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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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Moment-free Sharpe ratio estimation from total drawdown durations

Damien Challet

Inference on the Sharpe ratio via the upsilon distribution

Steven E. Pav

Collective synchronization and high frequency systemic instabilities in financial markets

Lucio Maria Calcagnile,Giacomo Bormetti,Michele Treccani,Stefano Marmi,Fabrizio Lillo

Market Fragility, Systemic Risk, and Ricci Curvature

Romeil Sandhu,Tryphon Georgiou,Allen Tannenbaum

Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk$^+$

Jonas Hirz,Uwe Schmock,Pavel V. Shevchenko

New copulas based on general partitions-of-unity and their applications to risk management

Dietmar Pfeifer,Hervé Awoumlac Tsatedem,Andreas M？ndle,C？me Girschig

Long-range memory and multifractality in gold markets

Provash Mali,Amitabha Mukhopadhyay

Profitability of contrarian strategies in the Chinese stock market

Huai-Long Shi,Zhi-Qiang Jiang,Wei-Xing Zhou

The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model

M. Formenti,L. Spadafora,M. Terraneo,F. Ramponi

Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators

Anis Al Gerbi,Benjamin Jourdain,Emmanuelle Clément

Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets

Zhi-Qiang Jiang,Askery A. Canabarro,Boris Podobnik,H. Eugene Stanley,Wei-Xing Zhou

Statistical Emulators for Pricing and Hedging Longevity Risk Products

James Risk,Michael Ludkovski

A computational spectral approach to interest rate models

Luca Di Persio,Michele Bonollo,Gregorio Pellegrini

A BSDE arising in an exponential utility maximization problem in a pure jump market model

Carla Mereu,Robert Stelzer

Why is GDP growth linear?

J？rg D. Becker

Endogenous Formation of Limit Order Books: the Effects of Trading Frequency

Roman Gayduk,Sergey Nadtochiy

From innovation to diversification: a simple competitive model

Fabio Saracco,Riccardo Di Clemente,Andrea Gabrielli,Luciano Pietronero

The Intrinsic Instability of Financial Markets

Sabiou Inoua

The Similarity of Global Value Chains: A Network-Based Measure

Zhen Zhu,Greg Morrison,Michelangelo Puliga,Alessandro Chessa,Massimo Riccaboni

An elementary approach to the option pricing problem

Nikolaos Halidias

Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model

Wei Lin,Shenghong Li,Xingguo Luo,Shane Chern

A Link between Sequential Semi-anonymous Nonatomic Games and their Large but Finite Counterparts

Jian Yang

Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets

Aleksandra Aloric,Peter Sollich,Peter McBurney,Tobias Galla

Estimating the Impact of Wind Generation in the UK

Lisa MH Hall,Alastair Buckley,Jose Mawyin

Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications

Yusuke Morimoto,Makiko Sasada

A reduced-form model for level-1 limit order books

Tzu-Wei Yang,Lingjiong Zhu

Designating market maker behaviour in Limit Order Book markets

Efstathios Panayi,Gareth W. Peters,Jon Danielsson,Jean-Pierre Zigrand

Currency target zone modeling: An interplay between physics and economics

Sandro Claudio Lera,Didier Sornette

GMM Estimation of Affine Term Structure Models

Jaroslava Hlouskova,Leopold S？gner

Mathematics of Predicting Growth

Ron W Nielsen

Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components

Ladislav Kristoufek

On the multiplicative effect of government spending (or any other spending for that matter)

Jo？o P. da Cruz

Interactions between financial and environmental networks in OECD countries

Franco Ruzzenenti,Andreas Joseph,Elisa Ticci,Pietro Vozzella,Giampaolo Gabbi

Shortfall Deviation Risk: An alternative to risk measurement

Marcelo Brutti Righi,Paulo Sergio Ceretta

Non-concave utility maximisation on the positive real axis in discrete time

Laurence Carassus,Miklós Rásonyi,Andrea M. Rodrigues

The intensity of the random variable intercept in the sector of negative probabilities

Marcin Makowski,Edward W. Piotrowski,Jan S？adkowski,Jacek Syska

A law of large numbers for limit order books

Ulrich Horst,Michael Paulsen

Information in stock prices and some consequences: A model-free approach

Yannis G. Yatracos

Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion

J. E. Wesen,V. VV. Vermehren,H. M. de Oliveira

Cascades in multiplex financial networks with debts of different seniority

Charles D. Brummitt,Teruyoshi Kobayashi

Interbank markets and multiplex networks: centrality measures and statistical null models

Leonardo Bargigli,Giovanni di Iasio,Luigi Infante,Fabrizio Lillo,Federico Pierobon

Worldwide clustering of the corruption perception

Michal Paulus,Ladislav Kristoufek

Economic inequality and mobility in kinetic models for social sciences

Maria Letizia Bertotti,Giovanni Modanese

Optional Decomposition for continuous semimartingales under arbitrary filtrations

Ioannis Karatzas,Constantinos Kardaras

The Temporal Dimension of Risk

Ola Mahmoud

Efficiency and credit ratings: a permutation-information-theory analysis

Aurelio F. Bariviera,Luciano Zunino,M. Belen Guercio,Lisana B. Martinez,Osvaldo A. Rosso

Sequential Design for Ranking Response Surfaces

Ruimeng Hu,Mike Ludkovski

The Corporate Social Responsibility is just a twist in a M？bius Strip

Nazaria Solferino,Viviana Solferino

Radner equilibrium in incomplete Levy models

Kasper Larsen,Tanawit Sae Sue

Liquidity and Impact in Fair Markets

Thibault Jaisson

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