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### 2011

**1105.5416 Analytic results and weighted Monte Carlo simulations for CDO pricing***by*Marcell Stippinger & B\'alint Vet\H{o} & \'Eva R\'acz & Zsolt Bihary**1105.5082 Erratum for: Smile dynamics -- a theory of the implied leverage effect***by*Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters**1105.4789 Stochastic Price Dynamics Implied By the Limit Order Book***by*Alex Langnau & Yanko Punchev**1105.4567 Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options***by*Alessandro Ramponi**1105.4519 State-Observation Sampling and the Econometrics of Learning Models***by*Laurent E. Calvet & Veronika Czellar**1105.3918 A note on a paper by Wong and Heyde***by*Aleksandar Mijatovi\'c & Mikhail Urusov**1105.3594 Portfolio selection problems in practice: a comparison between linear and quadratic optimization models***by*Francesco Cesarone & Andrea Scozzari & Fabio Tardella**1105.3359 Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models***by*Viorel Costeanu & Dan Pirjol**1105.3297 Exact Simulation of the 3/2 Model***by*Jan Baldeaux**1105.3228 The formation of share market prices under heterogeneous beliefs and common knowledge***by*Yuri Biondi & Pierpaolo Giannoccolo & Serge Galam**1105.3180 The small-maturity smile for exponential Levy models***by*Jose E. Figueroa-Lopez & Martin Forde**1105.3115 Dealing with the Inventory Risk. A solution to the market making problem***by*Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia**1105.2968 Banking retail consumer finance data generator - credit scoring data repository***by*Karol Przanowski**1105.2956 Adjusted Closing Prices***by*Vic Norton**1105.2900 Dialectical Roots for Interest Prohibition Theory***by*Jan Aldert Bergstra**1105.2414 Impact of heterogenous prior beliefs and disclosed insider trades***by*Fuzhou Gong & Hong Liu**1105.2123 The Bowley Ratio***by*Geoff Willis**1105.2122 Why Money Trickles Up - Wealth & Income Distributions***by*Geoff Willis**1105.1814 A Contextual Risk Model for the Ellsberg Paradox***by*Diederik Aerts & Sandro Sozzo**1105.1812 Contextual Risk and Its Relevance in Economics***by*Diederik Aerts & Sandro Sozzo**1105.1767 A projected gradient dynamical system modeling the dynamics of bargaining***by*D. Pinheiro & A. A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos**1105.1694 Anomalous price impact and the critical nature of liquidity in financial markets***by*Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud**1105.1488 The structure of optimal portfolio strategies for continuous time markets***by*Nikolai Dokuchaev**1105.1267 Don't stay local - extrapolation analytics for Dupire's local volatility***by*Peter Friz & Stefan Gerhold**1105.0934 Stochastic programs without duality gaps***by*Teemu Pennanen & Ari-Pekka Perkki\"o**1105.0819 Equilibrium strategy and population-size effects in lowest unique bid auctions***by*Simone Pigolotti & Sebastian Bernhardsson & Jeppe Juul & Gorm Galster & Pierpaolo Vivo**1105.0745 Weak Dynamic Programming for Generalized State Constraints***by*Bruno Bouchard & Marcel Nutz**1105.0284 Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model***by*Damien Lamberton & Mohammed Mikou**1105.0247 Liquidation in Limit Order Books with Controlled Intensity***by*Erhan Bayraktar & Michael Ludkovski**1105.0238 Default Swap Games Driven by Spectrally Negative Levy Processes***by*Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki**1105.0068 Power Series Representations for European Option Prices under Stochastic Volatility Models***by*Lucia Caramellino & Giorgio Ferrari & Roberta Piersimoni**1105.0042 Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching***by*Agostino Capponi & Jose E. Figueroa-Lopez**1104.5393 Notional portfolios and normalized linear returns***by*Vic Norton**1104.5326 Density Approximations for Multivariate Affine Jump-Diffusion Processes***by*Damir Filipovi\'c & Eberhard Mayerhofer & Paul Schneider**1104.5272 Credit contagion and risk management with multiple non-ordered defaults***by*Younes Kchia & Martin Larsson**1104.5131 American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods***by*Lokman Abbas-Turki & Bernard Lapeyre**1104.4716 From the currency rate quotations onto strings and brane world scenarios***by*D. Horvath & R. Pincak**1104.4596 Price dynamics in a Markovian limit order market***by*Rama Cont & Adrien De Larrard**1104.4548 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion***by*Yuri Imamura & Katsuya Takagi**1104.4380 Stability of the World Trade Web over Time - An Extinction Analysis***by*N. Foti & S. Pauls & Daniel N. Rockmore**1104.4249 Robustness and Contagion in the International Financial Network***by*Tilman Dette & Scott Pauls & Daniel N. Rockmore**1104.4234 Full characterization of the fractional Poisson process***by*Mauro Politi & Taisei Kaizoji & Enrico Scalas**1104.4010 Model independent hedging strategies for variance swaps***by*David Hobson & Martin Klimmek**1104.3616 Strategies used as spectroscopy of financial markets reveal new stylized facts***by*Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette**1104.3583 Root's barrier: Construction, optimality and applications to variance options***by*Alexander M. G. Cox & Jiajie Wang**1104.3328 A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process***by*Bernard Bercu & Frederic Proia**1104.2625 Counterparty Risk and the Impact of Collateralization in CDS Contracts***by*Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler**1104.2606 Statistical mechanics of the international trade network***by*Agata Fronczak & Piotr Fronczak**1104.2471 Interest prohibition and financial product innovation***by*J. A. Bergstra & C. A. Middelburg**1104.2344 Interest Rates and Inflation***by*Michael Coopersmith**1104.2308 Non - Randomness Stock Market Price Model (Amended)***by*Aleksey Kharevsky**1104.2187 A Generalized Continuous Model for Random Markets***by*R. Lopez-Ruiz & E. Shivanian & S. Abbasbandy & J. L. Lopez**1104.2124 Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?***by*Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt**1104.1855 Collateralized CDS and Default Dependence***by*Masaaki Fujii & Akihiko Takahashi**1104.1773 Default clustering in large portfolios: Typical events***by*Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers**1104.0777 If Entry Strategy and Money go Together, What is the Right Side of the Coin?***by*Jean-Philippe Timsit & Annick Castiaux**1104.0761 Utility Maximization, Risk Aversion, and Stochastic Dominance***by*Mathias Beiglboeck & Johannes Muhle-Karbe & Johannes Temme**1104.0587 How does the market react to your order flow?***by*Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer**1104.0508 Concave Distortion Semigroups***by*Alexander Cherny & Damir Filipovi\'c**1104.0359 Theoretical Sensitivity Analysis for Quantitative Operational Risk Management***by*Takashi Kato**1104.0322 Explosive behavior in a log-normal interest rate model***by*Dan Pirjol**1104.0308 An Application Specific Informal Logic for Interest Prohibition Theory***by*J. A. Bergstra & C. A. Middelburg**1103.6143 A semi-Markov model for price returns***by*Guglielmo D'Amico & Filippo Petroni**1103.5994 A win-win monetary policy in Canada***by*Oleg Kitov & Ivan Kitov**1103.5978 Financial Risks and the Pension Protection Fund: Can it Survive Them?***by*David Blake & John Cotter & Kevin Dowd**1103.5976 Absolute Return Volatility***by*John Cotter**1103.5973 A Utility Based Approach to Energy Hedging***by*John Cotter & Jim Hanly**1103.5972 A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics***by*John Cotter & Richard Roll**1103.5971 Housing risk and return: Evidence from a housing asset-pricing model***by*Karl Case & John Cotter & Stuart Gabriel**1103.5968 Time Varying Risk Aversion: An Application to Energy Hedging***by*John Cotter & Jim Hanly**1103.5966 Hedging: Scaling and the Investor Horizon***by*John Cotter & Jim Hanly**1103.5965 Scaling conditional tail probability and quantile estimators***by*John Cotter**1103.5962 Extreme Measures of Agricultural Financial Risk***by*John Cotter & Kevin Dowd & Wyn Morgan**1103.5722 Multidimensional Quasi-Monte Carlo Malliavin Greeks***by*Nicola Cufaro Petroni & Piergiacomo Sabino**1103.5703 Exponential wealth distribution in a random market. A rigorous explanation***by*Jose-Luis Lopez & Ricardo Lopez-Ruiz & Xavier Calbet**1103.5674 Spectral Risk Measures: Properties and Limitations***by*Kevin Dowd & John Cotter & Ghulam Sorwar**1103.5672 How Unlucky is 25-Sigma?***by*Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods**1103.5668 Spectral Risk Measures and the Choice of Risk Aversion Function***by*kevin dowd & john cotter**1103.5666 Estimating financial risk measures for futures positions: a non-parametric approach***by*john cotter & kevin dowd**1103.5665 Evaluating the Precision of Estimators of Quantile-Based Risk Measures***by*Kevin Dowd & John Cotter**1103.5664 Intra-Day Seasonality in Foreign Exchange Market Transactions***by*john cotter & kevin dowd**1103.5661 The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders***by*john cotter & kevin dowd**1103.5660 Multivariate Modeling of Daily REIT Volatility***by*John Cotter & Simon Stevenson**1103.5659 U.S. Core Inflation: A Wavelet Analysis***by*kevin dowd & john cotter**1103.5656 Modelling catastrophic risk in international equity markets: An extreme value approach***by*john cotter**1103.5655 Implied correlation from VaR***by*John Cotter & Fran\c{c}ois Longin**1103.5653 Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements***by*John Cotter & Kevin Dowd**1103.5651 Uncovering Long Memory in High Frequency UK Futures***by*John Cotter**1103.5649 Varying the VaR for Unconditional and Conditional Environments***by*John Cotter**1103.5575 Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models***by*Johannes Temme**1103.5555 Evolution of worldwide stock markets, correlation structure and correlation based graphs***by*Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna**1103.5418 Tail Behaviour of the Euro***by*John Cotter**1103.5417 Uncovering Volatility Dynamics in Daily REIT Returns***by*John Cotter & Simon Stevenson**1103.5416 Minimum Capital Requirement Calculations for UK Futures***by*John Cotter**1103.5414 Modeling Long Memory in REITs***by*John Cotter & Simon Stevenson**1103.5412 Margin setting with high-frequency data1***by*John Cotter & Fran\c{c}ois Longin**1103.5411 Hedging Effectiveness under Conditions of Asymmetry***by*John Cotter & Jim Hanly**1103.5409 Exponential Spectral Risk Measures***by*Kevin Dowd & John Cotter**1103.5408 Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements***by*John Cotter & Kevin Dowd**1103.5345 Spin models as microfoundation of macroscopic financial market models***by*Sebastian M. Krause & Stefan Bornholdt**1103.5189 On interrelations of recurrences and connectivity trends between stock indices***by*B. Goswami & G. Ambika & N. Marwan & J. Kurths**1103.5027 Google matrix of the world trade network***by*Leonardo Ermann & Dima L. Shepelyansky**1103.4965 A Note on Delta Hedging in Markets with Jumps***by*Aleksandar Mijatovi\'c & Mikhail Urusov**1103.4947 Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products***by*Nick Bush & Ben M. Hambly & Helen Haworth & Lei Jin & Christoph Reisinger**1103.4943 An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition***by*Thomas Conlon & John Cotter**1103.4934 Mean Reversion Pays, but Costs***by*Richard Martin & Torsten Sch\"oneborn**1103.4541 Defaultable Bonds via HKA***by*Yuta Inoue & Takahiro Tsuchiya**1103.4483 A method for pricing American options using semi-infinite linear programming***by*S\"oren Christensen**1103.3639 Option Pricing from Wavelet-Filtered Financial Series***by*V. T. X. de Almeida & L. Moriconi**1103.3482 Stochastic impulse control on optimal execution with price impact and transaction cost***by*Mauricio Junca**1103.3206 Noise, risk premium, and bubble***by*Grzegorz Andruszkiewicz & Dorje C. Brody**1103.2914 Pollution permits, Strategic Trading and Dynamic Technology Adoption***by*Santiago Moreno-Bromberg & Luca Taschini**1103.2670 Constrained Mixture Models for Asset Returns Modelling***by*Iead Rezek**1103.2577 Multifractal detrending moving average cross-correlation analysis***by*Zhi-Qiang Jiang & Wei-Xing Zhou**1103.2567 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR***by*Marco Bianchetti & Mattia Carlicchi**1103.2310 Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance***by*Martin Keller-Ressel & Claus Griessler**1103.2234 Do firms share the same functional form of their growth rate distribution? A new statistical test***by*Jos\`e T. Lunardi & Salvatore Miccich\`e & Fabrizio Lillo & Rosario N. Mantegna & Mauro Gallegati**1103.2214 The slippage paradox***by*Steffen Bohn**1103.2013 Conservative delta hedging under transaction costs***by*Masaaki Fukasawa**1103.2001 Emergence of double scaling law in complex system***by*D. D. Han & J. H. Qian & Y. G. Ma**1103.1992 Shocks in financial markets, price expectation, and damped harmonic oscillators***by*Leonidas Sandoval Junior & Italo De Paula Franca**1103.1755 Optimal stopping under probability distortion***by*Zuo Quan Xu & Xun Yu Zhou**1103.1729 Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation***by*Damir Filipovi\'c & Robert Kremslehner & Alexander Muermann**1103.1689 Information Theoretic Limits on Learning Stochastic Differential Equations***by*Jos\'e Bento & Morteza Ibrahimi & Andrea Montanari**1103.1652 Ambiguous Volatility, Possibility and Utility in Continuous Time***by*Larry Epstein & Shaolin Ji**1103.1526 Analysis of trade packages in Chinese stock market***by*Fei Ren & Wei-Xing Zhou**1103.1501 Exponential wealth distribution: a new approach from functional iteration theory***by*Ricardo Lopez-Ruiz & Jose-Luis Lopez & Xavier Calbet**1103.1460 On the drawdown of completely asymmetric Levy processes***by*Aleksandar Mijatovic & Martijn R. Pistorius**1103.1249 Randomizing world trade. II. A weighted network analysis***by*Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli**1103.1243 Randomizing world trade. I. A binary network analysis***by*Tiziano Squartini & Giorgio Fagiolo & Diego Garlaschelli**1103.1165 Hedging of Game Options With the Presence of Transaction Costs***by*Yan Dolinsky**1103.1050 Inf-convolution of g_\Gamma-solution and its applications***by*Yuanyuan Sui & Helin Wu**1103.1006 Arbitrage and Hedging in a non probabilistic framework***by*Alexander Alvarez & Sebastian Ferrando & Pablo Olivares**1103.0894 Inside Trading, Public Disclosure and Imperfect Competition***by*Fuzhou Gong & Hong Liu**1103.0893 Record statistics for biased random walks, with an application to financial data***by*Gregor Wergen & Miro Bogner & Joachim Krug**1103.0717 The dynamics of financial stability in complex networks***by*Jo\~ao P. da Cruz & Pedro G. Lind**1103.0647 A class of CTRWs: Compound fractional Poisson processes***by*Enrico Scalas**1103.0606 Bayesian Model Choice of Grouped t-copula***by*Xiaolin Luo & Pavel V. Shevchenko**1102.5752 A Theoretical Approach for Dynamic Modelling of Sustainable Development***by*Corina-Maria Ene & Anda Gheorghiu & Anca Gheorghiu**1102.5747 The Conflict between Economic Development and Planetary Ecosystem in the Context of Sustainable Development***by*Corina-Maria Ene & Anda Gheorghiu & Cristina Burghelea & Anca Gheorghiu**1102.5665 Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution***by*William T. Shaw**1102.5525 Arbitrage hedging strategy and one more explanation of the volatility smile***by*Mikhail Martynov & Olga Rozanova**1102.5501 Extension theorems for linear operators on $L_\infty$ and application to price systems***by*Jocelyne Bion-Nadal & Giulia Di Nunno**1102.5457 How efficiency shapes market impact***by*J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck**1102.5431 Testing for change in mean of heteroskedastic time series***by*Mohamed Boutahar**1102.5405 Inflation and unemployment in Switzerland: from 1970 to 2050***by*Oleg Kitov & Ivan Kitov**1102.5287 Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces***by*Samuel N. Cohen**1102.5126 Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model***by*Mark Davis & Sebastien Lleo**1102.5078 On Mean-Variance Analysis***by*Yang Li & Traian A Pirvu**1102.5075 Utility Indifference Pricing: A Time Consistent Approach***by*Traian A Pirvu & Huayue Zhang**1102.4864 Calibration of structural and reduced-form recovery models***by*Alexander F. R. Koivusalo & Rudi Sch\"afer**1102.4819 Minding impacting events in a model of stochastic variance***by*Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre**1102.4722 Measuring Portfolio Diversification***by*Ulrich Kirchner & Caroline Zunckel**1102.4489 Portfolio Insurance under a risk-measure constraint***by*Carmine De Franco & Peter Tankov**1102.4230 Cooperation amongst competing agents in minority games***by*Deepak Dhar & V. Sasidevan & Bikas K. Chakrabarti**1102.4132 Optimal dividend control for a generalized risk model with investment incomes and debit interest***by*Jinxia Zhu**1102.4076 The fine structure of spectral properties for random correlation matrices: an application to financial markets***by*G. Livan & S. Alfarano & E. Scalas**1102.4055 Parisian ruin probability for spectrally negative L\'{e}vy processes***by*Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski**1102.3956 Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution***by*Ph. Barbe & W. P. McCormick**1102.3928 Minimizing shortfall risk for multiple assets derivatives***by*Michal Barski**1102.3900 A Random Matrix Approach to Credit Risk***by*Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr**1102.3857 Transition Probability Matrix Methodology for Incremental Risk Charge***by*Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton**1102.3712 Black swans or dragon kings? A simple test for deviations from the power law***by*Joanna Janczura & Rafal Weron**1102.3702 A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation***by*Olfa Zaafrane & Anouar Ben Mabrouk**1102.3582 Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation***by*Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip**1102.3541 Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition***by*Alberto Elices & Eduard Gim\'enez**1102.3534 Applying hedging strategies to estimate model risk and provision calculation***by*Alberto Elices & Eduard Gim\'enez**1102.3218 On the Stability the Least Squares Monte Carlo***by*Oleksii Mostovyi**1102.3150 Dependence of defaults and recoveries in structural credit risk models***by*Rudi Sch\"afer & Alexander F. R. Koivusalo**1102.3009 Non - Randomness Stock Market Price Model***by*Aleksey Kharevsky**1102.2620 Predicting economic market crises using measures of collective panic***by*Dion Harmon & Marcus A. M. de Aguiar & David D. Chinellato & Dan Braha & Irving R. Epstein & Yaneer Bar-Yam**1102.2515 Adelic theory of stock market***by*V. Zharkov**1102.2412 Statistical Inference for Time-changed Brownian Motion Credit Risk Models***by*T. R. Hurd & Zhuowei Zhou**1102.2285 Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE***by*Qingshuo Song**1102.2263 Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms***by*I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska**1102.2240 Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices***by*Duan Wang & Boris Podobnik & Davor Horvati\'c & H. Eugene Stanley**1102.2138 The US stock market leads the Federal funds rate and Treasury bond yields***by*Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette**1102.2050 On stochastic calculus related to financial assets without semimartingales***by*Rosanna Coviello & Cristina Di Girolami & Francesco Russo**1102.1851 The Australian Phillips curve and more***by*Ivan Kitov & Oleg Kitov**1102.1713 Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies***by*J. M. Pellon-Diaz & A. Aragones-Munoz & A. Sandoval-Villalbazo & A. Diaz-Reynoso**1102.1624 On the criticality of inferred models***by*Iacopo Mastromatteo & Matteo Marsili**1102.1348 The computation of Greeks with multilevel Monte Carlo***by*Sylvestre Burgos & M. B. Giles**1102.1339 Correlation of financial markets in times of crisis***by*Leonidas Sandoval Junior & Italo De Paula Franca**1102.1186 Optimal consumption and investment for markets with random coefficients***by*Berdjane Belkacem & Serguei Pergamenchtchikov**1102.1099 A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market***by*Michael C. M\"unnix & Rudi Sch\"afer**1102.0938 Minimizing Shortfall***by*Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud**1102.0687 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange***by*Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna**1102.0683 Volatility made observable at last***by*Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt**1102.0346 On utility maximization under convex portfolio constraints***by*Kasper Larsen & Gordan \v{Z}itkovi\'c**1102.0312 Dynamics of a Service Economy Driven by Random Transactions***by*Robert W. Easton**1102.0224 A Family of Maximum Entropy Densities Matching Call Option Prices***by*Cassio Neri & Lorenz Schneider**1101.5849 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA***by*Masaaki Fujii & Akihiko Takahashi**1101.5475 Multivariate GARCH estimation via a Bregman-proximal trust-region method***by*St\'ephane Chr\'etien & Juan-Pablo Ortega**1101.4680 An Econophysics Model for the Stock-Markets' Analysis and Diagnosis***by*Ion Spanulescu & Ion Popescu & Victor Stoica & Anca Gheorghiu & Victor Velter**1101.4675 Econophysical Approaches for the Direct Foreign Investments***by*Anca Gheorghiu & Ion Spanulescu & Anda Gheorghiu**1101.4674 Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009***by*Anca Gheorghiu & Ion Sp\^anulescu**1101.4548 Stochastic Market Efficiency***by*Ole Peters & Alexander Adamou**1101.4437 Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution***by*Ph. Barbe & W. P. McCormick**1101.4093 Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks***by*Rui Menezes & Andreia Dioniso**1101.3974 An Active Margin System and its Application in Chinese Margin Lending Market***by*Guanghui Huang & Jianping Wan & Cheng Chen