421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
22 papers · 1 filter
Periodic Sequences of Arbitrage: A Tale of Four Currencies
Rod Cross, Victor Kozyakin, Brian O'Callaghan +2
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage o…
Generalised k-Steiner Tree Problems in Normed Planes
Marcus N. Brazil, Charl J. Ras, Konrad J. Swanepoel +1
The 1-Steiner tree problem, the problem of constructing a Steiner minimum tree containing at most one Steiner point, has been solved in the Euclidean plane by Georgakopoulos and Pa…
Virtual communities? the middle east revolutions at the Guardian forum: Comment Is Free
Bernard Kujawski, Peter Abell
We investigate the possibility of virtual community formation in an online social network under a rapid increase of activity of members and newcomers. The evolution is studied of t…
The Common Knowledge of Formula Exclusion
Robert Samuel Simon
For every set of primitive propositions and agents there is a canonical Kripke structure and a canonical map from any Kripke structure (defined with the same primitive propositions…
On the history of the isomorphism problem of dynamical systems with special regard to von Neumann's contribution
Miklos Redei, Charlotte Werndl
This paper reviews some major episodes in the history of the spatial isomorphism problem of dynamical systems theory (ergodic theory). In particular, by analysing, both systematica…
Strongly polynomial algorithm for a class of minimum-cost flow problems with separable convex objectives
Laszlo A. Vegh
A well-studied nonlinear extension of the minimum-cost flow problem is to minimize the objective over feasible flows , where on every arc of…
An improved error term for minimum H-decompositions of graphs
Peter Allen, Julia Böttcher, Yury Person
We consider partitions of the edge set of a graph G into copies of a fixed graph H and single edges. Let ϕ_H(n) denote the minimum number p such that any n-vertex G admits such a p…
Beyond the Boundaries of Open, Closed and Pirate Archives: Lessons from a Hybrid Approach
Prodromos Tsiavos, Petros Stefaneas
The creation of open archives i.e. archives where access is regulated by open licensing models (content, source, data), should be seen as part of a broader socio-economic phenomeno…
Maximal equilateral sets
Konrad J. Swanepoel, Rafael Villa
A subset of a normed space is called equilateral if the distance between any two points is the same. Let be the smallest possible size of an equilateral subset of ma…
Favourite distances in high dimensions
Konrad J. Swanepoel
Let be a set of points in -dimensional Euclidean space. Assign to each an arbitrary distance . Let denote the number of points in at dist…
Strict local martingales and bubbles
Constantinos Kardaras, Dörte Kreher, Ashkan Nikeghbali
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the…
Solvability of the algebraic Riccati equation in Banach algebras
Amol Sasane
Let be a commutative complex unital semisimple Banach algebra with the involution . Sufficient conditions are given for the existence of a stabilizing solution to…
Extension of the -metric for stabilizable plants over
Amol Sasane
An abstract -metric was introduced by Ball and Sasane, with a view towards extending the classical -metric of Vinnicombe from the case of rational transfer functions to more…
The Reversal Ratio of a Poset
Graham Brightwell, Mitchel T. Keller
Felsner and Reuter introduced the linear extension diameter of a partially ordered set , denoted $\mbox{led}(\mathbf{P})$, as the maximum distance between two linear ex…
Some Properties of Strongly Regular Graphs
Norman Biggs
An approach to the enumeration of feasible parameters for strongly regular graphs is described, based on the pair of structural parameters (a,c) and the positive eigenvalue e. The…
On backward stochastic differential equations and strict local martingales
Hao Xing
We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in . When the loca…
Feature Matching in Time Series Modeling
Yingcun Xia, Howell Tong
Using a time series model to mimic an observed time series has a long history. However, with regard to this objective, conventional estimation methods for discrete-time dynamical m…
Mixing properties of ARCH and time-varying ARCH processes
Piotr Fryzlewicz, Suhasini Subba Rao
There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying AR…
Nonparametric regression with filtered data
Oliver Linton, Enno Mammen, Jens Perch Nielsen +1
We present a general principle for estimating a regression function nonparametrically, allowing for a wide variety of data filtering, for example, repeated left truncation and righ…
Fire Containment in Planar Graphs
Louis Esperet, Jan van den Heuvel, Frédéric Maffray +1
In a graph , a fire starts at some vertex. At every time step, firefighters can protect up to vertices, and then the fire spreads to all unprotected neighbours. The -surv…
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
Pauline Barrieu, Nicole El Karoui
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and…
Abstract, Classic, and Explicit Turnpikes
Paolo Guasoni, Constantinos Kardaras, Scott Robertson +1
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kin…