A multiplex network analysis of the Mexican banking system: link persistence, overlap and waiting times
The paper provides very rich insight into the complex multiplex nature of the Mexican financial system and will help researchers understand and model how these networks interact in other countries where data at such a detailed level is not available.
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Harvey Stein combines risk-neutral and real-world measures into risk methodology
An overview of effective methods for constructing long-term LNG forward price curves
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable