0.33
Impact Factor
0.32
5-Years IF
40
5-Years H index
0.33
Impact Factor
0.32
5-Years IF
40
5-Years H index
IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
1990 | 0.1 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
1991 | 0.09 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
1992 | 0.11 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
1993 | 0.14 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
1994 | 0.12 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
1995 | 0.16 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
1996 | 0.2 | 0 | 1 | 0 | 0 | (%) | 0.09 | |||||||||
1997 | 0.21 | 15 | 15 | 6 | 0.4 | 213 | 0 | 0 | 40 (18.8%) | 4 | 0.27 | 0.09 | ||||
1998 | 0.53 | 0.22 | 0.53 | 44 | 59 | 12 | 0.2 | 226 | 15 | 8 | 15 | 8 | 40 (17.7%) | 2 | 0.05 | 0.13 |
1999 | 0.08 | 0.28 | 0.08 | 53 | 112 | 13 | 0.12 | 412 | 59 | 5 | 59 | 5 | 64 (15.5%) | 6 | 0.11 | 0.16 |
2000 | 0.28 | 0.37 | 0.36 | 74 | 186 | 69 | 0.37 | 430 | 97 | 27 | 112 | 40 | 98 (22.8%) | 8 | 0.11 | 0.14 |
2001 | 0.36 | 0.36 | 0.39 | 97 | 283 | 127 | 0.45 | 533 | 127 | 46 | 186 | 73 | 131 (24.6%) | 18 | 0.19 | 0.17 |
2002 | 0.28 | 0.37 | 0.26 | 112 | 395 | 125 | 0.32 | 656 | 171 | 48 | 283 | 74 | 140 (21.3%) | 23 | 0.21 | 0.18 |
2003 | 0.28 | 0.4 | 0.27 | 107 | 502 | 148 | 0.29 | 338 | 209 | 59 | 380 | 101 | 60 (17.8%) | 6 | 0.06 | 0.19 |
2004 | 0.21 | 0.42 | 0.28 | 150 | 652 | 201 | 0.31 | 693 | 219 | 46 | 443 | 124 | 156 (22.5%) | 14 | 0.09 | 0.19 |
2005 | 0.19 | 0.43 | 0.26 | 189 | 841 | 237 | 0.28 | 528 | 257 | 48 | 540 | 140 | 151 (28.6%) | 14 | 0.07 | 0.21 |
2006 | 0.22 | 0.45 | 0.26 | 245 | 1086 | 319 | 0.29 | 430 | 339 | 75 | 655 | 171 | 133 (30.9%) | 10 | 0.04 | 0.2 |
2007 | 0.18 | 0.39 | 0.24 | 289 | 1375 | 367 | 0.27 | 839 | 434 | 80 | 803 | 191 | 186 (22.2%) | 25 | 0.09 | 0.17 |
2008 | 0.18 | 0.39 | 0.22 | 302 | 1677 | 485 | 0.29 | 727 | 534 | 94 | 980 | 215 | 215 (29.6%) | 20 | 0.07 | 0.17 |
2009 | 0.19 | 0.37 | 0.21 | 342 | 2019 | 529 | 0.26 | 706 | 591 | 114 | 1175 | 246 | 219 (31%) | 31 | 0.09 | 0.18 |
2010 | 0.2 | 0.33 | 0.2 | 483 | 2502 | 611 | 0.24 | 745 | 644 | 131 | 1367 | 268 | 257 (34.5%) | 31 | 0.06 | 0.15 |
2011 | 0.22 | 0.41 | 0.24 | 520 | 3022 | 979 | 0.32 | 827 | 825 | 179 | 1661 | 395 | 276 (33.4%) | 89 | 0.17 | 0.2 |
2012 | 0.22 | 0.46 | 0.25 | 588 | 3610 | 1027 | 0.28 | 802 | 1003 | 218 | 1936 | 483 | 314 (39.2%) | 61 | 0.1 | 0.21 |
2013 | 0.24 | 0.5 | 0.25 | 708 | 4318 | 1328 | 0.31 | 916 | 1108 | 267 | 2235 | 562 | 448 (48.9%) | 107 | 0.15 | 0.21 |
2014 | 0.32 | 0.54 | 0.29 | 805 | 5123 | 1714 | 0.33 | 643 | 1296 | 410 | 2641 | 776 | 294 (45.7%) | 114 | 0.14 | 0.26 |
2015 | 0.33 | 0.6 | 0.32 | 871 | 5994 | 2031 | 0.34 | 506 | 1513 | 493 | 3104 | 979 | 281 (55.5%) | 134 | 0.15 | 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 |
 
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers || Download paper | 230 |
2 | 2002 | On the coherence of Expected Shortfall. (2002). Acerbi, Carlo. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers || Download paper | 219 |
3 | 1999 | Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers || Download paper | 118 |
4 | 2008 | Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:0803.2773. Full description at Econpapers || Download paper | 105 |
5 | 1999 | The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers || Download paper | 98 |
6 | 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 | 94 |
7 | 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 | 89 |
8 | 2009 | The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers || Download paper | 80 |
9 | 1998 | Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100. Full description at Econpapers || Download paper | 79 |
10 | 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 | 76 |
11 | 2009 | Colloquium: Statistical mechanics of money, wealth, and income. (2009). Rosser, Barkley ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers || Download paper | 75 |
12 | 1998 | Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374. Full description at Econpapers || Download paper | 74 |
13 | 2004 | The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233. Full description at Econpapers || Download paper | 72 |
14 | 2004 | The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0311053. Full description at Econpapers || Download paper | 72 |
15 | 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 | 70 |
16 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers || Download paper | 70 |
17 | 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 | 69 |
18 | 2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers || Download paper | 68 |
19 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0312703. Full description at Econpapers || Download paper | 67 |
20 | 2004 | Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers || Download paper | 67 |
21 | 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 | 66 |
22 | 2000 | Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113. Full description at Econpapers || Download paper | 64 |
23 | 1997 | Scaling behavior in economics: I. Empirical results for company growth. (1997). Salinger, Michael ; Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082. Full description at Econpapers || Download paper | 60 |
24 | 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 | 58 |
25 | 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 | 58 |
26 | 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 | 55 |
27 | 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 | 54 |
28 | 2000 | Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454. Full description at Econpapers || Download paper | 53 |
29 | 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 | 51 |
30 | 2002 | Expected Shortfall and Beyond. (2002). . In: Papers. RePEc:arx:papers:cond-mat/0203558. Full description at Econpapers || Download paper | 50 |
31 | 2006 | A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108. Full description at Econpapers || Download paper | 49 |
32 | Quantifying Stock Price Response to Demand Fluctuations. (2001). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0106657. Full description at Econpapers || Download paper | 47 | |
33 | 2003 | Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543. Full description at Econpapers || Download paper | 47 |
34 | 2011 | The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers || Download paper | 45 |
35 | 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 | 44 |
36 | 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 | 43 |
37 | 2011 | Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers || Download paper | 42 |
38 | 1997 | Scaling in stock market data: stable laws and beyond. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama . In: Papers. RePEc:arx:papers:cond-mat/9705087. Full description at Econpapers || Download paper | 41 |
39 | 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 | 40 |
40 | 2007 | Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers || Download paper | 40 |
41 | 1997 | Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148. Full description at Econpapers || Download paper | 39 |
42 | 2001 | Agent-based simulation of a financial market. (2001). Raberto, Marco ; Marchesi, Michele ; Cincotti, Silvano ; FOCARDI, SERGIO M.. In: Papers. RePEc:arx:papers:cond-mat/0103600. Full description at Econpapers || Download paper | 36 |
43 | 2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | 36 |
44 | 2007 | Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874. Full description at Econpapers || Download paper | 36 |
45 | 2005 | The Growth of Business Firms: Theoretical Framework and Empirical Evidence. (2005). Riccaboni, Massimo ; Pammolli, Fabio ; Fu, Dongfeng ; Buldyrev, S. V. ; Yamasaki, Kazuko ; Matia, Kaushik ; Stanley, H. E.. In: Papers. RePEc:arx:papers:physics/0512005. Full description at Econpapers || Download paper | 36 |
46 | 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 | 36 |
47 | 2009 | Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202. Full description at Econpapers || Download paper | 35 |
48 | 2001 | Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo. In: Papers. RePEc:arx:papers:cond-mat/0105191. Full description at Econpapers || Download paper | 34 |
49 | 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 | 34 |
50 | 2014 | A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers || Download paper | 34 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers || Download paper | 114 |
2 | 2002 | On the coherence of Expected Shortfall. (2002). Acerbi, Carlo. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers || Download paper | 78 |
3 | 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 | 64 |
4 | 2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers || Download paper | 56 |
5 | 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 | 51 |
6 | 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 | 45 |
7 | 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 | 40 |
8 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers || Download paper | 40 |
9 | 2004 | Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers || Download paper | 37 |
10 | 2009 | Colloquium: Statistical mechanics of money, wealth, and income. (2009). Rosser, Barkley ; Yakovenko, Victor M.. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers || Download paper | 36 |
11 | 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 | 36 |
12 | 2009 | The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers || Download paper | 35 |
13 | 2014 | A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers || Download paper | 34 |
14 | 2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | 34 |
15 | 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 | 31 |
16 | 2006 | A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108. Full description at Econpapers || Download paper | 29 |
17 | 2011 | Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele . In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers || Download paper | 28 |
18 | 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 | 28 |
19 | 2011 | The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers || Download paper | 27 |
20 | 2014 | Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002. Full description at Econpapers || Download paper | 26 |
21 | 1999 | Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers || Download paper | 25 |
22 | 2007 | Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers || Download paper | 24 |
23 | 2009 | Market impact and trading profile of large trading orders in stock markets. (2009). Mantegna, Rosario ; Gerig, Austin ; Farmer, J. ; Moyano, Luis G. ; Vicente, Javier ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban . In: Papers. RePEc:arx:papers:0908.0202. Full description at Econpapers || Download paper | 23 |
24 | 2012 | Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; BarunÃÂk, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1201.1535. Full description at Econpapers || Download paper | 22 |
25 | 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 | 22 |
26 | 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 | 22 |
27 | 2013 | Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes. (2013). Veraart, Almut ; Almut E. D. Veraart, ; Barndorff-Nielsen, Ole E. ; Benth, Fred Espen . In: Papers. RePEc:arx:papers:1307.6332. Full description at Econpapers || Download paper | 21 |
28 | 2003 | Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012. Full description at Econpapers || Download paper | 21 |
29 | 2012 | Quantifying reflexivity in financial markets: towards a prediction of flash crashes. (2012). Sornette, Didier ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1201.3572. Full description at Econpapers || Download paper | 21 |
30 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0312703. Full description at Econpapers || Download paper | 21 |
31 | 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 | 21 |
32 | 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 | 20 |
33 | 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 | 20 |
34 | 2012 | Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele . In: Papers. RePEc:arx:papers:1210.3811. Full description at Econpapers || Download paper | 19 |
35 | 2004 | The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233. Full description at Econpapers || Download paper | 19 |
36 | 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 | 19 |
37 | 1999 | The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers || Download paper | 19 |
38 | 2013 | The multiplex structure of interbank networks. (2013). di Iasio, Giovanni ; Bargigli, Leonardo ; Lillo, Fabrizio ; Infante, Luigi ; Pierobon, Federico . In: Papers. RePEc:arx:papers:1311.4798. Full description at Econpapers || Download paper | 19 |
39 | 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 | 18 |
40 | 2013 | Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation. (2013). Stanley, Eugene H. ; Huang, Xuqing ; Havlin, Shlomo ; Vodenska, Irena . In: Papers. RePEc:arx:papers:1210.4973. Full description at Econpapers || Download paper | 18 |
41 | 2000 | Taxonomy of Stock Market Indices. (2000). Mantegna, Rosario ; Bonanno, Giovanni ; van de Walle, Nicolas ; Vandewalle, Nicolas . In: Papers. RePEc:arx:papers:cond-mat/0001268. Full description at Econpapers || Download paper | 17 |
42 | 2010 | Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego . In: Papers. RePEc:arx:papers:0908.1879. Full description at Econpapers || Download paper | 17 |
43 | 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 | 17 |
44 | 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 | 17 |
45 | 2004 | The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:cond-mat/0311053. Full description at Econpapers || Download paper | 17 |
46 | 2013 | Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Papers. RePEc:arx:papers:1012.0349. Full description at Econpapers || Download paper | 16 |
47 | 2015 | Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435. Full description at Econpapers || Download paper | 16 |
48 | 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 | 16 |
49 | 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 | 15 |
50 | 2013 | A Mathematical Approach to Order Book Modeling. (2013). Jedidi, Aymen ; Abergel, Frederic . In: Papers. RePEc:arx:papers:1010.5136. Full description at Econpapers || Download paper | 15 |
Year | Title | |
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2015 | Consumption investment optimization with Epstein-Zin utility in incomplete markets. (2015). Xing, Hao . In: Papers. RePEc:arx:papers:1501.04747. Full description at Econpapers || Download paper | |
2015 | LSV models with stochastic interest rates and correlated jumps. (2015). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460. Full description at Econpapers || Download paper | |
2015 | Higher order elicitability and Osbands principle. (2015). Ziegel, Johanna F. ; Fissler, Tobias . In: Papers. RePEc:arx:papers:1503.08123. Full description at Econpapers || Download paper | |
2015 | Quantum Gates and Quantum Circuits of Stock Portfolio. (2015). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1507.02310. Full description at Econpapers || Download paper | |
2015 | Dynamic indifference pricing via the G-expectation. (2015). Lin, Qian . In: Papers. RePEc:arx:papers:1503.08628. Full description at Econpapers || Download paper | |
2015 | Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model. (2015). Doko Tchatoka, Firmin ; Sriananthakumar, Sivagowry ; Tchakota, Firmin Doko ; Fard, Farzad Alavi . In: School of Economics Working Papers. RePEc:adl:wpaper:2015-17. Full description at Econpapers || Download paper | |
2015 | Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models. (2015). Liang, Gechun ; Zariphopoulou, Thaleia . In: Papers. RePEc:arx:papers:1511.04863. Full description at Econpapers || Download paper | |
2015 | Incentive-based demand response programs designed by asset-light retail electricity providers for the day-ahead market. (2015). Fotouhi Ghazvini, Mohammad Ali, ; Vale, Zita ; Ramos, Sergio ; Faria, Pedro ; Morais, Hugo . In: Energy. RePEc:eee:energy:v:82:y:2015:i:c:p:786-799. Full description at Econpapers || Download paper | |
2015 | Development of a three-phase battery energy storage scheduling and operation system for low voltage distribution networks. (2015). Bennett, Christopher J. ; Stewart, Rodney A. ; Lu, Jun Wei . In: Applied Energy. RePEc:eee:appene:v:146:y:2015:i:c:p:122-134. Full description at Econpapers || Download paper | |
2015 | A study on planning for interconnected renewable energy facilities in Hokkaido, Japan. (2015). Morel, Jorge ; Ito, Yuzi ; Utsugi, Yuta ; Obara, Shinya ; Okada, Masaki . In: Applied Energy. RePEc:eee:appene:v:146:y:2015:i:c:p:313-327. Full description at Econpapers || Download paper | |
2015 | Smart households: Dispatch strategies and economic analysis of distributed energy storage for residential peak shaving. (2015). Meinrenken, Christoph J. ; Zheng, Menglian ; Lackner, Klaus S.. In: Applied Energy. RePEc:eee:appene:v:147:y:2015:i:c:p:246-257. Full description at Econpapers || Download paper | |
2015 | Storage-like devices in load leveling: Complementarity constraints and a new and exact relaxation method. (2015). Guo, Qinglai ; Wang, Jianhui ; Sun, Hongbin ; Li, Zhengshuo . In: Applied Energy. RePEc:eee:appene:v:151:y:2015:i:c:p:13-22. Full description at Econpapers || Download paper | |
2015 | Incomplete stochastic equilibria with exponential utilities close to Pareto optimality. (2015). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao . In: Papers. RePEc:arx:papers:1505.07224. Full description at Econpapers || Download paper | |
2015 | On a class of generalized Takagi functions with linear pathwise quadratic variation. (2015). Schied, Alexander . In: Papers. RePEc:arx:papers:1501.00837. Full description at Econpapers || Download paper | |
2015 | Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1506.06180. Full description at Econpapers || Download paper | |
2015 | Shadow prices for continuous processes. (2015). Czichowsky, Christoph ; Schachermayer, Walter ; Yang, Junjian . In: Papers. RePEc:arx:papers:1408.6065. Full description at Econpapers || Download paper | |
2015 | Gold, currencies and market efficiency. (2015). Krištoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1510.08615. Full description at Econpapers || Download paper | |
2015 | The impact of systemic and illiquidity risk on financing with risky collateral. (2015). Pirino, Davide ; Lillo, Fabrizio . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:180-202. Full description at Econpapers || Download paper | |
2015 | To bail-out or to bail-in? Answers from an agent-based model. (2015). Farmer, Doyne J. ; Thurner, Stefan ; Poledna, Sebastian ; Klimek, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:144-154. Full description at Econpapers || Download paper | |
2015 | The future of agent-based modelling.. (2015). Richiardi, Matteo. In: LABORatorio R. Revelli Working Papers Series. RePEc:cca:wplabo:141. Full description at Econpapers || Download paper | |
2015 | The future of agent-based modelling.. (2015). Richiardi, Matteo. In: Economics Papers. RePEc:nuf:econwp:1506. Full description at Econpapers || Download paper | |
2015 | A Third Wave in the Economics of Climate Change. (2015). Hepburn, Cameron ; Farmer, J ; Teytelboym, Alexander ; Mealy, Penny . In: Environmental & Resource Economics. RePEc:kap:enreec:v:62:y:2015:i:2:p:329-357. Full description at Econpapers || Download paper | |
2015 | The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Martinez-Jaramillo, Serafin ; Poledna, Sebastian . In: Journal of Financial Stability. RePEc:eee:finsta:v:20:y:2015:i:c:p:70-81. Full description at Econpapers || Download paper | |
2015 | Heterogeneity and Clustering of Defaults. (2015). Karlis, Alexandros ; Turner, Matthew ; Terovitis, Spyridon ; Galanis, Giorgos . In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1083. Full description at Econpapers || Download paper | |
2015 | Hedging against Risk in a Heterogeneous Leveraged Market. (2015). Karlis, Alexandros ; Terovitis, Spyridon ; Turner, Matthew ; Galanis, Giorgos . In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1084. Full description at Econpapers || Download paper | |
2015 | Portfolio selection with independent component analysis. (2015). Mercuri, Lorenzo ; Rroji, Edit ; Hitaj, Asmerilda . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:146-159. Full description at Econpapers || Download paper | |
2015 | Tipping points in macroeconomic agent-based models. (2015). Zamponi, Francesco ; Gualdi, Stanislao ; Tarzia, Marco ; Bouchaud, Jean-Philippe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:29-61. Full description at Econpapers || Download paper | |
2015 | On the emergence of scale-free production networks. (2015). Mandel, Antoine ; Gualdi, Stanislao . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01179134. Full description at Econpapers || Download paper | |
2015 | On the emergence of scale-free production networks. (2015). Mandel, Antoine ; Gualdi, Stanislao . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15060. Full description at Econpapers || Download paper | |
2015 | Pricing of high-dimensional options. (2015). Kushpel, Alexander . In: Papers. RePEc:arx:papers:1510.07221. Full description at Econpapers || Download paper | |
2015 | Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARs. (2015). Gnabo, Jean-Yves ; Geraci, Marco Valerio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/222092. Full description at Econpapers || Download paper | |
2015 | Representation and approximation of ambit fields in Hilbert space. (2015). Benth, Fred Espen ; Eyjolfsson, Heidar . In: Papers. RePEc:arx:papers:1509.08272. Full description at Econpapers || Download paper | |
2015 | Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models. (2015). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1512.05983. Full description at Econpapers || Download paper | |
2015 | Nonparametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca. In: Working Papers. RePEc:mib:wpaper:293. Full description at Econpapers || Download paper | |
2015 | Non Parametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1502.03978. Full description at Econpapers || Download paper | |
2015 | Contour map of estimation error for Expected Shortfall. (2015). Kondor, Imre ; Caccioli, Fabio ; Marsili, Matteo ; Papp, G'Abor . In: Papers. RePEc:arx:papers:1502.06217. Full description at Econpapers || Download paper | |
2015 | Why is equity order flow so persistent?. (2015). Toth, Bence ; Palit, Imon ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:51:y:2015:i:c:p:218-239. Full description at Econpapers || Download paper | |
2015 | Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1409.8497. Full description at Econpapers || Download paper | |
2015 | Microfounded forecasting. (2015). Issler, João ; Gaglianone, Wagner. In: Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:766. Full description at Econpapers || Download paper | |
2015 | Improving Australias renewable energy project policy and planning: A multiple stakeholder analysis. (2015). Martin, Nigel ; Rice, John . In: Energy Policy. RePEc:eee:enepol:v:84:y:2015:i:c:p:128-141. Full description at Econpapers || Download paper | |
2015 | Investment in new tungsten mining projects. (2015). Sanchez, Ana Suarez ; de Cos, Javier F ; Lasheras, Fernando Sanchez ; Iglesias, Francisco J ; Fernandez, Pedro Riesgo ; Krzemie, Alicja . In: Resources Policy. RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:177-190. Full description at Econpapers || Download paper | |
2015 | Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices. (2015). Bayraktar, Erhan ; Yu, Xiang . In: Papers. RePEc:arx:papers:1504.00310. Full description at Econpapers || Download paper | |
2015 | Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics. (2015). Hu, Jun ; Kanniainen, Juho . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:1-10. Full description at Econpapers || Download paper | |
2015 | Leveraged {ETF} implied volatilities from {ETF} dynamics. (2015). Pascucci, Andrea ; Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.6792. Full description at Econpapers || Download paper | |
2015 | Indifference prices and implied volatilities. (2015). Lorig, Matthew . In: Papers. RePEc:arx:papers:1412.5520. Full description at Econpapers || Download paper | |
2015 | Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers || Download paper | |
2015 | Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process. (2015). . In: Papers. RePEc:arx:papers:1504.06235. Full description at Econpapers || Download paper | |
2015 | Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. (2015). Fiedor, PaweÅ ; You, Tao . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:266-284:d:50474. Full description at Econpapers || Download paper | |
2015 | Multiscale Analysis of the Predictability of Stock Returns. (2015). Fiedor, PaweÅ. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:2:p:219-233:d:50807. Full description at Econpapers || Download paper | |
2015 | The Effects of Bankruptcy on the Structural Complexity of the Price Changes on WSE. (2015). Fiedor, PaweÅ. In: Ekonomia journal. RePEc:eko:ekoeko:41_59. Full description at Econpapers || Download paper | |
2015 | A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius . In: Papers. RePEc:arx:papers:1412.4503. Full description at Econpapers || Download paper | |
2015 | Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights. (2015). Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1503.06704. Full description at Econpapers || Download paper | |
2015 | Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models. (2015). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea . In: Papers. RePEc:arx:papers:1509.02686. Full description at Econpapers || Download paper | |
2015 | Enhanced Gravity Model of trade: reconciling macroeconomic and network models. (2015). Almog, Assaf ; Garlaschelli, Diego ; Bird, Rhys . In: Papers. RePEc:arx:papers:1506.00348. Full description at Econpapers || Download paper | |
2015 | VWAP Execution as an Optimal Strategy. (2015). Kato, Takashi . In: Papers. RePEc:arx:papers:1408.6118. Full description at Econpapers || Download paper | |
2015 | A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi . In: Papers. RePEc:arx:papers:1502.04521. Full description at Econpapers || Download paper | |
2015 | Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact. (2015). Ishitani, Kensuke ; Kato, Takashi . In: Papers. RePEc:arx:papers:1506.02789. Full description at Econpapers || Download paper | |
2015 | On minimizing drawdown risks of lifetime investments. (2015). Chen, Xinfu ; Li, Dongchen ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:46-54. Full description at Econpapers || Download paper | |
2015 | Essays on intertemporal consumption and portfolio choice. (2015). van Bilsen, Servaas . In: Other publications TiSEM. RePEc:tiu:tiutis:3475a3c2-b85d-404f-8b5d-21027bb1a085. Full description at Econpapers || Download paper | |
2015 | Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers || Download paper | |
2015 | Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers || Download paper | |
2015 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | |
2015 | Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1505.04936. Full description at Econpapers || Download paper | |
2015 | Relative income position and happiness: are cabinet supporters different from others in Japan?. (2015). Yamamura, Eiji ; Tsutsui, Yoshiro ; Ohtake, Fumio. In: ISER Discussion Paper. RePEc:dpr:wpaper:0921. Full description at Econpapers || Download paper | |
2015 | Coherent CVA and FVA with Liability Side Pricing of Derivatives. (2015). Lou, Wujiang . In: Papers. RePEc:arx:papers:1510.07199. Full description at Econpapers || Download paper | |
2015 | Social signals and algorithmic trading of Bitcoin. (2015). Schweitzer, Frank ; Garcia, David . In: Papers. RePEc:arx:papers:1506.01513. Full description at Econpapers || Download paper | |
2015 | Elicitable distortion risk measures: A concise proof. (2015). Ziegel, Johanna F. ; Wang, Ruodu . In: Statistics & Probability Letters. RePEc:eee:stapro:v:100:y:2015:i:c:p:172-175. Full description at Econpapers || Download paper | |
2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | |
2015 | Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (2015). Gonzalez, Alfredo L. ; Sebastian. E. Ferrando, ; Rahsepar, Massoome ; Degano, Ivan L.. In: Papers. RePEc:arx:papers:1407.1769. Full description at Econpapers || Download paper | |
2015 | Nonparametric change-point analysis of volatility. (2015). Bibinger, Markus ; Jirak, Moritz ; Vetter, Mathias . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-008. Full description at Econpapers || Download paper | |
2015 | Short-time at-the-money skew and rough fractional volatility. (2015). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1501.06980. Full description at Econpapers || Download paper | |
2015 | Black-Scholes in a CEV random environment: a new approach to smile modelling. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers || Download paper | |
2015 | Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model. (2015). Meudt, Frederik ; Guhr, Thomas ; Schmitt, Thilo A. ; Schafer, Rudi . In: Papers. RePEc:arx:papers:1502.01125. Full description at Econpapers || Download paper | |
2015 | Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Musciotto, Federico ; Mantegna, Rosario N ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers || Download paper | |
2015 | Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators. (2015). al Gerbi, Anis ; Cl, Emmanuelle . In: Papers. RePEc:arx:papers:1508.06492. Full description at Econpapers || Download paper | |
2015 | The Principal-Agent Problem With Time Inconsistent Utility Functions. (2015). Djehiche, Boualem ; Helgesson, Peter . In: Papers. RePEc:arx:papers:1503.05416. Full description at Econpapers || Download paper | |
2015 | Combining Alphas via Bounded Regression. (2015). Kakushadze, Zura . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:474-490:d:58313. Full description at Econpapers || Download paper | |
2015 | Correctness of Backtest Engines. (2015). Low, Robert . In: Papers. RePEc:arx:papers:1509.08248. Full description at Econpapers || Download paper | |
2015 | Flow distances on open flow networks. (2015). Guo, Liangzhu ; Zhang, Jiang ; Huang, Xiaohan ; Wang, Jun ; Shi, Peiteng ; Lou, Xiaodan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:437:y:2015:i:c:p:235-248. Full description at Econpapers || Download paper | |
2015 | Oil price uncertainty and sectoral stock returns in China: A time-varying approach. (2015). Spagnolo, Nicola ; Menla Ali, Faek ; Caporale, Guglielmo Maria. In: China Economic Review. RePEc:eee:chieco:v:34:y:2015:i:c:p:311-321. Full description at Econpapers || Download paper | |
2015 | Eurozone bank resolution and Bail-In - Intervention, triggers and writedowns. (2015). cotter, john ; Conlon, Thomas . In: Working Papers. RePEc:ucd:wpaper:201501. Full description at Econpapers || Download paper | |
2015 | Extension and calibration of a Hawkes-based optimal execution model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1506.08740. Full description at Econpapers || Download paper | |
2015 | Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers || Download paper | |
2015 | LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Working Papers. RePEc:hal:wpaper:hal-01121711. Full description at Econpapers || Download paper | |
2015 | LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Post-Print. RePEc:hal:journl:hal-01121711. Full description at Econpapers || Download paper | |
2015 | Dynamical system theory of periodically collapsing bubbles. (2015). Yukalov, V I ; Sornette, D ; Yukalova, E P. In: Papers. RePEc:arx:papers:1507.05311. Full description at Econpapers || Download paper | |
2015 | Network Effects of International Shocks and Spillovers. (2015). Kireyev, Alexei ; Leonidov, Andrei . In: IMF Working Papers. RePEc:imf:imfwpa:15/149. Full description at Econpapers || Download paper | |
2015 | . Full description at Econpapers || Download paper | |
2015 | Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization. (2015). Shevchenko, Pavel V.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:5-15. Full description at Econpapers || Download paper | |
2015 | Variable Annuity with GMWB: surrender or not, that is the question. (2015). Shevchenko, Pavel . In: Papers. RePEc:arx:papers:1507.08738. Full description at Econpapers || Download paper | |
2015 | Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756. Full description at Econpapers || Download paper | |
2015 | Prediction in complex systems: The case of the international trade network. (2015). Zeng, AN ; Medo, Matu ; Vidmer, Alexandre . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:436:y:2015:i:c:p:188-199. Full description at Econpapers || Download paper | |
2015 | From innovation to diversification: a simple competitive model. (2015). Di Clemente, Riccardo ; Pietronero, Luciano ; Gabrielli, Andrea ; Saracco, Fabio . In: Papers. RePEc:arx:papers:1508.03571. Full description at Econpapers || Download paper | |
2015 | Complex economies have a lateral escape from the poverty trap. (2015). Pugliese, Emanuele ; Pietronero, Luciano ; Zaccaria, Andrea ; Chiarotti, Guido L. In: Papers. RePEc:arx:papers:1511.08622. Full description at Econpapers || Download paper | |
2015 | Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers || Download paper | |
2015 | Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo . In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers || Download paper | |
2015 | Multi-scaling of moments in stochastic volatility models. (2015). Pra, Dai P ; Pigato, P. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3725-3747. Full description at Econpapers || Download paper | |
2015 | Return spillovers around the globe: A network approach. (2015). Výrost, Tomᚠ; Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Stefan . In: Papers. RePEc:arx:papers:1507.06242. Full description at Econpapers || Download paper | |
2015 | Assessing policy options for the EU Cohesion Policy 2014-2020. (2015). Potters, Lesley ; Persyn, Damiaan ; Lopez-Rodriguez, Jesus ; Kancs, d'Artis ; Diukanova, Olga ; Di Comite, Francesco ; LoPEZRODRiGUEZ, JESuS ; Brandsma, Andries . In: JRC Working Papers. RePEc:ipt:iptwpa:jrc94645. Full description at Econpapers || Download paper | |
2015 | Macro-Economic Models for R&D and Innovation Policies - A Comparison of QUEST, RHOMOLO, GEM-E3 and NEMESIS. (2015). Kancs, d'Artis ; Di Comite, Francesco. In: JRC Working Papers. RePEc:ipt:iptwpa:jrc94323. Full description at Econpapers || Download paper | |
2015 | Economics as energy framework: Complexity, turbulence, financial crises, and protectionism. (2015). Rutledge, John . In: Review of Financial Economics. RePEc:eee:revfin:v:25:y:2015:i:c:p:10-18. Full description at Econpapers || Download paper | |
2015 | Convex duality with transaction costs. (2015). Soner, Mete H. ; Dolinsky, Yan . In: Papers. RePEc:arx:papers:1502.01735. Full description at Econpapers || Download paper | |
2015 | Dirac Processes and Default Risk. (2015). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1504.04581. Full description at Econpapers || Download paper | |
2015 | Central Clearing Valuation Adjustment. (2015). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169. Full description at Econpapers || Download paper | |
2015 | Which measure for PFE? The Risk Appetite Measure, A. (2015). Kenyon, Chris ; Berrahoui, Mourad ; Green, Andrew . In: Papers. RePEc:arx:papers:1512.06247. Full description at Econpapers || Download paper | |
2015 | Ecological barriers and convergence: a note on geometry in spatial growth models. (2015). Fabbri, Giorgio. In: Working Papers. RePEc:hal:wpaper:hal-01159253. Full description at Econpapers || Download paper | |
2015 | A survey of quantum-like approaches to decision making and cognition. (2015). ASHTIANI, MEHRDAD ; AZGOMI, MOHAMMAD ABDOLLAHI . In: Mathematical Social Sciences. RePEc:eee:matsoc:v:75:y:2015:i:c:p:49-80. Full description at Econpapers || Download paper | |
2015 | Economic inequality and mobility in kinetic models for social sciences. (2015). Modanese, Giovanni ; Bertotti, Maria Letizia . In: Papers. RePEc:arx:papers:1504.03232. Full description at Econpapers || Download paper | |
2015 | The Robust Merton Problem of an Ambiguity Averse Investor. (2015). Pinar, Mustafa ; Biagini, Sara . In: Papers. RePEc:arx:papers:1502.02847. Full description at Econpapers || Download paper | |
2015 | Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price. (2015). Ma, Feng ; Wei, YU ; Zhuang, Xiaoyang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:430:y:2015:i:c:p:101-113. Full description at Econpapers || Download paper | |
2015 | WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:p:1550005-1-1550005-34. Full description at Econpapers || Download paper | |
2015 | Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers || Download paper | |
2015 | Time homogeneous diffusion with drift and killing to meet a given marginal. (2015). Noble, John M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:4:p:1500-1540. Full description at Econpapers || Download paper | |
2015 | Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield. (2015). Gnoatto, Alessandro ; Hartel, Maximilian ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1311.0688. Full description at Econpapers || Download paper | |
2015 | Influence in commodity markets: Measuring coâmovement globally. (2015). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:45:y:2015:i:c:p:151-164. Full description at Econpapers || Download paper | |
2015 | Non-concave utility maximisation on the positive real axis in discrete time. (2015). Rodrigues, Andrea M. ; Mikl'os R'asonyi, ; Carassus, Laurence . In: Papers. RePEc:arx:papers:1501.03123. Full description at Econpapers || Download paper | |
2015 | High and low or close to close prices? Evidence from the multifractal volatility. (2015). Ma, Feng ; Liu, Zhichao ; Long, Yujia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:427:y:2015:i:c:p:50-61. Full description at Econpapers || Download paper | |
2015 | Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach. (2015). da Silva Filho, Aloisio Machado, ; Nunes de Castro, Arleys Pereira, ; Miranda, Jose Garcia Vivas, ; Leão Pereira, eder Johnson de Area, ; Zebende, Gilney Figueira . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:424:y:2015:i:c:p:124-129. Full description at Econpapers || Download paper | |
2015 | Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle. (2015). Caporin, Massimiliano ; Hammoudeh, Shawkat ; Khalifa, Ahmed . In: Energy Policy. RePEc:eee:enepol:v:87:y:2015:i:c:p:72-82. Full description at Econpapers || Download paper | |
2015 | Capital adequacy tests and limited liability of financial institutions. (2015). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:51:y:2015:i:c:p:93-102. Full description at Econpapers || Download paper | |
2015 | Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs. (2015). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco . In: Papers. RePEc:arx:papers:1506.00686. Full description at Econpapers || Download paper | |
2015 | Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. (2015). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1502.05442. Full description at Econpapers || Download paper | |
2015 | The interaction between monetary and macroprudential policy: Should central banks lean against the wind to foster macrofinancial stability?. (2015). Krug, Sebastian. In: Economics Working Papers. RePEc:zbw:cauewp:201508. Full description at Econpapers || Download paper | |
2015 | On statistical indistinguishability of complete and incomplete discrete time market models. (2015). Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1505.00638. Full description at Econpapers || Download paper | |
2015 | High-order compact schemes for Black-Scholes basket options. (2015). During, Bertram ; Heuer, Christof . In: Papers. RePEc:arx:papers:1505.07613. Full description at Econpapers || Download paper | |
2015 | High-order ADI scheme for option pricing in stochastic volatility models. (2015). During, Bertram ; Miles, James . In: Papers. RePEc:arx:papers:1512.02529. Full description at Econpapers || Download paper | |
2015 | General indifference pricing with small transaction costs. (2015). Possamai, Dylan ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1401.3261. Full description at Econpapers || Download paper | |
2015 | Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers || Download paper | |
2015 | Mid-term interval load forecasting using multi-output support vector regression with a memetic algorithm for feature selection. (2015). Hu, Zhongyi ; Xiong, Tao ; Chiong, Raymond ; Bao, Yukun . In: Energy. RePEc:eee:energy:v:84:y:2015:i:c:p:419-431. Full description at Econpapers || Download paper | |
2015 | Emergence of a core-periphery structure in a simple dynamic model of the interbank market. (2015). Lux, Thomas . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:52:y:2015:i:c:p:a11-a23. Full description at Econpapers || Download paper | |
2015 | Agent-based model with multi-level herding for complex financial systems. (2015). Zheng, BO ; Tan, Lei ; Chen, Jun-Jie . In: Papers. RePEc:arx:papers:1504.01811. Full description at Econpapers || Download paper | |
2015 | Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects. (2015). ausloos, marcel ; Ileanu, B. ; Rotundo, G. ; Herteliu, C.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:429:y:2015:i:c:p:109-117. Full description at Econpapers || Download paper | |
2015 | Multifractal cross-correlation analysis in electricity spot market. (2015). Li, Dan ; Fan, Qingju . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:429:y:2015:i:c:p:17-27. Full description at Econpapers || Download paper | |
2015 | Interactions between financial and environmental networks in OECD countries. (2015). Ticci, Elisa ; Joseph, Andreas ; Gabbi, Giampaolo ; Vozzella, Pietro ; Ruzzenenti, Franco . In: Papers. RePEc:arx:papers:1501.04992. Full description at Econpapers || Download paper | |
2015 | Financial Models with Defaultable Numéraires. (2015). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01240736. Full description at Econpapers || Download paper | |
2015 | On the Measurement of Economic Tail Risk. (2015). Kou, Steven ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1401.4787. Full description at Econpapers || Download paper | |
2015 | What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645. Full description at Econpapers || Download paper | |
2015 | On multivariate extensions of the conditional Value-at-Risk measure. (2015). Di Bernardino, E. ; Rodriguez-Griolo, M. R. ; Fernandez-Ponce, J. M. ; Palacios-Rodriguez, F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:1-16. Full description at Econpapers || Download paper | |
2015 | Reducing model risk via positive and negative dependence assumptions. (2015). Puccetti, Giovanni ; Bignozzi, Valeria ; Ruschendorf, Ludger . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:17-26. Full description at Econpapers || Download paper | |
2015 | Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach. (2015). TANKOV, PETER ; Cai, Jiatu ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1510.04295. Full description at Econpapers || Download paper | |
2015 | Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case. (2015). Bayraktar, Erhan ; Promislow, David ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1503.02237. Full description at Econpapers || Download paper | |
2015 | Minimizing Lifetime Poverty with a Penalty for Bankruptcy. (2015). Young, Virginia R. In: Papers. RePEc:arx:papers:1509.01694. Full description at Econpapers || Download paper | |
2015 | Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption. (2015). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1508.01914. Full description at Econpapers || Download paper | |
2015 | The study of RMB exchange rate complex networks based on fluctuation mode. (2015). Yao, Can-Zhong ; Liu, Xiao-Feng ; Zheng, Xu-Zhou ; Lin, Ji-Nan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:436:y:2015:i:c:p:359-376. Full description at Econpapers || Download paper | |
2015 | Nonlinear GARCH model and 1/f noise. (2015). Kononovicius, A. ; Ruseckas, J.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:427:y:2015:i:c:p:74-81. Full description at Econpapers || Download paper | |
2015 | Nonlinear GARCH model and 1/f noise. (2015). Kononovicius, Aleksejus ; Ruseckas, Julius . In: Papers. RePEc:arx:papers:1412.6244. Full description at Econpapers || Download paper | |
2015 | On the Hawkes Process with Different Exciting Functions. (2015). Mehrdad, Behzad ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1403.0994. Full description at Econpapers || Download paper | |
2015 | A new perspective on the fundamental theorem of asset pricing for large financial markets. (2015). Cuchiero, Christa ; Klein, Irene . In: Papers. RePEc:arx:papers:1412.7562. Full description at Econpapers || Download paper | |
2015 | Feynman-Kac formula for L\evy processes with discontinuous killing rate. (2015). Glau, Kathrin . In: Papers. RePEc:arx:papers:1502.07531. Full description at Econpapers || Download paper | |
2015 | Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity. (2015). Jos'e E. Figueroa-L'opez, ; Luo, Yankeng . In: Papers. RePEc:arx:papers:1505.04459. Full description at Econpapers || Download paper | |
2015 | Whats in a ball? Constructing and characterizing uncertainty sets. (2015). Kruse, Thomas ; Schweizer, Nikolaus ; Schneider, Judith C. In: Papers. RePEc:arx:papers:1510.01675. Full description at Econpapers || Download paper | |
2015 | Robust measurement of (heavy-tailed) risks: Theory and implementation. (2015). Schweizer, Nikolaus ; Schneider, Judith C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:183-203. Full description at Econpapers || Download paper | |
2015 | Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers || Download paper | |
2015 | The Model Confidence Set package for R. (2015). Catania, Leopoldo ; Bernardi, Mauro . In: CEIS Research Paper. RePEc:rtv:ceisrp:362. Full description at Econpapers || Download paper | |
2015 | Adding value to the decision-making process of mega projects: Fostering strategic ambiguity, redundancy, and resilience. (2015). Giezen, Mendel ; Bertolini, Luca ; Salet, Willem . In: Transport Policy. RePEc:eee:trapol:v:44:y:2015:i:c:p:169-178. Full description at Econpapers || Download paper | |
2015 | In Search of âGoodâ Energy Policy: The Social Limits to Technological Solutions to Energy and Climate Problems. (2015). Pollitt, Michael. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1537. Full description at Econpapers || Download paper | |
2015 | Were the Hydro Dams Financed by the World Bank from 1976 to 2005 Worthwhile?. (2015). Jenkins, Glenn ; Awojobi, Omotola . In: Development Discussion Papers. RePEc:qed:dpaper:274. Full description at Econpapers || Download paper | |
2015 | Rent seizing and environmental concerns: A parametric valuation of the Italian hydropower sector. (2015). Pontoni, Federico ; Massarutto, Antonio. In: Energy Policy. RePEc:eee:enepol:v:78:y:2015:i:c:p:31-40. Full description at Econpapers || Download paper | |
2015 | Hydropower, social priorities and the ruralâurban development divide: The case of large dams in Cambodia. (2015). Siciliano, Giuseppina ; Lonn, Pich Dara ; Kim, Sour ; Urban, Frauke . In: Energy Policy. RePEc:eee:enepol:v:86:y:2015:i:c:p:273-285. Full description at Econpapers || Download paper | |
2015 | Were the hydro dams financed by the World Bank from 1976 to 2005 worthwhile?. (2015). Jenkins, Glenn ; Awojobi, Omotola . In: Energy Policy. RePEc:eee:enepol:v:86:y:2015:i:c:p:222-232. Full description at Econpapers || Download paper | |
2015 | Pumped-storage project: A short to long term investment analysis including climate change. (2015). Gaudard, Ludovic . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:49:y:2015:i:c:p:91-99. Full description at Econpapers || Download paper | |
2015 | Managing the Cost Overrun Risks of Hydroelectric Dams: An Application of Reference Class Forecasting Techniques. (2015). Jenkins, Glenn ; Awojobi, Omotola . In: Development Discussion Papers. RePEc:qed:dpaper:278. Full description at Econpapers || Download paper | |
2015 | The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large. (2015). Sunstein, Cass ; Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1509.01526. Full description at Econpapers || Download paper | |
2015 | Water Storage Capacities versus Water Use Efficiency: Substitutes or Complements?. (2015). Zilberman, David ; Xie, Yang . In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:205439. Full description at Econpapers || Download paper | |
2015 | Measuring Economic Cost of Electricity Shortage: Current Challenges and Future Prospects in Pakistan. (2015). Shahbaz, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:67164. Full description at Econpapers || Download paper | |
2015 | The status quo analysis and policy suggestions on promoting China׳s hydropower development. (2015). Li, Yun ; Yang, Jing ; Ji, Pengfei . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:51:y:2015:i:c:p:1071-1079. Full description at Econpapers || Download paper | |
2015 | Power plants as megaprojects: Using empirics to shape policy, planning, and construction management. (2015). Brookes, Naomi J ; Locatelli, Giorgio . In: Utilities Policy. RePEc:eee:juipol:v:36:y:2015:i:c:p:57-66. Full description at Econpapers || Download paper | |
2015 | Damming the Commons: An Empirical Analysis of International Cooperation and Conflict in Dam Location. (2015). Sigman, Hilary ; Olmstead, Sheila M. In: Journal of the Association of Environmental and Resource Economists. RePEc:ucp:jaerec:doi:10.1086/683205. Full description at Econpapers || Download paper | |
2015 | Interconnectedness and interdependencies of critical infrastructures in the US economy: Implications for resilience. (2015). Khanna, Vikas ; Chopra, Shauhrat S.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:436:y:2015:i:c:p:865-877. Full description at Econpapers || Download paper | |
2015 | Input-Output Networks and Growth Performances across Countries. (2015). Ertan Ozguzer, Gul ; Duman, Alper. In: Working Papers. RePEc:izm:wpaper:1504. Full description at Econpapers || Download paper | |
2015 | The relationship between the key sectors in the european union economy and the intra-European Union trade. (2015). Alatriste-Contreras, Martha . In: Journal of Economic Structures. RePEc:spr:jecstr:v:4:y:2015:i:1:p:1-24:10.1186/s40008-015-0024-5. Full description at Econpapers || Download paper | |
2015 | FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae. (2015). Moreni, Nicola ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1508.04321. Full description at Econpapers || Download paper | |
2015 | A Spectral Model of Turnover Reduction. (2015). Kakushadze, Zura . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:577-589:d:53387. Full description at Econpapers || Download paper | |
2015 | Sovereign public debt crisis in Europe. A network analysis. (2015). Gómez, David ; Ortega, Guillermo J. ; Matesanz, David . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:436:y:2015:i:c:p:756-766. Full description at Econpapers || Download paper | |
2015 | Does Bitcoin follow the hypothesis of efficient market?. (2015). Bartos, Jakub . In: International Journal of Economic Sciences. RePEc:sek:jijoes:v:4:y:2015:i:2:p:10-23. Full description at Econpapers || Download paper | |
2015 | What determines Bitcoins Value?. (2015). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal ; Olayeni, Olaolu Richard . In: Working Papers. RePEc:tac:wpaper:2014-2015_13. Full description at Econpapers || Download paper | |
2015 | Greece withdraws from Euro and runs on Bitcoin; April Fools Prank or Serious Possibility?. (2015). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:65317. Full description at Econpapers || Download paper | |
2015 | What Does Bitcoin Look Like?. (2015). Selmi, Refk ; bouoiyour, jamal. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:2:bouoiyour. Full description at Econpapers || Download paper | |
2015 | The issue of âtrueâ money in front of the BitCoins offensive. (2015). Rogojanu, Angela ; Badea, Liana . In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(602):y:2015:i:2(602):p:77-90. Full description at Econpapers || Download paper | |
2015 | The issue of âtrueâ money in front of the BitCoins offensive. (2015). Badea, Liana ; Rogojanu, Angela . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxii:y:2015:i:2(603):p:77-90. Full description at Econpapers || Download paper | |
2015 | Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA. (2015). de Lope Contreras, Fernando, ; Palomar Burdeus, Juan Esteban, ; Garcia Muñoz, Luis Manuel, . In: MPRA Paper. RePEc:pra:mprapa:62086. Full description at Econpapers || Download paper | |
2015 | Network linkages to predict bank distress. (2015). Peltonen, Tuomas ; Piloiu, Andreea ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151828. Full description at Econpapers || Download paper | |
2015 | Ending over-lending: assessing systemic risk with debt to cash flow. (2015). Sarlin, Peter ; Ramsay, Bruce A.. In: Working Paper Series. RePEc:ecb:ecbwps:20151769. Full description at Econpapers || Download paper | |
2015 | Mapping Heat in the U.S. Financial System. (2015). Warusawitharana, Missaka ; Lee, Seung Jung ; Kiley, Michael ; Aikman, David ; Palumbo, Michael G. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-59. Full description at Econpapers || Download paper | |
2015 | Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers || Download paper | |
2015 | Robust Fundamental Theorem for Continuous Processes. (2015). Bouchard, Bruno ; Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos . In: Papers. RePEc:arx:papers:1410.4962. Full description at Econpapers || Download paper | |
2015 | Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen . In: MPRA Paper. RePEc:pra:mprapa:66521. Full description at Econpapers || Download paper | |
2015 | Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals. (2015). Tavin, Bertrand . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:53:y:2015:i:c:p:158-178. Full description at Econpapers || Download paper | |
2015 | Rootâs barrier, viscosity solutions of obstacle problems and reflected FBSDEs. (2015). Gassiat, Paul ; Reis, Gonalo Dos ; Oberhauser, Harald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4601-4631. Full description at Econpapers || Download paper | |
2015 | Martingale optimal transport in the Skorokhod space. (2015). Soner, H. M. ; Dolinsky, Y.. In: Papers. RePEc:arx:papers:1404.1516. Full description at Econpapers || Download paper | |
2015 | Robust price bounds for the forward starting straddle. (2015). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:189-214. Full description at Econpapers || Download paper | |
2015 | On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan . In: Papers. RePEc:arx:papers:1503.02822. Full description at Econpapers || Download paper | |
2015 | Stochastic control for a class of nonlinear kernels and applications. (2015). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439. Full description at Econpapers || Download paper | |
2015 | Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931. Full description at Econpapers || Download paper | |
2015 | Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107. Full description at Econpapers || Download paper | |
2015 | Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics. (2015). Serrano, Rafael . In: Papers. RePEc:arx:papers:1411.1103. Full description at Econpapers || Download paper | |
2015 | Forecasting trends with asset prices. (2015). Bel Hadj Ayed, Ahmed ; Ahmed Bel Hadj Ayed, ; Loeper, Gr'Egoire ; Fr'ed'eric Abergel, . In: Papers. RePEc:arx:papers:1504.03934. Full description at Econpapers || Download paper | |
2015 | DOES SHORT TERM DEBT AFFECT PROFITABILITY? EVIDENCE FROM THE ROMANIAN LISTED COMPANIES. (2015). Raisa, Milos Laura ; Cristian, Milos Marius . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2015:v:6special:p:228-233. Full description at Econpapers || Download paper | |
2015 | Jump diffusion transition intensities in life insurance and disability annuity. (2015). Jang, Jiwook ; Mohd, Siti Norafidah . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:440-451. Full description at Econpapers || Download paper | |
2015 | Bayesian Estimation of Time-Changed Default Intensity Models. (2015). Gordy, Michael ; Szerszen, Pawel J.. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-02. Full description at Econpapers || Download paper | |
2015 | Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. (2015). Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:941-977. Full description at Econpapers || Download paper | |
2015 | Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints. (2015). Kaucic, Massimiliano ; Daris, Roberto . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:3:p:390-419:d:55820. Full description at Econpapers || Download paper | |
2015 | Taming the Basel Leverage Cycle. (2015). Aymanns, Christoph ; Vincent, ; Farmer, Doyne J ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1507.04136. Full description at Econpapers || Download paper | |
2015 | Taming the Basel leverage cycle. (2015). Aymanns, Christoph ; Vincent, ; Farmer, Doyne J ; Caccioli, Fabio . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:65089. Full description at Econpapers || Download paper | |
2015 | A Socio-Finance Model: Inference and empirical application. (2015). Andersen, Jorgen Vitting ; Galam, Serge ; Dellaportas, Petros ; Vrontos, Ioannis D. In: Post-Print. RePEc:hal:journl:halshs-01242248. Full description at Econpapers || Download paper | |
2015 | Iceland: Indexation of Credit and the Fairness Test in European Consumer Law. (2015). Mendez-Pinedo, M.. In: Journal of Consumer Policy. RePEc:kap:jcopol:v:38:y:2015:i:1:p:61-92. Full description at Econpapers || Download paper | |
2015 | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers || Download paper | |
2015 | Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1506.02507. Full description at Econpapers || Download paper | |
2015 | Simulation of Implied Volatility Surfaces via Tangent Levy Models. (2015). Carmona, Rene ; Ma, Yi ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1504.00334. Full description at Econpapers || Download paper | |
2015 | A noisy principal component analysis for forward rate curves. (2015). Laurini, Márcio ; Ohashi, Alberto . In: European Journal of Operational Research. RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153. Full description at Econpapers || Download paper | |
2015 | Universal laws of human societyâs income distribution. (2015). . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:435:y:2015:i:c:p:89-94. Full description at Econpapers || Download paper | |
2015 | DebtRank: A microscopic foundation for shock propagation. (2015). Caccioli, Fabio ; Battiston, Stefano ; Bardoscia, Marco ; Caldarelli, Guido . In: Papers. RePEc:arx:papers:1504.01857. Full description at Econpapers || Download paper | |
2015 | Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers || Download paper | |
2015 | Asymptotics for fixed transaction costs. (2015). Altarovici, Albert ; Muhle-Karbe, Johannes ; Soner, Halil . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:363-414. Full description at Econpapers || Download paper | |
2015 | Optimal liquidity provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2493-2515. Full description at Econpapers || Download paper | |
2015 | Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2015). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:47-60. Full description at Econpapers || Download paper | |
2015 | Reward-risk momentum strategies using classical tempered stable distribution. (2015). Mitov, Ivan ; Choi, Jae Hyung ; Kim, Young Shin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:194-213. Full description at Econpapers || Download paper | |
2015 | Non-Arbitrage Under Additional Information for Thin Semimartingale Models. (2015). Aksamit, Anna ; Choulli, Tahir ; Jeanblanc, Monique ; Deng, Jun . In: Papers. RePEc:arx:papers:1505.00997. Full description at Econpapers || Download paper | |
2015 | Mortality Risk Minimisation and Optional Martingale Representation Theorem for Enlarged Filtration. (2015). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1510.05858. Full description at Econpapers || Download paper | |
2015 | Market structure or tradersâ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation. (2015). Oriol, Nathalie ; Veryzhenko, Iryna . In: Working Papers. RePEc:hal:wpaper:halshs-01254435. Full description at Econpapers || Download paper | |
2015 | Market Structure or Traders Behaviour? An Assessment of Flash Crash Phenomena and their Regulation based on a Multi-agent Simulation. (2015). Oriol, Nathalie ; Veryzhenko, Iryna . In: GREDEG Working Papers. RePEc:gre:wpaper:2015-16. Full description at Econpapers || Download paper | |
2015 | A Cost of Production Model for Bitcoin. (2015). Hayes, Adam. In: Working Papers. RePEc:new:wpaper:1505. Full description at Econpapers || Download paper | |
2015 | Google searches and twitter mood: nowcasting telecom sales performance. (2015). Bughin, Jacques . In: Netnomics. RePEc:kap:netnom:v:16:y:2015:i:1:p:87-105. Full description at Econpapers || Download paper | |
2015 | The optimal corridor for implied volatility: From periods of calm to turmoil. (2015). Muzzioli, Silvia . In: Journal of Economics and Business. RePEc:eee:jebusi:v:81:y:2015:i:c:p:77-94. Full description at Econpapers || Download paper | |
2015 | Capital adequacy tests and limited liability of financial institutions. (2015). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:51:y:2015:i:c:p:93-102. Full description at Econpapers || Download paper | |
2015 | Robust measurement of (heavy-tailed) risks: Theory and implementation. (2015). Schweizer, Nikolaus ; Schneider, Judith C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:183-203. Full description at Econpapers || Download paper | |
2015 | Universal laws of human societyâs income distribution. (2015). . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:435:y:2015:i:c:p:89-94. Full description at Econpapers || Download paper | |
2015 | Universal Laws of Human Societys Income Distribution. (2015). . In: Papers. RePEc:arx:papers:1506.05418. Full description at Econpapers || Download paper | |
2015 | Local times for typical price paths and pathwise Tanaka formulas. (2015). Promel, David J. ; Perkowski, Nicolas . In: Papers. RePEc:arx:papers:1405.4421. Full description at Econpapers || Download paper | |
2015 | On a class of generalized Takagi functions with linear pathwise quadratic variation. (2015). Schied, Alexander . In: Papers. RePEc:arx:papers:1501.00837. Full description at Econpapers || Download paper | |
2015 | How the indirect reciprocity with co-evolving norm and strategy for 2 Ã 2 prisonerâs dilemma game works for emerging cooperation. (2015). Tanimoto, Jun ; Sagara, Hirokji . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:438:y:2015:i:c:p:595-602. Full description at Econpapers || Download paper | |
2015 | Herding interactions as an opportunity to prevent extreme events in financial markets. (2015). Kononovicius, Aleksejus ; Gontis, Vygintas . In: Papers. RePEc:arx:papers:1409.8024. Full description at Econpapers || Download paper | |
2015 | Social signals and algorithmic trading of Bitcoin. (2015). Schweitzer, Frank ; Garcia, David . In: Papers. RePEc:arx:papers:1506.01513. Full description at Econpapers || Download paper | |
2015 | Mean field games via controlled martingale problems: Existence of Markovian equilibria. (2015). Lacker, Daniel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2856-2894. Full description at Econpapers || Download paper | |
2015 | Specification Testing in Hawkes Models. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150086. Full description at Econpapers || Download paper | |
2015 | Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics. (2015). Lillo, Fabrizio ; Treccani, Michele ; Bordino, Ilaria ; Caldarelli, Guido ; Bormetti, Giacomo ; Ranco, Gabriele . In: Papers. RePEc:arx:papers:1412.3948. Full description at Econpapers || Download paper | |
2015 | Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers || Download paper | |
2015 | A common jump factor stochastic volatility model. (2015). Laurini, Márcio ; Mauad, Roberto Baltieri . In: Finance Research Letters. RePEc:eee:finlet:v:12:y:2015:i:c:p:2-10. Full description at Econpapers || Download paper | |
2015 | The geometry of relative arbitrage. (2015). Pal, Soumik ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1402.3720. Full description at Econpapers || Download paper | |
2015 | Topics in Stochastic Portfolio Theory. (2015). Vervuurt, Alexander . In: Papers. RePEc:arx:papers:1504.02988. Full description at Econpapers || Download paper | |
2015 | Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers || Download paper | |
2015 | Economics of pooling small local electricity prosumersâLCOE & self-consumption. (2015). Kastel, Peter ; Gilroy-Scott, Bryce . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:51:y:2015:i:c:p:718-729. Full description at Econpapers || Download paper | |
2015 | Networked relationships in the e-MID interbank market: A trading model with memory. (2015). Mantegna, Rosario ; Iori, Giulia ; Micciche, Salvatore ; Tumminello, Michele ; Marotta, Luca ; Porter, James . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:98-116. Full description at Econpapers || Download paper | |
2015 | To bail-out or to bail-in? Answers from an agent-based model. (2015). Farmer, Doyne J. ; Thurner, Stefan ; Poledna, Sebastian ; Klimek, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:144-154. Full description at Econpapers || Download paper | |
2015 | DebtRank: A microscopic foundation for shock propagation. (2015). Caccioli, Fabio ; Battiston, Stefano ; Bardoscia, Marco ; Caldarelli, Guido . In: Papers. RePEc:arx:papers:1504.01857. Full description at Econpapers || Download paper | |
2015 | The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Martinez-Jaramillo, Serafin ; Poledna, Sebastian . In: Journal of Financial Stability. RePEc:eee:finsta:v:20:y:2015:i:c:p:70-81. Full description at Econpapers || Download paper | |
2015 | Short-Term Liquidity Contagion in the Interbank Market. (2015). MartÃÂnez, Constanza ; León, Carlos ; Leon, Carlos ; Cepeda, Freddy ; Martinez, Constanza . In: Borradores de Economia. RePEc:bdr:borrec:920. Full description at Econpapers || Download paper | |
2015 | Short-Term Liquidity Contagion in the Interbank Market. (2015). MartÃÂnez, Constanza ; León, Carlos ; Cepeda, Freddy ; Leon, Carlos . In: BORRADORES DE ECONOMIA. RePEc:col:000094:014167. Full description at Econpapers || Download paper | |
2015 | Smile with the Gaussian term structure model. (2015). Ahdida, Abdelkoddousse ; Palidda, Ernesto ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:1412.7412. Full description at Econpapers || Download paper | |
2015 | Local volatility calibration during turbulent periods. (2015). Lo, Chia ; Skindilias, Konstantinos . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:44:y:2015:i:3:p:425-444. Full description at Econpapers || Download paper | |
2015 | LSV models with stochastic interest rates and correlated jumps. (2015). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460. Full description at Econpapers || Download paper | |
2015 | WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:p:1550005-1-1550005-34. Full description at Econpapers || Download paper | |
2015 | The existence of dominating local martingale measures. (2015). Perkowski, Nicolas ; Imkeller, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:685-717. Full description at Econpapers || Download paper | |
2015 | Model-independent Superhedging under Portfolio Constraints. (2015). Fahim, Arash ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1402.2599. Full description at Econpapers || Download paper | |
2015 | On hedging American options under model uncertainty. (2015). Bayraktar, Erhan ; Zhou, Zhou ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1309.2982. Full description at Econpapers || Download paper | |
2015 | Martingale optimal transport in the Skorokhod space. (2015). Soner, H. M. ; Dolinsky, Y.. In: Papers. RePEc:arx:papers:1404.1516. Full description at Econpapers || Download paper | |
2015 | Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2015). Alexander M. G. Cox, ; Obloj, Jan . In: Papers. RePEc:arx:papers:1406.0551. Full description at Econpapers || Download paper | |
2015 | Convex duality with transaction costs. (2015). Soner, Mete H. ; Dolinsky, Yan . In: Papers. RePEc:arx:papers:1502.01735. Full description at Econpapers || Download paper | |
2015 | Robust price bounds for the forward starting straddle. (2015). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:189-214. Full description at Econpapers || Download paper | |
2015 | Liquidity, risk measures, and concentration of measure. (2015). Lacker, Daniel . In: Papers. RePEc:arx:papers:1510.07033. Full description at Econpapers || Download paper | |
2015 | Variance Dynamics - An empirical journey. (2015). Florent S'egonne, . In: Papers. RePEc:arx:papers:1507.00846. Full description at Econpapers || Download paper | |
2015 | Asymptotic Expansion Approach in Finance. (2015). Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf356. Full description at Econpapers || Download paper | |
2015 | An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2015cf973. Full description at Econpapers || Download paper | |
2015 | An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf361. Full description at Econpapers || Download paper | |
2015 | On financial applications of the two-parameter Poisson-Dirichlet distribution. (2015). Sosnovskiy, Sergey . In: Papers. RePEc:arx:papers:1501.01954. Full description at Econpapers || Download paper | |
2015 | Market shape formation, statistical equilibrium and neutral evolution theory. (2015). Sosnovskiy, Sergey . In: Papers. RePEc:arx:papers:1506.07163. Full description at Econpapers || Download paper | |
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 | |
2015 | Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers || Download paper | |
2015 | General indifference pricing with small transaction costs. (2015). Possamai, Dylan ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1401.3261. Full description at Econpapers || Download paper | |
2015 | Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers || Download paper | |
2015 | Combining Alpha Streams with Costs. (2015). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1405.4716. Full description at Econpapers || Download paper | |
2015 | Notes on Alpha Stream Optimization. (2015). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1406.1249. Full description at Econpapers || Download paper | |
2015 | Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756. Full description at Econpapers || Download paper | |
2015 | Asymptotics for fixed transaction costs. (2015). Altarovici, Albert ; Muhle-Karbe, Johannes ; Soner, Halil . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:363-414. Full description at Econpapers || Download paper | |
2015 | Optimal liquidity provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2493-2515. Full description at Econpapers || Download paper | |
2015 | Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach. (2015). TANKOV, PETER ; Cai, Jiatu ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1510.04295. Full description at Econpapers || Download paper | |
2015 | Combining Alphas via Bounded Regression. (2015). Kakushadze, Zura . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:474-490:d:58313. Full description at Econpapers || Download paper | |
2015 | Solar radiation based benefit and cost evaluation for solar water heater expansion in Malaysia. (2015). Jing, Ong Li ; Kao, Jehng-Jung ; Bashir, Mohammed J. K., . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:48:y:2015:i:c:p:328-335. Full description at Econpapers || Download paper | |
2015 | Interactions between financial and environmental networks in OECD countries. (2015). Ticci, Elisa ; Joseph, Andreas ; Gabbi, Giampaolo ; Vozzella, Pietro ; Ruzzenenti, Franco . In: Papers. RePEc:arx:papers:1501.04992. Full description at Econpapers || Download paper | |
2015 | Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). di Gangi, Domenico ; Pirino, Davide ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607. Full description at Econpapers || Download paper | |
2015 | Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach. (2015). Steg, Jan-Henrik ; Riedel, Frank ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1307.2849. Full description at Econpapers || Download paper | |
2015 | On an integral equation for the free-boundary of stochastic, irreversible investment problems. (2015). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1211.0412. Full description at Econpapers || Download paper | |
2015 | Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. (2015). federico, salvatore ; Ferrari, Giorgio ; de Angelis, Tiziano . In: Papers. RePEc:arx:papers:1406.4297. Full description at Econpapers || Download paper | |
2015 | Optimal Dynamic Procurement Policies for a Storable Commodity with L\evy Prices and Convex Holding Costs. (2015). Ferrari, Giorgio ; Stabile, Gabriele ; Chiarolla, Maria B.. In: Papers. RePEc:arx:papers:1409.0665. Full description at Econpapers || Download paper | |
2015 | Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs. (2015). Chiarolla, Maria B ; Stabile, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:247:y:2015:i:3:p:847-858. Full description at Econpapers || Download paper | |
2015 | The use of BSDEs to characterize the meanâvariance hedging problem and the variance optimal martingale measure for defaultable claims. (2015). Goutte, Stéphane ; Ngoupeyou, Armand . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:4:p:1323-1351. Full description at Econpapers || Download paper | |
2015 | Pricing and hedging Asian-style options on energy. (2015). Detering, Nils ; Benth, Fred . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:849-889. Full description at Econpapers || Download paper | |
2015 | Hedging strategies in energy markets: The case of electricity retailers. (2015). Porcher, Simon ; Goutte, Stéphane ; Boroumand, Raphael Homayoun . In: Energy Economics. RePEc:eee:eneeco:v:51:y:2015:i:c:p:503-509. Full description at Econpapers || Download paper | |
2015 | Particle systems with a singular mean-field self-excitation. Application to neuronal networks. (2015). Tanre, E. ; Rubenthaler, S. ; Inglis, J. ; Delarue, F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:6:p:2451-2492. Full description at Econpapers || Download paper | |
2015 | Default Clustering in Large Pools: Large Deviations. (2015). Spiliopoulos, Konstantinos ; Sowers, Richard B.. In: Papers. RePEc:arx:papers:1311.0498. Full description at Econpapers || Download paper | |
2015 | Systemic Risk and Default Clustering for Large Financial Systems. (2015). Spiliopoulos, Konstantinos . In: Papers. RePEc:arx:papers:1402.5352. Full description at Econpapers || Download paper | |
2015 | A risk analysis for a system stabilized by a central agent. (2015). Garnier, Josselin . In: Papers. RePEc:arx:papers:1507.08333. Full description at Econpapers || Download paper | |
2015 | Credit risk and contagion via self-exciting default intensity. (2015). Elliott, Robert ; Shen, Jia . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:319-344. Full description at Econpapers || Download paper | |
2015 | A state-constrained differential game arising in optimal portfolio liquidation. (2015). Schied, Alexander ; Zhang, Tao . In: Papers. RePEc:arx:papers:1312.7360. Full description at Econpapers || Download paper | |
2015 | Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers || Download paper | |
2015 | Designating market maker behaviour in Limit Order Book markets. (2015). Danielsson, Jon ; Peters, Gareth W ; Panayi, Efstathios . In: Papers. RePEc:arx:papers:1508.04348. Full description at Econpapers || Download paper | |
2015 | To sigmoid-based functional description of the volatility smile. (2015). Itkin, Andrey . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:31:y:2015:i:c:p:264-291. Full description at Econpapers || Download paper | |
2015 | Financial Models with Defaultable Numéraires. (2015). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01240736. Full description at Econpapers || Download paper | |
2015 | Risk measures for processes and BSDEs. (2015). Reveillac, Anthony ; Penner, Irina . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:23-66. Full description at Econpapers || Download paper | |
2015 | Rootâs barrier, viscosity solutions of obstacle problems and reflected FBSDEs. (2015). Gassiat, Paul ; Reis, Gonalo Dos ; Oberhauser, Harald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4601-4631. Full description at Econpapers || Download paper | |
2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | |
2015 | Robust superhedging with jumps and diffusion. (2015). Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4543-4555. Full description at Econpapers || Download paper | |
2015 | Robust Superhedging with Jumps and Diffusion. (2015). Nutz, Marcel . In: Papers. RePEc:arx:papers:1407.1674. Full description at Econpapers || Download paper | |
2015 | Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (2015). Gonzalez, Alfredo L. ; Sebastian. E. Ferrando, ; Rahsepar, Massoome ; Degano, Ivan L.. In: Papers. RePEc:arx:papers:1407.1769. Full description at Econpapers || Download paper | |
2015 | Robust Fundamental Theorem for Continuous Processes. (2015). Bouchard, Bruno ; Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos . In: Papers. RePEc:arx:papers:1410.4962. Full description at Econpapers || Download paper | |
2015 | Systemic risk in multiplex networks with asymmetric coupling and threshold feedback. (2015). Schweitzer, Frank ; Burkholz, Rebekka ; Garas, Antonios ; Leduc, Matt V.. In: Papers. RePEc:arx:papers:1506.06664. Full description at Econpapers || Download paper | |
2015 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | |
2015 | A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius . In: Papers. RePEc:arx:papers:1412.4503. Full description at Econpapers || Download paper | |
2015 | Extension and calibration of a Hawkes-based optimal execution model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1506.08740. Full description at Econpapers || Download paper | |
2015 | High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2015). Schied, Alexander ; Zhang, Tao ; Strehle, Elias . In: Papers. RePEc:arx:papers:1509.08281. Full description at Econpapers || Download paper | |
2015 | Contagion in the interbank market: Funding versus regulatory constraints. (2015). Georgescu, Oana-Maria . In: Journal of Financial Stability. RePEc:eee:finsta:v:18:y:2015:i:c:p:1-18. Full description at Econpapers || Download paper | |
2015 | Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J. ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2727-2751. Full description at Econpapers || Download paper | |
2015 | Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J ; Yamazaki, Kazutoshi . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61617. Full description at Econpapers || Download paper | |
2015 | Existence of an endogenously complete equilibrium driven by a diffusion. (2015). Kramkov, Dmitry . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:1-22. Full description at Econpapers || Download paper | |
2015 | Sovereign public debt crisis in Europe. A network analysis. (2015). Gómez, David ; Ortega, Guillermo J. ; Matesanz, David . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:436:y:2015:i:c:p:756-766. Full description at Econpapers || Download paper | |
2015 | A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition. (2015). Horst, Ulrich ; Qiu, Jinniao ; Zhang, QI. In: Papers. RePEc:arx:papers:1407.0108. Full description at Econpapers || Download paper | |
2015 | Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2015). Popier, A. ; Kruse, T.. In: Papers. RePEc:arx:papers:1504.01150. Full description at Econpapers || Download paper | |
2015 | Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2015). Kruse, T ; Popier, A. In: Working Papers. RePEc:hal:wpaper:hal-01139364. Full description at Econpapers || Download paper | |
2015 | Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1410.7206. Full description at Econpapers || Download paper | |
2015 | Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. (2015). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1502.05442. Full description at Econpapers || Download paper | |
2015 | Asymptotic indifference pricing in exponential L\evy models. (2015). TANKOV, PETER ; Cl'ement M'enass'e, . In: Papers. RePEc:arx:papers:1502.03359. Full description at Econpapers || Download paper | |
2015 | Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2015). Caporin, Massimiliano ; Stella, Attilio L. ; Caraglio, Michele ; Baldovin, Fulvio ; Zamparo, Marco . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:486-497. Full description at Econpapers || Download paper | |
2015 | Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders. (2015). Kaizoji, Taisei ; Saichev, Alexander ; Leiss, Matthias ; Sornette, Didier . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:112:y:2015:i:c:p:289-310. Full description at Econpapers || Download paper | |
2015 | Super-exponential growth expectations and the global financial crisis. (2015). Leiss, Matthias ; Sornette, Didier ; Nax, Heinrich H.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:55:y:2015:i:c:p:1-13. Full description at Econpapers || Download paper | |
2015 | On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. (2015). , Jeff . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:280-290. Full description at Econpapers || Download paper | |
2015 | Sample quantile analysis for long-memory stochastic volatility models. (2015). Ho, Hwai-Chung . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:360-370. Full description at Econpapers || Download paper | |
2015 | Statistical arbitrage pairs trading strategies: Review and outlook. (2015). Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:092015. Full description at Econpapers || Download paper | |
2015 | Europeâs Refugee Crisis. Zur aktuellen politischen Ãkonomie von Migration, Asyl und Integration in Europa. (2015). Tausch, Arno. In: MPRA Paper. RePEc:pra:mprapa:67400. Full description at Econpapers || Download paper | |
2015 | What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645. Full description at Econpapers || Download paper | |
2015 | Analysis of a drawdown-based regime-switching Lévy insurance model. (2015). Li, Bin ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:98-107. Full description at Econpapers || Download paper | |
2015 | Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity. (2015). van Wijnbergen, Sweder ; Zhao, Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150104. Full description at Econpapers || Download paper | |
2015 | European Natural Gas Seasonal Effects on Futures Hedging. (2015). Torro, Hipolit ; Martinez, Beatriz . In: Working Papers. RePEc:fem:femwpa:2015.10. Full description at Econpapers || Download paper | |
2015 | European natural gas seasonal effects on futures hedging. (2015). Torro, Hipolit ; Martinez, Beatriz . In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:154-168. Full description at Econpapers || Download paper | |
2015 | An analysis of dependence between Central and Eastern European stock markets. (2015). Tiwari, Aviral ; Albulescu, Claudiu ; Reboredo, Juan C. In: Economic Systems. RePEc:eee:ecosys:v:39:y:2015:i:3:p:474-490. Full description at Econpapers || Download paper | |
2015 | Optimal stopping under adverse nonlinear expectation and related games. (2015). Zhang, Jianfeng ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1212.2140. Full description at Econpapers || Download paper | |
2015 | Some new results on Dufffie-type OTC markets. (2015). Alain B'elanger, ; Ndoun'e Ndoun'e, ; Giroux, Gaston . In: Papers. RePEc:arx:papers:1503.03006. Full description at Econpapers || Download paper | |
2015 | A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Ra'ul . In: Papers. RePEc:arx:papers:1502.00908. Full description at Econpapers || Download paper | |
2015 | On multivariate extensions of the conditional Value-at-Risk measure. (2015). Di Bernardino, E. ; Rodriguez-Griolo, M. R. ; Fernandez-Ponce, J. M. ; Palacios-Rodriguez, F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:1-16. Full description at Econpapers || Download paper | |
2015 | Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil . In: Papers. RePEc:arx:papers:1507.01175. Full description at Econpapers || Download paper | |
2015 | Estimating covariate functions associated to multivariate risks: a level set approach. (2015). Servien, Remi ; Bernardino, Elena ; Laloe, Thomas . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:78:y:2015:i:5:p:497-526. Full description at Econpapers || Download paper | |
2015 | Impact of dependence on some multivariate risk indicators. (2015). Maume-Deschamps, Veronique ; Said, Khalil . In: Working Papers. RePEc:hal:wpaper:hal-01171395. Full description at Econpapers || Download paper | |
2015 | A directional multivariate value at risk. (2015). Torres, Raul ; Laniado, Henry ; Lillo, Rosa E. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:111-123. Full description at Econpapers || Download paper | |
2015 | A note on minimum riskiness hedge ratio. (2015). Ehsani, Sina ; Lien, Donald . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:11-17. Full description at Econpapers || Download paper | |
2015 | The relation between global migration and trade networks. (2015). Sgrignoli, Paolo ; Schiavo, Stefano ; Riccaboni, Massimo ; metulini, rodolfo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:417:y:2015:i:c:p:245-260. Full description at Econpapers || Download paper | |
2015 | On minimizing drawdown risks of lifetime investments. (2015). Chen, Xinfu ; Li, Dongchen ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:46-54. Full description at Econpapers || Download paper | |
2015 | Beyond the power law: Uncovering stylized facts in interbank networks. (2015). Schoors, Koen ; Karas, Alexei ; Vandermarliere, Benjamin ; Ryckebusch, Jan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:428:y:2015:i:c:p:443-457. Full description at Econpapers || Download paper | |
2015 | Overlapping portfolios, contagion, and financial stability. (2015). Rockmore, Daniel ; Foti, Nick ; Caccioli, Fabio ; Farmer, Doyne J.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:51:y:2015:i:c:p:50-63. Full description at Econpapers || Download paper | |
2015 | The cascading vulnerability of the directed and weighted network. (2015). Stanley, Eugene H. ; Jin, Wei-Xin ; Song, Ping ; Liu, Guo-Zhu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:427:y:2015:i:c:p:302-325. Full description at Econpapers || Download paper | |
2015 | Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective. (2015). Sato, Aki-Hiro ; Tasca, Paolo . In: Papers. RePEc:arx:papers:1504.07152. Full description at Econpapers || Download paper | |
2015 | Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers || Download paper | |
2015 | Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo . In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers || Download paper | |
2015 | Optimal investment and price dependence in a semi-static market. (2015). Siorpaes, Pietro . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:161-187. Full description at Econpapers || Download paper | |
2015 | Good deal bounds with convex constraints. (2015). Arai, Takuji . In: Papers. RePEc:arx:papers:1506.00396. Full description at Econpapers || Download paper | |
2015 | Non-Arbitrage Under Additional Information for Thin Semimartingale Models. (2015). Aksamit, Anna ; Choulli, Tahir ; Jeanblanc, Monique ; Deng, Jun . In: Papers. RePEc:arx:papers:1505.00997. Full description at Econpapers || Download paper | |
2015 | On strong binomial approximation for stochastic processes and applications for financial modelling. (2015). Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1311.0675. Full description at Econpapers || Download paper | |
2015 | On statistical indistinguishability of complete and incomplete discrete time market models. (2015). Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1505.00638. Full description at Econpapers || Download paper | |
2015 | Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection. (2015). Dokuchaev, Nikolai . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:1:dokuchaev. Full description at Econpapers || Download paper | |
2015 | Economic inequality and mobility in kinetic models for social sciences. (2015). Modanese, Giovanni ; Bertotti, Maria Letizia . In: Papers. RePEc:arx:papers:1504.03232. Full description at Econpapers || Download paper | |
2015 | Dynamic indifference pricing via the G-expectation. (2015). Lin, Qian . In: Papers. RePEc:arx:papers:1503.08628. Full description at Econpapers || Download paper | |
2015 | Financial economics without probabilistic prior assumptions. (2015). Riedel, Frank. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:38:y:2015:i:1:p:75-91. Full description at Econpapers || Download paper | |
2015 | Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1506.02507. Full description at Econpapers || Download paper | |
2015 | Riding the swaption curve. (2015). Duyvesteyn, Johan ; de Zwart, Gerben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:57-75. Full description at Econpapers || Download paper | |
2015 | Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis. (2015). LEHALLE, Charles-Albert ; Aim'e Lachapelle, ; Lions, Pierre-Louis ; Lasry, Jean-Michel . In: Papers. RePEc:arx:papers:1305.6323. Full description at Econpapers || Download paper | |
2015 | Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1409.8497. Full description at Econpapers || Download paper | |
2015 | Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book. (2015). Gould, Martin D ; Bonart, Julius . In: Papers. RePEc:arx:papers:1512.03492. Full description at Econpapers || Download paper | |
2015 | A general HJM framework for multiple yield curve modeling. (2015). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa . In: Papers. RePEc:arx:papers:1406.4301. Full description at Econpapers || Download paper | |
2015 | Affine LIBOR models driven by real-valued affine processes. (2015). Waldenberger, Stefan ; Muller, Wolfgang . In: Papers. RePEc:arx:papers:1503.00864. Full description at Econpapers || Download paper | |
2015 | The affine inflation market models. (2015). Waldenberger, Stefan . In: Papers. RePEc:arx:papers:1503.04979. Full description at Econpapers || Download paper | |
2015 | A new perspective on the fundamental theorem of asset pricing for large financial markets. (2015). Cuchiero, Christa ; Klein, Irene . In: Papers. RePEc:arx:papers:1412.7562. Full description at Econpapers || Download paper | |
2015 | Optimal investment with intermediate consumption under no unbounded profit with bounded risk. (2015). Chau, Huy N ; Mostovyi, Oleksii ; Fontana, Claudio ; Cosso, Andrea . In: Papers. RePEc:arx:papers:1509.01672. Full description at Econpapers || Download paper | |
2015 | A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. (2015). Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:743-761. Full description at Econpapers || Download paper | |
2015 | Share price formation, market exuberance and financial stability under alternative accounting regimes. (2015). Biondi, Yuri ; Giannoccolo, Pierpaolo . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:10:y:2015:i:2:p:333-362. Full description at Econpapers || Download paper | |
2015 | Much ado about making money:The impact of disclosure, news and rumors over the formation of security market prices over time. (2015). Righi, Simone ; Biondi, Yuri. In: Department of Economics. RePEc:mod:depeco:0075. Full description at Econpapers || Download paper | |
2015 | Optimal investment under behavioural criteria in incomplete diffusion market models. (2015). Jos'e Gregorio Rodr'{i}guez-Villarreal, ; Mikl'os R'asonyi, . In: Papers. RePEc:arx:papers:1501.01504. Full description at Econpapers || Download paper | |
2015 | The effects of contingent convertible (CoCo) bonds on insurers capital requirements under Solvency II. (2015). Grundl, Helmut ; Niedrig, Tobias . In: ICIR Working Paper Series. RePEc:zbw:icirwp:1814. Full description at Econpapers || Download paper | |
2015 | The effects of Contingent Convertible (CoCo) bonds on insurers capital requirements under solvency II. (2015). Grundl, Helmut ; Niedrig, Tobias . In: SAFE Working Paper Series. RePEc:zbw:safewp:98. Full description at Econpapers || Download paper | |
2015 | The Determinants of CoCo Bond Prices. (2015). Wolff, Christian ; Masror, Sara Abed ; Vermaelen, Theo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10996. Full description at Econpapers || Download paper | |
2015 | Alegerea soluÅ£iilor pentru expunerile faÅ£Ä de risc. (2015). Stefanescu, Razvan ; Dumitriu, Ramona . In: MPRA Paper. RePEc:pra:mprapa:65074. Full description at Econpapers || Download paper | |
2015 | Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index. (2015). Ahn, Jae Youn . In: Papers. RePEc:arx:papers:1503.03180. Full description at Econpapers || Download paper | |
2015 | On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability. (2015). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang . In: European Journal of Operational Research. RePEc:eee:ejores:v:246:y:2015:i:2:p:528-542. Full description at Econpapers || Download paper | |
2015 | Asymptotic Glosten Milgrom equilibrium. (2015). Xing, Hao . In: Papers. RePEc:arx:papers:1310.4994. Full description at Econpapers || Download paper | |
2015 | Asymptotic Glosten-Milgrom equilibrium. (2015). Xing, Hao . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60579. Full description at Econpapers || Download paper | |
2015 | Least squares estimation for the subcritical Heston model based on continuous time observations. (2015). Barczy, Matyas ; Pap, Gyula ; Nyul, Balazs . In: Papers. RePEc:arx:papers:1511.05948. Full description at Econpapers || Download paper | |
2015 | Residential emissions reductions through variable timing of electricity consumption. (2015). Harris, A R ; Wang, Caisheng ; McElmurry, Shawn P ; Miller, Carol J ; Rogers, Michelle Marinich . In: Applied Energy. RePEc:eee:appene:v:158:y:2015:i:c:p:484-489. Full description at Econpapers || Download paper | |
2015 | Testing the lag structure of assetsâ realized volatility dynamics. (2015). Audrino, Francesco ; Roth, Constantin ; Camponovo, Lorenzo . In: Economics Working Paper Series. RePEc:usg:econwp:2015:01. Full description at Econpapers || Download paper | |
2015 | l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations. (2015). Medeiros, Marcelo ; Mendes, Eduardo F.. In: Textos para discussão. RePEc:rio:texdis:636. Full description at Econpapers || Download paper | |
2015 | Portfolio constraints, differences in beliefs and bubbles. (2015). Bidian, Florin . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:61:y:2015:i:c:p:317-326. Full description at Econpapers || Download paper | |
2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers || Download paper | |
2015 | Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:438:y:2015:i:c:p:223-235. Full description at Econpapers || Download paper | |
2015 | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705. Full description at Econpapers || Download paper | |
2015 | Identification of mixture models using support variations. (2015). D'Haultfoeuille, Xavier. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:70-82. Full description at Econpapers || Download paper | |
2015 | Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Valenzuela, Marcela ; Zer, Ilknur ; Fryzlewicz, Piotr . In: Journal of Financial Markets. RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48. Full description at Econpapers || Download paper | |
2015 | Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Zer, Ilknur ; Valenzuela, Marcela . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:62181. Full description at Econpapers || Download paper | |
2015 | Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data. (2015). Lee, Kyungsub . In: Papers. RePEc:arx:papers:1311.5036. Full description at Econpapers || Download paper | |
2015 | Multifractal cross-correlation analysis in electricity spot market. (2015). Li, Dan ; Fan, Qingju . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:429:y:2015:i:c:p:17-27. Full description at Econpapers || Download paper | |
2015 | Rough electricity: a new fractal multi-factor model of electricity spot prices. (2015). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-42. Full description at Econpapers || Download paper | |
2015 | The Role of Time in Making Risky Decisions and the Function of Choice. (2015). Salov, Valerii . In: Papers. RePEc:arx:papers:1512.08792. Full description at Econpapers || Download paper | |
2015 | Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components. (2015). Krištoufek, Ladislav ; Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1502.00225. Full description at Econpapers || Download paper | |
2015 | Measuring switching processes in financial markets with the Mean-Variance spin glass approach. (2015). Jurczyk, Jan . In: Papers. RePEc:arx:papers:1503.03986. Full description at Econpapers || Download paper | |
2015 | Gold, currencies and market efficiency. (2015). Krištoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1510.08615. Full description at Econpapers || Download paper | |
2015 | Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans. (2015). Lukasik, Malgorzata ; Borowski, Krzysztof . In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:3:y:2015:i:2:p:12-37. Full description at Econpapers || Download paper | |
2015 | Shadow prices for continuous processes. (2015). Czichowsky, Christoph ; Schachermayer, Walter ; Yang, Junjian . In: Papers. RePEc:arx:papers:1408.6065. Full description at Econpapers || Download paper | |
2015 | A weak limit theorem for numerical approximation of Brownian semi-stationary processes. (2015). Podolskij, Mark ; Thamrongrat, Nopporn . In: CREATES Research Papers. RePEc:aah:create:2015-53. Full description at Econpapers || Download paper | |
2015 | Limit theorems for stationary increments Lévy driven moving averages. (2015). Basse, Andreas ; Podolskij, Mark ; Lachieze-Rey, Raphael . In: CREATES Research Papers. RePEc:aah:create:2015-56. Full description at Econpapers || Download paper | |
2015 | A generalised ItŠformula for Lévy-driven Volterra processes. (2015). Bender, Christian ; Oberacker, Philip ; Knobloch, Robert . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:2989-3022. Full description at Econpapers || Download paper | |
2015 | Correction to Black-Scholes formula due to fractional stochastic volatility. (2015). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175. Full description at Econpapers || Download paper | |
2015 | Hybrid scheme for Brownian semistationary processes. (2015). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2015-43. Full description at Econpapers || Download paper | |
2015 | Representation and approximation of ambit fields in Hilbert space. (2015). Benth, Fred Espen ; Eyjolfsson, Heidar . In: Papers. RePEc:arx:papers:1509.08272. Full description at Econpapers || Download paper | |
2015 | Pricing of forwards and other derivatives in cointegrated commodity markets. (2015). Koekebakker, Steen ; Benth, Fred Espen . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:104-117. Full description at Econpapers || Download paper | |
2015 | Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Panayi, Efstathios ; Peters, Gareth . In: Papers. RePEc:arx:papers:1501.02447. Full description at Econpapers || Download paper | |
2015 | A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi . In: Papers. RePEc:arx:papers:1502.04521. Full description at Econpapers || Download paper | |
2015 | The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A.. In: Papers. RePEc:arx:papers:1504.04354. Full description at Econpapers || Download paper | |
2015 | SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806. Full description at Econpapers || Download paper | |
2015 | Learning, information processing and order submission in limit order markets. (2015). He, Xuezhong ; Chiarella, Carl ; Wei, Lijian . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:245-268. Full description at Econpapers || Download paper | |
2015 | Carbon emissions trading scheme exploration in China: A multi-agent-based model. (2015). Yu, Lean ; Wu, Jiaqian ; Bao, Qin ; Tang, Ling . In: Energy Policy. RePEc:eee:enepol:v:81:y:2015:i:c:p:152-169. Full description at Econpapers || Download paper | |
2015 | Taiwanâs 2050 low carbon development roadmap: An evaluation with the MARKAL model. (2015). Chang, Ssu-Li ; Tsai, Miao-Shan . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:49:y:2015:i:c:p:178-191. Full description at Econpapers || Download paper | |
2015 | Systemic Risk with Exchangeable Contagion: Application to the European Banking System. (2015). . In: Papers. RePEc:arx:papers:1502.01918. Full description at Econpapers || Download paper | |
2015 | Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5182. Full description at Econpapers || Download paper | |
2015 | Bank networks: Contagion, systemic risk and prudential policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: SAFE Working Paper Series. RePEc:zbw:safewp:87. Full description at Econpapers || Download paper | |
2015 | Capital and contagion in financial networks. (2015). Pierobon, F ; Battiston, S ; Infante, L ; di Iasio, G. In: IFC Bulletins chapters. RePEc:bis:bisifc:39-11. Full description at Econpapers || Download paper | |
2015 | Interbank markets and multiplex networks: centrality measures and statistical null models. (2015). di Iasio, Giovanni ; Bargigli, Leonardo ; Lillo, Fabrizio ; Infante, Luigi ; Pierobon, Federico . In: Papers. RePEc:arx:papers:1501.05751. Full description at Econpapers || Download paper | |
2015 | Too interconnected to fail: A survey of the interbank networks literature. (2015). . In: SAFE Working Paper Series. RePEc:zbw:safewp:91. Full description at Econpapers || Download paper | |
2015 | Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540. Full description at Econpapers || Download paper | |
2015 | Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102. Full description at Econpapers || Download paper | |
2015 | Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Aldasoro, Iaki ; Faia, Ester ; Gatti, Domenico Delli . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def028. Full description at Econpapers || Download paper | |
2015 | Evaluating gambles using dynamics. (2015). Peters, Ole ; Gell-Mann, Murray . In: Papers. RePEc:arx:papers:1405.0585. Full description at Econpapers || Download paper | |
2015 | The evolutionary advantage of cooperation. (2015). Peters, Ole ; Adamou, Alexander . In: Papers. RePEc:arx:papers:1506.03414. Full description at Econpapers || Download paper | |
2015 | ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS. (2015). LENIEC, MARTA ; Jeanblanc, Monique . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:p:1550007-1-1550007-25. Full description at Econpapers || Download paper | |
2015 | Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case. (2015). Bayraktar, Erhan ; Promislow, David ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1503.02237. Full description at Econpapers || Download paper | |
2015 | Minimal representation of insurance prices. (2015). Pichler, Alois ; Shapiro, Alexander . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:184-193. Full description at Econpapers || Download paper | |
2015 | Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models. (2015). Aloui, Chaker ; ben Hamida, Hela . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:65:y:2015:i:1:p:30-54. Full description at Econpapers || Download paper | |
2015 | Novel and topical business news and their impact on stock market activities. (2015). Mizuno, Takayuki ; Watanabe, Tsutomu ; Ohnishi, Takaaki . In: CARF F-Series. RePEc:cfi:fseres:cf366. Full description at Econpapers || Download paper | |
2015 | Novel and topical business news and their impact on stock market activities. (2015). Mizuno, Takayuki ; Watanabe, Tsutomu ; Ohnishi, Takaaki . In: Papers. RePEc:arx:papers:1507.06477. Full description at Econpapers || Download paper | |
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2015 | Leveraged {ETF} implied volatilities from {ETF} dynamics. (2015). Pascucci, Andrea ; Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.6792. Full description at Econpapers || Download paper | |
2015 | Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity. (2015). Jos'e E. Figueroa-L'opez, ; Luo, Yankeng . In: Papers. RePEc:arx:papers:1505.04459. Full description at Econpapers || Download paper | |
2015 | Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1506.06180. Full description at Econpapers || Download paper | |
2015 | On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale. (2015). Cox, Alexander M. G., ; Oboj, Jan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:3280-3300. Full description at Econpapers || Download paper | |
2015 | Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931. Full description at Econpapers || Download paper | |
2015 | Detection of Implicit Fluctuation Bands in The European Union Countries. (2015). Sosvilla-Rivero, Simon ; Maria del Carmen Ramos-Herrera, . In: Working Papers. RePEc:aee:wpaper:1509. Full description at Econpapers || Download paper | |
2015 | Statistical regularities of Carbon emission trading market: Evidence from European Union allowances. (2015). Li, Guihong ; Zheng, Zeyu ; Zhou, Xiaofeng ; Xiao, Rui ; Shi, Haibo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:426:y:2015:i:c:p:9-15. Full description at Econpapers || Download paper | |
2015 | Black-Scholes in a CEV random environment: a new approach to smile modelling. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers || Download paper | |
2015 | Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization. (2015). Brigo, Damiano ; Bormetti, Giacomo ; Pallavicini, Andrea ; Francischello, Marco . In: Papers. RePEc:arx:papers:1507.08779. Full description at Econpapers || Download paper | |
2015 | FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae. (2015). Moreni, Nicola ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1508.04321. Full description at Econpapers || Download paper | |
2015 | Central Clearing Valuation Adjustment. (2015). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169. Full description at Econpapers || Download paper | |
2015 | ON Integrated Chance Constraints in ALM for Pension Funds. (2015). Dufresne, Franccois ; Youssouf A. F. Toukourou, . In: Papers. RePEc:arx:papers:1503.05343. Full description at Econpapers || Download paper | |
2015 | Developing an Online Market Mechanism for Trading Perishable Agricultural Commodities. (2015). Miyashita, Kazuo . In: 2015 Conference, August 9-14, 2015, Milan, Italy. RePEc:ags:iaae15:212470. Full description at Econpapers || Download paper | |
2015 | Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. (2015). Fiedor, PaweÅ ; You, Tao . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:266-284:d:50474. Full description at Econpapers || Download paper | |
2015 | Multiscale Analysis of the Predictability of Stock Returns. (2015). Fiedor, PaweÅ. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:2:p:219-233:d:50807. Full description at Econpapers || Download paper | |
2015 | Doubly reflected BSDEs with integrable parameters and related Dynkin games. (2015). Bayraktar, Erhan ; Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4489-4542. Full description at Econpapers || Download paper | |
2015 | Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. (2015). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1412.2053. Full description at Econpapers || Download paper | |
2015 | Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. (2015). Cosso, Andrea ; Choukroun, Sebastien ; Pham, Huyen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:597-633. Full description at Econpapers || Download paper | |
2015 | Game options in an imperfect market with default. (2015). Dumitrescu, Roxana ; Sulem, Agnes ; Quenez, Marie-Claire . In: Papers. RePEc:arx:papers:1511.09041. Full description at Econpapers || Download paper | |
2015 | Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression. (2015). BarunÃÂk, Jozef ; Barunikova, Michaela . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:43. Full description at Econpapers || Download paper | |
2015 | On the Existence of Martingale Measures in Jump Diffusion Market Models. (2015). Mancin, Jacopo ; Runggaldier, Wolfgang J. In: Papers. RePEc:arx:papers:1511.08349. Full description at Econpapers || Download paper | |
2015 | Golden rule of forecasting: Be conservative. (2015). Green, Kesten ; Armstrong, J. ; Graefe, Andreas . In: Journal of Business Research. RePEc:eee:jbrese:v:68:y:2015:i:8:p:1717-1731. Full description at Econpapers || Download paper | |
2015 | Managing a Big Data project: The case of Ramco Cements Limited. (2015). Dutta, Debprotim ; Bose, Indranil . In: International Journal of Production Economics. RePEc:eee:proeco:v:165:y:2015:i:c:p:293-306. Full description at Econpapers || Download paper | |
2015 | The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large. (2015). Sunstein, Cass ; Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1509.01526. Full description at Econpapers || Download paper | |
2015 | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers || Download paper | |
2015 | Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers || Download paper | |
2015 | Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:56:y:2015:i:c:p:123-139. Full description at Econpapers || Download paper | |
2015 | LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Working Papers. RePEc:hal:wpaper:hal-01121711. Full description at Econpapers || Download paper | |
2015 | Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers || Download paper | |
2015 | LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Post-Print. RePEc:hal:journl:hal-01121711. Full description at Econpapers || Download paper | |
2015 | Dynamic portfolio optimization with transaction costs and state-dependent drift. (2015). Schenk-Hoppé, Klaus ; Wang, Huamao ; Poulsen, Rolf ; Schenk-Hoppe, Klaus Reiner ; Palczewski, Jan . In: European Journal of Operational Research. RePEc:eee:ejores:v:243:y:2015:i:3:p:921-931. Full description at Econpapers || Download paper | |
2015 | The Robust Merton Problem of an Ambiguity Averse Investor. (2015). Pinar, Mustafa ; Biagini, Sara . In: Papers. RePEc:arx:papers:1502.02847. Full description at Econpapers || Download paper | |
2015 | The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model. (2015). Yang, Zhaojun ; Zhang, Chunhong . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:2:yang. Full description at Econpapers || Download paper | |
2015 | Pricing currency derivatives under the benchmark approach. (2015). Platen, Eckhard ; Grasselli, Martino ; Baldeaux, Jan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:53:y:2015:i:c:p:34-48. Full description at Econpapers || Download paper | |
2015 | Quanto Implied Correlation in a Multi-Lévy Framework. (2015). Rayée, Grégory ; Ballota, Laura ; Rayee, Gregory ; Deelstra, Griselda . In: Working Papers ECARES. RePEc:eca:wpaper:2013/219174. Full description at Econpapers || Download paper | |
2015 | Stationary distribution of the volume at the best quote in a Poisson order book model. (2015). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1502.03871. Full description at Econpapers || Download paper | |
2015 | A law of large numbers for limit order books. (2015). Horst, Ulrich ; Paulsen, Michael . In: Papers. RePEc:arx:papers:1501.00843. Full description at Econpapers || Download paper | |
2015 | Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810. Full description at Econpapers || Download paper | |
2015 | Lyapunov function for a Hawkes process-based limit order book. (2015). Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-01113533. Full description at Econpapers || Download paper | |
2015 | A comparison of techniques for dynamic multivariate risk measures. (2015). Feinstein, Zachary . In: Papers. RePEc:arx:papers:1305.2151. Full description at Econpapers || Download paper | |
2015 | Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107. Full description at Econpapers || Download paper | |
2015 | Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange. (2015). Inoue, Jun-Ichi ; Murota, Mitsuaki . In: Papers. RePEc:arx:papers:1412.7269. Full description at Econpapers || Download paper | |
2015 | Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach. (2015). Leung, Tim ; Kim, Jinbeom . In: Papers. RePEc:arx:papers:1501.06221. Full description at Econpapers || Download paper | |
2015 | On the Measurement of Economic Tail Risk. (2015). Kou, Steven ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1401.4787. Full description at Econpapers || Download paper | |
2015 | A Composite Risk Measure Framework for Decision Making under Uncertainty. (2015). Qian, Pengyu ; Wang, Zizhuo ; Wen, Zaiwen . In: Papers. RePEc:arx:papers:1501.01126. Full description at Econpapers || Download paper | |
2015 | Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation. (2015). Lou, Wujiang . In: Papers. RePEc:arx:papers:1512.07340. Full description at Econpapers || Download paper | |
2015 | Moral Hazard in Dynamic Risk Management. (2015). Possamai, Dylan ; Touzi, Nizar ; Jakv{s}a Cvitani'c, . In: Papers. RePEc:arx:papers:1406.5852. Full description at Econpapers || Download paper | |
2015 | Dynamics of Cluster Structures in Stock Market Networks. (2015). Batsyn, M ; Pardalos, P ; Kocheturov, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2015:i:28:p:12-30. Full description at Econpapers || Download paper | |
2015 | Correlation structure and dynamics of international real estate securities markets: A network perspective. (2015). Wang, Gang-Jin ; Xie, Chi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:424:y:2015:i:c:p:176-193. Full description at Econpapers || Download paper | |
2015 | Macroprudential oversight, risk communication and visualization. (2015). Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20151768. Full description at Econpapers || Download paper | |
2015 | An Information Theoretic Criterion for Empirical Validation of Time Series Models. (2015). Lamperti, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2015/02. Full description at Econpapers || Download paper | |
2015 | On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes. (2015). Jørgensen, Peter ; Bohnert, Alexander ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:83-97. Full description at Econpapers || Download paper | |
2015 | Dependence structure of market states. (2015). CHETALOVA, DESISLAVA ; Schafer, Rudi . In: Papers. RePEc:arx:papers:1503.09004. Full description at Econpapers || Download paper | |
2015 | Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns. (2015). Wollschlager, Marcel ; Schafer, Rudi . In: Papers. RePEc:arx:papers:1506.08054. Full description at Econpapers || Download paper | |
2015 | Predicting the long-term citation impact of recent publications. (2015). Stegehuis, Clara ; Waltman, Ludo ; Litvak, Nelly . In: Journal of Informetrics. RePEc:eee:infome:v:9:y:2015:i:3:p:642-657. Full description at Econpapers || Download paper | |
2015 | US city size distribution revisited: Theory and empirical evidence. (2015). Ramos, Arturo ; Sanz-Gracia, Fernando . In: MPRA Paper. RePEc:pra:mprapa:64051. Full description at Econpapers || Download paper | |
2015 | Are the log-growth rates of city sizes normally distributed? Empirical evidence for the US. (2015). Ramos, Arturo. In: MPRA Paper. RePEc:pra:mprapa:65584. Full description at Econpapers || Download paper | |
2015 | A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy. (2015). Ruzzenenti, Franco ; Papandreou, Andreas ; Picciolo, Francesco . In: Papers. RePEc:arx:papers:1509.05894. Full description at Econpapers || Download paper | |
2015 | Evolution of consumption distribution and model of wealth distribution in China between 1995 and 2012. (2015). Gao, LI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:429:y:2015:i:c:p:76-86. Full description at Econpapers || Download paper |
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2015 | Dynamic Model of Markets of Homogenous Non-Durable. (2015). Kaldasch, Joachim. In: Papers. RePEc:arx:papers:1109.5791. Full description at Econpapers || Download paper | |
2015 | Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. (2015). Gozzi, Fausto ; federico, salvatore ; Gassiat, Paul . In: Papers. RePEc:arx:papers:1301.0280. Full description at Econpapers || Download paper | |
2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | |
2015 | On hedging American options under model uncertainty. (2015). Bayraktar, Erhan ; Zhou, Zhou ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1309.2982. Full description at Econpapers || Download paper | |
2015 | Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers || Download paper | |
2015 | Default Clustering in Large Pools: Large Deviations. (2015). Spiliopoulos, Konstantinos ; Sowers, Richard B.. In: Papers. RePEc:arx:papers:1311.0498. Full description at Econpapers || Download paper | |
2015 | General indifference pricing with small transaction costs. (2015). Possamai, Dylan ; Royer, Guillaume . In: Papers. RePEc:arx:papers:1401.3261. Full description at Econpapers || Download paper | |
2015 | On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints. (2015). Bayraktar, Erhan ; Bayrkatar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1402.2596. Full description at Econpapers || Download paper | |
2015 | Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers || Download paper | |
2015 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | |
2015 | Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2015). Alexander M. G. Cox, ; Obloj, Jan . In: Papers. RePEc:arx:papers:1406.0551. Full description at Econpapers || Download paper | |
2015 | Robust Superhedging with Jumps and Diffusion. (2015). Nutz, Marcel . In: Papers. RePEc:arx:papers:1407.1674. Full description at Econpapers || Download paper | |
2015 | Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (2015). Gonzalez, Alfredo L. ; Sebastian. E. Ferrando, ; Rahsepar, Massoome ; Degano, Ivan L.. In: Papers. RePEc:arx:papers:1407.1769. Full description at Econpapers || Download paper | |
2015 | Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences. (2015). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1407.3201. Full description at Econpapers || Download paper | |
2015 | On a Stopping Game in continuous time. (2015). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1409.6773. Full description at Econpapers || Download paper | |
2015 | Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (2015). Targino, Rodrigo ; Peters, Gareth W. ; Shevchenko, Pavel V.. In: Papers. RePEc:arx:papers:1410.1101. Full description at Econpapers || Download paper | |
2015 | Arbitrage theory without a num\eraire. (2015). Tehranchi, Michael R.. In: Papers. RePEc:arx:papers:1410.2976. Full description at Econpapers || Download paper | |
2015 | Robust Fundamental Theorem for Continuous Processes. (2015). Bouchard, Bruno ; Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos . In: Papers. RePEc:arx:papers:1410.4962. Full description at Econpapers || Download paper | |
2015 | The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels. (2015). Park, Hyungbin ; Han, Jihun . In: Papers. RePEc:arx:papers:1411.4606. Full description at Econpapers || Download paper | |
2015 | Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin . In: Papers. RePEc:arx:papers:1411.5062. Full description at Econpapers || Download paper | |
2015 | Misspecified Recovery. (2015). Scheinkman, Jose ; Hansen, Lars ; Borovivcka, Jaroslav ; Jos'e A. Scheinkman, . In: Papers. RePEc:arx:papers:1412.0042. Full description at Econpapers || Download paper | |
2015 | Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. (2015). Bayraktar, Erhan ; Yao, Song . In: Papers. RePEc:arx:papers:1412.2053. Full description at Econpapers || Download paper | |
2015 | A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius . In: Papers. RePEc:arx:papers:1412.4503. Full description at Econpapers || Download paper | |
2015 | The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs. (2015). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1501.02276. Full description at Econpapers || Download paper | |
2015 | Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756. Full description at Econpapers || Download paper | |
2015 | An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions. (2015). Leung, Tim ; Dahlgren, Eric . In: Papers. RePEc:arx:papers:1502.00861. Full description at Econpapers || Download paper | |
2015 | Convex duality with transaction costs. (2015). Soner, Mete H. ; Dolinsky, Yan . In: Papers. RePEc:arx:papers:1502.01735. Full description at Econpapers || Download paper | |
2015 | Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers || Download paper | |
2015 | Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (2015). Macrina, Andrea ; Nguyen, Tuyet Mai ; Crepey, Stephane ; Skovmand, David . In: Papers. RePEc:arx:papers:1502.07397. Full description at Econpapers || Download paper | |
2015 | Affine LIBOR models driven by real-valued affine processes. (2015). Waldenberger, Stefan ; Muller, Wolfgang . In: Papers. RePEc:arx:papers:1503.00864. Full description at Econpapers || Download paper | |
2015 | On robust pricing-hedging duality in continuous time. (2015). Obloj, Jan . In: Papers. RePEc:arx:papers:1503.02822. Full description at Econpapers || Download paper | |
2015 | Black-Scholes in a CEV random environment: a new approach to smile modelling. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers || Download paper | |
2015 | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers || Download paper | |
2015 | Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. (2015). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1504.04682. Full description at Econpapers || Download paper | |
2015 | SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806. Full description at Econpapers || Download paper | |
2015 | Google matrix of the world network of economic activities. (2015). Escaith, Hubert ; Shepelyansky, D. L. ; Kandiah, V.. In: Papers. RePEc:arx:papers:1504.06773. Full description at Econpapers || Download paper | |
2015 | Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers || Download paper | |
2015 | Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810. Full description at Econpapers || Download paper | |
2015 | Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1505.04936. Full description at Econpapers || Download paper | |
2015 | Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07313. Full description at Econpapers || Download paper | |
2015 | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705. Full description at Econpapers || Download paper | |
2015 | Many-to-one contagion of economic growth rate across trade credit network of firms. (2015). Golo, Natasa ; Solomon, Sorin ; Lamieri, Marco ; Usher, Leanne ; Bree, David S. ; Kelman, Guy . In: Papers. RePEc:arx:papers:1506.01734. Full description at Econpapers || Download paper | |
2015 | Autoregressive approaches to import--export time series II: a concrete case study. (2015). Di Persio, Luca ; Segala, Chiara . In: Papers. RePEc:arx:papers:1506.01984. Full description at Econpapers || Download paper | |
2015 | Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers || Download paper | |
2015 | Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets. (2015). Schneider, Lorenz ; Tavin, Bertrand . In: Papers. RePEc:arx:papers:1506.05911. Full description at Econpapers || Download paper | |
2015 | Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1506.06180. Full description at Econpapers || Download paper | |
2015 | On Elicitation Complexity and Conditional Elicitation. (2015). Frongillo, Rafael ; Kash, Ian A.. In: Papers. RePEc:arx:papers:1506.07212. Full description at Econpapers || Download paper | |
2015 | Too dynamic to fail. Empirical support for an autocatalytic model of Minskys financial instability hypothesis. (2015). Golo, Natasa ; Solomon, Sorin ; Lamieri, Marco ; Usher, Leanne ; Kelman, Guy ; Bree, David S.. In: Papers. RePEc:arx:papers:1506.07582. Full description at Econpapers || Download paper | |
2015 | Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. (2015). Fissler, Tobias ; Gneiting, Tilmann ; Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1507.00244. Full description at Econpapers || Download paper | |
2015 | Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil . In: Papers. RePEc:arx:papers:1507.01175. Full description at Econpapers || Download paper |
More than 50 citations. List broken...
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2014 | Determinants of food availability and access in Ghana: what can we learn beyond the regression results?. (2014). ADOM, PHILIP. In: Studies in Agricultural Economics. RePEc:ags:stagec:196909. Full description at Econpapers || Download paper | |
2014 | Superreplication under Model Uncertainty in Discrete Time. (2014). Nutz, Marcel . In: Papers. RePEc:arx:papers:1301.3227. Full description at Econpapers || Download paper | |
2014 | Weak and strong no-arbitrage conditions for continuous financial markets. (2014). Fontana, Claudio . In: Papers. RePEc:arx:papers:1302.7192. Full description at Econpapers || Download paper | |
2014 | Explicit implied volatilities for multifactor local-stochastic volatility models. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1306.5447. Full description at Econpapers || Download paper | |
2014 | Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras . In: Papers. RePEc:arx:papers:1308.0931. Full description at Econpapers || Download paper | |
2014 | A statistical physics perspective on criticality in financial markets. (2014). Bury, Thomas . In: Papers. RePEc:arx:papers:1310.2446. Full description at Econpapers || Download paper | |
2014 | Sticky continuous processes have consistent price systems. (2014). Bender, Christian ; Pakkanen, Mikko S. ; Sayit, Hasanjan . In: Papers. RePEc:arx:papers:1310.7857. Full description at Econpapers || Download paper | |
2014 | Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133. Full description at Econpapers || Download paper | |
2014 | Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift. (2014). GABIH, ABDELALI ; Wunderlich, Ralf ; Sass, Jorn ; Kondakji, Hakam . In: Papers. RePEc:arx:papers:1402.6313. Full description at Econpapers || Download paper | |
2014 | Micro to macro models for income distribution in the absence and in the presence of tax evasion. (2014). Modanese, Giovanni ; Bertotti, Maria Letizia . In: Papers. RePEc:arx:papers:1403.0015. Full description at Econpapers || Download paper | |
2014 | Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics. (2014). Joseph, Andreas ; Vodenska, Irena ; Chen, Guanrong ; Stanley, Eugene . In: Papers. RePEc:arx:papers:1403.0848. Full description at Econpapers || Download paper | |
2014 | Do Google Trend data contain more predictability than price returns?. (2014). Challet, Damien ; Bel Hadj Ayed, Ahmed ; Ahmed Bel Hadj Ayed, . In: Papers. RePEc:arx:papers:1403.1715. Full description at Econpapers || Download paper | |
2014 | High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey. In: Papers. RePEc:arx:papers:1403.1804. Full description at Econpapers || Download paper | |
2014 | 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 | |
2014 | A Note on the Quantile Formulation. (2014). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1403.7269. Full description at Econpapers || Download paper | |
2014 | Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling. (2014). Hillairet, Caroline ; el Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1895. Full description at Econpapers || Download paper | |
2014 | Ramsey Rule with Progressive utility and Long Term Affine Yields Curves. (2014). Hillairet, Caroline ; el Karoui, Nicole ; Mrad, Mohamed . In: Papers. RePEc:arx:papers:1404.1913. Full description at Econpapers || Download paper | |
2014 | Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers || Download paper | |
2014 | Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes. (2014). Racorean, Ovidiu. In: Papers. RePEc:arx:papers:1404.6637. Full description at Econpapers || Download paper | |
2014 | Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs. (2014). Bayraktar, Erhan ; Zhang, Yuchong . In: Papers. RePEc:arx:papers:1404.7406. Full description at Econpapers || Download paper | |
2014 | How does bad and good volatility spill over across petroleum markets?. (2014). Vacha, Lukas ; KoÄenda, Evžen ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1405.2445. Full description at Econpapers || Download paper | |
2014 | Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769. Full description at Econpapers || Download paper | |
2014 | Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1405.6111. Full description at Econpapers || Download paper | |
2014 | VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution. (2014). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1405.7611. Full description at Econpapers || Download paper | |
2014 | Decoding Stock Market Behavior with the Topological Quantum Computer. (2014). Racorean, Ovidiu . In: Papers. RePEc:arx:papers:1406.3531. Full description at Econpapers || Download paper | |
2014 | Instabilities in large economies: aggregate volatility without idiosyncratic shocks. (2014). thesmar, david ; Landier, Augustin ; Bouchaud, Jean-Philippe ; Bonart, Julius . In: Papers. RePEc:arx:papers:1406.5022. Full description at Econpapers || Download paper | |
2014 | Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1406.6496. Full description at Econpapers || Download paper | |
2014 | Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902. Full description at Econpapers || Download paper | |
2014 | Linear vector optimization and European option pricing under proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1407.5877. Full description at Econpapers || Download paper | |
2014 | Contagious Synchronization and Endogenous Network Formation in Financial Networks. (2014). Georg, Co-Pierre ; Aymanns, Christoph . In: Papers. RePEc:arx:papers:1408.0440. Full description at Econpapers || Download paper | |
2014 | The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David . In: Papers. RePEc:arx:papers:1408.1494. Full description at Econpapers || Download paper | |
2014 | Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989. Full description at Econpapers || Download paper | |
2014 | Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers || Download paper | |
2014 | Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation. (2014). Shevchenko, Pavel V.. In: Papers. RePEc:arx:papers:1408.6938. Full description at Econpapers || Download paper | |
2014 | Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407. Full description at Econpapers || Download paper | |
2014 | Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1409.2023. Full description at Econpapers || Download paper | |
2014 | The effect of the number of states on the validity of credit ratings. (2014). Raischel, F. ; Lencastre, P. ; Lind, P. G.. In: Papers. RePEc:arx:papers:1409.2661. Full description at Econpapers || Download paper | |
2014 | The Immediate Exchange model: an analytical investigation. (2014). Katriel, Guy . In: Papers. RePEc:arx:papers:1409.6646. Full description at Econpapers || Download paper | |
2014 | Finite sample properties of power-law cross-correlations estimators. (2014). Krištoufek, Ladislav. In: Papers. RePEc:arx:papers:1409.6857. Full description at Econpapers || Download paper | |
2014 | Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit . In: Papers. RePEc:arx:papers:1409.7933. Full description at Econpapers || Download paper | |
2014 | Fair and profitable bilateral prices under funding costs and collateralization. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0448. Full description at Econpapers || Download paper | |
2014 | Fair bilateral prices in Bergmans model. (2014). Rutkowski, Marek ; Nie, Tianyang . In: Papers. RePEc:arx:papers:1410.0673. Full description at Econpapers || Download paper | |
2014 | An initial approach to Risk Management of Funding Costs. (2014). Brigo, Damiano ; Durand, Cyril . In: Papers. RePEc:arx:papers:1410.2034. Full description at Econpapers || Download paper | |
2014 | Randomisation and recursion methods for mixed-exponential Levy models, with financial applications. (2014). Mijatovic, Aleksandar ; Pistorius, Martijn ; Stolte, Johannes . In: Papers. RePEc:arx:papers:1410.7316. Full description at Econpapers || Download paper | |
2014 | The Model Confidence Set package for R. (2014). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1410.8504. Full description at Econpapers || Download paper | |
2014 | Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy. (2014). Shevchenko, Pavel . In: Papers. RePEc:arx:papers:1410.8609. Full description at Econpapers || Download paper | |
2014 | Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426. Full description at Econpapers || Download paper | |
2014 | Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Nishinari, Katsuhiro ; Ichiki, Shingo . In: Papers. RePEc:arx:papers:1411.2215. Full description at Econpapers || Download paper | |
2014 | Risk-Sensitive Mean-Field Type Control under Partial Observation. (2014). Djehiche, Boualem ; Tembine, Hamidou . In: Papers. RePEc:arx:papers:1411.7231. Full description at Econpapers || Download paper | |
2014 | 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 |
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2013 | Risk premia in energy markets. (2013). Veraart, Almut ; Almut E. D. Veraart, ; Luitgard A. M. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2013-02. Full description at Econpapers || Download paper | |
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 | |
2013 | A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. (2013). Wei, Wei ; Brix, Anne Floor ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2015-46. Full description at Econpapers || Download paper | |
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 | |
2013 | A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems. (2013). Bayraktar, Erhan ; Fahim, Arash . In: Papers. RePEc:arx:papers:1109.5752. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
2013 | Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. (2013). Riedel, Frank ; Ferrari, Giorgio ; Chiarolla, Maria B.. In: Papers. RePEc:arx:papers:1203.3757. Full description at Econpapers || Download paper | |
2013 | Negative Call Prices. (2013). Ruf, Johannes . In: Papers. RePEc:arx:papers:1204.1903. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
2013 | Numerical methods for the quadratic hedging problem in Markov models with jumps. (2013). TANKOV, PETER ; De Franco, Carmine ; Warin, Xavier . In: Papers. RePEc:arx:papers:1206.5393. Full description at Econpapers || Download paper | |
2013 | Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression. (2013). BarunÃÂk, Jozef ; Barunik, Jozef ; Barunikova, Michaela . In: Papers. RePEc:arx:papers:1208.4831. Full description at Econpapers || Download paper | |
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 | |
2013 | Optimal Investment with Stocks and Derivatives. (2013). Siorpaes, Pietro . In: Papers. RePEc:arx:papers:1210.5466. Full description at Econpapers || Download paper | |
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 | |
2013 | Planning Optimal From the Firm Value Creation Perspective Levels of Operating Cash Investments. (2013). Michalski, Grzegorz. In: Papers. RePEc:arx:papers:1301.3824. Full description at Econpapers || Download paper | |
2013 | Polish and Silesian Non-Profit Organizations Liquidity Strategies. (2013). Michalski, Grzegorz ; Aleksander, Mercik ; Mercik, Aleksander . In: Papers. RePEc:arx:papers:1301.3825. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
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 | |
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 | |
2013 | Realtime market microstructure analysis: online Transaction Cost Analysis. (2013). LEHALLE, Charles-Albert ; Beri, Arjun ; Gadhyan, Yutheeka ; Azencott, Robert ; Joseph, Nicolas ; Rowley, Matthew . In: Papers. RePEc:arx:papers:1302.6363. Full description at Econpapers || Download paper | |
2013 | On the theory of firm in nonlinear dynamic financial and economic systems. (2013). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1302.6721. Full description at Econpapers || Download paper | |
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 | |
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 | |
2013 | On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems. (2013). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1304.4807. Full description at Econpapers || Download paper | |
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 | |
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 | |
2013 | Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (2013). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1305.5575. Full description at Econpapers || Download paper | |
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. In: Papers. RePEc:arx:papers:1305.5656. Full description at Econpapers || Download paper | |
2013 | Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information. (2013). O, Hyong-Chol ; Ri, Song-Hun ; Jo, Jong-Jun . In: Papers. RePEc:arx:papers:1305.6988. Full description at Econpapers || Download paper | |
2013 | Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (2013). Chen, Wei. In: Papers. RePEc:arx:papers:1306.4070. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
2013 | A Taylor series approach to pricing and implied vol for LSV models. (2013). Pascucci, Andrea ; Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1308.5019. Full description at Econpapers || Download paper | |
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 | |
2013 | Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model). (2013). O, Hyong-Chol ; Pak, Chol-Hyok ; Kim, Dong-Hyok . In: Papers. RePEc:arx:papers:1309.1647. Full description at Econpapers || Download paper | |
2013 | A Systematic Approach to Constructing Market Models With Arbitrage. (2013). Ruf, Johannes ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1309.1988. Full description at Econpapers || Download paper |
More than 50 citations. List broken...
Year | Citing document | |
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2012 | Relationship Between Prices of Food, Fuel and Biofuel. (2012). Zilberman, David ; Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav . In: 131st Seminar, September 18-19, 2012, Prague, Czech Republic. RePEc:ags:eaa131:135793. Full description at Econpapers || Download paper | |
2012 | Default Swap Games Driven by Spectrally Negative Levy Processes. (2012). Leung, Tim ; Yamazaki, Kazutoshi ; Tim S. T. Leung, . In: Papers. RePEc:arx:papers:1105.0238. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
2012 | Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; BarunÃÂk, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1201.1535. Full description at Econpapers || Download paper | |
2012 | How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study. (2012). Krištoufek, Ladislav ; Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1201.3511. Full description at Econpapers || Download paper | |
2012 | Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity. (2012). Krištoufek, Ladislav ; Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1203.4979. Full description at Econpapers || Download paper | |
2012 | Evolutionary Model of the Personal Income Distribution. (2012). Kaldasch, Joachim. In: Papers. RePEc:arx:papers:1203.6507. Full description at Econpapers || Download paper | |
2012 | Pricing Variable Annuity Guarantees in a Local Volatility framework. (2012). Rayée, Grégory ; Gr'egory Ray'ee, ; Deelstra, Griselda . In: Papers. RePEc:arx:papers:1204.0453. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
2012 | A new look at short-term implied volatility in asset price models with jumps. (2012). TANKOV, PETER ; Aleksandar Mijatovi'c, . In: Papers. RePEc:arx:papers:1207.0843. Full description at Econpapers || Download paper | |
2012 | Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Liu, Qing ; BUESCU, CRISTIN . In: Papers. RePEc:arx:papers:1207.2316. Full description at Econpapers || Download paper | |
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 | |
2012 | Measuring capital market efficiency: Global and local correlations structure. (2012). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1208.1298. Full description at Econpapers || Download paper | |
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 | |
2012 | Time-Frequency Dynamics of Biofuels-Fuels-Food System. (2012). Zilberman, David ; Vacha, Lukas ; Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav . In: Papers. RePEc:arx:papers:1209.0900. Full description at Econpapers || Download paper | |
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 | |
2012 | Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele . In: Papers. RePEc:arx:papers:1210.3811. Full description at Econpapers || Download paper | |
2012 | Funded Bilateral Valuation Adjustment. (2012). Nordio, Claudio ; Giada, Lorenzo . In: Papers. RePEc:arx:papers:1211.1564. Full description at Econpapers || Download paper | |
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. In: Papers. RePEc:arx:papers:1211.1897. Full description at Econpapers || Download paper | |
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 | |
2012 | On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions. (2012). Ledenyov, Dimitri. In: Papers. RePEc:arx:papers:1211.4108. Full description at Econpapers || Download paper | |
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 | |
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 | |
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 | |
2012 | Multilevel Monte Carlo methods for applications in finance. (2012). Szpruch, Lukasz ; Giles, Mike . In: Papers. RePEc:arx:papers:1212.1377. Full description at Econpapers || Download paper | |
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 | |
2012 | Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, Giulia ; Kovaleva, P.. In: Working Papers. RePEc:cty:dpaper:12/05. Full description at Econpapers || Download paper | |
2012 | Fact And Fiction In FX Arbitrage Processes. (2012). Kozyakin, Victor . In: SIRE Discussion Papers. RePEc:edn:sirdps:378. Full description at Econpapers || Download paper | |
2012 | Fact And Fiction In FX Arbitrage Processes. (2012). Cross, Rod ; Kozyakin, Victor . In: SIRE Discussion Papers. RePEc:edn:sirdps:421. Full description at Econpapers || Download paper | |
2012 | Game theory and speculation on government bonds. (2012). Carfì, David ; Carfi, David ; Musolino, Francesco . In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:6:p:2417-2426. Full description at Econpapers || Download paper | |
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 | |
2012 | Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. (2012). Zilberman, David ; Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:5:p:1380-1391. Full description at Econpapers || Download paper | |
2012 | FTT:Power : A global model of the power sector with induced technological change and natural resource depletion. (2012). Mercure, Jean-Francois. In: Energy Policy. RePEc:eee:enepol:v:48:y:2012:i:c:p:799-811. Full description at Econpapers || Download paper | |
2012 | How do skilled traders change the structure of the market. (2012). VoÅ¡vrda, Miloslav ; Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef ; Vosvrda, Miloslav . In: International Review of Financial Analysis. RePEc:eee:finana:v:23:y:2012:i:c:p:66-71. Full description at Econpapers || Download paper | |
2012 | The multivariate Piecing-Together approach revisited. (2012). Aulbach, Stefan ; Hofmann, Martin ; Falk, Michael . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:110:y:2012:i:c:p:161-170. Full description at Econpapers || Download paper | |
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 | |
2012 | Benfordâs law and Theil transform of financial data. (2012). ausloos, marcel ; 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 | |
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 | |
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 | |
2012 | The emergence of new industries at the regional level in Spain. A proximity approach based on product-relatedness. (2012). Navarro, Mikel ; Minondo, Asier ; Boschma, Ron. In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1201. Full description at Econpapers || Download paper | |
2012 | The emergence of new technology-based sectors at the regional level: a proximity-based analysis of nanotechnology. (2012). Quatraro, Francesco ; Krafft, Jackie ; Colombelli, Alessandra. In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1211. Full description at Econpapers || Download paper | |
2012 | Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). LEHALLE, Charles-Albert ; Labadie, Mauricio . In: Working Papers. RePEc:hal:wpaper:hal-00705056. Full description at Econpapers || Download paper |
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