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Quantitative Finance Sep 2017
<!DOCTYPE html> <html lang="en"> <head> <title>Quantitative Finance Sep 2017</title> <meta name="viewport" content="width=device-width, initial-scale=1"> <link rel="apple-touch-icon" sizes="180x180" href="/static/browse/0.3.4/images/icons/apple-touch-icon.png"> <link rel="icon" type="image/png" sizes="32x32" href="/static/browse/0.3.4/images/icons/favicon-32x32.png"> <link rel="icon" type="image/png" sizes="16x16" href="/static/browse/0.3.4/images/icons/favicon-16x16.png"> <link rel="manifest" href="/static/browse/0.3.4/images/icons/site.webmanifest"> <link rel="mask-icon" href="/static/browse/0.3.4/images/icons/safari-pinned-tab.svg" color="#5bbad5"> <meta name="msapplication-TileColor" content="#da532c"> <meta name="theme-color" content="#ffffff"> <link rel="stylesheet" type="text/css" media="screen" href="/static/browse/0.3.4/css/arXiv.css?v=20241206" /> <link rel="stylesheet" type="text/css" media="print" href="/static/browse/0.3.4/css/arXiv-print.css?v=20200611" /> <link 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href=/list/q-fin/2017-09?skip=0&show=2000 rel="nofollow"> all</a> </div> <dl id='articles'> <dt> <a name='item1'>[1]</a> <a href ="/abs/1709.00282" title="Abstract" id="1709.00282"> arXiv:1709.00282 </a> [<a href="/pdf/1709.00282" title="Download PDF" id="pdf-1709.00282" aria-labelledby="pdf-1709.00282">pdf</a>, <a href="/format/1709.00282" title="Other formats" id="oth-1709.00282" aria-labelledby="oth-1709.00282">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Olkhov,+V">Victor Olkhov</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 31 pages </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span> </div> </div> </dd> <dt> <a name='item2'>[2]</a> <a href ="/abs/1709.00468" title="Abstract" id="1709.00468"> arXiv:1709.00468 </a> [<a href="/pdf/1709.00468" title="Download PDF" id="pdf-1709.00468" aria-labelledby="pdf-1709.00468">pdf</a>, <a href="/format/1709.00468" title="Other formats" id="oth-1709.00468" aria-labelledby="oth-1709.00468">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> An Option Pricing Model with Memory </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sancier,+F">Flavia Sancier</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mohammed,+S">Salah Mohammed</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span> </div> </div> </dd> <dt> <a name='item3'>[3]</a> <a href ="/abs/1709.01115" title="Abstract" id="1709.01115"> arXiv:1709.01115 </a> [<a href="/pdf/1709.01115" title="Download PDF" id="pdf-1709.01115" aria-labelledby="pdf-1709.01115">pdf</a>, <a href="/format/1709.01115" title="Other formats" id="oth-1709.01115" aria-labelledby="oth-1709.01115">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Risk-Minimizing Hedging of Counterparty Risk </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bo,+L">Lijun Bo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Capponi,+A">Agostino Capponi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ceci,+C">Claudia Ceci</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 32 pages </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Risk Management (q-fin.RM)</span> </div> </div> </dd> <dt> <a name='item4'>[4]</a> <a href ="/abs/1709.01198" title="Abstract" id="1709.01198"> arXiv:1709.01198 </a> [<a href="/pdf/1709.01198" title="Download PDF" id="pdf-1709.01198" aria-labelledby="pdf-1709.01198">pdf</a>, <a href="/format/1709.01198" title="Other formats" id="oth-1709.01198" aria-labelledby="oth-1709.01198">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Camilo,+D+C">Daniela Castro Camilo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=de+Carvalho,+M">Miguel de Carvalho</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wadsworth,+J">Jennifer Wadsworth</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 23 pages </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span> </div> </div> </dd> <dt> <a name='item5'>[5]</a> <a href ="/abs/1709.01292" title="Abstract" id="1709.01292"> arXiv:1709.01292 </a> [<a href="/pdf/1709.01292" title="Download PDF" id="pdf-1709.01292" aria-labelledby="pdf-1709.01292">pdf</a>, <a href="/format/1709.01292" title="Other formats" id="oth-1709.01292" aria-labelledby="oth-1709.01292">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A Scaling Limit for Limit Order Books Driven by Hawkes Processes </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Horst,+U">Ulrich Horst</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Xu,+W">Wei Xu</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span> </div> </div> </dd> <dt> <a name='item6'>[6]</a> <a href ="/abs/1709.01337" title="Abstract" id="1709.01337"> arXiv:1709.01337 </a> [<a href="/pdf/1709.01337" title="Download PDF" id="pdf-1709.01337" aria-labelledby="pdf-1709.01337">pdf</a>, <a href="/format/1709.01337" title="Other formats" id="oth-1709.01337" aria-labelledby="oth-1709.01337">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Backtesting Expected Shortfall: a simple recipe? </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Moldenhauer,+F">Felix Moldenhauer</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pitera,+M">Marcin Pitera</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Risk Management (q-fin.RM)</span>; Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF) </div> </div> </dd> <dt> <a name='item7'>[7]</a> <a href ="/abs/1709.02015" title="Abstract" id="1709.02015"> arXiv:1709.02015 </a> [<a href="/pdf/1709.02015" title="Download PDF" id="pdf-1709.02015" aria-labelledby="pdf-1709.02015">pdf</a>, <a href="/format/1709.02015" title="Other formats" id="oth-1709.02015" aria-labelledby="oth-1709.02015">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The microstructure of high frequency markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Carmona,+R">Rene Carmona</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Webster,+K">Kevin Webster</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span> </div> </div> </dd> <dt> <a name='item8'>[8]</a> <a href ="/abs/1709.02129" title="Abstract" id="1709.02129"> arXiv:1709.02129 </a> [<a href="/pdf/1709.02129" title="Download PDF" id="pdf-1709.02129" aria-labelledby="pdf-1709.02129">pdf</a>, <a href="/format/1709.02129" title="Other formats" id="oth-1709.02129" aria-labelledby="oth-1709.02129">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Data science for assessing possible tax income manipulation: The case of Italy </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ausloos,+M">Marcel Ausloos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cerqueti,+R">Roy Cerqueti</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mir,+T+A">Tariq A. Mir</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 38 pages, 22 figures. To be published in Chaos, Solitons and Fractals </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Chaos, Solitons & Fractals 104 (2017) 238-256 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item9'>[9]</a> <a href ="/abs/1709.02502" title="Abstract" id="1709.02502"> arXiv:1709.02502 </a> [<a href="/pdf/1709.02502" title="Download PDF" id="pdf-1709.02502" aria-labelledby="pdf-1709.02502">pdf</a>, <a href="/format/1709.02502" title="Other formats" id="oth-1709.02502" aria-labelledby="oth-1709.02502">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Clinet,+S">Simon Clinet</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Potiron,+Y">Yoann Potiron</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 77 pages, 4 figures, 8 tables </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span> </div> </div> </dd> <dt> <a name='item10'>[10]</a> <a href ="/abs/1709.02701" title="Abstract" id="1709.02701"> arXiv:1709.02701 </a> [<a href="/pdf/1709.02701" title="Download PDF" id="pdf-1709.02701" aria-labelledby="pdf-1709.02701">pdf</a>, <a href="/format/1709.02701" title="Other formats" id="oth-1709.02701" aria-labelledby="oth-1709.02701">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Winning Investment Strategies Based on Financial Crisis Indicators </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kornprobst,+A">Antoine Kornprobst</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span> </div> </div> </dd> <dt> <a name='item11'>[11]</a> <a href ="/abs/1709.03169" title="Abstract" id="1709.03169"> arXiv:1709.03169 </a> [<a href="/pdf/1709.03169" title="Download PDF" id="pdf-1709.03169" aria-labelledby="pdf-1709.03169">pdf</a>, <a href="/format/1709.03169" title="Other formats" id="oth-1709.03169" aria-labelledby="oth-1709.03169">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On portfolios generated by optimal transport </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wong,+T+L">Ting-Kam Leonard Wong</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 19 pages, 4 figures. Revised </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item12'>[12]</a> <a href ="/abs/1709.03226" title="Abstract" id="1709.03226"> arXiv:1709.03226 </a> [<a href="/pdf/1709.03226" title="Download PDF" id="pdf-1709.03226" aria-labelledby="pdf-1709.03226">pdf</a>, <a href="/format/1709.03226" title="Other formats" id="oth-1709.03226" aria-labelledby="oth-1709.03226">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Predictive Modeling: An Optimized and Dynamic Solution Framework for Systematic Value Investing </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sak,+R">R.J. Sak</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span> </div> </div> </dd> <dt> <a name='item13'>[13]</a> <a href ="/abs/1709.03310" title="Abstract" id="1709.03310"> arXiv:1709.03310 </a> [<a href="/pdf/1709.03310" title="Download PDF" id="pdf-1709.03310" aria-labelledby="pdf-1709.03310">pdf</a>, <a href="/format/1709.03310" title="Other formats" id="oth-1709.03310" aria-labelledby="oth-1709.03310">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Additive energy forward curves in a Heath-Jarrow-Morton framework </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Benth,+F+E">Fred Espen Benth</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Piccirilli,+M">Marco Piccirilli</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Vargiolu,+T">Tiziano Vargiolu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 28 pages </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item14'>[14]</a> <a href ="/abs/1709.03535" title="Abstract" id="1709.03535"> arXiv:1709.03535 </a> [<a href="/pdf/1709.03535" title="Download PDF" id="pdf-1709.03535" aria-labelledby="pdf-1709.03535">pdf</a>, <a href="/format/1709.03535" title="Other formats" id="oth-1709.03535" aria-labelledby="oth-1709.03535">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Huang,+Y">Yu-Jui Huang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Nguyen-Huu,+A">Adrien Nguyen-Huu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+X+Y">Xun Yu Zhou</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Mathematical Finance, Vol. 30 (2020), Issue 1, pp 310-340 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; General Economics (econ.GN) </div> </div> </dd> <dt> <a name='item15'>[15]</a> <a href ="/abs/1709.03611" title="Abstract" id="1709.03611"> arXiv:1709.03611 </a> [<a href="/pdf/1709.03611" title="Download PDF" id="pdf-1709.03611" aria-labelledby="pdf-1709.03611">pdf</a>, <a href="/format/1709.03611" title="Other formats" id="oth-1709.03611" aria-labelledby="oth-1709.03611">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhu,+Z">Zheqing Zhu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Liu,+J">Jian-guo Liu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Li,+L">Lei Li</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Computational Engineering, Finance, and Science (cs.CE) </div> </div> </dd> <dt> <a name='item16'>[16]</a> <a href ="/abs/1709.03803" title="Abstract" id="1709.03803"> arXiv:1709.03803 </a> [<a href="/pdf/1709.03803" title="Download PDF" id="pdf-1709.03803" aria-labelledby="pdf-1709.03803">pdf</a>, <a href="/format/1709.03803" title="Other formats" id="oth-1709.03803" aria-labelledby="oth-1709.03803">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hu,+G">Guosheng Hu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hu,+Y">Yuxin Hu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yang,+K">Kai Yang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yu,+Z">Zehao Yu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sung,+F">Flood Sung</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhang,+Z">Zhihong Zhang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Xie,+F">Fei Xie</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Liu,+J">Jianguo Liu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Robertson,+N">Neil Robertson</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hospedales,+T">Timothy Hospedales</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Miemie,+Q">Qiangwei Miemie</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Accepted to International Conference on Acoustics, Speech and Signal Processing (ICASSP) 2018 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span> </div> </div> </dd> <dt> <a name='item17'>[17]</a> <a href ="/abs/1709.04059" title="Abstract" id="1709.04059"> arXiv:1709.04059 </a> [<a href="/pdf/1709.04059" title="Download PDF" id="pdf-1709.04059" aria-labelledby="pdf-1709.04059">pdf</a>, <a href="/format/1709.04059" title="Other formats" id="oth-1709.04059" aria-labelledby="oth-1709.04059">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Random walks and market efficiency in Chinese and Indian equity markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Malafeyev,+O">Oleg Malafeyev</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Awasthi,+A">Achal Awasthi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kambekar,+K+S">Kaustubh S. Kambekar</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item18'>[18]</a> <a href ="/abs/1709.04070" title="Abstract" id="1709.04070"> arXiv:1709.04070 </a> [<a href="/pdf/1709.04070" title="Download PDF" id="pdf-1709.04070" aria-labelledby="pdf-1709.04070">pdf</a>, <a href="/format/1709.04070" title="Other formats" id="oth-1709.04070" aria-labelledby="oth-1709.04070">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Multivariate Density Modeling for Retirement Finance </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Rook,+C+J">Christopher J. Rook</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Full C/C++ implementation is included in the appendix </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Computational Engineering, Finance, and Science (cs.CE); Applications (stat.AP) </div> </div> </dd> <dt> <a name='item19'>[19]</a> <a href ="/abs/1709.04387" title="Abstract" id="1709.04387"> arXiv:1709.04387 </a> [<a href="/pdf/1709.04387" title="Download PDF" id="pdf-1709.04387" aria-labelledby="pdf-1709.04387">pdf</a>, <a href="/format/1709.04387" title="Other formats" id="oth-1709.04387" aria-labelledby="oth-1709.04387">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Welfare effects of information and rationality in portfolio decisions under parameter uncertainty </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Longo,+M">Michele Longo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mainini,+A">Alessandra Mainini</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 36 pages </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Portfolio Management (q-fin.PM) </div> </div> </dd> <dt> <a name='item20'>[20]</a> <a href ="/abs/1709.04415" title="Abstract" id="1709.04415"> arXiv:1709.04415 </a> [<a href="/pdf/1709.04415" title="Download PDF" id="pdf-1709.04415" aria-labelledby="pdf-1709.04415">pdf</a>, <a href="/format/1709.04415" title="Other formats" id="oth-1709.04415" aria-labelledby="oth-1709.04415">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Huo,+X">Xiaoguang Huo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fu,+F">Feng Fu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 15 pages, 2 figures. This is one of the student project papers arsing from the Mathematics REU program at Dartmouth 2017 Summer. See <a href="https://math.dartmouth.edu/~reu/" rel="external noopener nofollow" class="link-external link-https">this https URL</a> for more info. Comments are always welcome </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span> </div> </div> </dd> <dt> <a name='item21'>[21]</a> <a href ="/abs/1709.04620" title="Abstract" id="1709.04620"> arXiv:1709.04620 </a> [<a href="/pdf/1709.04620" title="Download PDF" id="pdf-1709.04620" aria-labelledby="pdf-1709.04620">pdf</a>, <a href="/format/1709.04620" title="Other formats" id="oth-1709.04620" aria-labelledby="oth-1709.04620">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Random matrix approach for primal-dual portfolio optimization problems </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tada,+D">Daichi Tada</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yamamoto,+H">Hisashi Yamamoto</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Shinzato,+T">Takashi Shinzato</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 24 pages, 4 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Disordered Systems and Neural Networks (cond-mat.dis-nn); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Optimization and Control (math.OC) </div> </div> </dd> <dt> <a name='item22'>[22]</a> <a href ="/abs/1709.05117" title="Abstract" id="1709.05117"> arXiv:1709.05117 </a> [<a href="/pdf/1709.05117" title="Download PDF" id="pdf-1709.05117" aria-labelledby="pdf-1709.05117">pdf</a>, <a href="/format/1709.05117" title="Other formats" id="oth-1709.05117" aria-labelledby="oth-1709.05117">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Optimal Inflation Target: Insights from an Agent-Based Model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bouchaud,+J">Jean-Philippe Bouchaud</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gualdi,+S">Stanislao Gualdi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tarzia,+M">Marco Tarzia</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zamponi,+F">Francesco Zamponi</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 19 pages, 6 figures. The paper is under review for the online journal "Economics". The reviews are public at this link: <a href="http://www.economics-ejournal.org/economics/discussionpapers/2017-64" rel="external noopener nofollow" class="link-external link-http">this http URL</a> . This version has been modified and improved following the advice of the reviewers and commentators </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Economics: The Open-Access, Open-Assessment E-Journal, 12 (2018-15): 1-26 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item23'>[23]</a> <a href ="/abs/1709.05272" title="Abstract" id="1709.05272"> arXiv:1709.05272 </a> [<a href="/pdf/1709.05272" title="Download PDF" id="pdf-1709.05272" aria-labelledby="pdf-1709.05272">pdf</a>, <a href="/format/1709.05272" title="Other formats" id="oth-1709.05272" aria-labelledby="oth-1709.05272">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Economic Complexity: "Buttarla in caciara" vs a constructive approach </div> <div class='list-authors'><a href="https://arxiv.org/search/econ?searchtype=author&query=Pietronero,+L">Luciano Pietronero</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Cristelli,+M">Matthieu Cristelli</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Gabrielli,+A">Andrea Gabrielli</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Mazzilli,+D">Dario Mazzilli</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Pugliese,+E">Emanuele Pugliese</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Tacchella,+A">Andrea Tacchella</a>, <a href="https://arxiv.org/search/econ?searchtype=author&query=Zaccaria,+A">Andrea Zaccaria</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span> </div> </div> </dd> <dt> <a name='item24'>[24]</a> <a href ="/abs/1709.05392" title="Abstract" id="1709.05392"> arXiv:1709.05392 </a> [<a href="/pdf/1709.05392" title="Download PDF" id="pdf-1709.05392" aria-labelledby="pdf-1709.05392">pdf</a>, <a href="/format/1709.05392" title="Other formats" id="oth-1709.05392" aria-labelledby="oth-1709.05392">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Relatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jun,+B">Bogang Jun</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Alshamsi,+A">Aamena Alshamsi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gao,+J">Jian Gao</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hidalgo,+C+A">Cesar A Hidalgo</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span> </div> </div> </dd> <dt> <a name='item25'>[25]</a> <a href ="/abs/1709.05519" title="Abstract" id="1709.05519"> arXiv:1709.05519 </a> [<a href="/pdf/1709.05519" title="Download PDF" id="pdf-1709.05519" aria-labelledby="pdf-1709.05519">pdf</a>, <a href="/format/1709.05519" title="Other formats" id="oth-1709.05519" aria-labelledby="oth-1709.05519">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Semi-Static and Sparse Variance-Optimal Hedging </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Di+Tella,+P">Paolo Di Tella</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Haubold,+M">Martin Haubold</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Keller-Ressel,+M">Martin Keller-Ressel</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 4 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item26'>[26]</a> <a href ="/abs/1709.05594" title="Abstract" id="1709.05594"> arXiv:1709.05594 </a> [<a href="/pdf/1709.05594" title="Download PDF" id="pdf-1709.05594" aria-labelledby="pdf-1709.05594">pdf</a>, <a href="/format/1709.05594" title="Other formats" id="oth-1709.05594" aria-labelledby="oth-1709.05594">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> GDP growth rates as confined L茅vy flights </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lera,+S+C">Sandro Claudio Lera</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sornette,+D">Didier Sornette</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Phys. Rev. E 97, 012150 (2018) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item27'>[27]</a> <a href ="/abs/1709.05823" title="Abstract" id="1709.05823"> arXiv:1709.05823 </a> [<a href="/pdf/1709.05823" title="Download PDF" id="pdf-1709.05823" aria-labelledby="pdf-1709.05823">pdf</a>, <a href="/format/1709.05823" title="Other formats" id="oth-1709.05823" aria-labelledby="oth-1709.05823">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A new approach to the modeling of financial volumes </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=D'Amico,+G">Guglielmo D'Amico</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Petroni,+F">Filippo Petroni</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span> </div> </div> </dd> <dt> <a name='item28'>[28]</a> <a href ="/abs/1709.05837" title="Abstract" id="1709.05837"> arXiv:1709.05837 </a> [<a href="/pdf/1709.05837" title="Download PDF" id="pdf-1709.05837" aria-labelledby="pdf-1709.05837">pdf</a>, <a href="/format/1709.05837" title="Other formats" id="oth-1709.05837" aria-labelledby="oth-1709.05837">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Optimal Liquidation Problems in a Randomly-Terminated Horizon </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yang,+Q">Qing-Qing Yang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ching,+W">Wai-Ki Ching</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gu,+J">Jia-Wen Gu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wong,+T+K">Tak Kwong Wong</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Analysis of PDEs (math.AP) </div> </div> </dd> <dt> <a name='item29'>[29]</a> <a href ="/abs/1709.06279" title="Abstract" id="1709.06279"> arXiv:1709.06279 </a> [<a href="/pdf/1709.06279" title="Download PDF" id="pdf-1709.06279" aria-labelledby="pdf-1709.06279">pdf</a>, <a href="/format/1709.06279" title="Other formats" id="oth-1709.06279" aria-labelledby="oth-1709.06279">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Universal L茅vy's stable law of stock market and its characterization </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fukunaga,+T">Takumi Fukunaga</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Umeno,+K">Ken Umeno</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span> </div> </div> </dd> <dt> <a name='item30'>[30]</a> <a href ="/abs/1709.06296" title="Abstract" id="1709.06296"> arXiv:1709.06296 </a> [<a href="/pdf/1709.06296" title="Download PDF" id="pdf-1709.06296" aria-labelledby="pdf-1709.06296">pdf</a>, <a href="/format/1709.06296" title="Other formats" id="oth-1709.06296" aria-labelledby="oth-1709.06296">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hautsch,+N">Nikolaus Hautsch</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Voigt,+S">Stefan Voigt</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Journal of Econometrics, 2019, 212(1), p. 221-240 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span> </div> </div> </dd> <dt> <a name='item31'>[31]</a> <a href ="/abs/1709.06348" title="Abstract" id="1709.06348"> arXiv:1709.06348 </a> [<a href="/pdf/1709.06348" title="Download PDF" id="pdf-1709.06348" aria-labelledby="pdf-1709.06348">pdf</a>, <a href="/format/1709.06348" title="Other formats" id="oth-1709.06348" aria-labelledby="oth-1709.06348">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On the Bail-Out Optimal Dividend Problem </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=P%C3%A9rez,+J">Jos茅-Luis P茅rez</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yamazaki,+K">Kazutoshi Yamazaki</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yu,+X">Xiang Yu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> To appear in Journal of Optimization Theory and Applications. Keywords: stochastic control, scale functions, refracted-reflected L茅vy processes, bail-out dividend problem </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Optimization and Control (math.OC); Risk Management (q-fin.RM) </div> </div> </dd> <dt> <a name='item32'>[32]</a> <a href ="/abs/1709.06380" title="Abstract" id="1709.06380"> arXiv:1709.06380 </a> [<a href="/pdf/1709.06380" title="Download PDF" id="pdf-1709.06380" aria-labelledby="pdf-1709.06380">pdf</a>, <a href="/format/1709.06380" title="Other formats" id="oth-1709.06380" aria-labelledby="oth-1709.06380">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Modeling of the Labour Force Redistribution in Investment Projects with Account of their Delay </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kolesin,+I">I.D. Kolesin</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Malafeyev,+O">O.A. Malafeyev</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zaitseva,+I">I.V. Zaitseva</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ermakova,+A">A.N. Ermakova</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Shlaev,+D">D.V. Shlaev</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span> </div> </div> </dd> <dt> <a name='item33'>[33]</a> <a href ="/abs/1709.06480" title="Abstract" id="1709.06480"> arXiv:1709.06480 </a> [<a href="/pdf/1709.06480" title="Download PDF" id="pdf-1709.06480" aria-labelledby="pdf-1709.06480">pdf</a>, <a href="/format/1709.06480" title="Other formats" id="oth-1709.06480" aria-labelledby="oth-1709.06480">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Kinetic theory and Brazilian income distribution </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Siciliani,+I+D+S">Igor D. S. Siciliani</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tragtenberg,+M+H+R">Marcelo H. R. Tragtenberg</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span> </div> </div> </dd> <dt> <a name='item34'>[34]</a> <a href ="/abs/1709.06517" title="Abstract" id="1709.06517"> arXiv:1709.06517 </a> [<a href="/pdf/1709.06517" title="Download PDF" id="pdf-1709.06517" aria-labelledby="pdf-1709.06517">pdf</a>, <a href="/format/1709.06517" title="Other formats" id="oth-1709.06517" aria-labelledby="oth-1709.06517">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=O.,+H">Hyong-Chol O.</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kim,+J">Jong-Chol Kim</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jon,+I">Il-Gwang Jon</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 15 pages, 12 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Numerical Analysis (math.NA); Computational Finance (q-fin.CP) </div> </div> </dd> <dt> <a name='item35'>[35]</a> <a href ="/abs/1709.06641" title="Abstract" id="1709.06641"> arXiv:1709.06641 </a> [<a href="/pdf/1709.06641" title="Download PDF" id="pdf-1709.06641" aria-labelledby="pdf-1709.06641">pdf</a>, <a href="/format/1709.06641" title="Other formats" id="oth-1709.06641" aria-labelledby="oth-1709.06641">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Dead Alphas as Risk Factors </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kakushadze,+Z">Zura Kakushadze</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yu,+W">Willie Yu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 9 pages; to appear as an Invited Editorial in Journal of Asset Management </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Journal of Asset Management 19(2) (2018) 110-115, Invited Editorial </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Risk Management (q-fin.RM) </div> </div> </dd> <dt> <a name='item36'>[36]</a> <a href ="/abs/1709.06759" title="Abstract" id="1709.06759"> arXiv:1709.06759 </a> [<a href="/pdf/1709.06759" title="Download PDF" id="pdf-1709.06759" aria-labelledby="pdf-1709.06759">pdf</a>, <a href="/format/1709.06759" title="Other formats" id="oth-1709.06759" aria-labelledby="oth-1709.06759">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Malyshkin,+V+G">Vladislav Gennadievich Malyshkin</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Adjustments to software description due to API changes in <a href="https://arxiv.org/abs/1903.11530" data-arxiv-id="1903.11530" class="link-https">arXiv:1903.11530</a> </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Computational Finance (q-fin.CP) </div> </div> </dd> <dt> <a name='item37'>[37]</a> <a href ="/abs/1709.07300" title="Abstract" id="1709.07300"> arXiv:1709.07300 </a> [<a href="/pdf/1709.07300" title="Download PDF" id="pdf-1709.07300" aria-labelledby="pdf-1709.07300">pdf</a>, <a href="/format/1709.07300" title="Other formats" id="oth-1709.07300" aria-labelledby="oth-1709.07300">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Facebook drives behavior of passive households in stock markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Siikanen,+M">Milla Siikanen</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Baltakys,+K">K臋stutis Baltakys</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kanniainen,+J">Juho Kanniainen</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Vatrapu,+R">Ravi Vatrapu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mukkamala,+R">Raghava Mukkamala</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hussain,+A">Abid Hussain</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> This paper is forthcoming in Finance Research Letters </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span> </div> </div> </dd> <dt> <a name='item38'>[38]</a> <a href ="/abs/1709.07446" title="Abstract" id="1709.07446"> arXiv:1709.07446 </a> [<a href="/pdf/1709.07446" title="Download PDF" id="pdf-1709.07446" aria-labelledby="pdf-1709.07446">pdf</a>, <a href="/format/1709.07446" title="Other formats" id="oth-1709.07446" aria-labelledby="oth-1709.07446">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Arbitrage and Geometry </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Naiman,+D+Q">Daniel Q. Naiman</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Scheinerman,+E+R">Edward R. Scheinerman</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 22 pages, 9 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span>; Statistics Theory (math.ST) </div> </div> </dd> <dt> <a name='item39'>[39]</a> <a href ="/abs/1709.07527" title="Abstract" id="1709.07527"> arXiv:1709.07527 </a> [<a href="/pdf/1709.07527" title="Download PDF" id="pdf-1709.07527" aria-labelledby="pdf-1709.07527">pdf</a>, <a href="/format/1709.07527" title="Other formats" id="oth-1709.07527" aria-labelledby="oth-1709.07527">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A posteriori multi-stage optimal trading under transaction costs and a diversification constraint </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Plessen,+M+G">Mogens Graf Plessen</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bemporad,+A">Alberto Bemporad</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 25 pages, 4 figures, 6 tables </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> The Journal of Trading Summer 2018, 13 (3) 67-83 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Computational Engineering, Finance, and Science (cs.CE) </div> </div> </dd> <dt> <a name='item40'>[40]</a> <a href ="/abs/1709.07682" title="Abstract" id="1709.07682"> arXiv:1709.07682 </a> [<a href="/pdf/1709.07682" title="Download PDF" id="pdf-1709.07682" aria-labelledby="pdf-1709.07682">pdf</a>, <a href="/format/1709.07682" title="Other formats" id="oth-1709.07682" aria-labelledby="oth-1709.07682">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> New copulas based on general partitions-of-unity and their applications to risk management (part II) </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pfeifer,+D">Dietmar Pfeifer</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=M%C3%A4ndle,+A">Andreas M盲ndle</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ragulina,+O">Olena Ragulina</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 12 pages, 24 figures, 3 tables, 10 references </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Dependence Modeling (2017), 246 - 255 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Risk Management (q-fin.RM)</span> </div> </div> </dd> <dt> <a name='item41'>[41]</a> <a href ="/abs/1709.07960" title="Abstract" id="1709.07960"> arXiv:1709.07960 </a> [<a href="/pdf/1709.07960" title="Download PDF" id="pdf-1709.07960" aria-labelledby="pdf-1709.07960">pdf</a>, <a href="/format/1709.07960" title="Other formats" id="oth-1709.07960" aria-labelledby="oth-1709.07960">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Andrei,+T">Tudorel Andrei</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Oancea,+B">Bogdan Oancea</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Richmond,+P">Peter Richmond</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dhesi,+G">Gurjeet Dhesi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Herteliu,+C">Claudiu Herteliu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 12 pages, 5 figures, 4 tables, 49 references </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Entropy, volume 19, issue 9, 2017, 430 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item42'>[42]</a> <a href ="/abs/1709.08023" title="Abstract" id="1709.08023"> arXiv:1709.08023 </a> [<a href="/pdf/1709.08023" title="Download PDF" id="pdf-1709.08023" aria-labelledby="pdf-1709.08023">pdf</a>, <a href="/format/1709.08023" title="Other formats" id="oth-1709.08023" aria-labelledby="oth-1709.08023">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Ownership Cost Calculations for Distributed Energy Resources Using Uncertainty and Risk Analyses </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pourmousavi,+S+A">S. Ali Pourmousavi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Behrangrad,+M">Mahdi Behrangrad</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ardakani,+A+J">Ali Jahanbani Ardakani</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Nehrir,+M+H">M. Hashem Nehrir</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 8 pages, 7 figures, 3 tables </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Economics (econ.GN)</span>; Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item43'>[43]</a> <a href ="/abs/1709.08075" title="Abstract" id="1709.08075"> arXiv:1709.08075 </a> [<a href="/pdf/1709.08075" title="Download PDF" id="pdf-1709.08075" aria-labelledby="pdf-1709.08075">pdf</a>, <a href="/format/1709.08075" title="Other formats" id="oth-1709.08075" aria-labelledby="oth-1709.08075">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Local Volatility Calibration by Optimal Transport </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Guo,+I">Ivan Guo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Loeper,+G">Gr茅goire Loeper</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wang,+S">Shiyi Wang</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> 2017 MATRIX Annals, Vol. 2, 2019, 51-64 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span> </div> </div> </dd> <dt> <a name='item44'>[44]</a> <a href ="/abs/1709.08090" title="Abstract" id="1709.08090"> arXiv:1709.08090 </a> [<a href="/pdf/1709.08090" title="Download PDF" id="pdf-1709.08090" aria-labelledby="pdf-1709.08090">pdf</a>, <a href="/format/1709.08090" title="Other formats" id="oth-1709.08090" aria-labelledby="oth-1709.08090">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The inefficiency of Bitcoin revisited: a dynamic approach </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bariviera,+A+F">Aurelio F. Bariviera</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Economics Letters, 2017 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Computational Finance (q-fin.CP); General Finance (q-fin.GN); Risk Management (q-fin.RM) </div> </div> </dd> <dt> <a name='item45'>[45]</a> <a href ="/abs/1709.08134" title="Abstract" id="1709.08134"> arXiv:1709.08134 </a> [<a href="/pdf/1709.08134" title="Download PDF" id="pdf-1709.08134" aria-labelledby="pdf-1709.08134">pdf</a>, <a href="/format/1709.08134" title="Other formats" id="oth-1709.08134" aria-labelledby="oth-1709.08134">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Option Pricing with Greed and Fear Factor: The Rational Finance Approach </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Rachev,+S">Svetlozar Rachev</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fabozzi,+F+J">Frank J. Fabozzi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Racheva-Iotova,+B">Boryana Racheva-Iotova</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Shirvani,+A">Abootaleb Shirvani</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span> </div> </div> </dd> <dt> <a name='item46'>[46]</a> <a href ="/abs/1709.08188" title="Abstract" id="1709.08188"> arXiv:1709.08188 </a> [<a href="/pdf/1709.08188" title="Download PDF" id="pdf-1709.08188" aria-labelledby="pdf-1709.08188">pdf</a>, <a href="/format/1709.08188" title="Other formats" id="oth-1709.08188" aria-labelledby="oth-1709.08188">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The Aggregation Property and its Applications to Realised Higher Moments </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Alexander,+C">Carol Alexander</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Rauch,+J">Johannes Rauch</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span> </div> </div> </dd> <dt> <a name='item47'>[47]</a> <a href ="/abs/1709.08238" title="Abstract" id="1709.08238"> arXiv:1709.08238 </a> [<a href="/pdf/1709.08238" title="Download PDF" id="pdf-1709.08238" aria-labelledby="pdf-1709.08238">pdf</a>, <a href="/format/1709.08238" title="Other formats" id="oth-1709.08238" aria-labelledby="oth-1709.08238">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gould,+M+D">Martin D. Gould</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hautsch,+N">Nikolaus Hautsch</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Howison,+S+D">Sam D. Howison</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Porter,+M+A">Mason A. Porter</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Econometrics (econ.EM); Probability (math.PR); Applications (stat.AP); Computation (stat.CO) </div> </div> </dd> <dt> <a name='item48'>[48]</a> <a href ="/abs/1709.08516" title="Abstract" id="1709.08516"> arXiv:1709.08516 </a> [<a href="/pdf/1709.08516" title="Download PDF" id="pdf-1709.08516" aria-labelledby="pdf-1709.08516">pdf</a>, <a href="/format/1709.08516" title="Other formats" id="oth-1709.08516" aria-labelledby="oth-1709.08516">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Testing the causality of Hawkes processes with time reversal </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cordi,+M">Marcus Cordi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Challet,+D">Damien Challet</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Toke,+I+M">Ioane Muni Toke</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 13 pages, 14 figures, 2 tables </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Data Analysis, Statistics and Probability (physics.data-an); Applications (stat.AP) </div> </div> </dd> <dt> <a name='item49'>[49]</a> <a href ="/abs/1709.08621" title="Abstract" id="1709.08621"> arXiv:1709.08621 </a> [<a href="/pdf/1709.08621" title="Download PDF" id="pdf-1709.08621" aria-labelledby="pdf-1709.08621">pdf</a>, <a href="/format/1709.08621" title="Other formats" id="oth-1709.08621" aria-labelledby="oth-1709.08621">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A sentiment-based model for the BitCoin: theory, estimation and option pricing </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cretarola,+A">Alessandra Cretarola</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fig%C3%A0-Talamanca,+G">Gianna Fig脿-Talamanca</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Patacca,+M">Marco Patacca</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 39, pages, 7 figures, 16 tables. arXiv admin note: substantial text overlap with <a href="https://arxiv.org/abs/1702.00215" data-arxiv-id="1702.00215" class="link-https">arXiv:1702.00215</a> </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Mathematical Finance (q-fin.MF)</span> </div> </div> </dd> <dt> <a name='item50'>[50]</a> <a href ="/abs/1709.08755" title="Abstract" id="1709.08755"> arXiv:1709.08755 </a> [<a href="/pdf/1709.08755" title="Download PDF" id="pdf-1709.08755" aria-labelledby="pdf-1709.08755">pdf</a>, <a href="/format/1709.08755" title="Other formats" id="oth-1709.08755" aria-labelledby="oth-1709.08755">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Analytic approach to variance optimization under an $\ell_1$ constraint </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kondor,+I">Imre Kondor</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Papp,+G">G谩bor Papp</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Caccioli,+F">Fabio Caccioli</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 31 pages, 8 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span> </div> </div> </dd> </dl> <div class='paging'>Total of 75 entries : <span>1-50</span> <a href=/list/q-fin/2017-09?skip=50&show=50>51-75</a> </div> <div class='morefewer'>Showing up to 50 entries per page: <a href=/list/q-fin/2017-09?skip=0&show=25 rel="nofollow"> fewer</a> | <span style="color: #454545">more</span> | <a href=/list/q-fin/2017-09?skip=0&show=2000 rel="nofollow"> all</a> </div> </div> </div> </div> </main> <footer style="clear: both;"> <div class="columns is-desktop" role="navigation" aria-label="Secondary" style="margin: -0.75em -0.75em 0.75em -0.75em"> <!-- Macro-Column 1 --> <div class="column" style="padding: 0;"> <div class="columns"> <div class="column"> <ul style="list-style: none; 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