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Content
2002
2001
- cond-mat/0112484 The origin of fat tailed distributions in financial time series
by G. M. Viswanathan & U. L. Fulco & M. L. Lyra & M. Serva
- cond-mat/0112441 The mechanism of double exponential growth in hyper-inflation
by Takayuki Mizuno & Misako Takayasu & Hideki Takayasu
- cond-mat/0112422 A quantitative model of trading and price formation in financial markets
by Marcus G. Daniels & J. Doyne Farmer & Laszlo Gillemot & Giulia Iori & Eric Smith
- cond-mat/0112271 Identifying Complexity by Means of Matrices
by S. Drozdz & J. Kwapien & J. Speth & M. Wojcik
- cond-mat/0112045 Calculating Value-at-Risk contributions in CreditRisk+
by Hermann Haaf & Dirk Tasche
- physics/0112045 Dynamics of market indices, Markov chains, and random walking problem
by M. I. Krivoruchenko
- cond-mat/0111586 Self-organized criticality in a model of collective bank bankruptcies
by Agata Aleksiejuk & Janusz A. Holyst & Gueorgi Kossinets
- cond-mat/0111579 Gradually Truncated Log-normal distribution - Size distribution of firms
by Hari M. Gupta & Jose R. Campanha
- cond-mat/0111563 An application of Malliavin Calculus to Finance
by Arturo Kohatsu-Higa & Miquel Montero
- cond-mat/0111537 Portfolio Optimization and the Random Magnet Problem
by B. Rosenow & V. Plerou & P. Gopikrishnan & H. E. Stanley
- cond-mat/0111529 Return or stock price differences
by Jaume Masoliver & Miquel Montero & Josep Perello
- cond-mat/0111503 Noisy Covariance Matrices and Portfolio Optimization
by Szilard Pafka & Imre Kondor
- cond-mat/0111349 Symmetry Breaking in Stock Demand
by Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley
- cond-mat/0111310 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
by Y. Malevergne & D. Sornette
- cond-mat/0111257 Power law relaxation in a complex system: Omori law after a financial market crash
by Fabrizio Lillo & Rosario N. Mantegna
- cond-mat/0110506 Quantum Field Theory of Forward Rates with Stochastic Volatility
by Belal E. Baaquie
- cond-mat/0110480 The domino effect for markets
by Christian Schulze
- cond-mat/0110354 Microscopic Models of Financial Markets
by E. Samanidou & E. Zschischang & D. Stauffer & T. Lux
- cond-mat/0110285 Self-similar approach to market analysis
by V. I. Yukalov
- cond-mat/0110273 Stochastic Multiplicative Processes for Financial Markets
by Zhi-Feng Huang & Sorin Solomon
- cond-mat/0110201 Stability of money: Phase transitions in an Ising economy
by Stefan Bornholdt & Friedrich Wagner
- cond-mat/0110124 Nucleation of Market Shocks in Sornette-Ide model
by Ana Proykova & Lena Roussenova & Dietrich Stauffer
- cond-mat/0110120 Ordered phase and non-equilibrium fluctuation in stock market
by Jun-ichi Maskawa
- cond-mat/0109410 Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
by A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette
- cond-mat/0109203 Risk aversion in economic transactions
by C. Anteneodo & C. Tsallis & A. S. Martinez
- cond-mat/0109139 Artificial market model based on deterministic agents and derivation of limit of GARCH type process
by Aki-Hiro Sato & Hideki Takayasu
- cond-mat/0109026 Asset-asset interactions and clustering in financial markets
by G. Cuniberti & M. Porto & H. E. Roman
- nlin/0109015 Wealth redistribution with finite resources
by S. Pianegonda & J. R. Iglesias & G. Abramson & J. L. Vega
- cond-mat/0108549 Pricing formulas, model error and hedging derivative portfolios
by T. R. Hurd
- cond-mat/0108452 Scaling in the Bombay Stock Exchange Index
by Ashok Razdan
- cond-mat/0108068 Decomposing the stock market intraday dynamics
by J. Kwapien & S. Drozdz & F. Gruemmer & F. Ruf & J. Speth
- cond-mat/0108066 Broken ergodicity and memory in the minority game
by J. A. F. Heimel & A. De Martino
- cond-mat/0108033 Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets
by Ingve Simonsen
- cond-mat/0108028 Forecasting Uncertain Events with Small Groups
by Kay-Yut Chen & Leslie R. Fine & Bernardo A. Huberman
- cond-mat/0108023 A Random Matrix Approach to Cross-Correlations in Financial Data
by V. Plerou & P. Gopikrishnan & B. Rosenow & L. A. N. Amaral & T. Guhr & H. E. Stanley
- nlin/0108022 Forecasting Portfolio Risk in Normal and Stressed Markets
by Vineer Bhansali & Mark B. Wise
- cond-mat/0108017 Financial Market Dynamics
by Fredrick Michael & M. D. Johnson
- nlin/0108012 'Animal spirits' and expectations in U.S. recession forecasting
by Elliott Middleton
- cond-mat/0107600 Dynamical Solution of the On-Line Minority Game
by A C C Coolen & J A F Heimel
- cond-mat/0107593 Correlation Structure and Fat Tails in Finance: a New Mechanism
by Marco Airoldi
- cond-mat/0107256 Ensemble properties of securities traded in the NASDAQ market
by Fabrizio Lillo & Rosario N. Mantegna
- cond-mat/0107208 Introducing Variety in Risk Management
by Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters
- cond-mat/0107190 Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
by Carlo Acerbi
- cond-mat/0107150 The Dynamics of the Linear Random Farmer Model
by Rui Carvalho
- nlin/0107057 On multifractality and fractional derivatives
by U. Frisch & T. Matsumoto
- cond-mat/0106657 Quantifying Stock Price Response to Demand Fluctuations
by Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley
- cond-mat/0106635 Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise
by A. C. C. Coolen & J. A. F. Heimel & D. Sherrington
- cond-mat/0106520 Significance of log-periodic precursors to financial crashes
by D. Sornette & A. Johansen
- cond-mat/0106401 Inner Market as a "Black Box"
by Ari Belenkiy
- cond-mat/0106317 Empirical investigation of a quantum field theory of forward rates
by Belal E. Baaquie & Srikant Marakani
- cond-mat/0106114 Analyzing and modelling 1+1d markets
by Damien Challet & Robin Stinchcombe
- cond-mat/0105573 Time-reversal asymmetry in Cont-Bouchaud stock market model
by Iksoo Chang & Dietrich Stauffer
- cond-mat/0105373 Why Financial Markets Will Remain Marginally Inefficient?
by Yi-Cheng Zhang
- cond-mat/0105303 Application of multi-agent games to the prediction of financial time-series
by N. F. Johnson & D. Lamper & P. Jefferies & M. L. Hart & S. Howison
- cond-mat/0105191 Expected Shortfall: a natural coherent alternative to Value at Risk
by Carlo Acerbi & Dirk Tasche
- cond-mat/0105162 Heterogeneous volatility cascade in financial markets
by Gilles Zumbach & Paul Lynch
- cond-mat/0105076 Microscopic Models for Long Ranged Volatility Correlations
by Irene Giardina & Jean-Philippe Bouchaud & Marc M'ezard
- cond-mat/0104547 Mean-field approximation for a limit order driven market model
by Frantisek Slanina
- cond-mat/0104472 Algorithmic Complexity in Real Financial Markets
by R. Mansilla
- cond-mat/0104456 Anticorrelations, subbrownian stochastic drift, and 1/f-like spectra in stable financial systems
by Kestutis Staliunas
- cond-mat/0104369 Levels of complexity in financial markets
by Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna
- cond-mat/0104362 Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis
by Fabrizio Lillo & Giovanni Bonanno & Rosario N. Mantegna
- cond-mat/0104341 A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
by D. Sornette & J. V. Andersen
- cond-mat/0104337 Market ecology of active and passive investors
by Andrea Capocci & Yi-Cheng Zhang
- cond-mat/0104318 Market price simulator based on analog electrical circuit
by Aki-Hiro Sato & Hideki Takayasu
- cond-mat/0104313 Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent
by Aki-Hiro Sato & Hideki Takayasu
- cond-mat/0104305 Profit Profiles in Correlated Markets
by Ingve Simonsen & Kim Sneppen
- cond-mat/0104295 On the coherence of Expected Shortfall
by Carlo Acerbi & Dirk Tasche
- cond-mat/0104260 Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD
by M. Ausloos & K. Ivanova
- math/0104190 Conditional Expectation as Quantile Derivative
by Dirk Tasche
- cond-mat/0104127 Crashes : symptoms, diagnoses and remedies
by M. Ausloos & K. Ivanova & N. Vandewalle
- cond-mat/0104080 Criticality in a model of banking crises
by Giulia Iori & Saqib Jafarey
- cond-mat/0103621 Measuring long-range dependence in electricity prices
by Rafal Weron
- cond-mat/0103606 Dynamics of correlations in the stock market
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth
- cond-mat/0103600 Agent-based simulation of a financial market
by Marco Raberto & Silvano Cincotti & Sergio M. Focardi & Michele Marchesi
- cond-mat/0103544 Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States
by Adrian Dragulescu & Victor M. Yakovenko
- cond-mat/0103397 Measures of globalization based on cross-correlations of world financial indices
by Sergei Maslov
- cond-mat/0103170 Finite market size as a source of extreme wealth inequality and market instability
by Zhi-Feng Huang & Sorin Solomon
- math/0103118 A paradox of diffusion market model related with existence of winning combinations of options
by Nikolai Dokuchaev
- cond-mat/0103107 Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
by Szilard Pafka & Imre Kondor
- cond-mat/0103106 How Traders enter the Market through the Book
by Lorenzo Matassini & Fabio Franci
- cond-mat/0103033 False EUR exchange rates vs. DKK, CHF, JPY and USD. What is a strong currency?
by K. Ivanova & M. Ausloos
- cond-mat/0103024 Minority Games and stylized facts
by D. Challet & M. Marsili & Y. -C. Zhang
- cond-mat/0103020 General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
by Y. Malevergne & D. Sornette
- cond-mat/0102518 Price fluctuations from the order book perspective - empirical facts and a simple model
by Sergei Maslov & Mark Mills
- cond-mat/0102494 Markov properties of high frequency exchange rate data
by C. Renner & J. Peinke & R. Friedrich
- cond-mat/0102423 Power Laws of Wealth, Market Order Volumes and Market Returns
by Sorin Solomon & Peter Richmond
- cond-mat/0102402 Quantifying dynamics of the financial correlations
by S. Drozdz & J. Kwapien & F. Gruemmer & F. Ruf & J. Speth
- cond-mat/0102369 Multifractal fluctuations in finance
by F. Schmitt & D. Schertzer & S. Lovejoy
- cond-mat/0102305 From Rational Bubbles to Crashes
by D. Sornette & Y. Malevergne
- cond-mat/0102304 Expected Shortfall as a Tool for Financial Risk Management
by Carlo Acerbi & Claudio Nordio & Carlo Sirtori
- cond-mat/0102301 A process-reconstruction analysis of market fluctuations
by R. Vilela Mendes & R. Lima & T. Araujo
- math/0102080 On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
by Peter Carr & Michael Schroder
- cond-mat/0102042 To sell or not to sell? Behavior of shareholders during price collapses
by Bertrand M. Roehner
- nlin/0102016 Bid distributions of competing agents in simple models of auctions
by R. D'Hulst & G. J. Rodgers
- cond-mat/0101371 Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
by Y. Malevergne & D. Sornette
- cond-mat/0101351 Statistical mechanics of asset markets with private information
by Johannes Berg & Matteo Marsili & Aldo Rustichini & Riccardo Zecchina
- cond-mat/0101326 Stylized facts of financial markets and market crashes in Minority Games
by Damien Challet & Matteo Marsili & Yi-Cheng Zhang
- cond-mat/0101175 Coarse-graining and Self-similarity of Price Fluctuations
by Yoshi Fujiwara & Hirokazu Fujisaka
- cond-mat/0101143 Liquid markets and market liquids: collective and single-asset dynamics in financial markets
by G. Cuniberti & L. Matassini
- cond-mat/0101068 Wealth Condensation in Pareto Macro-Economies
by Z. Burda & D. Johnston & J. Jurkiewicz & M. Kaminski & M. A. Nowak & G. Papp & I. Zahed
- physics/0101042 Combustion Models in Finance
by C. Tannous & A. Fessant
2000
Printed from https://ideas.repec.org/s/arx/papers136.html
