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Quantitative Finance

Authors and titles for recent submissions

[ total of 16 entries: 1-16 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 17 Nov 2017

[1]  arXiv:1711.06164 [pdf, ps, other]
Title: Rich or poor: Who should pay higher tax rates?
Comments: 5 pages, 3 figures
Journal-ref: Europhysics Letters, 119, 40007 (2017)
Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)
[2]  arXiv:1711.05784 [pdf, other]
Title: Identifying the community structure of the international food-trade multi network
Comments: 47 pages, 19 figures
Subjects: General Finance (q-fin.GN); Economics (q-fin.EC)
[3]  arXiv:1711.06185 (cross-list from physics.soc-ph) [pdf, other]
Title: Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees
Comments: 21 pages, 5 figures, and 2 tables
Subjects: Physics and Society (physics.soc-ph); Data Analysis, Statistics and Probability (physics.data-an); General Finance (q-fin.GN)

Thu, 16 Nov 2017

[4]  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)
[5]  arXiv:1711.05598 [pdf]
Title: Customer Selection Model with Grouping and Hierarchical Ranking Analysis
Authors: Bowen Cai
Comments: 24 pages, Preliminary Report
Subjects: General Finance (q-fin.GN)
[6]  arXiv:1711.05289 [pdf, other]
Title: Bank Panics and Fire Sales, Insolvency and Illiquidity
Authors: T. R. Hurd
Comments: 29 pages, 1 figure
Subjects: General Finance (q-fin.GN); Economics (q-fin.EC)

Wed, 15 Nov 2017

[7]  arXiv:1711.04717 [pdf, other]
Title: Black was right: Price is within a factor 2 of Value
Comments: 9 pages, 5 figures
Subjects: Portfolio Management (q-fin.PM); Statistical Finance (q-fin.ST)
[8]  arXiv:1711.04219 [pdf, other]
Title: Closed-form Solutions of Relativistic Black-Scholes Equations
Subjects: Mathematical Finance (q-fin.MF)
[9]  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)

Mon, 13 Nov 2017

[10]  arXiv:1711.03744 [pdf, ps, other]
Title: Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models
Comments: 24 pages
Subjects: Computational Finance (q-fin.CP); Methodology (stat.ME)
[11]  arXiv:1711.03733 [pdf, other]
Title: Variance optimal hedging with application to Electricity markets
Authors: Xavier Warin
Comments: 21 pages, 9 figures
Subjects: Computational Finance (q-fin.CP)
[12]  arXiv:1711.03642 [pdf, ps, other]
Title: Optimal portfolio with insider information on the stochastic interest rate
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
[13]  arXiv:1711.03875 (cross-list from math.OC) [pdf, ps, other]
Title: Nonconcave Robust Optimization under Knightian Uncertainty
Comments: arXiv admin note: text overlap with arXiv:1610.09230
Subjects: Optimization and Control (math.OC); Probability (math.PR); Mathematical Finance (q-fin.MF)

Fri, 10 Nov 2017

[14]  arXiv:1711.03534 [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)
[15]  arXiv:1711.03291 [pdf, other]
Title: Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Subjects: Portfolio Management (q-fin.PM); Analysis of PDEs (math.AP); Optimization and Control (math.OC); Trading and Market Microstructure (q-fin.TR)
[16]  arXiv:1711.03188 (cross-list from math.OC) [pdf]
Title: Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon
Subjects: Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)
[ total of 16 entries: 1-16 ]
[ showing up to 25 entries per page: fewer | more ]

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