arXiv 2017-03-20 EN Biased Risk Parity with Fractal Model of Risk Kamenshchikov, Sergey · Drozdov, Ilia
arXiv 2017-03-09 EN Diffusive and arrested-like dynamics in currency exchange markets Clara-Rahola, Joaquim · Puertas, Antonio M. · Sanchez-Granero, Miguel Angel · Trinidad-Segovia, Juan E. +1
arXiv 2017-03-06 EN Wisdom of the institutional crowd Primicerio, Kevin · Challet, Damien · Gualdi, Stanislao
arXiv 2017-03-04 EN New approaches in agent-based modeling of complex financial systems Chen, T. T. · Zheng, B. · Li, Y. · Jiang, X. F.
arXiv 2017-02-20 EN Relation between regional uncertainty spillovers in the global banking system Tungsong, Sachapon · Caccioli, Fabio · Aste, Tomaso
arXiv 2017-02-20 EN Performance of information criteria used for model selection of Hawkes process models of financial data Chen, J. M. · Hawkes, A. G. · Scalas, E. · Trinh, M.
arXiv 2017-02-20 EN Evidence for criticality in financial data López, G. Ruiz · de Marcos, A. Fernández
arXiv 2017-02-15 EN Hawkes process model with a time-dependent background rate and its application to high-frequency financial data Omi, Takahiro · Hirata, Yoshito · Aihara, Kazuyuki
arXiv 2017-02-09 EN Rough volatility: evidence from option prices Livieri, Giulia · Mouti, Saad · Pallavicini, Andrea · Rosenbaum, Mathieu
arXiv 2017-02-07 EN Time series momentum and contrarian effects in the Chinese stock market Shi, Huai-Long · Zhou, Wei-Xing
arXiv 2017-02-03 EN Estimation of a noisy subordinated Brownian Motion via two-scales power variations Figueroa-Lopez, Jose E. · Lee, K.
arXiv 2017-02-02 EN Record statistics of a strongly correlated time series: random walks and Lévy flights Godreche, Claude · Majumdar, Satya N. · Schehr, Gregory
arXiv 2017-01-25 EN Time Series Copulas for Heteroskedastic Data Loaiza-Maya, Rubén · Smith, Michael S. · Maneesoonthorn, Worapree
arXiv 2017-01-18 EN On the tail behavior of a class of multivariate conditionally heteroskedastic processes Pedersen, Rasmus · Wintenberger, Olivier
arXiv 2017-01-18 EN Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk Connolly, Oisin
arXiv 2017-01-05 EN Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets Gontis, V. · Kononovicius, A.
arXiv 2016-12-29 EN Global economic dynamics of the forthcoming years. A forecast Akaev, Askar · Korotayev, Andrey
