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Content
2008
2007
- 0712.3992 Two Fractal Overlap Time Series: Earthquakes and Market Crashes
by Bikas K. Chakrabarti & Arnab Chatterjee & Pratip Bhattacharyya
- 0712.3746 Pricing and hedging of derivatives based on non-tradable underlyings
by Stefan Ankirchner & Peter Imkeller & Goncalo dos Reis
- 0712.3611 Effects of diversification among assets in an agent-based market model
by F. Ghoulmi'e & M. Bartolozzi & C. P. Mellen & T. Di Matteo
- 0712.3537 Arbitrage free cointegrated models in gas and oil future markets
by Gr'egory Benmenzer & Emmanuel Gobet & C'eline J'erusalem
- 0712.3485 Smart expansion and fast calibration for jump diffusion
by Eric Benhamou & Emmanuel Gobet & Mohammed Miri
- 0712.3428 On Financial Markets Based on Telegraph Processes
by Nikita Ratanov & Alexander Melnikov
- 0712.3363 Incorporating exchange rate risk into PDs and asset correlations
by Dirk Tasche
- 0712.3350 Market Model with Heterogeneous Buyers
by Matus Medo & Yi-Cheng Zhang
- 0712.2910 Applications of physical methods in high-frequency futures markets
by M. Bartolozzi & C. Mellen & F. Chan & D. Oliver & T. Di Matteo & T. Aste
- 0712.2771 Analysis of Kelly-optimal portfolios
by Paolo Laureti & Matus Medo & Yi-Cheng Zhang
- 0712.2687 The value of information in financial markets: An agent-based simulation
by Bence Toth & Enrico Scalas
- 0712.2684 An Economic Model of Coupled Exponential Maps
by R. Lopez-Ruiz & J. Gonzalez-Estevez & M. G. Cosenza & J. R. Sanchez
- 0712.2220 Phase transition in the rich-get-richer mechanism due to finite-size effects
by James P. Bagrow & Jie Sun & Daniel ben-Avraham
- 0712.2088 Financial Variables Effect on the U.S. Gross Private Domestic Investment (GPDI) 1959-2001
by Byron E. Bell
- 0712.1624 Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets
by Cheoljun Eom & Sunghoon Choi & Gabjin Oh & Woo-Sung Jung
- 0712.1483 Continuous-time trading and emergence of volatility
by Vladimir Vovk
- 0712.1343 An Hilbert space approach for a class of arbitrage free implied volatilities models
by A. Brace & G. Fabbri & B. Goldys
- 0712.1275 Continuous-time trading and emergence of randomness
by Vladimir Vovk
- 0712.1093 The derivatives of Asian call option prices
by Jungmin Choi & Kyounghee Kim
- 0712.0912 Empirical regularities of order placement in the Chinese stock market
by Gao-Feng Gu & Wei Chen & Wei-Xing Zhou
- 0712.0337 On the transition to efficiency in Minority Games
by Tobias Galla & Andrea De Martino
- 0712.0083 Smearing Distributions and their use in Financial Markets
by Petr Jizba & Hagen Kleinert
- 0711.4710 Effects of network topology on wealth distributions
by Diego Garlaschelli & Maria I. Loffredo
- 0711.4596 The non-random walk of stock prices: The long-term correlation between signs and sizes
by Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo
- 0711.4225 Consumption processes and positively homogeneous projection properties
by Tom Fischer
- 0711.3909 Application of Tuncay's language teacher model to business-customer relations
by Carmen Costea
- 0711.3581 The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
by Carl Chiarella & Giulia Iori & Josep Perello
- 0711.3106 A threshold model of financial markets
by Pawe{l} Sieczka & Janusz A. Ho{l}yst
- 0711.2807 Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model
by Soeren Asmussen & Dilip Madan & Martijn Pistorius
- 0711.2718 A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
by Mayank Goel & K. Suresh Kumar
- 0711.2624 Renewal equations for option pricing
by Miquel Montero
- 0711.2550 Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series
by Jeferson de Souza & Silvio M. Duarte Queiros
- 0711.1836 A Markov process associated with plot-size distribution in Czech Land Registry and its number-theoretic properties
by Pavel Exner & Petr v{S}eba
- 0711.1595 Likelihood-based inference for correlated diffusions
by Konstantinos Kalogeropoulos & Petros Dellaportas & Gareth O. Roberts
- 0711.1594 Inference for stochastic volatility models using time change transformations
by Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas
- 0711.1272 How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?
by Walter Schachermayer & Josef Teichmann
- 0711.1143 Optimal intertemporal risk allocation applied to insurance pricing
by Kei Fukuda & Akihiko Inoue & Yumiharu Nakano
- 0711.1136 Analysis of continuous strict local martingales via h-transforms
by Soumik Pal & Philip Protter
- 0711.0729 Forbidden patterns in financial time series
by Massimiliano Zanin
- 0711.0644 Empirics versus RMT in financial cross-correlations
by S. Drozdz & J. Kwapien & P. Oswiecimka
- 0711.0223 Least Squares Importance Sampling for Libor Market Models
by Luca Capriotti
- 0710.5497 Multifractality in the Random Parameters Model
by Camilo Rodrigues Neto & Andr' e C. R. Martins
- 0710.5301 An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
by Daniel Sevcovic
- 0710.4106 Cash Sub-additive Risk Measures and Interest Rate Ambiguity
by Nicole El Karoui & Claudia Ravanelli
- 0710.4010 A stochastic theory for temporal fluctuations in self-organized critical systems
by Martin Rypdal & Kristoffer Rypdal
- 0710.3959 The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management
by Xiaolin Luo & Pavel V. Shevchenko
- 0710.3892 Maturity-independent risk measures
by Thaleia Zariphopoulou & Gordan Zitkovic
- 0710.3645 The k-generalized distribution: A new descriptive model for the size distribution of incomes
by F. Clementi & T. Di Matteo & M. Gallegati & G. Kaniadakis
- 0710.2991 Moment Methods for Exotic Volatility Derivatives
by Claudio Albanese & Adel Osseiran
- 0710.2876 Information, Inflation, and Interest
by Lane P. Hughston & Andrea Macrina
- 0710.2792 Market completion using options
by Mark Davis & Jan Obloj
- 0710.2775 Dam Rain and Cumulative Gain
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina
- 0710.2758 The fundamental theorem of asset pricing under proportional transaction costs
by Alet Roux
- 0710.2583 Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts
by Joseph L. McCauley & Kevin E. Bassler & Gemunu H. Gunaratne
- 0710.2402 Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
by Xiao-Hui Ni & Wei-Xing Zhou
- 0710.1995 Influence of corruption on economic growth rate and foreign investments
by Boris Podobnik & Jia Shao & Djuro Njavro & Plamen Ch. Ivanov & H. Eugene Stanley
- 0710.1909 In which Financial Markets do Mutual Fund Theorems hold true?
by Walter Schachermayer & Mihai Sirbu & Erik Taflin
- 0710.1893 Quasistatically varying log-normal distribution in the middle scale region of Japanese land prices
by Atushi Ishikawa
- 0710.1855 Divergent estimation error in portfolio optimization and in linear regression
by Imre Kondor & Istvan Varga-Haszonits
- 0710.1729 The Grounds For Time Dependent Market Potentials From Dealers' Dynamics
by Kenta Yamada & Hideki Takayasu & Misako Takayasu
- 0710.1439 Trading activity as driven Poisson process: comparison with empirical data
by V. Gontis & B. Kaulakys & J. Ruseckas
- 0710.1307 Common Markets, Strong Currencies & the Collective Welfare
by Esteban Guevara Hidalgo
- 0710.1139 Kinetic Economies
by Wan Ahmad Tajuddin Wan Abdullah & Sidiq Mohamad Khidzir
- 0710.1014 Wealth distribution in a System with Wealth-limited Interactions
by Marisciel L. Palima & Eduardo J. David
- 0710.0802 The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
by Giulio Biroli & Jean-Philippe Bouchaud & Marc Potters
- 0710.0753 Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
by Helen Haworth & Christoph Reisinger & William Shaw
- 0710.0745 Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History
by Marie-Th'er`ese Boyer-Xambeu & Ghislain Deleplace & Patrice Gaubert & Lucien Gillard & Madalina Olteanu
- 0710.0576 Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
by M. Tumminello & F. Lillo & R. N. Mantegna
- 0710.0459 Statistical properties of agent-based market area model
by Zoltan Kuscsik & Denis Horvath
- 0710.0241 Adapted Downhill Simplex Method for Pricing Convertible Bonds
by Kateryna Mishchenko & Volodymyr Mishchenko & Anatoliy Malyarenko
- 0710.0114 Reinforcement learning in market games
by Edward W. Piotrowski & Jan Sladkowski & Anna Szczypinska
- 0710.0069 High-order accurate implicit methods for the pricing of barrier options
by J. C. Ndogmo & D. B. Ntwiga
- 0709.4467 A Convex Stochastic Optimization Problem Arising from Portfolio Selection
by Hanqing Jin & Zuo Quan Xu & Xun Yu Zhou
- 0709.4361 Interest rates mapping
by M. Kanevski & M. Maignan & A. Pozdnoukhov & V. Timonin
- 0709.4358 Projective Market Model Approach to AHP Decision-Making
by Anna Szczypinska & Edward W. Piotrowski
- 0709.4355 Agent Simulation of Chain Bankruptcy
by Yuichi Ikeda & Yoshi Fujiwara & Wataru Souma & Hideaki Aoyama & Hiroshi Iyetomi
- 0709.4242 Rational Expectations, psychology and inductive learning via moving thresholds
by H. Lamba & T. Seaman
- 0709.4096 Quantum Auctions: Facts and Myths
by E. W. Piotrowski & J. Sladkowski
- 0709.4093 A Brief History of Economics: An Outsider's Account
by Bikas K Chakrabarti
- 0709.3955 Statistics of Extreme Values in Time Series with Intermediate-Term Correlations
by Cecilia Pennetta
- 0709.3884 Flexible least squares for temporal data mining and statistical arbitrage
by Giovanni Montana & Kostas Triantafyllopoulos & Theodoros Tsagaris
- 0709.3710 Bidding Strategy with Forecast Technology Based on Support Vector Machine in Electrcity Market
by C. Gao & E. Bompard & R. Napoli & Q. Wan
- 0709.3662 Econophysics, Statistical Mechanics Approach to
by Victor M. Yakovenko
- 0709.3630 Investments in Random Environments
by Emeterio Navarro & Ruben Cantero & Joao Rodrigues & Frank Schweitzer
- 0709.3261 Correlations and clustering in the trading of members of the London Stock Exchange
by Ilija I. Zovko & J. Doyne Farmer
- 0709.3005 Feedback and efficiency in limit order markets
by Damien Challet
- 0709.2830 Behavioral Portfolio Selection in Continuous Time
by Hanqing Jin & Xunyu Zhou
- 0709.2694 Innovation Success and Structural Change: An Abstract Agent Based Study
by Tanya Araujo & R. Vilela Mendes
- 0709.2630 Evolution of community structure in the world trade web
by Irena Tzekina & Karan Danthi & Daniel N. Rockmore
- 0709.2423 Effectiveness of Measures of Performance During Speculative Bubbles
by Filippo Petroni & Giulia Rotundo
- 0709.2416 Measuring Volatility Clustering in Stock Markets
by Gabjin Oh & Seunghwan Kim & Cheoljun Eom & Taehyuk Kim
- 0709.2209 Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series
by Cheoljun Eom & Gapjin Oh & Hawoong Jeong & Seunghwan Kim
- 0709.2200 Statistical Investigation of Connected Structures of Stock Networks in Financial Time Series
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim
- 0709.2178 Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?
by Sonia R. Bentes & Rui Menezes & Diana A. Mendes
- 0709.2083 Economic dynamics with financial fragility and mean-field interaction: a model
by Corrado Di Guilmi & Mauro Gallegati & Simone Landini
- 0709.2070 Understanding the volatility smile of options markets through microsimulation
by G. Qiu & D. Kandhai & P. M. A. Sloot
- 0709.1725 Volatility return intervals analysis of the Japanese market
by Woo-Sung Jung & Fengzhong Wang & Shlomo Havlin & Taisei Kaizoji & Hie-Tae Moon & H. Eugene Stanley
- 0709.1589 American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions
by Alet Roux & Tomasz Zastawniak
- 0709.1543 Kinetic Exchange Models for Income and Wealth Distributions
by Arnab Chatterjee & Bikas K. Chakrabarti
- 0709.1536 Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
by Calin Vamos & Maria Craciun
- 0709.1530 Application of spectral methods for high-frequency financial data to quantifying states of market participants
by Aki-Hiro Sato
- 0709.1281 Relative and Discrete Utility Maximising Entropy
by Grzegorz Hara'nczyk & Wojciech S{l}omczy'nski & Tomasz Zastawniak
- 0709.1219 Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
by Guo-Hua Mu & Wei-Xing Zhou
- 0709.1092 Persistence in a Random Bond Ising Model of Socio-Econo Dynamics
by S. Jain & T. Yamano
- 0709.0976 Multifractal regime transition in a modified minority game model
by Antonio F. Crepaldi & Camilo Rodrigues Neto & Fernando F. Ferreira & Gerson Francisco
- 0709.0838 Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
by Boris Podobnik & Davor Horvatic & Alfonso Lam Ng & H. Eugene Stanley & Plamen Ch. Ivanov
- 0709.0810 A Comparative Study of Stochastic Volatility Models
by E. Cisana & L. Fermi & G. Montagna & O. Nicrosini
- 0709.0668 Entropy and Uncertainty Analysis in Financial Markets
by Andreia Dionisio & Rui Menezes & Diana A. Mendes
- 0709.0591 Utility function estimation: the entropy approach
by Andreia Dionisio & A. Heitor Reis
- 0709.0440 Are volatility estimators robust with respect to modeling assumptions?
by Yingying Li & Per A. Mykland
- 0709.0281 Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series
by Boris Podobnik & H. Eugene Stanley
- 0709.0232 Valuations and dynamic convex risk measures
by A. Jobert & L. C. G. Rogers
- 0709.0159 An empirical behavioral model of liquidity and volatility
by Szabolcs Mike & J. Doyne Farmer
- 0708.4376 Fast estimation of multivariate stochastic volatility
by Kostas Triantafyllopoulos & Giovanni Montana
- 0708.4359 On the Topological Properties of the World Trade Web: A Weighted Network Analysis
by Giorgio Fagiolo & Javier Reyes & Stefano Schiavo
- 0708.4347 World currency exchange rate cross-correlations
by S. Drozdz & A. Z. Gorski & J. Kwapien
- 0708.4178 Relationship between degree of efficiency and prediction in stock price changes
by Cheoljun Eom & Gabjin Oh & Woo-Sung Jung
- 0708.4095 $L^2$-approximating pricing under restricted information
by M. Mania & R. Tevzadze & T. Toronjadze
- 0708.4022 Time reversal invariance in finance
by Gilles Zumbach
- 0708.3472 Empirical distributions of Chinese stock returns at different microscopic timescales
by Gao-Feng Gu & Wei Chen & Wei-Xing Zhou
- 0708.3467 Analytical modelling of terminal properties in industrial growth
by Arnabi Marjit & Sudipto Marjit & Arnab K. Ray
- 0708.3198 Universal price impact functions of individual trades in an order-driven market
by Wei-Xing Zhou
- 0708.3012 Perturbation Expansion for Option Pricing with Stochastic Volatility
by Petr Jizba & Hagen Kleinert & Patrick Haener
- 0708.2805 The public goods game on homogeneous and heterogeneous networks: investment strategy according to the pool size
by Zi-Gang Huang & Zhi-Xi Wu & Jian-Yue Guan & An-Cai Wu & Ying-Hai Wang
- 0708.2542 Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
by Dirk Tasche
- 0708.2090 The Product Space Conditions the Development of Nations
by C. A. Hidalgo & B. Klinger & A. -L. Barabasi & R. Hausmann
- 0708.2071 Eduction and Economy -- An Analysis of Statistical Data
by H. -U. Habermeier
- 0708.2020 Models with time-dependent parameters using transform methods: application to Heston's model
by A. Elices
- 0708.1874 Point estimation with exponentially tilted empirical likelihood
by Susanne M. Schennach
- 0708.1756 Optimal execution strategies in limit order books with general shape functions
by Aur'elien Alfonsi & Antje Fruth & Alexander Schied
- 0708.1715 On the Structure of General Mean-Variance Hedging Strategies
by Alev{s} v{C}ern'y & Jan Kallsen
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