arXiv 2016-01-18 EN A nonlinear impact: evidences of causal effects of social media on market prices Souza, Thársis T. P. · Aste, Tomaso
arXiv 2016-01-06 EN Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation Kuchuk-Iatsenko, Sergii · Mishura, Yuliya
arXiv 2016-01-05 EN Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model Hazan, Aurélien
arXiv 2016-01-02 EN A detailed heterogeneous agent model for a single asset financial market with trading via an order book Navarro, Roberto Mota · Ridaura, Hernán Larralde
arXiv 2015-12-28 EN Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach Bertschinger, Nils · Pfante, Oliver
arXiv 2015-12-22 EN Hedging of covered options with linear market impact and gamma constraint Bouchard, B · Loeper, G · Zou, Y
arXiv 2015-12-20 EN Optimal decision for the market graph identification problem in sign similarity network Kalyagin, V. A. · Koldanov, P. A. · Pardalos, P. M.
arXiv 2015-12-18 EN Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability Fujii, Masaaki · Takahashi, Akihiko
arXiv 2015-12-17 EN Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process Cozma, Andrei · Reisinger, Christoph
arXiv 2015-12-15 EN Deep Learning Stock Volatility with Google Domestic Trends Xiong, Ruoxuan · Nichols, Eric P. · Shen, Yuan
arXiv 2015-12-11 EN Option pricing in affine generalized Merton models Bayer, Christian · Schoenmakers, John
arXiv 2015-11-29 EN Realized Volatility Analysis in A Spin Model of Financial Markets Takaishi, Tetsuya
arXiv 2015-11-27 EN Full and fast calibration of the Heston stochastic volatility model Cui, Yiran · Rollin, Sebastian del Baño · Germano, Guido
arXiv 2015-11-25 EN An Application of Correlation Clustering to Portfolio Diversification Zhan, Hannah Cheng Juan · Rea, William · Rea, Alethea
arXiv 2015-11-23 EN Box-Cox transformation of firm size data in statistical analysis Chen, Ting Ting · Takaishi, Tetsuya
arXiv 2015-11-03 EN A backward Monte Carlo approach to exotic option pricing Bormetti, Giacomo · Callegaro, Giorgia · Livieri, Giulia · Pallavicini, Andrea
arXiv 2015-11-03 EN Magic points in finance: Empirical integration for parametric option pricing Gaß, Maximilian · Glau, Kathrin · Mair, Maximilian
arXiv 2015-10-19 EN Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines Malyshkin, Vladislav Gennadievich · Bakhramov, Ray
arXiv 2015-10-16 EN Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions Itkin, Andrey
