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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
50
Impact Factor
0.34
5 Years IF
0.29
Data available in this report

[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 CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1992 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1994 0 0.14 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.17 0 0 0 0 0 0 0 0 0 0 0.1
1996 0 0.22 0 0 0 0 0 1 0 0 0 0 0.1
1997 0 0.22 0.4 0 15 15 270 6 7 0 0 1 16.7 6 0.4 0.09
1998 0.53 0.24 0.2 0.53 44 59 278 12 19 15 8 15 8 2 16.7 2 0.05 0.12
1999 0.08 0.3 0.13 0.08 53 112 520 14 33 59 5 59 5 3 21.4 8 0.15 0.15
2000 0.24 0.36 0.39 0.28 74 186 576 72 105 97 23 112 31 19 26.4 9 0.12 0.14
2001 0.28 0.36 0.47 0.27 97 283 642 127 237 127 36 186 51 52 40.9 29 0.3 0.17
2002 0.27 0.38 0.34 0.22 112 395 865 131 371 171 46 283 62 37 28.2 28 0.25 0.18
2003 0.25 0.39 0.31 0.19 107 502 413 150 525 209 53 380 72 34 22.7 6 0.06 0.19
2004 0.21 0.41 0.34 0.23 150 652 879 219 746 219 45 443 100 30 13.7 23 0.15 0.18
2005 0.18 0.43 0.31 0.2 190 842 696 245 1003 257 45 540 106 63 25.7 19 0.1 0.2
2006 0.22 0.45 0.32 0.21 245 1087 609 350 1354 340 75 656 138 53 15.1 12 0.05 0.19
2007 0.17 0.38 0.28 0.18 285 1372 1271 374 1737 435 76 804 148 79 21.1 33 0.12 0.17
2008 0.18 0.39 0.29 0.18 301 1673 1030 473 2222 530 95 977 172 92 19.5 23 0.08 0.17
2009 0.2 0.36 0.29 0.17 342 2015 1105 565 2814 586 116 1171 203 134 23.7 39 0.11 0.17
2010 0.2 0.35 0.27 0.17 483 2498 1143 648 3481 643 131 1363 235 138 21.3 39 0.08 0.15
2011 0.2 0.4 0.34 0.18 517 3015 1349 997 4507 825 164 1656 302 242 24.3 145 0.28 0.19
2012 0.2 0.44 0.31 0.2 585 3600 1327 1072 5608 1000 204 1928 387 327 30.5 82 0.14 0.2
2013 0.25 0.49 0.33 0.21 707 4307 1701 1397 7046 1102 270 2228 476 448 32.1 145 0.21 0.2
2014 0.3 0.52 0.37 0.25 793 5100 1502 1817 8923 1292 390 2634 663 632 34.8 148 0.19 0.23
2015 0.32 0.52 0.39 0.27 795 5895 1315 2234 11238 1500 477 3085 825 847 37.9 144 0.18 0.23
2016 0.33 0.58 0.41 0.28 957 6852 1053 2744 14049 1588 530 3397 956 890 32.4 194 0.2 0.25
2017 0.3 0.6 0.39 0.26 951 7803 860 2956 17099 1752 517 3837 1008 1000 33.8 184 0.19 0.25
2018 0.34 0.68 0.39 0.29 1517 9320 684 3557 20761 1908 646 4203 1213 1234 34.7 302 0.2 0.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

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460
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

322
32009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

182
42008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773.

Full description at Econpapers || Download paper

164
51999Scaling 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.

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157
62012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776.

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123
71999The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369.

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121
81999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

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121
91999Scaling of the distribution of price fluctuations of individual companies. (1999). Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; Meyer, M. ; L. A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9907161.

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114
102011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577.

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110
112009Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518.

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109
122000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

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107
132010Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1005.0877.

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104
142004The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233.

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103
152010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

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101
162005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448.

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99
172000Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113.

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98
181998Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374.

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97
191998Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100.

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96
202004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0312703.

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96
212011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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93
222013Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929.

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88
232000Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454.

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86
242004Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300.

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85
252004The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0311053.

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83
262015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008.

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82
272003Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012.

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76
282001Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544.

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75
292005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

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75
302011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555.

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73
312001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520.

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73
321997Scaling behavior in economics: I. Empirical results for company growth. (1997). Salinger, Michael ; Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082.

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69
332007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

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69
341997Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148.

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66
352014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921.

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66
362000Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120.

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66
372014Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002.

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63
382004Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051.

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63
392006A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108.

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62
402015Detrended 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.

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59
412000Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256.

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58
422007Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874.

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58
432003Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543.

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54
442007Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251.

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54
452017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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53
462010Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:0908.1879.

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52
472014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David. In: Papers. RePEc:arx:papers:1408.1494.

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52
482009Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202.

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51
492009The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0908.1089.

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51
502002Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558.

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50
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

Full description at Econpapers || Download paper

174
22009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

84
32002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

63
42008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773.

Full description at Econpapers || Download paper

59
52017Some 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

53
62015Arbitrage 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

52
72013Model-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

52
82012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776.

Full description at Econpapers || Download paper

47
92014The 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

46
102015Detrended 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.

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45
112017When Should You Adjust Standard Errors for Clustering?. (2017). Athey, Susan ; Abadie, Alberto ; Wooldridge, Jeffrey ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926.

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43
122014A 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

41
132011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577.

Full description at Econpapers || Download paper

40
142011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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40
152013Average and Quantile Effects in Nonseparable Panel Models. (2013). Hahn, Jinyong ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Newey, Whitney. In: Papers. RePEc:arx:papers:0904.1990.

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39
162010Detrending 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

35
172014Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002.

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34
182013Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951.

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34
192007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

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33
201999Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305.

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33
212014What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003.

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32
222009Colloquium: 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

32
232000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

Full description at Econpapers || Download paper

31
242010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

Full description at Econpapers || Download paper

31
252015Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results. (2015). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1212.0442.

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31
262015The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Seraf'in Mart'inez-Jaramillo, ; Jos'e Luis Molina-Borboa, ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1505.04276.

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30
272011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555.

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30
282015What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645.

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30
292005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448.

Full description at Econpapers || Download paper

29
301999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

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27
312016Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models. (2016). Esponda, Ignacio ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.1152.

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27
322016Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian. In: Papers. RePEc:arx:papers:1509.01966.

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26
332015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592.

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26
342017Linking Economic Complexity, Institutions and Income Inequality. (2017). Hidalgo, Cesar ; Hartmann, Dominik ; M. Aristar'an, ; Jara-Figueroa, C. ; Guevara, M.. In: Papers. RePEc:arx:papers:1505.07907.

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25
352014Detrended 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.

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25
362000Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454.

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24
372000Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120.

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382000Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113.

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392015DebtRank: A microscopic foundation for shock propagation. (2015). Bardoscia, Marco ; Caccioli, Fabio ; Battiston, Stefano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1504.01857.

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

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21
412011Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Damir Filipovi'c, ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1104.5326.

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422015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1411.5062.

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21
432001Exponential 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.

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442016Effects of income redistribution on the evolution of cooperation in spatial public goods games. (2016). Pei, Zhenhua ; Du, Jinming ; Wang, Baokui . In: Papers. RePEc:arx:papers:1611.01531.

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452018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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462015Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application. (2015). Xie, Wen-Jie ; Zhou, Wei-Xing ; Xiong, Xiong ; Gu, Gao-Feng ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1509.05952.

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

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482016Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China. (2016). Flyvbjerg, Bent ; Ansar, Atif ; Lunn, Daniel ; Budzier, Alexander . In: Papers. RePEc:arx:papers:1609.00415.

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492014The Economics of BitCoin Price Formation. (2014). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1405.4498.

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502015On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1503.02822.

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Citing documents used to compute impact factor: 646
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2018Asymptotic Static Hedge via Symmetrization. (2018). Akahori, Jiro ; Imamura, Yuri ; Barsotti, Flavia . In: Papers. RePEc:arx:papers:1801.04045.

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2018Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134.

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2018Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series. (2018). Loaiza Maya, Rubén ; Smith, Michael Stanley ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1712.09150.

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2018Super-inertial interest rate rules are not solutions of Ramsey optimal monetary policy. (2018). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-01863367.

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2018Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470.

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2018Insights into the macroscopic behavior of equity markets: Theory and application. (2018). Alshelahi, Abdullah ; Saigal, Romesh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:778-793.

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2018A unifying approach to constrained and unconstrained optimal reinsurance. (2018). Huang, Yuxia ; Yin, Chuancun. In: Papers. RePEc:arx:papers:1807.06892.

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2018Stein’s lemma for truncated elliptical random vectors. (2018). Shushi, Tomer. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:297-303.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018General Quantile Time Series Regressions for Applications in Population Demographics. (2018). Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588.

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2018Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors. (2018). Soloviev, Vladimir ; Belinskiy, Andrey. In: Papers. RePEc:arx:papers:1807.05837.

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2018Bad news turned good: reversal under censorship. (2018). Starkov, Egor ; Smirnov, Aleksei. In: ECON - Working Papers. RePEc:zur:econwp:307.

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2018Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. (2018). Phelan, Carolyn E ; Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:1:p:210-223.

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2018Reinforcement learning in financial markets - a survey. (2018). Fischer, Thomas G. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:122018.

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2018Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?. (2018). Trabelsi, Nader. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:66-:d:177661.

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2018Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (2018). Cozma, Andrei ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1704.07321.

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2018Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Horvath, Blanka ; Reichmann, Oleg . In: Papers. RePEc:arx:papers:1801.02719.

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2018Conditional expectation of correspondences and economic applications. (2018). He, Wei ; Sun, Yeneng. In: Economic Theory. RePEc:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1067-7.

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2018Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011. (2018). Ausloos, Marcel ; Mir, Tariq A ; Cerqueti, Roy. In: Papers. RePEc:arx:papers:1806.10935.

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2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:754-765.

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2018The financial effects of Trumpism. (2018). Anh, Huy Nguyen ; Pham, Nhi ; Huynh, Tam ; Moosa, Nisreen ; Ramiah, Vikash. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:264-274.

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2018Cohesion Policy Incentives for Collaborative Industrial Research. The Evaluation of a Smart Specialisation Forerunner Programme. (2018). de Blasio, Guido ; Giua, Mara ; Crescenzi, Riccardo. In: SERC Discussion Papers. RePEc:cep:sercdp:0231.

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2018Causal inference in travel demand modeling (and the lack thereof). (2018). Brathwaite, Timothy ; Walker, Joan L. In: Journal of choice modelling. RePEc:eee:eejocm:v:26:y:2018:i:c:p:1-18.

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2018ArCo: An artificial counterfactual approach for high-dimensional panel time-series data. (2018). Carvalho, Carlos ; Medeiros, Marcelo C ; Masini, Ricardo . In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:352-380.

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2018Factors associated with private-public school performance: Analysis of TALIS-PISA link data. (2018). Delprato, Marcos ; Chudgar, Amita . In: International Journal of Educational Development. RePEc:eee:injoed:v:61:y:2018:i:c:p:155-172.

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2018Overabundant Information and Learning Traps. (2018). Liang, Annie ; Mu, Xiaosheng . In: PIER Working Paper Archive. RePEc:pen:papers:18-008.

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2018Do Black Politicians Matter?. (2018). Logan, Trevon. In: NBER Working Papers. RePEc:nbr:nberwo:24190.

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2018Digital Disintermediation and Efficiency in the Market for Ideas. (2018). Peukert, Christian ; Reimers, Imke. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6880.

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2018What Do Workplace Wellness Programs Do? Evidence from the Illinois Workplace Wellness Study. (2018). Reif, Julian ; Jones, Damon ; Molitor, David. In: NBER Working Papers. RePEc:nbr:nberwo:24229.

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2018The effect of a mystery shopper scheme on prescriptions in primary care. (2018). Godager, Geir ; Wang, Jian ; Liu, Rugang ; Cheo, Roland. In: HERO On line Working Paper Series. RePEc:hhs:oslohe:2018_001.

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2018The Impact of Exports on Innovation: Theory and Evidence. (2018). Melitz, Marc ; Lequien, Matthieu ; Bergeaud, Antonin ; Philippe, Antonin Bergeaud. In: Working papers. RePEc:bfr:banfra:678.

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2018Technical education, noncognitive skills and labor market outcomes: experimental evidence from Brazil. (2018). Camargo, Juliana ; Fernandes, Andre Portela ; Russo, Flavio Luiz ; Silva, Lycia. In: Textos para discussão. RePEc:fgv:eesptd:480.

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2018Encountering female politicians. (2018). Joo, Hailey Hayeon ; Lee, Jungmin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:151:y:2018:i:c:p:88-122.

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2018The Impact of the Announcement of Temporary Building Sites for Refugees on House Prices in Gothenburg. (2018). van Vuuren, Aico ; Nilsson, Viktor ; Kjellander, Josef. In: IZA Discussion Papers. RePEc:iza:izadps:dp11726.

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2018Weather Shocks and Climate Change. (2018). Fries, Charles ; Gourio, Francois. In: 2018 Meeting Papers. RePEc:red:sed018:1159.

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2018The Power to Protect: Household Bargaining and Female Condom Use. (2018). Janssens, Wendy ; Morsink, Karlijn ; Bruinderink, Marije Groot ; Cassidy, Rachel. In: CSAE Working Paper Series. RePEc:csa:wpaper:2018-08.

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2018Is wealth found in the soil or brain? Investing in farm people in Malawi. (2018). Mkondiwa, M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275914.

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2018Farmer Valuation of Improved Bean Seed Technologies: Real Auction Evidence from Tanzania. (2018). Maredia, Mywish ; Mason, Nicole M ; Morgan, Stephen N. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274242.

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2018The Impact of Xenophobic Violence on the Integration of Immigrants. (2018). Steinhardt, Max. In: IZA Discussion Papers. RePEc:iza:izadps:dp11781.

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2018.

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2018Move a Little Closer? Information Sharing and the Spatial Clustering of Bank Branches. (2018). De Haas, Ralph ; Straetmans, Stefan ; Ongena, S. R. G., ; Qi, Shusen. In: Discussion Paper. RePEc:tiu:tiucen:1e778553-0ab1-43c2-90ba-a306a5059ff0.

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2018Achievement rank affects performance and major choices in college. (2018). Zölitz, Ulf ; Isphording, Ingo ; Elsner, Benjamin ; Zolitz, Ulf. In: ECON - Working Papers. RePEc:zur:econwp:300.

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2018Trade in tasks and the organization of firms. (2018). Tarasov, Alexander ; Schymik, Jan ; Marin, Dalia. In: European Economic Review. RePEc:eee:eecrev:v:107:y:2018:i:c:p:99-132.

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2018Parental human capital and child health at birth in India. (2018). Nazmul, MD ; Maharaj, Riddhi. In: Economics & Human Biology. RePEc:eee:ehbiol:v:30:y:2018:i:c:p:130-149.

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2018Robots and reshoring: Evidence from Mexican local labor markets. (2018). Faber, Marius. In: Working papers. RePEc:bsl:wpaper:2018/27.

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2018The impacts of workers remittances on human capital and labor supply in developing countries. (2018). Azizi, Seyedsoroosh. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:377-396.

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2018Dying to win? Olympic Gold medals and longevity. (2018). Leive, Adam. In: Journal of Health Economics. RePEc:eee:jhecon:v:61:y:2018:i:c:p:193-204.

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2018International Migration Intentions and Illegal Costs: Evidence from Africa-to-Europe Smuggling Routes. (2018). Prarolo, Giovanni ; Mendola, Mariapia ; Manchin, Miriam ; Friebel, Guido. In: IZA Discussion Papers. RePEc:iza:izadps:dp11978.

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2018The Organization of International Trade. (2018). Boddin, Dominik ; Stahler, Frank. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7378.

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2018Incentives to (not) Disclose Energy Performance Information in the Housing Market. (2018). Dressler, Luisa ; Cornago, Elisabetta . In: Working Papers ECARES. RePEc:eca:wpaper:2013/278920.

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2018Notes on Bonds: Illiquidity Feedback During the Financial Crisis. (2018). Musto, David ; Schwarz, Krista ; Nini, Greg. In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:8:p:2983-3018..

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2018Government-made bank distress: Industrialisation policies and the Russian financial crisis of 1899-1902. (2018). Lychakov, Nikita. In: QUCEH Working Paper Series. RePEc:zbw:qucehw:201811.

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2018Exposición al comercio internacional e ingresos laborales en Bolivia: evidencia al nivel del trabajador. (2018). Zuazo, Rodrigo Gonzales ; Molina, Jose Miguel. In: Revista Latinoamericana de Desarrollo Economico. RePEc:ris:revlde:1964.

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2018International Migration Intentions and Illegal Costs: Evidence from Africa-to-Europe Smuggling Routes. (2018). Giovanni, Prarolo ; Mariapia, Mendola ; Miriam, Manchin ; Guido, Friebel. In: Working Papers. RePEc:mib:wpaper:393.

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2018Towards increased complexity in Russian regions : networks, diversification and growth. (2018). Lyubimov, Ivan ; Lysyuk, Maria ; Gvozdeva, Margarita. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_008.

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2018The strong Fatou property of risk measures. (2018). Chen, Shengzhong ; Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:1805.05259.

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2018Law-invariant insurance pricing and its limitations. (2018). Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1808.00821.

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2018Risk sharing for capital requirements with multidimensional security markets. (2018). Liebrich, Felix-Benedikt ; Svindland, Gregor. In: Papers. RePEc:arx:papers:1809.10015.

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2018The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

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2018Small-time moderate deviations for the randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1808.03548.

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2018Learning and Type Compatibility in Signaling Games. (2018). He, Kevin ; Fudenberg, Drew. In: Papers. RePEc:arx:papers:1702.01819.

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2018Discovery and Equilibrium in Games with Unawareness. (2018). Schipper, Burkhard. In: MPRA Paper. RePEc:pra:mprapa:86300.

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2018Dispersed Behavior and Perceptions in Assortative Societies. (2018). Frick, Mira ; Ishii, Yuhta ; Iijima, Ryota. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2128.

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2018Consumer Theory with Misperceived Tastes. (2018). de Clippel, Geoffroy ; Rozen, Kareen ; DeClippel, Geoffroy . In: Working Papers. RePEc:bro:econwp:2018-10.

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2018It\s not my Fault! Self-Confidence and Experimentation. (2018). Hestermann, Nina ; le Yaouanq, Yves. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:124.

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2018A Model of Competing Narratives. (2018). spiegler, ran ; Eliaz, Kfir. In: Papers. RePEc:arx:papers:1811.04232.

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2018Social Learning with Model Misspeciification: A Framework and a Robustness Result. (2018). Bohren, Aislinn ; Hauser, Daniel. In: PIER Working Paper Archive. RePEc:pen:papers:18-017.

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2018News and Archival Information in Games. (2018). spiegler, ran. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12805.

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2018The culture of overconfidence. (2018). Thomas, Caroline ; Bhaskar, V. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12740.

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2018A Model of Competing Narratives. (2018). spiegler, ran ; Eliaz, Kfir. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13319.

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2018Second order approximations for limit order books. (2018). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1708.07394.

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2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275.

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2018Firms, Trade and Profit Shifting: Evidence from Aggregate Data. (2018). Toubal, Farid ; Laffitte, Sébastien. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7171.

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2018R&D Capitalisation: Where Did We Go Wrong?. (2018). De Haan, Mark ; Haynes, Joseph . In: NBER Chapters. RePEc:nbr:nberch:14148.

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2018The Effect of Tax Treaties on Market Based Finance: Evidence using Firm-Level Data. (2018). Killeen, Neill ; Davies, Ronald. In: Working Papers. RePEc:ucn:wpaper:201818.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1712.05121.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1075-1083.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Fouque, Jean-Pierre ; Hu, Ruimeng. In: Papers. RePEc:arx:papers:1706.03139.

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2018Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

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2018Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

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2018On utility maximization without passing by the dual problem. (2018). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1702.00982.

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2018Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja. In: Papers. RePEc:arx:papers:1811.09615.

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2018Inferring short-term volatility indicators from Bitcoin blockchain. (2018). Antulov-Fantulin, Nino ; Vodenska, Irena ; Ce, Zhang ; Piskorec, Matija ; Tolic, Dijana. In: Papers. RePEc:arx:papers:1809.07856.

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2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. (2018). Selmi, Refk ; bouoiyour, jamal ; Hammoudeh, Shawkat ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:787-801.

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2018A nonlinear merging protocol for consensus in multi-agent systems on signed and weighted graphs. (2018). Xia, Chengyi ; Wang, LI ; Li, Yijia ; Sun, Shiwen ; Feng, Shasha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:653-663.

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2018Heterogeneous cooperative belief for social dilemma in multi-agent system. (2018). Huang, Keke ; Gui, Weihua ; Yang, Chunhua ; Yu, Zhaofei ; Chen, Xiaofang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:320:y:2018:i:c:p:572-579.

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2018The effect of wealth-based anti-expectation behaviors on public cooperation. (2018). Wang, LE ; You, Xinshang ; Chen, Tong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:84-93.

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2018A weighted higher-order network analysis of fine particulate matter (PM2.5) transport in Yangtze River Delta. (2018). Wang, Yufang ; Zhang, Shuhua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:654-662.

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2018Multigames with social punishment and the evolution of cooperation. (2018). Deng, Zheng-Hong ; Gu, Zhi-Yang ; Huang, Yi-Jie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:164-170.

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2018Spatial public goods game with continuous contributions based on Particle Swarm Optimization learning and the evolution of cooperation. (2018). Quan, JI ; Wang, Xianjia ; Yang, Xiukang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:973-983.

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2018Promote of cooperation in networked multiagent system based on fitness control. (2018). Deng, Wenfeng ; Yu, Zhaofei ; Zhu, Hongqiu ; Yang, Chunhua ; Huang, Keke. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:339:y:2018:i:c:p:805-811.

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2018Impact of punishment on the evolution of cooperation in spatial prisoner’s dilemma game. (2018). Geng, Yini ; Shi, Lei ; Hu, Kaipeng ; Shen, Chen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:540-545.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden. In: Papers. RePEc:arx:papers:1812.02298.

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2018To build or not to build? Capital stocks and climate policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: GRI Working Papers. RePEc:lsg:lsgwps:wp290.

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2018To Build or Not to Build? Capital Stocks and Climate Policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6884.

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2018To Build or not to Build? Capital Stocks and Climate Policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: OxCarre Working Papers. RePEc:oxf:oxcrwp:204.

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2018Exact probability distribution function for the volatility of cumulative production. (2018). Zadourian, Rubina ; Klumper, Andreas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:59-66.

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2018Factor-Driven Two-Regime Regression. (2018). Lee, Sokbae (Simon) ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-14.

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2018Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: MPRA Paper. RePEc:pra:mprapa:85036.

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2018Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: Journal of Economics and Financial Analysis. RePEc:trp:01jefa:jefa0016.

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2018Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Beguvsi, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjvcar, Zvonko. In: Papers. RePEc:arx:papers:1803.08405.

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2018Anticipating cryptocurrency prices using machine learning. (2018). Alessandretti, Laura ; Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1805.08550.

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2018A Catalogue Supporting Software Sustainability Design. (2018). Oyedeji, Shola ; Penzenstadler, Birgit ; Seffah, Ahmed. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2296-:d:155927.

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2018Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Begui, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjar, Zvonko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:400-406.

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2018Persistence in the cryptocurrency market. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:141-148.

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2018CRYPTO‐CURRENCIES – AN INTRODUCTION TO NOT‐SO‐FUNNY MONEYS. (2018). Smith, Christie ; Kumar, Aaron. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:5:p:1531-1559.

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2018Missing Observations in Observation-Driven Time Series Models. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180013.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2018Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices. (2018). Bayraktar, Erhan ; Yu, Xiang. In: Papers. RePEc:arx:papers:1504.00310.

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2018Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. (2018). Wu, Weiping ; Li, Xun ; Lu, Jun Guo ; Gao, Jianjun . In: Papers. RePEc:arx:papers:1806.03624.

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2018Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1809.08060.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2018Market Delay and G-expectations. (2018). Dolinsky, Yan ; Zouari, Jonathan. In: Papers. RePEc:arx:papers:1709.09442.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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2018Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders. (2018). Zhong, Li-Xin ; He, Yun-Xing ; Ren, Fei ; Qiu, Tian ; Chen, Rong-Da ; Xu, Wen-Juan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:301-310.

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2018Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted. (2018). Ni, Yensen ; Day, Min-Yuh ; Huang, Paoyu ; Cheng, Yirung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:188-204.

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2018Deeply Learning Derivatives. (2018). Ferguson, Ryan ; Green, Andrew. In: Papers. RePEc:arx:papers:1809.02233.

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2018Nash equilibria for game contingent claims with utility-based hedging. (2018). Kentia, Klebert ; Kuhn, Christoph. In: Papers. RePEc:arx:papers:1707.09351.

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2018Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case. (2018). Grigorova, Miryana ; Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter. In: Working Papers. RePEc:hal:wpaper:hal-01497914.

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2018Optimal Stopping With Æ’-Expectations: the irregular case. (2018). Grigorova, Miryana ; Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:587.

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2018Doubly Reflected BSDEs and $\mathcal{E}$$^Æ’$-Dynkin games: beyond the right-continuous case. (2018). Grigorova, Miryana ; Ouknine, Youssef ; Quenez, Marie-Claire ; Imkeller, Peter. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:598.

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2018Firm-level Simulation of Supply Chain Disruption Triggered by Actual and Predicted Earthquakes. (2018). Todo, Yasuyuki ; Hiroyasu, Inoue ; Yasuyuki, Todo. In: Discussion papers. RePEc:eti:dpaper:18013.

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2018Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:173-195.

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2018Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:12.

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2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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2018Semi-strong efficiency of Bitcoin. (2018). Ibáñez, Ana ; Ibaez, Ana ; Vidal-Tomas, David. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:259-265.

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2018How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?. (2018). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: MPRA Paper. RePEc:pra:mprapa:91253.

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2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018Information driving force and its application in agent-based modeling. (2018). Chen, Ting-Ting ; Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:593-601.

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2018Maximizing and minimizing investment concentration with constraints of budget and investment risk. (2018). Shinzato, Takashi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:986-993.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2018Targeted undersmoothing. (2018). Kozbur, Damian ; Hansen, Christian ; Misra, Sanjog. In: ECON - Working Papers. RePEc:zur:econwp:282.

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2018Are matching funds for smallholder irrigation money well spent?. (2018). Mullally, Conner ; Chakravarty, Shourish. In: Food Policy. RePEc:eee:jfpoli:v:76:y:2018:i:c:p:70-80.

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2018Viewpoint: Beasts of the field? Ethics in agricultural and applied economics. (2018). Michler, Jeffrey ; Josephson, Anna. In: Food Policy. RePEc:eee:jfpoli:v:79:y:2018:i:c:p:1-11.

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2018SeaTE: Subjective ex ante Treatment Effect of Health on Retirement. (2018). Giustinelli, Pamela ; Shapiro, Matthew D. In: Working Papers. RePEc:mrr:papers:wp382.

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2018High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-23.

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2018High Dimensional Semiparametric Moment Restriction Models. (2018). Dong, C ; Linton, O ; Gao, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881.

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2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Fu, Guanxing ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1809.04401.

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2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Fu, Guanxing ; Horst, Ulrich. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:129.

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2018Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Gallien, Florent ; Malamud, Semyon ; Kassibrakis, Serge. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200.

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2018Portfolio Optimization with Delay Factor Models. (2018). Sheu, Shuenn-Jyi ; Zhang, Zheng ; Sun, Li-Hsien. In: Papers. RePEc:arx:papers:1805.01118.

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2018Financial asset bubbles in banking networks. (2018). Biagini, Francesca ; Meyer-Brandis, Thilo ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:1806.01728.

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2018Systemic Risk and Interbank Lending. (2018). Sun, Li-Hsien. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1185-1.

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2018Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393.

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2018Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Al-Aradi, Ali ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:1803.05819.

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2018Dividend Policy and Capital Structure of a Defaultable Firm. (2018). Alex, . In: Papers. RePEc:arx:papers:1810.03501.

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2018Swarm intelligence in humans: A perspective of emergent evolution. (2018). , Yongtao ; Tao, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:436-446.

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2018Some Universal Patterns in Income Distribution: An Econophysics Approach. (2018). Shaikh, Anwar. In: Working Papers. RePEc:new:wpaper:1808.

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2018A General Framework for Portfolio Theory—Part I: Theory and Various Models. (2018). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:53-:d:145135.

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2018Global Income Inequality and Savings: A Data Science Perspective. (2018). Sharma, Kiran ; Chakraborti, Anirban ; Das, Subhradeep. In: Papers. RePEc:arx:papers:1801.00253.

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2018Anomalies and market (dis)integration. (2018). Choi, Jae Won ; Kim, Yong Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:16-34.

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2018Financial bridges and network communities. (2018). Casarin, Roberto ; Yenerdag, Erdem ; Costola, Michele. In: SAFE Working Paper Series. RePEc:zbw:safewp:208.

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2018Distribution of individual status in the invisibility similarity network of new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:426-434.

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2018Testing for the source of multifractality in water level records. (2018). Wu, Liang ; Zhao, Tongzhou ; Ding, Yiming ; Chen, Lei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:824-839.

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2018SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. (2018). Ruan, Qingsong ; Yang, Haiquan ; Lv, Dayong ; Zhang, Manqian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1009-1022.

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2018Assessing the relevance of individual characteristics for the structure of similarity networks in new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:881-889.

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2018Quantifying the cross-correlations between online searches and Bitcoin market. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:657-672.

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2018Perturbation analysis of sub/super hedging problems. (2018). Badikov, Sergey ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1806.03543.

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2018Kinetic models for optimal control of wealth inequalities. (2018). During, Bertram ; Toscani, Giuseppe ; Pareschi, Lorenzo. In: Papers. RePEc:arx:papers:1803.02171.

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2018On the Bail-Out Optimal Dividend Problem. (2018). , ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1709.06348.

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2018On the Bail-Out Optimal Dividend Problem. (2018). Perez, Jose-Luis ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3.

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2018Nowcasting economic activity with electronic payments data: A predictive modeling approach. (2018). Ortega, Fabio ; León, Carlos ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1037.

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2018New Approaches of NARX-Based Forecasting Model. A Case Study on CHF-RON Exchange Rate. (2018). Avramescu, Mihai-Serban ; Cocianu, Catalina Lucia . In: Informatica Economica. RePEc:aes:infoec:v:22:y:2018:i:2:p:5-13.

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2018Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2018). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1607.04214.

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2018Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Hu, Ying ; Tang, Shanjian ; Liang, Gechun. In: Papers. RePEc:arx:papers:1807.01816.

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2018Liquidity in Competitive Dealer Markets. (2018). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1807.08278.

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2018A class of globally solvable Markovian quadratic BSDE systems and applications. (2018). Itkovi, Gordan ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:73440.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Bo, Lijun ; Yu, Xiang ; Liao, Huafu. In: Papers. RePEc:arx:papers:1712.05676.

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2018Transport network backbone extraction: A comparison of techniques. (2018). Dai, Liang ; Liu, Xingjian ; Derudder, Ben. In: Journal of Transport Geography. RePEc:eee:jotrge:v:69:y:2018:i:c:p:271-281.

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2018Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange. (2018). Pervez, Masud ; Rahaman, Mahbubur ; Asad, MD ; Harun, MD. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-14.

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2018Wrong-way-risk in tails. (2018). Muller, Janis ; Posch, Peter N. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:4:d:10.1057_s41260-018-0076-9.

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2018Nonextensive triplets in cryptocurrency exchanges. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1069-1074.

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2018Optimal inventory management and order book modeling. (2018). Baradel, Nicolas ; Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1802.08135.

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2018Optimal inventory management and order book modeling. (2018). Baradel, Nicolas ; Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-01710301.

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2018New closed-form approximations in multi-asset market making. (2018). Evangelista, David ; Vieira, Douglas. In: Papers. RePEc:arx:papers:1810.04383.

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2018Optimal inventory management and order book modeling. (2018). Baradel, Nicolas ; Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-01710301.

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2018Bayesian learning for the Markowitz portfolio selection problem. (2018). de Franco, Carmine ; Pham, Huyen ; Nicolle, Johann. In: Papers. RePEc:arx:papers:1811.06893.

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2018Bayesian learning for the Markowitz portfolio selection problem. (2018). de Franco, Carmine ; Pham, Huyen ; Nicolle, Johann. In: Working Papers. RePEc:hal:wpaper:hal-01923917.

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2018Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea . In: Papers. RePEc:arx:papers:1809.05328.

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2018Optimal execution with price impact under Cumulative Prospect Theory. (2018). Li, Xindan ; Zhao, Jingdong ; Zhu, Hongliang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1228-1237.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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2018Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917.

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2018Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin. In: Working Papers. RePEc:hal:wpaper:hal-01754054.

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2018
2018A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies. (2018). Krah, Anne-Sophie ; Korn, Ralf ; Nikoli, Zoran. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:62-:d:151752.

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2018Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution. (2018). Min, Seungki ; Moallemi, Ciamac C ; Maglaras, Costis . In: Papers. RePEc:arx:papers:1811.05524.

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2018General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (2018). Kahale, Nabil . In: Papers. RePEc:arx:papers:1805.09427.

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2018Discretization error for a two-sided reflected Lévy process. (2018). Asmussen, Soren ; Ivanovs, Jevgenijs . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:89:y:2018:i:1:d:10.1007_s11134-018-9576-z.

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2018Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions. (2018). Gan, Guojun. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:71-:d:157549.

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2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees. (2018). Doyle, Daniel ; Groendyke, Chris . In: Risks. RePEc:gam:jrisks:v:7:y:2018:i:1:p:1-:d:192723.

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2018A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Zhou, Chao ; Lee, Junbeom . In: Papers. RePEc:arx:papers:1703.00259.

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2018Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Brigo, Damiano ; Rutkowski, Marek ; Pallavicini, Andrea ; Francischello, Marco ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1802.10228.

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2018A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561.

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2018Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:40.

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2018A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2018). Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1612.09152.

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2018On the free boundary of an annuity purchase. (2018). de Angelis, Tiziano ; Stabile, Gabriele. In: Papers. RePEc:arx:papers:1707.09494.

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2018An Optimal Dividend Problem with Capital Injections over a Finite Horizon. (2018). Ferrari, Giorgio ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:595.

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2018Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618.

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2018A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8.

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2018Robust pricing–hedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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2018Some Results on Skorokhod Embedding and Robust Hedging with Local Time. (2018). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1201-5.

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2018On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important. (2018). Hsieh, Chung-Han ; Barmish, Ross B. In: Papers. RePEc:arx:papers:1710.01501.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2018A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures. (2018). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:76-:d:162453.

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2018On optimal investment with processes of long or negative memory. (2018). Chau, Huy N ; Rasonyi, Miklos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1095-1113.

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2018Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Discussion Papers. RePEc:koe:wpaper:1809.

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2018Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Papers. RePEc:arx:papers:1802.07405.

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2018Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

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2018Asset allocation: new evidence through network approaches. (2018). Clemente, Gian Paolo ; Hitaj, Asmerilda ; Grassi, Rosanna. In: Papers. RePEc:arx:papers:1810.09825.

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2018Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

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2018Long-term factorization in Heath–Jarrow–Morton models. (2018). Qin, Likuan ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0365-7.

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2018Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities. (2018). Borovička, Jaroslav ; Stachurski, John ; Borovicka, Jaroslav. In: 2018 Meeting Papers. RePEc:red:sed018:1275.

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2018Dynamics of observables in rank-based models and performance of functionally generated portfolios. (2018). Almada, Sergio A ; Zhang, Jiacheng ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1802.03593.

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2018Stochastic Differential Game in High Frequency Market. (2018). Saito, Taiga ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1087.

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2018High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration. (2018). Lu, Xiaofei ; Abergel, Frederic. In: Post-Print. RePEc:hal:journl:hal-01686122.

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2018Does cooperative membership improve household welfare? Evidence from a panel data analysis of smallholder dairy farmers in Bihar, India. (2018). Takeshima, Hiroyuki ; Joshi, P K ; Saroj, Sunil ; Kumar, Anjani. In: Food Policy. RePEc:eee:jfpoli:v:75:y:2018:i:c:p:24-36.

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2018An agent-based model for financial vulnerability. (2018). Bookstaber, Richard ; Tivnan, Brian ; Paddrik, Mark. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-017-0188-1.

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2018Multilayer Aggregation with Statistical Validation: Application to Investor Networks. (2018). Baltakys, Kestutis ; Emmert-Streib, Frank ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1708.09850.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Reconstruction methods for networks: the case of economic and financial systems. (2018). Squartini, Tiziano ; Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1806.06941.

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2018Reconstructing and stress testing credit networks. (2018). Fricke, Daniel ; Caccioli, Fabio ; Ramadiah, Amanah. In: ESRB Working Paper Series. RePEc:srk:srkwps:201884.

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2018Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations. (2018). Yao, Nian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500160.

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2018Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372.

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2018Short-time near-the-money skew in rough fractional volatility models. (2018). Bayer, Christian ; Friz, Peter K ; Horvath, Blanka ; Gulisashvili, Archil ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1703.05132.

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2018Affine forward variance models. (2018). Gatheral, Jim ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1801.06416.

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2018Moment Explosions in the Rough Heston Model. (2018). Gerhold, Stefan ; Pinter, Arpad ; Gerstenecker, Christoph. In: Papers. RePEc:arx:papers:1801.09458.

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2018Regime Switching Rough Heston Model. (2018). Alfeus, Mesias ; Overbeck, Ludger. In: Research Paper Series. RePEc:uts:rpaper:387.

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2018Multi-factor approximation of rough volatility models. (2018). Jaber, Eduardo Abi ; el Euch, Omar. In: Working Papers. RePEc:hal:wpaper:hal-01697117.

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2018No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1805.07134.

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2018Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868.

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2018Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01890751.

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2018Precise asymptotics: robust stochastic volatility models. (2018). Friz, Peter K ; Pigato, Paolo ; Gassiat, Paul. In: Papers. RePEc:arx:papers:1811.00267.

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2018Affine Rough Models. (2018). Keller-Ressel, Martin ; Pulido, Sergio ; Larsson, Martin. In: Papers. RePEc:arx:papers:1812.08486.

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2018A Financial Macro-Network Approach to Climate Policy Evaluation. (2018). Stolbova, Veronika ; Battiston, Stefano ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:149:y:2018:i:c:p:239-253.

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2018How does risk flow in the credit default swap market?. (2018). Derrico, Marco ; Scheicher, Martin ; Peltonen, Tuomas ; Battiston, Stefano. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:53-74.

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2018Market disequilibrium, monetary policy, and financial markets : insights from new tools. (2018). Gaffard, Jean-Luc ; Napoletano, Mauro. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/3tl6t49e929fla0aa2ukppot8n.

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2018Market disequilibrium, monetary policy, and financial markets: insights from new tools. (2018). Gaffard, Jean-Luc ; Napoletano, Mauro. In: LEM Papers Series. RePEc:ssa:lemwps:2018/17.

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2018Hétérogénéité des agents, interconnexions financières et politique monétaire : une approche non conventionnelle. (2018). Napoletano, Mauro ; Gaffard, Jean-Luc. In: GREDEG Working Papers. RePEc:gre:wpaper:2018-34.

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2018Network models of financial systemic risk: a review. (2018). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:1:y:2018:i:1:d:10.1007_s42001-017-0008-3.

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2018Principal-Agent Problem with Common Agency without Communication. (2018). Mastrolia, Thibaut ; Ren, Zhenjie . In: Papers. RePEc:arx:papers:1706.02936.

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2018Principal-Agent Problem with Common Agency without Communication. (2018). Mastrolia, Thibaut ; Ren, Zhenjie . In: Working Papers. RePEc:hal:wpaper:hal-01534611.

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2018Gaussian random bridges and a geometric model for information equilibrium. (2018). Menguturk, Levent Ali . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:465-483.

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2018The Multivariate Kyle model: More is different. (2018). Garc, Luis Carlos ; Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1806.07791.

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2018Mathematics of Market Microstructure under Asymmetric Information. (2018). Ccetin, Umut . In: Papers. RePEc:arx:papers:1809.03885.

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2018Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (2018). Guambe, Calisto ; Beyers, Conrad ; van Zyl, Gusti ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.06337.

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2018Contests with Ex-Ante Target Setting. (2018). Robertson, Matthew J. In: CRETA Online Discussion Paper Series. RePEc:wrk:wcreta:47.

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2018Granularity of the top 1,000 Brazilian companies. (2018). Da Silva, Sergio ; Massena, Gunther ; Giglio, Ricardo ; Matsushita, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:68-73.

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2018The effects of markets, uncertainty and search intensity on bitcoin returns. (2018). Vravosinos, Orestis ; Stengos, Thanasis ; Panagiotidis, Theodore. In: Working Paper series. RePEc:rim:rimwps:18-39.

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2018Superstatistics with cut-off tails for financial time series. (2018). Uchiyama, Yusuke ; Kadoya, Takanori. In: Papers. RePEc:arx:papers:1809.04775.

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2018Modeling and complexity of stochastic interacting Lévy type financial price dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:498-511.

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2018Fuzzy entropy complexity and multifractal behavior of statistical physics financial dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:486-498.

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2018Expectations, Price Fluctuations and Lorenz Attractor. (2018). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:89105.

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2018Approximation for portfolio optimization in a financial market with shot-noise jumps. (2018). Putyatina, Oleksandra ; Sass, Jorn. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-017-0294-5.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2018How Safe are Central Counterparties in Derivatives Markets?. (2018). Paddrik, Mark ; Young, Peyton. In: 2018 Meeting Papers. RePEc:red:sed018:934.

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2018Ergodic robust maximization of asymptotic growth. (2018). Kardaras, Constantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1801.06425.

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2018A superhedging approach to stochastic integration. (2018). Ochowski, Rafa M ; Promel, David J ; Perkowski, Nicolas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4078-4103.

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2018Multi-sectoral value chain in a bilateral general equilibrium. (2018). Nakano, Satoshi ; Kim, Jiyoung ; Nishimura, Kazuhiko. In: IDE Discussion Papers. RePEc:jet:dpaper:dpaper691.

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2018Multi-factor approximation of rough volatility models. (2018). Jaber, Eduardo Abi ; el Euch, Omar. In: Papers. RePEc:arx:papers:1801.10359.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Muguruza, Aitor ; Garc, David. In: Papers. RePEc:arx:papers:1808.03610.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2018Deep calibration of rough stochastic volatility models. (2018). Bayer, Christian ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1810.03399.

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2018Notes on Fano Ratio and Portfolio Optimization. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1711.10640.

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2018Reverse Quantum Annealing Approach to Portfolio Optimization Problems. (2018). Venturelli, Davide ; Kondratyev, Alexei . In: Papers. RePEc:arx:papers:1810.08584.

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2018Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, Rafał ; Nowotarski, Jakub. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568.

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2018Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Steinert, Rick ; Ziel, Florian. In: Papers. RePEc:arx:papers:1801.10583.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:396-420.

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2018Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors. (2018). Monteiro, Claudio ; Fernandez-Jimenez, Alfredo L ; Ramirez-Rosado, Ignacio J. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1074-:d:143481.

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2018Electricity Price Forecasting Using Recurrent Neural Networks. (2018). Ugurlu, Umut ; Tas, Oktay ; Oksuz, Ilkay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1255-:d:146305.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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2018Determinants of renewable energy development in the EU countries. A 20-year perspective. (2018). Papie, Monika ; Frodyma, Katarzyna ; Miech, Sawomir. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:91:y:2018:i:c:p:918-934.

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2018Selection of calibration windows for day-ahead electricity price forecasting. (2018). Weron, Rafał ; Serafin, Tomasz ; Marcjasz, Grzegorz . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1806.

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2018Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO. (2018). Weron, Rafał ; Marcjasz, Grzegorz ; Uniejewski, Bartosz . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1807.

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2018Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models. (2018). Weron, Rafał ; Uniejewski, Bartosz. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2039-:d:162196.

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2018The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company. (2018). Ugurlu, Umut ; Oksuz, Ilkay ; Kaya, Aycan ; Tas, Oktay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2093-:d:163292.

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2018Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting. (2018). Weron, Rafał ; Serafin, Tomasz ; Marcjasz, Grzegorz . In: Energies. RePEc:gam:jeners:v:11:y:2018:i:9:p:2364-:d:168385.

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2018Efficient forecasting of electricity spot prices with expert and LASSO models. (2018). Weron, Rafał ; Uniejewski, Bartosz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1802.

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2018A note on averaging day-ahead electricity price forecasts across calibration windows. (2018). Weron, Rafał ; Marcjasz, Grzegorz ; Hubicka, Katarzyna. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1803.

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2018Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?. (2018). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1805.

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2018Electricity price forecasting. (2018). Weron, Rafał ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1808.

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2018Probabilistic forecasting and simulation of electricity prices. (2018). Muniain, Peru ; Ziel, Florian. In: Papers. RePEc:arx:papers:1810.08418.

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2018The value(s) of flexible heat pumps – Assessment of technical and economic conditions. (2018). Felten, Bjorn ; Weber, Christoph. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:1292-1319.

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2018A machine learning based stochastic optimization framework for a wind and storage power plant participating in energy pool market. (2018). Crespo-Vazquez, Jose L ; Noor, MD ; Martinez-Lorenzo, Jose A ; Diaz-Dorado, E ; Carrillo, C. In: Applied Energy. RePEc:eee:appene:v:232:y:2018:i:c:p:341-357.

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2018Econometric modelling and forecasting of intraday electricity prices. (2018). Narajewski, Michal ; Ziel, Florian. In: Papers. RePEc:arx:papers:1812.09081.

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2018Surplus-invariant risk measures. (2018). Gao, Niushan ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1707.04949.

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2018Pathwise superhedging on prediction sets. (2018). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2018Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (2018). Landriault, David ; Li, Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:137-147.

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2018Markovian structure of the Volterra Heston model. (2018). Jaber, Eduardo Abi ; el Euch, Omar. In: Working Papers. RePEc:hal:wpaper:hal-01716696.

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2018LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500147.

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2018Dead alphas as risk factors. (2018). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0064-5.

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2018The network of inter-industry flows in a SAM framework. (2018). Santos, Susana ; Araujo, Tanya. In: Working Papers REM. RePEc:ise:remwps:wp0402018.

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2018Stock composition of mutual funds and fund style: a time series decomposition approach towards testing for consistency. (2018). Sen, Jaydip. In: International Journal of Business Forecasting and Marketing Intelligence. RePEc:ids:ijbfmi:v:4:y:2018:i:3:p:235-292.

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2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: Papers. RePEc:arx:papers:1707.03498.

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2018A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916.

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2018MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500048.

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2018Size matters, if you control your junk. (2018). Asness, Clifford ; Pedersen, Lasse H ; Moskowitz, Tobias J ; Israel, Ronen ; Frazzini, Andrea. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:479-509.

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2018An Expanded Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1802.09611.

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2018Geometric Local Variance Gamma model. (2018). Carr, Peter ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1809.07727.

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2018Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA. (2018). Gulerce, Mustafa ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500044.

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2018Which portfolio is better? A discussion of several possible comparison criteria. (2018). Gzyl, Henryk ; Rios, Alfredo . In: Papers. RePEc:arx:papers:1805.06345.

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2018Model-free portfolio theory and its functional master formula. (2018). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325.

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2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

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2018Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

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2018Market impact in a latent order book. (2018). Lemhadri, Ismael. In: Working Papers. RePEc:hal:wpaper:hal-01711192.

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2018Statistical Industry Classification. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2018Decoding stock market with quant alphas. (2018). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0059-2.

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2018Betas, Benchmarks and Beating the Market. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1807.09919.

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2018A Continuous-Time Inequality Measure Applied to Financial Risk: The Case of the European Union. (2018). Damico, Guglielmo ; Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:62-:d:154243.

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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2018The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality. (2018). Qin, Jing ; Lu, Xinsheng ; Ge, Jintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1026-1037.

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2018The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:658-670.

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2018Social crises. A network model approach. (2018). Cardenas, Juan Pablo ; Fuentes, Miguel Angel ; Olivares, Gaston ; Urbina, Carolina ; Vidal, Gerardo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:35-48.

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2018Herding boosts too-connected-to-fail risk in stock market of China. (2018). Lu, Shan ; Ren, Ruoen ; Wang, Huiwen ; Zhao, Jichang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:945-964.

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2018Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267.

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2018Reduced-form framework under model uncertainty. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1707.04475.

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2018Extended Reduced-Form Framework for Non-Life Insurance. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1802.07741.

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2018Real Estate Soars and Financial Crises: Recent Stories. (2018). Jang, Hanwool ; Ahn, Kwangwon ; Sohn, Sungbin ; Song, Yena. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4559-:d:187353.

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2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20.

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2018Modeling surveys effects in political competitions. (2018). Biondo, A E ; Rapisarda, A ; Pluchino, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:714-726.

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2018Empirical justification of the elementary model of money circulation. (2018). Schinckus, Christophe ; Pokrovskii, Vladimir N ; Altukhov, Yurii A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:228-238.

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2018Bosons and fermions in social and economic systems. (2018). Rashkovskiy, Sergey A. In: Papers. RePEc:arx:papers:1805.05327.

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2018Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets. (2018). Fang, Wen ; Wang, Jun ; Tian, Shaolin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:109-120.

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2018What matters most to people around the world? Retrieving Better Life Index priorities on Twitter. (2018). Resce, Giuliano ; Maynard, Diana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:137:y:2018:i:c:p:61-75.

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2018Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Eberlein, Ernst ; Grbac, Zorana ; Gerhart, Christoph. In: Papers. RePEc:arx:papers:1805.02605.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

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2018Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics. (2018). Toczydlowska, Dorota ; Peters, Gareth W. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660.

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2018Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan ; Mi, Yanhui. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500238.

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2018Estimating option prices using multilevel particle filters. (2018). Osei, P P ; Jasra, A. In: Papers. RePEc:arx:papers:1806.01734.

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2018Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Ruf, Johannes ; Xie, Kangjianan. In: Papers. RePEc:arx:papers:1801.07817.

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2018Endogeneous Dynamics of Intraday Liquidity. (2018). Bi, Mikolaj ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1811.03766.

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2018Machine-learned patterns suggest that diversification drives economic development. (2018). Brummitt, Charles D ; Bonds, Matthew H ; Hausmann, Ricardo ; Gomez-Lievano, Andres. In: Papers. RePEc:arx:papers:1812.03534.

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2018Facebook drives behavior of passive households in stock markets. (2018). Siikanen, Milla ; Hussain, Abid ; Mukkamala, Raghava ; Vatrapu, Ravi ; Kanniainen, Juho ; Baltakys, Kstutis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:208-213.

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2018CryptoRuble: From Russia with Love. (2018). Kakushadze, Zura ; Liew, Jim Kyung-Soo . In: Papers. RePEc:arx:papers:1801.05760.

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2018Exploring the dynamic relationships between cryptocurrencies and other financial assets. (2018). Corbet, Shaen ; Yarovaya, Larisa ; Lucey, Brian ; Larkin, Charles ; Meegan, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:28-34.

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2018The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market. (2018). Isah, Kazeem ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0056.

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2018AR(p)-based detrended fluctuation analysis. (2018). Alvarez-Ramirez, J ; Rodriguez, E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:49-57.

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2018Analysing the distribution properties of Bitcoin returns. (2018). Tiwari, Aviral ; Salisu, Afees ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0058.

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2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

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2018Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:507-519.

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2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072.

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2018Bitcoin technical trading with artificial neural network. (2018). Nakano, Masafumi ; Takahashi, Soichiro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:587-609.

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2018Multifractal analysis of Bitcoin market. (2018). da Silva, Antonio Carlos ; de Almeida, Eduardo Fonseca ; Maganini, Natalia Diniz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:954-967.

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2018A High-Frequency Analysis of Bitcoin Markets. (2018). Theissen, Erik ; Mestel, Roland ; Riordan, Ryan ; Brauneis, Alexander. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2018-06.

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2018МЕТОДИЧЕСКИЕ ПОДХОДЫ К ПРОГНОЗИРОВАНИЮ ДИНАМИКИ КУРСА КРИПТОВАЛЮТ С ПРИМЕНЕНИЕМ ИНСТРУМЕНТОВ СТОХАСТИЧЕСК. (2018). Safiullin, M ; Л. Ельшин А., ; А. Абдукаева А., ; М. Сафиуллин Р., ; Elshin, L ; Abdukaeva, A. In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2018:i:4:p:38-51.

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2018Bitcoin Technical Trading with Articial Neural Network. (2018). Nakano, Masafumi ; Takahashi, Soichiro. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1090.

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2018Taylor effect in Bitcoin time series. (2018). Takaishi, Tetsuya ; Adachi, Takanori. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7.

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2018Datestamping the Bitcoin and Ethereum bubbles. (2018). Corbet, Shaen ; Yarovaya, Larisa ; Lucey, Brian. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:81-88.

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2018On Bitcoin markets (in)efficiency and its evolution. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262.

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2018Some stylized facts of the cryptocurrency market. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:55:p:5950-5965.

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2018Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?. (2018). Portugal Duarte, António ; Bação, Pedro ; Srdjan, Redzepagic ; Helder, Sebastio ; Pedro, Bao. In: Scientific Annals of Economics and Business. RePEc:vrs:aicuec:v:65:y:2018:i:2:p:97-117:n:7.

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2018Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:7-:d:130251.

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2018Financial time series forecasting using empirical mode decomposition and support vector regression. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91028.

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2018Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1135-1164.

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2018Can high-speed rail have a transformative effect on the economy?. (2018). Vickerman, Roger. In: Transport Policy. RePEc:eee:trapol:v:62:y:2018:i:c:p:31-37.

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2018The transition of China to sustainable growth – implications for the global economy and the euro area. (2018). Korhonen, Iikka ; Dieppe, Alistair ; Lodge, David ; Han, Jenny ; Gilhooly, Robert. In: Occasional Paper Series. RePEc:ecb:ecbops:2018206.

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2018A comparative study of the Belt and Road Initiative and the Marshall plan. (2018). Shen, Simon ; Chan, Wilson. In: Palgrave Communications. RePEc:pal:palcom:v:4:y:2018:i:1:d:10.1057_s41599-018-0077-9.

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2018Infrastructure Investment and the Indian Economy. (2018). Roy, Atrayee Ghosh . In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:5:y:2018:i:1:p:29-38.

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2018Government size, institutional quality, and capital flows across regions in China: a specific exploration on the failure of capital flows across Shanhai Pass. (2018). Lin, S ; Han, H. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277515.

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2018High-speed rail and inventory reduction: Firm-level evidence from China. (2018). Li, Leona Shao-Zhi ; Cui, Chuantao. In: RIEI Working Papers. RePEc:xjt:rieiwp:2018-08.

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2018Is Transportation Infrastructure Important to the One Belt One Road (OBOR) Initiative? Empirical Evidence from the Selected Asian Countries. (2018). Yii, Kwang-Jing ; Lee, Ching-Mei ; Chong, Yee-Lee ; Cheam, Wei-Yong ; Bee, Kai-Ying. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:11:p:4131-:d:181866.

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2018Capability and opportunism: Evidence from city officials in China. (2018). , Tianyang ; Zhang, Muyang ; Yao, Yang ; Yang, Tian. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:4:p:1046-1061.

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2018Five things you should know about cost overrun. (2018). Ronnest, Arne ; Flyvbjerg, Bent ; Molin, Eric ; Lunn, Daniel ; Lovallo, Dan ; Holm, Mette Skamris ; Glenting, Carsten ; Garbuio, Massimo ; Cantarelli, Chantal ; Buhl, Soren ; van Wee, Bert ; Budzier, Alexander ; Stewart, Allison ; Ansar, Atif . In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:118:y:2018:i:c:p:174-190.

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2018The Impact of Management Fees on the Pricing of Variable Annuity Guarantees. (2018). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:103-:d:170856.

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2018How much market making does a market need?. (2018). Swart, Jan M ; Pervzina, V'It . In: Papers. RePEc:arx:papers:1612.00981.

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2018Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. (2018). Ventura, Marco ; Fenga, Livio ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:436-442.

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2018Duality in an asset exchange model for wealth distribution. (2018). Li, Jie ; Boghosian, Bruce M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:154-165.

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2018Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion. (2018). Lejay, Antoine. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9161-9.

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2018Physicists approach to studying socio-economic inequalities: Can humans be modelled as atoms?. (2018). Chakraborti, Anirban ; Sharma, Kiran. In: Papers. RePEc:arx:papers:1606.06051.

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2018Capital asset pricing model in Portugal: Evidence from fractal regressions. (2018). Krištoufek, Ladislav ; Ferreira, Paulo ; Kristoufek, Ladislav. In: Portuguese Economic Journal. RePEc:spr:portec:v:17:y:2018:i:3:d:10.1007_s10258-018-0145-5.

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2018The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists. (2018). Poitras, Geoffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:89-98.

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2018Ising model, econophysics and analogies. (2018). Schinckus, Christophe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:95-103.

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2018Time-consistent conditional expectation under probability distortion. (2018). Ma, Jin ; Zhang, Jianfeng ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1809.08262.

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2018SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS. (2018). Bhim, Louis ; Kawai, Reiichiro. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500097.

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2018Fifty-shades of grey: Competition between dark and lit pools in stock exchanges. (2018). Oriol, Nathalie ; Torre, Dominique ; Rufini, Alexandra. In: Information Economics and Policy. RePEc:eee:iepoli:v:45:y:2018:i:c:p:68-85.

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2018Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Cozma, Andrei ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1706.07375.

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2018Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance. (2018). Cohen, Albert. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:4-:d:126976.

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2018Systemic Risk and the Dependence Structures. (2018). Chang, Yu-Sin. In: Papers. RePEc:arx:papers:1809.03425.

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2018Robust expected utility maximization with medial limits. (2018). Bartl, Daniel ; Kupper, Michael ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1712.07699.

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2018Complexity of products: the effect of data regularisation. (2018). Angelini, Orazio ; di Matteo, Tiziana. In: Papers. RePEc:arx:papers:1808.08249.

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2018On the quadratic variation of the model-free price paths with jumps. (2018). Ch, Lesiba ; Mhlanga, Farai J ; Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1710.07894.

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2018Time irreversibility and intrinsics revealing of series with complex network approach. (2018). Xiong, Hui ; Wang, Jing ; Xia, Jianan ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:241-249.

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2018Extended AIC model based on high order moments and its application in the financial market. (2018). Mao, Xuegeng ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:264-275.

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2018Time irreversibility of financial time series based on higher moments and multiscale Kullback–Leibler divergence. (2018). Li, Jinyang ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:248-255.

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2018An improvement of the measurement of time series irreversibility with visibility graph approach. (2018). Wu, Zhenyu ; Xiong, Hui ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:370-378.

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2018New irreversibility measure and complexity analysis based on singular value decomposition. (2018). Rong, Lei ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:913-924.

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2018Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470.

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2018The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179.

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2018An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237.

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2018A Thought Experiment on Sustainable Management of the Earth System. (2018). Heitzig, Jobst ; Donges, Jonathan F ; Barfuss, Wolfram . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1947-:d:151732.

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2018Recommendations for improving the treatment of risk and uncertainty in economic estimates of climate impacts in the Sixth Intergovernmental Panel on Climate Change Assessment Report. (2018). , Robert ; Robert, ; Wagner, Gernot ; Stoerk, Thomas. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87957.

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2018Stability for gains from large investors strategies in M1/J1 topologies. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1701.02167.

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2018An Optimal Extraction Problem with Price Impact. (2018). Ferrari, Giorgio ; Koch, Torben. In: Papers. RePEc:arx:papers:1812.01270.

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2018An optimal extraction problem with price impact. (2018). Ferrari, Giorgio ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:603.

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2018Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE. (2018). , ; Vinuales, J ; Knobloch, F ; Lam, A ; Salas, P ; Chewpreecha, U ; Holden, P B ; Edwards, N R ; Pollitt, H. In: Papers. RePEc:arx:papers:1707.04870.

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2018Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C. (2018). Knobloch, Florian ; Mercure, Jean-Francois ; Chewpreecha, Unnada ; Pollitt, Hector. In: Papers. RePEc:arx:papers:1710.11019.

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2018Systems Innovation, Inertia and Pliability: A mathematical exploration with implications for climate change abatement. (2018). Grubb, M ; Lange, R ; Salas, P ; Mercure, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1819.

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2018Recent advancements in robust optimization for investment management. (2018). Ho, Jang ; Fabozzi, Frank J ; Kim, Woo Chang. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2573-5.

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2018Evidence for criticality in financial data. (2018). Ruiz, G ; de Marcos, A F. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:91:y:2018:i:1:d:10.1140_epjb_e2017-80535-3.

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2018Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018Using Social Media Analytics: The Effect of President Trump’s Tweets On Companies’ Performance. (2018). Jumah, Ahmad H ; Alnsour, Yazan. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:17:y:2018:i:1:p:100-121.

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2018How can Bitcoin Price Fluctuations be Explained?. (2018). Kjarland, Frode ; Oyen, Vilde ; Oust, Are ; Meland, Maria. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-38.

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2018Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

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2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2018Spinning the Web: The Impact of ICT on Trade in Intermediates and Technology Diffusion. (2018). Steinwender, Claudia ; Juhasz, Reka. In: NBER Working Papers. RePEc:nbr:nberwo:24590.

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2018Learning from failure in healthcare: Dynamic panel evidence of a physician shock effect. (2018). Raf, Tobias Mueller. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1809.

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2018Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. (2018). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:632-647.

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2018Economic Sociotronics of the 21st Century. (2018). Popov, Yevgeny V. In: Upravlenets. RePEc:url:upravl:v:9:y:2018:i:2:p:2-5.

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2018Mean field and n-agent games for optimal investment under relative performance criteria. (2018). Lacker, Daniel ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1703.07685.

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2018The bubble and anti-bubble risk resistance analysis on the metal futures in China. (2018). Zhou, Wei ; Chen, Jin ; Huang, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:947-957.

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2018Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange. (2018). Rezaee, Mustafa Jahangoshai ; Valipour, Mahsa ; Jozmaleki, Mehrdad . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:489:y:2018:i:c:p:78-93.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2018Informed trading in the Bitcoin market. (2018). Feng, Wenjun ; Zhang, Zhengjun ; Wang, Yiming. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:63-70.

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2018Impact of Contingent Payments on Systemic Risk in Financial Networks. (2018). Banerjee, Tathagata ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1805.08544.

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2018Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Banerjee, Tathagata ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.01372.

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2018Systemic Greeks: Measuring risk in financial networks. (2018). Bertschinger, Nils ; Stobbe, Julian. In: Papers. RePEc:arx:papers:1810.11849.

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2018ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS. (2018). Daluiso, Roberto ; Facchinetti, Giorgio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s021902491850019x.

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2018Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939. (2018). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio . In: Papers. RePEc:arx:papers:1704.00985.

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2018Sentiment and asset price bubble in the precious metals markets. (2018). Pan, Wei-Fong. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111.

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2018Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544.

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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (2018). Dhaene, Jan ; Yao, Jing ; Zhou, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:92-100.

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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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2018ASSESSING THE OLYMPIC GAMES: THE ECONOMIC IMPACT AND BEYOND. (2018). Scandizzo, Pasquale Lucio ; Pierleoni, Maria Rita . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:3:p:649-682.

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2018Evolution of the Chinese Guarantee Network and Its Implication for Risk Management: Impacts from Financial Crisis and Stimulus Program. (2018). Wang, Yingli ; Yang, Xiaoguang ; Zhang, Qingpeng. In: Papers. RePEc:arx:papers:1804.05667.

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2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (2018). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1801.07044.

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2018Economic Complexity and Human Development: DEA performance measurement in Asia and Latin America. (2018). Ferraz, Diogo ; Do, Daisy Aparecida ; Ribeiro, Fabiola Cristina ; Campoli, Jessica Suarez ; Moralles, Herick Fernando. In: EconStor Open Access Articles. RePEc:zbw:espost:171379.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2018Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk. (2018). Hitaj, Asmerilda ; Peri, Ilaria ; Mateus, Cesario. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:17-:d:134856.

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2018Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Rutkowski, Marek ; Bielecki, Tomasz R ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1701.08399.

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2018Capital and Funding. (2018). Albanese, Claudio ; Crepey, Stephane ; Caenazzo, Simone . In: Working Papers. RePEc:hal:wpaper:hal-01764401.

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2018Investigating the configurations in cross-shareholding: a joint copula-entropy approach. (2018). Cerqueti, Roy ; Ausloos, Marcel ; Rotundo, Giulia. In: Papers. RePEc:arx:papers:1807.09346.

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2018Continuity inequalities for multidimensional renewal risk models. (2018). Gordienko, E ; Vazquez-Ortega, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:48-54.

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2018On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2018). Marciniak, Ewa ; Palmowski, Zbigniew. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-016-1050-7.

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2018Non-stochastic portfolio theory. (2018). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1712.09108.

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2018Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2018). Baumohl, Eduard. In: EconStor Preprints. RePEc:zbw:esprep:174884.

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2018Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Alfonsi, Aur'elien ; Tankov, Peter ; Krief, David. In: Papers. RePEc:arx:papers:1806.06883.

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2018Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing. (2018). Grbac, Zorana ; Tankov, Peter ; Krief, David. In: Papers. RePEc:arx:papers:1809.06153.

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2018A Scaling Limit for Limit Order Books Driven by Hawkes Processes. (2018). Horst, Ulrich ; Xu, Wei. In: Papers. RePEc:arx:papers:1709.01292.

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2018Second order approximations for limit order books. (2018). Horst, Ulrich ; Kreher, Dorte . In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0373-7.

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2018The randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1608.07158.

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2018The interaction between monetary and macroprudential policy: Should central banks lean against the wind to foster macro-financial stability?. (2018). Krug, Sebastian. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:20187.

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2018Optimal inflation target: Insights from an agent-based model. (2018). Bouchaud, Jean-Philippe ; Zamponi, Francesco ; Tarzia, Marco ; Gualdi, Stanislao. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201815.

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2018Optimal inflation target: insights from an agent-based model. (2018). Bouchaud, Jean-Philippe ; Zamponi, Francesco ; Tarzia, Marco ; Gualdi, Stanislao. In: Post-Print. RePEc:hal:journl:hal-01768441.

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2018Optimal liquidation under stochastic liquidity. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

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2018Hedging with transient price impact for non-covered and covered options. (2018). Becherer, Dirk ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1807.05917.

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2018A composition between risk and deviation measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1511.06943.

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2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2018Evaluating Indicators for Use in Setting the Countercyclical Capital Buffer. (2018). Tolo, Eero ; Kalatie, Simo ; Laakkonen, Helina . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2018:q:1:a:2.

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2018Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). He, Xuedong ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1707.05596.

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2018Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2018). Yang, Zhou ; Zhou, Chao ; Liang, Gechun. In: Papers. RePEc:arx:papers:1711.02939.

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2018Who would invest only in the risk-free asset?. (2018). Azevedo, N ; Yannacopoulos, A N ; Xanthopoulos, S Z ; Pinheiro, D. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s242478631850024x.

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2018Evaluating the role of risk networks on risk identification, classification and emergence. (2018). Ellinas, Christos ; Coombe, Caroline ; Allan, Neil. In: Papers. RePEc:arx:papers:1801.05759.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Chebyshev Methods for Ultra-efficient Risk Calculations. (2018). Medina, Mariano Zeron ; Ruiz, Ignacio. In: Papers. RePEc:arx:papers:1805.00898.

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2018Dynamic Initial Margin via Chebyshev Spectral Decomposition. (2018). Ruiz, Ignacio ; Zeron, Mariano. In: Papers. RePEc:arx:papers:1808.08221.

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2018Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x.

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2018Equilibrium returns with transaction costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6.

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2018IMPACT OF THE NATIONAL PROFESSIONAL QUALIFICATION PROGRAM (PNQ) ON INCOME: AN ECONOMETRIC ANALYSIS IN PIRACICABA/SP-BRAZIL. (2018). Ferraz, Diogo ; Ribeiro, Fabiola Cristina. In: EconStor Open Access Articles. RePEc:zbw:espost:171454.

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2018Endogenizing non-price competitiveness in a BoPC growth model with capital accumulation. (2018). Oreiro, José Luís ; Dávila-Fernández, Marwil ; Davila, Mario W ; Davila-Fernandez, Marwil J. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:77-87.

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2018Whose greed, whose grievance, and whose opportunity? Effects of foreign direct investments (FDI) on internal conflict. (2018). Mihalache, Andreea S. In: World Development. RePEc:eee:wdevel:v:106:y:2018:i:c:p:187-206.

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2018Energy consumption and economic growth: New evidence from the OECD countries. (2018). Gözgör, Giray ; Lu, Zhou ; Marco, Chi Keung ; Gozgor, Giray . In: Energy. RePEc:eee:energy:v:153:y:2018:i:c:p:27-34.

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2018Democracy’s comparative advantage: Evidence from aggregated trade data, 1962–2010. (2018). Yue, Jiahua ; Zhou, Shangsi. In: World Development. RePEc:eee:wdevel:v:111:y:2018:i:c:p:27-40.

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2018Export Take-Offs and Acceleration: Unpacking Cross-Sector Linkages in the Evolution of Comparative Advantage. (2018). Bahar, Dany ; Wagner, Rodrigo ; Stein, Ernesto ; Rosenow, Samuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7436.

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2018Export Take-Offs and Acceleration: Unpacking Cross-Sector Linkages in the Evolution of Comparative Advantage. (2018). Bahar, Dany ; Wagner, Rodrigo Andres ; Stein, Ernesto ; Rosenow, Samuel. In: IZA Discussion Papers. RePEc:iza:izadps:dp12061.

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2018Some New Insights on Financialisation and Income Inequality. (2018). Davila-Fernandez, Marwil J ; Punzo, Lionello F. In: Department of Economics University of Siena. RePEc:usi:wpaper:792.

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2018Alternative Approaches to Technological Change when Growth is BoPC. (2018). Davila-Fernandez, Marwil J. In: Department of Economics University of Siena. RePEc:usi:wpaper:795.

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2018Intermittent transition between synchronization and desynchronization in multi-regional business cycles. (2018). Onozaki, Tamotsu ; Sato, Yuzuru ; Saiki, Yoshitaka ; Esashi, Kunihiko. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:68-76.

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2018Optimal martingale transport between radially symmetric marginals in general dimensions. (2018). Lim, Tongseok . In: Papers. RePEc:arx:papers:1412.3530.

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2018The flow network method. (2018). Bubboloni, Daniela ; Gori, Michele. In: Social Choice and Welfare. RePEc:spr:sochwe:v:51:y:2018:i:4:d:10.1007_s00355-018-1131-7.

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2018The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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2018Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory. (2018). Mercure, Jean-Francois. In: Papers. RePEc:arx:papers:1607.04155.

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2018The EIRIN Flow-of-funds Behavioural Model of Green Fiscal Policies and Green Sovereign Bonds. (2018). Raberto, Marco ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:144:y:2018:i:c:p:228-243.

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2018An economic assessment of carbon tax reform to meet Japan’s NDC target under different nuclear assumptions using the E3ME model. (2018). Lee, Soocheol ; Kojima, Satoshi ; Pollitt, Hector ; Chewpreecha, Unnada. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:20:y:2018:i:2:d:10.1007_s10018-017-0199-0.

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2018Policies and Predictions for a Low-Carbon Transition by 2050 in Passenger Vehicles in East Asia: Based on an Analysis Using the E3ME-FTT Model. (2018). Lam, Aileen ; Billington, Sophie ; Chewpreecha, Unnada ; Pollitt, Hector ; Cho, Yongsung ; Mercure, Jean-Franois ; Lee, Soocheol. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1612-:d:146955.

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2018The Nexus Concept Integrating Energy and Resource Efficiency for Policy Assessments: A Comparative Approach from Three Cases. (2018). Linderhof, Vincent ; Griffey, Matthew ; Bremere, Ingrida ; Alexandri, Eva ; Vamvakeridou-Lyroudia, Lydia ; Brouwer, Floor. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4860-:d:191803.

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2018Integrated assessment modelling as a positive science: private passenger road transport policies to meet a climate target well below 2 ∘C. (2018). J. -F. Mercure, ; Pollitt, H ; Billington, S ; Lam, A ; J.-F. Mercure, . In: Climatic Change. RePEc:spr:climat:v:151:y:2018:i:2:d:10.1007_s10584-018-2262-7.

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2018Preferences over all random variables: Incompatibility of convexity and continuity. (2018). Zimper, Alexander ; Assa, Hirbod. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:75:y:2018:i:c:p:71-83.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Neuman, Eyal ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1711.00427.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Alos, Elisa ; Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:1801.08215.

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2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

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2018A new and stable estimation method of country economic fitness and product complexity. (2018). Vito, ; Pietronero, Luciano ; Tacchella, Andrea ; Mazzilli, Dario ; Butta, Paolo. In: Papers. RePEc:arx:papers:1807.10276.

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2018Sovereign defaults and banking crises. (2018). Sosa-Padilla, Cesar. In: Journal of Monetary Economics. RePEc:eee:moneco:v:99:y:2018:i:c:p:88-105.

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2018An Endogenous Mechanism of Business Cycles. (2018). Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V ; Ushanov, Dmitry ; Gusev, Maxim. In: Papers. RePEc:arx:papers:1803.05002.

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2018The market nanostructure origin of asset price time reversal asymmetry. (2018). Cordi, Marcus ; Kassibrakis, Serge ; Challet, Damien. In: Post-Print. RePEc:hal:journl:hal-01966419.

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2018Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2018). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco . In: Papers. RePEc:arx:papers:1807.01979.

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2018Probabilistic Mid- and Long-Term Electricity Price Forecasting. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1703.10806.

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2018Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903.

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2018Probabilistic mid- and long-term electricity price forecasting. (2018). Ziel, Florian ; Steinert, Rick. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:94:y:2018:i:c:p:251-266.

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2018Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19.

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2018Option pricing under fast-varying and rough stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4.

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2018Nominal GDP stabilization: Chasing a mirage. (2018). Veetil, Vipin P ; Wagner, Richard E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:227-236.

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2018Price and network dynamics in the European carbon market. (2018). Mandel, Antoine ; Battiston, Stefano ; Karpf, Andreas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:103-122.

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2018Optimal consumption of multiple goods in incomplete markets. (2018). Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:1705.02291.

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2018The value of informational arbitrage. (2018). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Papers. RePEc:arx:papers:1804.00442.

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2018The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033.

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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1807.06449.

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2018Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models. (2018). Cherstvy, Andrey G ; Aydiner, Ekrem ; Metzler, Ralf. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:278-288.

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2018An agent-based model of the observed distribution of wealth in the United States. (2018). Vallejos, Hunter A ; Perumalla, Kalyan S ; Nutaro, James J. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:3:d:10.1007_s11403-017-0200-9.

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2018Robust framework for quantifying the value of information in pricing and hedging. (2018). Aksamit, Anna ; Obl, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1605.02539.

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2018Optimal dividend policies with random profitability. (2018). Rochet, Jean ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1706.01813.

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2018Asset pricing under optimal contracts. (2018). Cvitanic, Jaksa ; Xing, Hao. In: Journal of Economic Theory. RePEc:eee:jetheo:v:173:y:2018:i:c:p:142-180.

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2018Pricing American Options with Jumps in Asset and Volatility. (2018). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Taruvinga, Blessing. In: Research Paper Series. RePEc:uts:rpaper:394.

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2018Short-term integration costs of variable renewable energy: Wind curtailment and balancing in Britain and Germany. (2018). Staffell, Iain ; Joos, Michael . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:86:y:2018:i:c:p:45-65.

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2018DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. (2018). Schweizer, Martin ; Iki, Mario ; Zivoi, Danijel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500115.

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2018Change of Measure in the Heston Model given a violated Feller Condition. (2018). Desmettre, Sascha. In: Papers. RePEc:arx:papers:1809.10955.

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2018Arbitrage-free pricing of American options in nonlinear markets. (2018). Kim, Edward ; Rutkowski, Marek ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1804.10753.

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2018Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (2018). Nie, Tianyang ; Rutkowski, Marek ; Kim, Edward. In: Papers. RePEc:arx:papers:1807.05448.

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2018Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Burzoni, Matteo ; Sikic, Mario. In: Papers. RePEc:arx:papers:1801.03574.

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2018An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329.

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2018CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”. (2018). Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918920012.

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2018BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401.

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2018Policy simulation for promoting residential PV considering anecdotal information exchanges based on social network modelling. (2018). Wang, GE ; Li, Hailong ; Zhang, QI. In: Applied Energy. RePEc:eee:appene:v:223:y:2018:i:c:p:1-10.

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2018Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200.

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2018Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model. (2018). Roventini, Andrea ; Dosi, Giovanni ; Sapio, A ; Napoletano, M ; Lamperti, F. In: Ecological Economics. RePEc:eee:ecolec:v:150:y:2018:i:c:p:315-339.

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2018Empirical validation of simulated models through the GSL-div: an illustrative application. (2018). Lamperti, Francesco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0206-3.

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2018Indirect inference through prediction. (2018). Carrella, Ernesto ; Madsen, Jens Koed ; Bailey, Richard M. In: Papers. RePEc:arx:papers:1807.01579.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2018Can agent-based models probe market microstructure?. (2018). Platt, Donovan ; Gebbie, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1092-1106.

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2018Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Papers. RePEc:arx:papers:1708.08594.

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2018Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:20-36.

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2018Collusive Benchmark Rates Fixing. (2018). Boot, Nuria ; Schinkel, Maarten Pieter ; Klein, Timo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170122.

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2018Empirical scaling relations of market event rates in foreign currency market. (2018). Boilard, J.-F., ; Takayasu, M ; Kanazawa, K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1152-1161.

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2018No-arbitrage and hedging with liquid American options. (2018). Bayraktar, Erhan ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1605.01327.

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2018Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Biswas, Arunangshu ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1707.01237.

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2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method. (2018). Papadopoulos, Yiannis A ; Lewis, Alan L. In: Papers. RePEc:arx:papers:1801.06141.

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2018Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151.

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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2018Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities. (2018). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1612.02444.

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2018Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning. (2018). Al-Aradi, Ali ; Saporito, Yuri ; Jardim, Gabriel ; Naiff, Danilo ; Correia, Adolfo. In: Papers. RePEc:arx:papers:1811.08782.

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2018Forward-looking and Incentive-compatible Operational Risk Capital Framework. (2018). Migueis, Marco. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-87.

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2018Most-likely-path in Asian option pricing under local volatility models. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: Papers. RePEc:arx:papers:1706.02408.

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2018SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL. (2018). Pirjol, Dan ; Zhu, Lingjiong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500085.

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2018MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292.

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2018Deep Hedging. (2018). Buhler, Hans ; Wood, Ben ; Teichmann, Josef ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1802.03042.

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2018Optimal investment with transient price impact. (2018). Bank, Peter ; Voss, Moritz . In: Papers. RePEc:arx:papers:1804.07392.

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2018Bayesian Estimation of Generalized Partition of Unity Copulas. (2018). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:7318.

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2018Money demand stability, monetary overhang and inflation forecast in the CEE countries. (2018). Pépin, Dominique ; Albulescu, Claudiu. In: Working Papers. RePEc:hal:wpaper:hal-01720319.

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2018Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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2018Alonso and the Scaling of Urban Profiles. (2018). Delloye, Justin ; Caruso, Geoffrey ; Lemoy, R'emi . In: Papers. RePEc:arx:papers:1801.07512.

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2018Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices. (2018). , Alain ; Pongou, Roland ; Ndoun'e Ndoun'e, . In: Papers. RePEc:arx:papers:1806.01924.

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2018Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163.

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2018Dynamic Clearing and Contagion in Financial Networks. (2018). Banerjee, Tathagata ; Feinstein, Zachary ; Bernstein, Alex. In: Papers. RePEc:arx:papers:1801.02091.

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2018An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Hambly, Ben ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:1801.10088.

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2018Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Lipton, Alexander ; Reisinger, Christoph ; Kaushansky, Vadim. In: Papers. RePEc:arx:papers:1808.05311.

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2018Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime. (2018). Ledger, Sean ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:1811.12356.

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2018Wind Speed Modeling by Nested ARIMA Processes. (2018). Sim, So-Kumneth ; Lind, Pedro G ; Maass, Philipp . In: Energies. RePEc:gam:jeners:v:12:y:2018:i:1:p:69-:d:193365.

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2018Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume. (2018). Shahzad, Syed Jawad Hussain ; Kayani, Ghulam Mujtaba ; Hanif, Waqas ; Hernandez, Jose Areola ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:433-450.

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2018Quantum-like model of subjective expected utility. (2018). Basieva, Irina ; Khrennikov, Andrei ; Asano, Masanari ; Pothos, Emmanuel M ; Khrennikova, Polina . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:150-162.

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2018Probability interference in expected utility theory. (2018). Charles-Cadogan, G. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:163-175.

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2018Testing ambiguity and Machina preferences within a quantum-theoretic framework for decision-making. (2018). Aerts, Diederik ; Sozzo, Sandro ; Moreira, Catarina ; Geriente, Suzette . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:176-185.

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2018SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW. (2018). Fajardo, José ; Mordecki, Ernesto ; De Olivera, Federico . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500036.

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2018The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. (2018). Bermudez, Nancy Areli ; Saucedo, Eduardo ; Delgado, Estefania Bermudez. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:266-275.

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2018Important institutions of interinstitutional scientific collaboration networks in materials science. (2018). Li, Yang ; Liu, Xueyong. In: Scientometrics. RePEc:spr:scient:v:117:y:2018:i:1:d:10.1007_s11192-018-2837-0.

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2018How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Pagnier, Laurent ; Jacquod, Philippe . In: Papers. RePEc:arx:papers:1706.00330.

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2018How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Pagnier, Laurent ; Jacquod, Philippe . In: Energy. RePEc:eee:energy:v:157:y:2018:i:c:p:550-560.

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2018Cost modeling and analysis for Mask Image Projection Stereolithography additive manufacturing: Simultaneous production with mixed geometries. (2018). Yang, Yiran ; Li, Lin. In: International Journal of Production Economics. RePEc:eee:proeco:v:206:y:2018:i:c:p:146-158.

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2018Stock Market Visualization. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1802.05264.

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2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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2018Welfare Effect of Urea Deep Placement (UDP) Technology Adoption among Smallholder Rice Farmers in Kwara State, Nigeria – Analysis of a Randomized Control Trial Experiment. (2018). Edeh, Hyacinth ; Mavrotas, George. In: 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK. RePEc:ags:aesc18:273493.

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2018The Demotivating Effect (and Unintended Message) of Retrospective Awards. (2018). Robinson, Carly D ; Rogers, Todd ; Lee, Monica G ; Gallus, Jana. In: Working Paper Series. RePEc:ecl:harjfk:rwp18-020.

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2018The Term Structure of Growth-at-Risk. (2018). Adrian, Tobias ; Malik, Sheherya ; Liang, Nellie ; Grinberg, Federico. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13349.

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2018Interpreting Quantile Independence. (2018). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1804.10957.

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2018Machine Learning for Set-Identified Linear Models. (2018). Semenova, Vira. In: Papers. RePEc:arx:papers:1712.10024.

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2018Pricing Engine: Estimating Causal Impacts in Real World Business Settings. (2018). Quistorff, Brian ; Goldman, Matt. In: Papers. RePEc:arx:papers:1806.03285.

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2018Machine Learning for Dynamic Discrete Choice. (2018). Semenova, Vira. In: Papers. RePEc:arx:papers:1808.02569.

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2018Uniform Inference in High-Dimensional Gaussian Graphical Models. (2018). Chernozhukov, Victor ; Spindler, Martin ; Kuck, Jannis ; Klaassen, Sven. In: Papers. RePEc:arx:papers:1808.10532.

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2018Instrument Validity Tests with Causal Trees: With an Application to the Same-sex Instrument. (2018). Guber, Raphael. In: MEA discussion paper series. RePEc:mea:meawpa:201805.

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2018An Offer that you Cant Refuse? Agrimafias and Migrant Labor on Vineyards in Southern Italy. (2018). Seifert, Stefan ; Valente, Marica. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1735.

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2018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

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2018Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21.

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2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

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2018Pre-event Trends in the Panel Event-study Design. (2018). Shapiro, Jesse ; Hansen, Christian ; Freyaldenhoven, Simon. In: NBER Working Papers. RePEc:nbr:nberwo:24565.

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2018Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430.

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2018Extremal quantile regressions for selection models and the black–white wage gap. (2018). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:129-142.

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2018Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (2018). Aguilar, Jean-Philippe ; Korbel, Jan ; Coste, Cyril . In: Papers. RePEc:arx:papers:1712.04990.

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2018Bitcoin price and its marginal cost of production: support for a fundamental value. (2018). Hayes, Adam. In: Papers. RePEc:arx:papers:1805.07610.

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2018Quantifier Elimination for Deduction in Econometrics. (2018). Mulligan, Casey. In: NBER Working Papers. RePEc:nbr:nberwo:24601.

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2018On the Identifying Content of Instrument Monotonicity. (2018). Kamat, Vishal. In: Papers. RePEc:arx:papers:1807.01661.

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2018Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2018Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-36.

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2018High-Dimensional Econometrics and Regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1806.01888.

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2018High-dimensional econometrics and regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:35/18.

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2018Modified Causal Forests for Estimating Heterogeneous Causal Effects. (2018). Lechner, Michael. In: IZA Discussion Papers. RePEc:iza:izadps:dp12040.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp. In: Papers. RePEc:arx:papers:1805.10822.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2018High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; Gao, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:04/18.

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2018Estimating Latent Asset-Pricing Factors. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12926.

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2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

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2018Hurst exponents and delampertized fractional Brownian motions. (2018). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-01919754.

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2018Matrix Completion Methods for Causal Panel Data Models. (2018). Athey, Susan ; Khosravi, Khashayar ; Imbens, Guido ; Doudchenko, Nikolay ; Bayati, Mohsen. In: Papers. RePEc:arx:papers:1710.10251.

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2018Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods. (2018). Milovanovi, Slobodan ; Shcherbakov, Victor. In: Papers. RePEc:arx:papers:1711.09852.

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2018Quantum Bounds for Option Prices. (2018). McCloud, Paul. In: Papers. RePEc:arx:papers:1712.01385.

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2018Statistical Non-Significance in Empirical Economics. (2018). Abadie, Alberto. In: NBER Working Papers. RePEc:nbr:nberwo:24403.

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2018Methods Matter: P-Hacking and Causal Inference in Economics. (2018). Brodeur, Abel ; Heyes, Anthony ; Cook, Nikolai. In: Working Papers. RePEc:ott:wpaper:1809e.

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2018Methods Matter: P-Hacking and Causal Inference in Economics. (2018). Brodeur, Abel ; Heyes, Anthony ; Cook, Nikolai. In: IZA Discussion Papers. RePEc:iza:izadps:dp11796.

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2018Deriving the factor endowment--commodity output relationship for Thailand (1920-1927) using a three-factor two-good general equilibrium trade model. (2018). Nakada, Yoshiaki. In: Papers. RePEc:arx:papers:1810.04819.

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2018The effects of energy and commodity prices on commodity output in a three-factor, two-good general equilibrium trade model. (2018). Nakada, Yoshiaki. In: Papers. RePEc:arx:papers:1711.10096.

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2018Earthquake risk embedded in property prices: Evidence from five Japanese cities. (2018). Ikefuji, Masako ; Yue, Yuan ; Magnus, Jan R. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180061.

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2018Higher order risk attitudes and prevention under different timings of loss. (2018). Masuda, Takehito ; Lee, Eungik. In: ISER Discussion Paper. RePEc:dpr:wpaper:1034.

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2018Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market. (2018). Wang, Gang-Jin ; Ma, Chaoqun ; Wen, Danyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:903-918.

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2018Height conditions salary expectations: Evidence from large-scale data in China. (2018). Yang, Xiao ; Zhou, Tao ; Liu, Jin-Hu ; Gao, Jian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:86-97.

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2018Macroeconomic models with long dynamic memory: Fractional calculus approach. (2018). Tarasov, Vasily E ; Tarasova, Valentina V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:466-486.

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2018On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system. (2018). Hajipour, Ahamad ; Baleanu, Dumitru. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:139-153.

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2018The impact of Chinas Central Rise Policy on carbon emissions at the stage of operation in road sector. (2018). Zhang, Yue-Jun ; Qin, Chang-Xiong ; Zhou, Si-Ming ; Liu, Zhao. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:159-173.

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2018Asymptotic behaviour of high Gaussian minima. (2018). Chakrabarty, Arijit ; Samorodnitsky, Gennady. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:7:p:2297-2324.

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2018Key Borrowers Detection by Long-Range Interactions. (2018). Aleskerov, Fuad ; Shvydun, Sergey ; Nikitina, Alisa ; Meshcheryakova, Natalia . In: Papers. RePEc:arx:papers:1807.10115.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755.

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2018Sequential Bayesian inference for static parameters in dynamic state space models. (2018). Bhattacharya, Arnab ; Wilson, Simon P. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:187-203.

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2018Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

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2018Volatility and arbitrage. (2018). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:75234.

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2018.

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2018Designing Coalition-Based Fair and Stable Pricing Mechanisms Under Private Information on Consumers Reservation Prices. (2018). le Cadre, Helene ; Beaude, Olivier ; Homem-De, Tito ; Pagnoncelli, Bernardo. In: Working Papers. RePEc:hal:wpaper:hal-01353763.

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2018Designing Coalition-Based Fair and Stable Pricing Mechanisms Under Private Information on Consumers Reservation Prices. (2018). le Cadre, Helene ; Beaude, Olivier ; Homem-De, Tito ; Pagnoncelli, Bernardo. In: Post-Print. RePEc:hal:journl:hal-01353763.

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2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Poledna, Sebastian ; Thurner, Stefan ; Hinteregger, Abraham. In: Papers. RePEc:arx:papers:1801.10487.

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2018Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods. (2018). Ntakaris, Adamantios ; Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1705.03233.

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2018Treatment Effects with Multiple Outcomes. (2018). Mullahy, John. In: NBER Working Papers. RePEc:nbr:nberwo:25307.

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2018On the data-driven COS method. (2018). Bohte, Sander M ; Leitao, Alvaro ; Oosterlee, Cornelis W ; Ortiz-Gracia, Luis . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:317:y:2018:i:c:p:68-84.

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2018Measuring the impact of final demand on global production system based on Markov process. (2018). Xing, Lizhi ; Wu, Shan ; Guan, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:148-163.

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2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

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2018Least squares estimation for the subcritical Heston model based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Nyul, Balazs . In: Papers. RePEc:arx:papers:1511.05948.

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2018The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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2018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

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2018Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems. (2018). Chernozhukov, Victor ; Kato, Kengo ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1304.0282.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142.

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2018Model Selection for Treatment Choice: Penalized Welfare Maximization. (2018). Mbakop, Eric ; Tabord-Meehan, Max. In: Papers. RePEc:arx:papers:1609.03167.

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2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2018Efficient Policy Learning. (2018). Athey, Susan ; Wager, Stefan. In: Papers. RePEc:arx:papers:1702.02896.

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2018Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition. (2018). Fabinger, Michal ; Adachi, Takanori. In: Papers. RePEc:arx:papers:1702.04967.

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2018Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847.

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2018Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Cozma, Andrei ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1706.07375.

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2018Reduced-form framework under model uncertainty. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1707.04475.

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2018Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464.

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2018Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. (2018). Feinstein, Zachary ; Wildman, Mackenzie ; Sturm, Stephan ; Schaanning, Eric ; Rudloff, Birgit ; Pang, Weijie . In: Papers. RePEc:arx:papers:1708.01561.

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2018Technology networks: the autocatalytic origins of innovation. (2018). Zeppini, Paolo ; Room, Graham ; Napolitano, Lorenzo ; Pugliese, Emanuele ; Evangelou, Evangelos. In: Papers. RePEc:arx:papers:1708.03511.

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2018VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Papers. RePEc:arx:papers:1708.06886.

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2018The Strength of Absent Ties: Social Integration via Online Dating. (2018). Ortega, Josue ; Hergovich, Philipp. In: Papers. RePEc:arx:papers:1709.10478.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2018Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C. (2018). Knobloch, Florian ; Mercure, Jean-Francois ; Chewpreecha, Unnada ; Pollitt, Hector. In: Papers. RePEc:arx:papers:1710.11019.

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2018The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes. (2018). Hanley, Brian P. In: Papers. RePEc:arx:papers:1711.02600.

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2018Pathwise superhedging on prediction sets. (2018). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2018Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2018). Yang, Zhou ; Zhou, Chao ; Liang, Gechun. In: Papers. RePEc:arx:papers:1711.02939.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Bo, Lijun ; Yu, Xiang ; Liao, Huafu. In: Papers. RePEc:arx:papers:1712.05676.

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2018Robust expected utility maximization with medial limits. (2018). Bartl, Daniel ; Kupper, Michael ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1712.07699.

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2018Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2018). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1712.07806.

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2018Dynamic Clearing and Contagion in Financial Networks. (2018). Banerjee, Tathagata ; Feinstein, Zachary ; Bernstein, Alex. In: Papers. RePEc:arx:papers:1801.02091.

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2018Revealed Price Preference: Theory and Empirical Analysis. (2018). Stoye, Jörg ; Quah, John ; Kitamura, Yuichi ; Deb, Rahul. In: Papers. RePEc:arx:papers:1801.02702.

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2018Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Ruf, Johannes ; Xie, Kangjianan. In: Papers. RePEc:arx:papers:1801.07817.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Alos, Elisa ; Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:1801.08215.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

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2018Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Steinert, Rick ; Ziel, Florian. In: Papers. RePEc:arx:papers:1801.10583.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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2018The sum of log-normal variates in geometric Brownian motion. (2018). Peters, Ole ; Adamou, Alexander. In: Papers. RePEc:arx:papers:1802.02939.

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2018Asset Price Volatility and Price Extrema. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1802.04774.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Papers. RePEc:arx:papers:1802.07405.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1803.00261.

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2018Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations. (2018). Wu, KE ; Sornette, Didier ; Wheatley, Spencer. In: Papers. RePEc:arx:papers:1803.03088.

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2018Robust utility maximization in markets with transaction costs. (2018). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1803.04213.

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2018Financial Contagion in a Generalized Stochastic Block Model. (2018). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:1803.08169.

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2018Explicit description of all deflators for markets under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1803.10128.

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2018Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects. (2018). Abraham, Sarah ; Sun, Liyang. In: Papers. RePEc:arx:papers:1804.05785.

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2018Arbitrage-free pricing of American options in nonlinear markets. (2018). Kim, Edward ; Rutkowski, Marek ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1804.10753.

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2018A Dynamical Systems Approach to Cryptocurrency Stability. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1805.03143.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Network-based indicators of Bitcoin bubbles. (2018). Bovet, Alexandre ; Tessone, Claudio J ; Squartini, Tiziano ; Nicol'o Vallarano, ; Saggese, Pietro ; Restocchi, Valerio ; Pozzana, Iacopo ; Mottes, Francesco ; Lazo, Jorge F ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1805.04460.

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2018Data-Driven Investment Decision-Making: Applying Moores Law and S-Curves to Business Strategies. (2018). Benson, Christopher L ; Magee, Christopher L. In: Papers. RePEc:arx:papers:1805.06339.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2018Impact of Contingent Payments on Systemic Risk in Financial Networks. (2018). Banerjee, Tathagata ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1805.08544.

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2018Anticipating cryptocurrency prices using machine learning. (2018). Alessandretti, Laura ; Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1805.08550.

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Recent citations received in 2017

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2017Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Mostovyi, Oleksii ; Sirbu, Mihai. In: Papers. RePEc:arx:papers:1705.08291.

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2017Moral hazard in welfare economics: on the advantage of Planners advices to manage employees actions. (2017). Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1706.01254.

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2017Exploring the determinants of Bitcoins price: an application of Bayesian Structural Time Series. (2017). Poyser, Obryan . In: Papers. RePEc:arx:papers:1706.01437.

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2017Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.01748.

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

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2017Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.07758.

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

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

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2017Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (2017). Grossinho, Maria ; Sevcovic, Daniel ; Kord, Yaser Faghan . In: Papers. RePEc:arx:papers:1707.00356.

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2017Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model. (2017). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1707.00899.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2016Stochastic Perron for Stochastic Target Problems. (2016). Bayraktar, Erhan ; Li, Jiaqi. In: Papers. RePEc:arx:papers:1604.03906.

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

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

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

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

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

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

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

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2016Recursive utility optimization with concave coefficients. (2016). Ji, Shaolin ; Shi, Xiaomin . In: Papers. RePEc:arx:papers:1607.00721.

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

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

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

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

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

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

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

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

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2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris. In: Papers. RePEc:arx:papers:1609.02354.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2015Transitions in the Stock Markets of the US, UK, and Germany. (2015). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1504.06113.

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

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

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

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

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

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

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

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

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

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

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

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2015Too dynamic to fail. Empirical support for an autocatalytic model of Minskys financial instability hypothesis. (2015). Lamieri, Marco ; Golo, Natasa ; Solomon, Sorin ; Usher, Leanne ; Kelman, Guy ; Bree, David S.. In: Papers. RePEc:arx:papers:1506.07582.

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2015Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. (2015). Fissler, Tobias ; Gneiting, Tilmann ; Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1507.00244.

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2015Analysis of Professional Trajectories using Disconnected Self-Organizing Maps. (2015). Gaubert, Patrice ; Cottrell, Marie ; Come, Etienne . In: Papers. RePEc:arx:papers:1507.00578.

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