# Kirill Ilinski

## Research output

Jump to: Working papers### Working papers

- Kirill Ilinski, 1999.
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**How to account for virtual arbitrage in the standard derivative pricing**," Finance 9902002, EconWPA.- Kirill Ilinski, 1999.
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**How to account for virtual arbitrage in the standard derivative pricing**," Papers cond-mat/9902047, arXiv.org.

- Kirill Ilinski, 1999.
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- Kirill Ilinski & Alexander Stepanenko, 1999.
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**Derivative pricing with virtual arbitrage**," Papers cond-mat/9902046, arXiv.org. - Kirill Ilinski, 1999.
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**Critical Crashes?**," Papers cond-mat/9903142, arXiv.org. - Alexandra Ilinskaia & Kirill Ilinski, 1999.
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**How to reconcile Market Efficiency and Technical Analysis**," Papers cond-mat/9902044, arXiv.org. - Kirill Ilinski, 1999.
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**Virtual Arbitrage Pricing Theory**," Finance 9902001, EconWPA.- Kirill Ilinski, 1999.
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**Virtual Arbitrage Pricing Theory**," Papers cond-mat/9902045, arXiv.org.

- Kirill Ilinski, 1999.
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- Kirill Ilinski & Alexander Stepanenko, 1998.
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**Electrodynamical model of quasi-efficient financial market**," Finance 9805007, EconWPA.- Kirill N. Ilinski & Alexander S. Stepanenko, 1998.
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**Electrodynamical model of quasi-efficient financial market**," Papers cond-mat/9806138, arXiv.org.

- Kirill N. Ilinski & Alexander S. Stepanenko, 1998.
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- Kirill N Ilinski, 1998.
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**Gauge Physics of Finance: simple introduction**," Papers cond-mat/9811197, arXiv.org. - Kirill Ilinski, 1997.
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**Physics of Finance**," Papers hep-th/9710148, arXiv.org. - Kirill Ilinski & Gleb Kalinin, 1997.
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**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

- Kirill Ilinski, 1999.
"
**How to account for virtual arbitrage in the standard derivative pricing**," Finance 9902002, EconWPA.- Kirill Ilinski, 1999.
"
**How to account for virtual arbitrage in the standard derivative pricing**," Papers cond-mat/9902047, arXiv.org.

Cited by:

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

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

- Kirill Ilinski, 1999.
"
**How to account for virtual arbitrage in the standard derivative pricing**," Finance 9902002, EconWPA.- Kirill Ilinski, 1999.
"
**How to account for virtual arbitrage in the standard derivative pricing**," Papers cond-mat/9902047, arXiv.org.

- Kirill Ilinski, 1999.
"
- Kirill Ilinski, 1999.
"
**Virtual Arbitrage Pricing Theory**," Papers cond-mat/9902045, arXiv.org.- Kirill Ilinski, 1999.
"
**Virtual Arbitrage Pricing Theory**," Finance 9902001, EconWPA.

- Kirill Ilinski, 1999.
"
- Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015.
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**Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods**," Papers 1512.05377, arXiv.org.

- Kirill Ilinski, 1999.
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- Kirill Ilinski, 1999.
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**Critical Crashes?**," Papers cond-mat/9903142, arXiv.org.Cited by:

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

- Anders Johansen & Didier Sornette & Olivier Ledoit, 1999.
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- Kirill Ilinski & Alexander Stepanenko, 1998.
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**Electrodynamical model of quasi-efficient financial market**," Finance 9805007, EconWPA.- Kirill N. Ilinski & Alexander S. Stepanenko, 1998.
"
**Electrodynamical model of quasi-efficient financial market**," Papers cond-mat/9806138, arXiv.org.

Cited by:

- Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010.
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**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.

- Kirill N. Ilinski & Alexander S. Stepanenko, 1998.
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- Kirill Ilinski, 1997.
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**Physics of Finance**," Papers hep-th/9710148, arXiv.org.Cited by:

- Martin Gremm, 2016.
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**Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate**," Papers 1605.03551, arXiv.org. - Jaehyung Choi, 2011.
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**Spontaneous symmetry breaking of arbitrage**," Papers 1107.5122, arXiv.org, revised Apr 2012. - Xiao, Di & Wang, Jun, 2012.
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**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. - Pouria Pedram, 2011.
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**The minimal length uncertainty and the quantum model for the stock market**," Papers 1111.6859, arXiv.org, revised Jan 2012. - Zhang, Chao & Huang, Lu, 2010.
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**A quantum model for the stock market**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775. - Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2011.
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**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. - Wang, Tiansong & Wang, Jun & Zhang, Junhuan & Fang, Wen, 2011.
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**Voter interacting systems applied to Chinese stock markets**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2492-2506. - B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2010.
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**Replicating financial market dynamics with a simple self-organized critical lattice model**," Papers 1010.4831, arXiv.org. - Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010.
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**Dynamic option pricing with endogenous stochastic arbitrage**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564. - Haven, Emmanuel, 2008.
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**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. - Kirill N. Ilinski & Alexander S. Stepanenko, 1998.
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**Electrodynamical model of quasi-efficient financial market**," Papers cond-mat/9806138, arXiv.org.- Kirill Ilinski & Alexander Stepanenko, 1998.
"
**Electrodynamical model of quasi-efficient financial market**," Finance 9805007, EconWPA.

- Kirill Ilinski & Alexander Stepanenko, 1998.
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- Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006.
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**The Econometric Analysis of Microscopic Simulation Models**," Discussion Paper 2006-99, Tilburg University, Center for Economic Research.- Youwei Li & Bas Donkers, 2004.
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**The Econometric Analysis of Microscopic Simulation Models**," Computing in Economics and Finance 2004 195, Society for Computational Economics.

- Youwei Li & Bas Donkers, 2004.
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- Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e, 2013.
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**Modeling and Solving Alternative Financial Solutions Seeking**," Papers 1306.2820, arXiv.org, revised Dec 2013. - Jana, T.K. & Roy, P., 2012.
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**Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2636-2640. - Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015.
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**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. - Samuel E. Vazquez, 2009.
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**Scale Invariance, Bounded Rationality and Non-Equilibrium Economics**," Papers 0902.3840, arXiv.org. - Liviu-Adrian Cotfas, 2012.
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**A quantum mechanical model for the rate of return**," Papers 1211.1938, arXiv.org. - A. Sokolov & T. Kieu & A. Melatos, 2010.
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**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. - Liviu-Adrian Cotfas, 2012.
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**A finite-dimensional quantum model for the stock market**," Papers 1204.4614, arXiv.org, revised Sep 2012. - Di Xiao & Jun Wang & Hongli Niu, 2016.
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**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. - Jana, T.K. & Roy, P., 2011.
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**Supersymmetry in option pricing**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355. - Simone Farinelli, 2015.
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**Geometric Arbitrage and Spectral Theory**," Papers 1509.03264, arXiv.org. - Cornelis A. Los, 2004.
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**Measuring Financial Cash Flow and Term Structure Dynamics**," Finance 0409046, EconWPA. - Zura Kakushadze, 2016.
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**Volatility Smile as Relativistic Effect**," Papers 1610.02456, arXiv.org, revised Feb 2017. - Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010.
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**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. - 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. - Emmanuel Haven, 2008.
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**Private Information and the ‘Information Function’: A Survey of Possible Uses**," Theory and Decision, Springer, vol. 64(2), pages 193-228, March. - Choi, Jaehyung, 2012.
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**Spontaneous symmetry breaking of arbitrage**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218. - Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Touré, 2015.
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**Modeling and Solving Alternative Financial Solutions Seeking**," Post-Print hal-00833327, HAL. - Simone Farinelli, 2014.
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**Credit Risk in a Geometric Arbitrage Perspective**," Papers 1406.6805, arXiv.org, revised Jul 2015. - Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2012.
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**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. - Cotfas, Liviu-Adrian, 2013.
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**A finite-dimensional quantum model for the stock market**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380. - Zhang, Bo & Wang, Jun & Fang, Wen, 2015.
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**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. - Pedram, Pouria, 2012.
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**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. - Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010.
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**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. - Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013.
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**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. - Hongli Niu & Jun Wang, 2014.
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**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. - B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2011.
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**Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model**," Papers 1112.2379, arXiv.org.

- Martin Gremm, 2016.
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- Kirill Ilinski & Gleb Kalinin, 1997.
"
**Black-Scholes equation from Gauge Theory of Arbitrage**," Papers hep-th/9712034, arXiv.org, revised Oct 1998.Cited by:

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

- Zura Kakushadze, 2016.
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## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### 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.- NEP-CFN: Corporate Finance (1) 1999-02-15
- NEP-FMK: Financial Markets (1) 1998-10-08
- NEP-IFN: International Finance (1) 1998-10-02

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