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Content
2009
- 0908.4028 Continuously monitored barrier options under Markov processes
by Aleksandar Mijatovic & Martijn Pistorius
- 0908.3661 Applications of weak convergence for hedging of game options
by Yan Dolinsky
- 0908.3196 A policyholder's utility indifference valuation model for the guaranteed annuity option
by Matheus R Grasselli & Sebastiano Silla
- 0908.3043 Gauge Invariance, Geometry and Arbitrage
by Samuel E. Vazquez & Simone Farinelli
- 0908.2982 Bayesian inference with an adaptive proposal density for GARCH models
by Tetsuya Takaishi
- 0908.2455 Second Order Risk
by Peter G. Shepard
- 0908.2086 The International-Trade Network: Gravity Equations and Topological Properties
by Giorgio Fagiolo
- 0908.1926 High order discretization schemes for stochastic volatility models
by Benjamin Jourdain & Mohamed Sbai
- 0908.1879 Multinetwork of international trade: A commodity-specific analysis
by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli
- 0908.1677 Most Efficient Homogeneous Volatility Estimators
by A. Saichev & D. Sornette & V. Filimonov
- 0908.1555 Leverage Causes Fat Tails and Clustered Volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
- 0908.1444 Portfolio Optimization Under Uncertainty
by Alex Dannenberg
- 0908.1211 Optimal execution of Portfolio transactions with geometric price process
by Gerardo Hernandez-del-Valle & Carlos Pacheco-Gonzalez
- 0908.1089 The components of empirical multifractality in financial returns
by Wei-Xing Zhou
- 0908.1086 On the uniqueness of classical solutions of Cauchy problems
by Erhan Bayraktar & Hao Xing
- 0908.1082 Strict Local Martingale Deflators and Pricing American Call-Type Options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing
- 0908.1014 Selling a stock at the ultimate maximum
by Jacques du Toit & Goran Peskir
- 0908.0949 A queueing theory description of fat-tailed price returns in imperfect financial markets
by H. Lamba
- 0908.0840 Robust mean-variance hedging in the single period model
by R. Tevzadze & T. Uzunashvili
- 0908.0682 Global risk minimization in financial markets
by Andreas Martin Lisewski
- 0908.0348 The Structure and Growth of Weighted Networks
by Massimo Riccaboni & Stefano Schiavo
- 0908.0202 Market impact and trading profile of large trading orders in stock markets
by Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna
- 0908.0111 Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
by Lisa Borland
- 0907.5600 Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
by Anca Gheorghiu & Ion Spanulescu
- 0907.5599 Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
by Denis Belomestny
- 0907.5363 Dynamical complexity and symplectic integrability
by Jean-Pierre Marco
- 0907.5325 Systemic Risk in a Unifying Framework for Cascading Processes on Networks
by Jan Lorenz & Stefano Battiston & Frank Schweitzer
- 0907.5276 Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
by Tetsuya Takaishi
- 0907.4964 A note on heterogeneous beliefs with CRRA utilities
by A. A. Brown
- 0907.4953 Heterogeneous Beliefs with Finite-Lived Agents
by A. A. Brown & L. C. G. Rogers
- 0907.4950 Heterogeneous Beliefs with Partial Observations
by A. A. Brown
- 0907.4136 Binomial Approximations for Barrier Options of Israeli Style
by Yan Dolinsky & Yuri Kifer
- 0907.4093 Preferences Yielding the "Precautionary Effect"
by Michel De Lara
- 0907.3301 A stochastic reachability approach to portfolio construction in finance industry
by Giordano Pola & Gianni Pola
- 0907.3284 Modified detrended fluctuation analysis based on empirical mode decomposition
by Xi-Yuan Qian & Wei-Xing Zhou & Gao-Feng Gu
- 0907.3282 An Optimal Execution Problem with Market Impact
by Takashi Kato
- 0907.3273 New procedures for testing whether stock price processes are martingales
by Kei Takeuchi & Akimichi Takemura & Masayuki Kumon
- 0907.3231 Phenomenology of minority games in efficient regime
by Karol Wawrzyniak & Wojciech Wislicki
- 0907.3092 Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
by Nicola Cufaro Petroni & Piergiacomo Sabino
- 0907.2926 Dual Stochastic Transformations of Solvable Diffusions
by Giuseppe Campolieti & Roman N. Makarov
- 0907.2866 Quantitative features of multifractal subtleties in time series
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak
- 0907.2541 Perfect and partial hedging for swing game options in discrete time
by Y. Dolinsky & Y. Iron & Y. Kifer
- 0907.2531 A quantum statistical approach to simplified stock markets
by Fabio Bagarello
- 0907.2203 Optimal investment on finite horizon with random discrete order flow in illiquid markets
by Paul Gassiat & Huyen Pham & Mihai Sirbu
- 0907.1853 Housing Market Microstructure
by Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim
- 0907.1827 The Chinese Equity Bubble: Ready to Burst
by K. Bastiaensen & P. Cauwels & D. Sornette & R. Woodard & W. -X. Zhou
- 0907.1221 Credit risk premia and quadratic BSDEs with a single jump
by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel
- 0907.0941 Differentiability of quadratic BSDEs generated by continuous martingales
by Peter Imkeller & Anthony R'eveillac & Anja Richter
- 0907.0645 An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
by Giorgia Callegaro & Abass Sagna
- 0907.0554 Temporal structure and gain/loss asymmetry for real and artificial stock indices
by Johannes Vitalis Siven & Jeffrey Todd Lins
- 0906.5581 Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model
by Antonis Papapantoleon & Maria Siopacha
- 0906.5489 Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
by T. Shinzato & I. Kaku
- 0906.5249 Universal Correlations and Power-Law Tails in Financial Covariance Matrices
by Gernot Akemann & Jonit Fischmann & Pierpaolo Vivo
- 0906.4853 Shaping tail dependencies by nesting box copulas
by Christoph Hummel
- 0906.4838 Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
by Siddhivinayak Kulkarni & Imad Haidar
- 0906.4456 Path integral approach to Asian options in the Black-Scholes model
by Jeroen P. A. Devreese & Damiaan Lemmens & Jacques Tempere
- 0906.4316 Constructive Decision Theory
by Lawrence Blume & David Easley & Joseph Y. Halpern
- 0906.4112 Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
by Yu Nakayama
- 0906.4092 Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed
- 0906.3968 A Bayesian Networks Approach to Operational Risk
by V. Aquaro & M. Bardoscia & R. Bellotti & A. Consiglio & F. De Carlo & G. Ferri
- 0906.3841 Model for Non-Gaussian Intraday Stock Returns
by Austin Gerig & Javier Vicente & Miguel A. Fuentes
- 0906.3425 Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
by Laetitia Andrieu & Michel De Lara & Babacar Seck
- 0906.2271 Portfolio optimization when expected stock returns are determined by exposure to risk
by Carl Lindberg
- 0906.2100 De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
by Irmina Czarna & Zbigniew Palmowski
- 0906.1899 Money Distributions in Chaotic Economies
by Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz
- 0906.1512 Economic interactions and the distribution of wealth
by Davide Fiaschi & Matteo Marsili
- 0906.1462 Spiraling toward market completeness and financial instability
by Matteo Marsili
- 0906.1444 High frequency market microstructure noise estimates and liquidity measures
by Yacine Ait-Sahalia & Jialin Yu
- 0906.1387 Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
by A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero
- 0906.0999 The premium of dynamic trading
by Chun Hung Chiu & Xun Yu Zhou
- 0906.0702 Optimal Redeeming Strategy of Stock Loans
by Min Dai & Zuo Quan Xu
- 0906.0678 Continuous-Time Markowitz's Model with Transaction Costs
by Min Dai & Zuo Quan Xu & Xun Yu Zhou
- 0906.0658 Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
by Louis Paulot
- 0906.0480 Analysis of a network structure of the foreign currency exchange market
by Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz & Andrzej Gorski
- 0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
by A. Gulisashvili
- 0906.0392 Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
by A. Gulisashvili & E. M. Stein
- 0906.0208 An example of a stochastic equilibrium with incomplete markets
by Gordan Zitkovic
- 0905.4912 Dynamical Clustering of Exchange Rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones
- 0905.4815 Trading leads to scale-free self-organization
by M. Ebert & W. Paul
- 0905.4793 Class formation in a social network with asset exchange
by Christian H. Sanabria & R. Huerta-Quintanilla & M. Rodriguez-Achach
- 0905.4740 Jump-Diffusion Risk-Sensitive Asset Management
by Mark H. A. Davis & Sebastien Lleo
- 0905.4657 Indifference price with general semimartingales
by Sara Biagini & Marco Frittelli & Matheus R. Grasselli
- 0905.4450 Stock Market and Motion of a Variable Mass Spring
by Enrique Canessa
- 0905.4272 Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis
by Sadraoui Tarek & Naceur Ben Zina
- 0905.4237 Statistical Properties of Fluctuations: A Method to Check Market Behavior
by Prasanta K. Panigrahi & Sayantan Ghosh & P. Manimaran & Dilip P. Ahalpara
- 0905.4171 A Prediction Market for Toxic Assets Prices
by Alan Holland
- 0905.3928 Estimating discriminatory power and PD curves when the number of defaults is small
by Dirk Tasche
- 0905.3891 La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?
by Mohamed El Hedi Arouri
- 0905.3875 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
by Mohamed El Hedi Arouri
- 0905.3874 Stock market integration in the Latin American markets: further evidence from nonlinear modeling
by Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri
- 0905.3873 Structural Breaks in the Mexico's Integration into the World Stock Market
by Mohamed El Hedi Arouri & Jamel Jouini
- 0905.3871 A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers : une Analyse sur Donn\'ees de Panel
by Mohamed El Hedi Arouri
- 0905.3870 On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
by Mohamed El Hedi Arouri & Julien Fouquau
- 0905.3808 Simulation and Use of Heuristics for Peripheral Economic Policy
by Mattheos K. Protopapas & Elias B. Kosmatopoulos
- 0905.3803 Income and Poverty in a Developing Economy
by Amit K Chattopadhyay & Graeme J Ackland & Sushanta K Mallick
- 0905.3701 On the Martingale Property of Certain Local Martingales
by Aleksandar Mijatovic & Mikhail Urusov
- 0905.3601 Optimal Stopping for Non-linear Expectations
by Erhan Bayraktar & Song Yao
- 0905.3326 Volatility derivatives in market models with jumps
by A. Mijatovic & H. Lo
- 0905.2926 One-Dimensional Pricing of CPPI
by Louis Paulot & Xavier Lacroze
- 0905.2770 Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
by Marco Bianchetti
- 0905.2546 Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres
by Hamza Fekir
- 0905.2366 Emergence of Price Divergence in a Model Short-Term Electric Power Market
by Randall A. LaViolette & Lory A. Ellebracht & Kevin L. Stamber & Charles J. Gieseler & Benjamin K. Cook
- 0905.2091 Spectral methods for volatility derivatives
by Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c
- 0905.2043 The effect of a market factor on information flow between stocks using minimal spanning tree
by Cheoljun Eom & Okyu Kwon & Woo-Sung Jung & Seunghwan Kim
- 0905.1882 Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini
- 0905.1518 Colloquium: Statistical mechanics of money, wealth, and income
by Victor M. Yakovenko & J. Barkley Rosser
- 0905.0781 Variance-covariance based risk allocation in credit portfolios: analytical approximation
by Mikhail Voropaev
- 0905.0582 Empirical regularities of opening call auction in Chinese stock market
by Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou
- 0905.0468 A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information
by Paulo F. C. Tilles & Fernando F. Ferreira & Gerson Francisco & Carlos de B. Pereira & Flavia Mori Sarti
- 0905.0220 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier Sornette & Ryan Woodard
- 0905.0155 Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
by Zuzana Macova & Daniel Sevcovic
- 0905.0129 Correlations, Risk and Crisis: From Physiology to Finance
by A. N. Gorban & E. V. Smirnova & T. A. Tyukina
- 0905.0128 A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
by L. Lin & Ren R. E & D. Sornette
- 0905.0072 Information of Interest
by Dorje C. Brody & Robyn L. Friedman
- 0904.4822 Implied Correlation for Pricing multi-FX options
by Pavel V. Shevchenko
- 0904.4620 Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
by Josep J. Masdemont & Luis Ortiz-Gracia
- 0904.4430 Collective firm bankruptcies and phase transition in rating dynamics
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0904.4364 Continuous-time trading and the emergence of probability
by Vladimir Vovk
- 0904.4131 Executing large orders in a microscopic market model
by Alexander Weiss
- 0904.4099 Local Risk Decomposition for High-frequency Trading Systems
by M. Bartolozzi & C. Mellen
- 0904.4075 Modeling operational risk data reported above a time-varying threshold
by Pavel V. Shevchenko & Grigory Temnov
- 0904.4074 Dynamic operational risk: modeling dependence and combining different sources of information
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.3929 La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France
by Ammar Kessab
- 0904.3213 Simplified stock markets described by number operators
by F. Bagarello
- 0904.3210 Stock markets and quantum dynamics: a second quantized description
by F. Bagarello
- 0904.3132 Posterior Inference in Curved Exponential Families under Increasing Dimensions
by Alexandre Belloni & Victor Chernozhukov
- 0904.3004 Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
by Wong Jian Cheng & Lian Heng & Cheong Siew Ann
- 0904.3000 Law of the exponential functional of one-sided L\'evy processes and Asian options
by Pierre Patie
- 0904.2931 L1-Penalized Quantile Regression in High-Dimensional Sparse Models
by Alexandre Belloni & Victor Chernozhukov
- 0904.2913 Generalized supermartingale deflators under limited information
by Constantinos Kardaras
- 0904.2910 Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
by Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly
- 0904.2731 An Introduction to Hedge Funds
by Sovan Mitra
- 0904.2376 Credit risk modeling using time-changed Brownian motion
by T. R. Hurd
- 0904.2113 Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises
by Matthias Hanauske & Jennifer Kunz & Steffen Bernius & Wolfgang Konig
- 0904.1990 Average and Quantile Effects in Nonseparable Panel Models
by Victor Chernozhukov & Ivan Fernandez-Val & Jinyong Hahn & Whitney Newey
- 0904.1903 Minimizing the expected market time to reach a certain wealth level
by Constantinos Kardaras & Eckhard Platen
- 0904.1805 Implementing Loss Distribution Approach for Operational Risk
by Pavel V. Shevchenko
- 0904.1798 Market viability via absence of arbitrage of the first kind
by Constantinos Kardaras
- 0904.1772 A "Toy" Model for Operational Risk Quantification using Credibility Theory
by Hans Buhlmann & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1771 Estimation of Operational Risk Capital Charge under Parameter Uncertainty
by Pavel V. Shevchenko
- 0904.1756 Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
by Sovan Mitra
- 0904.1653 An extension of Davis and Lo's contagion model
by Didier Rulli`ere & Diana Dorobantu & Areski Cousin
- 0904.1500 Regime Switching Volatility Calibration by the Baum-Welch Method
by Sovan Mitra
- 0904.1483 Model uncertainty in claims reserving within Tweedie's compound Poisson models
by Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1426 What are the limits on Commercial Bank Lending?
by Jacky Mallett
- 0904.1404 The Size Variance Relationship of Business Firm Growth Rates
by Massimo Riccaboni & Fabio Pammolli & Sergey V. Buldyrev & Linda Ponta & H. Eugene Stanley
- 0904.1402 Perturbation theory in a pure exchange non-equilibrium economy
by Samuel E. Vazquez & Simone Severini
- 0904.1361 The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
by Dominik D. Lambrigger & Pavel V. Shevchenko & Mario V. Wuthrich
- 0904.1292 A Review of Volatility and Option Pricing
by Sovan Mitra
- 0904.1157 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
by P. V. Shevchenko
- 0904.1131 Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
by Sovan Mitra
- 0904.1107 Scaling and memory in the return intervals of realized volatility
by Fei Ren & Gao-Feng Gu & Wei-Xing Zhou
- 0904.1078 GARCH options via local risk minimization
by Juan-Pablo Ortega
- 0904.1074 Vanna-Volga methods applied to FX derivatives : from theory to market practice
by Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra
- 0904.1067 The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
by P. V. Shevchenko & M. V. Wuthrich
- 0904.1042 Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
by Guo-Hua Mu & Wei Chen & J'anos Kert'esz & Wei-Xing Zhou
- 0904.0951 Inference on Counterfactual Distributions
by Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly
- 0904.0900 The price impact of order book events: market orders, limit orders and cancellations
by Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
- 0904.0896 An operatorial approach to stock markets
by F. Bagarello
- 0904.0870 Risk Measures in Quantitative Finance
by Sovan Mitra
- 0904.0830 Computing Tails of Compound Distributions Using Direct Numerical Integration
by Xiaolin Luo & Pavel V. Shevchenko
- 0904.0805 The (unfortunate) complexity of the economy
by Jean-Philippe Bouchaud
- 0904.0756 The Problem of Modeling of Economic Dynamics
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky
- 0904.0729 Does economics need a scientific revolution?
by Ivan O. Kitov
- 0904.0624 A new approach for scenario generation in Risk management
by Juan-Pablo Ortega & Rainer Pullirsch & Josef Teichmann & Julian Wergieluk
- 0904.0555 The affine LIBOR models
by Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann
- 0904.0344 Introducing Chaos in Economic Gas-like Models
by C. Pellicer-Lostao & R. Lopez-Ruiz
- 0903.5064 Unemployment and inflation in Western Europe: solution by the boundary element method
by Ivan Kitov & Oleg Kitov
- 0903.4833 Recovering a time-homogeneous stock price process from perpetual option prices
by Erik Ekstrom & David Hobson
- 0903.4783 Threshold levels in Economics
by V. P. Maslov
- 0903.4542 Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
by C. Neri & L. Schneider
- 0903.4478 Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
by Richard B. Sowers
- 0903.4475 Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
by Richard B. Sowers
- 0903.4216 Statistical thermodynamics of economic systems
by H. Quevedo & M. N. Quevedo
- 0903.3736 Num\'{e}raire-invariant preferences in financial modeling
by Constantinos Kardaras
- 0903.3657 Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
by Lampros Boukas & Diogo Pinheiro & Alberto Pinto & Stylianos Xanthopoulos & Athanasios Yannacopoulos
- 0903.3346 The Transfer Pricing Problem with Non-Linearities
by S. Zverovich
- 0903.3254 Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
by David B. Saakian
- 0903.2910 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
by Yingdong Lv & Bernhard K. Meister
- 0903.2428 Price Impact
by J. P. Bouchaud
- 0903.2243 Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
by Edward D. Weinberger
- 0903.2099 Financial Atoms and Molecules
by Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong
- 0903.1643 A Simplified Approach to modeling the credit-risk of CMO
by K. Rajaratnam
- 0903.1629 Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano
- 0903.1592 Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
by William T. Shaw & Jonathan McCabe
- 0903.1531 Inference on multivariate ARCH processes with large sizes
by Gilles Zumbach
- 0903.1525 The empirical properties of large covariance matrices
by Gilles Zumbach
- 0903.0993 Statistical analysis of the overnight and daytime return
by Fengzhong Wang & Shwu-Jane Shieh & Shlomo Havlin & H. Eugene Stanley
- 0903.0680 Quantum Neural Computation for Option Price Modelling
by Vladimir G. Ivancevic
- 0903.0286 What is the best firm size to invest?
by Ivan O. Kitov
- 0903.0282 A dynamic nonlinear model for saturation in industrial growth
by Arnab K. Ray
- 0903.0203 Mechanical Model of Personal Income Distribution
by Ivan O. Kitov
- 0903.0010 Quantitative law describing market dynamics before and after interest-rate change
by Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley
- 0902.4684 Quantized Interest Rate at the Money for American Options
by L. M. Dieng
- 0902.4274 Time and symmetry in models of economic markets
by Lee Smolin
- 0902.4245 T-Systems and the lower Snell envelope
by Erick Trevino Aguilar
- 0902.4159 Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
by M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria
- 0902.3840 Scale Invariance, Bounded Rationality and Non-Equilibrium Economics
by Samuel E. Vazquez