Content
2000
- cond-mat/0012045 Generating Functional Analysis of the Dynamics of the Batch Minority Game with Random External Information
by J. A. F. Heimel & A. C. C. Coolen - cs/0012013 Taxation and Valuation
by Leonid A. Levin - cond-mat/0011488 Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0011373 Universal Structure of the Personal Income Distribution
by Wataru Souma - cond-mat/0011337 Moving averages and markets inefficiency
by R. Baviera & M. Pasquini & J. Raboanary & M. Serva - cond-mat/0011295 Microstructure Effects on Daily Return Volatility in Financial Markets
by Andreas Krause - cond-mat/0011280 The thermodynamics of portfolios
by E. W. Piotrowski & J. Sladkowski - cond-mat/0011149 Hamiltonian in Financial Markets
by Jun-ichi Maskawa - cond-mat/0011145 Identifying Business Sectors from Stock Price Fluctuations
by Parameswaran Gopikrishnan & Bernd Rosenow & Vasiliki Plerou & H. Eugene Stanley - cond-mat/0011088 Fokker-Planck equation of distributions of financial returns and power laws
by D. Sornette - cond-mat/0011042 From Minority Games to real markets
by D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang - cond-mat/0010455 Statistical physics of adaptive correlation of agents in a market
by David Sherrington & Juan P. Garrahan & Esteban Moro - cond-mat/0010263 Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity
by Taisei Kaizoji - cond-mat/0010222 Power Laws are Boltzmann Laws in Disguise
by Peter Richmond & Sorin Solomon - cond-mat/0010211 On the nature of the stock market: Simulations and experiments
by Hendrik J. Blok - cond-mat/0010190 Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies
by Danuta Makowiec & Piotr Gnacinski - cond-mat/0010112 "Slimming" of power law tails by increasing market returns
by D. Sornette - cond-mat/0009437 A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?
by G. Caldarelli & M. Piccioni & E. Sciubba - cond-mat/0009401 Empirical properties of the variety of a financial portfolio and the single-index model
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0009350 High-frequency Cross-correlation in a Set of Stocks
by Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0009287 Money and Goldstone modes
by Per Bak & Simon F. Norrelykke & Martin Shubik - cond-mat/0009260 A multivariate multifractal model for return fluctuations
by E. Bacry & J. Delour & J. F. Muzy - cond-mat/0009222 Determining bottom price-levels after a speculative peak
by B. M. Roehner - cond-mat/0009042 Tradable Schemes
by Jiri Hoogland & Dimitri Neumann - cond-mat/0008466 Life in the Stockmarket - a Realistic Model for Trading
by Fabio Franci & Lorenzo Matassini - cond-mat/0008305 Evidence for the exponential distribution of income in the USA
by Adrian Dragulescu & Victor M. Yakovenko - cond-mat/0008113 Statistical Properties of Share Volume Traded in Financial Markets
by Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley - cond-mat/0008069 Multifractal returns and Hierarchical Portfolio Theory
by J. -F. Muzy & D. Sornette & J. Delour & A. Arneodo - cond-mat/0008057 Fractal Properties in Economics
by H. Takayasu & M. Takayasu & M. P. Okazaki & K. Marumo & T. Shimizu - cond-mat/0008026 Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems
by Zhi-Feng Huang & Sorin Solomon - nlin/0008018 Models for the size distribution of businesses in a price driven market
by R. D'Hulst & G. J. Rodgers - cond-mat/0007385 Scaling and Multi-scaling in Financial Markets
by Giulia Iori - cond-mat/0007267 Modelling High-frequency Economic Time Series
by Lei-Han Tang & Zhi-Feng Huang - physics/0007075 Optimization of Trading Physics Models of Markets
by Lester Ingber & Radu Paul Mondescu - cond-mat/0006463 Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations
by Filippo Castiglione - cond-mat/0006454 Fractional calculus and continuous-time finance II: the waiting-time distribution
by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas - cond-mat/0006260 The growth dynamics of German business firms
by Johannes Voit - cond-mat/0006145 The first 20 minutes in the Hong Kong stock market
by Zhi-Feng Huang - cond-mat/0006133 Asians and cash dividends: Exploiting symmetries in pricing theory
by Jiri Hoogland & Dimitri Neumann - cond-mat/0006065 Variety and Volatility in Financial Markets
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0006038 Pareto's Law for Income of Individuals and Debt of Bankrupt Companies
by Hideaki Aoyama & Yuichi Nagahara & Mitsuhiro P. Okazaki & Wataru Souma & Hideki Takayasu & Misako Takayasu - cond-mat/0006034 Correlation structure of extreme stock returns
by Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud - cond-mat/0005441 Algorithmic Complexity of Real Financial Markets
by Ricardo Mansilla - cond-mat/0005430 A Continuous Time Asynchronous Model of the Stock Market; Beyond the LLS Model
by M. Shatner & L. Muchnik & M. Leshno & S. Solomon - cond-mat/0005416 Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model
by Sorin Solomon & Moshe Levy - cond-mat/0005319 Path Dependent Option Pricing: the path integral partial averaging method
by Andrew Matacz - cond-mat/0005318 Self-Organized Criticality in a Transient System
by Simon F. Norrelykke & Per Bak - cond-mat/0004376 Trading behavior and excess volatility in toy markets
by M. Marsili & D. Challet - cond-mat/0004314 Self-organized model for information spread in financial markets
by Zhi-Feng Huang - cond-mat/0004308 Comment on: Thermal model for Adaptive Competition in a Market
by D. Challet & M. Marsili & R. Zecchina - cond-mat/0004263 The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
by Anders Johansen & Didier Sornette - cond-mat/0004256 Statistical mechanics of money: How saving propensity affects its distribution
by Anirban Chakraborti & Bikas K. Chakrabarti - cond-mat/0004179 A Stochastic Cascade Model for FX Dynamics
by Wolfgang Breymann & Shoaleh Ghashghaie & Peter Talkner - math/0004016 On the valuation of Paris options: foundational results
by Michael Schroder - cond-mat/0004001 Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation
by D. Sornette - cond-mat/0003357 A dynamical model describing stock market price distributions
by Jaume Masoliver & Miquel Montero & Josep M. Porra - cond-mat/0003025 Statistical characterization of the fixed income market efficiency
by M. Bernaschi & L. Grilli & L. Marangio & S. Succi & D. Vergni - cond-mat/0002438 Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0002331 From naive to sophisticated behavior in multiagents based financial market models
by Ricardo Mansilla - cond-mat/0001434 Economy of scales in R&D with block-busters
by D. Sornette - cond-mat/0001432 Statistical mechanics of money
by Adrian Dragulescu & Victor M. Yakovenko - cond-mat/0001353 "Thermometers" of Speculative Frenzy
by B. M. Roehner & D. Sornette - cond-mat/0001324 Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
by D. Sornette & J. V. Andersen - cond-mat/0001293 Domino effect for world market fluctuations
by N. Vandewalle & Ph. Boveroux & F. Brisbois - cond-mat/0001268 Taxonomy of Stock Market Indices
by Giovanni Bonanno & Nicolas Vandewalle & Rosario N. Mantegna - cond-mat/0001253 Learning short-option valuation in the presence of rare events
by M. Raberto & G. Cuniberti & E. Scalas & M. Riani & F. Mainardi & G. Servizi - cond-mat/0001120 Fractional calculus and continuous-time finance
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi - cond-mat/0001117 On the Consistency of the Deterministic Local Volatility Function Model ('implied tree')
by Karl Strobl - physics/0001048 High-resolution path-integral development of financial options
by Lester Ingber - physics/0001040 Black-Scholes option pricing within Ito and Stratonovich conventions
by J. Perello & J. M. Porra & M. Montero & J. Masoliver
1999
- cond-mat/9912330 Driving Force in Investment
by Andrea Capocci & Yi-Cheng Zhang - cond-mat/9912076 A model for correlations in stock markets
by Jae Dong Noh - cond-mat/9912051 Economic Fluctuations and Diffusion
by Vasiliki Plerou & Parameswaran Gopikrishnan & Luis. A. Nunes Amaral & Xavier Gabaix & H. Eugene Stanley - cond-mat/9912006 Dynamics of the Number of Trades of Financial Securities
by Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna - cond-mat/9911291 The Futility of Utility: how market dynamics marginalize Adam Smith
by Joseph L. McCauley - cond-mat/9911168 Dynamics of competition between collectivity and noise in the stock market
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth - cond-mat/9910502 Simple model of a limit order-driven market
by Sergei Maslov - cond-mat/9910433 Systems with Correlations in the Variance: Generating Power-Law Tails in Probability Distributions
by Boris Podobnik & Plamen Ch. Ivanov & Youngki Lee & Alessandro Chessa & H. Eugene Stanley - cond-mat/9910376 Speculative trading: the price multiplier effect
by B. M. Roehner - cond-mat/9910213 Identifying the bottom line after a stock market crash
by B. M. Roehner - cond-mat/9910212 Growth Optimal Investment and Pricing of Derivatives
by Erik Aurell & Roberto Baviera & Ola Hammarlid & Maurizio Serva & Angelo Vulpiani - cond-mat/9910141 On Rational Bubbles and Fat Tails
by Thomas Lux & D. Sornette - cond-mat/9910047 Fundamental Framework for Technical Analysis
by J. V. Andersen & S. Gluzman & D. Sornette - cond-mat/9909439 Market Fluctuations: multiplicative and percolation models, size effects and predictions
by D. Sornette & D. Stauffer & H. Takayasu - cond-mat/9909302 Statistical Properties of Statistical Ensembles of Stock Returns
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/9909265 Modeling Market Mechanism with Minority Game
by Damien Challet & Matteo Marsili & Yi-Cheng Zhang - cond-mat/9909131 Patterns of consumption in socio-economic models with heterogeneous interacting agents
by Giulia Iori & Vassilis Koulovassilopoulos - cond-mat/9908253 Financial Friction and Multiplicative Markov Market Game
by Erik Aurell & Paolo Muratore-Ginanneschi - cond-mat/9907421 Minimal Variance Hedging of Options with Student-t Underlying
by K. Pinn - cond-mat/9907339 Transaction costs: a new point of view
by R. Baviera - cond-mat/9907217 Have your cake and eat it too: increasing returns while lowering large risks!
by J. V. Andersen & D. Sornette - cond-mat/9907161 Scaling of the distribution of price fluctuations of individual companies
by V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley - math/9907160 Equity Allocation and Portfolio Selection in Insurance
by Erik Taflin - cond-mat/9906435 Analysis of the phenomenon of speculative trading in one of its basic manifestations: postage stamp bubbles
by Bertrand Roehner & D. Sornette - cond-mat/9906413 Heteroskedastic Levy Flights
by Paolo Santini - cond-mat/9906381 Scale-invariant Truncated L\'evy Process
by Boris Podobnik & Plamen Ch. Ivanov & Youngki Lee & H. Eugene Stanley - cond-mat/9906343 Indeterminacy in foreign exchange market
by Michele Pasquini & Maurizio Serva - cond-mat/9906298 Self-organization of value and demand
by R. Donangelo & K. Sneppen - cond-mat/9906249 Capital flow in a two-component dynamical system
by Frantisek Slanina & Yi-Cheng Zhang - cond-mat/9906196 Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
by Matthias Otto - cond-mat/9905305 Scaling of the distribution of fluctuations of financial market indices
by Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley - cond-mat/9905169 Scaling transformation and probability distributions for financial time series
by Marc-Etienne Brachet & Erik Taflin & Jean Marcel Tcheou - cond-mat/9905050 On the possibility of optimal investment
by Frantisek Slanina - cond-mat/9903369 The statistical properties of the volatility of price fluctuations
by Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley - cond-mat/9903334 Clustering of volatility as a multiscale phenomenon
by Michele Pasquini & Maurizio Serva - cond-mat/9903221 Volatility in the Italian Stock Market: an Empirical Study
by Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani - cond-mat/9903220 Correlations in the Bond-Future Market
by Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas - cond-mat/9903203 "Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
by D. Sornette & P. Simonetti & J. V. Andersen - cond-mat/9903144 Markovian approximation in foreign exchange markets
by R. Baviera & D. Vergni & A. Vulpiani - cond-mat/9903142 Critical Crashes?
by Kirill Ilinski - cond-mat/9903079 A prognosis oriented microscopic stock market model
by C. Busshaus & H. Rieger - cond-mat/9902283 Universal and non-universal properties of cross-correlations in financial time series
by Vasiliki Plerou & Parameswaran Gopikrishnan & Bernd Rosenow & Luis A. Nunes Amaral & H. Eugene Stanley - cond-mat/9902047 How to account for virtual arbitrage in the standard derivative pricing
by Kirill Ilinski - cond-mat/9902046 Derivative pricing with virtual arbitrage
by Kirill Ilinski & Alexander Stepanenko - cond-mat/9902045 Virtual Arbitrage Pricing Theory
by Kirill Ilinski - cond-mat/9902044 How to reconcile Market Efficiency and Technical Analysis
by Alexandra Ilinskaia & Kirill Ilinski - cond-mat/9902018 Modeling interest rate dynamics: an infinite-dimensional approach
by Rama Cont - cond-mat/9901279 A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods
by Marco Rosa-Clot & Stefano Taddei - cond-mat/9901277 A Path Integral Approach to Derivative Security Pricing: I. Formalism and Analytical Results
by Marco Rosa-Clot & Stefano Taddei - cond-mat/9901268 Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
by A. Johansen & D. Sornette - cond-mat/9901243 Toward a Theory of Marginally Efficient Markets
by Yi-Cheng Zhang - cond-mat/9901225 Efficiency in foreign exchange markets
by R. Baviera & M. Pasquini & M. Serva & D. Vergni & A. Vulpiani - cond-mat/9901035 Critical Crashes
by Anders Johansen & Didier Sornette
1998
- cond-mat/9812318 Using path integrals to price interest rate derivatives
by Matthias Otto - cond-mat/9811292 Minimizing volatility increases large risks
by D. Sornette & J. V. Andersen & P. Simonetti - cond-mat/9811197 Gauge Physics of Finance: simple introduction
by Kirill N Ilinski - cond-mat/9811114 Reaction-Diffusion-Branching Models of Stock Price Fluctuations
by Lei-Han Tang & Guang-Shan Tian - cond-mat/9811094 The Dynamics of Money
by Per Bak & Simon F. Norrelykke & Martin Shubik - cond-mat/9810257 A general methodology to price and hedge derivatives in incomplete markets
by E. Aurell & R. Baviera & O. Hammarlid & M. Serva & A. Vulpiani - cond-mat/9810232 Multiscale behaviour of volatility autocorrelations in a financial market
by Michele Pasquini & Maurizio Serva - cond-mat/9810162 A generalized spin model of financial markets
by Debashish Chowdhury & Dietrich Stauffer - cond-mat/9810092 Booms and Crashes in Self-Similar Markets
by S. Gluzman & V. I. Yukalov - cond-mat/9810091 Optimal lag in dynamical investments
by M. Serva - cond-mat/9809366 Economic returns of research: the Pareto law and its implications
by Didier Sornette & Daniel Zajdenweber - cond-mat/9809199 Quantum Field Theory of Treasury Bonds
by Belal E. Baaquie - cond-mat/9809045 Generalizing Merton's approach of pricing risky debt: some closed form results
by D. F. Wang - cond-mat/9808305 The Uneven Distribution of Numbers in Nature
by L. Pietronero & E. Tosatti & V. Tosatti & A. Vespignani - cond-mat/9808295 Probability distribution of drawdowns in risky investments
by Sergei Maslov & Yi-Cheng Zhang - cond-mat/9808240 Scaling Laws for the Market Microstructure of the Interdealer Broker Markets
by David Eliezer & Ian I. Kogan - cond-mat/9808168 Pricing defaultable debt: some exact results
by D. F. Wang - cond-mat/9807397 Option Pricing Model for Incomplete Market
by Sergei Fedotov & Sergei Mikhailov - cond-mat/9807066 Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility
by D. F. Wang - cond-mat/9806138 Electrodynamical model of quasi-efficient financial market
by Kirill N. Ilinski & Alexander S. Stepanenko - math/9806127 Equilibrium condition in Insurance Pricing: a particular case
by Renato Ghisellini - math/9806030 Insurance policy value and Pareto-optimal retention in the hypothesis of rare loss events
by Renato Ghisellini - cond-mat/9805115 Revisiting the Black-Scholes equation
by D. F. Wang - math/9805014 Time Dynamics of Probability Measure and Hedging of Derivatives
by S. Esipov & I. Vaysburd - cond-mat/9804297 Optimal Strategies for Prudent Investors
by R. Baviera & M. Pasquini & M. Serva & A. Vulpiani - cond-mat/9804126 Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes
by Rosario N. Mantegna & H. Eugene Stanley - cond-mat/9804111 Are Financial Crashes Predictable?
by Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud - cond-mat/9804100 Universal features in the growth dynamics of complex organizations
by Youngki Lee & Luis A. N. Amaral & David Canning & Martin Meyer & H. Eugene Stanley - cond-mat/9804045 Gauge theory of Finance?
by D. Sornette - cond-mat/9803374 Inverse Cubic Law for the Probability Distribution of Stock Price Variations
by Parameswaran Gopikrishnan & Martin Meyer & Luis A Nunes Amaral & H Eugene Stanley - cond-mat/9803367 Stochastic Lotka-Volterra Systems of Competing Auto-Catalytic Agents Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated Levy Distribution of Market Returns, Clustered Volatility, Booms and Craches
by Sorin Solomon - cond-mat/9803238 Risk-return arguments applied to options with trading costs
by Erik Aurell & Karol .Zyczkowski - cond-mat/9803059 Fixed Points in Self-Similar Analysis of Time Series
by S. Gluzman & V. I. Yukalov - cond-mat/9802256 Hierarchical Structure in Financial Markets
by Rosario N. Mantegna - cond-mat/9802234 The sharp peak-flat trough pattern and critical speculation
by B. M. Roehner & D. Sornette - cond-mat/9802136 ``String'' formulation of the Dynamics of the Forward Interest Rate Curve
by D. Sornette - cond-mat/9802059 Large deviations and portfolio optimization
by Didier Sornette - cond-mat/9801321 The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
by P. Santa-Clara & D. Sornette - cond-mat/9801240 Optimal Investment Strategy for Risky Assets
by Sergei Maslov & Yi-Cheng Zhang - cond-mat/9801239 Dynamical Optimization Theory of a Diversified Portfolio
by Matteo Marsili & Sergei Maslov & Yi-Cheng Zhang - cond-mat/9801209 Rational Decisions, Random Matrices and Spin Glasses
by Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters - math/9801057 Valuation of path-dependent American options using a Monte Carlo approach
by H. Sorge
1997
- cond-mat/9712318 Herd behavior and aggregate fluctuations in financial markets
by Rama Cont & Jean-Philippe Bouchaud - cond-mat/9712164 Phenomenology of the Interest Rate Curve
by J. -P. Bouchaud & N. Sagna & R. Cont & N. El-Karoui & M. Potters - hep-th/9712034 Black-Scholes equation from Gauge Theory of Arbitrage
by Kirill Ilinski & Gleb Kalinin - cond-mat/9712005 Stock market crashes are outliers
by A. Johansen & D. Sornette - cond-mat/9711008 Statistical Analysis of the Stock Index of the Budapest Stock Exchange
by J. Rotyis & G. Vattay - cond-mat/9710336 Renormalization Group Analysis of October Market Crashes
by S. Gluzman & V. I. Yukalov - cond-mat/9710290 Resummation Methods for Analyzing Time Series
by S. Gluzman & V. I. Yukalov - cond-mat/9710197 Financial Modeling and Option Theory with the Truncated Levy Process
by Andrew Matacz - hep-th/9710148 Physics of Finance
by Kirill Ilinski - cond-mat/9709141 From turbulence to financial time series
by B. Holdom - cond-mat/9709118 A Prototype Model of Stock Exchange
by G. Caldarelli & M. Marsili & Y. -C. Zhang - cond-mat/9708143 Volatility distribution in the S&P500 Stock Index
by Pierre Cizeau & Yanhui Liu & Martin Meyer & C. -K. Peng & H. Eugene Stanley - cond-mat/9708018 Wealth Distributions in Models of Capital Exchange
by S. Ispolatov & P. L. Krapivsky & S. Redner - cond-mat/9708012 Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''
by A. Arneodo & J. -F. Muzy & D. Sornette - cond-mat/9707042 Missing Information and Asset Allocation
by Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar - cond-mat/9706021 Correlations in Economic Time Series
by Yanhui Liu & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley - cond-mat/9705087 Scaling in stock market data: stable laws and beyond
by Rama Cont & Marc Potters & Jean-Philippe Bouchaud - cond-mat/9705075 Scaling and correlation in financial data
by Rama Cont - cond-mat/9702085 Scaling behavior in economics: II. Modeling of company growth
by S. V. Buldyrev & L. A. N. Amaral & S. Havlin & H. Leschhorn & P. Maass & M. A. Salinger & H. E. Stanley & M. H. R. Stanley - cond-mat/9702082 Scaling behavior in economics: I. Empirical results for company growth
by L. A. N. Amaral & S. V. Buldyrev & S. Havlin & H. Leschhorn & P. Maass & M. A. Salinger & H. E. Stanley & M. H. R. Stanley