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Kirill Ilinski

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First Name:Kirill
Middle Name:
Last Name:Ilinski
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RePEc Short-ID:pil1

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Jump to: Working papers

Working papers

  1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, University Library of Munich, Germany.
  2. Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.
  3. Kirill Ilinski, 1999. "Critical Crashes?," Papers cond-mat/9903142, arXiv.org.
  4. Alexandra Ilinskaia & Kirill Ilinski, 1999. "How to reconcile Market Efficiency and Technical Analysis," Papers cond-mat/9902044, arXiv.org.
  5. Kirill Ilinski, 1999. "Virtual Arbitrage Pricing Theory," Finance 9902001, University Library of Munich, Germany.
  6. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, University Library of Munich, Germany.
  7. Kirill N Ilinski, 1998. "Gauge Physics of Finance: simple introduction," Papers cond-mat/9811197, arXiv.org.
  8. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
  9. Kirill Ilinski & Gleb Kalinin, 1997. "Black-Scholes equation from Gauge Theory of Arbitrage," Papers hep-th/9712034, arXiv.org, revised Oct 1998.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, University Library of Munich, Germany.

    Cited by:

    1. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    2. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    3. Otto, Matthias, 2001. "Finite arbitrage times and the volatility smile?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 299-304.
    4. Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    5. Matthias Otto, 1999. "Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory," Papers cond-mat/9906196, arXiv.org, revised Oct 1999.
    6. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  2. Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.

    Cited by:

    1. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, University Library of Munich, Germany.
    2. Kirill Ilinski, 1999. "Virtual Arbitrage Pricing Theory," Papers cond-mat/9902045, arXiv.org.
    3. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    4. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    5. Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    6. Jimmy E. Hilliard & Jitka Hilliard, 2017. "Option pricing under short-lived arbitrage: theory and tests," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1661-1681, November.
    7. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  3. Kirill Ilinski, 1999. "Critical Crashes?," Papers cond-mat/9903142, arXiv.org.

    Cited by:

    1. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance 9903006, University Library of Munich, Germany.
    2. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.

  4. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, University Library of Munich, Germany.

    Cited by:

    1. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.

  5. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.

    Cited by:

    1. Martin Gremm, 2016. "Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate," Papers 1605.03551, arXiv.org.
    2. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
    3. B. Zhang & J. Wang & W. Zhang & G. C. Wang, 2020. "Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 373-389, August.
    4. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
    5. Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
    6. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2010. "Replicating financial market dynamics with a simple self-organized critical lattice model," Papers 1010.4831, arXiv.org.
    7. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
    8. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e, 2013. "Modeling and Solving Alternative Financial Solutions Seeking," Papers 1306.2820, arXiv.org, revised Dec 2013.
    9. Jana, T.K. & Roy, P., 2012. "Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2636-2640.
    10. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    11. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
    12. Liviu-Adrian Cotfas, 2012. "A finite-dimensional quantum model for the stock market," Papers 1204.4614, arXiv.org, revised Sep 2012.
    13. Pis‘mak, Yu.M., 2001. "Self-organization in a model of economic system with scale invariant interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 311-318.
    14. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
    15. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.
    16. Raymond J. Hawkins & B. Roy Frieden, 2012. "Asymmetric Information and Quantization in Financial Economics," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2012, pages 1-11, December.
    17. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
    18. Min Wang & Jun Wang, 2017. "Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 28(05), pages 1-21, May.
    19. Giovanni Paolinelli & Gianni Arioli, 2018. "A model for stocks dynamics based on a non-Gaussian path integral," Papers 1809.01342, arXiv.org, revised Oct 2018.
    20. Simone Farinelli & Hideyuki Takada, 2014. "Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk," Papers 1406.6805, arXiv.org, revised Jul 2021.
    21. Pedram, Pouria, 2012. "The minimal length uncertainty and the quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2100-2105.
    22. Junhuan Zhang & Jun Wang & Jiguang Shao, 2010. "Finite-Range Contact Process On The Market Return Intervals Distributions," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 643-657.
    23. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, University Library of Munich, Germany.
    24. Simone Farinelli & Hideyuki Takada, 2019. "When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View," Papers 1906.07164, arXiv.org, revised Jan 2021.
    25. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
    26. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2011. "Replicating financial market dynamics with a simple self-organized critical lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3120-3135.
    27. Jasmina Jekni'c-Dugi'c & Sonja Radi' c & Igor Petrovi'c & Momir Arsenijevi'c & Miroljub Dugi'c, 2018. "Quantum Brownian oscillator for the stock market," Papers 1901.10544, arXiv.org.
    28. Samuel E. Vazquez, 2009. "Scale Invariance, Bounded Rationality and Non-Equilibrium Economics," Papers 0902.3840, arXiv.org.
    29. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    30. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    31. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Touré, 2015. "Modeling and Solving Alternative Financial Solutions Seeking," Post-Print hal-00833327, HAL.
    32. Bordley, Robert F., 2005. "Econophysics and individual choice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 479-495.
    33. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
    34. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
    35. C. Gonçalves P., 2015. "Financial Market Modeling With Quantum Neural Networks," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(4), pages 44-63.
    36. P. Liebrich, 2019. "A Relation between Short-Term and Long-Term Arbitrage," Papers 1909.00570, arXiv.org.
    37. Simone Farinelli & Hideyuki Takada, 2019. "The Black-Scholes Equation in Presence of Arbitrage," Papers 1904.11565, arXiv.org, revised Oct 2021.
    38. Wang, Tiansong & Wang, Jun & Zhang, Junhuan & Fang, Wen, 2011. "Voter interacting systems applied to Chinese stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2492-2506.
    39. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
    40. A. Sokolov & T. Kieu & A. Melatos, 2010. "A note on the theory of fast money flow dynamics," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 637-642, August.
    41. Wanxiao Tang & Jun Zhao & Peibiao Zhao, 2019. "Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs," JRFM, MDPI, vol. 12(1), pages 1-17, February.
    42. Di Xiao & Jun Wang & Hongli Niu, 2016. "Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 607-625, December.
    43. Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
    44. Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
    45. Simone Farinelli & Hideyuki Takada, 2015. "Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory," Papers 1509.03264, arXiv.org, revised Sep 2021.
    46. Emmanuel Haven, 2008. "Private Information and the ‘Information Function’: A Survey of Possible Uses," Theory and Decision, Springer, vol. 64(2), pages 193-228, March.
    47. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2012. "Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4350-4363.
    48. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
    49. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
    50. Liu, Haijun & Wang, Longfei, 2018. "The price momentum of stock in distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2336-2344.
    51. Giovanni Paolinelli & Gianni Arioli, 2018. "A path integral based model for stocks and order dynamics," Papers 1803.07904, arXiv.org.
    52. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
    53. Haven, Emmanuel, 2008. "Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 41-58, March.
    54. Tiansong Wang & Jun Wang & Bingli Fan, 2009. "Statistical Analysis By Statistical Physics Model For The Stock Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(10), pages 1547-1562.
    55. Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, University Library of Munich, Germany.
    56. Yao Yu & Jun Wang, 2012. "Lattice-oriented percolation system applied to volatility behavior of stock market," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(4), pages 785-797, August.
    57. Zhang, Bo & Wang, Jun & Fang, Wen, 2015. "Volatility behavior of visibility graph EMD financial time series from Ising interacting system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 301-314.
    58. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2011. "Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model," Papers 1112.2379, arXiv.org.
    59. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.
    60. Hongli Niu & Jun Wang, 2013. "Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(10), pages 2188-2203, October.

  6. Kirill Ilinski & Gleb Kalinin, 1997. "Black-Scholes equation from Gauge Theory of Arbitrage," Papers hep-th/9712034, arXiv.org, revised Oct 1998.

    Cited by:

    1. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (1) 1999-02-15
  2. NEP-FMK: Financial Markets (1) 1998-10-08
  3. NEP-IFN: International Finance (1) 1998-10-02

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