arXiv 2017-09-18 EN A new approach to the modeling of financial volumes D'Amico, Guglielmo · Petroni, Filippo
arXiv 2017-09-12 EN Random walks and market efficiency in Chinese and Indian equity markets Malafeyev, Oleg · Awasthi, Achal · Kambekar, Kaustubh S.
arXiv 2017-09-11 EN Support Spinor Machine Kanjamapornkul, Kabin · Pinčák, Richard · Chunithpaisan, Sanphet · Bartoš, Erik
arXiv 2017-09-11 EN A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction Zhu, Zheqing · Liu, Jian-guo · Li, Lei
arXiv 2017-09-05 EN Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets Camilo, Daniela Castro · de Carvalho, Miguel · Wadsworth, Jennifer
arXiv 2017-08-14 EN Optimum thresholding using mean and conditional mean square error Figueroa-López, José E. · Mancini, Cecilia
arXiv 2017-08-12 EN Some stylized facts of the Bitcoin market Bariviera, Aurelio F. · Basgall, María José · Hasperué, Waldo · Naiouf, Marcelo
arXiv 2017-08-11 EN Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece Papaioannou, Panagiotis G. · Papaioannou, George P. · Siettos, Kostas · Stratigakos, Akylas +1
arXiv 2017-08-07 EN Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach Barbaglia, Luca · Croux, Christophe · Wilms, Ines
arXiv 2017-08-01 EN Forecasting day-ahead electricity prices in Europe: the importance of considering market integration Lago, Jesus · De Ridder, Fjo · Vrancx, Peter · De Schutter, Bart
arXiv 2017-07-31 EN Spurious memory in non-equilibrium stochastic models of imitative behavior Gontis, Vygintas · Kononovicius, Aleksejus
arXiv 2017-07-22 EN Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions Demos, Guilherme · Sornette, Didier
arXiv 2017-07-19 EN Stock Prediction: a method based on extraction of news features and recurrent neural networks Zhang, Zeya · Chen, Weizheng · Yan, Hongfei
arXiv 2017-07-18 EN Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets Shi, H. -L. · Zhou, W. -X.
arXiv 2017-07-18 EN Power-law tails in the distribution of order imbalance Zhang, T. · Gu, G. -F. · Xu, H. -C. · Xiong, X. +2
arXiv 2017-07-18 EN Plunges in the Bombay stock exchange: Characteristics and indicators Banerjee, Kinjal · Sharma, Chandradew · Bittu, N.
arXiv 2017-07-16 EN Transitions between superstatistical regimes: validity, breakdown and applications Jizba, Petr · Korbel, Jan · Lavička, Hynek · Prokš, Martin +2
