Cont, Rama; Xiong, Wei Dynamics of market making algorithms in dealer markets: learning and tacit collusion. (English) Zbl 07818734 Math. Finance 34, No. 2, 467-521 (2024). MSC: 91G15 91A15 91A80 35Q91 PDFBibTeX XMLCite \textit{R. Cont} and \textit{W. Xiong}, Math. Finance 34, No. 2, 467--521 (2024; Zbl 07818734) Full Text: DOI OA License
Aït-Sahalia, Yacine; Sağlam, Mehmet High frequency market making: the role of speed. (English) Zbl 07814011 J. Econom. 239, No. 2, Article ID 105421, 29 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{M. Sağlam}, J. Econom. 239, No. 2, Article ID 105421, 29 p. (2024; Zbl 07814011) Full Text: DOI
Nie, Chun-Xiao Persistence of return distribution sequence in financial markets. (English) Zbl 07810051 Commun. Nonlinear Sci. Numer. Simul. 131, Article ID 107856, 19 p. (2024). MSC: 62Pxx 62Mxx 91Gxx PDFBibTeX XMLCite \textit{C.-X. Nie}, Commun. Nonlinear Sci. Numer. Simul. 131, Article ID 107856, 19 p. (2024; Zbl 07810051) Full Text: DOI
Baldacci, Bastien; Manziuk, Iuliia; Mastrolia, Thibaut; Rosenbaum, Mathieu Market making and incentives design in the presence of a dark pool: a Stackelberg actor-critic approach. (English) Zbl 07815786 Oper. Res. 71, No. 2, 727-749 (2023). MSC: 90Cxx PDFBibTeX XMLCite \textit{B. Baldacci} et al., Oper. Res. 71, No. 2, 727--749 (2023; Zbl 07815786) Full Text: DOI arXiv
Löhndorf, Nils; Wozabal, David The value of coordination in multimarket bidding of grid energy storage. (English) Zbl 07809591 Oper. Res. 71, No. 1, 1-22 (2023). MSC: 91B74 91B26 90C15 PDFBibTeX XMLCite \textit{N. Löhndorf} and \textit{D. Wozabal}, Oper. Res. 71, No. 1, 1--22 (2023; Zbl 07809591) Full Text: DOI
Guo, Xin; Hu, Anran; Xu, Renyuan; Zhang, Junzi A general framework for learning mean-field games. (English) Zbl 07808962 Math. Oper. Res. 48, No. 2, 656-686 (2023). MSC: 91A16 68T05 91A15 91B26 PDFBibTeX XMLCite \textit{X. Guo} et al., Math. Oper. Res. 48, No. 2, 656--686 (2023; Zbl 07808962) Full Text: DOI arXiv
Chassagneux, Jean-François; Chotai, Hinesh; Crisan, Dan Modelling multiperiod carbon markets using singular forward-backward SDEs. (English) Zbl 07808946 Math. Oper. Res. 48, No. 1, 463-497 (2023). MSC: 60H30 91G80 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} et al., Math. Oper. Res. 48, No. 1, 463--497 (2023; Zbl 07808946) Full Text: DOI
Song, Malin; Sui, Zixu; Zhao, Xin A risk measurement study evaluating the impact of COVID-19 on China’s financial market using the QR-SGED-EGARCH model. (English) Zbl 07801453 Ann. Oper. Res. 330, No. 1-2, 787-806 (2023). MSC: 62Pxx 62Mxx 91Gxx PDFBibTeX XMLCite \textit{M. Song} et al., Ann. Oper. Res. 330, No. 1--2, 787--806 (2023; Zbl 07801453) Full Text: DOI
Shen, Weiwei; Yin, Juliang Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market. (English) Zbl 07792473 RAIRO, Oper. Res. 57, No. 6, 2981-3006 (2023). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, RAIRO, Oper. Res. 57, No. 6, 2981--3006 (2023; Zbl 07792473) Full Text: DOI
Hess, Markus Interest rate modeling with generalized Langevin equations. (English) Zbl 07789479 Braz. J. Probab. Stat. 37, No. 3, 513-533 (2023). MSC: 91G30 91G20 60H30 PDFBibTeX XMLCite \textit{M. Hess}, Braz. J. Probab. Stat. 37, No. 3, 513--533 (2023; Zbl 07789479) Full Text: DOI
Whitmeyer, Mark Submission costs in risk-taking contests. (English) Zbl 07786795 Games Econ. Behav. 142, 101-112 (2023). MSC: 91B26 60G40 PDFBibTeX XMLCite \textit{M. Whitmeyer}, Games Econ. Behav. 142, 101--112 (2023; Zbl 07786795) Full Text: DOI arXiv
Baldacci, Bastien; Bergault, Philippe; Derchu, Joffrey; Rosenbaum, Mathieu On bid and ask side-specific tick sizes. (English) Zbl 07770150 SIAM J. Financ. Math. 14, No. 4, 1215-1248 (2023). MSC: 91G15 49L20 PDFBibTeX XMLCite \textit{B. Baldacci} et al., SIAM J. Financ. Math. 14, No. 4, 1215--1248 (2023; Zbl 07770150) Full Text: DOI arXiv
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng Arbitrage-free neural-SDE market models. (English) Zbl 07769890 Appl. Math. Finance 30, No. 1, 1-46 (2023). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{S. N. Cohen} et al., Appl. Math. Finance 30, No. 1, 1--46 (2023; Zbl 07769890) Full Text: DOI arXiv
Angoshtari, Bahman Predictable forward performance processes in complete markets. (English) Zbl 07768489 Probab. Uncertain. Quant. Risk 8, No. 2, 141-176 (2023). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{B. Angoshtari}, Probab. Uncertain. Quant. Risk 8, No. 2, 141--176 (2023; Zbl 07768489) Full Text: DOI arXiv
Xu, Qi; Sun, Zhong-miao; Gao, Xiao-qing Ordering and inventory reallocation decisions in a shared inventory platform with demand information sharing. (English) Zbl 1527.90029 Ann. Oper. Res. 329, No. 1-2, 471-499 (2023). MSC: 90B05 90B06 PDFBibTeX XMLCite \textit{Q. Xu} et al., Ann. Oper. Res. 329, No. 1--2, 471--499 (2023; Zbl 1527.90029) Full Text: DOI
Wang, Xiangyu; Liu, Shulin Disclosure policies in all-pay auctions with bid caps and stochastic entry: the impact of risk aversion. (English) Zbl 07765917 Bull. Econ. Res. 75, No. 4, 1181-1190 (2023). MSC: 91B26 PDFBibTeX XMLCite \textit{X. Wang} and \textit{S. Liu}, Bull. Econ. Res. 75, No. 4, 1181--1190 (2023; Zbl 07765917) Full Text: DOI
Hegyháti, Máté; Bakon, Krisztián Attila; Holczinger, Tibor Optimization with uncertainties: a scheduling example. (English) Zbl 07764882 CEJOR, Cent. Eur. J. Oper. Res. 31, No. 4, 1239-1263 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{M. Hegyháti} et al., CEJOR, Cent. Eur. J. Oper. Res. 31, No. 4, 1239--1263 (2023; Zbl 07764882) Full Text: DOI OA License
Branda, Martin; Henrion, René; Pištěk, Miroslav Value at risk approach to producer’s best response in an electricity market with uncertain demand. (English) Zbl 07761614 Optimization 72, No. 11, 2745-2767 (2023). MSC: 91B74 91A80 PDFBibTeX XMLCite \textit{M. Branda} et al., Optimization 72, No. 11, 2745--2767 (2023; Zbl 07761614) Full Text: DOI
Arikan, Mazhar; Demir, Sercan; Erkoc, Murat Inventory management with advance supply contracts across multiple replenishment periods. (English) Zbl 1525.90006 Asia-Pac. J. Oper. Res. 40, No. 3, Article ID 2250031, 26 p. (2023). MSC: 90B05 90B06 90B30 90B50 90C15 90C39 PDFBibTeX XMLCite \textit{M. Arikan} et al., Asia-Pac. J. Oper. Res. 40, No. 3, Article ID 2250031, 26 p. (2023; Zbl 1525.90006) Full Text: DOI
Martín-Román, Ángel L.; Cuéllar-Martín, Jaime; Moral, Alfonso Natural and cyclical unemployment: a stochastic frontier decomposition and economic policy implications. (English) Zbl 07751116 Bull. Econ. Res. 75, No. 1, 5-39 (2023). MSC: 91B39 PDFBibTeX XMLCite \textit{Á. L. Martín-Román} et al., Bull. Econ. Res. 75, No. 1, 5--39 (2023; Zbl 07751116) Full Text: DOI
Aïd, René; Biagini, Sara Optimal dynamic regulation of carbon emissions market. (English) Zbl 1522.91171 Math. Finance 33, No. 1, 80-115 (2023). MSC: 91B76 93E20 91A65 PDFBibTeX XMLCite \textit{R. Aïd} and \textit{S. Biagini}, Math. Finance 33, No. 1, 80--115 (2023; Zbl 1522.91171) Full Text: DOI
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier Algorithmic market making in dealer markets with hedging and market impact. (English) Zbl 1522.91237 Math. Finance 33, No. 1, 41-79 (2023). MSC: 91G15 93E20 PDFBibTeX XMLCite \textit{A. Barzykin} et al., Math. Finance 33, No. 1, 41--79 (2023; Zbl 1522.91237) Full Text: DOI arXiv OA License
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 1522.91214 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 1522.91214) Full Text: DOI arXiv
Feng, Frank Y.; Zeng, Xudong; Zhu, Guanxia Insurance pricing in an equilibrium model. (English) Zbl 1521.91313 Scand. Actuar. J. 2023, No. 8, 834-852 (2023). MSC: 91G05 91B51 49L20 PDFBibTeX XMLCite \textit{F. Y. Feng} et al., Scand. Actuar. J. 2023, No. 8, 834--852 (2023; Zbl 1521.91313) Full Text: DOI
Chen, Bo; Galariotis, Emilios; Ma, Lijun; Wang, Zijia; Zhu, Zhaobo On disclosure of participation in innovation contests: a dominance result. (English) Zbl 1521.91125 Ann. Oper. Res. 328, No. 2, 1615-1629 (2023). MSC: 91B26 91A20 PDFBibTeX XMLCite \textit{B. Chen} et al., Ann. Oper. Res. 328, No. 2, 1615--1629 (2023; Zbl 1521.91125) Full Text: DOI
Fujii, Masaaki Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations. (English) Zbl 1521.49027 ESAIM, Control Optim. Calc. Var. 29, Paper No. 56, 39 p. (2023). MSC: 49N80 91B24 93E20 PDFBibTeX XMLCite \textit{M. Fujii}, ESAIM, Control Optim. Calc. Var. 29, Paper No. 56, 39 p. (2023; Zbl 1521.49027) Full Text: DOI arXiv
Wang, Cheng-Ben; Zhong, Qian International market risk, monetary policy stance, and corporate financing: China’s economic recovery in the post-pandemic era. (English) Zbl 07731052 J. Comb. Optim. 46, No. 1, Paper No. 7, 37 p. (2023). MSC: 91B51 91G50 91B64 PDFBibTeX XMLCite \textit{C.-B. Wang} and \textit{Q. Zhong}, J. Comb. Optim. 46, No. 1, Paper No. 7, 37 p. (2023; Zbl 07731052) Full Text: DOI
Devine, Mel T.; Bertsch, Valentin The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model. (English) Zbl 1520.91270 OR Spectrum 45, No. 2, 555-597 (2023). MSC: 91B74 91B76 91B70 91B42 PDFBibTeX XMLCite \textit{M. T. Devine} and \textit{V. Bertsch}, OR Spectrum 45, No. 2, 555--597 (2023; Zbl 1520.91270) Full Text: DOI
Abid, Amira; Abid, Fathi A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes. (English) Zbl 07715866 J. Ind. Manag. Optim. 19, No. 10, 7735-7752 (2023). MSC: 91G40 93E20 60J70 49L20 PDFBibTeX XMLCite \textit{A. Abid} and \textit{F. Abid}, J. Ind. Manag. Optim. 19, No. 10, 7735--7752 (2023; Zbl 07715866) Full Text: DOI
Qian, Xiaohu; Yin, Mingqiang; Li, Xin; Zhang, Qingyu Two-stage stochastic nonlinear winner determination for logistics service procurement auctions under quantity discounts. (English) Zbl 1524.90074 J. Ind. Manag. Optim. 19, No. 10, 7072-7089 (2023). MSC: 90B06 90C15 68W25 91B26 90C30 90C11 90C05 PDFBibTeX XMLCite \textit{X. Qian} et al., J. Ind. Manag. Optim. 19, No. 10, 7072--7089 (2023; Zbl 1524.90074) Full Text: DOI
Feng, Xin Information disclosure in all-pay contests with costly entry. (English) Zbl 1527.91085 Int. J. Game Theory 52, No. 2, 401-421 (2023). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91B26 91A05 91A10 91A15 91A27 PDFBibTeX XMLCite \textit{X. Feng}, Int. J. Game Theory 52, No. 2, 401--421 (2023; Zbl 1527.91085) Full Text: DOI
He, Zhongzhi (Lawrence) A gradient-based reinforcement learning model of market equilibration. (English) Zbl 1518.91092 J. Econ. Dyn. Control 152, Article ID 104670, 21 p. (2023). MSC: 91B26 91A80 68T05 PDFBibTeX XMLCite \textit{Z. He}, J. Econ. Dyn. Control 152, Article ID 104670, 21 p. (2023; Zbl 1518.91092) Full Text: DOI
Gibson, John; Heutel, Garth Pollution and labor market search externalities over the business cycle. (English) Zbl 1518.91187 J. Econ. Dyn. Control 151, Article ID 104665, 43 p. (2023). MSC: 91B76 91B39 91B62 91B51 PDFBibTeX XMLCite \textit{J. Gibson} and \textit{G. Heutel}, J. Econ. Dyn. Control 151, Article ID 104665, 43 p. (2023; Zbl 1518.91187) Full Text: DOI
Krivenko, Pavel Asset prices in a labor search model with confidence shocks. (English) Zbl 1518.91293 J. Econ. Dyn. Control 146, Article ID 104564, 24 p. (2023). MSC: 91G30 91B39 PDFBibTeX XMLCite \textit{P. Krivenko}, J. Econ. Dyn. Control 146, Article ID 104564, 24 p. (2023; Zbl 1518.91293) Full Text: DOI
Çakıcı, Özden Engin; Karaesmen, Itir Bidding to procure supply in newsvendor networks. (English) Zbl 1525.90008 Oper. Res. Lett. 51, No. 3, 248-254 (2023). MSC: 90B05 90B10 91B26 PDFBibTeX XMLCite \textit{Ö. E. Çakıcı} and \textit{I. Karaesmen}, Oper. Res. Lett. 51, No. 3, 248--254 (2023; Zbl 1525.90008) Full Text: DOI
Zhong, Zhiming; Fan, Neng; Wu, Lei A hybrid robust-stochastic optimization approach for day-ahead scheduling of cascaded hydroelectric system in restructured electricity market. (English) Zbl 07705432 Eur. J. Oper. Res. 306, No. 2, 909-926 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{Z. Zhong} et al., Eur. J. Oper. Res. 306, No. 2, 909--926 (2023; Zbl 07705432) Full Text: DOI
Zhitlukhin, Mikhail Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (English) Zbl 1528.91072 Stochastics 95, No. 1, 67-78 (2023). MSC: 91G15 91A80 60H30 PDFBibTeX XMLCite \textit{M. Zhitlukhin}, Stochastics 95, No. 1, 67--78 (2023; Zbl 1528.91072) Full Text: DOI arXiv
Loeper, Grégoire; Quirós, Fernando Interior second derivatives estimates for nonlinear diffusions. (English) Zbl 1518.35441 Discrete Contin. Dyn. Syst. 43, No. 3-4, 1547-1559 (2023). MSC: 35K55 35B45 35B65 35Q91 91G20 PDFBibTeX XMLCite \textit{G. Loeper} and \textit{F. Quirós}, Discrete Contin. Dyn. Syst. 43, No. 3--4, 1547--1559 (2023; Zbl 1518.35441) Full Text: DOI arXiv
Choi, Jin Hyuk; Kwon, Heeyoung; Larsen, Kasper Trading constraints in continuous-time Kyle models. (English) Zbl 1519.91240 SIAM J. Control Optim. 61, No. 3, 1494-1512 (2023). MSC: 91G15 93E20 PDFBibTeX XMLCite \textit{J. H. Choi} et al., SIAM J. Control Optim. 61, No. 3, 1494--1512 (2023; Zbl 1519.91240) Full Text: DOI arXiv
Menoukeu-Pamen, Olivier; Xu, Guangli; Zhuo, Xiaoyang Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model. (English) Zbl 1519.91287 Quant. Finance 23, No. 5, 843-862 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G30 91G20 60H35 PDFBibTeX XMLCite \textit{O. Menoukeu-Pamen} et al., Quant. Finance 23, No. 5, 843--862 (2023; Zbl 1519.91287) Full Text: DOI
Chen, Zhiping; Yang, Peng; Gan, Yujie Optimal reinsurance and investment with a common shock and a random exit time. (English) Zbl 07689352 RAIRO, Oper. Res. 57, No. 2, 881-903 (2023). MSC: 62P05 91B28 93E20 PDFBibTeX XMLCite \textit{Z. Chen} et al., RAIRO, Oper. Res. 57, No. 2, 881--903 (2023; Zbl 07689352) Full Text: DOI
Dayanik, Savas; Sezer, Semih O. Optimal dynamic multi-keyword bidding policy of an advertiser in search-based advertising. (English) Zbl 1512.90124 Math. Methods Oper. Res. 97, No. 1, 25-56 (2023). MSC: 90B60 91B26 PDFBibTeX XMLCite \textit{S. Dayanik} and \textit{S. O. Sezer}, Math. Methods Oper. Res. 97, No. 1, 25--56 (2023; Zbl 1512.90124) Full Text: DOI
Bermin, Hans-Peter; Holm, Magnus Kelly trading and market equilibrium. (English) Zbl 1514.91174 Int. J. Theor. Appl. Finance 26, No. 1, Article ID 2350001, 33 p. (2023). Reviewer: Monique Pontier (Toulouse) MSC: 91G10 91A15 91A80 PDFBibTeX XMLCite \textit{H.-P. Bermin} and \textit{M. Holm}, Int. J. Theor. Appl. Finance 26, No. 1, Article ID 2350001, 33 p. (2023; Zbl 1514.91174) Full Text: DOI
Kim, Donghan Market-to-book ratio in stochastic portfolio theory. (English) Zbl 1511.91129 Finance Stoch. 27, No. 2, 401-434 (2023). MSC: 91G10 60G44 60H05 PDFBibTeX XMLCite \textit{D. Kim}, Finance Stoch. 27, No. 2, 401--434 (2023; Zbl 1511.91129) Full Text: DOI arXiv
Abeille, Marc; Bouchard, Bruno; Croissant, Lorenzo Diffusive limit approximation of pure-jump optimal stochastic control problems. (English) Zbl 1518.93150 J. Optim. Theory Appl. 196, No. 1, 147-176 (2023). Reviewer: Kurt Marti (München) MSC: 93E20 60J74 91B26 PDFBibTeX XMLCite \textit{M. Abeille} et al., J. Optim. Theory Appl. 196, No. 1, 147--176 (2023; Zbl 1518.93150) Full Text: DOI arXiv
Kanazawa, Kiyoshi; Takayasu, Hideki; Takayasu, Misako Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory. (English) Zbl 1504.91302 J. Stat. Phys. 190, No. 1, Paper No. 8, 48 p. (2023). MSC: 91G15 91B80 82C20 PDFBibTeX XMLCite \textit{K. Kanazawa} et al., J. Stat. Phys. 190, No. 1, Paper No. 8, 48 p. (2023; Zbl 1504.91302) Full Text: DOI arXiv
Xin, Yue; Gao, Jinwu; Yang, Xiangfeng; Yang, Jing Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market. (English) Zbl 1524.62459 J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023). MSC: 62M10 62M20 62F10 62M86 62P05 PDFBibTeX XMLCite \textit{Y. Xin} et al., J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023; Zbl 1524.62459) Full Text: DOI
Hajjej, Ishak; Hillairet, Caroline; Mnif, Mohamed The value of the information in the Moral Hazard setting. arXiv:2304.03341 Preprint, arXiv:2304.03341 [math.OC] (2023). MSC: 60G40 91B40 91B70 BibTeX Cite \textit{I. Hajjej} et al., ``The value of the information in the Moral Hazard setting'', Preprint, arXiv:2304.03341 [math.OC] (2023) Full Text: arXiv OA License
Papanicolaou, Andrew Consistent time-homogeneous modeling of SPX and VIX derivatives. (English) Zbl 1522.91283 Math. Finance 32, No. 3, 907-940 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Papanicolaou}, Math. Finance 32, No. 3, 907--940 (2022; Zbl 1522.91283) Full Text: DOI arXiv OA License
Neuman, Eyal; Schied, Alexander Protecting pegged currency markets from speculative investors. (English) Zbl 1522.91163 Math. Finance 32, No. 1, 405-420 (2022). MSC: 91B64 91A15 91A80 PDFBibTeX XMLCite \textit{E. Neuman} and \textit{A. Schied}, Math. Finance 32, No. 1, 405--420 (2022; Zbl 1522.91163) Full Text: DOI arXiv
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng Hedging option books using neural-SDE market models. (English) Zbl 1520.91400 Appl. Math. Finance 29, No. 5, 366-401 (2022). MSC: 91G20 60H35 PDFBibTeX XMLCite \textit{S. N. Cohen} et al., Appl. Math. Finance 29, No. 5, 366--401 (2022; Zbl 1520.91400) Full Text: DOI arXiv
Wang, Zhuohan; Hao, Dong Characterizing agent behavior in revision games with uncertain deadline. (English) Zbl 1519.91043 Games 13, No. 6, Paper No. 73, 13 p. (2022). MSC: 91A25 91G15 91A90 PDFBibTeX XMLCite \textit{Z. Wang} and \textit{D. Hao}, Games 13, No. 6, Paper No. 73, 13 p. (2022; Zbl 1519.91043) Full Text: DOI
Fotoohi Bafghi, Mohammad Hossein; Effati, Sohrab; Solaymani, Fard Omid A numerical method for solving stochastic linear quadratic problem with a finance application. (English) Zbl 07694647 J. Math. Model. 10, No. 3, 499-514 (2022). MSC: 65-XX PDFBibTeX XMLCite \textit{M. H. Fotoohi Bafghi} et al., J. Math. Model. 10, No. 3, 499--514 (2022; Zbl 07694647) Full Text: DOI
Fernholz, Ricardo T.; Fernholz, Robert Permutation-weighted portfolios and the efficiency of commodity futures markets. (English) Zbl 1512.91120 Ann. Finance 18, No. 1, 81-108 (2022). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{R. T. Fernholz} and \textit{R. Fernholz}, Ann. Finance 18, No. 1, 81--108 (2022; Zbl 1512.91120) Full Text: DOI arXiv
Halconruy, Hélène Malliavin calculus for marked binomial processes and applications. (English) Zbl 1511.60079 Electron. J. Probab. 27, Paper No. 164, 39 p. (2022). MSC: 60H07 60F05 60G55 60J74 91G20 PDFBibTeX XMLCite \textit{H. Halconruy}, Electron. J. Probab. 27, Paper No. 164, 39 p. (2022; Zbl 1511.60079) Full Text: DOI
Gu, Chenlin; Roth, Alvin; Wu, Qingyun Forbidden transactions and black markets. (English) Zbl 1505.91270 Math. Oper. Res. 47, No. 4, 3084-3109 (2022). MSC: 91B70 60G44 60G50 60J25 PDFBibTeX XMLCite \textit{C. Gu} et al., Math. Oper. Res. 47, No. 4, 3084--3109 (2022; Zbl 1505.91270) Full Text: DOI
Charles, Amélie; Darné, Olivier; Kim, Jae H. Stock return predictability: evaluation based on interval forecasts. (English) Zbl 1503.91112 Bull. Econ. Res. 74, No. 2, 363-385 (2022). MSC: 91G15 62P05 62M20 PDFBibTeX XMLCite \textit{A. Charles} et al., Bull. Econ. Res. 74, No. 2, 363--385 (2022; Zbl 1503.91112) Full Text: DOI
Betti, Thierry; Coudert, Thomas How harmful are cuts in public employment and wage in times of high unemployment? (English) Zbl 1504.91134 Bull. Econ. Res. 74, No. 1, 247-277 (2022). MSC: 91B39 91B51 91B64 PDFBibTeX XMLCite \textit{T. Betti} and \textit{T. Coudert}, Bull. Econ. Res. 74, No. 1, 247--277 (2022; Zbl 1504.91134) Full Text: DOI
Biagini, Francesca; Zhang, Yinglin Extended reduced-form framework for non-life insurance. (English) Zbl 1505.91321 Adv. Appl. Probab. 54, No. 3, 945-973 (2022). MSC: 91G05 91G40 60H30 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{Y. Zhang}, Adv. Appl. Probab. 54, No. 3, 945--973 (2022; Zbl 1505.91321) Full Text: DOI arXiv
Leal, L.; Lauriere, M.; Lehalle, C.-A. Learning a functional control for high-frequency finance. (English) Zbl 1505.91370 Quant. Finance 22, No. 11, 1973-1987 (2022). MSC: 91G15 93E20 68T07 PDFBibTeX XMLCite \textit{L. Leal} et al., Quant. Finance 22, No. 11, 1973--1987 (2022; Zbl 1505.91370) Full Text: DOI arXiv
Heitsch, Holger; Henrion, René; Kleinert, Thomas; Schmidt, Martin On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints. (English) Zbl 1505.90140 J. Glob. Optim. 84, No. 3, 651-685 (2022). MSC: 90C46 90C90 90B15 PDFBibTeX XMLCite \textit{H. Heitsch} et al., J. Glob. Optim. 84, No. 3, 651--685 (2022; Zbl 1505.90140) Full Text: DOI
Klæboe, Gro; Braathen, Jørgen; Eriksrud, Anders Lund; Fleten, Stein-Erik Day-ahead market bidding taking the balancing power market into account. (English) Zbl 1504.90082 Top 30, No. 3, 683-703 (2022). MSC: 90C15 91B26 91B74 PDFBibTeX XMLCite \textit{G. Klæboe} et al., Top 30, No. 3, 683--703 (2022; Zbl 1504.90082) Full Text: DOI
Pinson, Pierre; Han, Liyang; Kazempour, Jalal Regression markets and application to energy forecasting. (English) Zbl 07604080 Top 30, No. 3, 533-573 (2022). MSC: 62F99 62J99 68T05 91B26 62M20 PDFBibTeX XMLCite \textit{P. Pinson} et al., Top 30, No. 3, 533--573 (2022; Zbl 07604080) Full Text: DOI arXiv
Hammami, Farouk; Rekik, Monia; Coelho, Leandro C. An exact method for the combinatorial bids generation problem with uncertainty on clearing prices, bids success, and contracts materialization. (English) Zbl 1520.91190 Comput. Oper. Res. 148, Article ID 105982, 15 p. (2022). MSC: 91B26 90C27 PDFBibTeX XMLCite \textit{F. Hammami} et al., Comput. Oper. Res. 148, Article ID 105982, 15 p. (2022; Zbl 1520.91190) Full Text: DOI
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, Bernard; Mehalla, Sophian Jacobi stochastic volatility factor for the LIBOR market model. (English) Zbl 1498.91427 Finance Stoch. 26, No. 4, 771-823 (2022). MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{P.-E. Arrouy} et al., Finance Stoch. 26, No. 4, 771--823 (2022; Zbl 1498.91427) Full Text: DOI
Ren, Hongtao; Zhou, Wenji; Wang, Hangzhou; Zhang, Bo; Ma, Tieju An energy system optimization model accounting for the interrelations of multiple stochastic energy prices. (English) Zbl 1500.90039 Ann. Oper. Res. 316, No. 1, 555-579 (2022). MSC: 90C15 90C90 PDFBibTeX XMLCite \textit{H. Ren} et al., Ann. Oper. Res. 316, No. 1, 555--579 (2022; Zbl 1500.90039) Full Text: DOI
Wang, Xiangyu; Xia, Jianming; Xu, Zuo Quan; Yang, Zhou Short communication: minimal quantile functions subject to stochastic dominance constraints. (English) Zbl 1498.91508 SIAM J. Financ. Math. 13, No. 3, SC87-SC98 (2022). MSC: 91G70 60E15 PDFBibTeX XMLCite \textit{X. Wang} et al., SIAM J. Financ. Math. 13, No. 3, SC87-SC98 (2022; Zbl 1498.91508) Full Text: DOI arXiv
Dokuchaev, Nikolai Optimal portfolio and certainty equivalence estimator for the appreciation rate. (English) Zbl 1498.91384 Math. Control Signals Syst. 34, No. 3, 435-460 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{N. Dokuchaev}, Math. Control Signals Syst. 34, No. 3, 435--460 (2022; Zbl 1498.91384) Full Text: DOI
Bouchard, Bruno; Tan, Xiaolu Understanding the dual formulation for the hedging of path-dependent options with price impact. (English) Zbl 1498.91430 Ann. Appl. Probab. 32, No. 3, 1705-1733 (2022). MSC: 91G20 60H15 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{X. Tan}, Ann. Appl. Probab. 32, No. 3, 1705--1733 (2022; Zbl 1498.91430) Full Text: DOI arXiv
Cun, Wukuang Endogenous lemons markets and information cycles. (English) Zbl 1517.91070 J. Econ. Dyn. Control 141, Article ID 104401, 19 p. (2022). MSC: 91B51 91B62 91B44 91B38 PDFBibTeX XMLCite \textit{W. Cun}, J. Econ. Dyn. Control 141, Article ID 104401, 19 p. (2022; Zbl 1517.91070) Full Text: DOI
Alaminos, David; Salas, M. Belén; Fernández-Gámez, Manuel A. Forecasting stock market crashes via real-time recession probabilities: a quantum computing approach. (English) Zbl 07578022 Fractals 30, No. 5, Article ID 2240162, 16 p. (2022). MSC: 62Mxx 91Bxx 62Pxx PDFBibTeX XMLCite \textit{D. Alaminos} et al., Fractals 30, No. 5, Article ID 2240162, 16 p. (2022; Zbl 07578022) Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen Generalized optimal liquidation problems across multiple trading venues. (English) Zbl 1513.91082 J. Ind. Manag. Optim. 18, No. 5, 3215-3231 (2022). MSC: 91G15 49L20 93E20 PDFBibTeX XMLCite \textit{Q.-Q. Yang} et al., J. Ind. Manag. Optim. 18, No. 5, 3215--3231 (2022; Zbl 1513.91082) Full Text: DOI arXiv
Chateauneuf, Alain; Cornet, Bernard The risk-neutral non-additive probability with market frictions. (English) Zbl 1497.91316 Econ. Theory Bull. 10, No. 1, 13-25 (2022). MSC: 91G30 91G15 PDFBibTeX XMLCite \textit{A. Chateauneuf} and \textit{B. Cornet}, Econ. Theory Bull. 10, No. 1, 13--25 (2022; Zbl 1497.91316) Full Text: DOI
Laine, Olli-Matti The term structure of equity premia and the macroeconomy: some results. (English) Zbl 1493.91132 Econ. Lett. 216, Article ID 110606, 4 p. (2022). MSC: 91G30 91B82 PDFBibTeX XMLCite \textit{O.-M. Laine}, Econ. Lett. 216, Article ID 110606, 4 p. (2022; Zbl 1493.91132) Full Text: DOI
Boomsma, Trine Krogh; Pineda, Salvador; Heide-Jørgensen, Ditte Mølgård The spot and balancing markets for electricity: open- and closed-loop equilibrium models. (English) Zbl 07557213 Comput. Manag. Sci. 19, No. 2, 309-346 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{T. K. Boomsma} et al., Comput. Manag. Sci. 19, No. 2, 309--346 (2022; Zbl 07557213) Full Text: DOI
Liu, Ernest; Mian, Atif; Sufi, Amir Low interest rates, market power, and productivity growth. (English) Zbl 1492.91398 Econometrica 90, No. 1, 193-221 (2022). MSC: 91G30 91B62 PDFBibTeX XMLCite \textit{E. Liu} et al., Econometrica 90, No. 1, 193--221 (2022; Zbl 1492.91398) Full Text: DOI
Li, Thomas Nanfeng; Papanicolaou, Andrew Statistical arbitrage for multiple co-integrated stocks. (English) Zbl 1493.62588 Appl. Math. Optim. 86, No. 1, Paper No. 12, 38 p. (2022). MSC: 62P05 91G10 93E20 PDFBibTeX XMLCite \textit{T. N. Li} and \textit{A. Papanicolaou}, Appl. Math. Optim. 86, No. 1, Paper No. 12, 38 p. (2022; Zbl 1493.62588) Full Text: DOI arXiv
Akyildirim, Erdinc; Bariviera, Aurelio F.; Duc Khuong Nguyen; Sensoy, Ahmet Forecasting high-frequency stock returns: a comparison of alternative methods. (English) Zbl 07553129 Ann. Oper. Res. 313, No. 2, 639-690 (2022). MSC: 62Pxx 62Mxx 68Txx PDFBibTeX XMLCite \textit{E. Akyildirim} et al., Ann. Oper. Res. 313, No. 2, 639--690 (2022; Zbl 07553129) Full Text: DOI
Mariani, Maria; Tweneboah, Osei Kofi Modeling high frequency stock market data by using stochastic models. (English) Zbl 1489.91314 Stochastic Anal. Appl. 40, No. 4, 573-588 (2022). MSC: 91G80 60J70 PDFBibTeX XMLCite \textit{M. Mariani} and \textit{O. K. Tweneboah}, Stochastic Anal. Appl. 40, No. 4, 573--588 (2022; Zbl 1489.91314) Full Text: DOI
Wang, Zi; Wang, Xiaoling; Wang, Yuwen The metric generalized inverse and its single-value selection in the pricing of contingent claims in an incomplete financial market. (English) Zbl 1498.47004 Acta Math. Sci., Ser. B, Engl. Ed. 42, No. 4, 1681-1689 (2022). MSC: 47A05 47A57 47A58 91G30 PDFBibTeX XMLCite \textit{Z. Wang} et al., Acta Math. Sci., Ser. B, Engl. Ed. 42, No. 4, 1681--1689 (2022; Zbl 1498.47004) Full Text: DOI
Allevi, Elisabetta; De Giuli, Maria Elena; Milasi, Monica; Scopelliti, Domenico Quasi-variational problems with non-self map on Banach spaces: existence and applications. (English) Zbl 1491.49007 Nonlinear Anal., Real World Appl. 67, Article ID 103641, 19 p. (2022). MSC: 49J27 49J40 90C30 91B74 PDFBibTeX XMLCite \textit{E. Allevi} et al., Nonlinear Anal., Real World Appl. 67, Article ID 103641, 19 p. (2022; Zbl 1491.49007) Full Text: DOI
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed Ramsey rule with forward/backward utility for long-term yield curves modeling. (English) Zbl 1492.91395 Decis. Econ. Finance 45, No. 1, 375-414 (2022). MSC: 91G30 91G10 91B16 PDFBibTeX XMLCite \textit{N. El Karoui} et al., Decis. Econ. Finance 45, No. 1, 375--414 (2022; Zbl 1492.91395) Full Text: DOI
Amir, Rabah; Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten An evolutionary finance model with short selling and endogenous asset supply. (English) Zbl 1492.91345 Econ. Theory 73, No. 2-3, 655-677 (2022). MSC: 91G15 91G10 91A15 PDFBibTeX XMLCite \textit{R. Amir} et al., Econ. Theory 73, No. 2--3, 655--677 (2022; Zbl 1492.91345) Full Text: DOI Link
Fujii, Masaaki; Takahashi, Akihiko Strong convergence to the mean field limit of a finite agent equilibrium. (English) Zbl 1489.91282 SIAM J. Financ. Math. 13, No. 2, 459-490 (2022). MSC: 91G30 91A16 91B69 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, SIAM J. Financ. Math. 13, No. 2, 459--490 (2022; Zbl 1489.91282) Full Text: DOI arXiv
Brody, Dorje C.; Hughston, Lane P.; Yang, Xun On the pricing of storable commodities. (English) Zbl 1489.91279 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 393-404 (2022). MSC: 91G30 60J60 PDFBibTeX XMLCite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 393--404 (2022; Zbl 1489.91279) Full Text: DOI arXiv
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Information-based asset pricing. (English) Zbl 1489.91278 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29-64 (2022). MSC: 91G30 91G20 60J70 PDFBibTeX XMLCite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29--64 (2022; Zbl 1489.91278) Full Text: DOI arXiv
Jiang, H.; Gibson, N. L.; Chen, Y. A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets. (English) Zbl 1489.91119 Stoch. Models 38, No. 2, 288-307 (2022). MSC: 91B32 91B24 91B74 93E20 49L25 PDFBibTeX XMLCite \textit{H. Jiang} et al., Stoch. Models 38, No. 2, 288--307 (2022; Zbl 1489.91119) Full Text: DOI
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal Price impact on term structure. (English) Zbl 1484.91494 Quant. Finance 22, No. 1, 171-195 (2022). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{D. Brigo} et al., Quant. Finance 22, No. 1, 171--195 (2022; Zbl 1484.91494) Full Text: DOI arXiv
Féron, Olivier; Tankov, Peter; Tinsi, Laura Price formation and optimal trading in intraday electricity markets. (English) Zbl 1484.91315 Math. Financ. Econ. 16, No. 2, 205-237 (2022). MSC: 91B74 93E20 91A16 PDFBibTeX XMLCite \textit{O. Féron} et al., Math. Financ. Econ. 16, No. 2, 205--237 (2022; Zbl 1484.91315) Full Text: DOI arXiv
Fujii, Masaaki; Takahashi, Akihiko Equilibrium price formation with a major player and its mean field limit. (English) Zbl 1485.49047 ESAIM, Control Optim. Calc. Var. 28, Paper No. 21, 36 p. (2022). MSC: 49N80 91A16 91B50 91B70 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, ESAIM, Control Optim. Calc. Var. 28, Paper No. 21, 36 p. (2022; Zbl 1485.49047) Full Text: DOI
Pennanen, Teemu; Bonatto, Luciane Sbaraini A stochastic oil price model for optimal hedging and risk management. (English) Zbl 1484.91498 Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250009, 27 p. (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{T. Pennanen} and \textit{L. S. Bonatto}, Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250009, 27 p. (2022; Zbl 1484.91498) Full Text: DOI
Desmettre, Sascha; Hochgerner, Simon; Omerovic, Sanela; Thonhauser, Stefan A mean-field extension of the LIBOR market model. (English) Zbl 1484.91495 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250005, 35 p. (2022). MSC: 91G30 91A16 PDFBibTeX XMLCite \textit{S. Desmettre} et al., Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250005, 35 p. (2022; Zbl 1484.91495) Full Text: DOI arXiv
Nasini, Stefano; Labbé, Martine; Brotcorne, Luce Multi-market portfolio optimization with conditional value at risk. (English) Zbl 1495.91107 Eur. J. Oper. Res. 300, No. 1, 350-365 (2022). MSC: 91G10 90C15 91G70 PDFBibTeX XMLCite \textit{S. Nasini} et al., Eur. J. Oper. Res. 300, No. 1, 350--365 (2022; Zbl 1495.91107) Full Text: DOI
Costa Sperb, L. F.; Sung, M.-C.; Ma, T.; Johnson, J. E. V. Turning the heat on financial decisions: examining the role temperature plays in the incidence of bias in a time-limited financial market. (English) Zbl 1495.91111 Eur. J. Oper. Res. 299, No. 3, 1142-1157 (2022). MSC: 91G15 62P05 62M20 PDFBibTeX XMLCite \textit{L. F. Costa Sperb} et al., Eur. J. Oper. Res. 299, No. 3, 1142--1157 (2022; Zbl 1495.91111) Full Text: DOI
Derksen, M.; Kleijn, B.; de Vilder, R. Heavy tailed distributions in closing auctions. (English) Zbl 1528.91039 Physica A 593, Article ID 126959, 19 p. (2022). MSC: 91B26 PDFBibTeX XMLCite \textit{M. Derksen} et al., Physica A 593, Article ID 126959, 19 p. (2022; Zbl 1528.91039) Full Text: DOI arXiv
Gomes, Armando Coalitional bargaining games: a new concept of value and coalition formation. (English) Zbl 1485.91017 Games Econ. Behav. 132, 463-477 (2022). MSC: 91A15 91B26 PDFBibTeX XMLCite \textit{A. Gomes}, Games Econ. Behav. 132, 463--477 (2022; Zbl 1485.91017) Full Text: DOI
Sadoghi, Amirhossein; Vecer, Jan Optimal liquidation problem in illiquid markets. (English) Zbl 1490.91192 Eur. J. Oper. Res. 296, No. 3, 1050-1066 (2022). MSC: 91G10 60G55 90C40 93E20 PDFBibTeX XMLCite \textit{A. Sadoghi} and \textit{J. Vecer}, Eur. J. Oper. Res. 296, No. 3, 1050--1066 (2022; Zbl 1490.91192) Full Text: DOI
Bergault, Philippe; Guéant, Olivier Size matters for OTC market makers: general results and dimensionality reduction techniques. (English) Zbl 1522.91238 Math. Finance 31, No. 1, 279-322 (2021). MSC: 91G15 45K05 93E20 PDFBibTeX XMLCite \textit{P. Bergault} and \textit{O. Guéant}, Math. Finance 31, No. 1, 279--322 (2021; Zbl 1522.91238) Full Text: DOI arXiv
El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar Optimal make-take fees for market making regulation. (English) Zbl 1522.91242 Math. Finance 31, No. 1, 109-148 (2021). MSC: 91G15 91B03 91B43 PDFBibTeX XMLCite \textit{O. El Euch} et al., Math. Finance 31, No. 1, 109--148 (2021; Zbl 1522.91242) Full Text: DOI arXiv
Schwele, Anna; Ordoudis, Christos; Pinson, Pierre; Kazempour, Jalal Coordination of power and natural gas markets via financial instruments. (English) Zbl 07722436 Comput. Manag. Sci. 18, No. 4, 505-538 (2021). MSC: 90Bxx PDFBibTeX XMLCite \textit{A. Schwele} et al., Comput. Manag. Sci. 18, No. 4, 505--538 (2021; Zbl 07722436) Full Text: DOI