Technical paper
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.
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable