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Content
2006
- 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
- physics/0607166 Kelly Criterion revisited: optimal bets
by Edward W. Piotrowski & Malgorzata Schroeder
- physics/0607151 Analysis of a Japan government intervention on the domestic agriculture market
by Nikolay K. Vitanov & Kenshi Sakai & Ivan P. Jordanov & Shunsuke Managi & Katsuhiko Demura
- physics/0607131 Dynamical change of Pareto index in Japanese land prices
by Atushi Ishikawa
- math/0607123 Error estimates for binomial approximations of game options
by Yuri Kifer
- math/0607112 Variance-optimal hedging for processes with stationary independent increments
by Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk
- physics/0607101 Virtual volatility
by A. Christian Silva & Richard E. Prange
- physics/0607076 Trend arbitrage, bid-ask spread and market dynamics
by Nikolai Zaitsev
- math-ph/0607066 Analysis of Stochstic Evolution
by Francesco Vallone
- nlin/0607064 Chaotic Dynamics in Optimal Monetary Policy
by Orlando Gomes & Vivaldo M. Mendes & Diana A. Mendes & J. Sousa Ramos
- physics/0607014 Inverse cubic law of index fluctuation distribution in Indian markets
by Raj Kumar Pan & Sitabhra Sinha
- math/0606520 Multivariate risks and depth-trimmed regions
by Ignacio Cascos & Ilya Molchanov
- math/0606471 An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market
by N. Josephy & L. Kimball & A. Nagaev & M. Pasniewski & V. Steblovskaya
- physics/0606224 Of Songs and Men: a Model for Multiple Choice with Herding
by Christian Borghesi & Jean-Philippe Bouchaud
- physics/0606213 Self-organization of price fluctuation distribution in evolving markets
by Raj Kumar Pan & Sitabhra Sinha
- math/0606183 Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
by Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata
- physics/0606164 Analysis of aggregated tick returns: evidence for anomalous diffusion
by Philipp Weber
- physics/0606161 Liquidity and the multiscaling properties of the volume traded on the stock market
by Zoltan Eisler & Janos Kertesz
- physics/0606115 Long-range memory model of trading activity and volatility
by V. Gontis & B. Kaulakys
- physics/0606078 The Apparent Madness of Crowds: Irrational collective behavior emerging from interactions among rational agents
by Sitabhra Sinha
- physics/0606071 Validation of internal rating systems and PD estimates
by Dirk Tasche
- physics/0606057 Aging in Financial Market
by Simone Bianco & Paolo Grigolini
- physics/0606041 Correlation matrix decomposition of WIG20 intraday fluctuations
by R. Rak & S. Drozdz & J. Kwapien & P. Oswiecimka
- physics/0606040 Queueing theoretical analysis of foreign currency exchange rates
by Jun-ichi Inoue & Naoya Sazuka
- physics/0606035 Linear vs. Nonlinear Diffusion and Martingale Option Pricing
by J. L. McCauley & G. H. Gunaratne & K. E. Bassler
- physics/0606020 Complexity characteristics of currency networks
by A. Z. Gorski & S. Drozdz & J. Kwapien & P. Oswiecimka
- physics/0606015 On the Feasibility of Portfolio Optimization under Expected Shortfall
by Stefano Ciliberti & Imre Kondor & Marc Mezard
- physics/0606012 Econophysics of Stock and Foreign Currency Exchange Markets
by Marcel Ausloos
- physics/0606011 Martingale Option Pricing
by J. L. McCauley & G. H. Gunaratne & K. E. Bassler
- physics/0606005 On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
by Naoya Sazuka
- physics/0606002 Response to Worrying Trends in Econophysics
by Joseph L. McCauley
- cond-mat/0605623 Statistical mechanics of combinatorial auctions
by Tobias Galla & Michele Leone & Matteo Marsili & Mauro Sellitto & Martin Weigt & Riccardo Zecchina
- math/0605599 Modelling Derivatives Pricing Mechanisms with Their Generating Functions
by Shige Peng
- math/0605461 On Stable Pareto Laws in a Hierarchical Model of Economy
by Alexander M. Chebotarev
- math/0605457 Hybrid dynamics for currency modeling
by Ted Theodosopoulos & Alex Trifunovic
- math/0605421 Imbalance attractors for a strategic model of market microstructure
by Ted Theodosopoulos & Ming Yuen
- physics/0605251 Correlation based networks of equity returns sampled at different time horizons
by M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna
- physics/0605247 The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics
by Sitabhra Sinha & Raj Kumar Pan
- physics/0605246 An Outlook on Correlations in Stock Prices
by Anirban Chakraborti
- physics/0605179 Microeconomic co-evolution model for financial technical analysis signals
by G. Rotundo & M. Ausloos
- physics/0605149 Optimal approximations of power-laws with exponentials
by Thierry Bochud & Damien Challet
- physics/0605147 Multifractal Model of Asset Returns versus real stock market dynamics
by P. Oswiecimka & J. Kwapien & S. Drozdz & A. Z. Gorski & R. Rak
- physics/0605146 A Non-Gaussian Approach to Risk Measures
by G. Bormetti & E. Cisana & G. Montagna & O. Nicrosini
- physics/0605115 Asymmetric matrices in an analysis of financial correlations
by J. Kwapien & S. Drozdz & A. Z. Gorski & P. Oswiecimka
- math/0605065 CAPM, rewards, and empirical asset pricing with coherent risk
by Alexander S. Cherny & Dilip B. Madan
- math/0605064 Pricing and hedging in incomplete markets with coherent risk
by Alexander S. Cherny & Dilip B. Madan
- math/0605062 Coherent measurement of factor risks
by Alexander S. Cherny & Dilip B. Madan
- math/0605051 Equilibrium with coherent risk
by Alexander S. Cherny
- math/0605049 Pricing with coherent risk
by Alexander S. Cherny
- math/0604641 A Delayed Black and Scholes Formula II
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap
- math/0604640 A Delayed Black and Scholes Formula I
by Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap
- math/0604316 Localizing Volatilities
by Marc Atlan
- math/0604311 The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
by T. R. Cass & P. K. Friz
- math/0604302 Getting real with real options
by M. R Grasselli
- physics/0604161 Models of wealth distributions: a perspective
by Abhijit Kar Gupta
- physics/0604137 Synchronization Model for Stock Market Asymmetry
by Raul Donangelo & Mogens H. Jensen & Ingve Simonsen & Kim Sneppen
- math/0604117 Explicit solutions for a nonlinear model of financial derivatives
by Ljudmila A. Bordag & Alina Z. Chmakova
- nlin/0604061 Profit Maximization, Industry Structure, and Competition: A critique of neoclassical theory
by Steve Keen & Russell K. Standish
- math/0603527 A stochastic volatility model with jumps
by Youssef El-Khatib
- math/0603316 State Dependent Utility
by Jaime A. Londo~no
- math/0603284 Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time
by Dmitry B. Rokhlin
- physics/0603173 Power Laws and Gaussians for Stock Market Fluctuations
by Caglar Tuncay & Dietrich Stauffer
- physics/0603166 How fair is an equitable distribution?
by Elena Ramirez Barrios & J. G. Diaz Ochoa & Johannes J. Schneider
- physics/0603152 Multi-asset minority games
by Ginestra Bianconi & Andrea De Martino & Fernando F. Ferreira & Matteo Marsili
- physics/0603147 Statistical properties of daily ensemble variables in the Chinese stock markets
by Gao-Feng Gu & Wei-Xing Zhou
- physics/0603141 Generic features of the wealth distribution in ideal-gas-like markets
by P. K. Mohanty
- physics/0603139 Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
by Taisei Kaizoji
- physics/0603138 Power laws and market crashes
by Taisei Kaizoji
- cond-mat/0603134 Effects of Tobin Taxes in Minority Game markets
by Ginestra Bianconi & Tobias Galla & Matteo Marsili
- physics/0603103 Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev
- physics/0603098 Why do Hurst exponents of traded value increase as the logarithm of company size?
by Zoltan Eisler & Janos Kertesz
- physics/0603084 Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
by Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo
- physics/0603076 Living in an Irrational Society: Wealth Distribution with Correlations between Risk and Expected Profits
by M. A. Fuentes & M. N. Kuperman & J. R. Iglesias
- physics/0603071 Nonextensive statistical features of the Polish stock market fluctuations
by R. Rak & S. Drozdz & J. Kwapien
- physics/0603061 The Power-law Tail Exponent of Income Distributions
by F. Clementi & T. Di Matteo & M. Gallegati
- math/0603041 On decomposing risk in a financial-intermediate market and reserving
by Saul Jacka & Abdel Berkaoui
- physics/0603040 Evaluation of Tranche in Securitization and Long-range Ising Model
by K. Kitsukawa & S. Mori & M. Hisakado
- physics/0603036 Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios
by S. Mori & K. Kitsukawa & M. Hisakado
- physics/0603013 Stock mechanics: unification with economy
by Caglar Tuncay
- physics/0603012 The Process of price formation and the skewness of asset returns
by Stefan Reimann
- math/0602594 Martingale selection problem and asset pricing in finite discrete time
by Dmitry B. Rokhlin
- math/0602592 On the density of properly maximal claims in financial markets with transaction costs
by Saul Jacka & Abdelkarem Berkaoui
- math/0602532 A theory of stochastic integration for bond markets
by M. De Donno & M. Pratelli
- math/0602521 Atlas models of equity markets
by Adrian D. Banner & Robert Fernholz & Ioannis Karatzas
- math/0602462 Maturity randomization for stochastic control problems
by Bruno Bouchard & Nicole El Karoui & Nizar Touzi
- math/0602451 Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
by Bruno Bouchard & Huy^en Pham
- cond-mat/0602316 Markov Processes, Hurst Exponents, and Nonlinear Diffusion Equations with application to finance
by Kevin E. Bassler & Gemunu H. Gunaratne & Joseph L. McCauley
- math/0602178 No-arbitrage and closure results for trading cones with transaction costs
by Saul Jacka & Abdelkarem Berkaoui & Jon Warren
- physics/0602171 A microscopic model of triangular arbitrage
by Y. Aiba & N. Hatano
- physics/0602107 The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives
by Luca Capriotti
- physics/0602102 Unifying the BGM and SABR Models: A short Ride in Hyperbolic Geometry
by Pierre Henry-Labordere
- physics/0602097 An elementary model of price dynamics in a financial market: Distribution, Multiscaling & Entropy
by Stefan Reimann
- physics/0602055 Stock mechanics: theory of conservation of total energy and predictions of coming short-term fluctuations of Dow Jones Industrials Average (DJIA)
by Caglar Tuncay
- physics/0602052 Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations
by V. Alfi & F. Coccetti & A. Petri & L. Pietronero
- physics/0602048 Delta Hedged Option Valuation with Underlying Non-Gaussian Returns
by L. Moriconi
- nlin/0602019 Econophysical Dynamics of Market-Based Electric Power Distribution Systems
by Nicolas Ho & David P. Chassin
- physics/0602015 Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike
- math/0602013 A data-reconstructed fractional volatility model
by Rui Vilela Mendes & M. J. Oliveira
- math/0601627 Capital Requirement for Achieving Acceptability
by Soumik Pal
- math/0601526 Convexity preserving jump-diffusion models for option pricing
by Erik Ekstrom & Johan Tysk
- cond-mat/0601279 Analysis of delay correlation matrices
by K. B. K. Mayya & R. E. Amritkar
- physics/0601222 A nonextensive approach to the dynamics of financial observables
by Silvio M. Duarte Queiros & Luis G. Moyano & Jeferson de Souza & Constantino Tsallis
- physics/0601205 Level Crossing Analysis of the Stock Markets
by G. R. Jafari & M. S. Movahed & S. M. Fazeli & M. Reza Rahimi Tabar & S. F. Masoudi
- physics/0601191 Nonequilibrium Thermodynamics of Wealth Condensation
by Dieter Braun
- physics/0601176 A study of the personal income distribution in Australia
by Anand Banerjee & Victor M. Yakovenko & T. Di Matteo
- physics/0601174 Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes
by GabJin Oh & Cheol-Jun Um & Seunghwann Kim
- physics/0601171 Scale-free avalanche dynamics in the stock market
by M. Bartolozzi & D. B. Leinweber & A. W. Thomas
- physics/0601166 How many independent bets are there?
by Daniel Polakow & Tim Gebbie
- physics/0601126 Statistical Properties of the Returns of Stock Prices of International Markets
by GabJin Oh & Cheol-Jun Um & Seunghwan Kim
- physics/0601106 An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
by Taisei Kaizoji
- physics/0601098 Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability
by Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev
- physics/0601089 Hidden Forces and Fluctuations from Moving Averages: A Test Study
by V. Alfi & F. Coccetti & M. Marotta & L. Pietronero & M. Takayasu
- nlin/0601074 Difference in nature of correlation between NASDAQ and BSE indices
by P. Manimaran & Prasanta K. Panigrahi & Jitendra. C. Parikh
- physics/0601047 Non Poisson intermittent events in price formation
by Antonella Greco & Luca Sorriso-Valvo & Vincenzo Carbone
- physics/0601002 Optimal Investment Horizons for Stocks and Markets
by A. Johansen & I. Simonsen & M. H. Jensen
2005
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