Citations ranking for series: Papers / arXiv.org

CitEc is a RePEc service
providing citation data for Economics since 2001

Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Papers / arXiv.org

0.29

Impact Factor

0.28

5-Years IF

5-Years H index

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

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.08			0				0		0		(%)			0.05
1991		0.08			0				0		0		(%)			0.05
1992		0.09			0				0		0		(%)			0.05
1993		0.1			0				0		0		(%)			0.05
1994		0.11			0				0		0		(%)			0.05
1995		0.15			0				0		0		(%)			0.1
1996		0.19			0	1			0		0		(%)			0.09
1997		0.2		15	15	6	0.4	159	0		0		34 (21.4%)	4	0.27	0.08
1998	0.4	0.21	0.4	44	59	7	0.12	174	15	6	15	6	39 (22.4%)			0.12
1999	0.07	0.27	0.07	53	112	10	0.09	277	59	4	59	4	52 (18.8%)	4	0.08	0.15
2000	0.08	0.36	0.11	74	186	23	0.12	315	97	8	112	12	91 (28.9%)	4	0.05	0.14
2001	0.15	0.36	0.18	97	283	74	0.26	433	127	19	186	34	121 (27.9%)	14	0.14	0.17
2002	0.19	0.37	0.17	112	395	88	0.22	527	171	32	283	47	122 (23.1%)	19	0.17	0.18
2003	0.17	0.39	0.14	107	502	77	0.15	266	209	36	380	53	53 (19.9%)	4	0.04	0.18
2004	0.13	0.41	0.16	150	652	125	0.19	555	219	29	443	72	139 (25%)	13	0.09	0.18
2005	0.14	0.43	0.2	189	841	188	0.22	414	257	37	540	110	124 (30%)	14	0.07	0.22
2006	0.2	0.45	0.22	245	1086	268	0.25	342	339	68	655	146	113 (33%)	9	0.04	0.19
2007	0.13	0.38	0.17	289	1375	282	0.21	637	434	58	803	137	160 (25.1%)	24	0.08	0.17
2008	0.17	0.38	0.21	303	1678	445	0.27	603	534	89	980	201	187 (31%)	17	0.06	0.17
2009	0.18	0.35	0.2	343	2021	507	0.25	565	592	106	1176	232	197 (34.9%)	31	0.09	0.17
2010	0.2	0.32	0.18	484	2505	584	0.23	591	646	127	1369	251	222 (37.6%)	31	0.06	0.15
2011	0.2	0.41	0.22	522	3027	908	0.3	619	827	166	1664	368	220 (35.5%)	83	0.16	0.2
2012	0.2	0.46	0.23	588	3615	944	0.26	575	1006	203	1941	450	257 (44.7%)	55	0.09	0.21
2013	0.22	0.49	0.24	721	4336	1234	0.28	635	1110	249	2240	536	352 (55.4%)	109	0.15	0.22
2014	0.29	0.56	0.28	853	5189	1626	0.31	367	1309	386	2658	739	209 (56.9%)	113	0.13	0.3

IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

[Click on heading to sort table]

Year	Title	Cited
2002	On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk . In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers \|\| Download paper	175
2007	The Product Space Conditions the Development of Nations. (2007). A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers \|\| Download paper	166
1999	Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers \|\| Download paper	86
2008	Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0803.2773. Full description at Econpapers \|\| Download paper	80
1999	Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283. Full description at Econpapers \|\| Download paper	65
1999	Scaling of the distribution of price fluctuations of individual companies. (1999). Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; Meyer, M. ; L. A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9907161. Full description at Econpapers \|\| Download paper	64
1998	Universal features in the growth dynamics of complex organizations. (1998). Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100. Full description at Econpapers \|\| Download paper	64
2009	Colloquium: Statistical mechanics of money, wealth, and income. (2009). Rosser, Barkley J. ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers \|\| Download paper	61
2004	The long memory of the efficient market. (2004). Farmer, Doyne J. ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0311053. Full description at Econpapers \|\| Download paper	61
2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers \|\| Download paper	60
1999	The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers \|\| Download paper	60
2000	Statistical mechanics of money. (2000). Dragulescu, Adrian ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers \|\| Download paper	60
2009	The Building Blocks of Economic Complexity. (2009). Hausmann, Ricardo . In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers \|\| Download paper	59
2004	What really causes large price changes?. (2004). Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Papers. RePEc:arx:papers:cond-mat/0312703. Full description at Econpapers \|\| Download paper	57
2004	The Predictive Power of Zero Intelligence in Financial Markets. (2004). Farmer, Doyne J. ; Patelli, Paolo ; Zovko, Ilija I.. In: Papers. RePEc:arx:papers:cond-mat/0309233. Full description at Econpapers \|\| Download paper	53
1998	Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374. Full description at Econpapers \|\| Download paper	48
2005	Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066. Full description at Econpapers \|\| Download paper	47
2011	Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang . In: Papers. RePEc:arx:papers:1103.2577. Full description at Econpapers \|\| Download paper	47
2002	Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558. Full description at Econpapers \|\| Download paper	46
2004	Networks of equities in financial markets. (2004). Lillo, F. ; Micciche, S. ; Mantegna, R. N. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers \|\| Download paper	46
1997	Scaling behavior in economics: I. Empirical results for company growth. (1997). Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; Salinger, M. A. ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082. Full description at Econpapers \|\| Download paper	46
2012	Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Barunik, Jozef ; Vacha, Lukas . In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers \|\| Download paper	45
	Quantifying Stock Price Response to Demand Fluctuations. (2001). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0106657. Full description at Econpapers \|\| Download paper	45
2004	Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051. Full description at Econpapers \|\| Download paper	45
2005	Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter . In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers \|\| Download paper	44
2000	Statistical Properties of Share Volume Traded in Financial Markets. (2000). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113. Full description at Econpapers \|\| Download paper	44
2010	Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1005.0877. Full description at Econpapers \|\| Download paper	44
2003	Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012. Full description at Econpapers \|\| Download paper	41
2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520. Full description at Econpapers \|\| Download paper	40
2000	Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Raberto, Marco ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454. Full description at Econpapers \|\| Download paper	39
2001	Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Dragulescu, Adrian ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:cond-mat/0103544. Full description at Econpapers \|\| Download paper	37
2003	Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543. Full description at Econpapers \|\| Download paper	36
1997	Physics of Finance. (1997). . In: Papers. RePEc:arx:papers:hep-th/9710148. Full description at Econpapers \|\| Download paper	34
1997	Scaling in stock market data: stable laws and beyond. (1997). Bouchaud, Jean-Philippe ; Cont, Rama ; Potters, Marc . In: Papers. RePEc:arx:papers:cond-mat/9705087. Full description at Econpapers \|\| Download paper	34
2005	The Growth of Business Firms: Theoretical Framework and Empirical Evidence. (2005). Fu, Dongfeng ; Buldyrev, S. V. ; Riccaboni, Massimo ; Yamasaki, Kazuko ; Matia, Kaushik ; Stanley, H. E. ; Pammolli, Fabio . In: Papers. RePEc:arx:papers:physics/0512005. Full description at Econpapers \|\| Download paper	33
2011	Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Song, Dong-Ming ; Zhou, Wei-Xing ; Mantegna, Rosario N. ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers \|\| Download paper	33
2001	Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk . In: Papers. RePEc:arx:papers:cond-mat/0105191. Full description at Econpapers \|\| Download paper	32
2008	Stock price jumps: news and volume play a minor role. (2008). Joulin, Armand ; Bouchaud, Jean-Philippe ; Grunberg, Daniel ; Lefevre, Augustin . In: Papers. RePEc:arx:papers:0803.1769. Full description at Econpapers \|\| Download paper	31
2000	Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256. Full description at Econpapers \|\| Download paper	30
2001	Agent-based simulation of a financial market. (2001). Raberto, Marco ; Cincotti, Silvano ; FOCARDI, SERGIO M. ; Marchesi, Michele. In: Papers. RePEc:arx:papers:cond-mat/0103600. Full description at Econpapers \|\| Download paper	30
2008	Consistent price systems and face-lifting pricing under transaction costs. (2008). Mikl'os R'asonyi, ; Schachermayer, Walter ; Guasoni, Paolo . In: Papers. RePEc:arx:papers:0803.4416. Full description at Econpapers \|\| Download paper	30
2011	The network of global corporate control. (2011). Vitali, Stefania ; Battiston, Stefano . In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers \|\| Download paper	30
2008	How markets slowly digest changes in supply and demand. (2008). Farmer, Doyne J. ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:0809.0822. Full description at Econpapers \|\| Download paper	29
2006	A fitness model for the Italian Interbank Money Market. (2006). Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108. Full description at Econpapers \|\| Download paper	29
2007	Correlation based networks of equity returns sampled at different time horizons. (2007). Tumminello, M. ; Di Matteo, T. ; Aste, T. ; Mantegna, R. N.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers \|\| Download paper	29
2003	Fluctuations and response in financial markets: the subtle nature of `random price changes. (2003). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Papers. RePEc:arx:papers:cond-mat/0307332. Full description at Econpapers \|\| Download paper	28
2009	The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0908.1089. Full description at Econpapers \|\| Download paper	27
2001	Expected Shortfall as a Tool for Financial Risk Management. (2001). Acerbi, Carlo ; Nordio, Claudio ; Sirtori, Carlo . In: Papers. RePEc:arx:papers:cond-mat/0102304. Full description at Econpapers \|\| Download paper	27
2001	Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. (2001). Sornette, D. ; Malevergne, Y.. In: Papers. RePEc:arx:papers:cond-mat/0111310. Full description at Econpapers \|\| Download paper	27
2000	Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120. Full description at Econpapers \|\| Download paper	27

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

Year	Title	Cited
2002	On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk . In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers \|\| Download paper	78
2007	The Product Space Conditions the Development of Nations. (2007). A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers \|\| Download paper	77
2008	Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0803.2773. Full description at Econpapers \|\| Download paper	56
2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers \|\| Download paper	42
2011	Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang . In: Papers. RePEc:arx:papers:1103.2577. Full description at Econpapers \|\| Download paper	41
2012	Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Barunik, Jozef ; Vacha, Lukas . In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers \|\| Download paper	40
2010	Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1005.0877. Full description at Econpapers \|\| Download paper	32
2011	Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Song, Dong-Ming ; Zhou, Wei-Xing ; Mantegna, Rosario N. ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers \|\| Download paper	28
2009	The Building Blocks of Economic Complexity. (2009). Hausmann, Ricardo . In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers \|\| Download paper	27
2009	Colloquium: Statistical mechanics of money, wealth, and income. (2009). Rosser, Barkley J. ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers \|\| Download paper	27
2000	Statistical mechanics of money. (2000). Dragulescu, Adrian ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers \|\| Download paper	26
1999	Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283. Full description at Econpapers \|\| Download paper	24
2013	Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929. Full description at Econpapers \|\| Download paper	23
2004	Networks of equities in financial markets. (2004). Lillo, F. ; Micciche, S. ; Mantegna, R. N. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers \|\| Download paper	23
1999	Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers \|\| Download paper	23
2009	Market impact and trading profile of large trading orders in stock markets. (2009). Gerig, Austin ; Mantegna, Rosario N. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban ; Farmer, Doyne J.. In: Papers. RePEc:arx:papers:0908.0202. Full description at Econpapers \|\| Download paper	22
2006	A fitness model for the Italian Interbank Money Market. (2006). Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108. Full description at Econpapers \|\| Download paper	22
2011	The network of global corporate control. (2011). Vitali, Stefania ; Battiston, Stefano . In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers \|\| Download paper	21
2012	Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Perini, Daniele ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1210.3811. Full description at Econpapers \|\| Download paper	20
2003	Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012. Full description at Econpapers \|\| Download paper	20
2005	Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter . In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers \|\| Download paper	20
2007	Correlation based networks of equity returns sampled at different time horizons. (2007). Tumminello, M. ; Di Matteo, T. ; Aste, T. ; Mantegna, R. N.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers \|\| Download paper	19
2013	Homogenization and asymptotics for small transaction costs. (2013). Soner, Mete H. ; Touzi, Nizar . In: Papers. RePEc:arx:papers:1202.6131. Full description at Econpapers \|\| Download paper	19
1999	The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers \|\| Download paper	18
2004	Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051. Full description at Econpapers \|\| Download paper	18
2004	The Predictive Power of Zero Intelligence in Financial Markets. (2004). Farmer, Doyne J. ; Patelli, Paolo ; Zovko, Ilija I.. In: Papers. RePEc:arx:papers:cond-mat/0309233. Full description at Econpapers \|\| Download paper	18
2005	Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066. Full description at Econpapers \|\| Download paper	18
2008	Consistent price systems and face-lifting pricing under transaction costs. (2008). Mikl'os R'asonyi, ; Schachermayer, Walter ; Guasoni, Paolo . In: Papers. RePEc:arx:papers:0803.4416. Full description at Econpapers \|\| Download paper	18
2011	Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation. (2011). Pallavicini, Andrea ; Perini, Daniele ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1112.1521. Full description at Econpapers \|\| Download paper	18
2012	Understanding the source of multifractality in financial markets. (2012). Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana ; Liu, Ruipeng . In: Papers. RePEc:arx:papers:1201.1535. Full description at Econpapers \|\| Download paper	18
2013	The multiplex structure of interbank networks. (2013). Lillo, Fabrizio ; Infante, Luigi ; Bargigli, Leonardo ; di Iasio, Giovanni ; Pierobon, Federico . In: Papers. RePEc:arx:papers:1311.4798. Full description at Econpapers \|\| Download paper	18
2014	A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, A. ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers \|\| Download paper	18
2013	Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes. (2013). Almut E. D. Veraart, ; Barndorff-Nielsen, Ole E. ; Benth, Fred Espen . In: Papers. RePEc:arx:papers:1307.6332. Full description at Econpapers \|\| Download paper	18
2004	What really causes large price changes?. (2004). Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Papers. RePEc:arx:papers:cond-mat/0312703. Full description at Econpapers \|\| Download paper	17
2011	Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting. (2011). Capponi, Agostino ; PAPATHEODOROU, VASILEIOS ; Brigo, Damiano ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1101.3926. Full description at Econpapers \|\| Download paper	17
2009	The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0908.1089. Full description at Econpapers \|\| Download paper	17
2010	On using shadow prices in portfolio optimization with transaction costs. (2010). Kallsen, J. ; Muhle-Karbe, J.. In: Papers. RePEc:arx:papers:1010.4989. Full description at Econpapers \|\| Download paper	17
2011	Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices. (2011). Podobnik, Boris ; Stanley, Eugene H. ; Wang, Duan ; Davor Horvati'c, . In: Papers. RePEc:arx:papers:1102.2240. Full description at Econpapers \|\| Download paper	17
2010	Multinetwork of international trade: A commodity-specific analysis. (2010). Garlaschelli, Diego . In: Papers. RePEc:arx:papers:0908.1879. Full description at Econpapers \|\| Download paper	16
2009	Cross-correlation of long-range correlated series. (2009). Carbone, Anna ; Arianos, Sergio . In: Papers. RePEc:arx:papers:0804.2064. Full description at Econpapers \|\| Download paper	16
2012	Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: Papers. RePEc:arx:papers:1106.0123. Full description at Econpapers \|\| Download paper	16
2007	On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893. Full description at Econpapers \|\| Download paper	15
2013	A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (2013). Acciaio, Beatrice ; Schachermayer, Walter ; Beiglbock, Mathias ; Penkner, Friedrich . In: Papers. RePEc:arx:papers:1301.5568. Full description at Econpapers \|\| Download paper	15
1998	Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374. Full description at Econpapers \|\| Download paper	14
2013	Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1208.6486. Full description at Econpapers \|\| Download paper	14
1998	Universal features in the growth dynamics of complex organizations. (1998). Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100. Full description at Econpapers \|\| Download paper	14
2008	Stock price jumps: news and volume play a minor role. (2008). Joulin, Armand ; Bouchaud, Jean-Philippe ; Grunberg, Daniel ; Lefevre, Augustin . In: Papers. RePEc:arx:papers:0803.1769. Full description at Econpapers \|\| Download paper	13
2015	The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Kallsen, Jan ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1303.3148. Full description at Econpapers \|\| Download paper	13
2013	Critical reflexivity in financial markets: a Hawkes process analysis. (2013). Bouchaud, Jean-Philippe ; Hardiman, Stephen J. ; Bercot, Nicolas . In: Papers. RePEc:arx:papers:1302.1405. Full description at Econpapers \|\| Download paper	13
2007	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2007). Perello, Josep . In: Papers. RePEc:arx:papers:0711.3581. Full description at Econpapers \|\| Download paper	13

Citing documents used to compute impact factor 386:

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Year	Title	See
2014	VWAP execution and guaranteed VWAP. (2014). Royer, Guillaume ; Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1306.2832. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, A. ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measurability of semimartingale characteristics with respect to the probability law. (2014). Neufeld, Ariel ; Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3819-3845. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamics in two networks based on stocks of the US stock market. (2014). Junior, Leonidas Sandoval . In: Papers. RePEc:arx:papers:1408.1728. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Risk diversification: a study of persistence with a filtered correlation-network approach. (2014). Nicol'o Musmeci, ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1410.5621. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Macroprudential oversight, risk communication and visualization. (2014). Sarlin, Peter . In: Papers. RePEc:arx:papers:1404.4550. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Macroprudential oversight, risk communication and visualization. (2014). Sarlin, Peter . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61217. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Explaining cost overruns in infrastructural projects: A new framework with applications to Sweden. (2014). Brunes, Fredrik ; Lind, Hans . In: Working Paper Series. RePEc:hhs:kthrec:2014_001. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Rawls Fairness, Income Distribution and Alarming Level of Gini Coefficient. (2014). Li, Changshuai ; Tao, Yong ; Wu, Xiangjun . In: Papers. RePEc:arx:papers:1409.3979. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robust Portfolios and Weak Incentives in Long-Run Investments. (2014). Xing, Hao ; Guasoni, Paolo ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1306.2751. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Using Twitter to Model the EUR/USD Exchange Rate. (2014). Janetzko, Dietmar . In: Papers. RePEc:arx:papers:1402.1624. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Predictive modeling in turbulent times â What Twitter reveals about the EUR/USD exchange rate. (2014). Janetzko, Dietmar . In: Netnomics. RePEc:kap:netnom:v:15:y:2014:i:2:p:69-106. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Change of numeraire in the two-marginals martingale transport problem. (2014). Martini, Claude ; Campi, Luciano ; Laachir, Ismail . In: Papers. RePEc:arx:papers:1406.6951. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Shapes of implied volatility with positive mass at zero. (2014). Jacquier, Antoine ; de Marco, Stefano ; Hillairet, Caroline . In: Papers. RePEc:arx:papers:1310.1020. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Option Pricing, Historical Volatility and Tail Risks. (2014). Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1402.1255. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1407.0256. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An Academic Response to Basel 3.5. (2014). Beleraj, Antonela ; Wang, Ruodu ; Embrechts, Paul ; Ruschendorf, Ludger ; Puccetti, Giovanni . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:1:p:25-48:d:33505. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage effect in energy futures. (2014). Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1403.0064. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Efficient price dynamics in a limit order market: an utility indifference approach. (2014). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1410.8224. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Effective and simple VWAP option pricing model. (2014). Buryak, Alexander ; Guo, Ivan . In: Papers. RePEc:arx:papers:1407.7315. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes. (2014). and Philip Hans Franses, ; Gresnigt, Francine ; Kole, Erik . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140067. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multifractal characterization of gold market: A multifractal detrended fluctuation analysis. (2014). Mukhopadhyay, Amitabha ; Mali, Provash . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:413:y:2014:i:c:p:361-372. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales. (2014). Xie, Chi ; Chen, Shou . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:70-79. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimization of relative arbitrage. (2014). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1407.8300. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Zooming into market states. (2014). CHETALOVA, DESISLAVA ; Guhr, Thomas ; Schafer, Rudi . In: Papers. RePEc:arx:papers:1406.5386. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	EU climate and energy policy beyond 2020: Are additional targets and instruments for renewables economically reasonable?. (2014). Gawel, Erik ; Chewpreecha, Unnada ; Strunz, Sebastian ; Lehmann, Paul ; Sijm, Jos ; Mercure, Jean-Francois ; Pollitt, Hector . In: UFZ Discussion Papers. RePEc:zbw:ufzdps:32014. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The dynamics of technology diffusion and the impacts of climate policy instruments in the decarbonisation of the global electricity sector. (2014). Foley, A. M. ; Chewpreecha, U. ; Salas, P. ; Holden, P. B. ; Edwards, N. R. ; Mercure, J.-F., ; Pollitt, H.. In: Energy Policy. RePEc:eee:enepol:v:73:y:2014:i:c:p:686-700. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage-induced systemic risk under Basle II and other credit risk policies. (2014). Farmer, Doyne J. ; Thurner, Stefan ; Poledna, Sebastian ; Geanakoplos, John . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:199-212. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hydrodynamic limit of order book dynamics. (2014). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets. (2014). Gerig, Austin ; Fricke, Daniel . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100402. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Observing Each Others Observations in the Electronic Mail Game. (2014). Grafenhofer, Dominik ; Kuhle, Wolgang . In: Papers. RePEc:arx:papers:1501.00882. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On arbitrages arising with honest times. (2014). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Martingale Inequalities and Deterministic Counterparts. (2014). Nutz, Marcel ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1401.4698. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The maximum maximum of a martingale with given n marginals. (2014). Touzi, Nizar ; Henry-Labordere, Pierre . In: Papers. RePEc:arx:papers:1203.6877. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel . In: Papers. RePEc:arx:papers:1301.3227. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robust hedging with proportional transaction costs. (2014). Soner, H. ; Dolinsky, Yan . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Superreplication under model uncertainty in discrete time. (2014). Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:791-803. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Model-Independent Pricing of Asian Options via Optimal Martingale Transport. (2014). Stebegg, Florian . In: Papers. RePEc:arx:papers:1412.1429. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach. (2014). Pallavicini, Andrea ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1401.3994. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Capital distribution and portfolio performance in the mean-field Atlas model. (2014). Jourdain, Benjamin ; Reygner, Julien . In: Papers. RePEc:arx:papers:1312.5660. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Capital distribution and portfolio performance in the mean-field Atlas model. (2014). Jourdain, Benjamin ; Reygner, Julien . In: Working Papers. RePEc:hal:wpaper:hal-00921151. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Unemployment, income distribution and debt-financed investment in a growth cycle model. (2014). Vercelli, Alessandro ; Sordi, Serena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:325-348. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging under an expected loss constraint with small transaction costs. (2014). Bouchard, Bruno ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1309.4916. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Investment with Transaction Costs and Stochastic Volatility. (2014). Bichuch, Maxim ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1401.0562. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Asymptotic replication with modified volatility under small transaction costs. (2014). Cai, Jiatu ; Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1408.5677. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a Jump-Diffusion Model. (2014). Framstad, Nils Chr., . In: Memorandum. RePEc:hhs:osloec:2014_025. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Sector strength and efficiency on developed and emerging financial markets. (2014). Fiedor, Pawe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:413:y:2014:i:c:p:180-188. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-. (2014). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf324. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More gene. (2014). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf347. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Irreversible Investment under L\evy Uncertainty: an Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1411.2395. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. (2014). Ferrari, Giorgio ; De Angelis, Tiziano ; Federico, Salvatore . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:509. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Convex duality for stochastic singular control problems. (2014). Kauppila, Helena ; Bank, Peter . In: Papers. RePEc:arx:papers:1407.7717. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Irreversible Investment Under LÃ©vy Uncertainty: An Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:530. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Bilateral credit valuation adjustment for large credit derivatives portfolios. (2014). Capponi, Agostino ; Bo, Lijun . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:431-482. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Effects of global financial crisis on network structure in a local stock market. (2014). Nobi, Ashadun ; Maeng, Seong Eun ; Lee, Jae Woo ; Ha, Gyeong Gyun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:407:y:2014:i:c:p:135-143. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spatial and temporal structures of four financial markets in Greater China. (2014). Zheng, B. ; Jiang, X. F. ; Ouyang, F. Y.. In: Papers. RePEc:arx:papers:1402.1046. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Short-term market reaction after trading halts in Chinese stock market. (2014). Xu, Hai-Chuan ; Liu, Yi-Fang ; Zhang, Wei . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:103-111. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spatial and temporal structures of four financial markets in Greater China. (2014). Zheng, B. ; Jiang, X. F. ; Ouyang, F. Y.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:402:y:2014:i:c:p:236-244. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Zheng, BO ; Tan, Lei ; Chen, Jun-Jie . In: Papers. RePEc:arx:papers:1407.5258. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama . In: Papers. RePEc:arx:papers:1210.1625. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades. (2014). . In: Papers. RePEc:arx:papers:1312.6804. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the hedging of options on exploding exchange rates. (2014). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:115-144. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Consistent Price Systems under Model Uncertainty. (2014). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1408.5510. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robust Fundamental Theorem for Continuous Processes. (2014). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno . In: Working Papers. RePEc:hal:wpaper:hal-01076062. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal execution with nonlinear transient market impact. (2014). Lillo, Fabrizio ; Gatheral, Jim ; Curato, Gianbiagio . In: Papers. RePEc:arx:papers:1412.4839. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the optimal dividend problem for a spectrally positive Levy process. (2014). Yin, Chuancun ; Wen, Yuzhen . In: Papers. RePEc:arx:papers:1302.2231. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A First-Order BSPDE for Swing Option Pricing: Classical Solutions. (2014). Bender, Christian ; Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1402.6444. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An initial approach to Risk Management of Funding Costs. (2014). Durand, Cyril ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1410.2034. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A backward dual representation for the quantile hedging of Bermudan options. (2014). Bouchard, Bruno ; Chassagneux, Jean-Franois ; Bouveret, Geraldine . In: Working Papers. RePEc:hal:wpaper:hal-01069270. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Faster Comparison of Stopping Times by Nested Conditional Monte Carlo. (2014). Dickmann, Fabian ; Schweizer, Nikolaus . In: Papers. RePEc:arx:papers:1402.0243. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Distance to the line in the Heston model. (2014). Gulisashvili, Archil . In: Papers. RePEc:arx:papers:1409.6027. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D.. In: Papers. RePEc:arx:papers:1404.0243. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal switching for pairs trading rule: a viscosity solutions approach. (2014). Pham, Huyen ; Ngo, Minh Man . In: Papers. RePEc:arx:papers:1412.7649. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Rebalancing with Linear and Quadratic Costs. (2014). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko . In: Papers. RePEc:arx:papers:1402.5306. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Time-changed CIR default intensities with two-sided mean-reverting jumps. (2014). Mendoza-Arriaga, Rafael ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1403.5402. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the Frequency of Drawdowns for Brownian Motion Processes. (2014). Li, Bin ; Zhang, Hongzhong ; Landriault, David . In: Papers. RePEc:arx:papers:1403.1183. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Main Romanian Commercial Banksâ Systemic Risk during Financial Crisis: a CoVar Approach. (2014). Oanea, Dumitru-Cristian ; Anghelache, Gabriela . In: The Review of Finance and Banking. RePEc:rfb:journl:v:06:y:2014:i:2:p:069-080. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Semiclassical approximation in stochastic optimal control I. Portfolio construction problem. (2014). Lesniewski, Andrew ; Chaiworawitkul, Sakda ; Hagan, Patrick S.. In: Papers. RePEc:arx:papers:1406.6090. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Wishart short rate model. (2014). Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1203.5513. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On multivariate extensions of Conditional-Tail-Expectation. (2014). Cousin, Areski ; di Bernardino, Elena . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:272-282. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Geometrical framework for robust portfolio optimization. (2014). Bazovkin, Pavel . In: Discussion Papers in Econometrics and Statistics. RePEc:zbw:ucdpse:0114. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Implied volatility of basket options at extreme strikes. (2014). Gulisashvili, Archil ; Tankov, Peter . In: Papers. RePEc:arx:papers:1406.0394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of percolation behaviors of clustered networks with partial supportâdependence relations. (2014). Stanley, Eugene H. ; Du, Ruijin ; Fu, Min ; Tian, Lixin ; Dong, Gaogao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:370-378. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	News Cohesiveness: an Indicator of Systemic Risk in Financial Markets. (2014). Mozetivc, Igor ; vSmuc, Tomislav ; Novak, Petra Kralj ; Antulov-Fantulin, Nino ; Grvcar, Miha ; Pivskorec, Matija ; Vodenska, Irena . In: Papers. RePEc:arx:papers:1402.3483. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stability analysis of financial contagion due to overlapping portfolios. (2014). Moore, Cristopher ; Shrestha, Munik ; Caccioli, Fabio ; Farmer, Doyne J.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:233-245. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stess-testing the system: Financial shock contagion in the realm of uncertainty. (2014). Gurciullo, Stefano . In: Papers. RePEc:arx:papers:1412.1679. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A New Characterization of Comonotonicity and its Application in Behavioral Finance. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1311.6080. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Note on the Quantile Formulation. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1403.7269. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Too Proud to Stop: Regret in Dynamic Decisions. (2014). Viefers, Paul ; Strack, Philipp . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1401. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Long time asymptotics for optimal investment. (2014). Pham, Huyen . In: Working Papers. RePEc:hal:wpaper:hal-01058657. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ambiguous volatility, possibility and utility in continuous time. (2014). Epstein, Larry G. ; Ji, Shaolin . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:50:y:2014:i:c:p:269-282. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robust valuation and risk measurement under model uncertainty. (2014). Xu, Yuhong . In: Papers. RePEc:arx:papers:1407.8024. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading Under Knightian Uncertainty. (2014). Riedel, Frank . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:527. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. (2014). Riedel, Frank . In: Papers. RePEc:arx:papers:1409.6940. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	AmbiguÃ¯tÃ©, comportements et marchÃ©s financiers.. (2014). Jeleva, Meglena . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14064. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial markets with volatility uncertainty. (2014). Vorbrink, Jorg . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:53:y:2014:i:c:p:64-78. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	AmbiguÃ¯tÃ©, comportements et marchÃ©s financiers. (2014). Jeleva, Meglena ; Tallon, Jean-Marc . In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01109639. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Coherence and elicitability. (2014). Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1303.1690. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Generalized quantiles as risk measures. (2014). Muller, Alfred ; Bellini, Fabio ; RosazzaGianin, Emanuela ; Klar, Bernhard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the Coherent Risk Measure Representations in the Discrete Probability Spaces. (2014). Ugurlu, Kerem . In: Papers. RePEc:arx:papers:1411.4441. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Why is order flow so persistent?. (2014). Toth, Bence ; Palit, Imon ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Papers. RePEc:arx:papers:1108.1632. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Agent-based models for latent liquidity and concave price impact. (2014). Toth, Bence ; Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1311.6262. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The adaptive nature of liquidity taking in limit order books. (2014). Taranto, Damian Eduardo ; Bormetti, Giacomo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1403.0842. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Market impact as anticipation of the order flow imbalance. (2014). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1402.1288. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	$L_p$ regularized portfolio optimization. (2014). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre . In: Papers. RePEc:arx:papers:1404.4040. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Market impacts and the life cycle of investors orders. (2014). Iuga, Adrian ; Lasnier, Matthieu ; Bacry, Emmanuel ; Lehalle, Charles-Albert . In: Papers. RePEc:arx:papers:1412.0217. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate. (2014). Farmer, Doyne J. ; Treccani, Michele ; Lillo, Fabrizio ; Zarinelli, Elia . In: Papers. RePEc:arx:papers:1412.2152. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Simulating and analyzing order book data: The queue-reactive model. (2014). Lehalle, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1312.0563. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Gulisashvili, Archil ; Teichmann, Josef . In: Papers. RePEc:arx:papers:1406.3716. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Discrete Time Term Structure Theory and Consistent Recalibration Models. (2014). Richter, Anja ; Teichmann, Josef . In: Papers. RePEc:arx:papers:1409.1830. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Utility maximization in the large markets. (2014). Mostovyi, Oleksii . In: Papers. RePEc:arx:papers:1403.6175. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage effect in energy futures. (2014). . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:17. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. (2014). Vosvrda, Miloslav . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:18. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains. (2014). Rodrigues, Andrea Meireles ; Mikl'os R'asonyi, . In: Papers. RePEc:arx:papers:1309.0362. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal investment under behavioural criteria -- a dual approach. (2014). Jos'e G. Rodr'iguez-Villarreal, ; Mikl'os R'asonyi, . In: Papers. RePEc:arx:papers:1405.3812. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1409.2023. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	From developmental to network state: Government restructuring and ICT-led innovation in Korea. (2014). Park, Jaemin ; Larson, James F.. In: Telecommunications Policy. RePEc:eee:telpol:v:38:y:2014:i:4:p:344-359. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the Robust Optimal Stopping Problem. (2014). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1301.0091. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures. (2014). Zitkovic, Gordan . In: Papers. RePEc:arx:papers:1307.5163. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Comparing the $G$-Normal Distribution to its Classical Counterpart. (2014). Munk, Alexander ; Bayraktar, Erhan . In: Papers. RePEc:arx:papers:1407.5139. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On the multidimensional extension of countermonotonicity and its applications. (2014). Ahn, Jae Youn ; Lee, Woojoo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:56:y:2014:i:c:p:68-79. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. (2014). Ferrari, Giorgio ; De Angelis, Tiziano . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4080-4119. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Human-Mobility Networks, Country Income, and Labor Productivity. (2014). . In: LEM Papers Series. RePEc:ssa:lemwps:2014/08. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Parameter estimation in two-type continuous-state branching processes with immigration. (2014). Xu, Wei . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:124-134. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Weak approximation of G-expectation with discrete state space. (2014). Herzberg, Frederik ; Fadina, Tolulope . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:503. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2014). Stella, Attilio ; Caraglio, Michele ; Zamparo, Marco ; Baldovin, Fulvio . In: Papers. RePEc:arx:papers:1307.6322. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Control of the socio-economic systems using herding interactions. (2014). Kononovicius, A. ; Gontis, V.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:80-84. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Effects of immigration in frictional labor markets: theory and empirical evidence from EU countries. (2014). Tritah, Ahmed ; Moreno-Galbis, Eva ; Moreno -Galbis, Eva . In: TEPP Working Paper. RePEc:tep:teppwp:wp14-09. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-45. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang . In: Papers. RePEc:arx:papers:1407.4614. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Exact fit of simple finite mixture models. (2014). . In: Papers. RePEc:arx:papers:1406.6038. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?. (2014). Pavlicek, Jaroslav . In: Papers. RePEc:arx:papers:1408.6639. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data. (2014). Fantazziini, Dean . In: MPRA Paper. RePEc:pra:mprapa:59696. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Nowcasting Tourist Arrivals to Prague: Google Econometrics. (2014). Zeynalov, Ayaz . In: MPRA Paper. RePEc:pra:mprapa:60945. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Do Google Trend data contain more predictability than price returns?. (2014). Ahmed Bel Hadj Ayed, ; Challet, Damien . In: Papers. RePEc:arx:papers:1403.1715. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Carbon Financial Markets: a time-frequency analysis of CO2 price drivers. (2014). Aguiar-Conraria, Luis ; Sousa, Rita ; Soares, Maria Joana . In: NIPE Working Papers. RePEc:nip:nipewp:03/2014. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Failure of Decision Usefulness Approach on an Example of the New Standard for Revenue Recognition. (2014). . In: ÄeskÃ½ finanÄnÃ a ÃºÄetnÃ Äasopis. RePEc:prg:jnlcfu:v:2014:y:2014:i:3:id:405:p:7-19. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Transaction Costs, Shadow Prices, and Duality in Discrete Time. (2014). Czichowsky, Christoph ; Schachermayer, Walter ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1205.4643. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On stochastic integration for volatility modulated LÃ©vy-driven Volterra processes. (2014). Benth, Fred Espen ; Veraart, Almut E. D., ; Barndorff-Nielsen, Ole E. ; Pedersen, Jan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:812-847. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Discretization of LÃ©vy semistationary processes with application to estimation. (2014). Lunde, Asger ; Pakkanen, Mikko S. ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2014-21. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Pricing and hedging of energy spread options and volatility modulated Volterra processes. (2014). Benth, Fred Espen ; Zdanowicz, Hanna . In: Papers. RePEc:arx:papers:1409.5801. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ambit fields: survey and new challenges. (2014). Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2014-51. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Gu, Gao-Feng ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1405.1247. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	One-level limit order books with sparsity and memory. (2014). Jonathan A. Ch'avez-Casillas, ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1407.5684. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	When chasing the offender hurts the victim: Collateral damage from insider legislation.. (2014). Palan, Stefan ; Stockl, Thomas . In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2014-03. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries. (2014). Cheriet, Mohamed . In: Papers. RePEc:arx:papers:1404.6227. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	IIGHGINT: A generalization to the modified GHG intensity universal indicator toward a production/consumption insensitive border carbon tax. (2014). Moghaddam, Fereydoun Farrahi ; Cheriet, Mohamed . In: Papers. RePEc:arx:papers:1401.0301. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Networked relationships in the e-MID Interbank market: A trading model with memory. (2014). Iori, Giulia ; Micciche, Salvatore ; Mantegna, Rosario N. ; Tumminello, Michele ; Marotta, Luca ; Porter, James . In: Papers. RePEc:arx:papers:1403.3638. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Mapping the UK interbank system. (2014). Langfield, Sam ; Liu, Zijun ; Ota, Tomohiro . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:45:y:2014:i:c:p:288-303. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Mapping the UK interbank system. (2014). Langfield, Sam ; Liu, Zijun ; Ota, Tomohiro . In: Bank of England working papers. RePEc:boe:boeewp:0516. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures. (2014). Leon, Carlos ; Berndsen, Ron J. ; Renneboog, Luc . In: Borradores de Economia. RePEc:bdr:borrec:848. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures. (2014). Leon, Carlos ; Berndsen, Ron J. ; Renneboog, Luc . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012254. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures. (2014). Leon, C. ; Renneboog, L. D. R., ; Berndsen, R. J.. In: Discussion Paper. RePEc:tiu:tiucen:e1e8f9bc-2084-46df-873c-5285364138a2. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures. (2014). Leon, C. ; Renneboog, L. D. R., ; Berndsen, R. J.. In: Discussion Paper. RePEc:tiu:tiutil:0de9add3-0338-4575-9c00-b5d52d323956. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analytical expansions for parabolic equations. (2014). Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1312.3314. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Purchasing Life Insurance to Reach a Bequest Goal. (2014). Promislow, David ; Young, Virginia ; Bayraktar, Erhan . In: Papers. RePEc:arx:papers:1402.5300. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions. (2014). Brigo, Damiano ; DI GRAZIANO, GIUSEPPE . In: Papers. RePEc:arx:papers:1304.2942. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip . In: Working Papers. RePEc:ofr:wpaper:14-08. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A criterion for the determination of optimal scaling ranges in DFA and MF-DFA. (2014). Gulich, Damian ; Zunino, Luciano . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:397:y:2014:i:c:p:17-30. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Phase and multifractality analyses of random price time series by finite-range interacting biased voter system. (2014). Niu, Hongli ; Wang, Jun . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:5:p:1045-1063. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression. (2014). Alice X. D. Dong, ; Jennifer S. K. Chan, ; Peters, Gareth W.. In: Papers. RePEc:arx:papers:1402.2492. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ecological Econophysics for Degrowth. (2014). Pueyo, Salvador . In: Sustainability. RePEc:gam:jsusta:v:6:y:2014:i:6:p:3431-3483:d:36555. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Systemic risk and causality dynamics of the world international shipping market. (2014). Podobnik, Boris ; Zhang, Xin ; EugeneStanley, H. ; Kenett, Dror Y.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:415:y:2014:i:c:p:43-53. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Asymptotic behaviour of the fractional Heston model. (2014). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza . In: Papers. RePEc:arx:papers:1411.7653. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A change of measure preserving the affine structure in the BNS model for commodity markets. (2014). Benth, Fred Espen ; Ortiz-Latorre, Salvador . In: Papers. RePEc:arx:papers:1403.5236. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Utility indifference pricing and hedging for structured contracts in energy markets. (2014). Callegaro, Giorgia ; Campi, Luciano . In: Papers. RePEc:arx:papers:1407.7725. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Parameter estimation for subcritical Heston models based on discrete time observations. (2014). Pap, Gyula ; Szabo, Tamas T. ; Barczy, Matyas . In: Papers. RePEc:arx:papers:1403.0527. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On multicurve models for the term structure. (2014). Morino, Laura ; Ruggaldier, Wolfgang J.. In: Papers. RePEc:arx:papers:1401.5431. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Regulatory-Optimal Funding. (2014). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1310.3386. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes. (2014). Pallavicini, Andrea ; LIU, QING ; Sloth, David . In: Papers. RePEc:arx:papers:1404.7314. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Information-theoretic approach to lead-lag effect on financial markets. (2014). . In: Papers. RePEc:arx:papers:1402.3820. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Maximum Entropy Production Principle for Stock Returns. (2014). . In: Papers. RePEc:arx:papers:1408.3728. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Information-theoretic approach to lead-lag effect on financial markets. (2014). Fiedor, Pawe . In: The European Physical Journal B - Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:87:y:2014:i:8:p:1-9:10.1140/epjb/e2014-50108-3. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal design of Fourier estimator in the presence of microstructure noise. (2014). Wang, Fangfang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:708-722. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The economic evaluation of infrastructure investment. Some inescapable tradeoffs. (2014). de Rus, Gines . In: Working Papers. RePEc:fda:fdaddt:2014-16. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	IMPROVED VOLATILITY ESTIMATION BASED ON LIMIT ORDER BOOKS. (2014). Bibinger, Markus ; Jirak, Moritz ; Reiss, Markus . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-053. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Credit Risk Calibration based on CDS Spreads. (2014). Pham-Thu, Hien ; Hardle, Wolfgang Karl ; Chao, Shih-Kang . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-026. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing. (2014). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf343. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing. (2014). Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2014cf931. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing. (2014). Fujii, Masaaki . In: Papers. RePEc:arx:papers:1405.0378. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:343. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1407.4512. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni . In: Working Papers. RePEc:hal:wpaper:hal-01061857. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion. (2014). Bayraktar, Erhan ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1402.1809. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measuring risk with multiple eligible assets. (2014). Munari, Cosimo-Andrea ; Farkas, Walter ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1308.3331. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Set-valued shortfall and divergence risk measures. (2014). Hamel, Andreas H. ; Ararat, cCaugin ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1405.4905. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Benson type algorithms for linear vector optimization and applications. (2014). Hamel, Andreas ; Rudloff, Birgit ; Lohne, Andreas . In: Journal of Global Optimization. RePEc:spr:jglopt:v:59:y:2014:i:4:p:811-836. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Primal and dual approximation algorithms for convex vector optimization problems. (2014). Lohne, Andreas ; Ulus, Firdevs ; Rudloff, Birgit . In: Journal of Global Optimization. RePEc:spr:jglopt:v:60:y:2014:i:4:p:713-736. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Risk diversification: a study of persistence with a filtered correlation-network approach. (2014). Nicol'o Musmeci, ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1410.5621. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Comovement of East and West Stock Market Indexes. (2014). Yusoff, Yuzlizawati . In: MPRA Paper. RePEc:pra:mprapa:58872. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Gold, Oil, and Stocks. (2014). Koenda, Even ; Vacha, Luka . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:14. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Carbon Financial Markets: a time-frequency analysis of CO2 price drivers. (2014). Aguiar-Conraria, Luis ; Sousa, Rita ; Soares, Maria Joana . In: NIPE Working Papers. RePEc:nip:nipewp:03/2014. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Gold, Oil, and Stocks. (2014). . In: Papers. RePEc:arx:papers:1308.0210. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis. (2014). Hkiri, Besma ; Aloui, Chaker . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:421-431. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Wavelet-based evidence of the impact of oil prices on stock returns. (2014). Reboredo, Juan C. ; Rivera-Castro, Miguel A.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:145-176. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches. (2014). TIWARI, Aviral Kumar ; Arouri, Mohamed ; Uddin, Gazi Salah . In: Working Papers. RePEc:ipg:wpaper:2014-143. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	How does bad and good volatility spill over across petroleum markets?. (2014). . In: Papers. RePEc:arx:papers:1405.2445. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Value at risk estimation with entropy-based wavelet analysis in exchange markets. (2014). He, Kaijian ; Zou, Yingchao ; Wang, Lijun ; Lai, Kin Keung . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:408:y:2014:i:c:p:62-71. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multi-scale Lead-Lag Relationship between the Stock and Futures Markets: Malaysia as a Case Study. (2014). Jusoh, Hashim ; Bacha, Obiyathulla ; Masih, Abul Mansur M., . In: MPRA Paper. RePEc:pra:mprapa:56954. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis. (2014). Bacha, Obiyathulla ; Najeeb, Syed Faiq . In: MPRA Paper. RePEc:pra:mprapa:56956. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis. (2014). Abdullah, Ahmad Monir ; Masih, Abul Mansur M., ; Saiti, Buerhan . In: MPRA Paper. RePEc:pra:mprapa:56957. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Diversification in Crude Oil and Other Commodities: A Comparative Analysis. (2014). Abdullah, Ahmad Monir ; Masih, Abul Mansur M., ; Saiti, Buerhan . In: MPRA Paper. RePEc:pra:mprapa:56988. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS. (2014). Mokhtar, Maznita . In: MPRA Paper. RePEc:pra:mprapa:56990. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia. (2014). Kabir, Sarkar Humayun . In: MPRA Paper. RePEc:pra:mprapa:57007. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis. (2014). Saiti, Buerhan ; Bacha, Obiyathulla . In: MPRA Paper. RePEc:pra:mprapa:57064. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities â Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis. (2014). Masih, A. Mansur M., ; Yildirim, Ramazan . In: MPRA Paper. RePEc:pra:mprapa:58269. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Portfolio Diversification Benefits of Islamic Stocks and Malaysiaâs Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches. (2014). Rahim, Adam Mohamed . In: MPRA Paper. RePEc:pra:mprapa:58903. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Carbon financial markets: A timeâfrequency analysis of CO2 prices. (2014). Aguiar-Conraria, Luis ; Sousa, Rita ; Soares, Maria Joana . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:414:y:2014:i:c:p:118-127. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Gold and exchange rates: Downside risk and hedging at different investment horizons. (2014). Reboredo, Juan C. ; Rivera-Castro, Miguel A.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:34:y:2014:i:c:p:267-279. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Why is order flow so persistent?. (2014). Toth, Bence ; Palit, Imon ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Papers. RePEc:arx:papers:1108.1632. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Systemic Losses Due to Counter Party Risk in a Stylized Banking System. (2014). Birch, Annika ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1402.3688. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	To lag or not to lag? How to compare indices of stock markets that operate on different times. (2014). Sandoval, Leonidas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:403:y:2014:i:c:p:227-243. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	WDEM: Weighted dynamics and evolution models for energy-constrained wireless sensor networks. (2014). Jiang, Nan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:404:y:2014:i:c:p:323-331. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility. (2014). Ramponi, Alessandro . In: Papers. RePEc:arx:papers:1407.1072. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multiplicative noise, fast convolution and pricing. (2014). Bormetti, Giacomo ; Cazzaniga, Sofia . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:3:p:481-494. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On multivariate extensions of Conditional-Tail-Expectation. (2014). Cousin, Areski ; di Bernardino, Elena . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:272-282. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Model Risk of Risk Models. (2014). Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin ; Danielsson, Jon . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-34. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Model risk of risk models. (2014). Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. ; Danielsson, Jon . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:59296. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Improving the Effectiveness of Weather-based Insurance: An Application of Copula Approach. (2014). Bokusheva, Raushan . In: MPRA Paper. RePEc:pra:mprapa:62339. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	News Cohesiveness: an Indicator of Systemic Risk in Financial Markets. (2014). Mozetivc, Igor ; vSmuc, Tomislav ; Novak, Petra Kralj ; Antulov-Fantulin, Nino ; Grvcar, Miha ; Pivskorec, Matija ; Vodenska, Irena . In: Papers. RePEc:arx:papers:1402.3483. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Do Google Trend data contain more predictability than price returns?. (2014). Ahmed Bel Hadj Ayed, ; Challet, Damien . In: Papers. RePEc:arx:papers:1403.1715. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?. (2014). Pavlicek, Jaroslav . In: Papers. RePEc:arx:papers:1408.6639. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multilevel approximation of backward stochastic differential equations. (2014). Becherer, Dirk ; Turkedjiev, Plamen . In: Papers. RePEc:arx:papers:1412.3140. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fractal markets: Liquidity and investors on different time horizons. (2014). Li, Da-Ye ; Nishimura, Yusaku ; Men, Ming . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:407:y:2014:i:c:p:144-151. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Zooming into market states. (2014). CHETALOVA, DESISLAVA ; Guhr, Thomas ; Schafer, Rudi . In: Papers. RePEc:arx:papers:1406.5386. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Explicit implied volatilities for multifactor local-stochastic volatility models. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1306.5447. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Physical approach to price momentum and its application to momentum strategy. (2014). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1208.2775. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Physical approach to price momentum and its application to momentum strategy. (2014). Choi, Jaehyung . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:415:y:2014:i:c:p:61-72. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange. (2014). Domino, Krzysztof ; Bachowicz, Tomasz . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:413:y:2014:i:c:p:77-85. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion. (2014). Martins, Luis ; Lagoa, Sergio ; Horta, Paulo . In: International Review of Financial Analysis. RePEc:eee:finana:v:35:y:2014:i:c:p:140-153. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Learning by Imitation in Games: Theory, Field, and Laboratory. (2014). Mohlin, Erik . In: Economics Series Working Papers. RePEc:oxf:wpaper:734. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multidimensional Breeden-Litzenberger representation for state price densities and static hedging. (2014). Talponen, Jarno ; Viitasaari, Lauri . In: Papers. RePEc:arx:papers:1401.6383. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The impact of the financial crisis on transatlantic information flows: An intraday analysis. (2014). Peter, Franziska J. ; Dimpfl, Thomas . In: University of Tuebingen Working Papers in Economics and Finance. RePEc:zbw:tuewef:70. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamics in two networks based on stocks of the US stock market. (2014). Junior, Leonidas Sandoval . In: Papers. RePEc:arx:papers:1408.1728. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robust Portfolios and Weak Incentives in Long-Run Investments. (2014). Xing, Hao ; Guasoni, Paolo ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1306.2751. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal investment for all time horizons and Martin boundary of space-time diffusions. (2014). Tehranchi, Michael ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1308.2254. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Gerhold, Stefan ; Guasoni, Paolo . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Abstract, classic, and explicit turnpikes. (2014). Kardaras, Constantinos ; Robertson, Scott ; Guasoni, Paolo ; Xing, Hao . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:75-114. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stability of the exponential utility maximization problem with respect to preferences. (2014). Xing, Hao . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:57213. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Systemic Risk and Heterogeneous Leverage in Banking Network: Implications for Banking Regulation. (2014). Saltoglu, Burak . In: Working Papers. RePEc:bou:wpaper:2014/01. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Systemic Liquidity Crisis with Dynamic Haircuts. (2014). . In: MPRA Paper. RePEc:pra:mprapa:55602. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market. (2014). Gu, Gao-Feng ; Jiang, Zhi-Qiang ; Xiong, Xiong ; Zhang, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1404.1051. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Gu, Gao-Feng ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1405.1247. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On multicurve models for the term structure. (2014). Morino, Laura ; Ruggaldier, Wolfgang J.. In: Papers. RePEc:arx:papers:1401.5431. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A generalized pricing and hedging framework for multi-currency fixed income desks. (2014). Elices, Alberto ; Villani, Giovanna ; Eduard Gim'enez, . In: Papers. RePEc:arx:papers:1406.1811. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	La Estructura a Plazos del Riesgo Interbancario. (2014). Guillermo Andres Cangrejo Jimenez, . In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:012172. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Small Maturity Implied Volatility Slope for L\evy Models. (2014). Gulum, Ismail Cetin ; Gerhold, Stefan . In: Papers. RePEc:arx:papers:1310.3061. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Short-time expansions for close-to-the-money options under a L\evy jump model with stochastic volatility. (2014). Jos'e E. Figueroa-L'opez, ; Sveinn 'Olafsson, . In: Papers. RePEc:arx:papers:1404.0601. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Implied volatility of basket options at extreme strikes. (2014). Gulisashvili, Archil ; Tankov, Peter . In: Papers. RePEc:arx:papers:1406.0394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Explicit expressions of the Pietra index for the generalized function for the size distribution of income. (2014). Sarabia, Jose Maria ; Jorda, Vanesa . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:416:y:2014:i:c:p:582-595. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. (2014). Fard, Farzad ; Rong, Ning . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:315-332. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Investment with Transaction Costs and Stochastic Volatility. (2014). Bichuch, Maxim ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1401.0562. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Precautionary Principle (with Application to the Genetic Modification of Organisms). (2014). Norman, Joseph ; Bar-Yam, Yaneer ; Read, Rupert ; Douady, Raphael ; Taleb, Nassim Nicholas . In: Papers. RePEc:arx:papers:1410.5787. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of a decision model in the context of equilibrium pricing and order book pricing. (2014). Wagner, Daniel C. ; Guhr, Thomas ; Schmitt, Thilo A. ; Schafer, Rudi ; Wolf, Dietrich E.. In: Papers. RePEc:arx:papers:1404.7356. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of a decision model in the context of equilibrium pricing and order book pricing. (2014). Wagner, D. C. ; Guhr, T. ; Schmitt, T. A. ; Schafer, R. ; Wolf, D. E.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:415:y:2014:i:c:p:347-353. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf913. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf336. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spatial and temporal structures of four financial markets in Greater China. (2014). Zheng, B. ; Jiang, X. F. ; Ouyang, F. Y.. In: Papers. RePEc:arx:papers:1402.1046. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spatial and temporal structures of four financial markets in Greater China. (2014). Zheng, B. ; Jiang, X. F. ; Ouyang, F. Y.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:402:y:2014:i:c:p:236-244. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Zheng, BO ; Tan, Lei ; Chen, Jun-Jie . In: Papers. RePEc:arx:papers:1407.5258. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of network clustering behavior of the Chinese stock market. (2014). Chen, Huan ; Mai, Yong ; Li, Sai-Ping . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:414:y:2014:i:c:p:360-367. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal stopping in infinite horizon: An eigenfunction expansion approach. (2014). Li, Lingfei ; Linetsky, Vadim . In: Statistics & Probability Letters. RePEc:eee:stapro:v:85:y:2014:i:c:p:122-128. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Time-changed CIR default intensities with two-sided mean-reverting jumps. (2014). Mendoza-Arriaga, Rafael ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1403.5402. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal execution with nonlinear transient market impact. (2014). Lillo, Fabrizio ; Gatheral, Jim ; Curato, Gianbiagio . In: Papers. RePEc:arx:papers:1412.4839. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, A. ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Quantum spatial-periodic harmonic model for daily price-limited stock markets. (2014). Guo, Hong ; Meng, Xiangyi ; Xu, Jingjing ; Zhang, Jian-Wei . In: Papers. RePEc:arx:papers:1405.4490. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1210.6372. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang . In: Papers. RePEc:arx:papers:1407.4614. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A stochastic control approach for options market making. (2014). Abergel, Frederic ; el Aoud, Sofiene . In: Working Papers. RePEc:hal:wpaper:hal-01061852. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hydrodynamic limit of order book dynamics. (2014). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ambiguous volatility, possibility and utility in continuous time. (2014). Epstein, Larry G. ; Ji, Shaolin . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:50:y:2014:i:c:p:269-282. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measurability of semimartingale characteristics with respect to the probability law. (2014). Neufeld, Ariel ; Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3819-3845. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Benford law behavior of the religious activity data. (2014). Mir, T. A.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:408:y:2014:i:c:p:1-9. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Benfords law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions. (2014). Ausloos, Marcel ; Mir, Tariq Ahmad ; Cerqueti, Roy . In: Papers. RePEc:arx:papers:1410.2890. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Assessing the Inequalities of Wealth in Regions: the Italian Case. (2014). Ausloos, Marcel . In: Papers. RePEc:arx:papers:1410.4922. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Tracking the Exchange Rate Management in Latin America. (2014). Carrera, Cesar . In: Working Papers. RePEc:rbp:wpaper:2014-020. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of percolation behaviors of clustered networks with partial supportâdependence relations. (2014). Stanley, Eugene H. ; Du, Ruijin ; Fu, Min ; Tian, Lixin ; Dong, Gaogao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:370-378. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Robustness of interdependent and interconnected clustered networks. (2014). Dong, Gaogao ; Huang, Yi ; Du, Ruijin ; Tian, Lixin ; Shi, Liu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:412:y:2014:i:c:p:120-126. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spectrum-based estimators of the bivariate Hurst exponent. (2014). . In: Papers. RePEc:arx:papers:1408.6637. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Finite sample properties of power-law cross-correlations estimators. (2014). . In: Papers. RePEc:arx:papers:1409.6857. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama . In: Papers. RePEc:arx:papers:1210.1625. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products. (2014). Huang, Yao Tung ; Kwok, YueKuen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:19-43. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Network analysis and calibration of the âleveraged network-based financial acceleratorâ. (2014). Bargigli, Leonardo ; Gallegati, Mauro . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:99:y:2014:i:c:p:109-125. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Filling in the Blanks: Network Structure and Interbank Contagion. (2014). Craig, Ben ; Anand, Kartik ; von Peter, Goetz . In: Staff Working Papers. RePEc:bca:bocawp:14-26. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Filling in the Blanks: Network Structure and Interbank Contagion. (2014). Craig, Ben ; Anand, Kartik ; von Peter, Goetz . In: BIS Working Papers. RePEc:bis:biswps:455. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Filling in the Blanks: Network Structure and Interbank Contagion. (2014). von Peter, Goetz . In: Working Paper. RePEc:fip:fedcwp:1416. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Reconstructing topological properties of complex networks using the fitness model. (2014). Gabrielli, Andrea ; Squartini, Tiziano ; Battiston, Stefano ; Musmeci, Nicolo ; Puliga, Michelangelo ; Caldarelli, Guido ; Cimini, Giulio ; Garlaschelli, Diego . In: Papers. RePEc:arx:papers:1410.2121. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Wind speed and energy forecasting at different time scales: A nonparametric approach. (2014). Petroni, Filippo ; DAmico, Guglielmo ; Prattico, Flavio . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:406:y:2014:i:c:p:59-66. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Forecasting future oil production in Norway and the UK: a general improved methodology. (2014). Sornette, Didier ; Forro, Zalan ; Cauwels, Peter ; Fievet, Lucas . In: Papers. RePEc:arx:papers:1407.3652. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Spatial interactions in agent-based modeling. (2014). Dawid, Herbert ; Merlone, Ugo ; Ausloos, Marcel . In: Papers. RePEc:arx:papers:1405.0733. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs. (2014). Li, Xin ; Wang, Zheng . In: Papers. RePEc:arx:papers:1411.6080. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns. (2014). . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2014:i:4:p:49-64. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Convergence rate to a lower tail dependence coefficient of a skew-t distribution. (2014). Seneta, Eugene ; Fung, Thomas . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:128:y:2014:i:c:p:62-72. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Automated Liquidity Provision. (2014). Gerig, Austin ; Michayluk, David . In: Research Paper Series. RePEc:uts:rpaper:345. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets. (2014). Gerig, Austin ; Fricke, Daniel . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100402. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Inside Money, Procyclical Leverage, and Banking Catastrophes. (2014). Brummitt, Charles D. ; Sethi, Rajiv ; Watts, Duncan J.. In: Papers. RePEc:arx:papers:1403.1637. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Speculative behavior and the dynamics of interacting stock markets. (2014). Westerhoff, Frank ; Schmitt, Noemi . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:262-288. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Diversification and systemic risk. (2014). Raffestin, Louis . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:85-106. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\{a}n (Indexed-Linked Loans). (2014). Mallett, Jacky . In: Papers. RePEc:arx:papers:1302.4112. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Monitoring the European CDS Market through Networks: Implications for Contagion Risks.. (2014). Clerc, L. ; El Omari, Y. ; Kern, S. ; Gabrieli, S.. In: Working papers. RePEc:bfr:banfra:477. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging Expected Losses on Derivatives in Electricity Futures Markets. (2014). Huu, Adrien Nguyen ; Oudjane, Nadia . In: Papers. RePEc:arx:papers:1401.8271. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stochastic target games with controlled loss. (2014). Bouchard, Bruno ; Nutz, Marcel ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1206.6325. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures. (2014). Zitkovic, Gordan . In: Papers. RePEc:arx:papers:1307.5163. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging under an expected loss constraint with small transaction costs. (2014). Bouchard, Bruno ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1309.4916. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage-induced systemic risk under Basle II and other credit risk policies. (2014). Farmer, Doyne J. ; Thurner, Stefan ; Poledna, Sebastian ; Geanakoplos, John . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:199-212. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stability analysis of financial contagion due to overlapping portfolios. (2014). Moore, Cristopher ; Shrestha, Munik ; Caccioli, Fabio ; Farmer, Doyne J.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:233-245. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Control of the socio-economic systems using herding interactions. (2014). Kononovicius, A. ; Gontis, V.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:80-84. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Gulisashvili, Archil ; Teichmann, Josef . In: Papers. RePEc:arx:papers:1406.3716. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Les dangers de la bulle immobiliÃ¨re chinoise. (2014). Gaulard, Mylene . In: Revue Tiers-Monde. RePEc:cai:rtmarc:rtm_219_0077. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel . In: Papers. RePEc:arx:papers:1301.3227. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	MODELING CREDIT RISK THROUGH CREDIT SCORING. (2014). Calin, Adrian Cantemir . In: Internal Auditing and Risk Management. RePEc:ath:journl:tome:34:v:2:y:2014:i:34:p:99-109. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage effect in energy futures. (2014). . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:17. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. (2014). Vosvrda, Miloslav . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:18. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. (2014). Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1307.3060. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage effect in energy futures. (2014). Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1403.0064. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. (2014). McGroarty, Frank ; Hull, Matthew . In: Emerging Markets Review. RePEc:eee:ememar:v:18:y:2014:i:c:p:45-61. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Commodity futures and market efficiency. (2014). Vosvrda, Miloslav . In: Energy Economics. RePEc:eee:eneeco:v:42:y:2014:i:c:p:50-57. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Leverage effect in energy futures. (2014). . In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:1-9. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	European economies in crisis: A multifractal analysis of disruptive economic events and the effects of financial assistance. (2014). Siokis, Fotios M.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:395:y:2014:i:c:p:283-292. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Financial market volatility and contagion effect: A copulaâmultifractal volatility approach. (2014). Liu, Maojuan ; Wei, Yu ; Lin, Yu ; Chen, Wang ; Lang, Qiaoqi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:398:y:2014:i:c:p:289-300. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility. (2014). Huang, Dengshi ; Wei, Yu ; Chen, Yixiang ; Ma, Feng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:171-180. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Creepy World. (2014). Sornette, Didier ; Cauwels, Peter . In: Papers. RePEc:arx:papers:1401.3281. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D.. In: Papers. RePEc:arx:papers:1404.0243. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	1980Ã¢â¬â2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future. (2014). Sornette, Didier ; Cauwels, Peter . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:2:p:103-131:d:34639. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Quantification of the high level of endogeneity and of structural regime shifts in commodity markets. (2014). Bicchetti, David ; Filimonov, Vladimir ; Maystre, Nicolas ; Sornette, Didier . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:174-192. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Global inequality in energy consumption from 1980 to 2010. (2014). Liu, Qin ; Yakovenko, Victor M. ; Lawrence, Scott . In: Papers. RePEc:arx:papers:1312.6443. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Prediction Markets, Twitter and Bigotgate. (2014). VaughanWilliams, Leighton . In: Economics & Management Discussion Papers. RePEc:rdg:emxxdp:em-dp2014-09. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Systemic risk through contagion in a core-periphery structured banking network. (2014). Kluppelberg, Claudia ; Kley, Oliver ; Reichel, Lukas . In: Papers. RePEc:arx:papers:1406.6575. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An overview of the valuation of collateralized derivative contracts. (2014). Laurent, Jean-Paul ; Amzelek, Philippe ; Bonnaud, Joe . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:261-286. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Life insurance demand under health shock risk. (2014). Kraft, Holger ; Steffensen, Mogens ; Schendel, Lorenz S.. In: SAFE Working Paper Series. RePEc:zbw:safewp:40. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Consumption-investment problems with stochastic mortality risk. (2014). Schendel, Lorenz S.. In: SAFE Working Paper Series. RePEc:zbw:safewp:43. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	EU climate and energy policy beyond 2020: Are additional targets and instruments for renewables economically reasonable?. (2014). Gawel, Erik ; Chewpreecha, Unnada ; Strunz, Sebastian ; Lehmann, Paul ; Sijm, Jos ; Mercure, Jean-Francois ; Pollitt, Hector . In: UFZ Discussion Papers. RePEc:zbw:ufzdps:32014. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Chance constrained programming using non-Gaussian joint distribution function in design of standalone hybrid renewable energy systems. (2014). Maheri, Alireza ; Putrus, Ghanim A. ; Kamjoo, Azadeh . In: Energy. RePEc:eee:energy:v:66:y:2014:i:c:p:677-688. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The dynamics of technology diffusion and the impacts of climate policy instruments in the decarbonisation of the global electricity sector. (2014). Foley, A. M. ; Chewpreecha, U. ; Salas, P. ; Holden, P. B. ; Edwards, N. R. ; Mercure, J.-F., ; Pollitt, H.. In: Energy Policy. RePEc:eee:enepol:v:73:y:2014:i:c:p:686-700. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Using the sun to decarbonize the power sector: The economic potential of photovoltaics and concentrating solar power. (2014). Stetter, Daniel ; Manger, Susanne ; Pietzcker, Robert Carl ; Luderer, Gunnar . In: Applied Energy. RePEc:eee:appene:v:135:y:2014:i:c:p:704-720. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An age structured demographic theory of technological change. (2014). J. -F. Mercure, . In: Papers. RePEc:arx:papers:1304.3602. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The predictive power of singular value decomposition entropy for stock market dynamics. (2014). CARAIANI, Petre . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:393:y:2014:i:c:p:571-578. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Effects of global financial crisis on network structure in a local stock market. (2014). Nobi, Ashadun ; Maeng, Seong Eun ; Lee, Jae Woo ; Ha, Gyeong Gyun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:407:y:2014:i:c:p:135-143. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ratchet consumption over finite and infinite planning horizons. (2014). Scott, Jason S. ; Watson, John G.. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:54:y:2014:i:c:p:84-96. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Testing the evolution of crude oil market efficiency: Data have the conn. (2014). Zhang, Bing ; He, Fei . In: Energy Policy. RePEc:eee:enepol:v:68:y:2014:i:c:p:39-52. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Measuring and testing for the systemically important financial institutions. (2014). Castro, Carlos ; Ferrari, Stijn . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:1-14. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Regional allocation of carbon emission quotas in China: Evidence from the Shapley value method. (2014). Wang, Ao-Dong ; Zhang, Yue-Jun ; Da, Ya-Bin . In: Energy Policy. RePEc:eee:enepol:v:74:y:2014:i:c:p:454-464. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	On a class of diverse market models. (2014). Sarantsev, Andrey . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:291-314. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Extreme value statistics and recurrence intervals of NYMEX energy futures volatility. (2014). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:8-17. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Modeling record-breaking stock prices. (2014). Wergen, Gregor . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:396:y:2014:i:c:p:114-133. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Detecting spatial homogeneity in the World Trade Web with Detrended Fluctuation Analysis. (2014). Ruzzenenti, Franco ; Chiarucci, Riccardo ; Loffredo, Maria I.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:1-7. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009. (2014). Mynhardt, H. R. ; Makarenko, Inna . In: MPRA Paper. RePEc:pra:mprapa:58942. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A criterion for the determination of optimal scaling ranges in DFA and MF-DFA. (2014). Gulich, Damian ; Zunino, Luciano . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:397:y:2014:i:c:p:17-30. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. (2014). . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:406:y:2014:i:c:p:169-175. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Phase and multifractality analyses of random price time series by finite-range interacting biased voter system. (2014). Niu, Hongli ; Wang, Jun . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:5:p:1045-1063. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Testing the weak-form efficiency of the WTI crude oil futures market. (2014). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:235-244. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility. (2014). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo . In: Papers. RePEc:arx:papers:1404.7632. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Evolutionary model of stock markets. (2014). Kaldasch, Joachim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:415:y:2014:i:c:p:449-462. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Rebalancing with Linear and Quadratic Costs. (2014). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko . In: Papers. RePEc:arx:papers:1402.5306. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A primal-dual algorithm for BSDEs. (2014). Bender, Christian ; Schweizer, Nikolaus ; Zhuo, Jia . In: Papers. RePEc:arx:papers:1310.3694. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging. (2014). Alberto Fern'andez Mu~noz de Morales, ; Gunnesson, Johan . In: Papers. RePEc:arx:papers:1403.1086. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach. (2014). Pallavicini, Andrea ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1401.3994. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Prepayment option of a perpetual corporate loan: the impact of the funding costs. (2014). Turinici, Gabriel ; Papin, Timothee . In: Post-Print. RePEc:hal:journl:hal-00768571. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Arbitrage Pricing of Multi-person Game Contingent Claims. (2014). Guo, Ivan ; Rutkowski, Marek . In: Papers. RePEc:arx:papers:1405.2718. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes. (2014). Pallavicini, Andrea ; LIU, QING ; Sloth, David . In: Papers. RePEc:arx:papers:1404.7314. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Bond Consistent Derivative Fair Value. (2014). Alberto Fern'andez Mu~noz de Morales, ; Gunnesson, Johan . In: Papers. RePEc:arx:papers:1406.5755. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fair and profitable bilateral prices under funding costs and collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0448. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fair bilateral prices in Bergmans model. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0673. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Funding Value Adjustment and Incomplete Markets. (2014). Cornalba, Lorenzo. In: Papers. RePEc:arx:papers:1409.6093. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A BSDE approach to fair bilateral pricing under endogenous collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1412.2453. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach. (2014). Li, Duan ; Sun, Xiaoling ; Zheng, Xiaojin . In: Computational Optimization and Applications. RePEc:spr:coopap:v:59:y:2014:i:1:p:379-397. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Do wealth distributions follow power laws? Evidence from ârich listsâ. (2014). . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:406:y:2014:i:c:p:155-162. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

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Year	Title	See
2014	Determinants of food availability and access in Ghana: what can we learn beyond the regression results?. (2014). Adom, Philip Kofi . In: Studies in Agricultural Economics. RePEc:ags:stagec:196909. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel . In: Papers. RePEc:arx:papers:1301.3227. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Weak and strong no-arbitrage conditions for continuous financial markets. (2014). FONTANA, CLAUDIO . In: Papers. RePEc:arx:papers:1302.7192. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Explicit implied volatilities for multifactor local-stochastic volatility models. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1306.5447. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (2014). Gupta, Arjun K. ; Bodnar, Taras . In: Papers. RePEc:arx:papers:1308.0931. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A statistical physics perspective on criticality in financial markets. (2014). Bury, Thomas . In: Papers. RePEc:arx:papers:1310.2446. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Sticky continuous processes have consistent price systems. (2014). Bender, Christian ; Pakkanen, Mikko S. ; Sayit, Hasanjan . In: Papers. RePEc:arx:papers:1310.7857. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift. (2014). GABIH, ABDELALI ; Wunderlich, Ralf ; Sass, Jorn ; Kondakji, Hakam . In: Papers. RePEc:arx:papers:1402.6313. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Micro to macro models for income distribution in the absence and in the presence of tax evasion. (2014). Modanese, Giovanni ; Bertotti, Maria Letizia . In: Papers. RePEc:arx:papers:1403.0015. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics. (2014). Joseph, Andreas ; Vodenska, Irena ; Chen, Guanrong ; Stanley, Eugene . In: Papers. RePEc:arx:papers:1403.0848. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Do Google Trend data contain more predictability than price returns?. (2014). Ahmed Bel Hadj Ayed, ; Challet, Damien . In: Papers. RePEc:arx:papers:1403.1715. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1403.1804. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Multilevel Monte Carlo For Exponential L\{e}vy Models. (2014). Giles, Mike ; Xia, Yuan . In: Papers. RePEc:arx:papers:1403.5309. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A Note on the Quantile Formulation. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1403.7269. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling. (2014). Hillairet, Caroline ; El Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1895. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Ramsey Rule with Progressive utility and Long Term Affine Yields Curves. (2014). Hillairet, Caroline ; El Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1913. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes. (2014). . In: Papers. RePEc:arx:papers:1404.6637. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs. (2014). Zhang, Yuchong . In: Papers. RePEc:arx:papers:1404.7406. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market. (2014). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1405.2220. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	How does bad and good volatility spill over across petroleum markets?. (2014). . In: Papers. RePEc:arx:papers:1405.2445. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1405.6111. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution. (2014). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1405.7611. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Decoding Stock Market Behavior with the Topological Quantum Computer. (2014). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1406.3531. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Instabilities in large economies: aggregate volatility without idiosyncratic shocks. (2014). Landier, Augustin ; Bonart, Julius ; Bouchaud, Jean-Philippe ; Thesmar, David . In: Papers. RePEc:arx:papers:1406.5022. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Concas, Giulio ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1406.6496. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Non-arbitrage for Informational Discrete Time Market Models. (2014). Deng, Jun ; Choulli, Tahir . In: Papers. RePEc:arx:papers:1407.1453. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Linear vector optimization and European option pricing under proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1407.5877. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Contagious Synchronization and Endogenous Network Formation in Financial Networks. (2014). Aymanns, Christoph ; Georg, Co-Pierre . In: Papers. RePEc:arx:papers:1408.0440. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David . In: Papers. RePEc:arx:papers:1408.1494. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation. (2014). Shevchenko, Pavel V. ; Luo, Xiaolin . In: Papers. RePEc:arx:papers:1408.6938. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1409.2023. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The effect of the number of states on the validity of credit ratings. (2014). Raischel, F. ; Lencastre, P. ; Lind, P. G.. In: Papers. RePEc:arx:papers:1409.2661. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	The Immediate Exchange model: an analytical investigation. (2014). Katriel, Guy . In: Papers. RePEc:arx:papers:1409.6646. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Finite sample properties of power-law cross-correlations estimators. (2014). . In: Papers. RePEc:arx:papers:1409.6857. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Parametric Risk Parity. (2014). Rroji, Edit . In: Papers. RePEc:arx:papers:1409.7933. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fair and profitable bilateral prices under funding costs and collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0448. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fair bilateral prices in Bergmans model. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0673. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Optimal execution of ASR contracts with fixed notional. (2014). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1410.1481. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	An initial approach to Risk Management of Funding Costs. (2014). Durand, Cyril ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1410.2034. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	A statistical physics analysis of expenditure in the UK. (2014). Oltean, Elvis ; Kusmartsev, Fedor . In: Papers. RePEc:arx:papers:1410.3865. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Randomisation and recursion methods for mixed-exponential Levy models, with financial applications. (2014). Mijatovic, Aleksandar ; Pistorius, Martijn ; Stolte, Johannes . In: Papers. RePEc:arx:papers:1410.7316. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy. (2014). Shevchenko, Pavel ; Luo, Xiaolin . In: Papers. RePEc:arx:papers:1410.8609. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2014	Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426. Full description at Econpapers \|\| Download paper	[Citation Analysis]

More than 50 citations. List broken...

Recent citations received in: 2013

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Year	Title	See
2013	Risk premia in energy markets. (2013). Almut E. D. Veraart, ; Luitgard A. M. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2013-02. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Assessing Relative Volatility/Intermittency/Energy Dissipation. (2013). Schmiegel, Jurgen ; Barndorff-Nielsen, Ole E. ; Pakkanen, Mikko S.. In: CREATES Research Papers. RePEc:aah:create:2013-15. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. (2013). Lunde, Asger ; Wei, Wei ; Brix, Anne Floor . In: CREATES Research Papers. RePEc:aah:create:2015-46. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	The explicit Laplace transform for the Wishart process. (2013). Gnoatto, Alessandro ; Grasselli, Martino . In: Papers. RePEc:arx:papers:1107.2748. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems. (2013). Fahim, Arash ; Bayraktar, Erhan . In: Papers. RePEc:arx:papers:1109.5752. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the Existence of Shadow Prices. (2013). Benedetti, Giuseppe ; Campi, Luciano ; Muhle-Karbe, Johannes ; Kallsen, Jan . In: Papers. RePEc:arx:papers:1111.6633. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Why are quadratic normal volatility models analytically tractable?. (2013). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Papers. RePEc:arx:papers:1202.6187. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the Hedging of Options On Exploding Exchange Rates. (2013). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Papers. RePEc:arx:papers:1202.6188. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. (2013). Riedel, Frank ; Chiarolla, Maria B. ; Ferrari, Giorgio . In: Papers. RePEc:arx:papers:1203.3757. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Negative Call Prices. (2013). Ruf, Johannes . In: Papers. RePEc:arx:papers:1204.1903. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Constructing Sublinear Expectations on Path Space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Papers. RePEc:arx:papers:1205.2415. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall. (2013). Lehalle, Charles-Albert ; Labadie, Mauricio . In: Papers. RePEc:arx:papers:1205.3482. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. (2013). Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1205.4588. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Numerical methods for the quadratic hedging problem in Markov models with jumps. (2013). De Franco, Carmine ; Warin, Xavier ; Tankov, Peter . In: Papers. RePEc:arx:papers:1206.5393. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression. (2013). Barunik, Jozef ; Barunikova, Michaela . In: Papers. RePEc:arx:papers:1208.4831. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Superreplication under Volatility Uncertainty for Measurable Claims. (2013). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1208.6486. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Optimal Investment with Stocks and Derivatives. (2013). Siorpaes, Pietro . In: Papers. RePEc:arx:papers:1210.5466. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Generalised arbitrage-free SVI volatility surfaces. (2013). Jacquier, Antoine ; Neufcourt, Leo ; Guo, Gaoyue ; Martini, Claude . In: Papers. RePEc:arx:papers:1210.7111. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Homogenization and asymptotics for small transaction costs: the multidimensional case. (2013). Possamai, Dylan ; Touzi, Nizar ; Soner, Mete H.. In: Papers. RePEc:arx:papers:1212.6275. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments. (2013). . In: Papers. RePEc:arx:papers:1301.3824. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Polish and Silesian Non-Profit Organizations Liquidity Strategies. (2013). Mercik, Aleksander . In: Papers. RePEc:arx:papers:1301.3825. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (2013). Acciaio, Beatrice ; Schachermayer, Walter ; Beiglbock, Mathias ; Penkner, Friedrich . In: Papers. RePEc:arx:papers:1301.5568. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Markets Evolution After the Credit Crunch. (2013). Bianchetti, Marco ; Carlicchi, Mattia . In: Papers. RePEc:arx:papers:1301.7078. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Basis of financial arithmetic from the viewpoint of the utility theory. (2013). Piasecki, Krzysztof . In: Papers. RePEc:arx:papers:1302.0537. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the Robust superhedging of measurable claims. (2013). Possamai, Dylan ; Touzi, Nizar ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1302.1850. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	An Explicit Martingale Version of Breniers Theorem. (2013). Touzi, Nizar ; Henry-Labordere, Pierre . In: Papers. RePEc:arx:papers:1302.4854. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Optimal dividends problem with a terminal value for spectrally positive Levy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Papers. RePEc:arx:papers:1302.6011. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Realtime market microstructure analysis: online Transaction Cost Analysis. (2013). Beri, Arjun ; Gadhyan, Yutheeka ; Azencott, Robert ; Joseph, Nicolas ; Rowley, Matthew ; Lehalle, Charles-Albert . In: Papers. RePEc:arx:papers:1302.6363. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the theory of firm in nonlinear dynamic financial and economic systems. (2013). . In: Papers. RePEc:arx:papers:1302.6721. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Optimal investment and price dependence in a semi-static market. (2013). Siorpaes, Pietro . In: Papers. RePEc:arx:papers:1303.0237. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	The Small-Maturity Heston Forward Smile. (2013). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1303.4268. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems. (2013). Ledenyov, Dimitri O.. In: Papers. RePEc:arx:papers:1304.4807. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Risk measures for processes and BSDEs. (2013). Reveillac, Anthony ; Penner, Irina . In: Papers. RePEc:arx:papers:1304.4853. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Balancing small fixed and proportional transaction cost in trading strategies. (2013). Fahim, Arash ; Alcala, Jose V.. In: Papers. RePEc:arx:papers:1304.7562. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (2013). Capponi, Agostino ; Bo, Lijun . In: Papers. RePEc:arx:papers:1305.5575. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks. (2013). Ledenyov, Dimitri O.. In: Papers. RePEc:arx:papers:1305.5656. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information. (2013). , Hyong-Chol ; Ri, Song-Hun ; Jo, Jong-Jun . In: Papers. RePEc:arx:papers:1305.6988. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (2013). . In: Papers. RePEc:arx:papers:1306.4070. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On the time spent in the red by a refracted L\evy risk process. (2013). Renaud, Jean-Franccois . In: Papers. RePEc:arx:papers:1306.4619. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Explicit Description of HARA Forward Utilities and Their Optimal Portfolios. (2013). Ma, Junfeng ; Choulli, Tahir . In: Papers. RePEc:arx:papers:1307.0785. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	On model-independent pricing/hedging using shortfall risk and quantiles. (2013). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1307.2493. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Utility Maximization under Model Uncertainty in Discrete Time. (2013). Nutz, Marcel . In: Papers. RePEc:arx:papers:1307.3597. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Correct usage of transmission coefficient for timing the market. (2013). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1307.5975. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Quantum Tunneling of Stock Price in Range Bound Market Conditions. (2013). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1307.6727. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	American options with gradual exercise under proportional transaction costs. (2013). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1308.2688. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	A pricing measure to explain the risk premium in power markets. (2013). Benth, Fred Espen ; Ortiz-Latorre, Salvador . In: Papers. RePEc:arx:papers:1308.3378. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison. (2013). Kim, Changki ; Choi, Yangho ; Lee, Woojoo ; Ahn, Jae Youn . In: Papers. RePEc:arx:papers:1308.3966. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	A Taylor series approach to pricing and implied vol for LSV models. (2013). Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1308.5019. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2013	G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty. (2013). Chen, Wei . In: Papers. RePEc:arx:papers:1308.6256. Full description at Econpapers \|\| Download paper	[Citation Analysis]

More than 50 citations. List broken...

Recent citations received in: 2012

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Year	Title	See
2012	Relationship Between Prices of Food, Fuel and Biofuel. (2012). Zilberman, David ; Kristoufek, Ladislav . In: 131st Seminar, September 18-19, 2012, Prague, Czech Republic. RePEc:ags:eaa131:135793. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Default Swap Games Driven by Spectrally Negative Levy Processes. (2012). Yamazaki, Kazutoshi ; Tim S. T. Leung, ; Egami, Masahiko . In: Papers. RePEc:arx:papers:1105.0238. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal Portfolio Liquidation with Limit Orders. (2012). Lehalle, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez . In: Papers. RePEc:arx:papers:1106.3279. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending. (2012). Brigo, Damiano . In: Papers. RePEc:arx:papers:1111.1331. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal posting price of limit orders: learning by trading. (2012). Lehalle, Charles-Albert ; Laruelle, Sophie ; Pages, Gilles . In: Papers. RePEc:arx:papers:1112.2397. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Understanding the source of multifractality in financial markets. (2012). Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana ; Liu, Ruipeng . In: Papers. RePEc:arx:papers:1201.1535. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study. (2012). Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1201.3511. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity. (2012). Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1203.4979. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Evolutionary Model of the Personal Income Distribution. (2012). . In: Papers. RePEc:arx:papers:1203.6507. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Pricing Variable Annuity Guarantees in a Local Volatility framework. (2012). Gr'egory Ray'ee, ; Deelstra, Griselda . In: Papers. RePEc:arx:papers:1204.0453. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods. (2012). Platen, Eckhard ; Baldeaux, Jan . In: Papers. RePEc:arx:papers:1204.1126. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Price and Quantity Trajectories: Second-order Dynamics. (2012). Kemp-Benedict, Eric . In: Papers. RePEc:arx:papers:1204.3156. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A finite-dimensional quantum model for the stock market. (2012). Cotfas, Liviu-Adrian . In: Papers. RePEc:arx:papers:1204.4614. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On the non-stationarity of financial time series: impact on optimal portfolio selection. (2012). Scalas, Enrico ; Inoue, Jun-ichi ; Livan, Giacomo . In: Papers. RePEc:arx:papers:1205.0877. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A Numerical Scheme Based on Semi-Static Hedging Strategy. (2012). Kawagoe, Takuya ; Ishigaki, Yuta ; Imamura, Yuri ; Okumura, Toshiki . In: Papers. RePEc:arx:papers:1206.2934. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G.. In: Papers. RePEc:arx:papers:1206.4562. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results. (2012). Lipton, Alexander ; Andersen, Leif . In: Papers. RePEc:arx:papers:1206.6787. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A new look at short-term implied volatility in asset price models with jumps. (2012). Aleksandar Mijatovi'c, ; Tankov, Peter . In: Papers. RePEc:arx:papers:1207.0843. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting. (2012). Pallavicini, Andrea ; LIU, QING ; Brigo, Damiano ; BUESCU, CRISTIN . In: Papers. RePEc:arx:papers:1207.2316. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Portfolio Choice with Transaction Costs: a Users Guide. (2012). Muhle-Karbe, Johannes ; Guasoni, Paolo . In: Papers. RePEc:arx:papers:1207.7330. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Measuring capital market efficiency: Global and local correlations structure. (2012). Kristoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1208.1298. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On the changeover timescales of technology transitions and induced efficiency changes: an overarching theory. (2012). Mercure, Jean-Francois . In: Papers. RePEc:arx:papers:1209.0424. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Time-Frequency Dynamics of Biofuels-Fuels-Food System. (2012). Zilberman, David ; Vacha, Lukas ; Kristoufek, Ladislav ; Janda, Karel . In: Papers. RePEc:arx:papers:1209.0900. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	General Equilibrium as a Topological Field Theory. (2012). Kemp-Benedict, Eric . In: Papers. RePEc:arx:papers:1209.1705. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Perini, Daniele ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1210.3811. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Funded Bilateral Valuation Adjustment. (2012). Nordio, Claudio ; Giada, Lorenzo . In: Papers. RePEc:arx:papers:1211.1564. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On the new central bank strategy toward monetary and financial instabilities management in finances: Econophysical analysis of nonlinear dynamical financial systems. (2012). Ledenyov, Dimitri O.. In: Papers. RePEc:arx:papers:1211.1897. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A quantum mechanical model for the rate of return. (2012). Cotfas, Liviu-Adrian . In: Papers. RePEc:arx:papers:1211.1938. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions. (2012). Ledenyov, Dimitri O.. In: Papers. RePEc:arx:papers:1211.4108. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Testing the weak-form efficiency of the WTI crude oil futures market. (2012). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie . In: Papers. RePEc:arx:papers:1211.4686. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: Papers. RePEc:arx:papers:1211.5867. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Momentum universe shrinkage effect in price momentum. (2012). Choi, Jaehyung ; Kang, Wonseok . In: Papers. RePEc:arx:papers:1211.6517. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf302. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, G. ; Kovaleva, P.. In: Working Papers. RePEc:cty:dpaper:12/05. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Option pricing under a normal mixture distribution derived from the Markov tree model. (2012). Bhat, Harish S. ; Kumar, Nitesh . In: European Journal of Operational Research. RePEc:eee:ejores:v:223:y:2012:i:3:p:762-774. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. (2012). Zilberman, David ; Kristoufek, Ladislav . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:5:p:1380-1391. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	How do skilled traders change the structure of the market. (2012). Barunik, Jozef ; Vosvrda, Miloslav ; Vacha, Lukas . In: International Review of Financial Analysis. RePEc:eee:finana:v:23:y:2012:i:c:p:66-71. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Evolutionary model of the personal income distribution. (2012). Kaldasch, Joachim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:22:p:5628-5642. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Benfordâs law and Theil transform of financial data. (2012). Clippe, Paulette . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:24:p:6556-6567. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On some universal Ï-finite measures related to a remarkable class of submartingales. (2012). Nikeghbali, Ashkan ; Najnudel, Joseph . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1582-1600. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	BSDEs in utility maximization with BMO market price of risk. (2012). Frei, Christoph ; Westray, Nicholas ; Mocha, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:6:p:2486-2519. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	The emergence of new industries at the regional level in Spain. A proximity approach based on product-relatedness. (2012). Minondo, Asier ; Boschma, Ron ; Navarro, Mikel . In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1201. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	The emergence of new technology-based sectors at the regional level: a proximity-based analysis of nanotechnology. (2012). Colombelli, Alessandra ; Krafft, Jackie . In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1211. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). Labadie, Mauricio . In: Working Papers. RePEc:hal:wpaper:hal-00705056. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal order placement in limit order markets. (2012). Kukanov, Arseniy ; Cont, Rama . In: Working Papers. RePEc:hal:wpaper:hal-00737491. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Oil Shocks and the Euro as an Optimum Currency Area. (2012). Aguiar, Luis Francisco ; Rodrigues, Teresa Maria ; Soares, Maria Joana . In: NIPE Working Papers. RePEc:nip:nipewp:07/2012. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Evolutionary Model of the Personal Income Distribution. (2012). Kaldasch, Joachim . In: MPRA Paper. RePEc:pra:mprapa:37865. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Markets Evolution After the Credit Crunch. (2012). Bianchetti, Marco ; Carlicchi, Mattia . In: MPRA Paper. RePEc:pra:mprapa:44023. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Power utility maximization in exponential LÃ©vy models: convergence of discrete-time to continuous-time maximizers. (2012). Temme, Johannes . In: Computational Statistics. RePEc:spr:compst:v:76:y:2012:i:1:p:21-41. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Horizon dependence of utility optimizers in incomplete models. (2012). Yu, Hang ; Larsen, Kasper . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:779-801. Full description at Econpapers \|\| Download paper	[Citation Analysis]

More than 50 citations. List broken...

Recent citations received in: 2011

[Click on heading to sort table]

Year	Title	See
2011	Coherent Quantitative Analysis of Risks in Agribusiness: Case of Ukraine. (2011). Tarasov, A.. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:120240. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Anomalous price impact and the critical nature of liquidity in financial markets. (2011). Toth, Bence ; Lemperiere, Yves ; Kockelkoren, Julien ; de Lataillade, Joachim ; Bouchaud, Jean-Philippe ; Deremble, Cyril . In: Papers. RePEc:arx:papers:1105.1694. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Why Money Trickles Up - Wealth & Income Distributions. (2011). . In: Papers. RePEc:arx:papers:1105.2122. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Impact of the first to default time on Bilateral CVA. (2011). BUESCU, CRISTIN ; MORINI, MASSIMO ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1106.3496. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach. (2011). Song, Song . In: Papers. RePEc:arx:papers:1106.3921. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Stability of the Constrained Utility Maximization Problem - A BSDE Approach. (2011). Mocha, Markus ; Westray, Nicholas . In: Papers. RePEc:arx:papers:1107.0190. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Multiplicative noise, fast convolution, and pricing. (2011). Bormetti, Giacomo ; Cazzaniga, Sofia . In: Papers. RePEc:arx:papers:1107.1451. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Implied Volatility Surface: Construction Methodologies and Characteristics. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1834. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Identification of clusters of investors from their real trading activity in a financial market. (2011). Lillo, Fabrizio ; Mantegna, Rosario N. ; Tumminello, Michele ; Piilo, Jyrki . In: Papers. RePEc:arx:papers:1107.3942. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Additive habits with power utility: Estimates, asymptotics and equilibrium. (2011). Muraviev, Roman . In: Papers. RePEc:arx:papers:1108.2889. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Pruning a Minimum Spanning Tree. (2011). Junior, Leonidas Sandoval . In: Papers. RePEc:arx:papers:1109.0642. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Papers. RePEc:arx:papers:1109.6154. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Distinguishing manipulated stocks via trading network analysis. (2011). Shen, Hua-Wei ; Wang, Zhao-Yang ; Cheng, Xue-Qi ; Sun, Xiao-Qian . In: Papers. RePEc:arx:papers:1110.2260. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Fundamental Measurements in Economics and in the Theory of Consciousness (Manifestation of quantum-mechanical properties of economic objects in slit measurements). (2011). Tuluzov, I. G. ; Melnyk, S. I.. In: Papers. RePEc:arx:papers:1110.5288. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Agglomeration and Interregional Mobility of Labor in Portugal. (2011). Vitor Joao Pereira Domingues Martinho, . In: Papers. RePEc:arx:papers:1110.5534. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III. (2011). Vitor Joao Pereira Domingues Martinho, . In: Papers. RePEc:arx:papers:1110.5578. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation. (2011). Pallavicini, Andrea ; Perini, Daniele ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1112.1521. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach. (2011). Grunspan, Cyril . In: Papers. RePEc:arx:papers:1112.1782. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Modeling the International-Trade Network: A Gravity Approach. (2011). Fagiolo, Giorgio ; Duenas, Marco . In: Papers. RePEc:arx:papers:1112.2867. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Valuation of Zynga. (2011). Sornette, Didier ; Zal'an Forr'o, ; Cauwels, Peter . In: Papers. RePEc:arx:papers:1112.6024. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Social Architecture of Capitalism. (2011). . In: Papers. RePEc:arx:papers:cond-mat/0401053. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	A conjecture on the distribution of firm profit. (2011). . In: Papers. RePEc:arx:papers:cond-mat/0407687. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in Mathematics and Financial Economics). (2011). . In: CARF F-Series. RePEc:cfi:fseres:cf257. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Dealing with the Inventory Risk. (2011). Lehalle, Charles-Albert ; Gueant, Olivier ; Tapia, Joaquin Fernandez . In: Economics Papers from University Paris Dauphine. RePEc:dau:papers:123456789/7390. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Optimal Portfolio Liquidation with Limit Orders. (2011). Lehalle, Charles-Albert ; Gueant, Olivier ; Tapia, Joaquin Fernandez . In: Economics Papers from University Paris Dauphine. RePEc:dau:papers:123456789/7391. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market. (2011). Moreira, Antonio Carrizo ; Moutinho, Victor ; Vieira, Joel . In: Energy Policy. RePEc:eee:enepol:v:39:y:2011:i:10:p:5898-5908. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Distinguishing manipulated stocks via trading network analysis. (2011). Shen, Hua-Wei ; Wang, Zhao-Yang ; Cheng, Xue-Qi ; Sun, Xiao-Qian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:20:p:3427-3434. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	A study of correlations between crude oil spot and futures markets: A rolling sample test. (2011). Wan, Jieqiu ; Liu, LI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:21:p:3754-3766. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Multifractal analysis of the Korean agricultural market. (2011). Oh, Gabjin ; Kim, Seunghwan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:23:p:4286-4292. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Structural changes and volatility transmission in crude oil markets. (2011). Cheong, Chongcheul ; Kang, Sang Hoon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:23:p:4317-4324. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes. (2011). Gu, Gao-Feng ; Qian, Xi-Yuan ; Zhou, Wei-Xing . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:23:p:4388-4395. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	On strong solutions for positive definite jump diffusions. (2011). Mayerhofer, Eberhard ; Stelzer, Robert ; Pfaffel, Oliver . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:9:p:2072-2086. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data. (2011). Chen, Ray-Bing ; Hardle, Wolfgang . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-054. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives. (2011). Osipenko, Maria ; Hardle, Wolfgang . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-055. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data. (2011). . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-056. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Optimal Display of Iceberg Orders. (2011). Cebiroglu, Gokhan ; Horst, Ulrich . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-057. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Optimal liquidation in dark pools. (2011). Cebiroglu, Gokhan ; Horst, Ulrich . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-058. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	On heterogeneous latent class models with applications to the analysis of rating scores. (2011). Bertrand, Aurelie ; Hafner, Christian M.. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-062. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Multivariate Volatility Modeling of Electricity Futures. (2011). Hafner, Christian M. ; Pierret, Diane . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-063. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Semiparametric Estimation with Generated Covariates. (2011). Mammen, Enno . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-064. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Linking corporate reputation and shareholder value using the publication of reputation rankings. (2011). Hildebrandt, Lutz ; Tischer, Sven . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-065. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators. (2011). Mainberger, Christoph ; Kupper, Michael ; Heyne, Gregor . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-067. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Labor Share: A Review of Theory and Evidence. (2011). . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-069. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Econometric analysis of volatile art markets. (2011). Hafner, Christian M. ; Fabian Y. R. P. Bocart, . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-071. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Financial Network Systemic Risk Contributions. (2011). Schaumburg, Julia . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-072. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Evolvement of uniformity and volatility in the stressed global financial village. (2011). Kenett, Dror Y. ; Lux, Thomas ; Ben-Jacob, Eshel . In: Kiel Working Papers. RePEc:kie:kieliw:1739. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Why money trickles up â wealth & income distributions. (2011). . In: MPRA Paper. RePEc:pra:mprapa:30851. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	What the keynesian theory said about Portugal?. (2011). Martinho, Vitor JoÃ£o Pereira Domingues, . In: MPRA Paper. RePEc:pra:mprapa:32610. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	What said the neoclassical and endogenous growth theories about Portugal?. (2011). Martinho, Vitor JoÃ£o Pereira Domingues, . In: MPRA Paper. RePEc:pra:mprapa:32631. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	What said the new economic geography about Portugal? An alternative approach. (2011). Martinho, Vitor JoÃ£o Pereira Domingues, . In: MPRA Paper. RePEc:pra:mprapa:32795. Full description at Econpapers \|\| Download paper	[Citation Analysis]

More than 50 citations. List broken...

10 most frequent citing series:

[Click on heading to sort table]

	Series	Cited
	Papers / arXiv.org	778
	Physica A: Statistical Mechanics and its Applications / Elsevier	502
	MPRA Paper / University Library of Munich, Germany	103
	Stochastic Processes and their Applications / Elsevier	63
	Finance and Stochastics / Springer	39
	Insurance: Mathematics and Economics / Elsevier	35
	Journal of Economic Dynamics and Control / Elsevier	27
	Post-Print / HAL	27
	Working Papers / HAL	27
	Journal of Economic Interaction and Coordination / Springer	25
	Papers in Evolutionary Economic Geography (PEEG) / Utrecht University, Section of Economic Geography	24

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