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Content
2006
2005
- cond-mat/0512308 The Minority Game: a statistical physics perspective
by David Sherrington
- physics/0512240 On the multi-fractal structure of traded volume in financial markets
by L. G. Moyano & J. de Souza & S. M. Duarte Queiros
- physics/0512225 Dynamical Structures of High-Frequency Financial Data
by Kyungsik Kim & Seong-Min Yoon & Soo Yong Kim & Ki-Ho Chang & Yup Kim
- physics/0512216 Dynamical Stochastic Processes of Returns in Financial Markets
by Gyuchang Lim & Soo Yong Kim & Junyuan Zhou & Seong-Min Yoon & Kyungsik Kim
- physics/0512210 Micro-economic Analysis of the Physical Constrained Markets: Game Theory Application to Competitive Electricity Markets
by Ettore Bompard & Yuchao Ma & Elena Ragazzi
- physics/0512193 Limitations of scaling and universality in stock market data
by Janos Kertesz & Zoltan Eisler
- math/0512181 Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood"
by Susanne M. Schennach
- physics/0512169 Volatility of an Indian stock market : A random matrix approach
by V. Kulkarni & N. Deo
- physics/0512163 Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model
by Aki-Hiro Sato
- physics/0512155 Effects of Economic Interactions on Credit Risk
by J. P. L. Hatchett & R. Kuehn
- physics/0512127 Stock mechanics: a general theory and method of energy conservation with applications on DJIA
by Caglar Tuncay
- physics/0512124 Re-examination of the size distribution of firms
by Taisei Kaizoji & Hiroshi Iyetomi & Yuichi Ikeda
- physics/0512090 Large dimension forecasting models and random singular value spectra
by Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters
- physics/0512005 The Growth of Business Firms: Theoretical Framework and Empirical Evidence
by Dongfeng Fu & Fabio Pammolli & S. V. Buldyrev & Massimo Riccaboni & Kaushik Matia & Kazuko Yamasaki & H. E. Stanley
- math/0511234 Nonlinearity, correlation and the valuation of employee stock options
by M. R. Grasselli
- physics/0511224 Grouping in the stock markets of Japan and Korea
by Woo-Sung Jung & Okyu Kwon & Taisei Kaizoji & Seungbyung Chae & Hie-Tae Moon
- physics/0511220 Annual change of Pareto index dynamically deduced from the law of detailed quasi-balance
by Atushi Ishikawa
- physics/0511191 The Production Function
by Guido Fioretti
- physics/0511129 Description of dynamics of stock prices by a Langevin approach
by Zi-Gang Huang & Yong Chen & Yong Zhang & Ying-Hai Wang
- physics/0511119 Dynamics of the return distribution in the Korean financial market
by Jae-Suk Yang & Seungbyung Chae & Woo-Sung Jung & Hie-Tae Moon
- physics/0511101 Scaling and memory of intraday volatility return intervals in stock market
by Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley
- physics/0511091 Inverse Statistics for Stocks and Markets
by A. Johansen & I. Simonsen & M. H. Jensen
- nlin/0511048 Persistence Probabilities of the German DAX and Shanghai Index
by F. Ren & B. Zheng & H. Lin & L. Y. Wen & S. Trimper
- cond-mat/0510693 Asymptotic analysis of the model for distribution of high-tax payers
by Hiroshi Yamamoto & Toshiya Ohtsuki & Akihiro Fujihara & Satoshi Tanimoto & Keizo Yamamoto & Sasuke Miyazima
- math/0510662 Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games
by Masayuki Kumon & Akimichi Takemura & Kei Takeuchi
- math/0510333 Optimal Bond Portfolios
by Ivar Ekeland & Erik Taflin
- physics/0510257 News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model
by Damien Challet
- cond-mat/0510154 Role of Noise in a Market Model with Stochastic Volatility
by G. Bonanno & D. Valenti & B. Spagnolo
- physics/0510112 On statistical properties of traded volume in financial markets
by Jeferson de Souza & Luis G. Moyano & Silvio M. Duarte Queiros
- physics/0510068 The Donation-Payment Gift Card Concept: how to give twice with one card
by R. Crane & J. V. Escobar-Sotomayor & D. Sornette
- physics/0510058 Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks
by Zoltan Eisler & Janos Kertesz
- physics/0510055 A Precursor of Market Crashes
by Taisei Kaizoji
- physics/0510047 Time series of stock price and of two fractal overlap: Anticipating market crashes?
by Bikas K. Chakrabarti & Arnab Chatterjee & Pratip Bhattacharyya
- physics/0510038 A common origin of the power law distributions in models of market and earthquake
by Pratip Bhattacharyya & Arnab Chatterjee & Bikas K Chakrabarti
- physics/0510028 Financial Markets and Persistence
by S. Jain & P. Buckley
- physics/0510007 There's more to volatility than volume
by Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo
- math/0509503 A filtering approach to tracking volatility from prices observed at random times
by Jaksa Cvitanic & Robert Liptser & Boris Rozovskii
- math/0509367 Game theoretic derivation of discrete distributions and discrete pricing formulas
by Akimichi Takemura & Taiji Suzuki
- physics/0509257 Small scale behavior of financial data
by Andreas P. Nawroth & Joachim Peinke
- physics/0509256 Analysis of Binarized High Frequency Financial Data
by Naoya Sazuka
- physics/0509250 An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
by Andreia Dionisio & Rui Menezes & Diana A. Mendes
- physics/0509240 Condensation in an Economic Model with Brand Competition
by L. Casillas & F. J. Espinosa & R. Huerta-Quintanilla & M. Rodriguez-Achach
- physics/0509235 Random Matrix Filtering in Portfolio Optimization
by Gabor Papp & Szilard Pafka & Maciej A. Nowak & Imre Kondor
- math/0509232 Properties of option prices in models with jumps
by Erik Ekstrom & Johan Tysk
- math/0509231 A boundary point lemma for Black-Scholes type operators
by Erik Ekstrom & Johan Tysk
- physics/0509194 An empirical behavioral model of price formation
by Szabolcs Mike & J. Doyne Farmer
- physics/0509172 Role of Selective Interaction in Wealth Distribution
by Abhijit Kar Gupta
- physics/0509150 Optimal hedging of Derivatives with transaction costs
by Erik Aurell & Paolo Muratore-Ginanneschi
- physics/0509142 A characteristic time scale of tick quotes on foreign currency markets
by Aki-Hiro Sato
- math/0509139 Dynamic State Tameness
by Jaime A. Londo~no
- physics/0509102 Firm Projects, NPV and Risk
by Jana Hudakova & Ondrej Hudak
- physics/0509090 Effects of the globalization in the Korean financial markets
by Woo-Sung Jung & Okyu Kwon & Jae-Suk Yang & Hie-Tae Moon
- physics/0509020 Potentials of Unbalanced Complex Kinetics Observed in Market Time Series
by Misako Takayasu & Takayuki Mizuno & Hideki Takayasu
- math/0509016 Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
by Barbara Forster & Eva Luetkebohmert & Josef Teichmann
- physics/0509014 Transfer Entropy Analysis of the Stock Market
by Seung Ki Baek & Woo-Sung Jung & Okyu Kwon & Hie-Tae Moon
- math/0508489 Dynamic exponential utility indifference valuation
by Michael Mania & Martin Schweizer
- math/0508487 Some remarks on first passage of Levy processes, the American put and pasting principles
by L. Alili & A. E. Kyprianou
- cond-mat/0508451 Eigenvalue density of empirical covariance matrix for correlated samples
by Z. Burda & J. Jurkiewicz & B. Waclaw
- math/0508448 Utility maximization in incomplete markets
by Ying Hu & Peter Imkeller & Matthias Muller
- cond-mat/0508413 Stationary states of a spherical Minority Game with ergodicity breaking
by Tobias Galla & David Sherrington
- physics/0508218 Waiting-time distribution for a stock-market index
by Jae Woo Lee & Kyoung Eun Lee & Per Arne Rikvold
- physics/0508206 The Network of Inter-Regional Direct Investment Stocks across Europe
by Stefano Battiston & Jo~ao F. Rodrigues & Hamza Zeytinoglu
- physics/0508203 Impact of Stock Market Structure on Intertrade Time and Price Dynamics
by Ainslie Yuen & Plamen Ch. Ivanov
- physics/0508188 Cross-country hierarchical structure and currency crisis
by Guillermo J. Ortega & David Matesanz
- physics/0508178 Derivation of the distribution from extended Gibrat's law
by Atushi Ishikawa
- physics/0508172 Characteristic market behaviors caused by intervention in a foreign exchange market
by Takayuki Mizuno & Yukiko Umeno Saito & Tsutomu Watanabe & Hideki Takayasu
- physics/0508164 Correlation Networks Among Currencies
by Takayuki Mizuno & Hideki Takayasu & Misako Takayasu
- physics/0508162 Modeling a foreign exchange rate using moving average of Yen-Dollar market data
by Takayuki Mizuno & Misako Takayasu & Hideki Takayasu
- physics/0508159 Dynamic instability in a phenomenological model of correlated assets
by Giacomo Raffaelli & Matteo Marsili
- physics/0508156 Size matters: some stylized facts of the stock market revisited
by Zoltan Eisler & Janos Kertesz
- cond-mat/0508122 Sector identification in a set of stock return time series traded at the London Stock Exchange
by C. Coronnello & M. Tumminello & F. Lillo & S. Miccich`e & R. N. Mantegna
- physics/0508104 Trend followers lose more often than they gain
by Marc Potters & Jean-Philippe Bouchaud
- physics/0508077 Application of Zhangs Square Root Law and Herding to Financial Markets
by Friedrich Wagner
- physics/0508065 Consumers don't play dice, influence of social networks and advertisements
by Robert D. Groot
- physics/0508023 Stock mechanics: energy conservation theory and the fundamental line of DJIA
by Caglar Tuncay
- physics/0507163 Bipartite Producer-Consumer Networks and the Size Distribution of Firms
by Wang Dahui & Zhou Li & Di Zengru
- physics/0507162 Dynamic Process of Money Transfer Models
by Yougui Wang & Ning Ding
- physics/0507161 Prospects for Money Transfer Models
by Yougui Wang & Ning Ding & Ning Xi
- physics/0507160 How Required Reserve Ratio Affects Distribution and Velocity of Money
by Ning Xi & Ning Ding & Yougui Wang
- physics/0507159 The Velocity of Money in a Life-Cycle Model
by Yougui Wang & Hanqing Qiu
- physics/0507158 The Economic Mobility in Money Transfer
by Ning Ding & Ning Xi & Yougui Wang
- physics/0507151 Power-Law Distributions in Circulating Money: Effect of Preferential Behavior
by Ning Ding & Yougui Wang
- physics/0507149 Effects of Saving and Spending Patterns on Holding Time Distribution
by Ning Ding & Ning Xi & Yougui Wang
- physics/0507147 The Circulation of Money and Holding Time Distribution
by Yougui Wang & Ning Ding & Li Zhang
- physics/0507136 Ideal-Gas Like Markets: Effect of Savings
by Arnab Chatterjee & Bikas K Chakrabarti
- physics/0507111 Financial Applications of Random Matrix Theory: Old Laces and New Pieces
by M. Potters & J. P. Bouchaud & L. Laloux
- physics/0507101 Production networks and failure avalanches
by Gerard Weisbuch & Stefano Battiston
- physics/0507098 Ab initio yield curve dynamics
by Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna
- physics/0507093 The distribution of wealth in the presence of altruism for simple economic models
by M. Rodriguez-Achach & R. Huerta-Quintanilla
- math/0507082 Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
by P. Okunev
- physics/0507073 On a multi-timescale statistical feedback model for volatility fluctuations
by L. Borland & J. -Ph. Bouchaud
- nlin/0507054 A Model of Coupled-Maps for Economic Dynamics
by J. R. Sanchez & R. Lopez-Ruiz
- physics/0507054 Scaling and data collapse for the mean exit time of asset prices
by Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna
- nlin/0507037 Forecasting non-stationary financial time series through genetic algorithm
by M. B. Porecha & P. K. Panigrahi & J. C. Parikh & C. M. Kishtawal & Sujit Basu
- physics/0507035 Income Distribution Dependence of Poverty Measure: A Theoretical Analysis
by Amit K Chattopadhyay & Sushanta K Mallick
- physics/0507032 Typical properties of optimal growth in the Von Neumann expanding model for large random economies
by Andrea De Martino & Matteo Marsili
- physics/0507022 Applications of physics to finance and economics: returns, trading activity and income
by A. Christian Silva
- physics/0507020 Volatility, Persistence, and Survival in Financial Markets
by M. Constantin & S. Das Sarma
- physics/0507006 Cluster analysis for portfolio optimization
by Vincenzo Tola & Fabrizio Lillo & Mauro Gallegati & Rosario N. Mantegna
- math/0506621 Optimal long term investment model with memory
by Akihiko Inoue & Yumiharu Nakano
- math/0506378 Fast Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model: Using Hermite Expansions for Higher Accuracy
by P. Okunev
- physics/0506224 Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations
by Baosheng Yuan & Kan Chen
- physics/0506151 Phase coexistence in a forecasting game
by Philippe Curty & Matteo Marsili
- physics/0506137 The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises
by Tanya Ara'ujo & Francisco Louc{c}~a
- math/0506127 A Note on the Ruin Problem with Risky Investments
by David Maher
- math/0506125 A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
by Pavel Okunev
- physics/0506114 Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices
by Taisei Kaizoji
- physics/0506103 Boltzmann-Gibbs Distribution of Fortune and Broken Time-Reversible Symmetry in Econodynamics
by P. Ao
- physics/0506101 Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months
by Renato Vicente & Charles M. de Toledo & Vitor B. P. Leite & Nestor Caticha
- physics/0506098 Stock mechanics: predicting recession in S&P500, DJIA, and NASDAQ
by Caglar Tuncay
- math/0506077 Study on optimal timing of mark-to-market for contingent credit risk control
by Jiali Liao & Ted Theodosopoulos
- physics/0506072 On collective non-gaussian dependence patterns in high frequency financial data
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev
- physics/0506071 Increasing market efficiency: Evolution of cross-correlations of stock returns
by Bence Toth & Janos Kertesz
- physics/0506066 Pareto index induced from the scale of companies
by Atushi Ishikawa
- physics/0506028 Influence of saving propensity on the power law tail of wealth distribution
by Marco Patriarca & Anirban Chakraborti & Guido Germano
- physics/0506027 Is There a Real-Estate Bubble in the US?
by Wei-Xing Zhou & Didier Sornette
- nlin/0506015 On Some Processes and Distributions in a Collective Model of Investors' Behavior
by Kyrylo Shmatov & Mikhail Smirnov
- math/0505639 Extremal quantile regression
by Victor Chernozhukov
- math/0505243 On utility maximization in discrete-time financial market models
by Miklos Rasonyi & Lukasz Stettner
- physics/0505210 Anomalous waiting times in high-frequency financial data
by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
- math/0505208 Classical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes
by Dirk Becherer & Martin Schweizer
- physics/0505178 Design in Complex Systems: Individual Performance versus System Efficiency
by Chengling Gou
- physics/0505173 Empirical study and model of personal income
by Wataru Souma & Makoto Nirei
- physics/0505170 Recurrence analysis of the NASDAQ crash of April 2000
by Annalisa Fabretti & Marcel Ausloos
- physics/0505157 Economic exchanges in a stratified society: End of the middle class?
by M. F. Laguna & S. Risau Gusman & J. R. Iglesias
- physics/0505142 Measuring sectoral diversification in an asymptotic multi-factor framework
by Dirk Tasche
- physics/0505115 Money Exchange Model and a general Outlook
by Abhijit Kar Gupta
- physics/0505112 Agents Play Mix-game
by Chengling Gou
- physics/0505079 Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction
by Wei-Xing Zhou & Didier Sornette
- physics/0505074 The bulk of the stock market correlation matrix is not pure noise
by J. Kwapien & P. Oswiecimka & S. Drozdz
- physics/0505047 Analyzing money distributions in `ideal gas' models of markets
by Arnab Chatterjee & Bikas K. Chakrabarti & Robin B. Stinchcombe
- physics/0505032 Automated Trading Systems: Developed and Emerging Capital Markets
by Ondrej Hudak & Jana Tothova
- physics/0504221 Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates
by Belal E. Baaquie & Cui Liang & Mitch C. Warachka
- physics/0504217 Pareto's Law of Income Distribution: Evidence for Germany, the United Kingdom, and the United States
by F. Clementi & M. Gallegati
- physics/0504210 What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?
by Hokky Situngkir & Yohanes Surya
- physics/0504197 The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models
by Sitabhra Sinha
- physics/0504187 Accounting for outliers and calendar effects in surrogate simulations of stock return sequences
by Alexandros Leontitsis & Constantinos E. Vorlow
- physics/0504161 Detailed simulation results for some wealth distribution models in Econophysics
by K. Bhattacharya & G. Mukherjee & S. S. Manna
- physics/0504158 Detecting subtle effects of persistence in the stock market dynamics
by R. Rak & S. Drozdz & J. Kwapien & P. Oswiecimka
- physics/0504153 Kinetic theory models for the distribution of wealth: power law from overlap of exponentials
by Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano
- physics/0504150 Investment horizons : A time-dependent measure of asset performance
by Ingve Simonsen & Anders Johansen & Mogens H. Jensen
- physics/0504143 The law of large numbers for completely random behavior of market participants. Quantum economics
by V. P. Maslov
- physics/0504131 Risk portofolio management under Zipf analysis based strategies
by M. Ausloos Ph. Bronlet
- physics/0504122 Leptokurtic Portfolio Theory
by Robert Kitt & Jaan Kalda
- physics/0504121 How the rich get richer
by Anita Mehta & A. S. Majumdar & J. M. Luck
- physics/0504100 Time and foreign exchange markets
by Luca Berardi & Maurizio Serva
- physics/0504038 Scaling Analysis on Indian Foreign Exchange Market
by A. Sarkar & P. Barat
- physics/0504014 Hausdorff clustering of financial time series
by Nicolas Basalto & Roberto Bellotti & Francesco De Carlo & Paolo Facchi & Saverio Pascazio
- physics/0504009 Characteristics of the Korean stock market correlations
by Woo-Sung Jung & Seungbyung Chae & Jae-Suk Yang & Hie-Tae Moon
- physics/0504002 The Quantitative Relations between Stock Prices and Quantities of Tradable Stock Shares and Its Applications
by Chengling Gou
- cond-mat/0503762 Coordination, intermittency and trends in generalized Minority Games
by A. Tedeschi & A. De Martino & I. Giardina
- cond-mat/0503607 Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
by Didier Sornette & Wei-Xing Zhou
- math/0503580 The right time to sell a stock whose price is driven by Markovian noise
by Robert C. Dalang & M. -O. Hongler
- math/0503579 Generalized stochastic differential utility and preference for information
by Ali Lazrak
- math/0503550 On the super replication price of unbounded claims
by Sara Biagini & Marco Frittelli
- math/0503541 Interplay between dividend rate and business constraints for a financial corporation
by Tahir Choulli & Michael Taksar & Xun Yu Zhou
- cond-mat/0503532 Reply to cond-mat/0503325: Comment on `Generating functional analysis of Minority Games with real merket histories' by KH Ho, WC Man, FK Chow and HF Chau
by A. C. C. Coolen
- math/0503516 Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
by Gordan Zitkovic
- math/0503473 Characterization of arbitrage-free markets
by Eva Strasser
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