Content
2009
- 0902.3836 The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
by Cheoljun Eom & Jongwon Park & Woo-Sung Jung & Taisei Kaizoji & Yong H. Kim - 0902.3643 A Fourier transform method for spread option pricing
by T. R. Hurd & Zhuowei Zhou - 0902.3456 On the valuation of compositions in L\'evy term structure models
by Wolfgang Kluge & Antonis Papapantoleon - 0902.2965 Optimal leverage from non-ergodicity
by Ole Peters - 0902.2756 Monitoring dates of maximal risk
by Erick Trevino Aguilar - 0902.2735 First-passage and risk evaluation under stochastic volatility
by Jaume Masoliver & Josep Perello - 0902.2516 Optimal Trade Execution in Illiquid Markets
by Erhan Bayraktar & Mike Ludkovski - 0902.2479 Regularity of the Optimal Stopping Problem for Jump Diffusions
by Erhan Bayraktar & Hao Xing - 0902.2429 A Unified Framework for Dynamic Pari-Mutuel Information Market Design
by Shipra Agrawal & Erick Delage & Mark Peters & Zizhuo Wang & Yinyu Ye - 0902.2070 Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models
by M. Ali Saif & Prashant M. Gade - 0902.2065 Emergence of Power Law in a Market with Mixed Models
by M. Ali Saif & Prashant M. Gade - 0902.1721 Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
by Rasoul Behboudi & You-Lan Zhu - 0902.1576 A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms
by H. Iyetomi & H. Aoyama & Y. Fujiwara & Y. Ikeda & W. Souma - 0902.1328 On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation
by Laurent Carraro & Nicole El Karoui & Jan Ob{l}'oj - 0902.0878 Backbone of complex networks of corporations: The flow of control
by J. B. Glattfelder & S. Battiston - 0902.0713 Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
by Amparo Baillo - 0902.0504 The role of a matchmaker in buyer-vendor interactions
by Linyuan Lu & Matus Medo & Yi-Cheng Zhang - 0902.0188 A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment
by Subrata Chakrabarty - 0902.0100 The Reality Game
by Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd - 0902.0075 A k-generalized statistical mechanics approach to income analysis
by F. Clementi & M. Gallegati & G. Kaniadakis - 0901.4914 Exchangeability type properties of asset prices
by Ilya Molchanov & Michael Schmutz - 0901.4793 Structure and evolution of the foreign exchange networks
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz - 0901.4604 Laplace transformation method for the Black-Scholes equation
by Hyoseop Lee & Dongwoo Sheen - 0901.4447 Mathematical analysis of Soros's theory of reflexivity
by C. P. Kwong - 0901.3812 The Minimal Model of Financial Complexity
by Philip Maymin - 0901.3404 Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
by Igor Halperin & Pascal Tomecek - 0901.3398 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf & Igor Halperin - 0901.3318 Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
by Michail Anthropelos & Gordan Zitkovic - 0901.3003 Timed tuplix calculus and the Wesseling and van den Bergh equation
by J. A. Bergstra & C. A. Middelburg - 0901.2857 Kinetic models for wealth exchange on directed networks
by Arnab Chatterjee - 0901.2826 Optimal systems of subalgebras for a nonlinear Black-Scholes equation
by Maxim Bobrov - 0901.2586 Information geometries and Microeconomic Theories
by Richard Nock & Brice Magdalou & Nicolas Sanz & Eric Briys & Fred Celimene & Frank Nielsen - 0901.2484 Consumption and Portfolio Rules for Time-Inconsistent Investors
by Jesus Marin-Solano & Jorge Navas - 0901.2384 An Analysis of the Japanese Credit Network
by G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz - 0901.2381 Visualizing a large-scale structure of production network by N-body simulation
by Yoshi Fujiwara - 0901.2377 Structure and temporal change of the credit network between banks and large firms in Japan
by Yoshi Fujiwara & Hideaki Aoyama & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma - 0901.2275 Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
by Gilles Zumbach - 0901.2271 Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
by Erik Van der Straeten & Christian Beck - 0901.2080 On the Dybvig-Ingersoll-Ross Theorem
by Constantinos Kardaras & Eckhard Platen - 0901.2070 State-dependent utility maximization in L\'evy markets
by Jose E. Figueroa-Lopez & Jin Ma - 0901.1945 A mathematical proof of the existence of trends in financial time series
by Michel Fliess & C'edric Join - 0901.1794 Agent-Based Model Approach to Complex Phenomena in Real Economy
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma - 0901.1776 Efficient swaptions price in Hull-White one factor model
by Marc Henrard - 0901.1500 Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
by Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma - 0901.1392 The Spread of the Credit Crisis: View from a Stock Correlation Network
by Reginald D. Smith - 0901.1315 Stochastic Volatility Models Including Open, Close, High and Low Prices
by Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst - 0901.1218 Efficient Pricing of CPPI using Markov Operators
by Louis Paulot & Xavier Lacroze - 0901.1099 Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
by Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar - 0901.1038 Economic Models with Chaotic Money Exchange
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz - 0901.0992 An Adaptive Markov Chain Monte Carlo Method for GARCH Model
by Tetsuya Takaishi - 0901.0903 A long-range memory stochastic model of the return in financial markets
by V. Gontis & J. Ruseckas & A. Kononovicius - 0901.0674 Robust pricing and hedging of double no-touch options
by Alexander M. G. Cox & Jan Obloj - 0901.0638 Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles
by William T. Shaw & Thomas Luu & Nick Brickman - 0901.0495 Studies of the limit order book around large price changes
by Bence Toth & Janos Kertesz & J. Doyne Farmer - 0901.0447 Evaluating the performance of adapting trading strategies with different memory lengths
by Andreas Krause - 0901.0434 The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
by William T. Shaw & Ian R. C. Buckley - 0901.0401 From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
by Adom Giffin
2008
- 0901.0091 Illiquidity and Derivative Valuation
by Ulrich Horst & Felix Naujokat - 0901.0033 Measuring expectations in options markets: An application to the SP500 index
by Abel Rodriguez & Enrique ter Horst - 0812.4978 Optimal dividend distribution under Markov-regime switching
by Zhengjun Jiang & Martijn Pistorius - 0812.4737 Economic law of increase of Kolmogorov complexity. Transition from financial crisis 2008 to the zero-order phase transition (social explosion)
by V. P. Maslov - 0812.4548 A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions
by Bjorn Eriksson & Martijn Pistorius - 0812.4455 Probability of Large Movements in Financial Markets
by Robert Kitt & Maksim Sakki & Jaan Kalda - 0812.4210 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo & Antonio Dalessandro & Matthias Neugebauer & Fares Triki - 0812.4199 An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
by Damiano Brigo & Naoufel El-Bachir - 0812.4163 Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - 0812.4159 Constant Maturity Credit Default Swap Pricing with Market Models
by Damiano Brigo - 0812.4156 Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
by Massimo Morini & Damiano Brigo - 0812.4052 The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation
by Damiano Brigo - 0812.4050 On three filtering problems arising in mathematical finance
by Damiano Brigo & Bernard Hanzon - 0812.4028 Steady coexistence of the subjects of the market representing the private and state capital
by Viktor I. Shapovalov - 0812.4010 Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing
by Damiano Brigo & Fabio Mercurio - 0812.3705 Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
by Damiano Brigo & Agostino Capponi - 0812.3538 Estimation of the instantaneous volatility
by A. Alvarez & F. Panloup & M. Pontier & N. Savy - 0812.3381 Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling
by Olivier Aj Bardou & Noufel Frikha & G. Pag`es - 0812.3378 On the Financial Crisis 2008 from a Physicist's viewpoint: A Spin-Glass Interpretation
by U. Krey - 0812.3128 A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes
by Marc Jeannin & Martijn Pistorius - 0812.3117 Pricing and hedging barrier options in a hyper-exponential additive model
by Marc Jeannin & Martijn Pistorius - 0812.3083 A Finite Element Framework for Option Pricing with the Bates Model
by Edie Miglio & Carlo Sgarra - 0812.2664 Evidence for the Gompertz Curve in the Income Distribution of Brazil 1978-2005
by Newton J. Moura Jr. & Marcelo B. Ribeiro - 0812.2604 Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
by Jianqing Fan & Jingjin Zhang & Ke Yu - 0812.2603 Computational modeling of collective human behavior: Example of financial markets
by Andy Kirou & Blazej Ruszczycki & Markus Walser & Neil F. Johnson - 0812.2449 Market bubbles and crashes
by T. Kaizoji & D. Sornette - 0812.2444 Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
by Alexandre F. Roch - 0812.2440 Liquidity Risk, Price Impacts and the Replication Problem
by Alexandre F. Roch - 0812.2148 On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
by Javier Villarroel & Miquel Montero - 0812.2000 Correlated Random Walks and the Joint Survival Probability
by Mark B. Wise & Vineer Bhansali - 0812.1512 Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
by Guo-Hua Mu & Wei Chen & J'anos Kert'esz & Wei-Xing Zhou - 0812.0913 The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
by Daniel J. Fenn & Sam D. Howison & Mark McDonald & Stacy Williams & Neil F. Johnson - 0812.0761 Option Pricing Model Based on a Markov-modulated Diffusion with Jumps
by Nikita Ratanov - 0812.0556 Perpetual American vanilla option pricing under single regime change risk. An exhaustive study
by Miquel Montero - 0812.0449 Locally adaptive estimation methods with application to univariate time series
by Mstislav Elagin - 0812.0208 International Comparison of Labor Productivity Distribution for Manufacturing and Non-Manufacturing Firms
by Yuichi Ikeda & Wataru Souma - 0812.0136 A mixed relaxed singular maximum principle for linear SDEs with random coefficients
by Daniel Andersson - 0812.0033 Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
by Constantinos Kardaras & Eckhard Platen - 0811.4715 Utility maximization in incomplete markets with default
by Thomas Lim & Marie-Claire Quenez - 0811.4678 Mathematics underlying the 2008 financial crisis, and a possible remedy
by V. P. Maslov & V. E. Nazaikinskii - 0811.4613 Pricing financial derivatives by a minimizing method
by Eduard Rotenstein - 0811.4256 Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model
by V. Alfi & M. Cristelli & L. Pietronero & A. Zaccaria - 0811.4039 Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
by Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Manuela Royer-Carenzi - 0811.4021 Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
by Cheoljun Eom & Woo-Sung Jung & Taisei Kaizoji & Seunghwan Kim - 0811.3988 Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
by Daniel J. Fenn & Mason A. Porter & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones - 0811.3889 Multivariate utility maximization with proportional transaction costs
by Luciano Campi & Mark P. Owen - 0811.3885 Fluctuations of company yearly profits versus scaled revenue: Fat tail distribution of Levy type
by H. E. Roman & R. A. Siliprandi & C. Dose & C. Riccardi & M. Porto - 0811.3749 Quantile hedging for an insider
by Przemyslaw Klusik & Zbigniew Palmowski & Jakub Zwierz - 0811.3130 An Apology for Money
by Karl Svozil - 0811.3122 A multiscale view on inverse statistics and gain/loss asymmetry in financial time series
by Johannes Vitalis Siven & Jeffrey Todd Lins & Jonas Lundbek Hansen - 0811.2125 GDP growth rate and population
by Ivan O. Kitov - 0811.2124 The driving force of labor productivity
by Ivan O. Kitov & Oleg I. kitov - 0811.2084 A model of subjective supply-demand: the maximum Boltzmann/Shannon entropy solution
by Edward W. Piotrowski & Jan Sladkowski - 0811.1896 Binomial approximations of shortfall risk for game options
by Yan Dolinsky & Yuri Kifer - 0811.1561 Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
by Michel Fliess & C'edric Join - 0811.1182 Modelling the transition from a socialist to capitalist economic system
by Ivan O. Kitov - 0811.1064 Transition from Pareto to Boltzmann-Gibbs behavior in a deterministic economic model
by J. Gonzalez-Estevez & M. G. Cosenza & O. Alvarez-Llamoza & R. Lopez-Ruiz - 0811.0896 Relationship between inflation, unemployment and labor force change rate in France: cointegration test
by Ivan O. Kitov & Oleg I. Kitov & Svetlana A. Dolinskaya - 0811.0892 Inflation as a function of labor force change rate: cointegration test for the USA
by Ivan O. Kitov & Oleg I. Kitov & Svetlana A. Dolinskaya - 0811.0889 Real GDP per capita in developed countries
by Ivan O. Kitov - 0811.0800 The instability of downside risk measures
by Istvan Varga-Haszonits & Imre Kondor - 0811.0591 On the singular limit of solutions to the CIR interest rate model with stochastic volatility
by B. Stehlikova & D. Sevcovic - 0811.0490 Modelling real GDP per capita in the USA: cointegration test
by Ivan O. Kitov & Oleg I. Kitov & Svetlana A. Dolinskaya - 0811.0489 Modelling the average income dependence on work experience
by Ivan O. Kitov - 0811.0473 On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
by B. Stehlikova & D. Sevcovic - 0811.0448 Statistical properties of information flow in financial time series
by Cheoljun Eom & Okyu Kwon & Woo-Sung Jung - 0811.0376 Exact prediction of S&P 500 returns
by Ivan O. Kitov & Oleg I. Kitov - 0811.0356 Modeling the evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005
by Ivan O. Kitov - 0811.0352 Evolution of the personal income distribution in the USA: High incomes
by Ivan O. Kitov - 0811.0182 A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback
by William T. Shaw - 0810.5698 The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
by Said Hamadene & Jianfeng Zhang - 0810.5306 Economics need a scientific revolution
by Jean-Philippe Bouchaud - 0810.5146 Semi-static hedging for certain Margrabe type options with barriers
by Michael Schmutz - 0810.4912 Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
by Simone Bianco & Fulvio Corsi & Roberto Reno' - 0810.4844 Predator-Prey Model for Stock Market Fluctuations
by Miquel Montero - 0810.4608 Trust! Why it Has Been Lost and How to Regain It
by D. Sornette - 0810.4409 Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics
by Sergey Zaitsev & Alexander Zaitsev & Andrei Leonidov & Vladimir Trainin - 0810.4000 Le trading algorithmique
by Victor Lebreton - 0810.2508 Universality in the stock exchange
by Rui Gonc{c}alves & Alberto Pinto - 0810.2016 Hedging of claims with physical delivery under convex transaction costs
by Teemu Pennanen & Irina Penner - 0810.1922 Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
by Gilles Daniel & Didier Sornette & Peter Wohrmann - 0810.1625 Volatility Effects on the Escape Time in Financial Market Models
by Bernardo Spagnolo & Davide Valenti - 0810.1215 Scale free effects in world currency exchange network
by A. Z. Gorski & S. Drozdz & J. Kwapien - 0810.1059 Measuring the "non-stopping timeness" of ends of previsible sets
by Ju-Yi Yen & Marc Yor - 0810.0917 Hedging and production decisions under uncertainty: A survey
by Moawia Alghalith - 0810.0678 Portfolio Optimization under Habit Formation
by Roman Naryshkin & Matt Davison - 0810.0055 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
by Samuel N. Cohen & Robert J. Elliott - 0809.4781 On contingent claims pricing in incomplete markets: A risk sharing approach
by Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos - 0809.4615 Correlation, hierarchies, and networks in financial markets
by M. Tumminello & F. Lillo & R. N. Mantegna - 0809.4570 Stock market volatility: An approach based on Tsallis entropy
by Sonia R. Bentes & Rui Menezes & Diana A. Mendes - 0809.4372 Ruin probabilities under general investments and heavy-tailed claims
by Henrik Hult & Filip Lindskog - 0809.4139 Breakdown of the mean-field approximation in a wealth distribution model
by Matus Medo - 0809.3978 Multi-market minority game: breaking the symmetry of choice
by Karol Wawrzyniak & Wojciech Wislicki - 0809.3902 Clustering of discretely observed diffusion processes
by Alessandro De Gregorio & Stefano Maria Iacus - 0809.3824 Time Consistent Dynamic Limit Order Books Calibrated on Options
by Jocelyne Bion-Nadal - 0809.3714 Existence, uniqueness and a constructive solution algorithm for a class of finite Markov moment problems
by Laurent Gosse & Olof Runborg - 0809.3541 Labour Productivity Superstatistics
by Hideaki Aoyama & Hiroshi Yoshikawa & Hiroshi Iyetomi & Yoshi Fujiwara - 0809.3418 Network effects in a human capital based economic growth model
by Teresa Vaz Martins & Tanya Araujo & Maria Augusta Santos & Miguel St Aubyn - 0809.3405 Analysis of Fourier transform valuation formulas and applications
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon - 0809.3375 Smile dynamics -- a theory of the implied leverage effect
by Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters - 0809.3305 Implied volatility explosions: European calls and implied volatilities close to expiry in exponential L\'evy models
by Michael Roper - 0809.3060 Non-Gibrat's law in the middle scale region
by Masashi Tomoyose & Shouji Fujimoto & Atushi Ishikawa - 0809.2878 Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou
by Satya N. Majumdar & Jean-Philippe Bouchaud - 0809.2270 On incompleteness of bond markets with infinite number of random factors
by Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk - 0809.1985 Affine Models
by Christa Cuchiero & Damir Filipovic & Josef Teichmann - 0809.1747 Local time and the pricing of time-dependent barrier options
by Aleksandar Mijatovic - 0809.1612 Correlated continuous time random walks
by Mark M. Meerschaert & Erkan Nane & Yimin Xiao - 0809.1534 Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
by Katarzyna Sznajd-Weron & Rafa{l} Weron & Maja W{l}oszczowska - 0809.1516 SURE shrinkage of Gaussian paths and signal identification
by Nicolas Privault & Anthony R'eveillac - 0809.1393 Graphical models for correlated defaults
by I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels - 0809.1139 Fractality feature in oil price fluctuations
by M. Momeni & I. Kourakis & K. Talebi - 0809.1040 Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws
by J. B. Glattfelder & A. Dupuis & R. B. Olsen - 0809.0979 A housing-demographic multi-layered nonlinear model to test regulation strategies
by Ramon Huerta & Fernando Corbacho & Luis F. Lago-Fernandez - 0809.0822 How markets slowly digest changes in supply and demand
by Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo - 0809.0739 A dual characterization of self-generation and exponential forward performances
by Gordan v{Z}itkovi'c - 0809.0481 Solvable Stochastic Dealer Models for Financial Markets
by Kenta Yamada & Hideki Takayasu & Takatoshi Ito & Misako Takayasu - 0809.0448 The Stock Market as a Game: An Agent Based Approach to Trading in Stocks
by Eric Engle - 0809.0437 Minimal Spanning Tree graphs and power like scaling in FOREX networks
by A Z Gorski & S. Drozdz & J. Kwapien - 0809.0301 Esscher transform and the duality principle for multidimensional semimartingales
by Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev - 0809.0250 Multiscaling behavior in the volatility return intervals of Chinese indices
by Fei Ren & Wei-Xing Zhou - 0809.0241 Bayesian Analysis of Value-at-Risk with Product Partition Models
by Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola - 0808.4012 Robust hedging of double touch barrier options
by Alexander M. G. Cox & Jan K. Ob{l}'oj - 0808.3565 Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
by V. Alfi & M. Cristelli & L. Pietronero & A. Zaccaria - 0808.3562 Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts
by V. Alfi & M. Cristelli & L. Pietronero & A. Zaccaria - 0808.3360 Criticality Characteristics of Current Oil Price Dynamics
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka - 0808.3339 Random walker in a temporally deforming higher-order potential forces observed in financial crisis
by Kota Watanabe & Hideki Takayasu & Misako Takayasu - 0808.3269 Dynamic scaling approach to study time series fluctuations
by Alexander S. Balankin - 0808.3200 Multifactor Analysis of Multiscaling in Volatility Return Intervals
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley - 0808.3196 Queue-length Variations In A Two-Restaurant Problem
by Anindya S. Chakrabarti & Bikas K. Chakrabarti - 0808.2892 On honest times in financial modeling
by Ashkan Nikeghbali & Eckhard Platen - 0808.1828 Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
by A. Saichev & Y. Malevergne & D. Sornette - 0808.1710 Dynamic modeling of mean-reverting spreads for statistical arbitrage
by Kostas Triantafyllopoulos & Giovanni Montana - 0808.1655 Shelf space strategy in long-tail markets
by R. Alexander Bentley & Paul Ormerod & Mark E. Madsen - 0808.1538 Heterogeneous expectations and long range correlation of the volatility of asset returns
by Jerome Coulon & Yannick Malevergne - 0808.1090 Changes in the Distribution of Income Volatility
by Shane T. Jensen & Stephen H. Shore - 0808.0372 The distribution of first-passage times and durations in FOREX and future markets
by Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas - 0807.5001 Decomposition of order statistics of semimartingales using local times
by Raouf Ghomrasni & Olivier Menoukeu Pamen - 0807.4958 Hazard processes and martingale hazard processes
by Delia Coculescu & Ashkan Nikeghbali - 0807.4639 Emergence of long memory in stock volatility from a modified Mike-Farmer model
by Gao-Feng Gu & Wei-Xing Zhou - 0807.4484 Taxes in a simple wealth distribution model by inelastically scattering particles
by Sebastian D. Guala - 0807.4394 Financial Time Series Analysis of SV Model by Hybrid Monte Carlo
by Tetsuya Takaishi