Printed from https://ideas.repec.org/s/arx/papers135.html
Content
2003
- cond-mat/0312406 Power law for ensembles of stock prices
by Taisei Kaizoji & Michiyo Kaizoji - cond-mat/0312404 A mechanism leading bubbles to crashes: the case of Japan's land markets
by Taisei Kaizoji & Michiyo Kaizoji - cond-mat/0312357 Effects of Randomness on Power Law Tails in Multiplicatively Interacting Stochastic Processes
by Toshiya Ohtsuki & Akihiro Fujihara & Hiroshi Yamamoto - cond-mat/0312167 Gibbs versus non-Gibbs distributions in money dynamics
by Marco Patriarca & Anirban Chakraborti & Kimmo Kaski - cond-mat/0312149 Antibubble and Prediction of China's stock market and Real-Estate
by W. -X. Zhou & D. Sornette - cond-mat/0312121 A comparison between several correlated stochastic volatility models
by Josep Perello & Jaume Masoliver & Napoleon Anento - nlin/0312065 Intermittent chaos in a model of financial markets with heterogeneous agents
by Taisei Kaizoji - nlin/0312040 Speculative bubbles and fat tail phenomena in a heterogeneous agent model
by Taisei Kaizoji - cond-mat/0311646 Motion in random fields - an application to stock market data
by James P. Gleeson - cond-mat/0311627 Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea?
by D. Grech & Z. Mazur - cond-mat/0311594 Ehrenfest Model with Large Jumps in Finance
by Hisanao Takahashi - cond-mat/0311585 The duration of recessions follows an exponential not a power law
by Ian Wright - cond-mat/0311581 Tobin tax and market depth
by G. Ehrenstein & F. Westerhoff & D. Stauffer - cond-mat/0311372 Stochastic Cellular Automata Model for Stock Market Dynamics
by M. Bartolozzi & A. W. Thomas - math/0311280 Bessel processes, the integral of geometric Brownian motion, and Asian options
by M. Schroder & P. Carr - cond-mat/0311257 Real payoffs and virtual trading in agent based market models
by F. F. Ferreira & M. Marsili - cond-mat/0311235 Inelastically scattering particles and wealth distribution in an open economy
by Frantisek Slanina - cond-mat/0311227 Money in Gas-Like Markets: Gibbs and Pareto Laws
by Arnab Chatterjee & Bikas K. Chakrabarti & S. S. Manna - cond-mat/0311155 Volatility and Returns in Korean Futures Exchange Markets
by Kyungsik Kim & Seong-Min Yoon & Jum Soo Choi - math/0311144 A model of the term structure of interest rates based on L\'evy fields
by Sergio Albeverio & Eugene Lytvynov & Andrea Mahnig - cond-mat/0311127 Correlation between Risk Aversion and Wealth distribution
by J. R. Iglesias & S. Goncalves & G. Abramson & J. L. Vega - cond-mat/0311113 Inequalities of wealth distribution in a conservative economy
by S. Pianegonda & J. R. Iglesias - cond-mat/0311103 Time scales involved in market emergence
by J. Kwapien & S. Drozdz & J. Speth - cond-mat/0311096 Monopoly Market with Externality: an Analysis with Statistical Physics and Agent Based Computational Economics
by Jean-Pierre Nadal & Denis Phan & Mirta B. Gordon & Jean Vannimenus - cond-mat/0311089 Fearless versus Fearful Speculative Financial Bubbles
by J. V. Andersen & D Sornette - physics/0311074 The Maxwell Demon and Market Efficiency
by Roger D. Jones & Sven G. Redsun & Roger E. Frye & Kelly D. Myers - nlin/0311055 Induced Minority Dynamics in a Stock Market Model
by Yi Li & Robert Savit - cond-mat/0311053 The long memory of the efficient market
by Fabrizio Lillo & J. Doyne Farmer - cond-mat/0310544 Exchanges in complex networks: income and wealth distributions
by T. Di Matteo & T. Aste & S. T. Hyde - cond-mat/0310503 The scale-free topology of market investments
by Diego Garlaschelli & Stefano Battiston & Maurizio Castri & Vito D. P. Servedio & Guido Caldarelli - cond-mat/0310351 Modeling of waiting times and price changes in currency exchange data
by Przemyslaw Repetowicz & Peter Richmond - cond-mat/0310343 A distribution function analysis of wealth distribution
by Arnab Das & Sudhakar Yarlagadda - cond-mat/0310305 Anomalous waiting times in high-frequency financial data
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto - math/0310223 Consistent Estimation of Pricing Kernels from Noisy Price Data
by Vladislav Kargin - cond-mat/0310092 Testing the Stability of the 2000-2003 US Stock Market "Antibubble"
by W. -X. Zhou & D. Sornette - cond-mat/0310062 Zipf Law in Firms Bankruptcy
by Yoshi Fujiwara - cond-mat/0310061 Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms
by Yoshi Fujiwara & Corrado Di Guilmi & Hideaki Aoyama & Mauro Gallegati & Wataru Souma - cond-mat/0309549 Cooperativity in a trading model with memory and production
by R. Donangelo & K. Sneppen - cond-mat/0309533 Typical properties of large random economies with linear activities
by A. De Martino & M. Marsili & I. P'erez Castillo - math/0309457 Exact Solution of Discrete Hedging Equation for European Option
by D. E. Yakovlev & D. N. Zhabin - cond-mat/0309416 On the origin of power law tails in price fluctuations
by J. Doyne Farmer & Fabrizio Lillo - cond-mat/0309404 Langevin processes, agent models and socio-economic systems
by Peter Richmond & Lorenzo Sabatelli - math/0309276 Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options
by Jules Sadefo Kamdem & Alan Genz - cond-mat/0309233 The Predictive Power of Zero Intelligence in Financial Markets
by J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko - math/0309211 Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
by Jules Sadefo Kamdem - quant-ph/0309033 Correlated Equilibria of Classical Strategic Games with Quantum Signals
by Pierfrancesco La Mura - cond-mat/0309003 Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
by Dirk Tasche & Ursula Theiler - cond-mat/0308548 Could short selling make financial markets tumble?
by Jorgen Vitting Andersen - cond-mat/0308365 Statistical Laws in the Income of Japanese Companies
by Takayuki Mizuno & Makoto Katori & Hideki Takayasu & Misako Takayasu - cond-mat/0308358 Percolation-Based Model of New-Product Diffusion with Macroscopic Feedback Effects
by Martin Hohnisch & Sabine Pittnauer & Dietrich Stauffer - physics/0308062 Foreign exchange market fluctuations as random walk in demarcated complex plane
by Johnrob Bantang & May Lim & Patricia Arielle Castro & Christopher Monterola & Caesar Saloma - cond-mat/0308017 The CTRW in finance: Direct and inverse problems with some generalizations and extensions
by Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss - cond-mat/0308013 Scale-Dependent Price Fluctuations for the Indian Stock Market
by Kaushik Matia & Mukul Pal & H. Eugene Stanley & H. Salunkay - cond-mat/0308012 Multifractal Properties of Price Fluctuations of Stocks and Commodities
by Kaushik Matia & Yosef Ashkenazy & H. Eugene Stanley - cond-mat/0307759 Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
by Miquel Montero - cond-mat/0307341 Applications of physics to economics and finance: Money, income, wealth, and the stock market
by Adrian A. Dragulescu - cond-mat/0307332 Fluctuations and response in financial markets: the subtle nature of `random' price changes
by Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart - cond-mat/0307323 Another type of log-periodic oscillations on Polish stock market?
by Piotr Gnacinski & Danuta Makowiec - cond-mat/0307270 The mean-field approximation model of company's income growth
by Takayuki Mizuno & Misako Takayasu & Hideki Takayasu - math/0307265 Approximation probabilities, the law of quasistable markets, and phase transitions from the "condensed" state
by V. P. Maslov - cond-mat/0307244 Concave risk measures in international capital regulation
by Imre Kondor & Andras Szepessy & Tunde Ujvarosi - cond-mat/0307226 Modelling and computer simulation of an insurance policy: A search for maximum profit
by M. Acharyya & A. B. Acharyya - math/0307197 Wiener Chaos and the Cox-Ingersoll-Ross model
by M. R. Grasselli & T. R. Hurd - cond-mat/0307170 On Simple Mean-Field Stochastic Model of Market Dynamics
by Guennadi Saiko - cond-mat/0306608 Alternation of different fluctuation regimes in the stock market dynamics
by J. Kwapien & S. Drozdz & J. Speth - cond-mat/0306605 Risk aversion in financial decisions: A nonextensive approach
by Celia Anteneodo & Constantino Tsallis - cond-mat/0306579 A Trade-Investment Model for Distribution of Wealth
by Nicola Scafetta & Bruce J. West & Sergio Picozzi - cond-mat/0306507 Dynamics of multi-frequency minority games
by Andrea De Martino - cond-mat/0306496 Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market
by D. Sornette & W. -X. Zhou - cond-mat/0306322 The statistical distribution of money and the rate of money transference
by Juan C. Ferrero - cond-mat/0305475 Estimated Correlation Matrices and Portfolio Optimization
by Szilard Pafka & Imre Kondor - cond-mat/0305417 Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
by Rene' Carmona & Dario Villani - math/0305274 State Tameness: A New Approach for Credit Constrains
by Jaime A. Londo~no - cond-mat/0305270 Multifractal Features in the Foreign Exchange and Stock Markets
by Kyungsik Kim & Seong-Min Yoon - physics/0305089 Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
by Y. Malevergne & V. F. Pisarenko & D. Sornette - cond-mat/0305062 Non-Life Insurance Pricing : Statistical Mechanics Viewpoint
by Amir H. Darooneh - cond-mat/0305038 A traffic lights approach to PD validation
by Dirk Tasche - math/0305017 A numeraire-free and original probability based framework for financial markets
by Jia-An Yan - math/0305010 Measuring and hedging financial risks in dynamical world
by Nicole El Karoui - cond-mat/0305004 The US 2000-2003 Market Descent: Clarifications
by D. Sornette & W. -X. Zhou - cond-mat/0304685 Analytic treatment of a trading market model
by Arnab Das & Sudhakar Yarlagadda - cond-mat/0304601 Predictability of large future changes in major financial indices
by D. Sornette & W. -X. Zhou - cond-mat/0304469 Using Recurrent Neural Networks To Forecasting of Forex
by V. V. Kondratenko & Yu. A Kuperin - cond-mat/0304451 Herd Behaviors in the Stock and Foreign Exchange Markets
by Kyungsik Kim & Seong-Min Yoon & Yup Kim - cond-mat/0304331 Market Simulation Displaying Multifractality
by Kazuko Yamasaki & Kenneth J. Mackin - cond-mat/0304324 Stochastic Maps, Wealth Distribution in Random Asset Exchange Models and the Marginal Utility of Relative Wealth
by Sitabhra Sinha - math/0304151 Optimal Asset Allocation with Asymptotic Criteria
by Vladislav Kargin - cond-mat/0304143 Herd Behavior of Returns in the Futures Exchange Market
by Kyungsik Kim & Seong-Min Yoon & Yup Kim - cond-mat/0304132 Causalities of the Taiwan Stock Market
by Juhi-Lian Julian Ting - cond-mat/0303568 Fitting the Power-law Distribution to the Mexican Stock Market index data
by H. F. Coronel-Brizio & C. R. de la Cruz-Laso & A. R. Hernandez-Montoya - cond-mat/0303306 Time-scale dependence of correlations among foreign currencies
by Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu - cond-mat/0303304 Investment strategy based on a company growth model
by Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu - cond-mat/0303298 Bose-Einstein Condensation in Competitive Processes
by Hideaki Shimazaki & Ernst Niebur - cond-mat/0303271 Bose-Einstein Condensation in Financial Systems
by Kestutis Staliunas - cond-mat/0303222 Long Memory in Stock Trading
by Andrei Leonidov - cond-mat/0303099 Wavelet Correlation Coefficient of 'strongly correlated' financial time series
by Ashok Razdan - cond-mat/0303089 Multiplicative point process as a model of trading activity
by Vygintas Gontis & Bronislovas Kaulakys - physics/0303028 2000-2003 Real Estate Bubble in the UK but not in the USA
by W. -X. Zhou & D. Sornette - cond-mat/0302579 Financial Probabilities from Fisher Information
by Raymond J. Hawkins & B. Roy Frieden - cond-mat/0302507 Significance of log-periodic signatures in cumulative noise
by Hans-Christian Graf v. Bothmer - cond-mat/0302470 Scaling behavior in land markets
by Taisei Kaizoji - cond-mat/0302468 Scaling Law for the Distribution of Fluctuations of Share Volume
by Taisei Kaizoji & Masahide Nuki - cond-mat/0302434 Using the Scaling Analysis to Characterize Financial Markets
by T. Di Matteo & T. Aste & M. M. Dacorogna - cond-mat/0302402 Calculating credit risk capital charges with the one-factor model
by Susanne Emmer & Dirk Tasche - cond-mat/0302342 Long-range correlations and nonstationarity in the Brazilian stock market
by R. L. Costa & G. L. Vasconcelos - cond-mat/0302270 Research in Econophysics
by Victor M. Yakovenko - math/0302243 Static Arbitrage Bounds on Basket Option Prices
by Alexandre d'Aspremont & Laurent El Ghaoui - cond-mat/0302147 Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity
by Bikas K. Chakrabarti & Arnab Chatterjee - math/0302104 Optimal Convergence Trading
by Vladislav Kargin - cond-mat/0302095 Multiple time scales in volatility and leverage correlations: An stochastic volatility model
by Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud - cond-mat/0301543 Critical Market Crashes
by D. Sornette - cond-mat/0301307 Nonextensive statistical mechanics and economics
by Constantino Tsallis & Celia Anteneodo & Lisa Borland & Roberto Osorio - cond-mat/0301289 Pareto Law in a Kinetic Model of Market with Random Saving Propensity
by Arnab Chatterjee & Bikas K. Chakrabarti & S. S. Manna - math/0301278 A theory of bond portfolios
by Ivar Ekeland & Erik Taflin - cond-mat/0301268 Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach
by K. Ivanova & M. Ausloos & H. Takayasu - cond-mat/0301068 The average shape of a fluctuation: universality in excursions of stochastic processes
by Andrea Baldassarri & Francesca Colaiori & Claudio Castellano - physics/0301023 Renormalization Group Analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction
by W. -X. Zhou & D. Sornette - physics/0301009 VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
by Y. Malevergne & D. Sornette - physics/0301007 Finite-Time Singularity Signature of Hyperinflation
by D. Sornette & H. Takayasu & W. -X. Zhou
2002
- cond-mat/0212641 Generalized Technical Analysis. Effects of transaction volume and risk
by M. Ausloos & K. Ivanova - cond-mat/0212393 Dynamical Behavior of Continuous Tick Data in Futures Exchange Market
by Kyungsik Kim & Seong-Min Yoon - cond-mat/0212358 Optimal strategies in collective Parrondo games
by Luis Dinis & Juan M. R. Parrondo - cond-mat/0212338 Degree stability of a minimum spanning tree of price return and volatility
by Salvatore Miccich`e & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0212249 Pseudo-diffusions and Quadratic term structure models
by Sergei Levendorskii - cond-mat/0212187 Risk and Utility in Portfolio Optimization
by Morrel H. Cohen & Vincent D. Natoli - cond-mat/0212186 Power Law Distribution of the Frequency of Demises of U.S Firms
by William Cook & Paul Ormerod - cond-mat/0212010 Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
by W. -X. Zhou & D. Sornette - cond-mat/0211534 Premium Forecasting of an Insurance Company: Automobile Insurance
by M. Ebrahim Fouladvand & Amir H. Darooneh - cond-mat/0211489 Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations
by Belal E. Baaquie & Claudio Coriano & Marakani Srikant - math/0211383 A Monte Carlo method for exponential hedging of contingent claims
by M. R. Grasselli & T. R. Hurd - cond-mat/0211317 Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets
by V. Gontis - cond-mat/0211260 Pricing Derivatives by Path Integral and Neural Networks
by G. Montagna & M. Morelli & O. Nicrosini & P. Amato & M. Farina - cond-mat/0211175 Statistical Mechanics of Money, Income, and Wealth: A Short Survey
by Adrian A. Dragulescu & Victor M. Yakovenko - cond-mat/0211162 Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
by Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu - cond-mat/0211108 Reconstructing an economic space from a market metric
by R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a - cond-mat/0211082 Limit order market analysis and modelling: on an universal cause for over-diffusive prices
by Damien Challet & Robin Stinchcombe - cond-mat/0211058 How effective is advertising in duopoly markets?
by K. Sznajd-Weron & R. Weron - cond-mat/0211044 Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons
by E. Aurell & P. Muratore-Ginanneschi - cond-mat/0211039 Inverse Statistics in Economics : The gain-loss asymmetry
by Mogens H. Jensen & Anders Johansen & Ingve Simonsen - physics/0211029 Transfer Potentials shape and equilibrate Monetary Systems
by Dieter Braun & Robert Fischer - nlin/0211010 Evolution and anti-evolution in a minimal stock market model
by R. Rothenstein & K. Pawelzik - cond-mat/0210549 Criticality and finite size effects in a simple realistic model of stock market
by Damien Challet & Matteo Marsili - cond-mat/0210513 A continuous time random walk model for financial distributions
by Jaume Masoliver & Miquel Montero & George H. Weiss - cond-mat/0210509 Endogenous versus Exogenous Crashes in Financial Markets
by A. Johansen & D. Sornette - cond-mat/0210499 Strategy for investments from Zipf law(s)
by M. Ausloos & Ph. Bronlet - cond-mat/0210475 Statistical theory of the continuous double auction
by Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy - cond-mat/0210115 Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
by Y. Malevergne & D. Sornette - cond-mat/0210090 Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
by Naoki Kozuki & Nobuko Fuchikami - physics/0210025 Pricing European Options in Realistic Markets
by Martin Schaden - cond-mat/0209685 Dynamics of a financial market index after a crash
by Fabrizio Lillo & Rosario N. Mantegna - cond-mat/0209591 Log-periodic self-similarity: an emerging financial law?
by S. Drozdz & F. Grummer & F. Ruf & J. Speth - cond-mat/0209522 A master equation approach to option pricing
by Daniel Faller & Francesco Petruccione - cond-mat/0209475 A theory for Fluctuations in Stock Prices and Valuation of their Options
by Gemunu H. Gunaratne & Joseph L. McCauley - cond-mat/0209446 Statistical Bounds on Equity
by Daniel O. Badagnani - cond-mat/0209373 Pareto's law: a model of human sharing and creativity
by Nicola Scafetta & Sergio Picozzi & Bruce J. West - cond-mat/0209343 Hedging in Field Theory Models of the Term Structure
by Belal E. Baaquie & Marakani Srikant - cond-mat/0209103 Kinematics of stock prices
by M. Serva & U. L. Fulco & M. L. Lyra & G. M. Viswanathan - cond-mat/0209065 The US 2000-2002 Market Descent: How Much Longer and Deeper?
by D. Sornette & W. -X. Zhou - nlin/0209010 Implications of Correlated Default For Portfolio Allocation To Corporate Bonds
by Mark B. Wise & Vineer Bhansali - cond-mat/0208574 Statistical properties of the Jakarta and Kuala Lumpur stock exchange indices before and after crash
by T. Mart - cond-mat/0208528 Comparison of Field Theory Models of Interest Rates with Market Data
by Belal E. Baaquie & Marakani Srikant - cond-mat/0208514 Theoretical Analysis and Simulations of the Generalized Lotka-Volterra Model
by Ofer Malcai & Ofer Biham & Peter Richmond & Sorin Solomon - cond-mat/0208464 Long-Time Fluctuations in a Dynamical Model of Stock Market Indices
by Ofer Biham & Zhi-Feng Huang & Ofer Malcai & Sorin Solomon - cond-mat/0208398 Growth and Fluctuations of Personal Income
by Yoshi Fujiwara & Wataru Souma & Hideaki Aoyama & Taisei Kaizoji & Masanao Aoki - cond-mat/0208310 The Interactive Minority Game: Instructions for Experts
by Peter Ruch & Joseph Wakeling & Yi-Cheng Zhang - cond-mat/0208240 Are the contemporary financial fluctuations sooner converging to normal?
by S. Drozdz & J. Kwapien & F. Gruemmer & F. Ruf & J. Speth - cond-mat/0208191 Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance
by Belal E. Baaquie & Claudio Coriano & Marakani Srikant - math/0208130 On Bond Portfolio Management
by Vladislav Kargin - cond-mat/0207750 Credit Risk Contributions to Value-at-Risk and Expected Shortfall
by Alexandre Kurth & Dirk Tasche - cond-mat/0207555 Remarks on the monotonicity of default probabilities
by Dirk Tasche - cond-mat/0207523 Designing agent-based market models
by Paul Jefferies & Neil F. Johnson - cond-mat/0207475 Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
by Y. Malevergne & D. Sornette - cond-mat/0207428 Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
by Fabrizio Lillo & J. Doyne Farmer & Rosario N. Mantegna - cond-mat/0207376 Excess Demand Financial Market Model
by Fredrick Michael & John Evans & M. D. Johnson - cond-mat/0207280 Volatility Cluster and Herding
by Friedrich Wagner - math/0207260 Optimal portfolio selection and compression in an incomplete market
by Nikolai Dokuchaev & Ulrich Haussmann - math/0207259 Maximin setting for investment problems and fixed income management with observable but non-predictable parameters
by Nikolai Dokuchaev - cond-mat/0207253 Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
by Taisei Kaizoji & Stefan Bornholdt & Yoshi Fujiwara - cond-mat/0207227 Stock Market Scale by Artificial Insymmetrised Patterns
by Danuta Makowiec - cond-mat/0207181 Advertising effects in Sznajd marketing model
by Christian Schulze - cond-mat/0207156 Dissecting financial markets: Sectors and states
by Matteo Marsili - physics/0207020 Buyer feedback as a filtering mechanism for reputable sellers
by Paolo Laureti & Frantisek Slanina & Yi-Kuo Yu & Yi-Cheng Zhang - cond-mat/0206577 A New Method to Estimate the Noise in Financial Correlation Matrices
by Thomas Guhr & Bernd Kaelber - cond-mat/0206457 A Quantum Field Theory Term Structure Model Applied to Hedging
by Belal E. Baaquie & Marakani Srikant & Mitch Warachka - cond-mat/0206446 Exact Hurst exponent and crossover behavior in a limit order market model
by R. D. Willmann & G. M. Schuetz & D. Challet - cond-mat/0206047 Endogeneous Versus Exogeneous Shocks in Systems with Memory
by D. Sornette & A. Helmstetter - nlin/0206032 The Hunt Hypothesis and the Dividend Policy of the Firm. The Chaotic Motion of the Profits
by Safieddine Bouali - cond-mat/0205636 Hedging Extreme Co-Movements
by Y. Malevergne & D. Sornette - cond-mat/0205531 Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes
by Wei-Xing Zhou & Didier Sornette - cond-mat/0205520 Empirical nonextensive laws for the county distribution of total personal income and gross domestic product
by Ernesto P. Borges - cond-mat/0205482 Financial multifractality and its subtleties: an example of DAX
by A. Z. Gorski & S. Drozdz & J. Speth - cond-mat/0205320 Cont-Bouchaud percolation model including Tobin tax
by Gudrun Ehrenstein - cond-mat/0205262 Non-equilibrium statistical mechanics of Minority Games
by A. C. C. Coolen - math/0205120 Pricing rule based on non-arbitrage arguments for random volatility and volatility smile
by Nikolai Dokuchaev - cond-mat/0205119 Noisy Covariance Matrices and Portfolio Optimization II
by Szilard Pafka & Imre Kondor - cond-mat/0205083 Market simulation with hierarchical information flux
by Christian Schulze - cond-mat/0205078 A Theory of Non_Gaussian Option Pricing
by Lisa Borland - physics/0205053 A Quantum Approach to Stock Price Fluctuations
by Martin Schaden