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Content
2007
- 0705.2551 Network Topology of an Experimental Futures Exchange
by S. C. Wang & J. J. Tseng & C. C. Tai & K. H. Lai & W. S. Wu & S. H. Chen & S. P. Li - 0705.2110 Optimal quantization for the pricing of swing options
by Olivier Aj Bardou & Sandrine Bouthemy & Gilles Pag`es - 0705.2098 Kolkata Restaurant Problem as a generalised El Farol Bar Problem
by Bikas K. Chakrabarti - 0705.2097 A simple algorithm based on fluctuations to play the market
by L. Gil - 0705.1949 Correlated multi-asset portfolio optimisation with transaction cost
by Siu Lung Law & Chiu Fan Lee & Sam Howison & Jeff N. Dewynne - 0705.1302 Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments
by Moshe A. Milevsky & S. David Promislow & Virginia R. Young - 0705.1297 Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs
by Virginia R. Young - 0705.1056 The log-normal distribution from Non-Gibrat's law in the middle scale region of profits
by Atushi Ishikawa - 0705.0503 Change point estimation for the telegraph process observed at discrete times
by Alessandro De Gregorio & Stefano M. Iacus - 0705.0161 Quantitative relations between corruption and economic factors
by Jia Shao & Plamen Ch. Ivanov & Boris Podobnik & H. Eugene Stanley - 0705.0076 Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market
by Cheoljun Eom & Gabjin Oh & Seunghwan Kim - 0705.0053 Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young - 0705.0029 EGT through Quantum Mechanics & from Statistical Physics to Economics
by Esteban Guevara - 0704.3798 Modeling the Epps effect of cross correlations in asset prices
by Bence Toth & Balint Toth & Janos Kertesz - 0704.3686 Improving Estimates of Monotone Functions by Rearrangement
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon - 0704.3649 Quantile and Probability Curves Without Crossing
by Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon - 0704.2865 Classical and quantum randomness and the financial market
by Andrei Khrennikov - 0704.2244 Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
by Erhan Bayraktar & Virginia R. Young - 0704.2139 Why only few are so successful ?
by P. K. Mohanty - 0704.2115 Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE
by Sitabhra Sinha & Raj Kumar Pan - 0704.2003 Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
by Gabriella Vaglica & Fabrizio Lillo & Esteban Moro & Rosario N. Mantegna - 0704.1976 Information-Based Asset Pricing
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina - 0704.1738 Financial time-series analysis: A brief overview
by A. Chakraborti & M. Patriarca & M. S. Santhanam - 0704.1433 Exact retrospective Monte Carlo computation of arithmetic average Asian options
by Benjamin Jourdain & Mohamed Sbai - 0704.1348 Large portfolio losses: A dynamic contagion model
by Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti - 0704.1338 True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
by Ruipeng Liu & T. Di Matteo & Thomas Lux - 0704.1225 Patterns of dominant flows in the world trade web
by M. Angeles Serrano & Marian Boguna & Alessandro Vespignani - 0704.1099 The Epps effect revisited
by Bence Toth & Janos Kertesz - 0704.0773 Collective behavior of stock price movements in an emerging market
by Raj Kumar Pan & Sitabhra Sinha - 0704.0745 Weak and Strong Taylor methods for numerical solutions of stochastic differential equations
by Maria Siopacha & Josef Teichmann - 0704.0664 Stock market return distributions: from past to present
by S. Drozdz & M. Forczek & J. Kwapien & P. Oswiecimka & R. Rak - 0704.0589 Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes
by Wei-Xing Zhou & Didier Sornette - 0704.0567 Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models
by Martin Keller-Ressel & Thomas Steiner - 0704.0394 Average optimality for risk-sensitive control with general state space
by Anna Ja'skiewicz - 0704.0335 Approximation of the distribution of a stationary Markov process with application to option pricing
by Gilles Pag`es & Fabien Panloup - math/0703862 Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young - math/0703850 Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
by Erhan Bayraktar & Virginia R. Young - math/0703834 Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
by Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar - math/0703833 The Effects of Implementation Delay on Decision-Making Under Uncertainty
by Erhan Bayraktar & Masahiko Egami - math/0703832 Queueing Theoretic Approaches to Financial Price Fluctuations
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - math/0703831 A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - math/0703828 Optimal Time to Change Premiums
by Erhan Bayraktar & H. Vincent Poor - math/0703827 Interacting Agent Feedback Finance Model
by Biao Wu - math/0703825 A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
by Erhan Bayraktar & Masahiko Egami - math/0703824 Minimizing the Lifetime Shortfall or Shortfall at Death
by Erhan Bayraktar - math/0703823 Optimizing Venture Capital Investments in a Jump Diffusion Model
by Erhan Bayraktar & Masahiko Egami - math/0703820 Correspondence between Lifetime Minimum Wealth and Utility of Consumption
by Erhan Bayraktar & Virginia R. Young - math/0703811 Suboptimality of Penalized Empirical Risk Minimization in Classification
by Guillaume Lecu'e - math/0703782 A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
by Erhan Bayraktar - math/0703743 Implications of contrarian and one-sided strategies for the fair-coin game
by Yasunori Horikoshi & Akimichi Takemura - math/0703714 Delta Hedging without the Black-Scholes Formula
by Yukio Hirashita - math/0703538 On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
by Erhan Bayraktar - math/0703424 Mean-variance Hedging Under Partial Information
by M. Mania & R. Tevzadze & T. Toronjadze - physics/0703217 Properties of a simple bilinear stochastic model: estimation and predictability
by D. Sornette & V. F. Pisarenko - physics/0703208 Statistical properties of short term price trends in high frequency stock market data
by Pawe{l} Sieczka & Janusz A. Ho{l}yst - physics/0703201 Economic Inequality: Is it Natural?
by Arnab Chatterjee & Sitabhra Sinha & Bikas K. Chakrabarti - physics/0703181 Least Squares Importance Sampling for Monte Carlo Security Pricing
by Luca Capriotti - physics/0703180 A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: the Exponent Expansion
by Luca Capriotti - physics/0703156 Strategy bifurcation and spatial inhomogeneity in a simple model of competing sellers
by L. Mitchell & G. J. Ackland - cs/0703148 Computer Science and Game Theory: A Brief Survey
by Joseph Y. Halpern - physics/0703128 Fluctuation scaling versus gap scaling
by Zoltan Eisler & Janos Kertesz - 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