arXiv 2016-10-31 EN Long-range Correlation and Market Segmentation in Bond Market Wang, Zhongxing · Yan, Yan · Chen, Xiaosong
arXiv 2016-10-29 EN Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies Leung, Tim · Kang, Jamie
arXiv 2016-10-27 EN Theory of earthquakes interevent times applied to financial markets Jagielski, Maciej · Kutner, Ryszard · Sornette, Didier
arXiv 2016-10-25 EN Cleaning large correlation matrices: tools from random matrix theory Bun, Joël · Bouchaud, Jean-Philippe · Potters, Marc
arXiv 2016-10-24 EN The asset price bubbles in emerging financial markets: a new statistical approach Chen, Shu-Peng · He, Ling-Yun
arXiv 2016-10-22 EN Techniques for multifractal spectrum estimation in financial time series Jizba, Petr · Korbel, Jan
arXiv 2016-10-19 EN Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations Kwapien, Jaroslaw · Oswiecimka, Pawel · Forczek, Marcin · Drozdz, Stanislaw
arXiv 2016-10-15 EN Uncertainty Estimates in the Heston Model via Fisher Information Pfante, Oliver · Bertschinger, Nils
arXiv 2016-10-14 EN Time-Varying Comovement of Foreign Exchange Markets Ito, Mikio · Noda, Akihiko · Wada, Tatsuma
arXiv 2016-10-10 EN Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models Blasques, F · Gorgi, P · Koopman, S · Wintenberger, O
arXiv 2016-10-04 EN Taylor's Law of temporal fluctuation scaling in stock illiquidity Cai, Qing · Xu, Hai-Chuan · Zhou, Wei-Xing
arXiv 2016-10-02 EN Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016 Menezes, Rui · Bentes, Sonia
arXiv 2016-09-17 EN Predicting Future Shanghai Stock Market Price using ANN in the Period 21-Sep-2016 to 11-Oct-2016 Wanjawa, Barack Wamkaya
arXiv 2016-09-16 EN The microstructural foundations of leverage effect and rough volatility Omar, El Euch · Masaaki, Fukasawa · Mathieu, Rosenbaum
arXiv 2016-09-14 EN Entropy and efficiency of the ETF market Calcagnile, Lucio Maria · Corsi, Fulvio · Marmi, Stefano
arXiv 2016-09-04 EN Multivariate Mixed Tempered Stable Distribution Hitaj, Asmerilda · Hubalek, Friedrich · Mercuri, Lorenzo · Rroji, Edit
arXiv 2016-08-28 EN Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship Neeraj · Panigrahi, Prasanta K.
arXiv 2016-08-27 EN Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach Kazemilari, Mansooreh · Djauhari, Maman Abdurachman · Ismail, Zuhaimy
