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Content
2008
- 0811.0490 Modelling real GDP per capita in the USA: cointegration test
by Ivan O. Kitov & Oleg I. Kitov & Svetlana A. Dolinskaya
- 0811.0489 Modelling the average income dependence on work experience
by Ivan O. Kitov
- 0811.0473 On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
by B. Stehlikova & D. Sevcovic
- 0811.0448 Statistical properties of information flow in financial time series
by Cheoljun Eom & Okyu Kwon & Woo-Sung Jung
- 0811.0376 Exact prediction of S&P 500 returns
by Ivan O. Kitov & Oleg I. Kitov
- 0811.0356 Modeling the evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005
by Ivan O. Kitov
- 0811.0352 Evolution of the personal income distribution in the USA: High incomes
by Ivan O. Kitov
- 0811.0182 A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback
by William T. Shaw
- 0810.5698 The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
by Said Hamadene & Jianfeng Zhang
- 0810.5306 Economics need a scientific revolution
by Jean-Philippe Bouchaud
- 0810.5146 Semi-static hedging for certain Margrabe type options with barriers
by Michael Schmutz
- 0810.4912 Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
by Simone Bianco & Fulvio Corsi & Roberto Reno'
- 0810.4844 Predator-Prey Model for Stock Market Fluctuations
by Miquel Montero
- 0810.4608 Trust! Why it Has Been Lost and How to Regain It
by D. Sornette
- 0810.4409 Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics
by Sergey Zaitsev & Alexander Zaitsev & Andrei Leonidov & Vladimir Trainin
- 0810.4000 Le trading algorithmique
by Victor Lebreton
- 0810.2508 Universality in the stock exchange
by Rui Gonc{c}alves & Alberto Pinto
- 0810.2016 Hedging of claims with physical delivery under convex transaction costs
by Teemu Pennanen & Irina Penner
- 0810.1922 Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
by Gilles Daniel & Didier Sornette & Peter Wohrmann
- 0810.1625 Volatility Effects on the Escape Time in Financial Market Models
by Bernardo Spagnolo & Davide Valenti
- 0810.1215 Scale free effects in world currency exchange network
by A. Z. Gorski & S. Drozdz & J. Kwapien
- 0810.1059 Measuring the "non-stopping timeness" of ends of previsible sets
by Ju-Yi Yen & Marc Yor
- 0810.0917 Hedging and production decisions under uncertainty: A survey
by Moawia Alghalith
- 0810.0678 Portfolio Optimization under Habit Formation
by Roman Naryshkin & Matt Davison
- 0810.0055 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
by Samuel N. Cohen & Robert J. Elliott
- 0809.4781 On contingent claims pricing in incomplete markets: A risk sharing approach
by Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos
- 0809.4615 Correlation, hierarchies, and networks in financial markets
by M. Tumminello & F. Lillo & R. N. Mantegna
- 0809.4570 Stock market volatility: An approach based on Tsallis entropy
by Sonia R. Bentes & Rui Menezes & Diana A. Mendes
- 0809.4372 Ruin probabilities under general investments and heavy-tailed claims
by Henrik Hult & Filip Lindskog
- 0809.4139 Breakdown of the mean-field approximation in a wealth distribution model
by Matus Medo
- 0809.3978 Multi-market minority game: breaking the symmetry of choice
by Karol Wawrzyniak & Wojciech Wislicki
- 0809.3902 Clustering of discretely observed diffusion processes
by Alessandro De Gregorio & Stefano Maria Iacus
- 0809.3824 Time Consistent Dynamic Limit Order Books Calibrated on Options
by Jocelyne Bion-Nadal
- 0809.3714 Existence, uniqueness and a constructive solution algorithm for a class of finite Markov moment problems
by Laurent Gosse & Olof Runborg
- 0809.3541 Labour Productivity Superstatistics
by Hideaki Aoyama & Hiroshi Yoshikawa & Hiroshi Iyetomi & Yoshi Fujiwara
- 0809.3418 Network effects in a human capital based economic growth model
by Teresa Vaz Martins & Tanya Araujo & Maria Augusta Santos & Miguel St Aubyn
- 0809.3405 Analysis of Fourier transform valuation formulas and applications
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon
- 0809.3375 Smile dynamics -- a theory of the implied leverage effect
by Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters
- 0809.3305 Implied volatility explosions: European calls and implied volatilities close to expiry in exponential L\'evy models
by Michael Roper
- 0809.3060 Non-Gibrat's law in the middle scale region
by Masashi Tomoyose & Shouji Fujimoto & Atushi Ishikawa
- 0809.2878 Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou
by Satya N. Majumdar & Jean-Philippe Bouchaud
- 0809.2270 On incompleteness of bond markets with infinite number of random factors
by Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk
- 0809.1985 Affine Models
by Christa Cuchiero & Damir Filipovic & Josef Teichmann
- 0809.1747 Local time and the pricing of time-dependent barrier options
by Aleksandar Mijatovic
- 0809.1612 Correlated continuous time random walks
by Mark M. Meerschaert & Erkan Nane & Yimin Xiao
- 0809.1534 Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
by Katarzyna Sznajd-Weron & Rafa{l} Weron & Maja W{l}oszczowska
- 0809.1516 SURE shrinkage of Gaussian paths and signal identification
by Nicolas Privault & Anthony R'eveillac
- 0809.1393 Graphical models for correlated defaults
by I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels
- 0809.1139 Fractality feature in oil price fluctuations
by M. Momeni & I. Kourakis & K. Talebi
- 0809.1040 Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws
by J. B. Glattfelder & A. Dupuis & R. B. Olsen
- 0809.0979 A housing-demographic multi-layered nonlinear model to test regulation strategies
by Ramon Huerta & Fernando Corbacho & Luis F. Lago-Fernandez
- 0809.0822 How markets slowly digest changes in supply and demand
by Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo
- 0809.0739 A dual characterization of self-generation and exponential forward performances
by Gordan v{Z}itkovi'c
- 0809.0481 Solvable Stochastic Dealer Models for Financial Markets
by Kenta Yamada & Hideki Takayasu & Takatoshi Ito & Misako Takayasu
- 0809.0448 The Stock Market as a Game: An Agent Based Approach to Trading in Stocks
by Eric Engle
- 0809.0437 Minimal Spanning Tree graphs and power like scaling in FOREX networks
by A Z Gorski & S. Drozdz & J. Kwapien
- 0809.0301 Esscher transform and the duality principle for multidimensional semimartingales
by Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev
- 0809.0250 Multiscaling behavior in the volatility return intervals of Chinese indices
by Fei Ren & Wei-Xing Zhou
- 0809.0241 Bayesian Analysis of Value-at-Risk with Product Partition Models
by Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola
- 0808.4012 Robust hedging of double touch barrier options
by Alexander M. G. Cox & Jan K. Ob{l}'oj
- 0808.3565 Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
by V. Alfi & M. Cristelli & L. Pietronero & A. Zaccaria
- 0808.3562 Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts
by V. Alfi & M. Cristelli & L. Pietronero & A. Zaccaria
- 0808.3360 Criticality Characteristics of Current Oil Price Dynamics
by Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka
- 0808.3339 Random walker in a temporally deforming higher-order potential forces observed in financial crisis
by Kota Watanabe & Hideki Takayasu & Misako Takayasu
- 0808.3269 Dynamic scaling approach to study time series fluctuations
by Alexander S. Balankin
- 0808.3200 Multifactor Analysis of Multiscaling in Volatility Return Intervals
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley
- 0808.3196 Queue-length Variations In A Two-Restaurant Problem
by Anindya S. Chakrabarti & Bikas K. Chakrabarti
- 0808.2892 On honest times in financial modeling
by Ashkan Nikeghbali & Eckhard Platen
- 0808.1828 Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
by A. Saichev & Y. Malevergne & D. Sornette
- 0808.1710 Dynamic modeling of mean-reverting spreads for statistical arbitrage
by Kostas Triantafyllopoulos & Giovanni Montana
- 0808.1655 Shelf space strategy in long-tail markets
by R. Alexander Bentley & Paul Ormerod & Mark E. Madsen
- 0808.1538 Heterogeneous expectations and long range correlation of the volatility of asset returns
by Jerome Coulon & Yannick Malevergne
- 0808.1090 Changes in the Distribution of Income Volatility
by Shane T. Jensen & Stephen H. Shore
- 0808.0372 The distribution of first-passage times and durations in FOREX and future markets
by Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas
- 0807.5001 Decomposition of order statistics of semimartingales using local times
by Raouf Ghomrasni & Olivier Menoukeu Pamen
- 0807.4958 Hazard processes and martingale hazard processes
by Delia Coculescu & Ashkan Nikeghbali
- 0807.4639 Emergence of long memory in stock volatility from a modified Mike-Farmer model
by Gao-Feng Gu & Wei-Xing Zhou
- 0807.4484 Taxes in a simple wealth distribution model by inelastically scattering particles
by Sebastian D. Guala
- 0807.4394 Financial Time Series Analysis of SV Model by Hybrid Monte Carlo
by Tetsuya Takaishi
- 0807.4163 The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures
by Damien Challet & Pier Paolo Peirano
- 0807.3960 Existence, uniqueness and efficiency of equilibrium in hedonic markets with multidimenstional types
by Ivar Ekeland
- 0807.3898 Modelling interest rates by correlated multi-factor CIR-like processes
by L. Bertini & L. Passalacqua
- 0807.3814 Interdisciplinarity in Socio-economics, mathematical analysis and predictability of complex systems
by D. Sornette
- 0807.3800 What drives mutual fund asset concentration?
by Yonathan Schwarzkopf & J. Doyne Farmer
- 0807.3479 Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models
by Friedrich Hubalek & Petra Posedel
- 0807.3464 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
by Friedrich Hubalek & Petra Posedel
- 0807.3059 Agent-based model of competition in a social structure
by Erika Fille Legara & Anthony Longjas & Rene Batac
- 0807.2962 Superhedging in illiquid markets
by Teemu Pennanen
- 0807.2583 Scaling and efficiency determine the irreversible evolution of a market
by Fulvio Baldovin & Attilio L. Stella
- 0807.2526 Arbitrage and deflators in illiquid markets
by Teemu Pennanen
- 0807.2124 An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
by Andrea Macrina
- 0807.2083 Market dynamics after large financial crash
by G. L. Buchbinder & K. M. Chistilin
- 0807.1888 Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets
by V. Alfi & L. Pietronero & A. Zaccaria
- 0807.1831 The evolution of EU business cycle synchronisation 1981-2007
by Paul Ormerod
- 0807.1823 Cooperation Evolution in Random Multiplicative Environments
by Gur Yaari & Sorin Solomon
- 0807.1818 Statistical properties of volatility return intervals of Chinese stocks
by Fei Ren & Liang Guo & Wei-Xing Zhou
- 0807.1771 Random matrix theory and the evolution of business cycle synchronisation 1886-2006
by Paul Ormerod
- 0807.1639 Global recessions as a cascade phenomenon with heterogenous, interacting agents
by Paul Ormerod
- 0807.1253 Informed Traders
by Dorje C. Brody & Mark H. A. Davis & Robyn L. Friedman & Lane P. Hughston
- 0807.1227 On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
by Friedrich Hubalek & Carlo Sgarra
- 0807.1213 Monte Carlo Greeks for financial products via approximative transition densities
by Joerg Kampen & Anastasia Kolodko & John Schoenmakers
- 0807.1201 Quantitative comparisons between finitary posterior distributions and Bayesian posterior distributions
by Federico Bassetti
- 0807.1014 The escape problem under stochastic volatility: the Heston model
by Jaume Masoliver & Josep Perello
- 0807.0925 Stochastic resonance and the trade arrival rate of stocks
by A. Christian Silva & Ju-Yi J. Yen
- 0807.0563 The exponentially truncated q-distribution: A generalized distribution for real complex systems
by Hari M. Gupta & Jose R. Campanha
- 0807.0309 Counterparty risk valuation for CDS
by Christophette Blanchet-Scalliet & Fr'ed'eric Patras
- 0806.4876 Inconsistency of the judgment matrix in the AHP method and the decision maker's knowledge
by Anna Szczypinska & Edward W. Piotrowski
- 0806.4834 Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
by Shaolin Ji
- 0806.4730 Improving Point and Interval Estimates of Monotone Functions by Rearrangement
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon
- 0806.4676 Classification of barrier options
by J. C. Ndogmo
- 0806.4675 Some Control Variates for exotic options
by JC Ndogmo
- 0806.4506 Geometric extension of put-call symmetry in the multiasset setting
by Ilya Molchanov & Michael Schmutz
- 0806.4125 Ruin models with investment income
by Jostein Paulsen
- 0806.4061 An explicit solution for an optimal stopping/optimal control problem which models an asset sale
by Vicky Henderson & David Hobson
- 0806.4026 On a Non-Standard Stochastic Control Problem
by Ivar Ekeland & Traian A Pirvu
- 0806.3813 The Question of Relaxation in the Wealth Exchange Models
by Abhijit KarGupta
- 0806.3399 Heterogeneous credit portfolios and the dynamics of the aggregate losses
by Paolo Dai Pra & Marco Tolotti
- 0806.3171 Fractional derivatives of random walks: Time series with long-time memory
by H. Eduardo Roman & Markus Porto
- 0806.2989 How to grow a bubble: A model of myopic adapting agents
by Georges Harras & Didier Sornette
- 0806.2964 Consequences of increased longevity for wealth, fertility, and population growth
by Aleksandar Bogojevic & Antun Balaz & Rasa Karapandza
- 0806.2617 On discrete stochastic processes with long-lasting time dependence
by Silvio M. Duarte Queiros
- 0806.2606 Anomalous Returns in a Neural Network Equity-Ranking Predictor
by J. B. Satinover & D. Sornette
- 0806.2570 Optimal investment and consumption in a Black--Scholes market with L\'evy-driven stochastic coefficients
by {L}ukasz Delong & Claudia Kluppelberg
- 0806.2444 Detrended fluctuation analysis of intertrade durations
by Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou
- 0806.2397 Measuring Value in Healthcare
by Christopher Gardner
- 0806.2358 Minimizing the Probability of Ruin when Consumption is Ratcheted
by Erhan Bayraktar & Virginia R. Young
- 0806.2124 Detecting speculative bubbles created in experiments via decoupling in agent based models
by Magda Roszczynska & Andrzej Nowak & Daniel Kamieniarz & Sorin Solomon & Jorgen Vitting Andersen
- 0806.1170 The 2006-2008 Oil Bubble and Beyond
by D. Sornette & R. Woodard & W. -X. Zhou
- 0806.0932 A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
by D. Lemmens & M. Wouters & J. Tempere & S. Foulon
- 0806.0307 Risk Premium Impact in the Perturbative Black Scholes Model
by Luca Regis & Simone Scotti
- 0806.0287 Perturbative Approach on Financial Markets
by Simone Scotti
- 0806.0240 Backward Stochastic PDEs related to the utility maximization problem
by M. Mania & R. Tevzadze
- 0806.0239 From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
by Amel Bentata & Marc Yor
- 0805.3981 Optimal Investment Strategy to Minimize Occupation Time
by Erhan Bayraktar & Virginia R. Young
- 0805.3593 On the probability distribution of stock returns in the Mike-Farmer model
by Gao-Feng Gu & Wei-Xing Zhou
- 0805.3470 Topological structures in the equities market network
by Greg Leibon & Scott D. Pauls & Daniel N. Rockmore & Robert Savell
- 0805.3397 How to quantify the influence of correlations on investment diversification
by Matus Medo & Chi Ho Yeung & Yi-Cheng Zhang
- 0805.3213 Using self-similarity and renormalization group to analyze time series
by Giovanni Arcioni
- 0805.3129 Deterministic definition of the capital risk
by Anna Szczypinska & Edward W. Piotrowski
- 0805.3071 Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices
by Mircea Gligor & Marcel Ausloos
- 0805.2792 Productivity Dispersion: Facts, Theory, and Implications
by Hideaki Aoyama & Hiroshi Yoshikawa & Hiroshi Iyetomi & Yoshi Fujiwara
- 0805.2713 Coherence-based multivariate analysis of high frequency stock market values
by Donatello Materassi & Giacomo Innocenti
- 0805.2477 The structural role of weak and strong links in a financial market network
by Antonios Garas & Panos Argyrakis & Shlomo Havlin
- 0805.2194 Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
by Tian Qiu & Liang Guo & Guang Chen
- 0805.2096 GARCH modelling in continuous time for irregularly spaced time series data
by Ross A. Maller & Gernot Muller & Alex Szimayer
- 0805.1353 A model for interevent times with long tails and multifractality in human communications: An application to financial trading
by J. Perello & J. Masoliver & A. Kasprzak & R. Kutner
- 0805.0746 Market response to external events and interventions in spherical minority games
by P. Papadopoulos & A. C. C. Coolen
- 0805.0618 Risk Aversion and Portfolio Selection in a Continuous-Time Model
by Jianming Xia
- 0805.0611 Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
by Daniel Sevcovic
- 0805.0540 Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
by Giacomo Bormetti & Valentina Cazzola & Guido Montagna & Oreste Nicrosini
- 0805.0122 Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
by N. Lazrieva & T. Toronjadze
- 0804.4522 Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
by Nikolai Dokuchaev
- 0804.4191 Theory of market fluctuations
by S. V. Panyukov
- 0804.4152 Adaptive networks of trading agents
by Z. Burda & A. Krzywicki & O. C. Martin
- 0804.4081 Comparison of detrending methods for fluctuation analysis
by Amir Bashan & Ronny Bartsch & Jan W. Kantelhardt & Shlomo Havlin
- 0804.3900 Insurance, Reinsurance and Dividend Payment
by D. Goreac
- 0804.3818 A Theory for Market Impact: How Order Flow Affects Stock Price
by Austin Gerig
- 0804.3658 The Problem of Modelling of Economic Dynamics in Differential Form
by S. I. Chernyshov & V. S. Ponomarenko & A. V. Voronin
- 0804.3431 Scaling in the distribution of intertrade durations of Chinese stocks
by Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou
- 0804.3209 Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
by Hirbod Assa
- 0804.2912 The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
by Constantinos Kardaras
- 0804.2772 A note on wealth in a volatile economy
by M. Marsili
- 0804.2589 Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
by Josep Perello & Ronnie Sircar & Jaume Masoliver
- 0804.2561 Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
by Nicole El Karoui & Asma Meziou
- 0804.2441 Topological identification in networks of dynamical systems
by Donatello W. Materassi & Giacomo W. Innocenti
- 0804.2064 Cross-correlation of long-range correlated series
by Sergio Arianos & Anna Carbone
- 0804.1837 Mathematical analysis of long tail economy using stochastic ranking processes
by Kumiko Hattori & Tetsuya Hattori
- 0804.1642 Calibration of transparency risks: a note
by Jir^o Akahori & Yuuki Kanishi & Yuichi Morimura
- 0804.1414 Demand forecasting for companies with many branches, low sales numbers per product, and non-recurring orderings
by Sascha Kurz & Joerg Rambau
- 0804.1229 Emergence of product differentiation from consumer heterogeneity and asymmetric information
by Linyuan Lu & Matus Medo & Yi-Cheng Zhang & Damien Challet
- 0804.1039 Multivariate Feller conditions in term structure models: Why do(n't) we care?
by Peter Spreij & Enno Veerman & Peter Vlaar
- 0804.0902 Time vs. Ensemble Averages for Nonstationary Time Series
by Joseph L. McCauley
- 0804.0900 Nonlinear Fokker-Planck Equation in the Model of Asset Returns
by Alexander Shapovalov & Andrey Trifonov & Elena Masalova
- 0804.0482 An introduction to L\'{e}vy processes with applications in finance
by Antonis Papapantoleon
- 0804.0331 Role of scaling in the statistical modeling of finance
by Attilio L. Stella & Fulvio Baldovin
- 0804.0185 Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
by E. Bacry & A. Kozhemyak & J. -F. Muzy
- 0804.0162 Estimating correlation from high, low, opening and closing prices
by L. C. G. Rogers & Fanyin Zhou
- 0804.0127 Convex pricing by a generalized entropy penalty
by Johannes Leitner
- 0803.4480 ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
by Joseph L. McCauley
- 0803.4416 Consistent price systems and face-lifting pricing under transaction costs
by Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer
- 0803.4282 The price of bond and European option on bond without credit risk. Classical look and its quantum extension
by Edward W. Piotrowski & Malgorzata Schroeder & Anna Szczypinska
- 0803.4050 Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
by Dapeng CAI & Takashi Gyoshin NITTA
- 0803.4046 Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
by Dapeng CAI & Takashi Gyoshin NITTA
- 0803.3959 Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
by Joseph L. McCauley & Kevin E. Bassler & Gemunu H. Gunaratne
- 0803.3902 Modeling wealth distribution in growing markets
by Urna Basu & P. K. Mohanty
- 0803.3884 Correlations in commodity markets
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0803.3733 Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)
by 'Eva R'acz & Zolt'an Eisler & J'anos Kert'esz
- 0803.3590 Escaping the Brownian stalkers
by Alexander Weiss
- 0803.3093 Diversity and relative arbitrage in equity markets
by Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras
- 0803.2996 The virtues and vices of equilibrium and the future of financial economics
by J. Doyne Farmer & John Geanakoplos
- 0803.2773 Multifractal detrended cross-correlation analysis for two nonstationary signals
by Wei-Xing Zhou
- 0803.2635 Continuous growth models in terms of generalized logarithm and exponential functions
by Alexandre Souto Martinez & Rodrigo Silva Gonzalez & Cesar Augusto Sangaletti Tercariol
- 0803.2388 Quantitative analysis of privatization
by M. Vahabi & G. R. Jafari
- 0803.2302 On perpetual American put valuation and first-passage in a regime-switching model with jumps
by Z. Jiang & M. R. Pistorius
- 0803.2283 Feasibility of Portfolio Optimization under Coherent Risk Measures
by Imre Kondor & Istvan Varga-Haszonits
- 0803.2201 Microscopic Study Reveals the Singular Origins of Growth
by Gur Yaari & Andrzej Nowak & Kamil Rakocy & Sorin Solomon
- 0803.2198 On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
by Michail Anthropelos & Gordan Zitkovic
- 0803.2169 No-Free-Lunch equivalences for exponential Levy models
by Constantinos Kardaras
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