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Kirill Ilinski

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First Name:Kirill
Middle Name:
Last Name:Ilinski
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RePEc Short-ID:pil1

Research output

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Jump to: Working papers

Working papers

  1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, EconWPA.
  2. Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.
  3. Kirill Ilinski, 1999. "Critical Crashes?," Papers cond-mat/9903142, arXiv.org.
  4. Alexandra Ilinskaia & Kirill Ilinski, 1999. "How to reconcile Market Efficiency and Technical Analysis," Papers cond-mat/9902044, arXiv.org.
  5. Kirill Ilinski, 1999. "Virtual Arbitrage Pricing Theory," Finance 9902001, EconWPA.
  6. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, EconWPA.
  7. Kirill N Ilinski, 1998. "Gauge Physics of Finance: simple introduction," Papers cond-mat/9811197, arXiv.org.
  8. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
  9. Kirill Ilinski & Gleb Kalinin, 1997. "Black-Scholes equation from Gauge Theory of Arbitrage," Papers hep-th/9712034, arXiv.org, revised Oct 1998.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, EconWPA.

    Cited by:

    1. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    2. Matthias Otto, 1999. "Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory," Papers cond-mat/9906196, arXiv.org, revised Oct 1999.
    3. Otto, Matthias, 2001. "Finite arbitrage times and the volatility smile?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 299-304.

  2. Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.

    Cited by:

    1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, EconWPA.
    2. Kirill Ilinski, 1999. "Virtual Arbitrage Pricing Theory," Papers cond-mat/9902045, arXiv.org.
    3. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.

  3. Kirill Ilinski, 1999. "Critical Crashes?," Papers cond-mat/9903142, arXiv.org.

    Cited by:

    1. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance 9903006, EconWPA.
    2. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.

  4. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, EconWPA.

    Cited by:

    1. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.

  5. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.

    Cited by:

    1. Martin Gremm, 2016. "Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate," Papers 1605.03551, arXiv.org.
    2. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
    3. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
    4. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
    5. Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
    6. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2011. "Replicating financial market dynamics with a simple self-organized critical lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3120-3135.
    7. Wang, Tiansong & Wang, Jun & Zhang, Junhuan & Fang, Wen, 2011. "Voter interacting systems applied to Chinese stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2492-2506.
    8. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2010. "Replicating financial market dynamics with a simple self-organized critical lattice model," Papers 1010.4831, arXiv.org.
    9. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
    10. Haven, Emmanuel, 2008. "Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 41-58, March.
    11. Kirill N. Ilinski & Alexander S. Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Papers cond-mat/9806138, arXiv.org.
    12. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper 2006-99, Tilburg University, Center for Economic Research.
    13. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e, 2013. "Modeling and Solving Alternative Financial Solutions Seeking," Papers 1306.2820, arXiv.org, revised Dec 2013.
    14. Jana, T.K. & Roy, P., 2012. "Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2636-2640.
    15. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    16. Samuel E. Vazquez, 2009. "Scale Invariance, Bounded Rationality and Non-Equilibrium Economics," Papers 0902.3840, arXiv.org.
    17. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
    18. A. Sokolov & T. Kieu & A. Melatos, 2010. "A note on the theory of fast money flow dynamics," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 637-642, August.
    19. Liviu-Adrian Cotfas, 2012. "A finite-dimensional quantum model for the stock market," Papers 1204.4614, arXiv.org, revised Sep 2012.
    20. Di Xiao & Jun Wang & Hongli Niu, 2016. "Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 607-625, December.
    21. Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
    22. Simone Farinelli, 2015. "Geometric Arbitrage and Spectral Theory," Papers 1509.03264, arXiv.org.
    23. Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, EconWPA.
    24. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
    25. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.
    26. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    27. Emmanuel Haven, 2008. "Private Information and the ‘Information Function’: A Survey of Possible Uses," Theory and Decision, Springer, vol. 64(2), pages 193-228, March.
    28. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
    29. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Touré, 2015. "Modeling and Solving Alternative Financial Solutions Seeking," Post-Print hal-00833327, HAL.
    30. Simone Farinelli, 2014. "Credit Risk in a Geometric Arbitrage Perspective," Papers 1406.6805, arXiv.org, revised Jul 2015.
    31. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2012. "Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4350-4363.
    32. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
    33. Zhang, Bo & Wang, Jun & Fang, Wen, 2015. "Volatility behavior of visibility graph EMD financial time series from Ising interacting system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 301-314.
    34. Pedram, Pouria, 2012. "The minimal length uncertainty and the quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2100-2105.
    35. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
    36. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
    37. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
    38. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2011. "Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model," Papers 1112.2379, arXiv.org.

  6. Kirill Ilinski & Gleb Kalinin, 1997. "Black-Scholes equation from Gauge Theory of Arbitrage," Papers hep-th/9712034, arXiv.org, revised Oct 1998.

    Cited by:

    1. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (1) 1999-02-15
  2. NEP-FMK: Financial Markets (1) 1998-10-08
  3. NEP-IFN: International Finance (1) 1998-10-02

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