Content
2005
- math/0506125 A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
by Pavel Okunev - physics/0506114 Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices
by Taisei Kaizoji - physics/0506103 Boltzmann-Gibbs Distribution of Fortune and Broken Time-Reversible Symmetry in Econodynamics
by P. Ao - physics/0506101 Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months
by Renato Vicente & Charles M. de Toledo & Vitor B. P. Leite & Nestor Caticha - physics/0506098 Stock mechanics: predicting recession in S&P500, DJIA, and NASDAQ
by Caglar Tuncay - math/0506077 Study on optimal timing of mark-to-market for contingent credit risk control
by Jiali Liao & Ted Theodosopoulos - physics/0506072 On collective non-gaussian dependence patterns in high frequency financial data
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev - physics/0506071 Increasing market efficiency: Evolution of cross-correlations of stock returns
by Bence Toth & Janos Kertesz - physics/0506066 Pareto index induced from the scale of companies
by Atushi Ishikawa - physics/0506028 Influence of saving propensity on the power law tail of wealth distribution
by Marco Patriarca & Anirban Chakraborti & Guido Germano - physics/0506027 Is There a Real-Estate Bubble in the US?
by Wei-Xing Zhou & Didier Sornette - nlin/0506015 On Some Processes and Distributions in a Collective Model of Investors' Behavior
by Kyrylo Shmatov & Mikhail Smirnov - math/0505639 Extremal quantile regression
by Victor Chernozhukov - math/0505243 On utility maximization in discrete-time financial market models
by Miklos Rasonyi & Lukasz Stettner - physics/0505210 Anomalous waiting times in high-frequency financial data
by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto - math/0505208 Classical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes
by Dirk Becherer & Martin Schweizer - physics/0505178 Design in Complex Systems: Individual Performance versus System Efficiency
by Chengling Gou - physics/0505173 Empirical study and model of personal income
by Wataru Souma & Makoto Nirei - physics/0505170 Recurrence analysis of the NASDAQ crash of April 2000
by Annalisa Fabretti & Marcel Ausloos - physics/0505157 Economic exchanges in a stratified society: End of the middle class?
by M. F. Laguna & S. Risau Gusman & J. R. Iglesias - physics/0505142 Measuring sectoral diversification in an asymptotic multi-factor framework
by Dirk Tasche - physics/0505115 Money Exchange Model and a general Outlook
by Abhijit Kar Gupta - physics/0505112 Agents Play Mix-game
by Chengling Gou - physics/0505079 Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction
by Wei-Xing Zhou & Didier Sornette - physics/0505074 The bulk of the stock market correlation matrix is not pure noise
by J. Kwapien & P. Oswiecimka & S. Drozdz - physics/0505047 Analyzing money distributions in `ideal gas' models of markets
by Arnab Chatterjee & Bikas K. Chakrabarti & Robin B. Stinchcombe - physics/0505032 Automated Trading Systems: Developed and Emerging Capital Markets
by Ondrej Hudak & Jana Tothova - physics/0504221 Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates
by Belal E. Baaquie & Cui Liang & Mitch C. Warachka - physics/0504217 Pareto's Law of Income Distribution: Evidence for Germany, the United Kingdom, and the United States
by F. Clementi & M. Gallegati - physics/0504210 What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?
by Hokky Situngkir & Yohanes Surya - physics/0504197 The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models
by Sitabhra Sinha - physics/0504187 Accounting for outliers and calendar effects in surrogate simulations of stock return sequences
by Alexandros Leontitsis & Constantinos E. Vorlow - physics/0504161 Detailed simulation results for some wealth distribution models in Econophysics
by K. Bhattacharya & G. Mukherjee & S. S. Manna - physics/0504158 Detecting subtle effects of persistence in the stock market dynamics
by R. Rak & S. Drozdz & J. Kwapien & P. Oswiecimka - physics/0504153 Kinetic theory models for the distribution of wealth: power law from overlap of exponentials
by Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano - physics/0504150 Investment horizons : A time-dependent measure of asset performance
by Ingve Simonsen & Anders Johansen & Mogens H. Jensen - physics/0504143 The law of large numbers for completely random behavior of market participants. Quantum economics
by V. P. Maslov - physics/0504131 Risk portofolio management under Zipf analysis based strategies
by M. Ausloos Ph. Bronlet - physics/0504122 Leptokurtic Portfolio Theory
by Robert Kitt & Jaan Kalda - physics/0504121 How the rich get richer
by Anita Mehta & A. S. Majumdar & J. M. Luck - physics/0504100 Time and foreign exchange markets
by Luca Berardi & Maurizio Serva - physics/0504038 Scaling Analysis on Indian Foreign Exchange Market
by A. Sarkar & P. Barat - physics/0504014 Hausdorff clustering of financial time series
by Nicolas Basalto & Roberto Bellotti & Francesco De Carlo & Paolo Facchi & Saverio Pascazio - physics/0504009 Characteristics of the Korean stock market correlations
by Woo-Sung Jung & Seungbyung Chae & Jae-Suk Yang & Hie-Tae Moon - physics/0504002 The Quantitative Relations between Stock Prices and Quantities of Tradable Stock Shares and Its Applications
by Chengling Gou - cond-mat/0503762 Coordination, intermittency and trends in generalized Minority Games
by A. Tedeschi & A. De Martino & I. Giardina - cond-mat/0503607 Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
by Didier Sornette & Wei-Xing Zhou - math/0503580 The right time to sell a stock whose price is driven by Markovian noise
by Robert C. Dalang & M. -O. Hongler - math/0503579 Generalized stochastic differential utility and preference for information
by Ali Lazrak - math/0503550 On the super replication price of unbounded claims
by Sara Biagini & Marco Frittelli - math/0503541 Interplay between dividend rate and business constraints for a financial corporation
by Tahir Choulli & Michael Taksar & Xun Yu Zhou - cond-mat/0503532 Reply to cond-mat/0503325: Comment on `Generating functional analysis of Minority Games with real merket histories' by KH Ho, WC Man, FK Chow and HF Chau
by A. C. C. Coolen - math/0503516 Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
by Gordan Zitkovic - math/0503473 Characterization of arbitrage-free markets
by Eva Strasser - math/0503314 A note on exact likelihoods of the Carr-Wu models for leverage effects and volatility in financial economics
by Lancelot F. James - physics/0503242 Application of noise level estimation for portfolio optimization
by Krzysztof Urbanowicz & Janusz A. Holyst - physics/0503230 Self-fulfilling Ising Model of Financial Markets
by Wei-Xing Zhou & Didier Sornette - physics/0503214 Optimal supply against fluctuating demand
by Nobuyuki Sakai & Hisanori Kudoh - physics/0503163 Stock Mechanics: a classical approach
by Caglar Tuncay - physics/0503157 Conditional Probability as a Measure of Volatility Clustering in Financial Time Series
by Kan Chen & C. Jayaprakash & Baosheng Yuan - cond-mat/0503156 Simulations of financial markets in a Potts-like model
by Tetsuya Takaishi - physics/0503139 Non-trivial scaling of fluctuations in the trading activity of NYSE
by Janos Kertesz & Zoltan Eisler - physics/0503137 Pricing options with VG model using FFT
by Andrey Itkin - physics/0503126 A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates
by Belal E. Baaquie - physics/0503076 Systematic analysis of group identification in stock markets
by Dong-Hee Kim & Hawoong Jeong - math/0503055 Analysis of a Class of Likelihood Based Continuous Time Stochastic Volatility Models including Ornstein-Uhlenbeck Models in Financial Economics
by Lancelot F. James - physics/0503024 Power-law distributions in economics: a nonextensive statistical approach
by Silvio M. Duarte Queiros & Celia Anteneodo & Constantino Tsallis - physics/0503016 Dynamical Minority Games in Futures Exchange Markets
by Seong-Min Yoon & Kyungsik Kim - physics/0503014 What shakes the FX tree? Understanding currency dominance, dependence and dynamics
by Neil F. Johnson & Mark McDonald & Omer Suleman & Stacy Williams & Sam Howison - math/0503013 The Shannon information of filtrations and the additional logarithmic utility of insiders
by Stefan Ankirchner & Steffen Dereich & Peter Imkeller - physics/0503006 Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0502662 On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers
by Andrea De Martino & Matteo Marsili - cond-mat/0502337 On the distribution of high-frequency stock market traded volume: a dynamical scenario
by Silvio M. Duarte Queiros - math/0502201 On nonexistence of non-constant volatility in the Black-Scholes formula
by K. Hamza & F. C. Klebaner - math/0502189 On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
by Bruno Bouchard & Emmanuel Temam - cond-mat/0502166 Evidence for Power-law tail of the Wealth Distribution in India
by Sitabhra Sinha - cond-mat/0502151 On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics
by Silvio M. Duarte Queiros & Constantino Tsallis - physics/0502150 A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate
by P. Norouzzadeh - physics/0502119 Additive-multiplicative stochastic models of financial mean-reverting processes
by C. Anteneodo & R. Riera - math/0502105 Properties of the wealth process in a market microstructure model
by Ted Theodosopoulos & Ming Yuen - physics/0502084 Statistical Properties of Demand Fluctuation in the Financial Market
by Kaushik Matia & Kazuko Yamasaki - physics/0502081 Statistical Properties of Business Firms Structure and Growth
by Kaushik Matia & Dongfeng Fu & Sergey V. Buldyrev & Fabio Pammolli & Massimo Riccaboni & H. Eugene Stanley - physics/0502066 Structure and Evolution of the World Trade Network
by D. Garlaschelli & M. I. Loffredo - physics/0502045 Macro-players in stock markets
by Bertrand M. Roehner - cond-mat/0502029 Arbitrage Opportunities and their Implications to Derivative Hedging
by Stephanos Panayides - cond-mat/0501699 Volatility conditional on price trends
by Gilles Zumbach - cond-mat/0501639 Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
by Jaume Masoliver & Josep Perello - cond-mat/0501513 Self-Similar Log-Periodic Structures in Western Stock Markets from 2000
by M. Bartolozzi & S. Drozdz & D. B. Leinweber & J. Speth & A. W. Thomas - cond-mat/0501413 Master equation for a kinetic model of trading market and its analytic solution
by Arnab Chatterjee & Bikas K. Chakrabarti & Robin B. Stinchcombe - cond-mat/0501395 A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model
by Lisa Borland & Jeremy Evnine & Benoit Pochart - cond-mat/0501325 Scaling analysis of multivariate intermittent time series
by Robert Kitt & Jaan Kalda - cond-mat/0501320 Basel II for Physicists: A Discussion Paper
by Enrico Scalas - cond-mat/0501292 The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
by Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach - cond-mat/0501261 Five Years of Continuous-time Random Walks in Econophysics
by Enrico Scalas - cond-mat/0501057 Metaheuristic Approaches to Realistic Portfolio Optimization
by Franco Busetti - math/0501045 No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
by Bruno Bouchard
2004
- cond-mat/0501002 Topology and Behaviour of Agents: Capital Markets
by Ondrej Hudak & Jana Tothova - cond-mat/0412754 Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy
by Krzysztof Urbanowicz & Janusz A. Holyst - cond-mat/0412723 Modelling financial markets by the multiplicative sequence of trades
by Vygintas Gontis & Bronislovas Kaulakys - cond-mat/0412708 A theory for long-memory in supply and demand
by F. Lillo & Szabolcs Mike & J. Doyne Farmer - cond-mat/0412526 A multi-time scale non-Gaussian model of stock returns
by Lisa Borland - math/0412429 On a kinetic model for a simple market economy
by Stephane Cordier & Lorenzo Pareschi & Giuseppe Toscani - cond-mat/0412411 Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees
by Mark McDonald & Omer Suleman & Stacy Williams & Sam Howison & Neil F. Johnson - math/0412344 Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market
by Jonathan A. Batten & Craig A. Ellis & Warren P. Hogan - math/0412332 On the asymptotic free boundary for the American put option problem
by H. Hedenmalm - cond-mat/0412163 Levy distribution and long correlation times in supermarket sales
by R. D. Groot - math-ph/0412071 Pricing of options on stocks driven by multi-dimensional operator stable Levy processes
by Przemyslaw Repetowicz & Peter Richmond - physics/0412067 Application of Multifractal Measures to Tehran Price Index
by P. Norouzzadeh & G. R. Jafari - nlin/0412038 Multifractal Behavior of the Korean Stock-market Index KOSPI
by Jae Woo Lee & Kyuoung Eun Lee & Per Arne Rikvold - cond-mat/0412014 Power Law Distributions for Stock Prices in Financial Markets
by Kyungsik Kim & S. -M. Yoon & K. H. Chang - cond-mat/0411699 Estimating Probabilities of Default for Low Default Portfolios
by Katja Pluto & Dirk Tasche - cond-mat/0411161 On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya - cond-mat/0411112 Components of multifractality in high-frequency stock returns
by J. Kwapien & P. Oswiecimka & S. Drozdz - math/0411034 A selective overview of nonparametric methods in financial econometrics
by Jianqing Fan - nlin/0411006 Emergent Effective Collusion in an Economy of Perfectly Rational Competitors
by Russell K. Standish & Steve Keen - cond-mat/0410768 Non linear behaviour of stock market volatility
by Rosario Bartiromo - cond-mat/0410762 A Mechanism for Pockets of Predictability in Complex Adaptive Systems
by Jorgen Vitting Andersen & Didier Sornette - cond-mat/0410691 Minority Game of price promotions in fast moving consumer goods markets
by Robert D. Groot & Pieter A. D. Musters - math/0410453 Dynamic monetary risk measures for bounded discrete-time processes
by Patrick Cheridito & Freddy Delbaen & Michael Kupper - cond-mat/0410414 Wealth distribution in an ancient Egyptian society
by A. Y. Abul-Magd - cond-mat/0410335 Generating functional analysis of Minority Games with real market histories
by A. C. C. Coolen - cond-mat/0410294 An Adaptive Method for Valuing an Option on Assets with Uncertainty in Volatility
by Sergei Fedotov & Stephanos Panayides - cond-mat/0410289 Statistical analysis of the price index of Tehran Stock Exchange
by A. Rasoolizadeh & R. Solgi - cond-mat/0410225 Inverse statistics in stock markets: Universality and idiosyncracy
by Wei-Xing Zhou & Wei-Kang Yuan - cond-mat/0410079 Experts' earning forecasts: bias, herding and gossamer information
by Olivier Guedj & Jean-Philippe Bouchaud - cond-mat/0409375 A Theory of Fluctuations in Stock Prices
by A. L. Alejandro-Quinones & K. E. Bassler & M. Field & J. L. McCauley & M. Nicol & I. Timofeyef & A. Torok & G. H. Gunaratne - cond-mat/0409329 An analytic treatment of the Gibbs-Pareto behavior in wealth distribution
by Arnab Das & Sudhakar Yarlagadda - cond-mat/0409319 Hints for an extension of the early exercise premium formula for American options
by Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello - cond-mat/0409179 On distribution of number of trades in different time windows in the stock market
by I. M. Dremin & A. V. Leonidov - cond-mat/0409145 Pareto law and Pareto index in the income distribution of Japanese companies
by Atushi Ishikawa - cond-mat/0409097 Dynamical Volatilities for Yen-Dollar Exchange Rates
by Kyungsik Kim & Seong-Min Yoon & C. Christopher Lee & Myung-Kul Yum - math/0409076 Uncertainty relations in models of market microstructure
by Ted Theodosopoulos - cond-mat/0408625 Phase Transition of Dynamical Herd Behaviors in Financial Markets
by Kyungsik Kim & Seong-Min Yoon - cond-mat/0408560 Financial heat machine
by Andrei Khrennikov - cond-mat/0408531 Need, Greed and Noise: Competing Strategies in a Trading Model
by R. Donangelo & A. Hansen & K. Sneppen & S. R. Souza - cond-mat/0408409 Multiscaling and non-universality in fluctuations of driven complex systems
by Zoltan Eisler & Janos Kertesz & Soon-Hyung Yook & Albert-Laszlo Barabasi - cond-mat/0408358 Statistical Facts of Artificial Stock Market
by Hokky Situngkir & Yohanes Surya - cond-mat/0408292 Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations
by Przemyslaw Repetowicz & Brian Lucey & Peter Richmond - cond-mat/0408277 Multifractality in the stock market: price increments versus waiting times
by P. Oswiecimka & J. Kwapien & S. Drozdz - cond-mat/0408227 Laser Welfare: First Steps in Econodynamic Engineering
by G. Willis - cond-mat/0408166 Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method
by D. Sornette & W. -X. Zhou - cond-mat/0408143 A Guided Walk Down Wall Street: an Introduction to Econophysics
by Giovani L. Vasconcelos - cond-mat/0408067 Power Law Tails in the Italian Personal Income Distribution
by F. Clementi & M. Gallegati - cond-mat/0408013 Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability
by Constantinos E. Vorlow - cond-mat/0407770 Dynamics of Money and Income Distributions
by Przemyslaw Repetowicz & Stefan Hutzler & Peter Richmond - cond-mat/0407769 How the trading activity scales with the company sizes in the FTSE 100
by Gilles Zumbach - cond-mat/0407687 A conjecture on the distribution of firm profit
by Ian Wright - cond-mat/0407603 Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
by I. A. Agaev & Yu. A. Kuperin - cond-mat/0407471 Price Clustering and Discreteness: Is there Chaos behind the Noise?
by Antonios Antoniou & Constantinos E. Vorlow - cond-mat/0407418 Scaling Properites of Price Changes for Korean Stock Indices
by Kyuong Eun Lee & Jae Woo Lee - cond-mat/0407383 Increasing Returns to Scale, Dynamics of Industrial Structure and Size Distribution of Firms
by Ying Fan & Menghui Li & Zengru Di - cond-mat/0407321 Pricing Exotic Options in a Path Integral Approach
by G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini - math/0407127 On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals
by Alexander Schied - math/0407119 A Characterization of Hedging Portfolios for Interest Rate Contingent Claims
by Rene Carmona & Michael Tehranchi - math/0407060 Modeling Credit Risk with Partial Information
by Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim - cond-mat/0406704 Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock
by Bertrand M. Roehner - cond-mat/0406696 Short-term market reaction after extreme price changes of liquid stocks
by Adam G. Zawadowski & Gyorgy Andor & Janos Kertesz - cond-mat/0406694 Evidence for the Independence of Waged and Unwaged Income, Evidence for Boltzmann Distributions in Waged Income, and the Outlines of a Coherent Theory of Income Distribution
by G. Willis & J. Mimkes - cond-mat/0406556 Extreme times in financial markets
by Jaume Masoliver & Miquel Montero & Josep Perello - cond-mat/0406385 Temporal evolution of the "thermal" and "superthermal" income classes in the USA during 1983-2001
by A. Christian Silva & Victor M. Yakovenko - cond-mat/0406365 Mathew Effect in Artificial Stock Market
by Pei-Ling Zhou & Zi-Nan Tang & Tao Zhou & Jing-Ting Wang & Chun-Xia Yang - cond-mat/0406326 Global Optimization of Minority Game by Smart Agents
by Yan-Bo Xie & Bing-Hong Wang & Chin-Kun Hu & Tao Zhou - cond-mat/0406310 Volatility of Linear and Nonlinear Time Series
by Tomer Kalisky & Yosef Ashkenazy & Shlomo Havlin - cond-mat/0406225 Properties of low variability periods in financial time series
by R. Kitt & J. Kalda - cond-mat/0406224 Random walks, liquidity molasses and critical response in financial markets
by J. -P. Bouchaud & J. Kockelkoren & M. Potters - cond-mat/0406168 Study on Evolvement Complexity in an Artificial Stock Market
by Chun-Xia Yang & Tao Zhou & Pei-Ling Zhou & Jun Liu & Zi-Nan Tang - math/0406067 Short-term equity dynamics and endogenous market fluctuations
by Ted Theodosopoulos & Muffasir Badshah - cond-mat/0405646 Volatility smile and stochastic arbitrage returns
by Sergei Fedotov & Stephanos Panayides - cond-mat/0405390 Zipf's Law Distributions for Korean Stock Prices
by Kyungsik Kim & S. -M. Yoon & C. Christopher Lee & K. H. Chang - math/0405293 Optimal investment with random endowments in incomplete markets
by Julien Hugonnier & Dmitry Kramkov - math/0405290 Dual formulation of the utility maximization problem: the case of nonsmooth utility
by B. Bouchard & N. Touzi & A. Zeghal - cond-mat/0405257 Self-Organized Criticality and Stock Market Dynamics: an Empirical Study
by M. Bartolozzi & D. B. Leinweber & A. W. Thomas - cond-mat/0405173 Multifractal Measures for the Yen-Dollar Exchange Rate
by Kyungsik Kim & Seong-Min Yoon & Jum-Soo Choi - cond-mat/0405172 Herd Behaviors in Financial Markets
by Kyungsik Kim & Seong-Min Yoon & J. S. Choi & Hideki Takayasu - cond-mat/0404684 Option pricing with fractional volatility
by Rui Vilela Mendes & Maria Joao Oliveira - cond-mat/0404680 Physical Picture of the Insurance Market
by Amir Hossein Darooneh - cond-mat/0404520 The Feedback Effect of Hedging in Portfolio Optimization
by Pierre Henry-Labordere - cond-mat/0404497 Clustering stock market companies via chaotic map synchronization
by N. Basalto & R. Bellotti & F. De Carlo & P. Facchi & S. Pascazio - math/0404447 Indifference pricing and hedging in stochastic volatility models
by M. R. Grasselli & T. R. Hurd - cond-mat/0404416 Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market
by Diane Wilcox & Tim Gebbie - cond-mat/0404264 Price return auto-correlation and predictability in agent-based models of financial markets
by Damien Challet & Tobias Galla - cond-mat/0404108 Universal bad news principle and pricing of options on dividend-paying assets
by Svetlana Boyarchenko & Sergei Levendorskii - cond-mat/0404107 Consistency conditions for affine term structure models
by Sergei Levendorskii - cond-mat/0404106 Practical guide to real options in discrete time
by Svetlana Boyarchenko & Sergei Levendorskii - cond-mat/0404103 The American put and European options near expiry, under Levy processes
by Sergei Levendorskii - cond-mat/0403767 Multifractal model of asset returns with leverage effect
by Zoltan Eisler & Janos Kertesz - cond-mat/0403761 Long memory stochastic volatility in option pricing
by Sergei Fedotov & Abby Tan - cond-mat/0403723 Market depth and price dynamics: A note
by Frank Westerhoff - cond-mat/0403713 "Stiff" Field Theory of Interest Rates and Psychological Future Time
by Belal Baaquie & Jean-Philippe Bouchaud - cond-mat/0403681 Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
by T. Di Matteo & T. Aste & M. M. Dacorogna - cond-mat/0403662 Common Scaling Patterns in Intertrade Times of U. S. Stocks
by Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee - cond-mat/0403649 Generalized minority games with adaptive trend-followers and contrarians
by A. De Martino & I. Giardina & M. Marsili & A. Tedeschi - cond-mat/0403624 On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics
by Silvio M. Duarte Queiros - cond-mat/0403621 Limited profit in predictable stock markets
by R. Rothenstein & K. Pawelzik - cond-mat/0403563 Bubble, Critical Zone and the Crash of Royal Ahold
by G. Broekstra & D. Sornette & W. -X. Zhou - cond-mat/0403469 On non-markovian nature of stock trading
by Andrei Leonidov - cond-mat/0403465 Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia
by Hokky Situngkir & Yohanes Surya - cond-mat/0403333 Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises
by Tanya Ara'ujo & Francisco Louc{c}~a