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Table of Contents
Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data
Revisiting of Empirical Zero Intelligence Models
Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market
Modeling Financial Market Using Percolation Theory
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
Market Shocks: Review of Studies
The Synergy of Rating Agencies' Efforts: Russian Experience
Spread Modelling Under Asymmetric Information
On the Modeling of Financial Time Series
Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information
On Some Approaches to Managing Market Risk Using Var Limits: A Note
Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Raising Issues About Impact of High Frequency Trading on Market Liquidity
Application of Copula Models for Modeling One-Dimensional Time Series
Modeling Demand for Mortgage Loans Using Loan-Level Data
Sample Selection Bias in Mortgage Market Credit Risk Modeling
Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence
Stress-Testing Model for Corporate Borrower Portfolios.
Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data
Revisiting of Empirical Zero Intelligence Models
Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market
Modeling Financial Market Using Percolation Theory
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
Market Shocks: Review of Studies
The Synergy of Rating Agencies' Efforts: Russian Experience
Spread Modelling Under Asymmetric Information
On the Modeling of Financial Time Series
Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information
On Some Approaches to Managing Market Risk Using Var Limits: A Note
Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Raising Issues About Impact of High Frequency Trading on Market Liquidity
Application of Copula Models for Modeling One-Dimensional Time Series
Modeling Demand for Mortgage Loans Using Loan-Level Data
Sample Selection Bias in Mortgage Market Credit Risk Modeling
Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence
Stress-Testing Model for Corporate Borrower Portfolios.