# arXiv.org

# Papers

**For corrections or technical questions regarding this series, please contact (arXiv administrators)**

**Series handle:**repec:arx:papers

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Euclid (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2004

**cond-mat/0404108 Universal bad news principle and pricing of options on dividend-paying assets***by*Svetlana Boyarchenko & Sergei Levendorskii**cond-mat/0404107 Consistency conditions for affine term structure models***by*Sergei Levendorskii**cond-mat/0404106 Practical guide to real options in discrete time***by*Svetlana Boyarchenko & Sergei Levendorskii**cond-mat/0404103 The American put and European options near expiry, under Levy processes***by*Sergei Levendorskii**cond-mat/0403767 Multifractal model of asset returns with leverage effect***by*Zoltan Eisler & Janos Kertesz**cond-mat/0403761 Long memory stochastic volatility in option pricing***by*Sergei Fedotov & Abby Tan**cond-mat/0403723 Market depth and price dynamics: A note***by*Frank Westerhoff**cond-mat/0403713 "Stiff" Field Theory of Interest Rates and Psychological Future Time***by*Belal Baaquie & Jean-Philippe Bouchaud**cond-mat/0403681 Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development***by*T. Di Matteo & T. Aste & M. M. Dacorogna**cond-mat/0403662 Common Scaling Patterns in Intertrade Times of U. S. Stocks***by*Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee**cond-mat/0403649 Generalized minority games with adaptive trend-followers and contrarians***by*A. De Martino & I. Giardina & M. Marsili & A. Tedeschi**cond-mat/0403624 On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics***by*Silvio M. Duarte Queiros**cond-mat/0403621 Limited profit in predictable stock markets***by*R. Rothenstein & K. Pawelzik**cond-mat/0403563 Bubble, Critical Zone and the Crash of Royal Ahold***by*G. Broekstra & D. Sornette & W. -X. Zhou**cond-mat/0403469 On non-markovian nature of stock trading***by*Andrei Leonidov**cond-mat/0403465 Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia***by*Hokky Situngkir & Yohanes Surya**cond-mat/0403333 Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises***by*Tanya Ara\'ujo & Francisco Lou\c{c}\~a**cond-mat/0403177 Removing noise from correlations in multivariate stock price data***by*Przemyslaw Repetowicz & Peter Richmond**cond-mat/0403167 Contagion Flow Through Banking Networks***by*Michael Boss & Martin Summer & Stefan Thurner**cond-mat/0403161 Power Law Distributions in Korean Household Incomes***by*Kyungsik Kim & Seong-Min Yoon**cond-mat/0403143 The durations of recession and prosperity: does their distribution follow a power or an exponential law?***by*Marcel Ausloos & Janusz Miskiewicz & Michele Sanglier**physics/0403075 New statistic for financial return distributions: power-law or exponential?***by*V. F. Pisarenko & D. Sornette**cond-mat/0403070 Relations between a typical scale and averages in the breaking of fractal distribution***by*Atushi Ishikawa & Tadao Suzuki**cond-mat/0403067 On the Origin of Power-Law Fluctuations in Stock Prices***by*Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley**nlin/0403056 Majority Orienting Model for the Oscillation of Market Price***by*Hisanao Takahashi & Yoshiaki Itoh**cond-mat/0403051 Fitness-dependent topological properties of the World Trade Web***by*D. Garlaschelli & M. I. Loffredo**cond-mat/0403045 An out-of-equilibrium model of the distributions of wealth***by*Nicola Scafetta & Sergio Picozzi & Bruce J. West**nlin/0403041 Agent-based Model Construction In Financial Economic System***by*Hokky Situngkir & Yohanes Surya**cond-mat/0403022 A Non-Gaussian Option Pricing Model with Skew***by*L. Borland & J. P. Bouchaud**cond-mat/0402654 Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector***by*Adriana P. Mattedi & Fernando M. Ramos & Reinaldo R. Rosa & Rosario N. Mantegna**cond-mat/0402648 Information cascades and the distribution of economic recessions in the United States***by*Paul Ormerod**cond-mat/0402591 Inverse Statistics in the Foreign Exchange Market***by*M. H. Jensen & A. Johansen & F. Petroni & I. Simonsen**cond-mat/0402573 Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization***by*Szilard Pafka & Marc Potters & Imre Kondor**cond-mat/0402511 Critical Ising Model and Financial Market***by*Takeshi Inagaki**cond-mat/0402466 Wealth Dynamics on Complex Networks***by*D. Garlaschelli & M. I. Loffredo**math/0402456 VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors***by*Jules Sadefo Kamdem**cond-mat/0402390 The single risk factor approach to capital charges in case of correlated loss given default rates***by*Dirk Tasche**cond-mat/0402389 An analysis of Cross-correlations in South African Market data***by*Diane Wilcox & Tim Gebbie**cond-mat/0402240 Utility Function from Maximum Entropy Principle***by*Amir H. Darooneh**cond-mat/0402239 Non-Life Insurance Pricing: Multi Agents Model***by*Amir H. Darooneh**cond-mat/0402185 Common Underlying Dynamics in an Emerging Market: From Minutes to Months***by*Renato Vicente & Charles M. de Toledo & Vitor B. P. Leite & Nestor Caticha**cond-mat/0402075 A (reactive) lattice-gas approach to economic cycles***by*Marcel Ausloos & Paulette Clippe & Janusz Mi\'skiewicz & Andrzej Pekalski**cond-mat/0402049 Statistical mechanics analysis of the equilibria of linear economies***by*A. De Martino & M. Marsili & I. Perez Castillo**nlin/0402012 Analysis of Data Clusters Obtained by Self-Organizing Methods***by*V. V. Gafiychuk & B. Yo. Datsko & J. Izmaylova**cond-mat/0401503 A perturbative moment approach to option pricing***by*Marco Airoldi**cond-mat/0401495 International evidence on business cycle magnitude dependence***by*Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini**cond-mat/0401445 On pricing of interest rate derivatives***by*T. Di Matteo & M. Airoldi & E. Scalas**cond-mat/0401443 An interest rates cluster analysis***by*T. Di Matteo & T. Aste & R. N. Mantegna**cond-mat/0401422 The Opinion Game: Stock price evolution from microscopic market modelling***by*Anton Bovier & Jiri Cerny & Ostap Hryniv**cond-mat/0401378 Long range Ising model for credit risk modeling in homogeneous portfolios***by*Jordi Molins & Eduard Vives**cond-mat/0401360 Best linear forecast of volatility in financial time series***by*M. I. Krivoruchenko**cond-mat/0401329 Modelling Correlations in Portfolio Credit Risk***by*Bernd Rosenow & Rafael Weissbach & Frank Altrock**cond-mat/0401308 Premium Calculation Based on Physical Principles***by*Amir H. Darooneh**cond-mat/0401300 Networks of equities in financial markets***by*G. Bonanno & G. Caldarelli & F. Lillo & S. Micciche` & N. Vandewalle & R. N. Mantegna**cond-mat/0401225 Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact***by*A. Christian Silva & Richard E. Prange & Victor M. Yakovenko**cond-mat/0401210 Origin of Crashes in 3 US stock markets: Shocks and Bubbles***by*Anders Johansen**cond-mat/0401181 Bridging the ARCH model for finance and nonextensive entropy***by*Silvio M. Duarte Queiros & Constantino Tsallis**math/0401144 Stochastic Processes with Short Memory***by*D. N. Zhabin**cond-mat/0401140 Inflation and deflation in stock markets***by*Taisei Kaizoji**cond-mat/0401055 Large price changes on small scales***by*A. G. Zawadowski & J. Kertesz & G. Andor**cond-mat/0401053 The Social Architecture of Capitalism***by*Ian Wright**cond-mat/0401009 Modeling stylized facts for financial time series***by*M. I. Krivoruchenko & E. Alessio & V. Frappietro & L. J. Streckert

### 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. Schr\"oder & 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**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

**cond-mat/0212641 Generalized Technical Analysis. Effects of transaction volume and risk***by*M. Ausloos & K. Ivanova**cond-mat/0212393 Dynamical Behavior of Continuous Tick Data in Futures Exchange Market***by*Kyungsik Kim & Seong-Min Yoon**cond-mat/0212358 Optimal strategies in collective Parrondo games***by*Luis Dinis & Juan M. R. Parrondo**cond-mat/0212338 Degree stability of a minimum spanning tree of price return and volatility***by*Salvatore Miccich\`e & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna**cond-mat/0212249 Pseudo-diffusions and Quadratic term structure models***by*Sergei Levendorskii**cond-mat/0212187 Risk and Utility in Portfolio Optimization***by*Morrel H. Cohen & Vincent D. Natoli**cond-mat/0212186 Power Law Distribution of the Frequency of Demises of U.S Firms***by*William Cook & Paul Ormerod**cond-mat/0212010 Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000***by*W. -X. Zhou & D. Sornette**cond-mat/0211534 Premium Forecasting of an Insurance Company: Automobile Insurance***by*M. Ebrahim Fouladvand & Amir H. Darooneh**cond-mat/0211489 Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations***by*Belal E. Baaquie & Claudio Coriano & Marakani Srikant**math/0211383 A Monte Carlo method for exponential hedging of contingent claims***by*M. R. Grasselli & T. R. Hurd