We gratefully acknowledge support from
the Simons Foundation
and member institutions

Statistical Finance

Authors and titles for recent submissions

[ total of 5 entries: 1-5 ]
[ showing up to 25 entries per page: fewer | more ]

Wed, 22 Nov 2017

[1]  arXiv:1711.07630 [pdf, other]
Title: Statistical properties of market collective responses
Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

Thu, 16 Nov 2017

[2]  arXiv:1711.05681 [pdf, other]
Title: A simple model for forecasting conditional return distributions
Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

Wed, 15 Nov 2017

[3]  arXiv:1711.04174 (cross-list from eess.SP) [pdf, other]
Title: Financial Time Series Prediction Using Deep Learning
Subjects: Signal Processing (eess.SP); Statistical Finance (q-fin.ST)

Fri, 10 Nov 2017

[4]  arXiv:1711.03534 (cross-list from q-fin.TR) [pdf, other]
Title: Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
Comments: Paper submitted for the IEEE SSCI 2017 conference. November 27 - December 1 2017, Honolulu, USA. This paper is protected by copyright agreement, however its pubblication on ArXiv is permitted based on IEEE policy
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

Thu, 9 Nov 2017

[5]  arXiv:1711.02925 [pdf, other]
Title: Implied volatility smile dynamics in the presence of jumps
Comments: Paper accepted and presented at IAAE 2017 conference, June 26-30 2017, Sapporo, Japan
Subjects: Statistical Finance (q-fin.ST)
[ total of 5 entries: 1-5 ]
[ showing up to 25 entries per page: fewer | more ]

Disable MathJax (What is MathJax?)