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Content
2004
2003
- cond-mat/0312703 What really causes large price changes?
by J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen
- cond-mat/0312658 Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
by W. -X. Zhou & D. Sornette
- cond-mat/0312643 Random Matrix Theory Analysis of Cross Correlations in Financial Markets
by Akihiko Utsugi & Kazusumi Ino & Masaki Oshikawa
- cond-mat/0312568 Superstatistics in Econophysics
by Yoshikazu Ohtaki & Hiroshi H. Hasegawa
- cond-mat/0312560 Power law for the calm-time interval of price changes
by Taisei Kaizoji & Michiyo Kaizoji
- cond-mat/0312547 Traders' strategy with price feedbacks in financial market
by Takayuki Mizuno & Tohur Nakano & Misako Takayasu & Hideki Takayasu
- cond-mat/0312496 Signal and Noise in Financial Correlation Matrices
by Zdzislaw Burda & Jerzy Jurkiewicz
- cond-mat/0312489 Activity autocorrelation in financial markets. A comparative study between several models
by Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver
- cond-mat/0312413 Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya
- cond-mat/0312406 Power law for ensembles of stock prices
by Taisei Kaizoji & Michiyo Kaizoji
- cond-mat/0312404 A mechanism leading bubbles to crashes: the case of Japan's land markets
by Taisei Kaizoji & Michiyo Kaizoji
- cond-mat/0312357 Effects of Randomness on Power Law Tails in Multiplicatively Interacting Stochastic Processes
by Toshiya Ohtsuki & Akihiro Fujihara & Hiroshi Yamamoto
- cond-mat/0312167 Gibbs versus non-Gibbs distributions in money dynamics
by Marco Patriarca & Anirban Chakraborti & Kimmo Kaski
- cond-mat/0312149 Antibubble and Prediction of China's stock market and Real-Estate
by W. -X. Zhou & D. Sornette
- cond-mat/0312121 A comparison between several correlated stochastic volatility models
by Josep Perello & Jaume Masoliver & Napoleon Anento
- nlin/0312065 Intermittent chaos in a model of financial markets with heterogeneous agents
by Taisei Kaizoji
- nlin/0312040 Speculative bubbles and fat tail phenomena in a heterogeneous agent model
by Taisei Kaizoji
- cond-mat/0311646 Motion in random fields - an application to stock market data
by James P. Gleeson
- cond-mat/0311627 Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea?
by D. Grech & Z. Mazur
- cond-mat/0311594 Ehrenfest Model with Large Jumps in Finance
by Hisanao Takahashi
- cond-mat/0311585 The duration of recessions follows an exponential not a power law
by Ian Wright
- cond-mat/0311581 Tobin tax and market depth
by G. Ehrenstein & F. Westerhoff & D. Stauffer
- cond-mat/0311372 Stochastic Cellular Automata Model for Stock Market Dynamics
by M. Bartolozzi & A. W. Thomas
- math/0311280 Bessel processes, the integral of geometric Brownian motion, and Asian options
by M. Schroder & P. Carr
- cond-mat/0311257 Real payoffs and virtual trading in agent based market models
by F. F. Ferreira & M. Marsili
- cond-mat/0311235 Inelastically scattering particles and wealth distribution in an open economy
by Frantisek Slanina
- cond-mat/0311227 Money in Gas-Like Markets: Gibbs and Pareto Laws
by Arnab Chatterjee & Bikas K. Chakrabarti & S. S. Manna
- cond-mat/0311155 Volatility and Returns in Korean Futures Exchange Markets
by Kyungsik Kim & Seong-Min Yoon & Jum Soo Choi
- math/0311144 A model of the term structure of interest rates based on L\'evy fields
by Sergio Albeverio & Eugene Lytvynov & Andrea Mahnig
- cond-mat/0311127 Correlation between Risk Aversion and Wealth distribution
by J. R. Iglesias & S. Goncalves & G. Abramson & J. L. Vega
- cond-mat/0311113 Inequalities of wealth distribution in a conservative economy
by S. Pianegonda & J. R. Iglesias
- cond-mat/0311103 Time scales involved in market emergence
by J. Kwapien & S. Drozdz & J. Speth
- cond-mat/0311096 Monopoly Market with Externality: an Analysis with Statistical Physics and Agent Based Computational Economics
by Jean-Pierre Nadal & Denis Phan & Mirta B. Gordon & Jean Vannimenus
- cond-mat/0311089 Fearless versus Fearful Speculative Financial Bubbles
by J. V. Andersen & D Sornette
- physics/0311074 The Maxwell Demon and Market Efficiency
by Roger D. Jones & Sven G. Redsun & Roger E. Frye & Kelly D. Myers
- nlin/0311055 Induced Minority Dynamics in a Stock Market Model
by Yi Li & Robert Savit
- cond-mat/0311053 The long memory of the efficient market
by Fabrizio Lillo & J. Doyne Farmer
- cond-mat/0310544 Exchanges in complex networks: income and wealth distributions
by T. Di Matteo & T. Aste & S. T. Hyde
- cond-mat/0310503 The scale-free topology of market investments
by Diego Garlaschelli & Stefano Battiston & Maurizio Castri & Vito D. P. Servedio & Guido Caldarelli
- cond-mat/0310351 Modeling of waiting times and price changes in currency exchange data
by Przemyslaw Repetowicz & Peter Richmond
- cond-mat/0310343 A distribution function analysis of wealth distribution
by Arnab Das & Sudhakar Yarlagadda
- cond-mat/0310305 Anomalous waiting times in high-frequency financial data
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
- math/0310223 Consistent Estimation of Pricing Kernels from Noisy Price Data
by Vladislav Kargin
- cond-mat/0310092 Testing the Stability of the 2000-2003 US Stock Market "Antibubble"
by W. -X. Zhou & D. Sornette
- cond-mat/0310062 Zipf Law in Firms Bankruptcy
by Yoshi Fujiwara
- cond-mat/0310061 Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms
by Yoshi Fujiwara & Corrado Di Guilmi & Hideaki Aoyama & Mauro Gallegati & Wataru Souma
- cond-mat/0309549 Cooperativity in a trading model with memory and production
by R. Donangelo & K. Sneppen
- cond-mat/0309533 Typical properties of large random economies with linear activities
by A. De Martino & M. Marsili & I. P'erez Castillo
- math/0309457 Exact Solution of Discrete Hedging Equation for European Option
by D. E. Yakovlev & D. N. Zhabin
- cond-mat/0309416 On the origin of power law tails in price fluctuations
by J. Doyne Farmer & Fabrizio Lillo
- cond-mat/0309404 Langevin processes, agent models and socio-economic systems
by Peter Richmond & Lorenzo Sabatelli
- math/0309276 Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options
by Jules Sadefo Kamdem & Alan Genz
- cond-mat/0309233 The Predictive Power of Zero Intelligence in Financial Markets
by J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko
- math/0309211 Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
by Jules Sadefo Kamdem
- quant-ph/0309033 Correlated Equilibria of Classical Strategic Games with Quantum Signals
by Pierfrancesco La Mura
- cond-mat/0309003 Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
by Dirk Tasche & Ursula Theiler
- cond-mat/0308548 Could short selling make financial markets tumble?
by Jorgen Vitting Andersen
- cond-mat/0308365 Statistical Laws in the Income of Japanese Companies
by Takayuki Mizuno & Makoto Katori & Hideki Takayasu & Misako Takayasu
- cond-mat/0308358 Percolation-Based Model of New-Product Diffusion with Macroscopic Feedback Effects
by Martin Hohnisch & Sabine Pittnauer & Dietrich Stauffer
- physics/0308062 Foreign exchange market fluctuations as random walk in demarcated complex plane
by Johnrob Bantang & May Lim & Patricia Arielle Castro & Christopher Monterola & Caesar Saloma
- cond-mat/0308017 The CTRW in finance: Direct and inverse problems with some generalizations and extensions
by Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss
- cond-mat/0308013 Scale-Dependent Price Fluctuations for the Indian Stock Market
by Kaushik Matia & Mukul Pal & H. Eugene Stanley & H. Salunkay
- cond-mat/0308012 Multifractal Properties of Price Fluctuations of Stocks and Commodities
by Kaushik Matia & Yosef Ashkenazy & H. Eugene Stanley
- cond-mat/0307759 Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
by Miquel Montero
- cond-mat/0307341 Applications of physics to economics and finance: Money, income, wealth, and the stock market
by Adrian A. Dragulescu
- cond-mat/0307332 Fluctuations and response in financial markets: the subtle nature of `random' price changes
by Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart
- cond-mat/0307323 Another type of log-periodic oscillations on Polish stock market?
by Piotr Gnacinski & Danuta Makowiec
- cond-mat/0307270 The mean-field approximation model of company's income growth
by Takayuki Mizuno & Misako Takayasu & Hideki Takayasu
- math/0307265 Approximation probabilities, the law of quasistable markets, and phase transitions from the "condensed" state
by V. P. Maslov
- cond-mat/0307244 Concave risk measures in international capital regulation
by Imre Kondor & Andras Szepessy & Tunde Ujvarosi
- cond-mat/0307226 Modelling and computer simulation of an insurance policy: A search for maximum profit
by M. Acharyya & A. B. Acharyya
- math/0307197 Wiener Chaos and the Cox-Ingersoll-Ross model
by M. R. Grasselli & T. R. Hurd
- cond-mat/0307170 On Simple Mean-Field Stochastic Model of Market Dynamics
by Guennadi Saiko
- cond-mat/0306608 Alternation of different fluctuation regimes in the stock market dynamics
by J. Kwapien & S. Drozdz & J. Speth
- cond-mat/0306605 Risk aversion in financial decisions: A nonextensive approach
by Celia Anteneodo & Constantino Tsallis
- cond-mat/0306579 A Trade-Investment Model for Distribution of Wealth
by Nicola Scafetta & Bruce J. West & Sergio Picozzi
- cond-mat/0306507 Dynamics of multi-frequency minority games
by Andrea De Martino
- cond-mat/0306496 Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market
by D. Sornette & W. -X. Zhou
- cond-mat/0306322 The statistical distribution of money and the rate of money transference
by Juan C. Ferrero
- cond-mat/0305475 Estimated Correlation Matrices and Portfolio Optimization
by Szilard Pafka & Imre Kondor
- cond-mat/0305417 Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
by Rene' Carmona & Dario Villani
- math/0305274 State Tameness: A New Approach for Credit Constrains
by Jaime A. Londo~no
- cond-mat/0305270 Multifractal Features in the Foreign Exchange and Stock Markets
by Kyungsik Kim & Seong-Min Yoon
- physics/0305089 Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
by Y. Malevergne & V. F. Pisarenko & D. Sornette
- cond-mat/0305062 Non-Life Insurance Pricing : Statistical Mechanics Viewpoint
by Amir H. Darooneh
- cond-mat/0305038 A traffic lights approach to PD validation
by Dirk Tasche
- math/0305017 A numeraire-free and original probability based framework for financial markets
by Jia-An Yan
- math/0305010 Measuring and hedging financial risks in dynamical world
by Nicole El Karoui
- cond-mat/0305004 The US 2000-2003 Market Descent: Clarifications
by D. Sornette & W. -X. Zhou
- cond-mat/0304685 Analytic treatment of a trading market model
by Arnab Das & Sudhakar Yarlagadda
- cond-mat/0304601 Predictability of large future changes in major financial indices
by D. Sornette & W. -X. Zhou
- cond-mat/0304469 Using Recurrent Neural Networks To Forecasting of Forex
by V. V. Kondratenko & Yu. A Kuperin
- cond-mat/0304451 Herd Behaviors in the Stock and Foreign Exchange Markets
by Kyungsik Kim & Seong-Min Yoon & Yup Kim
- cond-mat/0304331 Market Simulation Displaying Multifractality
by Kazuko Yamasaki & Kenneth J. Mackin
- cond-mat/0304324 Stochastic Maps, Wealth Distribution in Random Asset Exchange Models and the Marginal Utility of Relative Wealth
by Sitabhra Sinha
- math/0304151 Optimal Asset Allocation with Asymptotic Criteria
by Vladislav Kargin
- cond-mat/0304143 Herd Behavior of Returns in the Futures Exchange Market
by Kyungsik Kim & Seong-Min Yoon & Yup Kim
- cond-mat/0304132 Causalities of the Taiwan Stock Market
by Juhi-Lian Julian Ting
- cond-mat/0303568 Fitting the Power-law Distribution to the Mexican Stock Market index data
by H. F. Coronel-Brizio & C. R. de la Cruz-Laso & A. R. Hernandez-Montoya
- cond-mat/0303306 Time-scale dependence of correlations among foreign currencies
by Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu
- cond-mat/0303304 Investment strategy based on a company growth model
by Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu
- cond-mat/0303298 Bose-Einstein Condensation in Competitive Processes
by Hideaki Shimazaki & Ernst Niebur
- cond-mat/0303271 Bose-Einstein Condensation in Financial Systems
by Kestutis Staliunas
- cond-mat/0303222 Long Memory in Stock Trading
by Andrei Leonidov
- cond-mat/0303099 Wavelet Correlation Coefficient of 'strongly correlated' financial time series
by Ashok Razdan
- cond-mat/0303089 Multiplicative point process as a model of trading activity
by Vygintas Gontis & Bronislovas Kaulakys
- physics/0303028 2000-2003 Real Estate Bubble in the UK but not in the USA
by W. -X. Zhou & D. Sornette
- cond-mat/0302579 Financial Probabilities from Fisher Information
by Raymond J. Hawkins & B. Roy Frieden
- cond-mat/0302507 Significance of log-periodic signatures in cumulative noise
by Hans-Christian Graf v. Bothmer
- cond-mat/0302470 Scaling behavior in land markets
by Taisei Kaizoji
- cond-mat/0302468 Scaling Law for the Distribution of Fluctuations of Share Volume
by Taisei Kaizoji & Masahide Nuki
- cond-mat/0302434 Using the Scaling Analysis to Characterize Financial Markets
by T. Di Matteo & T. Aste & M. M. Dacorogna
- cond-mat/0302402 Calculating credit risk capital charges with the one-factor model
by Susanne Emmer & Dirk Tasche
- cond-mat/0302342 Long-range correlations and nonstationarity in the Brazilian stock market
by R. L. Costa & G. L. Vasconcelos
- cond-mat/0302270 Research in Econophysics
by Victor M. Yakovenko
- math/0302243 Static Arbitrage Bounds on Basket Option Prices
by Alexandre d'Aspremont & Laurent El Ghaoui
- cond-mat/0302147 Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity
by Bikas K. Chakrabarti & Arnab Chatterjee
- math/0302104 Optimal Convergence Trading
by Vladislav Kargin
- cond-mat/0302095 Multiple time scales in volatility and leverage correlations: An stochastic volatility model
by Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud
- cond-mat/0301543 Critical Market Crashes
by D. Sornette
- cond-mat/0301307 Nonextensive statistical mechanics and economics
by Constantino Tsallis & Celia Anteneodo & Lisa Borland & Roberto Osorio
- cond-mat/0301289 Pareto Law in a Kinetic Model of Market with Random Saving Propensity
by Arnab Chatterjee & Bikas K. Chakrabarti & S. S. Manna
- math/0301278 A theory of bond portfolios
by Ivar Ekeland & Erik Taflin
- cond-mat/0301268 Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach
by K. Ivanova & M. Ausloos & H. Takayasu
- cond-mat/0301068 The average shape of a fluctuation: universality in excursions of stochastic processes
by Andrea Baldassarri & Francesca Colaiori & Claudio Castellano
- physics/0301023 Renormalization Group Analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction
by W. -X. Zhou & D. Sornette
- physics/0301009 VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
by Y. Malevergne & D. Sornette
- physics/0301007 Finite-Time Singularity Signature of Hyperinflation
by D. Sornette & H. Takayasu & W. -X. Zhou
2002
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