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Content
2005
- 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
- math/0503314 A note on exact likelihoods of the Carr-Wu models for leverage effects and volatility in financial economics
by Lancelot F. James
- physics/0503242 Application of noise level estimation for portfolio optimization
by Krzysztof Urbanowicz & Janusz A. Holyst
- physics/0503230 Self-fulfilling Ising Model of Financial Markets
by Wei-Xing Zhou & Didier Sornette
- physics/0503214 Optimal supply against fluctuating demand
by Nobuyuki Sakai & Hisanori Kudoh
- physics/0503163 Stock Mechanics: a classical approach
by Caglar Tuncay
- physics/0503157 Conditional Probability as a Measure of Volatility Clustering in Financial Time Series
by Kan Chen & C. Jayaprakash & Baosheng Yuan
- cond-mat/0503156 Simulations of financial markets in a Potts-like model
by Tetsuya Takaishi
- physics/0503139 Non-trivial scaling of fluctuations in the trading activity of NYSE
by Janos Kertesz & Zoltan Eisler
- physics/0503137 Pricing options with VG model using FFT
by Andrey Itkin
- physics/0503126 A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates
by Belal E. Baaquie
- physics/0503076 Systematic analysis of group identification in stock markets
by Dong-Hee Kim & Hawoong Jeong
- math/0503055 Analysis of a Class of Likelihood Based Continuous Time Stochastic Volatility Models including Ornstein-Uhlenbeck Models in Financial Economics
by Lancelot F. James
- physics/0503024 Power-law distributions in economics: a nonextensive statistical approach
by Silvio M. Duarte Queiros & Celia Anteneodo & Constantino Tsallis
- physics/0503016 Dynamical Minority Games in Futures Exchange Markets
by Seong-Min Yoon & Kyungsik Kim
- physics/0503014 What shakes the FX tree? Understanding currency dominance, dependence and dynamics
by Neil F. Johnson & Mark McDonald & Omer Suleman & Stacy Williams & Sam Howison
- math/0503013 The Shannon information of filtrations and the additional logarithmic utility of insiders
by Stefan Ankirchner & Steffen Dereich & Peter Imkeller
- physics/0503006 Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010
by S. Drozdz & F. Gruemmer & F. Ruf & J. Speth
- cond-mat/0502662 On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers
by Andrea De Martino & Matteo Marsili
- cond-mat/0502337 On the distribution of high-frequency stock market traded volume: a dynamical scenario
by Silvio M. Duarte Queiros
- math/0502201 On nonexistence of non-constant volatility in the Black-Scholes formula
by K. Hamza & F. C. Klebaner
- math/0502189 On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
by Bruno Bouchard & Emmanuel Temam
- cond-mat/0502166 Evidence for Power-law tail of the Wealth Distribution in India
by Sitabhra Sinha
- cond-mat/0502151 On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics
by Silvio M. Duarte Queiros & Constantino Tsallis
- physics/0502150 A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate
by P. Norouzzadeh
- physics/0502119 Additive-multiplicative stochastic models of financial mean-reverting processes
by C. Anteneodo & R. Riera
- math/0502105 Properties of the wealth process in a market microstructure model
by Ted Theodosopoulos & Ming Yuen
- physics/0502084 Statistical Properties of Demand Fluctuation in the Financial Market
by Kaushik Matia & Kazuko Yamasaki
- physics/0502081 Statistical Properties of Business Firms Structure and Growth
by Kaushik Matia & Dongfeng Fu & Sergey V. Buldyrev & Fabio Pammolli & Massimo Riccaboni & H. Eugene Stanley
- physics/0502066 Structure and Evolution of the World Trade Network
by D. Garlaschelli & M. I. Loffredo
- physics/0502045 Macro-players in stock markets
by Bertrand M. Roehner
- cond-mat/0502029 Arbitrage Opportunities and their Implications to Derivative Hedging
by Stephanos Panayides
- cond-mat/0501699 Volatility conditional on price trends
by Gilles Zumbach
- cond-mat/0501639 Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
by Jaume Masoliver & Josep Perello
- cond-mat/0501513 Self-Similar Log-Periodic Structures in Western Stock Markets from 2000
by M. Bartolozzi & S. Drozdz & D. B. Leinweber & J. Speth & A. W. Thomas
- cond-mat/0501413 Master equation for a kinetic model of trading market and its analytic solution
by Arnab Chatterjee & Bikas K. Chakrabarti & Robin B. Stinchcombe
- cond-mat/0501395 A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model
by Lisa Borland & Jeremy Evnine & Benoit Pochart
- cond-mat/0501325 Scaling analysis of multivariate intermittent time series
by Robert Kitt & Jaan Kalda
- cond-mat/0501320 Basel II for Physicists: A Discussion Paper
by Enrico Scalas
- cond-mat/0501292 The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
by Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach
- cond-mat/0501261 Five Years of Continuous-time Random Walks in Econophysics
by Enrico Scalas
- cond-mat/0501057 Metaheuristic Approaches to Realistic Portfolio Optimization
by Franco Busetti
- math/0501045 No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
by Bruno Bouchard
2004
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