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ISSN: 2333-9721
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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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Distance to the line in the Heston model

Archil Gulisashvili

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Roberto Casarin,Fabrizio Leisen,German Molina,Enrique ter Horst

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Fred Espen Benth,Hanna Zdanowicz

Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models

Pablo Olivares,Matthew Cane

Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

Nien-Lin Liu,Hoang-Long Ngo

Sector-Based Factor Models for Asset Returns

Angela Gu,Patrick Zeng

Dynamics in two networks based on stocks of the US stock market

Leonidas Sandoval Junior

Intra-day variability of the stock market activity versus stationarity of the financial time series

T. Gubiec,M. Wiliński

The Random Walk of High Frequency Trading

Eric M. Aldrich,Indra Heckenbach,Gregory Laughlin

Indicators of availability of non-market relations in the sphere of labor market in Ukraine

Valery Tabakov

VWAP Execution as an Optimal Strategy

Takashi Kato

Endogenous crisis waves: a stochastic model with synchronized collective behavior

Stanislao Gualdi,Jean-Philippe Bouchaud,Giulia Cencetti,Marco Tarzia,Francesco Zamponi

Orthogonal Polynomials for Seminonparametric Instrumental Variables Model

Yevgeniy Kovchegov,Nese Yildiz

Visualising stock flow consistent models as directed acyclic graphs

Peter G. Fennell,David O'Sullivan,Antoine Godin,Stephen Kinsella

Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo

Rosario N. Mantegna

Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks

Benjamin Vandermarliere,Alexei Karas,Jan Ryckebusch,Koen Schoors

A spring-block analogy for the dynamics of stock indexes

Bulcsu Sandor,Zoltan Neda

Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence

Matteo Formenti

Risk Premia: Asymmetric Tail Risks and Excess Returns

Y. Lempérière,C. Deremble,T. T. Nguyen,P. Seager,M. Potters,J. P. Bouchaud

Socio-economic inequalities: a statistical physics perspective

Arnab Chatterjee

Custom v. Standardized Risk Models

Zura Kakushadze,Jim Kyung-Soo Liew

Affine Processes

Eberhard Mayerhofer

On parameter identification in stochastic differential equations by penalized maximum likelihood

Fabian Dunker,Thorsten Hohage

Bayesian DEJD model and detection of asymmetric jumps

Maciej Kostrzewski

Estimating nonlinear regression errors without doing regression

Hong Pi,Carsten Peterson

Predictive regressions for macroeconomic data

Fukang Zhu,Zongwu Cai,Liang Peng

Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes

Ovidiu Racorean

A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility

Mario Bonino,Matteo Camelia,Paolo Pigato

Analysis of a decision model in the context of equilibrium pricing and order book pricing

Daniel C. Wagner,Thilo A. Schmitt,Rudi Sch？fer,Thomas Guhr,Dietrich E. Wolf

Approximating the zero-coupon bond price in a general one-factor model with constant coefficients

Beata Stehlikova

Analysis of Spin Financial Market by GARCH Model

Tetsuya Takaishi

Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments

Xiang Yu

Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

Claudia Ceci,Katia Colaneri,Alessandra Cretarola

Using an Artificial Financial Market for studying a Cryptocurrency Market

Luisanna Cocco,Giulio Concas,Michele Marchesi

Thermodynamics of inequalities: from precariousness to economic stratification

Matteo Smerlak

Change of numeraire in the two-marginals martingale transport problem

Luciano Campi,Ismail Laachir,Claude Martini

Predictability of Volatility Homogenised Financial Time Series

Pawe？ Fiedor,Odd Magnus Trondrud

Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data

Efstathios Panayi,Gareth Peters,Ioannis Kosmidis

The limits of statistical significance of Hawkes processes fitted to financial data

Mehdi Lallouache,Damien Challet

A variation of the Dragulescu-Yakovenko income model

José María Sarabia,Faustino Prieto,Vanesa Jordá

Hierarchical structure of the European countries based on debts as a percentage of GDP during the 2000-2011 period

Ersin Kantar,Bayram Deviren,Mustafa Keskin

Survival Models for the Duration of Bid-Ask Spread Deviations

Efstathios Panayi,Gareth Peters

Record statistics of financial time series and geometric random walks

Behlool Sabir,M. S. Santhanam

Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market

Egil Ferkingstad,Anders L？land

Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets

Reza Arghandeh,Jeremy Woyak,Ahmet Onen,Jaesung Jung,Robert P. Broadwater

Impacts of Regional Trade Agreements(RTAs) on Food Security: A Case of ASEAN Free Trade Agreement

H. M. S. P. Herath,Cao Liang,Chen Yongbing

Effective and simple VWAP option pricing model

Alexander Buryak,Ivan Guo

Arbitrage-free prediction of the implied volatility smile

Petros Dellaportas,Aleksandar Mijatovi？

New analytic approach to address Put - Call parity violation due to discrete dividends

Alexander Buryak,Ivan Guo

Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning

Chris Kenyon,Andrew Green

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