Papers

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2007: Inverse cubic law of index fluctuation distribution in Indian markets

Raj Pan and Sitabhra Sinha

2007: Note on two phase phenomena in financial markets

Shi-Mei Jiang, Shi-Min Cai, Tao Zhou and Pei-Ling Zhou

2007: Two Fractal Overlap Time Series: Earthquakes and Market Crashes

Bikas K. Chakrabarti, Arnab Chatterjee and Pratip Bhattacharyya

2007: Pricing and hedging of derivatives based on non-tradable underlyings

Stefan Ankirchner, Peter Imkeller and Goncalo dos Reis

2007: Effects of diversification among assets in an agent-based market model

F. Ghoulmi\'e, M. Bartolozzi, C. P. Mellen and T. Di Matteo

2007: Arbitrage free cointegrated models in gas and oil future markets

Gr\'egory Benmenzer, Emmanuel Gobet and C\'eline J\'erusalem

2007: On Financial Markets Based on Telegraph Processes

Nikita Ratanov and Alexander Melnikov

2007: Incorporating exchange rate risk into PDs and asset correlations

Dirk Tasche

2007: Market Model with Heterogeneous Buyers

Matus Medo and Yi-Cheng Zhang

2007: Applications of physical methods in high-frequency futures markets

M. Bartolozzi, C. Mellen, F. Chan, D. Oliver, T. Di Matteo and T. Aste

2007: The value of information in financial markets: An agent-based simulation

Bence Toth and Enrico Scalas

2007: An Economic Model of Coupled Exponential Maps

R. Lopez-Ruiz, J. Gonzalez-Estevez, M. G. Cosenza and J. R. Sanchez

2007: Financial Variables Effect on the U.S. Gross Private Domestic Investment (GPDI) 1959-2001

Byron Bell

2007: Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets

Cheoljun Eom, Sunghoon Choi, Gabjin Oh and Woo-Sung Jung

2007: Continuous-time trading and emergence of volatility

Vladimir Vovk

2007: An Hilbert space approach for a class of arbitrage free implied volatilities models

A. Brace, Giorgio Fabbri and B. Goldys

2007: Continuous-time trading and emergence of randomness

Vladimir Vovk

2007: The derivatives of Asian call option prices

Jungmin Choi and Kyounghee Kim

2007: Empirical regularities of order placement in the Chinese stock market

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

2007: On the transition to efficiency in Minority Games

Tobias Galla and Andrea De Martino

2007: Smearing Distributions and their use in Financial Markets

Petr Jizba and Hagen Kleinert

2007: A Markov process associated with plot-size distribution in Czech Land Registry and its number-theoretic properties

Pavel Exner and Petr \v{S}eba

2007: Multifractal regime transition in a modified minority game model

Antonio F. Crepaldi, Camilo Rodrigues Neto, Fernando F. Ferreira and Gerson Francisco

2007: Effects of payoff functions and preference distributions in an adaptive population

H. M. Yang, Y. S. Ting and K. Y. Michael Wong

2007: Geometry of polar wedges and super-replication prices in incomplete financial markets

Frank Oertel and Mark P. Owen

2007: Consumption processes and positively homogeneous projection properties

Tom Fischer

2007: Application of Tuncay's language teacher model to business-customer relations

Carmen Costea

2007: The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Carl Chiarella, Giulia Iori and Josep Perelló

2007: Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model

Soeren Asmussen, Dilip Madan and Martijn Pistorius

2007: A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

Mayank Goel and K. Suresh Kumar

2007: Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series

Jeferson de Souza and Silvio M. Duarte Queiros

2007: Likelihood-based inference for correlated diffusions

Konstantinos Kalogeropoulos, Petros Dellaportas and Gareth O. Roberts

2007: Inference for stochastic volatility models using time change transformations

Konstantinos Kalogeropoulos, Gareth O. Roberts and Petros Dellaportas

2007: How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?

Walter Schachermayer and Josef Teichmann

2007: Optimal intertemporal risk allocation applied to insurance pricing

Kei Fukuda, Akihiko Inoue and Yumiharu Nakano

2007: Forbidden patterns in financial time series

Massimiliano Zanin

2007: Empirics versus RMT in financial cross-correlations

S. Drozdz, J. Kwapien and P. Oswiecimka

2007: Least Squares Importance Sampling for Libor Market Models

Luca Capriotti

2007: Projective Market Model Approach to AHP Decision-Making

Anna Szczypinska and Edward Piotrowski

2007: Kinetic Exchange Models for Income and Wealth Distributions

Arnab Chatterjee and Bikas K. Chakrabarti

2007: Fast estimation of multivariate stochastic volatility

Kostas Triantafyllopoulos and Giovanni Montana

2007: Perpetual American options within CTRW's

Miquel Montero

2007: Models of Financial Markets with Extensive Participation Incentives

C. H. Yeung, K. Y. Michael Wong and Y. -C. Zhang

2007: Are all highly liquid securities within the same class?

Silvio M. Duarte Queiros

2007: Collective behavior of stock price movements in an emerging market

Raj Pan and Sitabhra Sinha

2007: Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models

Martin Keller-Ressel and Thomas Steiner

2007: Queueing theoretical analysis of foreign currency exchange rates

Jun-ichi Inoue and Naoya Sazuka

2007: Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin

Erhan Bayraktar and Virginia R. Young

2007: Tails of random sums of a heavy-tailed number of light-tailed terms

Christian Y. Robert and Johan Segers

2007: Asymptotic analysis of the model for distribution of high-tax payers

Hiroshi Yamamoto, Toshiya Ohtsuki, Akihiro Fujihara, Satoshi Tanimoto, Keizo Yamamoto and Sasuke Miyazima

2007: Multifractality in the Random Parameters Model

Camilo Rodrigues Neto and Andr\' e C. R. Martins

2007: An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

Daniel Sevcovic

2007: Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Nicole El Karoui and Claudia Ravanelli

2007: Moment Methods for Exotic Volatility Derivatives

Claudio Albanese and Adel Osseiran

2007: Information, Inflation, and Interest

Lane P. Hughston and Andrea Macrina

2007: Dam Rain and Cumulative Gain

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

2007: The fundamental theorem of asset pricing under proportional transaction costs

Alet Roux

2007: Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts

Joseph L. McCauley, Kevin E. Bassler and Gemunu H. Gunaratne

2007: Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

Xiao-Hui Ni and Wei-Xing Zhou

2007: Influence of corruption on economic growth rate and foreign investments

Boris Podobnik, Jia Shao, Djuro Njavro, Plamen Ch. Ivanov and H. Eugene Stanley

2007: In which Financial Markets do Mutual Fund Theorems hold true?

Walter Schachermayer, Mihai Sirbu and Erik Taflin

2007: Quasistatically varying log-normal distribution in the middle scale region of Japanese land prices

Atushi Ishikawa

2007: Divergent estimation error in portfolio optimization and in linear regression

Imre Kondor and Istvan Varga-Haszonits

2007: The Grounds For Time Dependent Market Potentials From Dealers' Dynamics

Kenta Yamada, Hideki Takayasu and Misako Takayasu

2007: Trading activity as driven Poisson process: comparison with empirical data

V. Gontis, B. Kaulakys and J. Ruseckas

2007: Kinetic Economies

Wan Ahmad Tajuddin Wan Abdullah and Sidiq Mohamad Khidzir

2007: Wealth distribution in a System with Wealth-limited Interactions

Marisciel L. Palima and Eduardo J. David

2007: The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

Giulio Biroli, Jean-Philippe Bouchaud and Marc Potters

2007: Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion

Helen Haworth, Christoph Reisinger and William Shaw

2007: Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History

Marie-Th\'er\`ese Boyer-Xambeu, Ghislain Deleplace, Patrice Gaubert, Lucien Gillard and Madalina Olteanu

2007: Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance

M. Tumminello, F. Lillo and Rosario Mantegna

2007: Statistical properties of agent-based market area model

Zoltan Kuscsik and Denis Horvath

2007: Adapted Downhill Simplex Method for Pricing Convertible Bonds

Kateryna Mishchenko, Volodymyr Mishchenko and Anatoliy Malyarenko

2007: Statistical properties of short term price trends in high frequency stock market data

Pawe{\l} Sieczka and Janusz A. Ho{\l}yst

2007: Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market

Diane Wilcox and Tim Gebbie

2007: Reinforcement learning in market games

Edward Piotrowski, Jan Sladkowski and Anna Szczypinska

2007: High-order accurate implicit methods for the pricing of barrier options

J. C. Ndogmo and D. B. Ntwiga

2007: A Convex Stochastic Optimization Problem Arising from Portfolio Selection

Hanqing Jin, Zuo Quan Xu and Xun Yu Zhou

2007: Interest rates mapping

M. Kanevski, M. Maignan, A. Pozdnoukhov and V. Timonin

2007: Agent Simulation of Chain Bankruptcy

Yuichi Ikeda, Yoshi Fujiwara, Wataru Souma, Hideaki Aoyama and Hiroshi Iyetomi

2007: Rational Expectations, psychology and inductive learning via moving thresholds

H. Lamba and T. Seaman

2007: Quantum Auctions: Facts and Myths

Edward Piotrowski and Jan Sladkowski

2007: A Brief History of Economics: An Outsider's Account

Bikas K Chakrabarti

2007: Statistics of Extreme Values in Time Series with Intermediate-Term Correlations

Cecilia Pennetta

2007: Flexible least squares for temporal data mining and statistical arbitrage

Giovanni Montana, Kostas Triantafyllopoulos and Theodoros Tsagaris

2007: Bidding Strategy with Forecast Technology Based on Support Vector Machine in Electrcity Market

C. Gao, E. Bompard, R. Napoli and Q. Wan

2007: Correlations and clustering in the trading of members of the London Stock Exchange

Ilija Zovko and J. Farmer

2007: Feedback and efficiency in limit order markets

Damien Challet

2007: Behavioral Portfolio Selection in Continuous Time

Hanqing Jin and Xunyu Zhou

2007: Innovation Success and Structural Change: An Abstract Agent Based Study

Tanya Araújo and R. Vilela Mendes

2007: Evolution of community structure in the world trade web

Irena Tzekina, Karan Danthi and Daniel N. Rockmore

2007: Effectiveness of Measures of Performance During Speculative Bubbles

Filippo Petroni and Giulia Rotundo

2007: Measuring Volatility Clustering in Stock Markets

Gabjin Oh, Seunghwan Kim, Cheoljun Eom and Taehyuk Kim

2007: Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series

Cheoljun Eom, Gapjin Oh, Hawoong Jeong and Seunghwan Kim

2007: Statistical Investigation of Connected Structures of Stock Networks in Financial Time Series

Cheoljun Eom, Gabjin Oh and Seunghwan Kim

2007: Economic dynamics with financial fragility and mean-field interaction: a model

Corrado Di Guilmi, Mauro Gallegati and Simone Landini

2007: Volatility return intervals analysis of the Japanese market

Woo-Sung Jung, Fengzhong Wang, Shlomo Havlin, Taisei Kaizoji, Hie-Tae Moon and H. Eugene Stanley

2007: American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

Alet Roux and Tomasz Zastawniak

2007: Influence of deterministic trend on the estimated parameters of GARCH(1,1) model

Calin Vamos and Maria Craciun

2007: Application of spectral methods for high-frequency financial data to quantifying states of market participants

Aki-Hiro Sato

2007: Relative and Discrete Utility Maximising Entropy

Grzegorz Hara\'nczyk, Wojciech S{\l}omczy\'nski and Tomasz Zastawniak

2007: Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

Guo-Hua Mu and Wei-Xing Zhou

2007: Persistence in a Random Bond Ising Model of Socio-Econo Dynamics

S. Jain and T. Yamano

2007: Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

Boris Podobnik, Davor Horvatic, Alfonso Lam Ng, H. Eugene Stanley and Plamen Ch. Ivanov

2007: A Comparative Study of Stochastic Volatility Models

E. Cisana, L. Fermi, G. Montagna and O. Nicrosini

2007: Entropy and Uncertainty Analysis in Financial Markets

Andreia Dionisio, Rui Menezes and Diana A. Mendes

2007: Utility function estimation: the entropy approach

Andreia Dionisio and A. Heitor Reis

2007: Are volatility estimators robust with respect to modeling assumptions?

Yingying Li and Per A. Mykland

2007: Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Boris Podobnik and H. Eugene Stanley

2007: Valuations and dynamic convex risk measures

A. Jobert and L. C. G. Rogers

2007: An empirical behavioral model of liquidity and volatility

Szabolcs Mike and J. Farmer

2007: Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing

Mark Owen and Gordan Zitkovic

2007: On the Topological Properties of the World Trade Web: A Weighted Network Analysis

Giorgio Fagiolo, Javier Reyes and Stefano Schiavo

2007: World currency exchange rate cross-correlations

S. Drozdz, A. Z. Gorski and J. Kwapien

2007: Relationship between degree of efficiency and prediction in stock price changes

Cheoljun Eom, Gabjin Oh and Woo-Sung Jung

2007: $L^2$-approximating pricing under restricted information

M. Mania, R. Tevzadze and T. Toronjadze

2007: Time reversal invariance in finance

Gilles Zumbach

2007: Empirical distributions of Chinese stock returns at different microscopic timescales

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

2007: Perturbation Expansion for Option Pricing with Stochastic Volatility

Petr Jizba, Hagen Kleinert and Patrick Haener

2007: The public goods game on homogeneous and heterogeneous networks: investment strategy according to the pool size

Zi-Gang Huang, Zhi-Xi Wu, Jian-Yue Guan, An-Cai Wu and Ying-Hai Wang

2007: The Product Space Conditions the Development of Nations

Cesar Hidalgo, B. Klinger, A. -L. Barabasi and Ricardo Hausmann

2007: Eduction and Economy -- An Analysis of Statistical Data

H. -U. Habermeier

2007: Point estimation with exponentially tilted empirical likelihood

Susanne Schennach

2007: Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions

Ljudmila A. Bordag and Ruediger Frey

2007: Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing

Grace Lin, Yingdong Lu and David Yao

2007: Investment and Consumption without Commitment

Ivar Ekeland and Traian A. Pirvu

2007: Group dynamics of the Japanese market

Woo-Sung Jung, Okyu Kwon, Fengzhong Wang, Taisei Kaizoji, Hie-Tae Moon and H. Eugene Stanley

2007: The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market

D. Grech and G. Pamu{\l}a

2007: Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii

Sara van de Geer

2007: Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii

Alexandre Tsybakov

2007: Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii

Xiaotong Shen and Lifeng Wang

2007: Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii

St\'ephan Cl\'emen\c{c}on, Gabor Lugosi and Nicolas Vayatis

2007: Discussion of "2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization" by V. Koltchinskii

Peter L. Bartlett and Shahar Mendelson

2007: Multi-scale correlations in different futures markets

M. Bartolozzi, C. Mellen, T. Di Matteo and T. Aste

2007: The fractional volatility model: An agent-based interpretation

Rui Mendes

2007: Volatility: a hidden Markov process in financial time series

Zoltan Eisler, Josep Perelló and Jaume Masoliver

2007: Optimizing Venture Capital Investments in a Jump Diffusion Model

Erhan Bayraktar and Masahiko Egami

2007: Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

Erhan Bayraktar and Virginia R. Young

2007: Information flow between composite stock index and individual stocks

Okyu Kwon and Jae-Suk Yang

2007: Indication of multiscaling in the volatility return intervals of stock markets

Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin and H. Eugene Stanley

2007: The International Trade Network

K. Bhattacharya, G. Mukherjee and S. S. Manna

2007: Economic Amplifier - A New Econophysics Model

Ion Spanulescu and Anca Gheorghiu

2007: A Bayesian Framework for Combining Valuation Estimates

Kenton Yee

2007: Credit risk - A structural model with jumps and correlations

Rudi Sch\"afer, Markus Sj\"olin, Andreas Sundin, Michal Wolanski and Thomas Guhr

2007: Growth-optimal portfolios under transaction costs

Jan Palczewski and Lukasz Stettner

2007: Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

Xi-Yuan Qian, Fu-Tie Song and Wei-Xing Zhou

2007: Adaptation and Coevolution on an Emergent Global Competitive Landscape

Philip V. Fellman, Jonathan Vos Post, Roxana Wright and Usha Dasari

2007: Specialization of strategies and herding behavior of trading firms in a financial market

Fabrizio Lillo, Esteban Moro, Gabriella Vaglica and Rosario Mantegna

2007: Quantum Nash Equilibria and Quantum Computing

Philip V. Fellman and Jonathan Vos Post

2007: Microscopic Origin of Non-Gaussian Distributions of Financial Returns

T. S. Biro and R. Rosenfeld

2007: A data-reconstructed fractional volatility model

Rui Mendes and M. J. Oliveira

2007: The minority game: An economics perspective

Willemien Kets

2007: A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS

Yunfen Bai, Xinhua Hu and Zhongxing Ye

2007: Multifractality in stock indexes: Fact or fiction?

Zhi-Qiang Jiang and Wei-Xing Zhou

2007: Nurturing Breakthroughs: Lessons from Complexity Theory

Didier Sornette

2007: Long Memory in Nonlinear Processes

Rohit Deo, Meng-Chen Hsieh, Clifford Hurvich and Philippe Soulier

2007: Uncertainty in the Fluctuations of the Price of Stocks

G. R. Jafari, M. Sadegh Movahed, P. Noroozzadeh, A. Bahraminasab, Muhammad Sahimi, F. Ghasemi and M. Reza Rahimi Tabar

2007: Heterogeneity and Increasing Returns May Drive Socio-Economic Transitions

G\'erard Weisbuch, Vincent Buskens and Luat Vuong

2007: The Quantum Black-Scholes Equation

Luigi Accardi and Andreas Boukas

2007: Hiking the hypercube: producers and consumers

Tanya Ara\'ujo and G\'erard Weisbuch

2007: Rent seeking games with tax evasion

O. Bundau, M. Neamtu and D. Opris

2007: Maximizing the Growth Rate under Risk Constraints

Traian A. Pirvu and Gordan Zitkovic

2007: Stability of utility-maximization in incomplete markets

Kasper Larsen and Gordan Zitkovic

2007: On the semimartingale property via bounded logarithmic utility

Kasper Larsen and Gordan Zitkovic

2007: Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints

Gordan Zitkovic

2007: Kullback-Leibler distance as a measure of the information filtered from multivariate data

Michele Tumminello, Fabrizio Lillo and Rosario Mantegna

2007: Martingales, Detrending Data, and the Efficient Market Hypothesis

Joseph L. McCauley, Kevin E. Bassler and Gemunu H. Gunaratne

2007: Risk evaluation with enhaced covariance matrix

Krzysztof Urbanowicz, Peter Richmond and Janusz A. Holyst

2007: Extreme times for volatility processes

Jaume Masoliver and Josep Perelló

2007: Self-organization of price fluctuation distribution in evolving markets

Raj Pan and Sitabhra Sinha

2007: The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance

T. R. Cass and P. K. Friz

2007: On the density of properly maximal claims in financial markets with transaction costs

Saul Jacka and Abdelkarem Berkaoui

2007: Optimal consumption from investment and random endowment in incomplete semimartingale markets

Ioannis Karatzas and Gordan Zitkovic

2007: Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

Gordan Zitkovic

2007: Scale-free avalanches in the multifractal random walk

M. Bartolozzi

2007: Stochastic analysis of an agent-based model

A. Veglio and M. Marsili

2007: The limit order book on different time scales

Zoltan Eisler, Janos Kertesz and Fabrizio Lillo

2007: Optimal cross hedging for insurance derivatives

Stefan Ankirchner, Peter Imkeller and Alexandre Popier

2007: The Macro Model of the Inequality Process and The Surging Relative Frequency of Large Wage Incomes

John Angle

2007: Detecting anchoring in financial markets

Jorgen Vitting Andersen

2007: On a generalised model for time-dependent variance with long-term memory

Silvio M. Duarte Queiros

2007: Entropy Oriented Trading: A Trading Strategy Based on the Second Law of Thermodynamics

Yoichi Hirai

2007: Network Topology of an Experimental Futures Exchange

S. C. Wang, J. J. Tseng, Chung-Ching Tai, K. H. Lai, W. S. Wu, Shu-Heng Chen and S. P. Li

2007: Optimal quantization for the pricing of swing options

Olivier Aj Bardou, Sandrine Bouthemy and Gilles Pag\`es

2007: Kolkata Restaurant Problem as a generalised El Farol Bar Problem

Bikas K. Chakrabarti

2007: A simple algorithm based on fluctuations to play the market

L. Gil

2007: Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

Moshe Milevsky, S. David Promislow and Virginia R. Young

2007: Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs

Virginia R. Young

2007: The log-normal distribution from Non-Gibrat's law in the middle scale region of profits

Atushi Ishikawa

2007: Change point estimation for the telegraph process observed at discrete times

Alessandro De Gregorio and Stefano Iacus

2007: Quantitative relations between corruption and economic factors

Jia Shao, Plamen Ch. Ivanov, Boris Podobnik and H. Eugene Stanley

2007: Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market

Cheoljun Eom, Gabjin Oh and Seunghwan Kim

2007: Strategy bifurcation and spatial inhomogeneity in a simple model of competing sellers

L. Mitchell and G. J. Ackland

2007: Fluctuation scaling versus gap scaling

Zoltan Eisler and Janos Kertesz

2007: Downside Risk analysis applied to Hedge Funds universe

Josep Perelló

2007: Boltzmann Distribution and Temperature of Stock Markets

H. Kleinert and X. J. Chen

2007: Correlation based networks of equity returns sampled at different time horizons

M. Tumminello, T. Di Matteo, T. Aste and Rosario Mantegna

2007: Delta Hedging without the Black-Scholes Formula

Yukio Hirashita

2007: Optimal Bond Portfolios

Ivar Ekeland and Erik Taflin

2007: EGT through Quantum Mechanics & from Statistical Physics to Economics

Esteban Guevara

2007: Modeling the Epps effect of cross correlations in asset prices

Bence Toth, Balint Toth and Janos Kertesz

2007: Classical and quantum randomness and the financial market

Andrei Khrennikov

2007: Why only few are so successful ?

P. K. Mohanty

2007: Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE

Sitabhra Sinha and Raj Pan

2007: Scaling laws of strategic behaviour and size heterogeneity in agent dynamics

Gabriella Vaglica, Fabrizio Lillo, Esteban Moro and Rosario Mantegna

2007: Information-Based Asset Pricing

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

2007: Financial time-series analysis: A brief overview

A. Chakraborti, M. Patriarca and M. S. Santhanam

2007: True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence

Ruipeng Liu, T. Di Matteo and Thomas Lux

2007: Patterns of dominant flows in the world trade web

M. Angeles Serrano, Marian Boguna and Alessandro Vespignani

2007: Weak and Strong Taylor methods for numerical solutions of stochastic differential equations

Maria Siopacha and Josef Teichmann

2007: Stock market return distributions: from past to present

S. Drozdz, M. Forczek, J. Kwapien, P. Oswiecimka and R. Rak

2007: Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes

Wei-Xing Zhou and Didier Sornette

2007: Average optimality for risk-sensitive control with general state space

Anna Ja\'skiewicz

2007: Properties of a simple bilinear stochastic model: estimation and predictability

D. Sornette and V. F. Pisarenko

2007: Economic Inequality: Is it Natural?

Arnab Chatterjee, Sitabhra Sinha and Bikas K. Chakrabarti

2007: Least Squares Importance Sampling for Monte Carlo Security Pricing

Luca Capriotti

2007: A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: the Exponent Expansion

Luca Capriotti

2007: A transactional theory of fluctuations in company size

A. O. Schweiger, S. V. Buldyrev and H. E. Stanley

2007: Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution

Andrei Leonidov, Vladimir Trainin, Alexander Zatsev and Sergey Zaitsev

2007: Structurally dynamic spin market networks

D. Horvath and Z. Kuscsik

2007: Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

2007: Maximum Likelihood Estimation of Drift and Diffusion Functions

D. Kleinhans and R. Friedrich

2007: Volatility and dividend risk in perpetual American options

Miquel Montero

2007: The dynamics of traded value revisited

Zoltan Eisler and Janos Kertesz

2007: Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets

Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters and Michele Vettorazzo

2007: Minimizing the Probability of Lifetime Ruin under Borrowing Constraints

Erhan Bayraktar and Virginia R. Young

2007: Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis

Erhan Bayraktar, H. Vincent Poor and Ronnie Sircar

2007: The Effects of Implementation Delay on Decision-Making Under Uncertainty

Erhan Bayraktar and Masahiko Egami

2007: Queueing Theoretic Approaches to Financial Price Fluctuations

Erhan Bayraktar, Ulrich Horst and Ronnie Sircar

2007: A Limit Theorem for Financial Markets with Inert Investors

Erhan Bayraktar, Ulrich Horst and Ronnie Sircar

2007: Optimal Time to Change Premiums

Erhan Bayraktar and H. Vincent Poor

2007: Interacting Agent Feedback Finance Model

Biao Wu

2007: Minimizing the Lifetime Shortfall or Shortfall at Death

Erhan Bayraktar

2007: Correspondence between Lifetime Minimum Wealth and Utility of Consumption

Erhan Bayraktar and Virginia R. Young

2007: Suboptimality of Penalized Empirical Risk Minimization in Classification

Guillaume Lecu\'e

2007: Implications of contrarian and one-sided strategies for the fair-coin game

Yasunori Horikoshi and Akimichi Takemura

2007: Mean-variance Hedging Under Partial Information

M. Mania, R. Tevzadze and T. Toronjadze

2007: Donsker theorem for the Rosenblatt process and a binary market model

Ciprian Tudor and Soledad Torres

2007: Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk

Jocelyne Bion-Nadal

2007: Computer Science and Game Theory: A Brief Survey

Joseph Halpern

2007: An equilibrium model for matching impatient demand and patient supply over time

Garud Iyengar and Anuj Kumar

2007: The uniqueness of company size distribution function from tent-shaped growth rate distribution

Atushi Ishikawa

2007: Bayesian estimation of GARCH model by hybrid Monte Carlo

Tetsuya Takaishi

2007: Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes

Silvio M. Duarte Queiros and Luis G. Moyano

2007: Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

Christian Borghesi, Matteo Marsili and Salvatore Miccich\`e

2007: Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

Zhi-Qiang Jiang, Liang Guo and Wei-Xing Zhou

2007: Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

2007: A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

Yannick Malevergne and D. Sornette

2007: Waiting time analysis of foreign currency exchange rates: Beyond the renewal-reward theorem

Naoya Sazuka and Jun-ichi Inoue

2007: On the origin of the Epps effect

Bence Toth and Janos Kertesz

2007: Long Term Economic Relationships From Cointegration Maps

Renato Vicente, Carlos de B. Pereira, Vitor B. P. Leite and Nestor Caticha

2007: The value of information in a multi-agent market model

Bence Toth, Enrico Scalas, Juergen Huber and Michael Kirchler

2007: Scale invariant multiplier and multifractality of absolute returns in stock markets

Zhi-Qiang Jiang and Wei-Xing Zhou

2007: k-Generalized Statistics in Personal Income Distribution

Fabio Clementi, Mauro Gallegati and G. Kaniadakis

2007: Martingale Option Pricing

J. L. McCauley, G. H. Gunaratne and K. E. Bassler

2007: Response to Worrying Trends in Econophysics

Joseph L. McCauley

2007: On the optimal dividend problem for a spectrally negative L\'{e}vy process

Florin Avram, Zbigniew Palmowski and Martijn R. Pistorius

2007: Asymptotic arbitrage and num\'eraire portfolios in large financial markets

Dmitry B. Rokhlin

2007: Price systems for markets with transaction costs and control problems for some finance problems

Tzuu-Shuh Chiang, Shang-Yuan Shiu and Shuenn-Jyi Sheu

2007: Multivariate volatility models

Ruey S. Tsay

2007: Combining domain knowledge and statistical models in time series analysis

Tze Leung Lai and Samuel Po-Shing Wong

2007: Estimation errors of the Sharpe ratio for long-memory stochastic volatility models

Hwai-Chung Ho

2007: Fractional constant elasticity of variance model

Ngai Hang Chan and Chi Tim Ng

2007: On Robust Utility Maximization

Traian A Pirvu and Ulrich G Haussmann

2007: A Portfolio Decomposition Formula

Traian A Pirvu and Ulrich G Haussmann

2007: Some applications and methods of large deviations in finance and insurance

Huyen Pham

2007: Convexity theory for the term structure equation

Erik Ekstrom and Johan Tysk

2007: Correction. Error estimates for binomial approximations of game options

Yuri Kifer

2007: Sensitivity analysis of utility-based prices and risk-tolerance wealth processes

Dmitry Kramkov and Mihai S\^{{\i}}rbu

2007: Market free lunch and large financial markets

Irene Klein

2007: Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging

Dirk Becherer

2007: Continuous-time mean-variance efficiency: the 80% rule

Xun Li and Xun Yu Zhou

2007: Mixtures in non stable Levy processes

Nicola Cufaro Petroni

2007: Geometrical Brownian Motion Driven by Color Noise

Ryszard Zygad{\l}o

2007: Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory

Joseph L. McCauley

2007: Power Law in Firms Bankruptcy

Byoung Hee Hong, Kyoung Eun Lee and Jae Woo Lee

2007: Assessing symmetry of financial returns series

H. F. Coronel-Brizio, A. R. Hernandez-Montoya, Huerta-Quintanilla, M. Rodriguez-Achach and .

2007: The market efficiency in the stock markets

Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji and In-mook Kim

2007: Agent-based Models of Financial Markets

E. Samanidou, E. Zschischang, D. Stauffer and Thomas Lux

2007: Interplay between topology and dynamics in the World Trade Web

D. Garlaschelli, T. Di Matteo, T. Aste, G. Caldarelli and M. I. Loffredo

2007: Random, but not so much: A parameterization for the returns and correlation matrix of financial time series

Andre C. R. Martins

2007: Topological Properties of the Minimal Spanning Tree in Korean and American Stock Markets

Cheoljun Eom, Gabjin Oh and Seunghwan Kim

2007: Phase transition in the globalization of trade

M. Angeles Serrano

2007: A model of coupled maps with Pareto behavior

J. R. Sanchez, J. Gonzalez-Estevez, R. Lopez-Ruiz and M. G. Cosenza

2007: Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles

V. I. Yukalov, D. Sornette and E. P. Yukalova

2007: Exponential Martingales and Time integrals of Brownian Motion

Victor Goodman and Kyounghee Kim