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Content
2007
- math/0703085 Donsker theorem for the Rosenblatt process and a binary market model
by Ciprian Tudor & Soledad Torres - math/0703079 Least-Squares Prices of Games
by Yukio Hirashita - math/0703074 Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk
by Jocelyne Bion-Nadal - physics/0703023 A transactional theory of fluctuations in company size
by A. O. Schweiger & S. V. Buldyrev & H. E. Stanley - math/0703022 Tails of random sums of a heavy-tailed number of light-tailed terms
by Christian Y. Robert & Johan Segers - math/0702893 On the optimal dividend problem for a spectrally negative L\'{e}vy process
by Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius - math/0702849 Asymptotic arbitrage and num\'eraire portfolios in large financial markets
by Dmitry B. Rokhlin - math/0702828 Price systems for markets with transaction costs and control problems for some finance problems
by Tzuu-Shuh Chiang & Shang-Yuan Shiu & Shuenn-Jyi Sheu - math/0702815 Multivariate volatility models
by Ruey S. Tsay - math/0702814 Combining domain knowledge and statistical models in time series analysis
by Tze Leung Lai & Samuel Po-Shing Wong - math/0702812 Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
by Hwai-Chung Ho - math/0702810 Fractional constant elasticity of variance model
by Ngai Hang Chan & Chi Tim Ng - math/0702727 On Robust Utility Maximization
by Traian A Pirvu & Ulrich G Haussmann - math/0702726 A Portfolio Decomposition Formula
by Traian A Pirvu & Ulrich G Haussmann - cond-mat/0702607 Geometrical Brownian Motion Driven by Color Noise
by Ryszard Zygad{l}o - cond-mat/0702517 Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
by Joseph L. McCauley - math/0702473 Some applications and methods of large deviations in finance and insurance
by Huyen Pham - math/0702435 Convexity theory for the term structure equation
by Erik Ekstrom & Johan Tysk - math/0702423 Correction. Error estimates for binomial approximations of game options
by Yuri Kifer - math/0702413 Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
by Dmitry Kramkov & Mihai S^{{i}}rbu - math/0702409 Market free lunch and large financial markets
by Irene Klein - math/0702405 Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging
by Dirk Becherer - math/0702249 Continuous-time mean-variance efficiency: the 80% rule
by Xun Li & Xun Yu Zhou - physics/0702248 The uniqueness of company size distribution function from tent-shaped growth rate distribution
by Atushi Ishikawa - physics/0702240 Bayesian estimation of GARCH model by hybrid Monte Carlo
by Tetsuya Takaishi - physics/0702210 The tick-by-tick dynamical consistency of price impact in limit order books
by Damien Challet - physics/0702185 Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes
by Silvio M. Duarte Queiros & Luis G. Moyano - math/0702173 Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
by A. M. G. Cox & David Hobson & Jan Ob{l}'oj - physics/0702106 Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
by Christian Borghesi & Matteo Marsili & Salvatore Miccich`e - math/0702058 Mixtures in non stable Levy processes
by Nicola Cufaro Petroni - physics/0702035 Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
by Zhi-Qiang Jiang & Liang Guo & Wei-Xing Zhou - physics/0702029 Correlation of coming limit price with order book in stock markets
by Jun-ichi Maskawa - physics/0702027 A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
by Y. Malevergne & D. Sornette - physics/0702003 Waiting time analysis of foreign currency exchange rates: Beyond the renewal-reward theorem
by Naoya Sazuka & Jun-ichi Inoue - math/0701650 Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
by Erhan Bayraktar & Virginia R. Young - physics/0701335 Diffusive behavior and the modeling of characteristic times in limit order executions
by Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna - physics/0701302 Power Law in Firms Bankruptcy
by Byoung Hee Hong & Kyoung Eun Lee & Jae Woo Lee - physics/0701264 Martingales, Detrending Data, and the Efficient Market Hypothesis
by Joseph L. McCauley & Kevin E. Bassler & Gemunu H. Gunaratne - physics/0701189 Assessing symmetry of financial returns series
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya & Huerta-Quintanilla & M. Rodriguez-Achach & . - physics/0701179 The market efficiency in the stock markets
by Jae-Suk Yang & Wooseop Kwak & Taisei Kaizoji & In-mook Kim - physics/0701171 A case study of speculative financial bubbles in the South African stock market 2003-2006
by Wei-Xing Zhou & Didier Sornette - physics/0701158 Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution
by Andrei Leonidov & Vladimir Trainin & Alexander Zatsev & Sergey Zaitsev - physics/0701156 Structurally dynamic spin market networks
by D. Horvath & Z. Kuscsik - physics/0701140 Agent-based Models of Financial Markets
by E. Samanidou & E. Zschischang & D. Stauffer & T. Lux - physics/0701110 On the origin of the Epps effect
by Bence Toth & Janos Kertesz - physics/0701062 Long Term Economic Relationships From Cointegration Maps
by Renato Vicente & Carlos de B. Pereira & Vitor B. P. Leite & Nestor Caticha - physics/0701030 Interplay between topology and dynamics in the World Trade Web
by D. Garlaschelli & T. Di Matteo & T. Aste & G. Caldarelli & M. I. Loffredo - physics/0701025 Random, but not so much: A parameterization for the returns and correlation matrix of financial time series
by Andre C. R. Martins - nlin/0701016 A model of coupled maps with Pareto behavior
by J. R. Sanchez & J. Gonzalez-Estevez & R. Lopez-Ruiz & M. G. Cosenza - nlin/0701014 Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles
by V. I. Yukalov & D. Sornette & E. P. Yukalova - 0801.0195 An optimal life insurance policy in the investment-consumption problem in an incomplete market
by Masahiko Egami & Hideki Iwaki - 0801.0108 Note on two phase phenomena in financial markets
by Shi-Mei Jiang & Shi-Min Cai & Tao Zhou & Pei-Ling Zhou - 0801.0003 Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
by Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky
2006
- physics/0701017 Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature
by Gao-Feng Gu & Wei Chen & Wei-Xing Zhou - physics/0701008 Fluctuations in time intervals of financial data from the view point of the Gini index
by Naoya Sazuka & Jun-ichi Inoue - math/0612691 Option pricing with log-stable L\'{e}vy processes
by Przemys{l}aw Repetowicz & Peter Richmond - math/0612649 General Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612648 A Call-Put Duality for Perpetual American Options
by Aur'elien Alfonsi & Benjamin Jourdain - math/0612470 Capital allocation for credit portfolios with kernel estimators
by Dirk Tasche - math/0612341 What is the natural scale for a L\'evy process in modelling term structure of interest rates?
by Jir^o Akahori & Takahiro Tsuchiya - physics/0612231 A mechanism to derive multi-power law functions: an application in the econophysics framework
by A. M. Scarfone - physics/0612221 Characterizing and modeling cyclic behavior in non-stationary time series through multi-resolution analysis
by Dilip P. Ahalpara & Amit Verma & Prasanta K. Panigrahi & Jitendra C. Parikh - math/0612212 A filtering approach to tracking volatility from prices observed at random times
by Jakv{s}a Cvitani'c & Robert Liptser & Boris Rozovskii - math/0612181 Utility Maximization in a jump market model
by Marie-Amelie Morlais - physics/0612170 Volatility Dynamics of Wavelet-Filtered Stock Prices
by I. M. Dremin & A. V. Leonidov - physics/0612091 A Probability Density Function for Google's stocks
by V. Dorobantu - physics/0612084 Volatility: a hidden Markov process in financial time series
by Zoltan Eisler & Josep Perello & Jaume Masoliver - cond-mat/0612077 Mean Escape Time in a System with Stochastic Volatility
by Giovanni Bonanno & Davide Valenti & Bernardo Spagnolo - math/0612075 Option Pricing without Price Dynamics: A Probabilistic Approach
by Dimitris Bertsimas & Natasha Bushueva - physics/0612068 Topological Properties of the Minimal Spanning Tree in Korean and American Stock Markets
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim - cs/0612065 An equilibrium model for matching impatient demand and patient supply over time
by Garud Iyengar & Anuj Kumar - physics/0612059 Risk evaluation with enhaced covariance matrix
by Krzysztof Urbanowicz & Peter Richmond & Janusz A. Holyst - math/0612035 One-Factor Term Structure without Forward Rates
by Victor Goodman & Kyounghee Kim - math/0612034 Exponential Martingales and Time integrals of Brownian Motion
by Victor Goodman & Kyounghee Kim - physics/0612016 Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
by Fabrizio Lillo - math/0611869 Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition
by Shige Peng & Mingyu Xu - math/0611644 An Extension to Gaussian Semigroup and Some Applications
by Guibao Liu - physics/0611281 Forecasting extreme events in collective dynamics: an analytic signal approach to detecting discrete scale invariance
by G. M. Viswanathan - math/0611274 ANOVA for diffusions and It\^{o} processes
by Per Aslak Mykland & Lan Zhang - physics/0611245 Basic kinetic wealth-exchange models: common features and open problems
by Marco Patriarca & Els Heinsalu & Anirban Chakraborti - math/0611187 Local asymptotic minimax risk bounds in a locally asymptotically mixture of normal experiments under asymmetric loss
by Debasis Bhattacharya & A. K. Basu - math/0611186 The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations
by Hannes Leeb - physics/0611159 Phase transition in the globalization of trade
by M. Angeles Serrano - physics/0611147 Networks of companies and branches in Poland
by Anna M. Chmiel & Julian Sienkiewicz & Krzysztof Suchecki & Janusz A. Holyst - physics/0611138 The continuous time random walk formalism in financial markets
by J. Masoliver & M. Montero & J. Perello & G. H. Weiss - physics/0611130 Econophysics of precious stones
by A. Watanabe & N. Uchida & N. Kikuchi - physics/0611102 Maximum Likelihood Estimation of Drift and Diffusion Functions
by D. Kleinhans & R. Friedrich - physics/0611093 Are volatility correlations in financial markets related to Omori processes occurring on all scales?
by Philipp Weber & Fengzhong Wang & Irena Vodenska-Chitkushev & Shlomo Havlin & H. Eugene Stanley - physics/0611048 Multiple time scales and the empirical models for stochastic volatility
by G. L. Buchbinder & K. M. Chistilin - physics/0611027 Noise sensitivity of portfolio selection under various risk measures
by Imre Kondor & Szilard Pafka & Gabor Nagy - physics/0611023 Trading strategies in the Italian interbank market
by Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli - nlin/0611001 The unfair consequences of equal opportunities: comparing exchange models of wealth distribution
by G. M. Caon & S. Goncalves & J. R. Iglesias - math/0610852 Modeling inequality and spread in multiple regression
by Rolf Aaberge & Steinar Bjerve & Kjell Doksum - math/0610749 Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
by Marie-Amelie Morlais - math/0610621 Identifying the covariation between the diffusion parts and the co-jumps given discrete observations
by Fabio Gobbi & Cecilia Mancini - math/0610489 Error calculus and path sensitivity in financial models
by Nicolas Bouleau - math/0610324 On the value of optimal stopping games
by Erik Ekstrom & Stephane Villeneuve - physics/0610275 Infectious Default Model with Recovery and Continuous Limit
by Ayaka Sakata & Masato Hisakado & Shintaro Mori - physics/0610250 A note on projections of Gibbs measures from a class arising in economic modeling
by M. Hohnisch & O. Kutoviy - math/0610224 On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
by Dmitry Kramkov & Mihai S^{{i}}rbu - math/0610219 The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
by Thorsten Rheinlander & Gallus Steiger - physics/0610165 Non-Stationary Covariance Matrices And Noise
by Andr'e C. R. Martins - physics/0610162 Downside Risk analysis applied to Hedge Funds universe
by Josep Perello - physics/0610160 Persistence in Random Bond Ising Models of a Socio-Econo Dynamics in High Dimensions
by S. Jain & T. Yamano - physics/0610108 A fitness model for the Italian Interbank Money Market
by G. De Masi & G. Iori & G. Caldarelli - cs/0610053 Towards a Bayesian framework for option pricing
by Henryk Gzyl & Enrique ter Horst & Samuel Malone - physics/0610047 Volatility and dividend risk in perpetual American options
by Miquel Montero - physics/0610026 The value of information in a multi-agent market model
by Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler - physics/0610023 Unexpected volatility and intraday serial correlation
by Simone Bianco & Roberto Ren'o - cond-mat/0610022 Detecting long and short memory via spectral methods
by Simone Bianco - math/0609403 On utility-based super-replication prices of contingent claims with unbounded payoffs
by Frank Oertel & Mark Owen - math/0609402 Geometry of polar wedges and super-replication prices in incomplete financial markets
by Frank Oertel & Mark P. Owen - physics/0609245 Quantum Econophysics
by Esteban Guevara Hidalgo - physics/0609230 Cascades of Dynamical Transitions in an Adaptive Population
by H. M. Yang & Y. S. Ting & K. Y. Michael Wong - math/0609212 The Exact Value for European Options on a Stock Paying a Discrete Dividend
by Jo~ao Amaro de Matos & Rui Dil~ao & Bruno Ferreira - physics/0609210 Scale invariant multiplier and multifractality of absolute returns in stock markets
by Zhi-Qiang Jiang & Wei-Xing Zhou - physics/0609209 Boltzmann Distribution and Temperature of Stock Markets
by H. Kleinert & X. J. Chen - physics/0609198 Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets
by Kevin E. Bassler & Joseph L. McCauley & Gemunu H. Gunaratne - math/0609170 Evaluating Pricing Strategy Using e-Commerce Data: Evidence and Estimation Challenges
by Anindya Ghose & Arun Sundararajan - physics/0609170 Integrating economic and psychological insights in binary choice models with social interactions
by Katarzyna Ostasiewicz & Michal H. Tyc & Piotr Goliczewski & Piotr Magnuszewski & Andrzej Radosz & Jan Sendzimir - physics/0609164 Credit contagion and credit risk
by J. P. L. Hatchett & R. Kuehn - physics/0609136 Extreme times for volatility processes
by Jaume Masoliver & Josep Perello - physics/0609130 Phase Transitions in Operational Risk
by Kartik Anand & Reimer Kuhn - physics/0609100 Fairness State with Plastic Preferences
by Elena Ramirez Barrios & Juan G. Diaz Ochoa - physics/0609093 Correlation Structures of Correlated Binomial Models and Implied Default Distribution
by S. Mori & K. Kitsukawa & M. Hisakado - physics/0609088 The Why of the Applicability of Statistical Physics to Economics
by Esteban Guevara Hidalgo - physics/0609069 Kinetic market models with single commodity having price fluctuations
by Arnab Chatterjee & Bikas K. Chakrabarti - physics/0609066 Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
by Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver - physics/0609053 Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series
by Christoly Biely & Stefan Thurner - physics/0609046 Fear and its implications for stock markets
by Ingve Simonsen & Peter Toke Heden Ahlgren & Mogens H. Jensen & Raul Donangelo & Kim Sneppen - physics/0609038 Detecting the traders' strategies in Minority-Majority games and real stock-prices
by V. Alfi & A. De Martino & L. Pietronero & A. Tedeschi - physics/0609036 Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
by C. Coronnello & M. Tumminello & F. Lillo & S. Micciche` & R. N. Mantegna - physics/0609020 A Generalized Preferential Attachment Model for Business Firms Growth Rates: II. Mathematical Treatment
by S. V. Buldyrev & F. Pammolli & M. Riccaboni & K. Yamasaki & D. Fu & K. Matia & H. E. Stanley - physics/0609011 A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence
by Fabio Pammolli & Dongfeng Fu & S. V. Buldyrev & Massimo Riccaboni & Kaushik Matia & Kazuko Yamasaki & H. E. Stanley - physics/0609006 Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation
by Marzena Kozlowska & Ryszard Kutner - physics/0608313 Detrending Moving Average variance: a derivation of the scaling law
by Sergio Arianos & Anna Carbone - physics/0608299 Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study
by A. Christian Silva & Victor M. Yakovenko - physics/0608293 Automatic Trading Agent. RMT based Portfolio Theory and Portfolio Selection
by Malgorzata Snarska & Jakub Krzych - physics/0608284 Self-Consistent Asset Pricing Models
by Y. Malevergne & D. Sornette - physics/0608281 Coupled continuous time random walks in finance
by Mark M. Meerschaert & Enrico Scalas - physics/0608273 Waiting times between orders and trades in double-auction markets
by Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi - physics/0608271 Mechanical vs. informational components of price impact
by J. Doyne Farmer & Neda Zamani - physics/0608242 On the volatility of volatility
by Stephen D. H. Hsu & Brian M. Murray - physics/0608224 The art of fitting financial time series with Levy stable distributions
by Enrico Scalas & Kyungsik Kim - physics/0608221 Growth and Allocation of Resources in Economics: The Agent-Based Approach
by Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi - physics/0608217 Mixtures of compound Poisson processes as models of tick-by-tick financial data
by Enrico Scalas - physics/0608214 Comparison of gain-loss asymmetry behavior for stocks and indexes
by Magdalena A. Zaluska-Kotur & Krzysztof Karpio & Arkadiusz Orlowski - physics/0608201 Hitting Time Distributions in Financial Markets
by Davide Valenti & Bernardo Spagnolo & Giovanni Bonanno - physics/0608197 On Capital Dependent Dynamics of Knowledge
by Marek Szydlowski & Adam Krawiec - physics/0608191 The average behaviour of financial market by 2 scale homogenisation
by R. Wojnar - physics/0608190 On Value at Risk for foreign exchange rates - the copula approach
by Piotr Jaworski - physics/0608174 Relaxation in statistical many-agent economy models
by Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano - physics/0608148 Reflections on Modern Macroeconomics: Can We Travel Along a Safer Road?
by E. Gaffeo & M. Catalano & F. Clementi & D. Delli Gatti & M. Gallegati & A. Russo - physics/0608115 Analysis of price diffusion in financial markets using PUCK model
by Takayuki Mizuno & Hideki Takayasu & Misako Takayasu - physics/0608099 Characterization of foreign exchange market using the threshold-dealer-model
by Kenta Yamada & Hideki Takayasu & Misako Takayasu - physics/0608091 Anomalous fluctuations in Minority Games and related multi-agent models of financial markets
by Tobias Galla & Giancarlo Mosetti & Yi-Cheng Zhang - physics/0608087 A Natural Value Unit - Econophysics as Arbiter between Finance and Economics
by Steivan Defilla - physics/0608084 Topology of Foreign Exchange Markets using Hierarchical Structure Methods
by Michael J. Naylor & Lawrence C. Rose & Brendan J. Moyle - physics/0608036 Modeling long-range memory trading activity by stochastic differential equations
by V. Gontis & B. Kaulakys - physics/0608035 Risk Minimization through Portfolio Replication
by Stefano Ciliberti & Marc Mezard - physics/0608032 Market reaction to temporary liquidity crises and the permanent market impact
by Adam Ponzi & Fabrizio Lillo & Rosario N. Mantegna - physics/0608022 Violation of market efficiency in transition economies
by Boris Podobnik & Ivo Grosse & Davor Horvatic & Plamen Ch Ivanov & Timotej Jagric & H. E. Stanley - physics/0608019 Stochastic model for market stocks with strong resistance
by Javier Villarroel - physics/0608018 The dynamics of traded value revisited
by Zoltan Eisler & Janos Kertesz - physics/0608016 Market Efficiency in Foreign Exchange Markets
by Gabjin Oh & Seunghwan Kim & Cheoljun Eom - physics/0608013 The demise of constant price impact functions and single-time step models of speculation
by Damien Challet - physics/0608009 Multifractal Properties of the Ukraine Stock Market
by A. Ganchuk & V. Derbentsev & V. Soloviev - physics/0608008 Extracting the exponential behaviors in the market data
by Kota Watanabe & Hideki Takayasu & Misako Takayasu - physics/0608004 Critical dynamics and global persistence exponent on Taiwan financial market
by I-Chun Chen & Hsen-Che Tseng & Ping-Cheng Li & Hung-Jung Chen - math/0607775 Mean-variance Hedging in the Discontinuous Case
by Jianming Xia - math/0607617 Computing strategies for achieving acceptability
by Soumik Pal - cond-mat/0607478 On the integrated behaviour of non-stationary volatility in stock markets
by Andreia Dionisio & Rui Menezes & Diana A. Mendes - physics/0607293 k-Generalized Statistics in Personal Income Distribution
by F. Clementi & M. Gallegati & G. Kaniadakis - physics/0607290 Stylized facts from a threshold-based heterogeneous agent model
by R. Cross & M. Grinfeld & H. Lamba & T. Seaman - physics/0607287 Response of Firm Agent Network to Exogenous Shock
by Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Yoshi Fujiwara & Wataru Souma & Taisei Kaizoji - physics/0607282 Minimum Entropy Density Method for the Time Series Analysis
by Jeong Won Lee & Joongwoo Brian Park & Hang-Hyun Jo & Jae-Suk Yang & Hie-Tae Moon - physics/0607276 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
by Giuseppe Garofalo & Alessandro Sansone - physics/0607273 Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach
by Aki-Hiro Sato - physics/0607268 Mean Exit Time and Survival Probability within the CTRW Formalism
by Miquel Montero & Jaume Masoliver - physics/0607265 Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
by Josep Perello - physics/0607258 Ideal-gas like market models with savings: quenched and annealed cases
by Arnab Chatterjee & Bikas K Chakrabarti - physics/0607250 On the maximum drawdown during speculative bubbles
by Giulia Rotundo & Mauro Navarra - physics/0607247 Risk measures with non-Gaussian fluctuations
by G. Bormetti & E. Cisana & G. Montagna & O. Nicrosini - physics/0607246 Econophysics of interest rates and the role of monetary policy
by Daniel O. Cajueiro & Benjamin M. Tabak - physics/0607245 Long-range dependence in Interest Rates and Monetary Policy
by Daniel O. Cajueiro & Benjamin M. Tabak - physics/0607240 Non-Parametric Extraction of Implied Asset Price Distributions
by Jerome V. Healy & Maurice Dixon & Brian J. Read & Fang Fang Cai - physics/0607236 Geometry of Financial Markets -- Towards Information Theory Model of Markets
by Edward W. Piotrowski & Jan Sladkowski - physics/0607222 Asymmetric Conditional Volatility in International Stock Markets
by Nuno B. Ferreira & Rui Menezes & Diana A. Mendes - physics/0607217 The uniqueness of the profits distribution function in the middle scale region
by Atushi Ishikawa - math/0607212 Time Consistent Dynamic Risk Processes, Cadlag Modification
by Jocelyne Bion-Nadal - physics/0607202 Stock price fluctuations and the mimetic behaviors of traders
by Jun-ichi Maskawa - physics/0607197 Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates
by Wei-Xing Zhou & Didier Sornette - physics/0607192 Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya & R. Huerta-Quintanilla & M. Rodriguez-Achach - physics/0607182 Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis
by Adel Sharkasi & Heather J. Ruskin & Martin Crane - physics/0607180 How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries
by Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini - physics/0607176 Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models
by Anna Pajor - physics/0607175 The matrix rate of return
by Anna Zambrzycka & Edward W. Piotrowski - physics/0607167 Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales
by A. A. G. Cortines & R. Riera