Printed from https://ideas.repec.org/s/arx/papers144.html
Content
2001
- cond-mat/0111563 An application of Malliavin Calculus to Finance
by Arturo Kohatsu-Higa & Miquel Montero - cond-mat/0111537 Portfolio Optimization and the Random Magnet Problem
by B. Rosenow & V. Plerou & P. Gopikrishnan & H. E. Stanley - cond-mat/0111529 Return or stock price differences
by Jaume Masoliver & Miquel Montero & Josep Perello - cond-mat/0111503 Noisy Covariance Matrices and Portfolio Optimization
by Szilard Pafka & Imre Kondor - cond-mat/0111349 Symmetry Breaking in Stock Demand
by Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley - cond-mat/0111310 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
by Y. Malevergne & D. Sornette - cond-mat/0111257 Power law relaxation in a complex system: Omori law after a financial market crash
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0110506 Quantum Field Theory of Forward Rates with Stochastic Volatility
by Belal E. Baaquie - cond-mat/0110480 The domino effect for markets
by Christian Schulze - cond-mat/0110354 Microscopic Models of Financial Markets
by E. Samanidou & E. Zschischang & D. Stauffer & T. Lux - cond-mat/0110285 Self-similar approach to market analysis
by V. I. Yukalov - cond-mat/0110273 Stochastic Multiplicative Processes for Financial Markets
by Zhi-Feng Huang & Sorin Solomon - cond-mat/0110201 Stability of money: Phase transitions in an Ising economy
by Stefan Bornholdt & Friedrich Wagner - cond-mat/0110124 Nucleation of Market Shocks in Sornette-Ide model
by Ana Proykova & Lena Roussenova & Dietrich Stauffer - cond-mat/0110120 Ordered phase and non-equilibrium fluctuation in stock market
by Jun-ichi Maskawa - cond-mat/0109410 Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
by A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette - cond-mat/0109203 Risk aversion in economic transactions
by C. Anteneodo & C. Tsallis & A. S. Martinez - cond-mat/0109139 Artificial market model based on deterministic agents and derivation of limit of GARCH type process
by Aki-Hiro Sato & Hideki Takayasu - cond-mat/0109026 Asset-asset interactions and clustering in financial markets
by G. Cuniberti & M. Porto & H. E. Roman - nlin/0109015 Wealth redistribution with finite resources
by S. Pianegonda & J. R. Iglesias & G. Abramson & J. L. Vega - cond-mat/0108549 Pricing formulas, model error and hedging derivative portfolios
by T. R. Hurd - cond-mat/0108452 Scaling in the Bombay Stock Exchange Index
by Ashok Razdan - cond-mat/0108068 Decomposing the stock market intraday dynamics
by J. Kwapien & S. Drozdz & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0108066 Broken ergodicity and memory in the minority game
by J. A. F. Heimel & A. De Martino - cond-mat/0108033 Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets
by Ingve Simonsen - cond-mat/0108028 Forecasting Uncertain Events with Small Groups
by Kay-Yut Chen & Leslie R. Fine & Bernardo A. Huberman - cond-mat/0108023 A Random Matrix Approach to Cross-Correlations in Financial Data
by V. Plerou & P. Gopikrishnan & B. Rosenow & L. A. N. Amaral & T. Guhr & H. E. Stanley - nlin/0108022 Forecasting Portfolio Risk in Normal and Stressed Markets
by Vineer Bhansali & Mark B. Wise - cond-mat/0108017 Financial Market Dynamics
by Fredrick Michael & M. D. Johnson - nlin/0108012 'Animal spirits' and expectations in U.S. recession forecasting
by Elliott Middleton - cond-mat/0107600 Dynamical Solution of the On-Line Minority Game
by A C C Coolen & J A F Heimel - cond-mat/0107593 Correlation Structure and Fat Tails in Finance: a New Mechanism
by Marco Airoldi - cond-mat/0107256 Ensemble properties of securities traded in the NASDAQ market
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0107208 Introducing Variety in Risk Management
by Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters - cond-mat/0107190 Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
by Carlo Acerbi - cond-mat/0107150 The Dynamics of the Linear Random Farmer Model
by Rui Carvalho - nlin/0107057 On multifractality and fractional derivatives
by U. Frisch & T. Matsumoto - cond-mat/0106657 Quantifying Stock Price Response to Demand Fluctuations
by Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley - cond-mat/0106635 Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise
by A. C. C. Coolen & J. A. F. Heimel & D. Sherrington - cond-mat/0106520 Significance of log-periodic precursors to financial crashes
by D. Sornette & A. Johansen - cond-mat/0106401 Inner Market as a "Black Box"
by Ari Belenkiy - cond-mat/0106317 Empirical investigation of a quantum field theory of forward rates
by Belal E. Baaquie & Srikant Marakani - cond-mat/0106114 Analyzing and modelling 1+1d markets
by Damien Challet & Robin Stinchcombe - cond-mat/0105573 Time-reversal asymmetry in Cont-Bouchaud stock market model
by Iksoo Chang & Dietrich Stauffer - cond-mat/0105373 Why Financial Markets Will Remain Marginally Inefficient?
by Yi-Cheng Zhang - cond-mat/0105303 Application of multi-agent games to the prediction of financial time-series
by N. F. Johnson & D. Lamper & P. Jefferies & M. L. Hart & S. Howison - cond-mat/0105191 Expected Shortfall: a natural coherent alternative to Value at Risk
by Carlo Acerbi & Dirk Tasche - cond-mat/0105162 Heterogeneous volatility cascade in financial markets
by Gilles Zumbach & Paul Lynch - cond-mat/0105076 Microscopic Models for Long Ranged Volatility Correlations
by Irene Giardina & Jean-Philippe Bouchaud & Marc M'ezard - cond-mat/0104547 Mean-field approximation for a limit order driven market model
by Frantisek Slanina - cond-mat/0104472 Algorithmic Complexity in Real Financial Markets
by R. Mansilla - cond-mat/0104456 Anticorrelations, subbrownian stochastic drift, and 1/f-like spectra in stable financial systems
by Kestutis Staliunas - cond-mat/0104369 Levels of complexity in financial markets
by Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0104362 Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis
by Fabrizio Lillo & Giovanni Bonanno & Rosario N. Mantegna - cond-mat/0104341 A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
by D. Sornette & J. V. Andersen - cond-mat/0104337 Market ecology of active and passive investors
by Andrea Capocci & Yi-Cheng Zhang - cond-mat/0104318 Market price simulator based on analog electrical circuit
by Aki-Hiro Sato & Hideki Takayasu - cond-mat/0104313 Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent
by Aki-Hiro Sato & Hideki Takayasu - cond-mat/0104305 Profit Profiles in Correlated Markets
by Ingve Simonsen & Kim Sneppen - cond-mat/0104295 On the coherence of Expected Shortfall
by Carlo Acerbi & Dirk Tasche - cond-mat/0104260 Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD
by M. Ausloos & K. Ivanova - math/0104190 Conditional Expectation as Quantile Derivative
by Dirk Tasche - cond-mat/0104127 Crashes : symptoms, diagnoses and remedies
by M. Ausloos & K. Ivanova & N. Vandewalle - cond-mat/0104080 Criticality in a model of banking crises
by Giulia Iori & Saqib Jafarey - cond-mat/0103621 Measuring long-range dependence in electricity prices
by Rafal Weron - cond-mat/0103606 Dynamics of correlations in the stock market
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0103600 Agent-based simulation of a financial market
by Marco Raberto & Silvano Cincotti & Sergio M. Focardi & Michele Marchesi - cond-mat/0103544 Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States
by Adrian Dragulescu & Victor M. Yakovenko - cond-mat/0103397 Measures of globalization based on cross-correlations of world financial indices
by Sergei Maslov - cond-mat/0103170 Finite market size as a source of extreme wealth inequality and market instability
by Zhi-Feng Huang & Sorin Solomon - math/0103118 A paradox of diffusion market model related with existence of winning combinations of options
by Nikolai Dokuchaev - cond-mat/0103107 Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
by Szilard Pafka & Imre Kondor - cond-mat/0103106 How Traders enter the Market through the Book
by Lorenzo Matassini & Fabio Franci - cond-mat/0103033 False EUR exchange rates vs. DKK, CHF, JPY and USD. What is a strong currency?
by K. Ivanova & M. Ausloos - cond-mat/0103024 Minority Games and stylized facts
by D. Challet & M. Marsili & Y. -C. Zhang - cond-mat/0103020 General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
by Y. Malevergne & D. Sornette - cond-mat/0102518 Price fluctuations from the order book perspective - empirical facts and a simple model
by Sergei Maslov & Mark Mills - cond-mat/0102494 Markov properties of high frequency exchange rate data
by C. Renner & J. Peinke & R. Friedrich - cond-mat/0102423 Power Laws of Wealth, Market Order Volumes and Market Returns
by Sorin Solomon & Peter Richmond - cond-mat/0102402 Quantifying dynamics of the financial correlations
by S. Drozdz & J. Kwapien & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0102369 Multifractal fluctuations in finance
by F. Schmitt & D. Schertzer & S. Lovejoy - cond-mat/0102305 From Rational Bubbles to Crashes
by D. Sornette & Y. Malevergne - cond-mat/0102304 Expected Shortfall as a Tool for Financial Risk Management
by Carlo Acerbi & Claudio Nordio & Carlo Sirtori - cond-mat/0102301 A process-reconstruction analysis of market fluctuations
by R. Vilela Mendes & R. Lima & T. Araujo - math/0102080 On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
by Peter Carr & Michael Schroder - cond-mat/0102042 To sell or not to sell? Behavior of shareholders during price collapses
by Bertrand M. Roehner - nlin/0102016 Bid distributions of competing agents in simple models of auctions
by R. D'Hulst & G. J. Rodgers - cond-mat/0101371 Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
by Y. Malevergne & D. Sornette - cond-mat/0101351 Statistical mechanics of asset markets with private information
by Johannes Berg & Matteo Marsili & Aldo Rustichini & Riccardo Zecchina - cond-mat/0101326 Stylized facts of financial markets and market crashes in Minority Games
by Damien Challet & Matteo Marsili & Yi-Cheng Zhang - cond-mat/0101175 Coarse-graining and Self-similarity of Price Fluctuations
by Yoshi Fujiwara & Hirokazu Fujisaka - cond-mat/0101143 Liquid markets and market liquids: collective and single-asset dynamics in financial markets
by G. Cuniberti & L. Matassini - cond-mat/0101068 Wealth Condensation in Pareto Macro-Economies
by Z. Burda & D. Johnston & J. Jurkiewicz & M. Kaminski & M. A. Nowak & G. Papp & I. Zahed - physics/0101042 Combustion Models in Finance
by C. Tannous & A. Fessant
2000
- cond-mat/0101001 A simple model of price formation
by K. Sznajd-Weron & R. Weron - cond-mat/0012514 Corporate Default Behavior: A Simple Stochastic Model
by Ting Lei & Raymond J. Hawkins - cond-mat/0012497 The waiting-time distribution of LIFFE bond futures
by Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi - cond-mat/0012479 Stability of Pareto-Zipf Law in Non-Stationary Economies
by Sorin Solomon & Peter Richmond - cond-mat/0012419 The price dynamics of common trading strategies
by J. Doyne Farmer & Shareen Joshi - cond-mat/0012405 A Self-organising Model of Market with Single Commodity
by Anirban Chakraborti & Srutarshi Pradhan & Bikas K. Chakrabarti - math/0012072 On the valuation of arithmetic-average Asian options: Laguerre series and Theta integrals
by Michael Schroder - 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