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Quantitative Finance

Authors and titles for recent submissions

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

Fri, 18 May 2018

[1]  arXiv:1805.06829 [pdf, other]
Title: Multi-layered network structure: Relationship between financial and macroeconomic dynamics
Comments: 37 pages, 7 figures, 31 tables
Subjects: Economics (q-fin.EC); General Finance (q-fin.GN)
[2]  arXiv:1805.06682 [pdf, other]
Title: Analyzing order flows in limit order books with ratios of Cox-type intensities
Comments: 33 pages, 7 figures, 2 tables
Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)
[3]  arXiv:1805.06632 [pdf, other]
Title: Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions
Comments: 36 pages, 4 figures, submitted to Operations Research
Subjects: Risk Management (q-fin.RM)
[4]  arXiv:1805.06498 [pdf, ps, other]
Title: Utility maximization with proportional transaction costs under model uncertainty
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC)
[5]  arXiv:1805.06649 (cross-list from stat.AP) [pdf, other]
Title: Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
Journal-ref: Energy Economics, 70 (2018), 396-420
Subjects: Applications (stat.AP); Statistical Finance (q-fin.ST); Machine Learning (stat.ML)

Thu, 17 May 2018

[6]  arXiv:1805.06345 [pdf, ps, other]
Title: Which portfolio is better? A discussion of several possible comparison criteria
Subjects: Portfolio Management (q-fin.PM)
[7]  arXiv:1805.06226 [pdf, ps, other]
Title: Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
Comments: 15PAGES
Subjects: Pricing of Securities (q-fin.PR)
[8]  arXiv:1805.06129 [pdf]
Title: Factor endowment--commodity output relationships in a three-factor two-good general equilibrium trade model: Further analysis
Authors: Yoshiaki Nakada
Comments: 28 pages, 3 fugures
Subjects: General Finance (q-fin.GN)
[9]  arXiv:1805.06126 [pdf, other]
Title: Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
Comments: 56 pages, 3 figures
Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Learning (cs.LG); Adaptation and Self-Organizing Systems (nlin.AO); Portfolio Management (q-fin.PM)
[10]  arXiv:1805.06080 [pdf]
Title: Can Insider Trading Be Committed Without Trading?
Journal-ref: Amity Law Review, Vol. 13, No. 1 (2018)
Subjects: General Finance (q-fin.GN)

Wed, 16 May 2018

[11]  arXiv:1805.05617 [pdf, other]
Title: Aggregating multiple types of complex data in stock market prediction: A model-independent framework
Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE); Applications (stat.AP)
[12]  arXiv:1805.05584 [pdf, ps, other]
Title: Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
Comments: 29 pages, 9 figures
Subjects: Portfolio Management (q-fin.PM)
[13]  arXiv:1805.05327 [pdf]
Title: 'Bosons' and 'fermions' in social and economic systems
Comments: 24 pages, 7 figures
Subjects: General Finance (q-fin.GN); Statistical Mechanics (cond-mat.stat-mech)
[14]  arXiv:1805.05606 (cross-list from stat.ME) [pdf, other]
Title: Nonparametric Bayesian volatility learning under microstructure noise
Comments: 14 pages, 7 figures
Subjects: Methodology (stat.ME); Statistical Finance (q-fin.ST); Machine Learning (stat.ML)
[15]  arXiv:1805.05465 (cross-list from cs.CY) [pdf]
Title: Rethinking value creation from the resource based view: the case of human capital in moroccan hotels
Subjects: Computers and Society (cs.CY); General Finance (q-fin.GN)
[16]  arXiv:1801.09956 (cross-list from stat.ME) [pdf, other]
Title: Nonparametric Bayesian volatility estimation
Subjects: Methodology (stat.ME); Statistics Theory (math.ST); Statistical Finance (q-fin.ST)

Tue, 15 May 2018

[17]  arXiv:1805.05259 [pdf, ps, other]
Title: The strong Fatou property of risk measures
Subjects: Risk Management (q-fin.RM)
[18]  arXiv:1805.04750 [pdf, ps, other]
Title: Multifractal analysis of financial markets
Authors: Zhi-Qiang Jiang (ECUST), Wen-Jie Xie (ECUST), Wei-Xing Zhou (ECUST), Didier Sornette (ETH Zurich)
Comments: A review paper contains 145 pages
Subjects: Statistical Finance (q-fin.ST)
[19]  arXiv:1805.04728 [pdf]
Title: Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market
Comments: Accepted in Applied Economics Letters
Subjects: Trading and Market Microstructure (q-fin.TR)
[20]  arXiv:1805.04704 [pdf, other]
Title: The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)
[21]  arXiv:1805.04698 [pdf, other]
Title: Bitcoin Risk Modeling with Blockchain Graphs
Comments: JEL Classification: C58, C63, G18
Subjects: Risk Management (q-fin.RM)
[22]  arXiv:1805.04535 [pdf, ps, other]
Title: Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
Comments: 26 pages
Subjects: Mathematical Finance (q-fin.MF); Analysis of PDEs (math.AP); Probability (math.PR)
[23]  arXiv:1805.05077 (cross-list from math.OC) [pdf, other]
Title: Discrete dividend payments in continuous time
Comments: 17 pages, 6 figures
Subjects: Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

Mon, 14 May 2018

[24]  arXiv:1805.04325 [pdf, other]
Title: Network Sensitivity of Systemic Risk
Subjects: Risk Management (q-fin.RM); Physics and Society (physics.soc-ph)
[25]  arXiv:1805.04460 (cross-list from physics.soc-ph) [pdf, other]
Title: Network-based indicators of Bitcoin bubbles
Subjects: Physics and Society (physics.soc-ph); Social and Information Networks (cs.SI); General Finance (q-fin.GN)
[ total of 25 entries: 1-25 ]
[ showing 25 entries per page: fewer | more ]

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