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Content
2006
- physics/0606005 On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
by Naoya Sazuka
- physics/0606002 Response to Worrying Trends in Econophysics
by Joseph L. McCauley
- cond-mat/0605623 Statistical mechanics of combinatorial auctions
by Tobias Galla & Michele Leone & Matteo Marsili & Mauro Sellitto & Martin Weigt & Riccardo Zecchina
- math/0605599 Modelling Derivatives Pricing Mechanisms with Their Generating Functions
by Shige Peng
- math/0605461 On Stable Pareto Laws in a Hierarchical Model of Economy
by Alexander M. Chebotarev
- math/0605457 Hybrid dynamics for currency modeling
by Ted Theodosopoulos & Alex Trifunovic
- math/0605421 Imbalance attractors for a strategic model of market microstructure
by Ted Theodosopoulos & Ming Yuen
- physics/0605251 Correlation based networks of equity returns sampled at different time horizons
by M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna
- physics/0605247 The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics
by Sitabhra Sinha & Raj Kumar Pan
- physics/0605246 An Outlook on Correlations in Stock Prices
by Anirban Chakraborti
- physics/0605179 Microeconomic co-evolution model for financial technical analysis signals
by G. Rotundo & M. Ausloos
- physics/0605149 Optimal approximations of power-laws with exponentials
by Thierry Bochud & Damien Challet
- physics/0605147 Multifractal Model of Asset Returns versus real stock market dynamics
by P. Oswiecimka & J. Kwapien & S. Drozdz & A. Z. Gorski & R. Rak
- physics/0605146 A Non-Gaussian Approach to Risk Measures
by G. Bormetti & E. Cisana & G. Montagna & O. Nicrosini
- physics/0605115 Asymmetric matrices in an analysis of financial correlations
by J. Kwapien & S. Drozdz & A. Z. Gorski & P. Oswiecimka
- math/0605065 CAPM, rewards, and empirical asset pricing with coherent risk
by Alexander S. Cherny & Dilip B. Madan
- math/0605064 Pricing and hedging in incomplete markets with coherent risk
by Alexander S. Cherny & Dilip B. Madan
- math/0605062 Coherent measurement of factor risks
by Alexander S. Cherny & Dilip B. Madan
- math/0605051 Equilibrium with coherent risk
by Alexander S. Cherny
- math/0605049 Pricing with coherent risk
by Alexander S. Cherny
- math/0604641 A Delayed Black and Scholes Formula II
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap
- math/0604640 A Delayed Black and Scholes Formula I
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap
- math/0604316 Localizing Volatilities
by Marc Atlan
- math/0604311 The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
by T. R. Cass & P. K. Friz
- math/0604302 Getting real with real options
by M. R Grasselli
- physics/0604161 Models of wealth distributions: a perspective
by Abhijit Kar Gupta
- physics/0604137 Synchronization Model for Stock Market Asymmetry
by Raul Donangelo & Mogens H. Jensen & Ingve Simonsen & Kim Sneppen
- math/0604117 Explicit solutions for a nonlinear model of financial derivatives
by Ljudmila A. Bordag & Alina Z. Chmakova
- nlin/0604061 Profit Maximization, Industry Structure, and Competition: A critique of neoclassical theory
by Steve Keen & Russell K. Standish
- math/0603527 A stochastic volatility model with jumps
by Youssef El-Khatib
- math/0603316 State Dependent Utility
by Jaime A. Londo~no
- math/0603284 Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time
by Dmitry B. Rokhlin
- physics/0603173 Power Laws and Gaussians for Stock Market Fluctuations
by Caglar Tuncay & Dietrich Stauffer
- physics/0603166 How fair is an equitable distribution?
by Elena Ramirez Barrios & J. G. Diaz Ochoa & Johannes J. Schneider
- physics/0603152 Multi-asset minority games
by Ginestra Bianconi & Andrea De Martino & Fernando F. Ferreira & Matteo Marsili
- physics/0603147 Statistical properties of daily ensemble variables in the Chinese stock markets
by Gao-Feng Gu & Wei-Xing Zhou
- physics/0603141 Generic features of the wealth distribution in ideal-gas-like markets
by P. K. Mohanty
- physics/0603139 Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
by Taisei Kaizoji
- physics/0603138 Power laws and market crashes
by Taisei Kaizoji
- cond-mat/0603134 Effects of Tobin Taxes in Minority Game markets
by Ginestra Bianconi & Tobias Galla & Matteo Marsili
- physics/0603103 Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev
- physics/0603098 Why do Hurst exponents of traded value increase as the logarithm of company size?
by Zoltan Eisler & Janos Kertesz
- physics/0603084 Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
by Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo
- physics/0603076 Living in an Irrational Society: Wealth Distribution with Correlations between Risk and Expected Profits
by M. A. Fuentes & M. N. Kuperman & J. R. Iglesias
- physics/0603071 Nonextensive statistical features of the Polish stock market fluctuations
by R. Rak & S. Drozdz & J. Kwapien
- physics/0603061 The Power-law Tail Exponent of Income Distributions
by F. Clementi & T. Di Matteo & M. Gallegati
- math/0603041 On decomposing risk in a financial-intermediate market and reserving
by Saul Jacka & Abdel Berkaoui
- physics/0603040 Evaluation of Tranche in Securitization and Long-range Ising Model
by K. Kitsukawa & S. Mori & M. Hisakado
- physics/0603036 Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios
by S. Mori & K. Kitsukawa & M. Hisakado
- physics/0603013 Stock mechanics: unification with economy
by Caglar Tuncay
- physics/0603012 The Process of price formation and the skewness of asset returns
by Stefan Reimann
- math/0602594 Martingale selection problem and asset pricing in finite discrete time
by Dmitry B. Rokhlin
- math/0602592 On the density of properly maximal claims in financial markets with transaction costs
by Saul Jacka & Abdelkarem Berkaoui
- math/0602532 A theory of stochastic integration for bond markets
by M. De Donno & M. Pratelli
- math/0602521 Atlas models of equity markets
by Adrian D. Banner & Robert Fernholz & Ioannis Karatzas
- math/0602462 Maturity randomization for stochastic control problems
by Bruno Bouchard & Nicole El Karoui & Nizar Touzi
- math/0602451 Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
by Bruno Bouchard & Huy^en Pham
- cond-mat/0602316 Markov Processes, Hurst Exponents, and Nonlinear Diffusion Equations with application to finance
by Kevin E. Bassler & Gemunu H. Gunaratne & Joseph L. McCauley
- math/0602178 No-arbitrage and closure results for trading cones with transaction costs
by Saul Jacka & Abdelkarem Berkaoui & Jon Warren
- physics/0602171 A microscopic model of triangular arbitrage
by Y. Aiba & N. Hatano
- physics/0602107 The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives
by Luca Capriotti
- physics/0602102 Unifying the BGM and SABR Models: A short Ride in Hyperbolic Geometry
by Pierre Henry-Labordere
- physics/0602097 An elementary model of price dynamics in a financial market: Distribution, Multiscaling & Entropy
by Stefan Reimann
- physics/0602055 Stock mechanics: theory of conservation of total energy and predictions of coming short-term fluctuations of Dow Jones Industrials Average (DJIA)
by Caglar Tuncay
- physics/0602052 Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations
by V. Alfi & F. Coccetti & A. Petri & L. Pietronero
- physics/0602048 Delta Hedged Option Valuation with Underlying Non-Gaussian Returns
by L. Moriconi
- nlin/0602019 Econophysical Dynamics of Market-Based Electric Power Distribution Systems
by Nicolas Ho & David P. Chassin
- physics/0602015 Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike
- math/0602013 A data-reconstructed fractional volatility model
by Rui Vilela Mendes & M. J. Oliveira
- math/0601627 Capital Requirement for Achieving Acceptability
by Soumik Pal
- math/0601526 Convexity preserving jump-diffusion models for option pricing
by Erik Ekstrom & Johan Tysk
- cond-mat/0601279 Analysis of delay correlation matrices
by K. B. K. Mayya & R. E. Amritkar
- physics/0601222 A nonextensive approach to the dynamics of financial observables
by Silvio M. Duarte Queiros & Luis G. Moyano & Jeferson de Souza & Constantino Tsallis
- physics/0601205 Level Crossing Analysis of the Stock Markets
by G. R. Jafari & M. S. Movahed & S. M. Fazeli & M. Reza Rahimi Tabar & S. F. Masoudi
- physics/0601191 Nonequilibrium Thermodynamics of Wealth Condensation
by Dieter Braun
- physics/0601176 A study of the personal income distribution in Australia
by Anand Banerjee & Victor M. Yakovenko & T. Di Matteo
- physics/0601174 Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes
by GabJin Oh & Cheol-Jun Um & Seunghwann Kim
- physics/0601171 Scale-free avalanche dynamics in the stock market
by M. Bartolozzi & D. B. Leinweber & A. W. Thomas
- physics/0601166 How many independent bets are there?
by Daniel Polakow & Tim Gebbie
- physics/0601126 Statistical Properties of the Returns of Stock Prices of International Markets
by GabJin Oh & Cheol-Jun Um & Seunghwan Kim
- physics/0601106 An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
by Taisei Kaizoji
- physics/0601098 Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev
- physics/0601089 Hidden Forces and Fluctuations from Moving Averages: A Test Study
by V. Alfi & F. Coccetti & M. Marotta & L. Pietronero & M. Takayasu
- nlin/0601074 Difference in nature of correlation between NASDAQ and BSE indices
by P. Manimaran & Prasanta K. Panigrahi & Jitendra. C. Parikh
- physics/0601047 Non Poisson intermittent events in price formation
by Antonella Greco & Luca Sorriso-Valvo & Vincenzo Carbone
- physics/0601002 Optimal Investment Horizons for Stocks and Markets
by A. Johansen & I. Simonsen & M. H. Jensen
2005
- cond-mat/0512308 The Minority Game: a statistical physics perspective
by David Sherrington
- physics/0512240 On the multi-fractal structure of traded volume in financial markets
by L. G. Moyano & J. de Souza & S. M. Duarte Queiros
- physics/0512225 Dynamical Structures of High-Frequency Financial Data
by Kyungsik Kim & Seong-Min Yoon & Soo Yong Kim & Ki-Ho Chang & Yup Kim
- physics/0512216 Dynamical Stochastic Processes of Returns in Financial Markets
by Gyuchang Lim & Soo Yong Kim & Junyuan Zhou & Seong-Min Yoon & Kyungsik Kim
- physics/0512210 Micro-economic Analysis of the Physical Constrained Markets: Game Theory Application to Competitive Electricity Markets
by Ettore Bompard & Yuchao Ma & Elena Ragazzi
- physics/0512193 Limitations of scaling and universality in stock market data
by Janos Kertesz & Zoltan Eisler
- math/0512181 Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood"
by Susanne M. Schennach
- physics/0512169 Volatility of an Indian stock market : A random matrix approach
by V. Kulkarni & N. Deo
- physics/0512163 Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model
by Aki-Hiro Sato
- physics/0512155 Effects of Economic Interactions on Credit Risk
by J. P. L. Hatchett & R. Kuehn
- physics/0512127 Stock mechanics: a general theory and method of energy conservation with applications on DJIA
by Caglar Tuncay
- physics/0512124 Re-examination of the size distribution of firms
by Taisei Kaizoji & Hiroshi Iyetomi & Yuichi Ikeda
- physics/0512090 Large dimension forecasting models and random singular value spectra
by Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters
- physics/0512005 The Growth of Business Firms: Theoretical Framework and Empirical Evidence
by Dongfeng Fu & Fabio Pammolli & S. V. Buldyrev & Massimo Riccaboni & Kaushik Matia & Kazuko Yamasaki & H. E. Stanley
- math/0511234 Nonlinearity, correlation and the valuation of employee stock options
by M. R. Grasselli
- physics/0511224 Grouping in the stock markets of Japan and Korea
by Woo-Sung Jung & Okyu Kwon & Taisei Kaizoji & Seungbyung Chae & Hie-Tae Moon
- physics/0511220 Annual change of Pareto index dynamically deduced from the law of detailed quasi-balance
by Atushi Ishikawa
- physics/0511191 The Production Function
by Guido Fioretti
- physics/0511129 Description of dynamics of stock prices by a Langevin approach
by Zi-Gang Huang & Yong Chen & Yong Zhang & Ying-Hai Wang
- physics/0511119 Dynamics of the return distribution in the Korean financial market
by Jae-Suk Yang & Seungbyung Chae & Woo-Sung Jung & Hie-Tae Moon
- physics/0511101 Scaling and memory of intraday volatility return intervals in stock market
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley
- physics/0511091 Inverse Statistics for Stocks and Markets
by A. Johansen & I. Simonsen & M. H. Jensen
- nlin/0511048 Persistence Probabilities of the German DAX and Shanghai Index
by F. Ren & B. Zheng & H. Lin & L. Y. Wen & S. Trimper
- cond-mat/0510693 Asymptotic analysis of the model for distribution of high-tax payers
by Hiroshi Yamamoto & Toshiya Ohtsuki & Akihiro Fujihara & Satoshi Tanimoto & Keizo Yamamoto & Sasuke Miyazima
- math/0510662 Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games
by Masayuki Kumon & Akimichi Takemura & Kei Takeuchi
- math/0510333 Optimal Bond Portfolios
by Ivar Ekeland & Erik Taflin
- physics/0510257 News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model
by Damien Challet
- cond-mat/0510154 Role of Noise in a Market Model with Stochastic Volatility
by G. Bonanno & D. Valenti & B. Spagnolo
- physics/0510112 On statistical properties of traded volume in financial markets
by Jeferson de Souza & Luis G. Moyano & Silvio M. Duarte Queiros
- physics/0510068 The Donation-Payment Gift Card Concept: how to give twice with one card
by R. Crane & J. V. Escobar-Sotomayor & D. Sornette
- physics/0510058 Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks
by Zoltan Eisler & Janos Kertesz
- physics/0510055 A Precursor of Market Crashes
by Taisei Kaizoji
- physics/0510047 Time series of stock price and of two fractal overlap: Anticipating market crashes?
by Bikas K. Chakrabarti & Arnab Chatterjee & Pratip Bhattacharyya
- physics/0510038 A common origin of the power law distributions in models of market and earthquake
by Pratip Bhattacharyya & Arnab Chatterjee & Bikas K Chakrabarti
- physics/0510028 Financial Markets and Persistence
by S. Jain & P. Buckley
- physics/0510007 There's more to volatility than volume
by Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo
- math/0509503 A filtering approach to tracking volatility from prices observed at random times
by Jaksa Cvitanic & Robert Liptser & Boris Rozovskii
- math/0509367 Game theoretic derivation of discrete distributions and discrete pricing formulas
by Akimichi Takemura & Taiji Suzuki
- physics/0509257 Small scale behavior of financial data
by Andreas P. Nawroth & Joachim Peinke
- physics/0509256 Analysis of Binarized High Frequency Financial Data
by Naoya Sazuka
- physics/0509250 An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
by Andreia Dionisio & Rui Menezes & Diana A. Mendes
- physics/0509240 Condensation in an Economic Model with Brand Competition
by L. Casillas & F. J. Espinosa & R. Huerta-Quintanilla & M. Rodriguez-Achach
- physics/0509235 Random Matrix Filtering in Portfolio Optimization
by Gabor Papp & Szilard Pafka & Maciej A. Nowak & Imre Kondor
- math/0509232 Properties of option prices in models with jumps
by Erik Ekstrom & Johan Tysk
- math/0509231 A boundary point lemma for Black-Scholes type operators
by Erik Ekstrom & Johan Tysk
- physics/0509194 An empirical behavioral model of price formation
by Szabolcs Mike & J. Doyne Farmer
- physics/0509172 Role of Selective Interaction in Wealth Distribution
by Abhijit Kar Gupta
- physics/0509150 Optimal hedging of Derivatives with transaction costs
by Erik Aurell & Paolo Muratore-Ginanneschi
- physics/0509142 A characteristic time scale of tick quotes on foreign currency markets
by Aki-Hiro Sato
- math/0509139 Dynamic State Tameness
by Jaime A. Londo~no
- physics/0509102 Firm Projects, NPV and Risk
by Jana Hudakova & Ondrej Hudak
- physics/0509090 Effects of the globalization in the Korean financial markets
by Woo-Sung Jung & Okyu Kwon & Jae-Suk Yang & Hie-Tae Moon
- physics/0509020 Potentials of Unbalanced Complex Kinetics Observed in Market Time Series
by Misako Takayasu & Takayuki Mizuno & Hideki Takayasu
- math/0509016 Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
by Barbara Forster & Eva Luetkebohmert & Josef Teichmann
- physics/0509014 Transfer Entropy Analysis of the Stock Market
by Seung Ki Baek & Woo-Sung Jung & Okyu Kwon & Hie-Tae Moon
- math/0508489 Dynamic exponential utility indifference valuation
by Michael Mania & Martin Schweizer
- math/0508487 Some remarks on first passage of Levy processes, the American put and pasting principles
by L. Alili & A. E. Kyprianou
- cond-mat/0508451 Eigenvalue density of empirical covariance matrix for correlated samples
by Z. Burda & J. Jurkiewicz & B. Waclaw
- math/0508448 Utility maximization in incomplete markets
by Ying Hu & Peter Imkeller & Matthias Muller
- cond-mat/0508413 Stationary states of a spherical Minority Game with ergodicity breaking
by Tobias Galla & David Sherrington
- physics/0508218 Waiting-time distribution for a stock-market index
by Jae Woo Lee & Kyoung Eun Lee & Per Arne Rikvold
- physics/0508206 The Network of Inter-Regional Direct Investment Stocks across Europe
by Stefano Battiston & Jo~ao F. Rodrigues & Hamza Zeytinoglu
- physics/0508203 Impact of Stock Market Structure on Intertrade Time and Price Dynamics
by Ainslie Yuen & Plamen Ch. Ivanov
- physics/0508188 Cross-country hierarchical structure and currency crisis
by Guillermo J. Ortega & David Matesanz
- physics/0508178 Derivation of the distribution from extended Gibrat's law
by Atushi Ishikawa
- physics/0508172 Characteristic market behaviors caused by intervention in a foreign exchange market
by Takayuki Mizuno & Yukiko Umeno Saito & Tsutomu Watanabe & Hideki Takayasu
- physics/0508164 Correlation Networks Among Currencies
by Takayuki Mizuno & Hideki Takayasu & Misako Takayasu
- physics/0508162 Modeling a foreign exchange rate using moving average of Yen-Dollar market data
by Takayuki Mizuno & Misako Takayasu & Hideki Takayasu
- physics/0508159 Dynamic instability in a phenomenological model of correlated assets
by Giacomo Raffaelli & Matteo Marsili
- physics/0508156 Size matters: some stylized facts of the stock market revisited
by Zoltan Eisler & Janos Kertesz
- cond-mat/0508122 Sector identification in a set of stock return time series traded at the London Stock Exchange
by C. Coronnello & M. Tumminello & F. Lillo & S. Miccich`e & R. N. Mantegna
- physics/0508104 Trend followers lose more often than they gain
by Marc Potters & Jean-Philippe Bouchaud
- physics/0508077 Application of Zhangs Square Root Law and Herding to Financial Markets
by Friedrich Wagner
- physics/0508065 Consumers don't play dice, influence of social networks and advertisements
by Robert D. Groot
- physics/0508023 Stock mechanics: energy conservation theory and the fundamental line of DJIA
by Caglar Tuncay
- physics/0507163 Bipartite Producer-Consumer Networks and the Size Distribution of Firms
by Wang Dahui & Zhou Li & Di Zengru
- physics/0507162 Dynamic Process of Money Transfer Models
by Yougui Wang & Ning Ding
- physics/0507161 Prospects for Money Transfer Models
by Yougui Wang & Ning Ding & Ning Xi
- physics/0507160 How Required Reserve Ratio Affects Distribution and Velocity of Money
by Ning Xi & Ning Ding & Yougui Wang
- physics/0507159 The Velocity of Money in a Life-Cycle Model
by Yougui Wang & Hanqing Qiu
- physics/0507158 The Economic Mobility in Money Transfer
by Ning Ding & Ning Xi & Yougui Wang
- physics/0507151 Power-Law Distributions in Circulating Money: Effect of Preferential Behavior
by Ning Ding & Yougui Wang
- physics/0507149 Effects of Saving and Spending Patterns on Holding Time Distribution
by Ning Ding & Ning Xi & Yougui Wang
- physics/0507147 The Circulation of Money and Holding Time Distribution
by Yougui Wang & Ning Ding & Li Zhang
- physics/0507136 Ideal-Gas Like Markets: Effect of Savings
by Arnab Chatterjee & Bikas K Chakrabarti
- physics/0507111 Financial Applications of Random Matrix Theory: Old Laces and New Pieces
by M. Potters & J. P. Bouchaud & L. Laloux
- physics/0507101 Production networks and failure avalanches
by Gerard Weisbuch & Stefano Battiston
- physics/0507098 Ab initio yield curve dynamics
by Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna
- physics/0507093 The distribution of wealth in the presence of altruism for simple economic models
by M. Rodriguez-Achach & R. Huerta-Quintanilla
- math/0507082 Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
by P. Okunev
- physics/0507073 On a multi-timescale statistical feedback model for volatility fluctuations
by L. Borland & J. -Ph. Bouchaud
- nlin/0507054 A Model of Coupled-Maps for Economic Dynamics
by J. R. Sanchez & R. Lopez-Ruiz
- physics/0507054 Scaling and data collapse for the mean exit time of asset prices
by Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna
- nlin/0507037 Forecasting non-stationary financial time series through genetic algorithm
by M. B. Porecha & P. K. Panigrahi & J. C. Parikh & C. M. Kishtawal & Sujit Basu
- physics/0507035 Income Distribution Dependence of Poverty Measure: A Theoretical Analysis
by Amit K Chattopadhyay & Sushanta K Mallick
- physics/0507032 Typical properties of optimal growth in the Von Neumann expanding model for large random economies
by Andrea De Martino & Matteo Marsili
- physics/0507022 Applications of physics to finance and economics: returns, trading activity and income
by A. Christian Silva
- physics/0507020 Volatility, Persistence, and Survival in Financial Markets
by M. Constantin & S. Das Sarma
- physics/0507006 Cluster analysis for portfolio optimization
by Vincenzo Tola & Fabrizio Lillo & Mauro Gallegati & Rosario N. Mantegna
- math/0506621 Optimal long term investment model with memory
by Akihiko Inoue & Yumiharu Nakano
- math/0506378 Fast Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model: Using Hermite Expansions for Higher Accuracy
by P. Okunev
- physics/0506224 Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations
by Baosheng Yuan & Kan Chen
- physics/0506151 Phase coexistence in a forecasting game
by Philippe Curty & Matteo Marsili
- physics/0506137 The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
by Tanya Ara'ujo & Francisco Louc{c}~a
- math/0506127 A Note on the Ruin Problem with Risky Investments
by David Maher
- 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
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