arXiv 2016-12-22 EN How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights Caraglio, Michele · Baldovin, Fulvio · Stella, Attilio L.
arXiv 2016-12-15 EN Predictability Hidden by Anomalous Observations Camponovo, Lorenzo · Scaillet, Olivier · Trojani, Fabio
arXiv 2016-12-15 EN Stylized Facts and Simulating Long Range Financial Data Davies, Laurie · Krämer, Walter
arXiv 2016-12-15 EN A diagnostic criterion for approximate factor structure Gagliardini, Patrick · Ossola, Elisa · Scaillet, Olivier
arXiv 2016-12-14 EN Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations Figueroa-López, José E. · Li, Cheng
arXiv 2016-12-13 EN S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes Papaioannou, Panagiotis · Dionysopoulos, Thomas · Janetzko, Dietmar · Siettos, Constantinos
arXiv 2016-12-08 EN Order statistics of horse racing and the randomly broken stick Bebbington, Peter A. · Bonart, Julius
arXiv 2016-12-05 EN Evaluating the Performance of ANN Prediction System at Shanghai Stock Market in the Period 21-Sep-2016 to 11-Oct-2016 Wanjawa, Barack Wamkaya
arXiv 2016-11-24 EN Multiple Time Series Ising Model for Financial Market Simulations Takaishi, Tetsuya
arXiv 2016-11-21 EN Quantifying immediate price impact of trades based on the k-shell decomposition of stock trading networks Xie, Wen-Jie · Li, Ming-Xia · Xu, Hai-Chuan · Chen, Wei +2
arXiv 2016-11-19 EN Interplay between endogenous and exogenous fluctuations in financial markets Gontis, Vygintas
arXiv 2016-11-17 EN Random matrix approach to estimation of high-dimensional factor models Yeo, Joongyeub · Papanicolaou, George
arXiv 2016-11-15 EN Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall Kratz, Marie · Lok, Yen H. · McNeil, Alexander J
arXiv 2016-11-15 EN Empirical analysis of daily cash flow time series and its implications for forecasting Salas-Molina, Francisco · Rodríguez-Aguilar, Juan A. · Serrà, Joan · Guillen, Montserrat +1
arXiv 2016-11-13 EN Immediate price impact of a stock and its warrant: Power-law or logarithmic model? Xu, Hai-Chuan · Jiang, Zhi-Qiang · Zhou, Wei-Xing
arXiv 2016-11-13 EN Time-varying return predictability in the Chinese stock market Shi, Huai-Long · Jiang, Zhi-Qiang · Zhou, Wei-Xing
arXiv 2016-11-08 EN Emerging interdependence between stock values during financial crashes Rocchi, Jacopo · Tsui, Enoch Yan Lok · Saad, David
arXiv 2016-11-05 EN "Chaos" in energy and commodity markets: a controversial matter Mastroeni, Loretta · Vellucci, Pierluigi
arXiv 2016-11-03 EN Joint multifractal analysis based on wavelet leaders Jiang, Zhi-Qiang · Yang, Yan-Hong · Wang, Gang-Jin · Zhou, Wei-Xing
arXiv 2016-11-01 EN Application of the Generalized Linear Models in Actuarial Framework Siddig, Murwan H. M. A.
