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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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Optimal investment under behavioural criteria -- a dual approach

Miklós Rásonyi,José G. Rodríguez-Villarreal

Combining Alpha Streams with Costs

Zura Kakushadze

Bank Networks from Text: Interrelations, Centrality and Determinants

Samuel R？nnqvist,Peter Sarlin

A robust algorithm and convergence analysis for static replications of nonlinear payoffs

Jingtang Ma,Dongya Deng,Harry Zheng

A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations

Hyong-chol O,Yong-hwa Ro,Ning Wan

What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis

Ladislav Kristoufek

Income Inequality in the 21st Century -- A biased summary of Piketty's Capital in the Twenty-First Century

Dietrich Stauffer

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

Julius Bonart,Jean-Philippe Bouchaud,Augustin Landier,David Thesmar

Strategy-proofness and single-peackedness in bounded distributive lattices

Ernesto Savaglio,Stefano Vannucci

Modeling FX market activity around macroeconomic news: a Hawkes process approach

Marcello Rambaldi,Paris Pennesi,Fabrizio Lillo

Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics

Fabio Dercole,Davide Radi

Stylized facts of price gaps in limit order books: Evidence from Chinese stocks

Gao-Feng Gu,Xiong Xiong,Yong-Jie Zhang,Wei Chen,Wei Zhang,Wei-Xing Zhou

Mixed Tempered Stable distribution

Edit Rroji,Lorenzo Mercuri

Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series

Sergey A. Kamenshchikov

Optimal investment-reinsurance policy under a long-term perspective

Xiaoxiao Zheng,Xin Zhang

Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy

Xiaoxiao Zheng,Xin Zhang

Estimation of the Global Minimum Variance Portfolio in High Dimensions

Taras Bodnar,Nestor Parolya,Wolfgang Schmid

Probabilistic flows of inhabitants in urban areas and self-organization in housing markets

Takao Hishikawa,Jun-ichi Inoue

A two-stage model for dealing with temporal degradation of credit scoring

Maria Rocha Sousa,Jo？o Gama,Manuel J. Silva Gon？alves

A general HJM framework for multiple yield curve modeling

Christa Cuchiero,Claudio Fontana,Alessandro Gnoatto

Statistical Arbitrage in the Black-Scholes Framework

Ahmet Goncu

Hierarchical representation of socio-economic complex systems according to minimal sapnning trees

Andrzej Jarynowski,Andrzej Buda

Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy

Alessandro Chieppa,Andrea Ricca,Gianluca Rosso

Decoding Stock Market Behavior with the Topological Quantum Computer

Ovidiu Racorean

On possible origins of trends in financial market price changes

Ryo Murakami,Tomomichi Nakamura,Shin Kimura,Masashi Manabe,Toshihiro Tanizawa

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Alexander M. G. Cox,Zhaoxu Hou,Jan Obloj

Stochastic Analysis Seminar on Filtering Theory

Andrew Papanicolaou

Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression

Alice X. D. Dong,Jennifer S. K. Chan,Gareth W. Peters

Efficient Modeling and Forecasting of the Electricity Spot Price

Florian Ziel,Rick Steinert,Sven Husmann

Hedging of equity-linked with maximal success factor

Klusik Przemyslaw

Market risk modelling in Solvency II regime and hedging options not using underlying

Przemys\law Klusik

VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution

Chris Kenyon,Andrew Green

A Multi-factor Adaptive Statistical Arbitrage Model

Wenbin Zhang,Zhen Dai,Bindu Pan,Milan Djabirov

The super-replication theorem under proportional transaction costs revisited

Walter Schachermayer

Distortion Risk Measures and Elicitability

Ruodu Wang,Johanna F. Ziegel

Local times for typical price paths and pathwise Tanaka formulas

Nicolas Perkowski,David J. Pr？mel

Valuation and Hedging of Contracts with Funding Costs and Collateralization

Tomasz R. Bielecki,Marek Rutkowski

Simple examples of pure-jump strict local martingales

Martin Keller-Ressel

Non-Arbitrage under a Class of Honest Times

Tahir Choulli,Anna Aksamit,Jun Deng,Monique Jeanblanc

Coherent Chaos Interest Rate Models

Dorje C. Brody,Stala Hadjipetri

An importance sampling approach for copula models in insurance

Philipp Arbenz,Mathieu Cambou,Marius Hofert

Systemic risk in dynamical networks with stochastic failure criterion

B. Podobnik,D. Horvatic,M. Bertella,L. Feng,X. Huang,B. Li

Sophisticated gamblers ruin and survival chances

Salil Mehta

A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution

Dieter Hendricks,Diane Wilcox

An agent-based computational model for China's stock market and stock index futures market

Hai-Chuan Xu,Wei Zhang,Xiong Xiong,Wei-Xing Zhou

Anomalous impact in reaction-diffusion models

Iacopo Mastromatteo,Bence Toth,Jean-Philippe Bouchaud

Collective behaviours in the stock market -- A maximum entropy approach

Thomas Bury

Least quartic Regression Criterion with Application to Finance

Giuseppe arbia

The adaptive nature of liquidity taking in limit order books

Damian Eduardo Taranto,Giacomo Bormetti,Fabrizio Lillo

Exchange Rate Predictability in a Changing World

Joseph Byrne,Dimitris Korobilis,Pinho Ribeiro

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