Content
2004
- cond-mat/0408560 Financial heat machine
by Andrei Khrennikov - cond-mat/0408531 Need, Greed and Noise: Competing Strategies in a Trading Model
by R. Donangelo & A. Hansen & K. Sneppen & S. R. Souza - cond-mat/0408409 Multiscaling and non-universality in fluctuations of driven complex systems
by Zoltan Eisler & Janos Kertesz & Soon-Hyung Yook & Albert-Laszlo Barabasi - cond-mat/0408358 Statistical Facts of Artificial Stock Market
by Hokky Situngkir & Yohanes Surya - cond-mat/0408292 Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations
by Przemyslaw Repetowicz & Brian Lucey & Peter Richmond - cond-mat/0408277 Multifractality in the stock market: price increments versus waiting times
by P. Oswiecimka & J. Kwapien & S. Drozdz - cond-mat/0408227 Laser Welfare: First Steps in Econodynamic Engineering
by G. Willis - cond-mat/0408166 Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method
by D. Sornette & W. -X. Zhou - cond-mat/0408143 A Guided Walk Down Wall Street: an Introduction to Econophysics
by Giovani L. Vasconcelos - cond-mat/0408067 Power Law Tails in the Italian Personal Income Distribution
by F. Clementi & M. Gallegati - cond-mat/0408013 Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability
by Constantinos E. Vorlow - cond-mat/0407770 Dynamics of Money and Income Distributions
by Przemyslaw Repetowicz & Stefan Hutzler & Peter Richmond - cond-mat/0407769 How the trading activity scales with the company sizes in the FTSE 100
by Gilles Zumbach - cond-mat/0407687 A conjecture on the distribution of firm profit
by Ian Wright - cond-mat/0407603 Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
by I. A. Agaev & Yu. A. Kuperin - cond-mat/0407471 Price Clustering and Discreteness: Is there Chaos behind the Noise?
by Antonios Antoniou & Constantinos E. Vorlow - cond-mat/0407418 Scaling Properites of Price Changes for Korean Stock Indices
by Kyuong Eun Lee & Jae Woo Lee - cond-mat/0407383 Increasing Returns to Scale, Dynamics of Industrial Structure and Size Distribution of Firms
by Ying Fan & Menghui Li & Zengru Di - cond-mat/0407321 Pricing Exotic Options in a Path Integral Approach
by G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini - math/0407127 On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals
by Alexander Schied - math/0407119 A Characterization of Hedging Portfolios for Interest Rate Contingent Claims
by Rene Carmona & Michael Tehranchi - math/0407060 Modeling Credit Risk with Partial Information
by Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim - cond-mat/0406704 Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock
by Bertrand M. Roehner - cond-mat/0406696 Short-term market reaction after extreme price changes of liquid stocks
by Adam G. Zawadowski & Gyorgy Andor & Janos Kertesz - cond-mat/0406694 Evidence for the Independence of Waged and Unwaged Income, Evidence for Boltzmann Distributions in Waged Income, and the Outlines of a Coherent Theory of Income Distribution
by G. Willis & J. Mimkes - cond-mat/0406556 Extreme times in financial markets
by Jaume Masoliver & Miquel Montero & Josep Perello - cond-mat/0406385 Temporal evolution of the "thermal" and "superthermal" income classes in the USA during 1983-2001
by A. Christian Silva & Victor M. Yakovenko - cond-mat/0406365 Mathew Effect in Artificial Stock Market
by Pei-Ling Zhou & Zi-Nan Tang & Tao Zhou & Jing-Ting Wang & Chun-Xia Yang - cond-mat/0406326 Global Optimization of Minority Game by Smart Agents
by Yan-Bo Xie & Bing-Hong Wang & Chin-Kun Hu & Tao Zhou - cond-mat/0406310 Volatility of Linear and Nonlinear Time Series
by Tomer Kalisky & Yosef Ashkenazy & Shlomo Havlin - cond-mat/0406225 Properties of low variability periods in financial time series
by R. Kitt & J. Kalda - cond-mat/0406224 Random walks, liquidity molasses and critical response in financial markets
by J. -P. Bouchaud & J. Kockelkoren & M. Potters - cond-mat/0406168 Study on Evolvement Complexity in an Artificial Stock Market
by Chun-Xia Yang & Tao Zhou & Pei-Ling Zhou & Jun Liu & Zi-Nan Tang - math/0406067 Short-term equity dynamics and endogenous market fluctuations
by Ted Theodosopoulos & Muffasir Badshah - cond-mat/0405646 Volatility smile and stochastic arbitrage returns
by Sergei Fedotov & Stephanos Panayides - cond-mat/0405390 Zipf's Law Distributions for Korean Stock Prices
by Kyungsik Kim & S. -M. Yoon & C. Christopher Lee & K. H. Chang - math/0405293 Optimal investment with random endowments in incomplete markets
by Julien Hugonnier & Dmitry Kramkov - math/0405290 Dual formulation of the utility maximization problem: the case of nonsmooth utility
by B. Bouchard & N. Touzi & A. Zeghal - cond-mat/0405257 Self-Organized Criticality and Stock Market Dynamics: an Empirical Study
by M. Bartolozzi & D. B. Leinweber & A. W. Thomas - cond-mat/0405173 Multifractal Measures for the Yen-Dollar Exchange Rate
by Kyungsik Kim & Seong-Min Yoon & Jum-Soo Choi - cond-mat/0405172 Herd Behaviors in Financial Markets
by Kyungsik Kim & Seong-Min Yoon & J. S. Choi & Hideki Takayasu - cond-mat/0404684 Option pricing with fractional volatility
by Rui Vilela Mendes & Maria Joao Oliveira - cond-mat/0404680 Physical Picture of the Insurance Market
by Amir Hossein Darooneh - cond-mat/0404520 The Feedback Effect of Hedging in Portfolio Optimization
by Pierre Henry-Labordere - cond-mat/0404497 Clustering stock market companies via chaotic map synchronization
by N. Basalto & R. Bellotti & F. De Carlo & P. Facchi & S. Pascazio - math/0404447 Indifference pricing and hedging in stochastic volatility models
by M. R. Grasselli & T. R. Hurd - cond-mat/0404416 Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market
by Diane Wilcox & Tim Gebbie - cond-mat/0404264 Price return auto-correlation and predictability in agent-based models of financial markets
by Damien Challet & Tobias Galla - 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 Louc{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. Schroder & 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 - quant-ph/0309033 Correlated Equilibria of Classical Strategic Games with Quantum Signals
by Pierfrancesco La Mura - 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