Racorean, Ovidiu. In: Papers. RePEc:arx:papers:1404.6637. Full description at Econpapers \|\| Download paper
2014	Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs. (2014). Bayraktar, Erhan ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1404.7406. Full description at Econpapers \|\| Download paper
2014	How does bad and good volatility spill over across petroleum markets?. (2014). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1405.2445. Full description at Econpapers \|\| Download paper
2014	Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1405.3769. Full description at Econpapers \|\| Download paper
2014	Splitting 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. Full description at Econpapers \|\| Download paper
2014	VAR 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. Full description at Econpapers \|\| Download paper
2014	Decoding Stock Market Behavior with the Topological Quantum Computer. (2014). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1406.3531. Full description at Econpapers \|\| Download paper
2014	Instabilities 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. Full description at Econpapers \|\| Download paper
2014	Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1406.6496. Full description at Econpapers \|\| Download paper
2014	Hedging 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. Full description at Econpapers \|\| Download paper
2014	Linear vector optimization and European option pricing under proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz. In: Papers. RePEc:arx:papers:1407.5877. Full description at Econpapers \|\| Download paper
2014	Contagious Synchronization and Endogenous Network Formation in Financial Networks. (2014). Georg, Co-Pierre ; Aymanns, Christoph . In: Papers. RePEc:arx:papers:1408.0440. Full description at Econpapers \|\| Download paper
2014	The 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. Full description at Econpapers \|\| Download paper
2014	Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter. In: Papers. RePEc:arx:papers:1408.5989. Full description at Econpapers \|\| Download paper
2014	Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Itkin, Andrey ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers \|\| Download paper
2014	Fast 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. Full description at Econpapers \|\| Download paper
2014	Optimal 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. Full description at Econpapers \|\| Download paper
2014	Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1409.2023. Full description at Econpapers \|\| Download paper
2014	The 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. Full description at Econpapers \|\| Download paper
2014	The Immediate Exchange model: an analytical investigation. (2014). Katriel, Guy . In: Papers. RePEc:arx:papers:1409.6646. Full description at Econpapers \|\| Download paper
2014	Finite sample properties of power-law cross-correlations estimators. (2014). KriÅ¡toufek, Ladislav. In: Papers. RePEc:arx:papers:1409.6857. Full description at Econpapers \|\| Download paper
2014	Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit. In: Papers. RePEc:arx:papers:1409.7933. Full description at Econpapers \|\| Download paper
2014	Fair and profitable bilateral prices under funding costs and collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1410.0448. Full description at Econpapers \|\| Download paper
2014	Fair bilateral prices in Bergmans model. (2014). Rutkowski, Marek ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1410.0673. Full description at Econpapers \|\| Download paper
2014	An initial approach to Risk Management of Funding Costs. (2014). Brigo, Damiano ; Durand, Cyril . In: Papers. RePEc:arx:papers:1410.2034. Full description at Econpapers \|\| Download paper
2014	Randomisation 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. Full description at Econpapers \|\| Download paper
2014	The Model Confidence Set package for R. (2014). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1410.8504. Full description at Econpapers \|\| Download paper
2014	Fast 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. Full description at Econpapers \|\| Download paper
2014	Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426. Full description at Econpapers \|\| Download paper
2014	Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Nishinari, Katsuhiro ; Ichiki, Shingo . In: Papers. RePEc:arx:papers:1411.2215. Full description at Econpapers \|\| Download paper
2014	Risk-Sensitive Mean-Field Type Control under Partial Observation. (2014). Djehiche, Boualem ; Tembine, Hamidou . In: Papers. RePEc:arx:papers:1411.7231. Full description at Econpapers \|\| Download paper
2014	Market 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. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	1616
2	Physica A: Statistical Mechanics and its Applications / Elsevier	1113
3	MPRA Paper / University Library of Munich, Germany	165
4	Stochastic Processes and their Applications / Elsevier	100
5	Finance and Stochastics / Springer	98
6	Insurance: Mathematics and Economics / Elsevier	87
7	Quantitative Finance / Taylor & Francis Journals	65
8	Working Papers / HAL	64
9	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	59
10	Post-Print / HAL	56
11	Journal of Banking & Finance / Elsevier	47

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Source data used to compute the impact factor of RePEc series.