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Content
2012
- 1205.1012 From Risk Measures to Research Measures
by Marco Frittelli & Ilaria Peri - 1205.1007 European Option Pricing with Liquidity Shocks
by Michael Ludkovski & Qunying Shen - 1205.0976 Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
by Rahul Kaushik & Stefano Battiston - 1205.0877 On the non-stationarity of financial time series: impact on optimal portfolio selection
by Giacomo Livan & Jun-ichi Inoue & Enrico Scalas - 1205.0635 Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
by Andreas Husler & Didier Sornette & Cars H. Hommes - 1205.0505 Fractal Profit Landscape of the Stock Market
by Andreas Gronlund & Il Gu Yi & Beom Jun Kim - 1205.0336 Segmentation analysis on a multivariate time series of the foreign exchange rates
by Aki-Hiro Sato - 1205.0332 A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
by Aki-Hiro Sato - 1205.0106 Using high performance computing and Monte Carlo simulation for pricing american options
by Verche Cvetanoska & Toni Stojanovski - 1204.6638 Modelling the emergence of spatial patterns of economic activity
by Jung-Hun Yang & Dick Ettema & Koen Frenken - 1204.6613 Maximum principles for boundary-degenerate second-order linear elliptic differential operators
by Paul M. N. Feehan - 1204.6590 The monetary growth order
by Gunter von Kiedrowski & Eors Szathm'ary - 1204.6488 Optimal multifactor trading under proportional transaction costs
by Richard J. Martin - 1204.6483 Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption
by Victor M. Yakovenko - 1204.5718 The potential approach in practice
by Tino Kluge & L. C. G. Rogers - 1204.5698 Libor model with expiry-wise stochastic volatility and displacement
by Marcel Ladkau & John G. M. Schoenmakers & Jianing Zhang - 1204.5661 Transmission of distress in a bank credit network
by Yoshiharu Maeno & Satoshi Morinaga & Hirokazu Matsushima & Kenichi Amagai - 1204.5171 ConocoPhillips' share price model revisited
by Ivan Kitov - 1204.5103 Study of statistical correlations in intraday and daily financial return time series
by Gayatri Tilak & Tamas Szell & Remy Chicheportiche & Anirban Chakraborti - 1204.5055 Value matters: Predictability of Stock Index Returns
by Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini - 1204.5039 Record Statistics for Multiple Random Walks
by Gregor Wergen & Satya N. Majumdar & Gregory Schehr - 1204.4877 Optimal simulation schemes for L\'evy driven stochastic differential equations
by Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov - 1204.4631 Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
by Didier Kouokap Youmbi - 1204.4614 A finite-dimensional quantum model for the stock market
by Liviu-Adrian Cotfas - 1204.4122 Network structure of inter-industry flows
by James McNerney & Brian D. Fath & Gerald Silverberg - 1204.4025 On Pricing Basket Credit Default Swaps
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - 1204.3786 Comparison results for Garch processes
by Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh - 1204.3679 Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
by Lingfei Li & Vadim Linetsky - 1204.3556 Maximum likelihood approach for several stochastic volatility models
by Jordi Camprodon & Josep Perell'o - 1204.3536 Large deviations for a mean field model of systemic risk
by Josselin Garnier & George Papanicolaou & Tzu-Wei Yang - 1204.3496 Bayesian logistic betting strategy against probability forecasting
by Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi - 1204.3457 The Effects of Prediction Market Design and Price Elasticity on Trading Performance of Users: An Experimental Analysis
by Ivo Blohm & Christoph Riedl & Johann Fuller & Orhan Koroglu & Jan Marco Leimeister & Helmut Krcmar - 1204.3452 The Variance of Standard Option Returns
by Adi Ben-Meir & Jeremy Schiff - 1204.3422 Double Exponential Instability of Triangular Arbitrage Systems
by Rod Cross & Victor Kozyakin - 1204.3156 Price and Quantity Trajectories: Second-order Dynamics
by Eric Kemp-Benedict - 1204.3136 Identifying financial crises in real time
by Eder Lucio Fonseca & Fernando F. Ferreira & Paulsamy Muruganandam & Hilda A. Cerdeira - 1204.2736 Optimal execution and price manipulations in time-varying limit order books
by Aur'elien Alfonsi & Jos'e Infante Acevedo - 1204.2717 Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
by Alexander Schied - 1204.2716 Drift dependence of optimal trade execution strategies under transient price impact
by Christopher Lorenz & Alexander Schied - 1204.2667 Optimal portfolios in commodity futures markets
by Fred Espen Benth & Jukka Lempa - 1204.2638 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - 1204.2458 Comparative and qualitative robustness for law-invariant risk measures
by Volker Kratschmer & Alexander Schied & Henryk Zahle - 1204.2251 On break-even correlation: the way to price structured credit derivatives by replication
by Jean-David Fermanian & Olivier Vigneron - 1204.2090 Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
by Damiano Brigo & Kyriakos Chourdakis - 1204.2065 Toehold Purchase Problem: A comparative analysis of two strategies
by Iryna Banakh & Taras Banakh & Pavel Trisch & Myroslava Vovk - 1204.1903 Negative Call Prices
by Johannes Ruf - 1204.1846 Approximate Revenue Maximization with Multiple Items
by Sergiu Hart & Noam Nisan - 1204.1583 Description of the Operational Mechanics of a Basel Regulated Banking System
by Jacky Mallett - 1204.1561 The macroeconomic effect of the information and communication technology in Hungary
by Peter Sasvari - 1204.1452 Modeling and forecasting exchange rate volatility in time-frequency domain
by Jozef Barunik & Tomas Krehlik & Lukas Vacha - 1204.1442 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
by Michael B. Giles & Christoph Reisinger - 1204.1410 Patience vs. Impatience of Stock Traders
by Peter Lerner - 1204.1381 Price Jump Prediction in Limit Order Book
by Ban Zheng & Eric Moulines & Fr'ed'eric Abergel - 1204.1126 Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
by Jan Baldeaux & Eckhard Platen - 1204.0922 A proposal for impact-adjusted valuation: Critical leverage and execution risk
by Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer - 1204.0915 Equivalence of interest rate models and lattice gases
by Dan Pirjol - 1204.0646 Arbitrage-free SVI volatility surfaces
by Jim Gatheral & Antoine Jacquier - 1204.0637 Efficient Discretization of Stochastic Integrals
by Masaaki Fukasawa - 1204.0633 Local Volatility Pricing Models for Long-dated FX Derivatives
by Griselda Deelstra & Gr'egory Ray'ee - 1204.0453 Pricing Variable Annuity Guarantees in a Local Volatility framework
by Griselda Deelstra & Gr'egory Ray'ee - 1204.0426 Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
by Aki-Hiro Sato & Takaki Hayashi & Janusz A. Ho{l}yst - 1204.0350 When games meet reality: is Zynga overvalued?
by Zal'an Forr'o & Peter Cauwels & Didier Sornette - 1204.0305 Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
by Jin Hyuk Choi & Mihai Sirbu & Gordan Zitkovic - 1204.0148 General Intensity Shapes in Optimal Liquidation
by Olivier Gu'eant & Charles-Albert Lehalle - 1203.6899 Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
by Martijn Pistorius & Johannes Stolte - 1203.6877 The maximum maximum of a martingale with given $n$ marginals
by Pierre Henry-Labord`ere & Jan Ob{l}'oj & Peter Spoida & Nizar Touzi - 1203.6778 Systemic losses in banking networks: indirect interaction of nodes via asset prices
by Igor Tsatskis - 1203.6723 The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds
by Sara Cecchetti & Antonio Di Cesare - 1203.6631 Implied Filtering Densities on Volatility's Hidden State
by Carlos Fuertes & Andrew Papanicolaou - 1203.6507 Evolutionary Model of the Personal Income Distribution
by Joachim Kaldasch - 1203.6424 Ordinal Classification Method for the Evaluation Of Thai Non-life Insurance Companies
by Phaiboon Jhonpita & Sukree Sinthupinyo & Thitivadee Chaiyawat - 1203.6228 Eigenvector dynamics: general theory and some applications
by Romain Allez & Jean-Philippe Bouchaud - 1203.6021 From Nuclear Reactions to High-Frequency Trading: an R-function Approach
by Frank W. K. Firk - 1203.5957 Optimal Trading with Linear Costs
by Joachim de Lataillade & Cyril Deremble & Marc Potters & Jean-Philippe Bouchaud - 1203.5903 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
by Jan Baldeaux & Alexander Badran - 1203.5893 Aftershock prediction for high-frequency financial markets' dynamics
by Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo - 1203.5729 Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance
by Asad Munir & William Shaw - 1203.5703 We've walked a million miles for one of these smiles
by L. De Leo & V. Vargas & S. Ciliberti & J. -P. Bouchaud - 1203.5664 Asset Pricing under uncertainty
by Simone Scotti - 1203.5581 Heavy-Tail Distribution from Correlation of Discrete Stochastic Process
by Jongwook Kim & Teppei Okumura - 1203.5513 The Wishart short rate model
by Alessandro Gnoatto - 1203.5442 Pricing electricity derivatives within a Markov regime-switching model
by Joanna Janczura - 1203.5298 Dynamical fluctuations in a simple housing market model
by R'emi Lemoy & Eric Bertin - 1203.5176 International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
by Mikio Ito & Akihiko Noda & Tatsuma Wada - 1203.5020 Large deviations for the extended Heston model: the large-time case
by Antoine Jacquier & Aleksandar Mijatovic - 1203.4979 Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
by Ladislav Kristoufek - 1203.4786 A flexible matrix Libor model with smiles
by Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli - 1203.4610 Capital requirements with defaultable securities
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 1203.4156 Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach
by Sait Tunc & Suleyman S. Kozat - 1203.4153 Optimal Investment Under Transaction Costs
by Sait Tunc & Mehmet A. Donmez & Suleyman S. Kozat - 1203.3869 Transversality Conditions for Stochastic Higher-Order Optimality: Continuous and Discrete Time Problems
by Dapeng Cai & Takashi Gyoshin Nitta - 1203.3757 Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
by Maria B. Chiarolla & Giorgio Ferrari & Frank Riedel - 1203.3188 Empirical Evidence for the Structural Recovery Model
by Alexander Becker & Alexander F. R. Koivusalo & Rudi Schafer - 1203.3031 Using Decision Tree Learner to Classify Solvency Position for Thai Non-life Insurance Companies
by Phaiboon Jhongpita & Sukree Sinthupinyo & Thitivadee Chaiyawat - 1203.2564 Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation
by Lorenzo Hern'andez & Jorge Tejero & Alberto Su'arez & Santiago Carrillo-Men'endez - 1203.2369 Counterparty Risk Valuation: A Marked Branching Diffusion Approach
by Pierre Henry-Labordere - 1203.2355 Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
by Jos'e E. Figueroa-L'opez & Peter Tankov - 1203.2287 Bounds for rating override rates
by Dirk Tasche - 1203.2250 Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook
by Valeriy Zakamulin - 1203.2017 Consistent Long-Term Yield Curve Prediction
by Josef Teichmann & Mario V. Wuthrich - 1203.1880 Income distribution patterns from a complete social security database
by N. Derzsy & Z. Neda & M. A. Santos - 1203.1399 Portfolios and risk premia for the long run
by Paolo Guasoni & Scott Robertson - 1203.1313 UPDATE February 2012 - The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion
by Marco Lagi & Yavni Bar-Yam & Karla Z. Bertrand & Yaneer Bar-Yam - 1203.1311 The evolvability of business and the role of antitrust
by Ian Wilkinson - 1203.1191 Asymptotics of robust utility maximization
by Thomas Knispel - 1203.0643 Incorporating fat tails in financial models using entropic divergence measures
by Santanu Dey & Sandeep Juneja - 1203.0599 Implied volatility formula of European Power Option Pricing
by Jingwei Liu & Xing Chen - 1203.0163 Discovering East Africa's Industrial Opportunities
by Cesar A. Hidalgo - 1202.6647 Chaos and Nonlinear Dynamics in a Quantum Artificial Economy
by Carlos Pedro Gonc{c}alves - 1202.6632 Coherent Price Systems and Uncertainty-Neutral Valuation
by Patrick Bei{ss}ner - 1202.6611 Confidence sets in nonparametric calibration of exponential L\'evy models
by Jakob Sohl - 1202.6412 Order book dynamics in liquid markets: limit theorems and diffusion approximations
by Rama Cont & Adrien De Larrard - 1202.6283 Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation
by Michael B. Giles & Lukasz Szpruch - 1202.6188 On the Hedging of Options On Exploding Exchange Rates
by Peter Carr & Travis Fisher & Johannes Ruf - 1202.6187 Why are quadratic normal volatility models analytically tractable?
by Peter Carr & Travis Fisher & Johannes Ruf - 1202.6131 Homogenization and asymptotics for small transaction costs
by H. Mete Soner & Nizar Touzi - 1202.5983 Option calibration of exponential L\'evy models: Confidence intervals and empirical results
by Jakob Sohl & Mathias Trabs - 1202.5926 Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage
by Eric Kemp-Benedict - 1202.5702 Set-valued average value at risk and its computation
by Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova - 1202.5574 A Black--Scholes Model with Long Memory
by John A. D. Appleby & John A. Daniels & Katja Krol - 1202.5376 A multifractal approach towards inference in finance
by Ola L{o}vsletten & Martin Rypdal - 1202.5251 Information Percolation: Some General Cases with an Application to Econophysics
by Alain B'elanger & Gaston Giroux - 1202.5180 Active margin system for margin loans using cash and stock as collateral and its application in Chinese market
by Guanghui Huang & Weiqing Gu & Wenting Xing & Hongyu Li - 1202.4918 Quantum decision making by social agents
by V. I. Yukalov & D. Sornette - 1202.4913 Active margin system for margin loans and its application in Chinese market: using cash and randomly selected stock as collateral
by Guanghui Huang & Wenting Xin & Weiqing Gu - 1202.4877 Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
by Martin Rypdal & Espen Sirnes & Ola L{o}vsletten & Kristoffer Rypdal - 1202.4332 A parsimonious model for intraday European option pricing
by Enrico Scalas & Mauro Politi - 1202.4311 Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
by Alexander Saichev & Svetlana Lapinova - 1202.4007 Pricing for Large Positions in Contingent Claims
by Scott Robertson - 1202.3915 A simple microstructure return model explaining microstructure noise and Epps effects
by A. Saichev & D. Sornette - 1202.3755 Iterated risk measures for risk-sensitive Markov decision processes with discounted cost
by Takayuki Osogami - 1202.3533 Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance
by Aleksejus Kononovicius & Vygintas Gontis & Valentas Daniunas - 1202.3217 Quasi-Monte Carlo methods for the Heston model
by Jan Baldeaux & Dale Roberts - 1202.3182 Loan and nonloan flows in the Australian interbank network
by Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu - 1202.3025 Derivatives and Credit Contagion in Interconnected Networks
by Sebastian Heise & Reimer Kuehn - 1202.3002 A Semi-group Expansion for Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - 1202.2999 Optimal arbitrage under model uncertainty
by Daniel Fernholz & Ioannis Karatzas - 1202.2980 Dynamic Markov bridges motivated by models of insider trading
by Luciano Campi & Umut c{C}etin & Albina Danilova - 1202.2585 Minimax Option Pricing Meets Black-Scholes in the Limit
by Jacob Abernethy & Rafael M. Frongillo & Andre Wibisono - 1202.2559 Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
by Salima El Kolei - 1202.2532 A Dynamical Approach to Operational Risk Measurement
by Marco Bardoscia & Roberto Bellotti - 1202.2447 Ensemble properties of high frequency data and intraday trading rules
by Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella - 1202.2080 Quantum Financial Economics of Games of Strategy and Financial Decisions
by Carlos Pedro Gonc{c}alves - 1202.2076 A mathematical treatment of bank monitoring incentives
by Henri Pag`es & Dylan Possamai - 1202.1949 Choix strat\'egiques de la firme et contr\^ole financier
by Jean-Claude Juhel - 1202.1854 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
by Jozef Barunik & Lukas Vacha - 1202.1623 Identifying States of a Financial Market
by Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley - 1202.1448 Financial black swans driven by ultrafast machine ecology
by Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan - 1202.1374 Predatory trading and risk minimisation: how to (b)eat the competition
by Anita Mehta - 1202.1302 Short-time asymptotics for marginal distributions of semimartingales
by Amel Bentata & Rama Cont - 1202.0996 An Econophysics Model for the Migration Phenomena
by Anca Gheorghiu & Ion Spanulescu - 1202.0628 Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets
by Miklos Rasonyi & Andrea M. Rodrigues - 1202.0608 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
by Masaaki Fujii & Akihiko Takahashi - 1202.0606 Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams
by Ribin Lye & James Peng Lung Tan & Siew Ann Cheong - 1202.0587 A tractable LIBOR model with default risk
by Zorana Grbac & Antonis Papapantoleon - 1202.0447 A trajectorial interpretation of Doob's martingale inequalities
by B. Acciaio & M. Beiglbock & F. Penkner & W. Schachermayer & J. Temme - 1202.0409 Correlation, Network and Multifractal Analysis of Global Financial Indices
by Sunil Kumar & Nivedita Deo - 1202.0344 Cross-correlation in financial dynamics
by J. Shen & B. Zheng - 1202.0342 On return-volatility correlation in financial dynamics
by J. Shen & B. Zheng - 1202.0175 Robust Hedging of Withdrawal Guarantees (Extended Version)
by Andreas Kunz - 1202.0142 Heavy-tails in economic data: fundamental assumptions, modelling and analysis
by Jo~ao P. da Cruz & Pedro G. Lind - 1202.0100 The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
by Mikio Ito & Akihiko Noda & Tatsuma Wada - 1201.6655 Learning Performance of Prediction Markets with Kelly Bettors
by Alina Beygelzimer & John Langford & David Pennock - 1201.6544 A Random Matrix Approach to Dynamic Factors in macroeconomic data
by Ma{l}gorzata Snarska - 1201.6535 Asymmetric correlation matrices: an analysis of financial data
by Giacomo Livan & Luca Rebecchi - 1201.6516 Self-dual continuous processes
by Thorsten Rheinlander & Michael Schmutz - 1201.6418 Anti-correlation and subsector structure in financial systems
by X. F. Jiang & B. Zheng - 1201.6340 Mathematical Constraints on Financially Viable Public Policy
by Martin Gremm & Mark B. Wise - 1201.6137 Modeling electricity spot prices using mean-reverting multifractal processes
by Martin Rypdal & Ola L{o}vsletten - 1201.6130 Portfolio liquidation in dark pools in continuous time
by Peter Kratz & Torsten Schoneborn - 1201.5690 Heavy-tail driven by memory
by Jongwook Kim & Gabjin Oh - 1201.5448 Determinants of immediate price impacts at the trade level in an emerging order-driven market
by Wei-Xing Zhou - 1201.5132 Quasi self-dual exponential L\'evy processes
by Thorsten Rheinlander & Michael Schmutz - 1201.4841 Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]
by Marcel R. Ausloos - 1201.4786 On Hurst exponent estimation under heavy-tailed distributions
by Jozef Barunik & Ladislav Kristoufek - 1201.4781 Monte Carlo-based tail exponent estimator
by Jozef Barunik & Lukas Vacha - 1201.4776 Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
by Lukas Vacha & Jozef Barunik - 1201.4586 To lag or not to lag? How to compare indices of stock markets that operate at different times
by Leonidas Sandoval Junior - 1201.4580 A non-linear model of trading mechanism on a financial market
by N. Vvedenskaya & Y. Suhov & V. Belitsky - 1201.4551 Fossil fuel consumption and economic growth: causality relationship in the world
by Hazuki Ishida - 1201.4490 Survivability and centrality measures for networks of financial market indices
by Leonidas Sandoval Junior - 1201.3851 Combinatorial Modelling and Learning with Prediction Markets
by Jinli Hu - 1201.3798 No need for conspiracy: Self-organized cartel formation in a modified trust game
by Tiago P. Peixoto & Stefan Bornholdt - 1201.3584 Ecological analysis of world trade
by Leonardo Ermann & Dima L. Shepelyansky - 1201.3580 A drift formulation of Gresham's Law
by Reginald D. Smith - 1201.3572 Quantifying reflexivity in financial markets: towards a prediction of flash crashes
by Vladimir Filimonov & Didier Sornette - 1201.3511 How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
by Ladislav Kristoufek - 1201.3473 Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
by Ladislav Kristoufek - 1201.3432 The leading digit distribution of the worldwide Illicit Financial Flows
by Tariq Ahmad Mir - 1201.3083 The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
by Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann - 1201.2899 Parameter Estimation using Empirical Likelihood combined with Market Information
by Steven Kou & Tony Sit & Zhiliang Ying - 1201.2825 Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
by Hao Meng & Fei Ren & Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei-Xing Zhou & Wei Zhang - 1201.2817 On the concentration of large deviations for fat tailed distributions, with application to financial data
by Mario Filiasi & Giacomo Livan & Matteo Marsili & Maria Peressi & Erik Vesselli & Elia Zarinelli - 1201.2756 Capacitary measures for completely monotone kernels via singular control
by Aur'elien Alfonsi & Alexander Schied - 1201.2616 The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
by C. Neri & L. Schneider - 1201.2257 Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function
by Marco Frittelli & Marco Maggis & Ilaria Peri - 1201.2024 Modeling international crisis synchronization in the World Trade Web
by Pau Erola & Albert Diaz-Guilera & Sergio Gomez & Alex Arenas - 1201.1840 Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger