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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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Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target

Hanqing Jin,Yimin Yang

The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis

Yavni Bar-Yam,Marcus A. M. de Aguiar,Yaneer Bar-Yam

Multi-scale Representation of High Frequency Market Liquidity

Anton Golub,Gregor Chliamovitch,Alexandre Dupuis,Bastien Chopard

Permutation approach, high frequency trading and variety of micro patterns in financial time series

Cina Aghamohammadi,Mehran Ebrahimian,Hamed Tahmooresi

Risk diversification: a study of persistence with a filtered correlation-network approach

Nicoló Musmeci,Tomaso Aste,Tiziana Di Matteo

Risk in a large claims insurance market with bipartite graph structure

Oliver Kley,Claudia Kluppelberg,Gesine Reinert

Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates

Beata Stehlikova

Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs

Tim Leung,Xin Li,Zheng Wang

Two maxentropic approaches to determine the probability density of compound risk losses

Erika Gomes-Gon？alves,Henryk Gzyl,Silvia Mayoral

Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That

Peter B. Lerner

On Trading American Put Options with Interactive Volatility

Sigurd Assing,Yufan Zhao

Modelling cross-border systemic risk in the European banking sector: a copula approach

Raffaella Calabrese,Silvia Osmetti

Multi-curve HJM modelling for risk management

Chiara Sabelli,Michele Pioppi,Luca Sitzia,Giacomo Bormetti

General smile asymptotics with bounded maturity

Francesco Caravenna,Jacopo Corbetta

A continuous auction model with insiders and random time of information release

José Manuel Corcuera,Giulia Di Nunno,Gergely Farkas,Bernt ？ksendal

Hydrodynamic limit of order book dynamics

Xuefeng Gao,J. G. Dai,A. B. Dieker,S. J. Deng

Market impacts and the life cycle of investors orders

Emmanuel Bacry,Adrian Iuga,Matthieu Lasnier,Charles-Albert Lehalle

Analyses of Statistical Structures in Economic Indices

Frank W. K. Firk

On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets

Daniel Wilson-Nunn,Hector Zenil

Trend and Fractality Assessment of Mexico's Stock Exchange

Javier Morales,Víctor Tercero,Fernando Camacho,Eduardo Cordero,Luis López,F-Javier Almaguer

Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents

Mateusz Denys,Tomasz Gubiec,Ryszard Kutner

Incorporating Views on Marginal Distributions in the Calibration of Risk Models

Santanu Dey,Sandeep Juneja,Karthyek R. A. Murthy

A fully consistent, minimal model for non-linear market impact

Jonathan Donier,Julius Bonart,Iacopo Mastromatteo,Jean-Philippe Bouchaud

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

Tim Leung,Xin Li

Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm

Frank Gehmlich,Thorsten Schmidt

Long Term Risk: A Martingale Approach

Likuan Qin,Vadim Linetsky

Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales

Ladislav Kristoufek

A biased view of a few possible components when reflecting on the present decade financial and economic crisis

Marcel Ausloos

Identifying Multidiemsnional Adverse Selection Models

Gaurab Aryal

Existence of Steady States for Over-the-Counter Market Models with Several Assets

Alain Belanger,Gaston Giroux,Ndoune Ndoune

Superstars in politics: the role of the media in the rise and success of Junichiro Koizumi

Eiji Yamamura,Fabio Sabatini

The dynamics of the leverage cycle

Christoph Aymanns,J. Doyne Farmer

Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines

David Walsh-Jones,Daniel Jones,Christoph Reisinger

Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input

Peter Martey Addo

Taxation as an instrument of stimulation of innovation-active business entities

Andrey Nechaev

Forecasting future oil production in Norway and the UK: a general improved methodology

Lucas Fievet,Zalàn Forrò,Peter Cauwels,Didier Sornette

A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding

Giovanni Mottola

World Input-Output Network

Federica Cerina,Zhen Zhu,Alessandro Chessa,Massimo Riccaboni

A new perspective on the fundamental theorem of asset pricing for large financial markets

Christa Cuchiero,Irene Klein,Josef Teichmann

Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets

Andrei Lebedev,Petr Zabreiko

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

Erhan Bayraktar,David Promislow,Virginia Young

Max-factor individual risk models with application to credit portfolios

Michel Denuit,Anna Kiriliouk,Johan Segers

Model-Independent Pricing of Asian Options via Optimal Martingale Transport

Florian Stebegg

Tail Risk Constraints and Maximum Entropy

Donald Geman,Hélyette Geman,Nassim Nicholas Taleb

Utility indifference pricing and hedging for structured contracts in energy markets

Giorgia Callegaro,Luciano Campi,Tiziano Vargiolu

On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility

Alessandro Ramponi

Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals

Sebastian E. Ferrando,Alfredo L. Gonzalez,Ivan L. Degano,Massoome Rahsepar

Optimal switching for pairs trading rule: a viscosity solutions approach

Minh Man Ngo,Huyen Pham

Derivatives pricing in energy markets: an infinite dimensional approach

Fred Espen Benth,Paul Krühner

Path Diffusion, Part I

Johan GB Beumee,Chris Cormack,Peyman Khorsand,Manish Patel

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