Printed from https://ideas.repec.org/s/arx/papers151.html
Content
1998
- 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