Contact information of arXiv.org
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Content
2003
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
- nlin/0205011 Portfolio Allocation to Corporate Bonds with Correlated Defaults
by Mark B. Wise & Vineer Bhansali
- cond-mat/0204626 Volatility fingerprints of large shocks: Endogeneous versus exogeneous
by D. Sornette & Y. Malevergne & J. F. Muzy
- cond-mat/0204593 A shortcut to sign Incremental Value-at-Risk for risk allocation
by Dirk Tasche & Luisa Tibiletti
- cond-mat/0204574 Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets
by A. G. Zawadowski & R. Karadi & J. Kertesz
- cond-mat/0204331 Option Pricing Formulas based on a non-Gaussian Stock Price Model
by Lisa Borland
- cond-mat/0204295 Predicting critical crashes? A new restriction for the free variables
by Hans-Christian v. Bothmer & Christian Meister
- cond-mat/0204261 Black-Scholes-Like Derivative Pricing With Tsallis Non-extensive Statistics
by Fredrick Michael & M. D. Johnson
- cond-mat/0204234 Lagrange statistics in systems (markets) with price constraints: Analysis of property, car sales, marriage and job markets by the Boltzmann function and the Pareto distribution
by J. Mimkes & Th. Fruend & G. Willis
- cond-mat/0203607 Portfolio Optimization with Spectral Measures of Risk
by Acerbi Carlo & Simonetti Prospero
- cond-mat/0203596 Waiting-times and returns in high-frequency financial data: an empirical study
by M. Raberto & E. Scalas & F. Mainardi
- cond-mat/0203591 Anticorrelations and subdiffusion in financial systems
by Kestutis Staliunas
- cond-mat/0203558 Expected Shortfall and Beyond
by Dirk Tasche
- cond-mat/0203399 A New Approach to Personal Income Distribution
by Atushi Ishikawa & Tadao Suzuki & Masashi Tomoyose
- cond-mat/0203304 Self-Financing, Replicating Hedging Strategies, an incomplete thermodynamic analogy
by Joesph L. McCauley
- cond-mat/0203256 Time dependent cross correlations between different stock returns: A directed network of influence
by L. Kullmann & J. Kertesz & K. Kaski
- cond-mat/0203166 Investigating Extreme Dependences: Concepts and Tools
by Y. Malevergne & D. Sornette
- cond-mat/0203046 Probability distribution of returns in the Heston model with stochastic volatility
by Adrian A. Dragulescu & Victor M. Yakovenko
- physics/0203038 Time series analysis for minority game simulations of financial markets
by Fernando F. Ferreira & Gerson Francisco & Birajara S. Machado & Paulsamy Muruganandam
- physics/0203006 Quantum Finance
by Martin Schaden
- cond-mat/0202527 Volatility in Financial Markets: Stochastic Models and Empirical Results
by Salvatore Micciche` & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna
- cond-mat/0202479 Colored minority games
by Matteo Marsili & Maurizio Piai
- cond-mat/0202391 Triangular arbitrage as an interaction among foreign exchange rates
by Yukihiro Aiba & Naomichi Hatano & Hideki Takayasu & Kouhei Marumo & Tokiko Shimizu
- cond-mat/0202388 Physics of Personal Income
by Wataru Souma
- cond-mat/0202356 Tail Dependence of Factor Models
by Y. Malevergne & D. Sornette
- cond-mat/0202352 Optimal Investment Horizons
by Ingve Simonsen & Mogens H. Jensen & Anders Johansen
- math/0202299 Brownian excursions an Parisian barrier options: a note
by Michael Schroder
- math/0202298 Analytical ramifications of derivatives valuation: Asian options and special functions
by Michael Schroder
- cond-mat/0202203 Stochastic volatility and leverage effect
by Josep Perello & Jaume Masoliver
- cond-mat/0202143 A Path Integral Way to Option Pricing
by G. Montagna & O. Nicrosini & N. Moreni
- cond-mat/0202028 Non-L\'evy Distribution of Commodity Price Fluctuations
by Kaushik Matia & Luis A. Nunes Amaral & Stephen P. Goodwin & H. Eugene Stanley
- cond-mat/0201514 Modelling share volume traded in financial markets
by Vygintas Gontis
- cond-mat/0201345 The Perception of Time, Risk and Return During Periods of Speculation
by Emanuel Derman
- cond-mat/0201219 Firms Growth Dynamics, Competition and Power Law Scaling
by Hari M. Gupta & Jose R. Campanha
- cond-mat/0201195 Empirical Regularities in Distributions of Individual Consumption Expenditure
by Martin Hohnisch & Sabine Pittnauer & Manisha Chakrabarty
- cond-mat/0201192 Sornette-Ide model for markets: Trader expectations as imaginary part
by Christian Schulze
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
Printed from https://ideas.repec.org/s/arx/papers139.html
