Papers

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2006: Fluctuations in time intervals of financial data from the view point of the Gini index

Naoya Sazuka and Jun-ichi Inoue

2006: A mechanism to derive multi-power law functions: an application in the econophysics framework

A. M. Scarfone

2006: Characterizing and modeling cyclic behavior in non-stationary time series through multi-resolution analysis

Dilip P. Ahalpara, Amit Verma, Prasanta K. Panigrahi and Jitendra C. Parikh

2006: Volatility Dynamics of Wavelet-Filtered Stock Prices

I. M. Dremin and A. V. Leonidov

2006: A Probability Density Function for Google's stocks

V. Dorobantu

2006: Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

Fabrizio Lillo

2006: Forecasting extreme events in collective dynamics: an analytic signal approach to detecting discrete scale invariance

G. M. Viswanathan

2006: Non-Stationary Covariance Matrices And Noise

Andr\'e C. R. Martins

2006: Phase Transitions in Operational Risk

Kartik Anand and Reimer K\"uhn

2006: Kinetic market models with single commodity having price fluctuations

Arnab Chatterjee and Bikas K. Chakrabarti

2006: Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study

A. Christian Silva and Victor Yakovenko

2006: A Natural Value Unit - Econophysics as Arbiter between Finance and Economics

Steivan Defilla

2006: Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

Aki-Hiro Sato

2006: Asymmetric Conditional Volatility in International Stock Markets

Nuno B. Ferreira, Rui Menezes and Diana A. Mendes

2006: Chaotic Dynamics in Optimal Monetary Policy

Orlando Gomes, Vivaldo M. Mendes, Diana A. Mendes and J. Sousa Ramos

2006: Option pricing with log-stable L\'{e}vy processes

Przemys{\l}aw Repetowicz and Peter Richmond

2006: General Duality for Perpetual American Options

Aur\'elien Alfonsi and Benjamin Jourdain

2006: A Call-Put Duality for Perpetual American Options

Aur\'elien Alfonsi and Benjamin Jourdain

2006: What is the natural scale for a L\'evy process in modelling term structure of interest rates?

Jiro Akahori and Takahiro Tsuchiya

2006: A filtering approach to tracking volatility from prices observed at random times

Jak\v{s}a Cvitani\'c, Robert Liptser and Boris Rozovskii

2006: Option Pricing without Price Dynamics: A Probabilistic Approach

Dimitris Bertsimas and Natasha Bushueva

2006: One-Factor Term Structure without Forward Rates

Victor Goodman and Kyounghee Kim

2006: Mean Escape Time in a System with Stochastic Volatility

Giovanni Bonanno, Davide Valenti and Bernardo Spagnolo

2006: Artificial market model based on deterministic agents and derivation of limit of GARCH type process

Aki-Hiro Sato and Hideki Takayasu

2006: Networks of companies and branches in Poland

Anna M. Chmiel, Julian Sienkiewicz, Krzysztof Suchecki and Janusz A. Holyst

2006: The continuous time random walk formalism in financial markets

J. Masoliver, Miquel Montero, Josep Perelló and G. H. Weiss

2006: Econophysics of precious stones

A. Watanabe, N. Uchida and N. Kikuchi

2006: Are volatility correlations in financial markets related to Omori processes occurring on all scales?

Philipp Weber, Fengzhong Wang, Irena Vodenska-Chitkushev, Shlomo Havlin and H. Eugene Stanley

2006: Multiple time scales and the empirical models for stochastic volatility

G. L. Buchbinder and K. M. Chistilin

2006: Noise sensitivity of portfolio selection under various risk measures

Imre Kondor, Szilard Pafka and Gabor Nagy

2006: Trading strategies in the Italian interbank market

Giulia Iori, Roberto Renò, Giulia De Masi and Guido Caldarelli

2006: Topology of Foreign Exchange Markets using Hierarchical Structure Methods

Michael Naylor, Lawrence Rose and Brendan J. Moyle

2006: Market Efficiency in Foreign Exchange Markets

Gabjin Oh, Seunghwan Kim and Cheoljun Eom

2006: The demise of constant price impact functions and single-time step models of speculation

Damien Challet

2006: Minimum Entropy Density Method for the Time Series Analysis

Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo, Jae-Suk Yang and Hie-Tae Moon

2006: On the maximum drawdown during speculative bubbles

Giulia Rotundo and Mauro Navarra

2006: Stock price fluctuations and the mimetic behaviors of traders

Jun-ichi Maskawa

2006: Virtual volatility

A. Christian Silva and Richard E. Prange

2006: Correlation matrix decomposition of WIG20 intraday fluctuations

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

2006: Nonextensive statistical features of the Polish stock market fluctuations

R. Rak, S. Drozdz and J. Kwapien

2006: The unfair consequences of equal opportunities: comparing exchange models of wealth distribution

G. M. Caon, S. Goncalves and J. R. Iglesias

2006: An Extension to Gaussian Semigroup and Some Applications

Guibao Liu

2006: ANOVA for diffusions and It\^{o} processes

Per Aslak Mykland and Lan Zhang

2006: Local asymptotic minimax risk bounds in a locally asymptotically mixture of normal experiments under asymmetric loss

Debasis Bhattacharya and A. K. Basu

2006: The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations

Hannes Leeb

2006: Multivariate risks and depth-trimmed regions

Ignacio Cascos and Ilya Molchanov

2006: The CTRW in finance: Direct and inverse problems with some generalizations and extensions

Jaume Masoliver, Miquel Montero, Josep Perelló and George H. Weiss

2006: A note on projections of Gibbs measures from a class arising in economic modeling

M. Hohnisch and O. Kutoviy

2006: Persistence in Random Bond Ising Models of a Socio-Econo Dynamics in High Dimensions

S. Jain and T. Yamano

2006: A fitness model for the Italian Interbank Money Market

G. De Masi, Giulia Iori and G. Caldarelli

2006: Unexpected volatility and intraday serial correlation

Simone Bianco and Roberto Ren\'o

2006: Fear and its implications for stock markets

Ingve Simonsen, Peter Toke Heden Ahlgren, Mogens H. Jensen, Raul Donangelo and Kim Sneppen

2006: Mean Exit Time and Survival Probability within the CTRW Formalism

Miquel Montero and Jaume Masoliver

2006: News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model

Damien Challet

2006: Modeling inequality and spread in multiple regression

Rolf Aaberge, Steinar Bjerve and Kjell Doksum

2006: Error calculus and path sensitivity in financial models

Nicolas Bouleau

2006: On the value of optimal stopping games

Erik Ekstr\"om and Stephane Villeneuve

2006: On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

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

2006: The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

Thorsten Rheinl\"ander and Gallus Steiger

2006: Towards a Bayesian framework for option pricing

Henryk Gzyl, Enrique ter Horst and Samuel Malone

2006: Detecting long and short memory via spectral methods

Simone Bianco

2006: Role of Noise in a Market Model with Stochastic Volatility

G. Bonanno, D. Valenti and B. Spagnolo

2006: Cascades of Dynamical Transitions in an Adaptive Population

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

2006: Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets

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

2006: Integrating economic and psychological insights in binary choice models with social interactions

Katarzyna Ostasiewicz, Michal H. Tyc, Piotr Goliczewski, Piotr Magnuszewski, Andrzej Radosz and Jan Sendzimir

2006: Credit contagion and credit risk

J. P. L. Hatchett and R. Kuehn

2006: Fairness State with Plastic Preferences

Elena Ramirez Barrios and Juan G. Diaz Ochoa

2006: Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion

Josep Perelló, Miquel Montero, Luigi Palatella, Ingve Simonsen and Jaume Masoliver

2006: Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series

Christoly Biely and Stefan Thurner

2006: Detecting the traders' strategies in Minority-Majority games and real stock-prices

V. Alfi, A. De Martino, L. Pietronero and A. Tedeschi

2006: Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis

C. Coronnello, M. Tumminello, F. Lillo, S. Micciche` and Rosario Mantegna

2006: A Generalized Preferential Attachment Model for Business Firms Growth Rates: II. Mathematical Treatment

S. V. Buldyrev, Fabio Pammolli, Massimo Riccaboni, K. Yamasaki, D. Fu, K. Matia and H. E. Stanley

2006: A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence

Fabio Pammolli, Dongfeng Fu, S. V. Buldyrev, Massimo Riccaboni, Kaushik Matia, Kazuko Yamasaki and H. E. Stanley

2006: Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation

Marzena Kozlowska and Ryszard Kutner

2006: Mechanical vs. informational components of price impact

J. Farmer and Neda Zamani

2006: Stochastic model for market stocks with strong resistance

Javier Villarroel

2006: Evaluation of Tranche in Securitization and Long-range Ising Model

K. Kitsukawa, S. Mori and M. Hisakado

2006: On utility-based super-replication prices of contingent claims with unbounded payoffs

Frank Oertel and Mark Owen

2006: The Exact Value for European Options on a Stock Paying a Discrete Dividend

João Amaro de Matos, Rui Dil\~ao and Bruno Ferreira

2006: Evaluating Pricing Strategy Using e-Commerce Data: Evidence and Estimation Challenges

Anindya Ghose and Arun Sundararajan

2006: An analysis of Cross-correlations in South African Market data

Diane Wilcox and Tim Gebbie

2006: Detrending Moving Average variance: a derivation of the scaling law

Sergio Arianos and Anna Carbone

2006: Automatic Trading Agent. RMT based Portfolio Theory and Portfolio Selection

Malgorzata Snarska and Jakub Krzych

2006: Self-Consistent Asset Pricing Models

Yannick Malevergne and D. Sornette

2006: Coupled continuous time random walks in finance

Mark M. Meerschaert and Enrico Scalas

2006: Waiting times between orders and trades in double-auction markets

Enrico Scalas, Taisei Kaizoji, Michael Kirchler, Juergen Huber and Alessandra Tedeschi

2006: On the volatility of volatility

Stephen D. H. Hsu and Brian M. Murray

2006: The art of fitting financial time series with Levy stable distributions

Enrico Scalas and Kyungsik Kim

2006: Growth and Allocation of Resources in Economics: The Agent-Based Approach

Enrico Scalas, Mauro Gallegati, Eric Guerci, David Mas and Alessandra Tedeschi

2006: Mixtures of compound Poisson processes as models of tick-by-tick financial data

Enrico Scalas

2006: Comparison of gain-loss asymmetry behavior for stocks and indexes

Magdalena A. Zaluska-Kotur, Krzysztof Karpio and Arkadiusz Orlowski

2006: Hitting Time Distributions in Financial Markets

Davide Valenti, Bernardo Spagnolo and Giovanni Bonanno

2006: On Capital Dependent Dynamics of Knowledge

Marek Szydlowski and Adam Krawiec

2006: The average behaviour of financial market by 2 scale homogenisation

R. Wojnar

2006: On Value at Risk for foreign exchange rates - the copula approach

Piotr Jaworski

2006: Reflections on Modern Macroeconomics: Can We Travel Along a Safer Road?

Edoardo Gaffeo, Michele Catalano, Fabio Clementi, Domenico Delli Gatti, Mauro Gallegati and Alberto Russo

2006: Analysis of price diffusion in financial markets using PUCK model

Takayuki Mizuno, Hideki Takayasu and Misako Takayasu

2006: Characterization of foreign exchange market using the threshold-dealer-model

Kenta Yamada, Hideki Takayasu and Misako Takayasu

2006: Anomalous fluctuations in Minority Games and related multi-agent models of financial markets

Tobias Galla, Giancarlo Mosetti and Yi-Cheng Zhang

2006: Modeling long-range memory trading activity by stochastic differential equations

V. Gontis and B. Kaulakys

2006: Risk Minimization through Portfolio Replication

Stefano Ciliberti and Marc Mezard

2006: Market reaction to temporary liquidity crises and the permanent market impact

Adam Ponzi, Fabrizio Lillo and Rosario Mantegna

2006: Violation of market efficiency in transition economies

Boris Podobnik, Ivo Grosse, Davor Horvatic, Plamen Ch Ivanov, Timotej Jagric and H. E. Stanley

2006: Multifractal Properties of the Ukraine Stock Market

A. Ganchuk, V. Derbentsev and V. Soloviev

2006: Extracting the exponential behaviors in the market data

Kota Watanabe, Hideki Takayasu and Misako Takayasu

2006: Multifractal Model of Asset Returns versus real stock market dynamics

P. Oswiecimka, J. Kwapien, S. Drozdz, A. Z. Gorski and R. Rak

2006: Synchronization Model for Stock Market Asymmetry

Raul Donangelo, Mogens H. Jensen, Ingve Simonsen and Kim Sneppen

2006: Statistical mechanics of combinatorial auctions

Tobias Galla, Michele Leone, Matteo Marsili, Mauro Sellitto, Martin Weigt and Riccardo Zecchina

2006: Critical dynamics and global persistence exponent on Taiwan financial market

I-Chun Chen, Hsen-Che Tseng, Ping-Cheng Li and Hung-Jung Chen

2006: Stylized facts from a threshold-based heterogeneous agent model

Rod Cross, M. Grinfeld, H. Lamba and T. Seaman

2006: Response of Firm Agent Network to Exogenous Shock

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

2006: Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

Giuseppe Garofalo and Alessandro Sansone

2006: Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

Josep Perelló

2006: Ideal-gas like market models with savings: quenched and annealed cases

Arnab Chatterjee and Bikas K Chakrabarti

2006: Risk measures with non-Gaussian fluctuations

G. Bormetti, E. Cisana, G. Montagna and O. Nicrosini

2006: Econophysics of interest rates and the role of monetary policy

Daniel Cajueiro and Benjamin Tabak

2006: Long-range dependence in Interest Rates and Monetary Policy

Daniel Cajueiro and Benjamin Tabak

2006: Non-Parametric Extraction of Implied Asset Price Distributions

Jerome V. Healy, Maurice Dixon, Brian J. Read and Fang Fang Cai

2006: Geometry of Financial Markets -- Towards Information Theory Model of Markets

Edward Piotrowski and Jan Sladkowski

2006: The uniqueness of the profits distribution function in the middle scale region

Atushi Ishikawa

2006: Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates

Wei-Xing Zhou and Didier Sornette

2006: Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations

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

2006: Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis

Adel Sharkasi, Heather J. Ruskin and Martin Crane

2006: How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries

Giorgio Fagiolo, Mauro Napoletano and Andrea Roventini

2006: Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models

Anna Pajor

2006: The matrix rate of return

Anna Zambrzycka and Edward Piotrowski

2006: Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales

A. A. G. Cortines and R. Riera

2006: Kelly Criterion revisited: optimal bets

Edward Piotrowski and Malgorzata Schroeder

2006: Analysis of a Japan government intervention on the domestic agriculture market

Nikolay K. Vitanov, Kenshi Sakai, Ivan P. Jordanov, Shunsuke Managi and Katsuhiko Demura

2006: Dynamical change of Pareto index in Japanese land prices

Atushi Ishikawa

2006: Trend arbitrage, bid-ask spread and market dynamics

Nikolai Zaitsev

2006: A Non-Gaussian Approach to Risk Measures

G. Bormetti, E. Cisana, G. Montagna and O. Nicrosini

2006: Generic features of the wealth distribution in ideal-gas-like markets

P. K. Mohanty

2006: Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes

GabJin Oh, Cheol-Jun Um and Seunghwann Kim

2006: Measuring sectoral diversification in an asymptotic multi-factor framework

Dirk Tasche

2006: Mean-variance Hedging in the Discontinuous Case

Jianming Xia

2006: Computing strategies for achieving acceptability

Soumik Pal

2006: Time Consistent Dynamic Risk Processes, Cadlag Modification

Jocelyne Bion-Nadal

2006: Error estimates for binomial approximations of game options

Yuri Kifer

2006: Variance-optimal hedging for processes with stationary independent increments

Friedrich Hubalek, Jan Kallsen and Leszek Krawczyk

2006: Analysis of Stochstic Evolution

Francesco Vallone

2006: On the integrated behaviour of non-stationary volatility in stock markets

Andreia Dionisio, Rui Menezes and Diana A. Mendes

2006: Of Songs and Men: a Model for Multiple Choice with Herding

Christian Borghesi and Jean-Philippe Bouchaud

2006: Analysis of aggregated tick returns: evidence for anomalous diffusion

Philipp Weber

2006: Liquidity and the multiscaling properties of the volume traded on the stock market

Zoltan Eisler and Janos Kertesz

2006: Long-range memory model of trading activity and volatility

V. Gontis and B. Kaulakys

2006: The Apparent Madness of Crowds: Irrational collective behavior emerging from interactions among rational agents

Sitabhra Sinha

2006: Validation of internal rating systems and PD estimates

Dirk Tasche

2006: Aging in Financial Market

Simone Bianco and Paolo Grigolini

2006: Linear vs. Nonlinear Diffusion and Martingale Option Pricing

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

2006: Complexity characteristics of currency networks

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

2006: On the Feasibility of Portfolio Optimization under Expected Shortfall

Stefano Ciliberti, Imre Kondor and Marc Mezard

2006: Econophysics of Stock and Foreign Currency Exchange Markets

Marcel Ausloos

2006: How fair is an equitable distribution?

Elena Ramirez Barrios, J. G. Diaz Ochoa and Johannes J. Schneider

2006: Level Crossing Analysis of the Stock Markets

G. R. Jafari, M. S. Movahed, S. M. Fazeli, M. Reza Rahimi Tabar and S. F. Masoudi

2006: Scale-free avalanche dynamics in the stock market

M. Bartolozzi, D. B. Leinweber and A. W. Thomas

2006: Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

Aki-Hiro Sato

2006: On collective non-gaussian dependence patterns in high frequency financial data

Andrei Leonidov, Vladimir Trainin and Alexander Zaitsev

2006: An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market

N. Josephy, L. Kimball, A. Nagaev, M. Pasniewski and V. Steblovskaya

2006: Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor

Jiro Akahori, Hiroki Aoki and Yoshihiko Nagata

2006: On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

Naoya Sazuka

2006: The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics

Sitabhra Sinha and Raj Pan

2006: An Outlook on Correlations in Stock Prices

Anirban Chakraborti

2006: Microeconomic co-evolution model for financial technical analysis signals

G. Rotundo and Marcel Ausloos

2006: Optimal approximations of power-laws with exponentials

Thierry Bochud and Damien Challet

2006: Asymmetric matrices in an analysis of financial correlations

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

2006: Models of wealth distributions: a perspective

Abhijit Kar Gupta

2006: Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks

Zoltan Eisler and Janos Kertesz

2006: Size matters: some stylized facts of the stock market revisited

Zoltan Eisler and Janos Kertesz

2006: Detailed simulation results for some wealth distribution models in Econophysics

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

2006: Modelling Derivatives Pricing Mechanisms with Their Generating Functions

Shige Peng

2006: On Stable Pareto Laws in a Hierarchical Model of Economy

Alexander M. Chebotarev

2006: Hybrid dynamics for currency modeling

Ted Theodosopoulos and Alex Trifunovic

2006: Imbalance attractors for a strategic model of market microstructure

Ted Theodosopoulos and Ming Yuen

2006: CAPM, rewards, and empirical asset pricing with coherent risk

Alexander S. Cherny and Dilip B. Madan

2006: Pricing and hedging in incomplete markets with coherent risk

Alexander S. Cherny and Dilip B. Madan

2006: Coherent measurement of factor risks

Alexander S. Cherny and Dilip B. Madan

2006: Equilibrium with coherent risk

Alexander S. Cherny

2006: Pricing with coherent risk

Alexander S. Cherny

2006: Optimal long term investment model with memory

Akihiko Inoue and Yumiharu Nakano

2006: The Shannon information of filtrations and the additional logarithmic utility of insiders

Stefan Ankirchner, Steffen Dereich and Peter Imkeller

2006: Pricing Exotic Options in a Path Integral Approach

G. Bormetti, G. Montagna, N. Moreni and O. Nicrosini

2006: An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics

Taisei Kaizoji

2006: Dynamic instability in a phenomenological model of correlated assets

Giacomo Raffaelli and Matteo Marsili

2006: Profit Maximization, Industry Structure, and Competition: A critique of neoclassical theory

Steve Keen and Russell K. Standish

2006: A Delayed Black and Scholes Formula II

Mercedes Arriojas, Yaozhong Hu, Salah-Eldin Mohammed and Gyula Pap

2006: A Delayed Black and Scholes Formula I

Mercedes Arriojas, Yaozhong Hu, Salah-Eldin Mohammed and Gyula Pap

2006: Localizing Volatilities

Marc Atlan

2006: Getting real with real options

M. R Grasselli

2006: Explicit solutions for a nonlinear model of financial derivatives

Ljudmila A. Bordag and Alina Z. Chmakova

2006: Power Laws and Gaussians for Stock Market Fluctuations

Caglar Tuncay and Dietrich Stauffer

2006: Multi-asset minority games

Ginestra Bianconi, Andrea De Martino, Fernando F. Ferreira and Matteo Marsili

2006: Statistical properties of daily ensemble variables in the Chinese stock markets

Gao-Feng Gu and Wei-Xing Zhou

2006: Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents

Taisei Kaizoji

2006: Power laws and market crashes

Taisei Kaizoji

2006: Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization

Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev and Sergey Zaitsev

2006: Why do Hurst exponents of traded value increase as the logarithm of company size?

Zoltan Eisler and Janos Kertesz

2006: Living in an Irrational Society: Wealth Distribution with Correlations between Risk and Expected Profits

M. A. Fuentes, M. N. Kuperman and J. R. Iglesias

2006: The Power-law Tail Exponent of Income Distributions

Fabio Clementi, T. Di Matteo and Mauro Gallegati

2006: Stock mechanics: unification with economy

Caglar Tuncay

2006: The Process of price formation and the skewness of asset returns

Stefan Reimann

2006: Re-examination of the size distribution of firms

Taisei Kaizoji, Hiroshi Iyetomi and Yuichi Ikeda

2006: A Precursor of Market Crashes

Taisei Kaizoji

2006: Pareto's Law of Income Distribution: Evidence for Germany, the United Kingdom, and the United States

Fabio Clementi and Mauro Gallegati

2006: State Dependent Utility

Jaime A. Londo\~no

2006: Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

Dmitry B. Rokhlin

2006: On decomposing risk in a financial-intermediate market and reserving

Saul Jacka and Abdel Berkaoui

2006: Effects of Tobin Taxes in Minority Game markets

Ginestra Bianconi, Tobias Galla and Matteo Marsili

2006: Inflation and deflation in stock markets

Taisei Kaizoji

2006: Power law for the calm-time interval of price changes

Taisei Kaizoji and Michiyo Kaizoji

2006: Power law for ensembles of stock prices

Taisei Kaizoji and Michiyo Kaizoji

2006: A mechanism leading bubbles to crashes: the case of Japan's land markets

Taisei Kaizoji and Michiyo Kaizoji

2006: Scaling behavior in land markets

Taisei Kaizoji

2006: Scaling Law for the Distribution of Fluctuations of Share Volume

Taisei Kaizoji and Masahide Nuki

2006: A microscopic model of triangular arbitrage

Y. Aiba and N. Hatano

2006: The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives

Luca Capriotti

2006: Unifying the BGM and SABR Models: A short Ride in Hyperbolic Geometry

Pierre Henry-Labordere

2006: An elementary model of price dynamics in a financial market: Distribution, Multiscaling & Entropy

Stefan Reimann

2006: Stock mechanics: theory of conservation of total energy and predictions of coming short-term fluctuations of Dow Jones Industrials Average (DJIA)

Caglar Tuncay

2006: Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

V. Alfi, F. Coccetti, A. Petri and L. Pietronero

2006: Delta Hedged Option Valuation with Underlying Non-Gaussian Returns

L. Moriconi

2006: Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?

J. Farmer, Austin Gerig, Fabrizio Lillo and Szabolcs Mike

2006: Phase coexistence in a forecasting game

Philippe Curty and Matteo Marsili

2006: Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates

Belal E. Baaquie, Cui Liang and Mitch C. Warachka

2006: Econophysical Dynamics of Market-Based Electric Power Distribution Systems

Nicolas Ho and David P. Chassin

2006: Martingale selection problem and asset pricing in finite discrete time

Dmitry B. Rokhlin

2006: A theory of stochastic integration for bond markets

Marzia De Donno and M. Pratelli

2006: Atlas models of equity markets

Adrian D. Banner, Robert Fernholz and Ioannis Karatzas

2006: Maturity randomization for stochastic control problems

Bruno Bouchard, Nicole El Karoui and Nizar Touzi

2006: Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

Bruno Bouchard and Huy\^en Pham

2006: Markov Processes, Hurst Exponents, and Nonlinear Diffusion Equations with application to finance

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

2006: A nonextensive approach to the dynamics of financial observables

Silvio M. Duarte Queiros, Luis G. Moyano, Jeferson de Souza and Constantino Tsallis

2006: Nonequilibrium Thermodynamics of Wealth Condensation

Dieter Braun

2006: A study of the personal income distribution in Australia

Anand Banerjee, Victor Yakovenko and T. Di Matteo

2006: Statistical Properties of the Returns of Stock Prices of International Markets

GabJin Oh, Cheol-Jun Um and Seunghwan Kim

2006: Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability

Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev and Sergey Zaitsev

2006: Hidden Forces and Fluctuations from Moving Averages: A Test Study

V. Alfi, F. Coccetti, M. Marotta, L. Pietronero and M. Takayasu

2006: Non Poisson intermittent events in price formation

Antonella Greco, Luca Sorriso-Valvo and Vincenzo Carbone

2006: Optimal Investment Horizons for Stocks and Markets

A. Johansen, I. Simonsen and M. H. Jensen

2006: Financial Markets and Persistence

S. Jain and P. Buckley

2006: Conditional Probability as a Measure of Volatility Clustering in Financial Time Series

Kan Chen, C. Jayaprakash and Baosheng Yuan

2006: Capital Requirement for Achieving Acceptability

Soumik Pal

2006: Convexity preserving jump-diffusion models for option pricing

Erik Ekstr\"om and Johan Tysk

2006: Analysis of delay correlation matrices

K. B. K. Mayya and R. E. Amritkar

2006: An Adaptive Method for Valuing an Option on Assets with Uncertainty in Volatility

Sergei Fedotov and Stephanos Panayides