Printed from https://ideas.repec.org/s/arx/papers139.html
Content
2005
- 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
- cond-mat/0501002 Topology and Behaviour of Agents: Capital Markets
by Ondrej Hudak & Jana Tothova - cond-mat/0412754 Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy
by Krzysztof Urbanowicz & Janusz A. Holyst - cond-mat/0412723 Modelling financial markets by the multiplicative sequence of trades
by Vygintas Gontis & Bronislovas Kaulakys - cond-mat/0412708 A theory for long-memory in supply and demand
by F. Lillo & Szabolcs Mike & J. Doyne Farmer - cond-mat/0412526 A multi-time scale non-Gaussian model of stock returns
by Lisa Borland - math/0412429 On a kinetic model for a simple market economy
by Stephane Cordier & Lorenzo Pareschi & Giuseppe Toscani - cond-mat/0412411 Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees
by Mark McDonald & Omer Suleman & Stacy Williams & Sam Howison & Neil F. Johnson - math/0412344 Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market
by Jonathan A. Batten & Craig A. Ellis & Warren P. Hogan - math/0412332 On the asymptotic free boundary for the American put option problem
by H. Hedenmalm - cond-mat/0412163 Levy distribution and long correlation times in supermarket sales
by R. D. Groot - math-ph/0412071 Pricing of options on stocks driven by multi-dimensional operator stable Levy processes
by Przemyslaw Repetowicz & Peter Richmond - physics/0412067 Application of Multifractal Measures to Tehran Price Index
by P. Norouzzadeh & G. R. Jafari - nlin/0412038 Multifractal Behavior of the Korean Stock-market Index KOSPI
by Jae Woo Lee & Kyuoung Eun Lee & Per Arne Rikvold - cond-mat/0412014 Power Law Distributions for Stock Prices in Financial Markets
by Kyungsik Kim & S. -M. Yoon & K. H. Chang - cond-mat/0411699 Estimating Probabilities of Default for Low Default Portfolios
by Katja Pluto & Dirk Tasche - cond-mat/0411161 On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya - cond-mat/0411112 Components of multifractality in high-frequency stock returns
by J. Kwapien & P. Oswiecimka & S. Drozdz - math/0411034 A selective overview of nonparametric methods in financial econometrics
by Jianqing Fan - nlin/0411006 Emergent Effective Collusion in an Economy of Perfectly Rational Competitors
by Russell K. Standish & Steve Keen - cond-mat/0410768 Non linear behaviour of stock market volatility
by Rosario Bartiromo - cond-mat/0410762 A Mechanism for Pockets of Predictability in Complex Adaptive Systems
by Jorgen Vitting Andersen & Didier Sornette - cond-mat/0410691 Minority Game of price promotions in fast moving consumer goods markets
by Robert D. Groot & Pieter A. D. Musters - math/0410453 Dynamic monetary risk measures for bounded discrete-time processes
by Patrick Cheridito & Freddy Delbaen & Michael Kupper - cond-mat/0410414 Wealth distribution in an ancient Egyptian society
by A. Y. Abul-Magd - cond-mat/0410335 Generating functional analysis of Minority Games with real market histories
by A. C. C. Coolen - cond-mat/0410294 An Adaptive Method for Valuing an Option on Assets with Uncertainty in Volatility
by Sergei Fedotov & Stephanos Panayides - cond-mat/0410289 Statistical analysis of the price index of Tehran Stock Exchange
by A. Rasoolizadeh & R. Solgi - cond-mat/0410225 Inverse statistics in stock markets: Universality and idiosyncracy
by Wei-Xing Zhou & Wei-Kang Yuan - cond-mat/0410079 Experts' earning forecasts: bias, herding and gossamer information
by Olivier Guedj & Jean-Philippe Bouchaud - cond-mat/0409375 A Theory of Fluctuations in Stock Prices
by A. L. Alejandro-Quinones & K. E. Bassler & M. Field & J. L. McCauley & M. Nicol & I. Timofeyef & A. Torok & G. H. Gunaratne - cond-mat/0409329 An analytic treatment of the Gibbs-Pareto behavior in wealth distribution
by Arnab Das & Sudhakar Yarlagadda - cond-mat/0409319 Hints for an extension of the early exercise premium formula for American options
by Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello - cond-mat/0409179 On distribution of number of trades in different time windows in the stock market
by I. M. Dremin & A. V. Leonidov - cond-mat/0409145 Pareto law and Pareto index in the income distribution of Japanese companies
by Atushi Ishikawa - cond-mat/0409097 Dynamical Volatilities for Yen-Dollar Exchange Rates
by Kyungsik Kim & Seong-Min Yoon & C. Christopher Lee & Myung-Kul Yum - math/0409076 Uncertainty relations in models of market microstructure
by Ted Theodosopoulos - cond-mat/0408625 Phase Transition of Dynamical Herd Behaviors in Financial Markets
by Kyungsik Kim & Seong-Min Yoon - cond-mat/0408560 Financial heat machine
by Andrei Khrennikov - cond-mat/0408531 Need, Greed and Noise: Competing Strategies in a Trading Model
by R. Donangelo & A. Hansen & K. Sneppen & S. R. Souza - cond-mat/0408409 Multiscaling and non-universality in fluctuations of driven complex systems
by Zoltan Eisler & Janos Kertesz & Soon-Hyung Yook & Albert-Laszlo Barabasi - cond-mat/0408358 Statistical Facts of Artificial Stock Market
by Hokky Situngkir & Yohanes Surya - cond-mat/0408292 Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations
by Przemyslaw Repetowicz & Brian Lucey & Peter Richmond - cond-mat/0408277 Multifractality in the stock market: price increments versus waiting times
by P. Oswiecimka & J. Kwapien & S. Drozdz - cond-mat/0408227 Laser Welfare: First Steps in Econodynamic Engineering
by G. Willis - cond-mat/0408166 Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method
by D. Sornette & W. -X. Zhou - cond-mat/0408143 A Guided Walk Down Wall Street: an Introduction to Econophysics
by Giovani L. Vasconcelos - cond-mat/0408067 Power Law Tails in the Italian Personal Income Distribution
by F. Clementi & M. Gallegati - cond-mat/0408013 Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability
by Constantinos E. Vorlow - cond-mat/0407770 Dynamics of Money and Income Distributions
by Przemyslaw Repetowicz & Stefan Hutzler & Peter Richmond - cond-mat/0407769 How the trading activity scales with the company sizes in the FTSE 100
by Gilles Zumbach - cond-mat/0407687 A conjecture on the distribution of firm profit
by Ian Wright - cond-mat/0407603 Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
by I. A. Agaev & Yu. A. Kuperin - cond-mat/0407471 Price Clustering and Discreteness: Is there Chaos behind the Noise?
by Antonios Antoniou & Constantinos E. Vorlow - cond-mat/0407418 Scaling Properites of Price Changes for Korean Stock Indices
by Kyuong Eun Lee & Jae Woo Lee - cond-mat/0407383 Increasing Returns to Scale, Dynamics of Industrial Structure and Size Distribution of Firms
by Ying Fan & Menghui Li & Zengru Di - cond-mat/0407321 Pricing Exotic Options in a Path Integral Approach
by G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini - math/0407127 On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals
by Alexander Schied - math/0407119 A Characterization of Hedging Portfolios for Interest Rate Contingent Claims
by Rene Carmona & Michael Tehranchi - math/0407060 Modeling Credit Risk with Partial Information
by Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim - cond-mat/0406704 Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock
by Bertrand M. Roehner - cond-mat/0406696 Short-term market reaction after extreme price changes of liquid stocks
by Adam G. Zawadowski & Gyorgy Andor & Janos Kertesz - cond-mat/0406694 Evidence for the Independence of Waged and Unwaged Income, Evidence for Boltzmann Distributions in Waged Income, and the Outlines of a Coherent Theory of Income Distribution
by G. Willis & J. Mimkes - cond-mat/0406556 Extreme times in financial markets
by Jaume Masoliver & Miquel Montero & Josep Perello - cond-mat/0406385 Temporal evolution of the "thermal" and "superthermal" income classes in the USA during 1983-2001
by A. Christian Silva & Victor M. Yakovenko - cond-mat/0406365 Mathew Effect in Artificial Stock Market
by Pei-Ling Zhou & Zi-Nan Tang & Tao Zhou & Jing-Ting Wang & Chun-Xia Yang - cond-mat/0406326 Global Optimization of Minority Game by Smart Agents
by Yan-Bo Xie & Bing-Hong Wang & Chin-Kun Hu & Tao Zhou - cond-mat/0406310 Volatility of Linear and Nonlinear Time Series
by Tomer Kalisky & Yosef Ashkenazy & Shlomo Havlin - cond-mat/0406225 Properties of low variability periods in financial time series
by R. Kitt & J. Kalda - cond-mat/0406224 Random walks, liquidity molasses and critical response in financial markets
by J. -P. Bouchaud & J. Kockelkoren & M. Potters - cond-mat/0406168 Study on Evolvement Complexity in an Artificial Stock Market
by Chun-Xia Yang & Tao Zhou & Pei-Ling Zhou & Jun Liu & Zi-Nan Tang - math/0406067 Short-term equity dynamics and endogenous market fluctuations
by Ted Theodosopoulos & Muffasir Badshah - cond-mat/0405646 Volatility smile and stochastic arbitrage returns
by Sergei Fedotov & Stephanos Panayides - cond-mat/0405390 Zipf's Law Distributions for Korean Stock Prices
by Kyungsik Kim & S. -M. Yoon & C. Christopher Lee & K. H. Chang - math/0405293 Optimal investment with random endowments in incomplete markets
by Julien Hugonnier & Dmitry Kramkov - math/0405290 Dual formulation of the utility maximization problem: the case of nonsmooth utility
by B. Bouchard & N. Touzi & A. Zeghal - cond-mat/0405257 Self-Organized Criticality and Stock Market Dynamics: an Empirical Study
by M. Bartolozzi & D. B. Leinweber & A. W. Thomas - cond-mat/0405173 Multifractal Measures for the Yen-Dollar Exchange Rate
by Kyungsik Kim & Seong-Min Yoon & Jum-Soo Choi - cond-mat/0405172 Herd Behaviors in Financial Markets
by Kyungsik Kim & Seong-Min Yoon & J. S. Choi & Hideki Takayasu - cond-mat/0404684 Option pricing with fractional volatility
by Rui Vilela Mendes & Maria Joao Oliveira - cond-mat/0404680 Physical Picture of the Insurance Market
by Amir Hossein Darooneh - cond-mat/0404520 The Feedback Effect of Hedging in Portfolio Optimization
by Pierre Henry-Labordere - cond-mat/0404497 Clustering stock market companies via chaotic map synchronization
by N. Basalto & R. Bellotti & F. De Carlo & P. Facchi & S. Pascazio - math/0404447 Indifference pricing and hedging in stochastic volatility models
by M. R. Grasselli & T. R. Hurd - cond-mat/0404416 Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market
by Diane Wilcox & Tim Gebbie - cond-mat/0404264 Price return auto-correlation and predictability in agent-based models of financial markets
by Damien Challet & Tobias Galla - cond-mat/0404108 Universal bad news principle and pricing of options on dividend-paying assets
by Svetlana Boyarchenko & Sergei Levendorskii - cond-mat/0404107 Consistency conditions for affine term structure models
by Sergei Levendorskii - cond-mat/0404106 Practical guide to real options in discrete time
by Svetlana Boyarchenko & Sergei Levendorskii - cond-mat/0404103 The American put and European options near expiry, under Levy processes
by Sergei Levendorskii - cond-mat/0403767 Multifractal model of asset returns with leverage effect
by Zoltan Eisler & Janos Kertesz - cond-mat/0403761 Long memory stochastic volatility in option pricing
by Sergei Fedotov & Abby Tan - cond-mat/0403723 Market depth and price dynamics: A note
by Frank Westerhoff - cond-mat/0403713 "Stiff" Field Theory of Interest Rates and Psychological Future Time
by Belal Baaquie & Jean-Philippe Bouchaud - cond-mat/0403681 Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
by T. Di Matteo & T. Aste & M. M. Dacorogna - cond-mat/0403662 Common Scaling Patterns in Intertrade Times of U. S. Stocks
by Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee - cond-mat/0403649 Generalized minority games with adaptive trend-followers and contrarians
by A. De Martino & I. Giardina & M. Marsili & A. Tedeschi - cond-mat/0403624 On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics
by Silvio M. Duarte Queiros - cond-mat/0403621 Limited profit in predictable stock markets
by R. Rothenstein & K. Pawelzik - cond-mat/0403563 Bubble, Critical Zone and the Crash of Royal Ahold
by G. Broekstra & D. Sornette & W. -X. Zhou - cond-mat/0403469 On non-markovian nature of stock trading
by Andrei Leonidov - cond-mat/0403465 Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia
by Hokky Situngkir & Yohanes Surya - cond-mat/0403333 Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises
by Tanya Ara'ujo & Francisco Louc{c}~a - cond-mat/0403177 Removing noise from correlations in multivariate stock price data
by Przemyslaw Repetowicz & Peter Richmond - cond-mat/0403167 Contagion Flow Through Banking Networks
by Michael Boss & Martin Summer & Stefan Thurner - cond-mat/0403161 Power Law Distributions in Korean Household Incomes
by Kyungsik Kim & Seong-Min Yoon - cond-mat/0403143 The durations of recession and prosperity: does their distribution follow a power or an exponential law?
by Marcel Ausloos & Janusz Miskiewicz & Michele Sanglier - physics/0403075 New statistic for financial return distributions: power-law or exponential?
by V. F. Pisarenko & D. Sornette - cond-mat/0403070 Relations between a typical scale and averages in the breaking of fractal distribution
by Atushi Ishikawa & Tadao Suzuki - cond-mat/0403067 On the Origin of Power-Law Fluctuations in Stock Prices
by Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley - nlin/0403056 Majority Orienting Model for the Oscillation of Market Price
by Hisanao Takahashi & Yoshiaki Itoh - cond-mat/0403051 Fitness-dependent topological properties of the World Trade Web
by D. Garlaschelli & M. I. Loffredo - cond-mat/0403045 An out-of-equilibrium model of the distributions of wealth
by Nicola Scafetta & Sergio Picozzi & Bruce J. West - nlin/0403041 Agent-based Model Construction In Financial Economic System
by Hokky Situngkir & Yohanes Surya - cond-mat/0403022 A Non-Gaussian Option Pricing Model with Skew
by L. Borland & J. P. Bouchaud - cond-mat/0402654 Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
by Adriana P. Mattedi & Fernando M. Ramos & Reinaldo R. Rosa & Rosario N. Mantegna - cond-mat/0402648 Information cascades and the distribution of economic recessions in the United States
by Paul Ormerod - cond-mat/0402591 Inverse Statistics in the Foreign Exchange Market
by M. H. Jensen & A. Johansen & F. Petroni & I. Simonsen - cond-mat/0402573 Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
by Szilard Pafka & Marc Potters & Imre Kondor - cond-mat/0402511 Critical Ising Model and Financial Market
by Takeshi Inagaki - cond-mat/0402466 Wealth Dynamics on Complex Networks
by D. Garlaschelli & M. I. Loffredo - math/0402456 VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
by Jules Sadefo Kamdem - cond-mat/0402390 The single risk factor approach to capital charges in case of correlated loss given default rates
by Dirk Tasche - cond-mat/0402389 An analysis of Cross-correlations in South African Market data
by Diane Wilcox & Tim Gebbie - cond-mat/0402240 Utility Function from Maximum Entropy Principle
by Amir H. Darooneh - cond-mat/0402239 Non-Life Insurance Pricing: Multi Agents Model
by Amir H. Darooneh - cond-mat/0402185 Common Underlying Dynamics in an Emerging Market: From Minutes to Months
by Renato Vicente & Charles M. de Toledo & Vitor B. P. Leite & Nestor Caticha - cond-mat/0402075 A (reactive) lattice-gas approach to economic cycles
by Marcel Ausloos & Paulette Clippe & Janusz Mi'skiewicz & Andrzej Pekalski - cond-mat/0402049 Statistical mechanics analysis of the equilibria of linear economies
by A. De Martino & M. Marsili & I. Perez Castillo - nlin/0402012 Analysis of Data Clusters Obtained by Self-Organizing Methods
by V. V. Gafiychuk & B. Yo. Datsko & J. Izmaylova - cond-mat/0401503 A perturbative moment approach to option pricing
by Marco Airoldi - cond-mat/0401495 International evidence on business cycle magnitude dependence
by Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini - cond-mat/0401445 On pricing of interest rate derivatives
by T. Di Matteo & M. Airoldi & E. Scalas - cond-mat/0401443 An interest rates cluster analysis
by T. Di Matteo & T. Aste & R. N. Mantegna - cond-mat/0401422 The Opinion Game: Stock price evolution from microscopic market modelling
by Anton Bovier & Jiri Cerny & Ostap Hryniv - cond-mat/0401378 Long range Ising model for credit risk modeling in homogeneous portfolios
by Jordi Molins & Eduard Vives - cond-mat/0401360 Best linear forecast of volatility in financial time series
by M. I. Krivoruchenko - cond-mat/0401329 Modelling Correlations in Portfolio Credit Risk
by Bernd Rosenow & Rafael Weissbach & Frank Altrock - cond-mat/0401308 Premium Calculation Based on Physical Principles
by Amir H. Darooneh - cond-mat/0401300 Networks of equities in financial markets
by G. Bonanno & G. Caldarelli & F. Lillo & S. Micciche` & N. Vandewalle & R. N. Mantegna - cond-mat/0401225 Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
by A. Christian Silva & Richard E. Prange & Victor M. Yakovenko - cond-mat/0401210 Origin of Crashes in 3 US stock markets: Shocks and Bubbles
by Anders Johansen - cond-mat/0401181 Bridging the ARCH model for finance and nonextensive entropy
by Silvio M. Duarte Queiros & Constantino Tsallis - math/0401144 Stochastic Processes with Short Memory
by D. N. Zhabin - cond-mat/0401140 Inflation and deflation in stock markets
by Taisei Kaizoji - cond-mat/0401055 Large price changes on small scales
by A. G. Zawadowski & J. Kertesz & G. Andor - cond-mat/0401053 The Social Architecture of Capitalism
by Ian Wright - cond-mat/0401009 Modeling stylized facts for financial time series
by M. I. Krivoruchenko & E. Alessio & V. Frappietro & L. J. Streckert
2003
- cond-mat/0312703 What really causes large price changes?
by J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen - cond-mat/0312658 Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
by W. -X. Zhou & D. Sornette - cond-mat/0312643 Random Matrix Theory Analysis of Cross Correlations in Financial Markets
by Akihiko Utsugi & Kazusumi Ino & Masaki Oshikawa - cond-mat/0312568 Superstatistics in Econophysics
by Yoshikazu Ohtaki & Hiroshi H. Hasegawa - cond-mat/0312560 Power law for the calm-time interval of price changes
by Taisei Kaizoji & Michiyo Kaizoji - cond-mat/0312547 Traders' strategy with price feedbacks in financial market
by Takayuki Mizuno & Tohur Nakano & Misako Takayasu & Hideki Takayasu - cond-mat/0312496 Signal and Noise in Financial Correlation Matrices
by Zdzislaw Burda & Jerzy Jurkiewicz - cond-mat/0312489 Activity autocorrelation in financial markets. A comparative study between several models
by Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver - cond-mat/0312413 Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya - 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