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### 2012

**1210.7230 A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization***by*Zhi Zheng & Richard B. Sowers**1210.7215 Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets***by*Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir**1210.7111 Generalised arbitrage-free SVI volatility surfaces***by*Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt**1210.6727 Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations***by*Paul M. N. Feehan & Camelia Pop**1210.6481 Complex Systems with Trivial Dynamics***by*Ricardo Lopez-Ruiz**1210.6372 Optimal execution and block trade pricing: a general framework***by*Olivier Gu\'eant**1210.6321 High quality topic extraction from business news explains abnormal financial market volatility***by*Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe**1210.6201 A case for FDI in Multi-brand retail in India***by*Jatin Prasad & Dr Jyoti Singh**1210.6197 Game Theory in Oligopoly***by*Marx Boopathi**1210.6080 Food for fuel: The price of ethanol***by*Dominic K. Albino & Karla Z. Bertrand & Yaneer Bar-Yam**1210.6000 Solvency assessment within the ORSA framework: issues and quantitative methodologies***by*Julien Vedani & Laurent Devineau**1210.5987 Stability analysis of financial contagion due to overlapping portfolios***by*Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer**1210.5859 Determination the Parameters of Markowitz Portfolio Optimization Model***by*Ertugrul Bayraktar & Ayse Humeyra Bilge**1210.5781 High Frequency Market Making***by*Rene Carmona & Kevin Webster**1210.5773 Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives***by*Rene Carmona & Francois Delarue & Gilles-Edouard Espinosa & Nizar Touzi**1210.5479 Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes***by*Lorenzo Torricelli**1210.5466 Optimal Investment with Stocks and Derivatives***by*Pietro Siorpaes**1210.5392 High order splitting schemes with complex timesteps and their application in mathematical finance***by*Philipp Doersek & Eskil Hansen**1210.5391 Simple arbitrage***by*Christian Bender**1210.5390 Ethics and Finance: the role of mathematics***by*Timothy C. Johnson**1210.5205 The Merton Problem with a Drawdown Constraint on Consumption***by*T. Arun**1210.5152 A construction of (t,s)-sequences with finite-row generating matrices using global function fields***by*Roswitha Hofer & Harald Niederreiter**1210.5111 Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters***by*Belkacem Berdjane & Sergei Pergamenshchikov**1210.5046 Counterparty Risk and Funding: The Four Wings of the TVA***by*St\'ephane Cr\'epey & R\'emi Gerboud & Zorana Grbac & Nathalie Ngor**1210.4973 Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation***by*Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley**1210.4901 An Approximate Solution Method for Large Risk-Averse Markov Decision Processes***by*Marek Petrik & Dharmashankar Subramanian**1210.4900 Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets***by*Wei Sun & Robin Hanson & Kathryn Blackmond Laskey & Charles Twardy**1210.4853 Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions***by*Joseph Y. Halpern & Samantha Leung**1210.4837 Designing Informative Securities***by*Yiling Chen & Mike Ruberry & Jennifer Wortman Vaughan**1210.4713 Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach***by*Brice Hakwa & Manfred J\"ager-Ambro\.zewicz & Barbara R\"udiger**1210.4643 Econoinformatics meets Data-Centric Social Sciences***by*Aki-Hiro Sato**1210.4461 Modeling Spatial Equilibrium in Cities: the Isobenefit Lines***by*Luca D'Acci**1210.4129 Towards international E-stat for monitoring the socio-economic activities across the globe***by*Aki-Hiro Sato & Ken Umeno**1210.4000 Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration***by*Christoph K\"uhn & Matthias Riedel**1210.3865 Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements***by*Chien-Liang Chen & Chao-Lin Liu & Yuan-Chen Chang & Hsiang-Ping Tsai**1210.3851 An introduction to particle integration methods: with applications to risk and insurance***by*P. Del Moral & G. W. Peters & Ch. Verg\'e**1210.3849 A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving***by*Gareth W. Peters & Alice X. D. Dong & Robert Kohn**1210.3814 Russian interbank networks: main characteristics and stability with respect to contagion***by*A. V. Leonidov & E. L. Rumyantsev**1210.3811 Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments***by*Andrea Pallavicini & Daniele Perini & Damiano Brigo**1210.3800 A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance***by*Nicole Bauerle & Erhan Bayraktar**1210.3716 Redistribution spurs growth by using a portfolio effect on human capital***by*Jan Lorenz & Fabian Paetzel & Frank Schweitzer**1210.3678 Physical assets replacement: an analytical approach***by*Igor Gimenes Cesca & Douglas Duarte Novaes**1210.3543 Characterizing the development of sectoral Gross Domestic Product composition***by*Raphael Lutz & Michael Spies & Dominik E. Reusser & J\"urgen P. Kropp & Diego Rybski**1210.3324 Strong random correlations in networks of heterogeneous agents***by*Imre Kondor & Istv\'an Csabai & G\'abor Papp & Enys Mones & G\'abor Czimbalmos & M\'at\'e Csaba S\'andor**1210.3269 The role of distances in the World Trade Web***by*Francesco Picciolo & Tiziano Squartini & Franco Ruzzenenti & Riccardo Basosi & Diego Garlaschelli**1210.3164 A Semi-Markov Modulated Interest Rate Model***by*Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi**1210.2953 Characterization of Differentiable Copulas***by*Saikat Mukherjee & Farhad Jafari & Jong-Min Kim**1210.2617 The solution of discretionary stopping problems with applications to the optimal timing of investment decisions***by*Timothy C. Johnson**1210.2337 Local Risk-Minimization under the Benchmark Approach***by*Francesca Biagini & Alessandra Cretarola & Eckhard Platen**1210.2132 Equalitarian Societies are Economically Impossible***by*Bojin Zheng & Wenhua Du & Wanneng Shu & Jianmin Wang & Deyi Li**1210.2088 Mod\`eles de co\^uts en fonderie sable : les limites d'une approche g\'en\'erique***by*Nicolas Perry & Magali Mauchand & Alain Bernard**1210.2043 Smooth Nonparametric Bernstein Vine Copulas***by*Gregor Wei{\ss} & Marcus Scheffer**1210.2021 Fostering Project Scheduling and Controlling Risk Management***by*Abdul Razaque & Christian Bach & Nyembo salama & Aziz Alotaibi**1210.1966 How We Tend To Overestimate Powerlaw Tail Exponents***by*Nassim N. Taleb**1210.1866 On parameter estimation for critical affine processes***by*Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap**1210.1848 On random convex analysis -- the analytic foundation of the module approach to conditional risk measures***by*Tiexin Guo & Shien Zhao & Xiaolin Zeng**1210.1838 Three-state herding model of the financial markets***by*Aleksejus Kononovicius & Vygintas Gontis**1210.1625 Optimal order placement in limit order markets***by*Rama Cont & Arseniy Kukanov**1210.1598 Portfolio Choice in Markets with Contagion***by*Yacine A\"it-Sahalia & T. R. Hurd**1210.1588 A New Kind of Finance***by*Philip Z. Maymin**1210.0968 A New Trinomial Recombination Tree Algorithm and Its Applications***by*Peter C. L. Lin**1210.0898 Spontaneous Economic Order***by*Yong Tao**1210.0670 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method***by*Hideyuki Tanaka & Toshihiro Yamada**1210.0570 A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results***by*Elisabeth Kemajou & Salah-Eldin Mohammed & Antoine Tambue**1210.0259 Systems of Brownian particles with asymmetric collisions***by*Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov**1210.0057 Consumer finance data generator - a new approach to Credit Scoring technique comparison***by*Karol Przanowski & Jolanta Mamczarz**1209.6497 Malliavin calculus method for asymptotic expansion of dual control problems***by*Michael Monoyios**1209.6459 Bootstrapping topology and systemic risk of complex network using the fitness model***by*Nicol\'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli**1209.6439 The best gain-loss ratio is a poor performance measure***by*Sara Biagini & Mustafa Pinar**1209.6385 Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints***by*Haluk Yener**1209.6376 UPDATE July 2012 | The Food Crises: The US Drought***by*Marco Lagi & Yavni Bar-Yam & Yaneer Bar-Yam**1209.6369 The European debt crisis: Defaults and market equilibrium***by*Marco Lagi & Yaneer Bar-Yam**1209.5976 Quadratic hedging schemes for non-Gaussian GARCH models***by*Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega**1209.5953 Optimization problem and mean variance hedging on defaultable claims***by*Stephane Goutte & Armand Ngoupeyou**1209.5881 The beneficial role of random strategies in social and financial systems***by*Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda**1209.5190 The Reactive Volatility Model***by*Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu**1209.5175 Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process***by*Christian Bayer & Bezirgen Veliyev**1209.4849 Iterated Function Systems with Economic Applications***by*Shilei Wang**1209.4787 A generalized statistical model for the size distribution of wealth***by*F. Clementi & M. Gallegati & G. Kaniadakis**1209.4718 Stock Price Dynamics and Option Valuations under Volatility Feedback Effect***by*Juho Kanniainen & Robert Pich\'e**1209.4695 On statistical indistinguishability of the complete and incomplete markets***by*Nikolai Dokuchaev**1209.4629 The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems***by*Harbir Lamba**1209.4608 Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting***by*Mahesh S. Khadka & K. M. George & N. Park & J. B. Kim**1209.4517 Ergodicity breaking in geometric Brownian motion***by*Ole Peters & William Klein**1209.4449 Diffusion-based models for financial markets without martingale measures***by*Claudio Fontana & Wolfgang J. Runggaldier**1209.4175 Hierarchical structure of stock price fluctuations in financial markets***by*Ya-Chun Gao & Shi-Min Cai & Bing-Hong Wang**1209.3982 Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress***by*Zhang Li & Ilya Pollak**1209.3570 Spectral Risk Measures, With Adaptions For Stochastic Optimization***by*Alois Pichler**1209.3513 Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model***by*Gechun Liang & Eva L\"utkebohmert & Wei Wei**1209.3503 Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging***by*I. Halperin & A. Itkin**1209.3399 Coupled effects of market impact and asymmetric sensitivity in financial markets***by*Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi**1209.2817 Preferential Attachment in the Interaction between Dynamically Generated Interdependent Networks***by*Boris Podobnik & Davor Horvatic & Mark Dickison & H. Eugene Stanley**1209.2813 The competitiveness versus the wealth of a country***by*Boris Podobnik & Davor Horvatic & Dror Y. Kenett & H. Eugene Stanley**1209.2781 Wealth distribution on complex networks***by*Takashi Ichinomiya**1209.2555 Option Pricing and Hedging with Small Transaction Costs***by*Jan Kallsen & Johannes Muhle-Karbe**1209.2467 Bouchaud-M\'ezard model on a random network***by*Takashi Ichinomiya**1209.2298 The Future Has Thicker Tails than the Past: Model Error As Branching Counterfactuals***by*Nassim N. Taleb**1209.2204 How is non-knowledge represented in economic theory?***by*Ekaterina Svetlova & Henk van Elst**1209.1909 Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions***by*Christoph Reisinger & Rasmus Wissmann**1209.1903 Roles of discount rate, risk premium, and device performance in estimating the cost of energy for photovoltaics***by*Sergei Manzhos**1209.1893 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering***by*Masaaki Fujii**1209.1791 Dynkin Games and Israeli Options***by*Yuri Kifer**1209.1705 General Equilibrium as a Topological Field Theory***by*Eric Kemp-Benedict**1209.1544 On Geometric Ergodicity of Skewed - SVCHARME models***by*Jerzy P. Rydlewski & Ma{\l}gorzata Snarska**1209.1321 Entanglement between Demand and Supply in Markets with Bandwagon Goods***by*Mirta B. Gordon & Jean-Pierre Nadal & Denis Phan & Viktoriya Semeshenko**1209.0959 How big is too big? Critical Shocks for Systemic Failure Cascades***by*Claudio J. Tessone & Antonios Garas & Beniamino Guerra & Frank Schweitzer**1209.0900 Time-Frequency Dynamics of Biofuels-Fuels-Food System***by*Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman**1209.0708 On the global economic potentials and marginal costs of non-renewable resources and the price of energy commodities***by*Jean-Francois Mercure & Pablo Salas**1209.0697 Variance Swaps on Defaultable Assets and Market Implied Time-Changes***by*Matthew Lorig & Oriol Lozano Carbasse & Rafael Mendoza-Arriaga**1209.0646 Scenarios and their Aggregation in the Regulatory Risk Measurement Environment***by*Andreas Haier & Thorsten Pfeiffer**1209.0453 Crises and collective socio-economic phenomena: simple models and challenges***by*Jean-Philippe Bouchaud**1209.0424 On the changeover timescales of technology transitions and induced efficiency changes: an overarching theory***by*Jean-Francois Mercure**1209.0390 First order strong approximations of scalar SDEs with values in a domain***by*Andreas Neuenkirch & Lukasz Szpruch**1209.0305 Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs***by*S\"oren Christensen & Marc Wittlinger**1208.6486 Superreplication under Volatility Uncertainty for Measurable Claims***by*Ariel Neufeld & Marcel Nutz**1208.6305 Kinetic models for the trading of goods***by*G. Toscani & C. Brugna & S. Demichelis**1208.6146 Finite quantum mechanical model for the stock market***by*Liviu-Adrian Cotfas**1208.5896 Benford's law and Theil transform of financial data***by*Paulette Clippe & Marcel Ausloos**1208.5802 Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration***by*Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar**1208.5581 Quadratic BSDEs with jumps: a fixed-point approach***by*M. Nabil Kazi-Tani & Dylan Possama\"i & Chao Zhou**1208.5520 High-order short-time expansions for ATM option prices of exponential L\'evy models***by*Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e**1208.5398 Portfolio optimization with insider's initial information and counterparty risk***by*Caroline Hillairet & Ying Jiao**1208.5382 Wrong-way risk in credit and funding valuation adjustments***by*Mihail Turlakov**1208.5316 How Non-linearity will Transform Information Systems***by*Paolo Magrassi**1208.5303 Hedging Swing contract on gas markets***by*Xavier Warin**1208.4831 Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression***by*Jozef Barunik & Michaela Barunikova**1208.4799 Hedge and Mutual Funds' Fees and the Separation of Private Investments***by*Paolo Guasoni & Gu Wang**1208.4429 Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling***by*E. Hurwitz & T. Marwala**1208.4409 Yard-Sale exchange on networks: Wealth sharing and wealth appropriation***by*R. Bustos-Guajardo & Cristian F. Moukarzel**1208.4282 Small time central limit theorems for semimartingales with applications***by*Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov**1208.4158 Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series***by*Ying-Hui Shao & Gao Feng Gu & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette**1208.3789 On Global Stability of Financial Networks***by*Bhaskar DasGupta & Lakshmi Kaligounder**1208.3785 Large liquidity expansion of super-hedging costs***by*Dylan Possama\"i & Nizar Touzi & H. Mete Soner**1208.3460 Inverse Thinking in Economic Theory: A Radical Approach to Economic Thinking***by*Jaime Gomez-Ramirez**1208.3087 Modeling and Forecasting Persistent Financial Durations***by*Filip Zikes & Jozef Barunik & Nikhil Shenai**1208.3083 A multi-agent nonlinear Markov model of the order book***by*Kirill Vaninsky & Stepan Myzuchka & Alexander Lukov**1208.2878 Interest Rate Manipulation Detection using Time Series Clustering Approach***by*Murphy Choy & Enoch Chng & Koo Ping Shung**1208.2775 Physical approach to price momentum and its application to momentum strategy***by*Jaehyung Choi**1208.2696 Distribution Of Wealth In A Network Model Of The Economy***by*Tao Ma & John G. Holden & R. A. Serota**1208.2658 Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations***by*Paul M. N. Feehan & Camelia A. Pop**1208.2589 Why, when, and how fast innovations are adopted***by*Sebastian Goncalves & M. F. Laguna & J. R. Iglesias**1208.2068 Risk minimizing of derivatives via dynamic g-expectation and related topics***by*Tianxiao Wang**1208.1479 General Balance Functions in the Theory of Interest***by*David Spring**1208.1298 Measuring capital market efficiency: Global and local correlations structure***by*Ladislav Kristoufek & Miloslav Vosvrda**1208.1277 Economic decision making: application of the theory of complex systems***by*Robert Kitt**1208.1189 Mathematical Definition, Mapping, and Detection of (Anti)Fragility***by*Nassim N. Taleb & Raphael Douady**1208.1188 Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms***by*Hayafumi Watanabe & Hideki Takayasu & Misako Takayasu**1208.1123 Evolutionary Model of the Growth and Size of Firms***by*Joachim Kaldasch**1208.0763 Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs***by*M. Nabil Kazi-Tani & Dylan Possama\"i & Chao Zhou**1208.0642 Does GDP measure growth in the economy or simply growth in the money supply?***by*Jacky Mallett & Charles Keen**1208.0451 Directed Random Markets: Connectivity determines Money***by*Ismael Martinez-Martinez & Ricardo Lopez-Ruiz**1208.0371 Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust***by*John Cotter & Stuart Gabriel & Richard Roll**1208.0317 Scaling, stability and distribution of the high-frequency returns of the IBEX35 index***by*Pablo Su\'arez-Garc\'ia & David G\'omez-Ullate**1207.7330 Portfolio Choice with Transaction Costs: a User's Guide***by*Paolo Guasoni & Johannes Muhle-Karbe**1207.7308 Weighted Kolmogorov-Smirnov test: Accounting for the tails***by*R\'emy Chicheportiche & Jean-Philippe Bouchaud**1207.6759 Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach***by*Alessandro Ramponi**1207.6566 Conditional sampling for barrier option pricing under the Heston model***by*Nico Achtsis & Ronald Cools & Dirk Nuyens**1207.6423 Adaptive Execution: Exploration and Learning of Price Impact***by*Beomsoo Park & Benjamin Van Roy**1207.6325 Large tick assets: implicit spread and optimal tick size***by*Khalil Dayri & Mathieu Rosenbaum**1207.6281 A note on asymptotic exponential arbitrage with exponentially decaying failure probability***by*Kai Du & Ariel David Neufeld**1207.6278 The financial framework of the sustainability of health universal coverage in Italy. A quantitative financial model for the assessment of the italian stability and reform program of public health financing***by*Stefano Olgiati & Alessandro Danovi**1207.6205 Option prices with call prices***by*Lauri Viitasaari**1207.6186 A Dynamical Model for Operational Risk in Banks***by*Marco Bardoscia**1207.6091 Entangled Economy: an ecosystems approach to modeling systemic level dynamics***by*Juan David Robalino & Henrik Jeldtoft Jensen**1207.6081 Exploiting the flexibility of a family of models for taxation and redistribution***by*Maria Letizia Bertotti & Giovanni Modanese**1207.6049 Pricing credit default swaps with bilateral value adjustments***by*Alexander Lipton & Ioana Savescu**1207.5809 A control problem with fuel constraint and Dawson-Watanabe superprocesses***by*Alexander Schied**1207.5269 Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil***by*Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa**1207.4860 Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network***by*Aki-Hiro Sato**1207.4749 Do arbitrage-free prices come from utility maximization?***by*Pietro Siorpaes**1207.4608 Digital double barrier options: Several barrier periods and structure floors***by*S\"uhan Altay & Stefan Gerhold & Karin Hirhager**1207.4309 Vine Constructions of Levy Copulas***by*Oliver Grothe & Stephan Nicklas**1207.4300 A higher order correlation unscented Kalman filter***by*Oliver Grothe**1207.4069 Global Inflation Dynamics: regularities & forecasts***by*Askar Akaev & Andrey Korotayev & Alexey Fomin**1207.4028 Signal processing with Levy information***by*Dorje C. Brody & Lane P. Hughston & Xun Yang**1207.3464 On dependence consistency of CoVaR and some other systemic risk measures***by*Georg Mainik & Eric Schaanning**1207.3412 A quantum mechanical model for the relationship between stock price and stock ownership***by*Liviu-Adrian Cotfas**1207.3300 How news affect the trading behavior of different categories of investors in a financial market***by*Fabrizio Lillo & Salvatore Miccich\`e & Michele Tumminello & Jyrki Piilo & Rosario Nunzio Mantegna**1207.3118 The Long Neglected Critically Leveraged Portfolio***by*M. Hossein Partovi**1207.2946 Microscopic understanding of heavy-tailed return distributions in an agent-based model***by*Thilo A. Schmitt & Rudi Sch\"afer & Michael C. M\"unnix & Thomas Guhr**1207.2452 A new approach to unbiased estimation for SDE's***by*Chang-han Rhee & Peter W. Glynn**1207.2316 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting***by*Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu**1207.2010 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets***by*Frederik Herzberg & Frank Riedel**1207.1932 Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation***by*Yunchol Jong**1207.1842 A Test of the Adaptive Market Hypothesis in Japan: A Non-Bayesian Time-Varying Model Approach***by*Akihiko Noda**1207.1771 The Keynesian theory and the manufactured industry in Portugal***by*Vitor Joao Pereira Domingues Martinho**1207.1759 On arbitrages arising from honest times***by*Claudio Fontana & Monique Jeanblanc & Shiqi Song**1207.1630 The Smile of certain L\'evy-type Models***by*Antoine Jacquier & Matthew Lorig**1207.1463 Statistical Basis for Predicting Technological Progress***by*Bela Nagy & J. Doyne Farmer & Quan M. Bui & Jessika E. Trancik**1207.1202 How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market***by*Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a**1207.1037 On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.1029 On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.1003 A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function***by*Taras Bodnar & Nestor Parolya & Wolfgang Schmid**1207.0843 A new look at short-term implied volatility in asset price models with jumps***by*Aleksandar Mijatovi\'c & Peter Tankov**1207.0750 The Exact Smile of some Local Volatility Models***by*Matthew Lorig**1207.0356 Financial instability from local market measures***by*Marco Bardoscia & Giacomo Livan & Matteo Marsili**1207.0233 From characteristic functions to implied volatility expansions***by*Antoine Jacquier & Matthew Lorig**1206.7000 On the role of backauditing for tax evasion in an agent-based Econophysics model***by*G. Seibold & M. Pickhardt**1206.6998 Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation***by*Zoran Ivanovski & Toni Draganov Stojanovski & Nadica Ivanovska**1206.6972 Record statistics and persistence for a random walk with a drift***by*Satya N. Majumdar & Gregory Schehr & Gregor Wergen