Papers

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2005: On the multi-fractal structure of traded volume in financial markets

L. G. Moyano, J. de Souza and S. M. Duarte Queiros

2005: Dynamical Structures of High-Frequency Financial Data

Kyungsik Kim, Seong-Min Yoon, Soo Yong Kim, Ki-Ho Chang and Yup Kim

2005: Dynamical Stochastic Processes of Returns in Financial Markets

Gyuchang Lim, Soo Yong Kim, Junyuan Zhou, Seong-Min Yoon and Kyungsik Kim

2005: Micro-economic Analysis of the Physical Constrained Markets: Game Theory Application to Competitive Electricity Markets

Ettore Bompard, Yuchao Ma and Elena Ragazzi

2005: Limitations of scaling and universality in stock market data

Janos Kertesz and Zoltan Eisler

2005: Volatility of an Indian stock market: A random matrix approach

V. Kulkarni and N. Deo

2005: Effects of Economic Interactions on Credit Risk

J. P. L. Hatchett and R. Kuehn

2005: Stock mechanics: a general theory and method of energy conservation with applications on DJIA

Caglar Tuncay

2005: Large dimension forecasting models and random singular value spectra

Jean-Philippe Bouchaud, Laurent Laloux, M. Augusta Miceli and Marc Potters

2005: The Growth of Business Firms: Theoretical Framework and Empirical Evidence

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

2005: Small scale behavior of financial data

Andreas P. Nawroth and Joachim Peinke

2005: Optimal hedging of Derivatives with transaction costs

Erik Aurell and Paolo Muratore-Ginanneschi

2005: Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood"

Susanne Schennach

2005: The Minority Game: a statistical physics perspective

David Sherrington

2005: Grouping in the stock markets of Japan and Korea

Woo-Sung Jung, Okyu Kwon, Taisei Kaizoji, Seungbyung Chae and Hie-Tae Moon

2005: Annual change of Pareto index dynamically deduced from the law of detailed quasi-balance

Atushi Ishikawa

2005: The Production Function

Guido Fioretti

2005: Description of dynamics of stock prices by a Langevin approach

Zi-Gang Huang, Yong Chen, Yong Zhang and Ying-Hai Wang

2005: Dynamics of the return distribution in the Korean financial market

Jae-Suk Yang, Seungbyung Chae, Woo-Sung Jung and Hie-Tae Moon

2005: Scaling and memory of intraday volatility return intervals in stock market

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

2005: Inverse Statistics for Stocks and Markets

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

2005: On statistical properties of traded volume in financial markets

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

2005: A common origin of the power law distributions in models of market and earthquake

Pratip Bhattacharyya, Arnab Chatterjee and Bikas K Chakrabarti

2005: Effects of the globalization in the Korean financial markets

Woo-Sung Jung, Okyu Kwon, Jae-Suk Yang and Hie-Tae Moon

2005: Volatility, Persistence, and Survival in Financial Markets

M. Constantin and S. Das Sarma

2005: Scaling Analysis on Indian Foreign Exchange Market

Apu Sarkar and P. Barat

2005: Persistence Probabilities of the German DAX and Shanghai Index

F. Ren, B. Zheng, H. Lin, L. Y. Wen and S. Trimper

2005: Nonlinearity, correlation and the valuation of employee stock options

M. R. Grasselli

2005: Properties of option prices in models with jumps

Erik Ekstr\"om and Johan Tysk

2005: Stochastic Cellular Automata Model for Stock Market Dynamics

M. Bartolozzi and A. W. Thomas

2005: The Donation-Payment Gift Card Concept: how to give twice with one card

R. Crane, J. V. Escobar-Sotomayor and D. Sornette

2005: Time series of stock price and of two fractal overlap: Anticipating market crashes?

Bikas K. Chakrabarti, Arnab Chatterjee and Pratip Bhattacharyya

2005: There's more to volatility than volume

Laszlo Gillemot, J. Farmer and Fabrizio Lillo

2005: An empirical behavioral model of price formation

Szabolcs Mike and J. Farmer

2005: Systematic analysis of group identification in stock markets

Dong-Hee Kim and Hawoong Jeong

2005: Static Arbitrage Bounds on Basket Option Prices

Alexandre d'Aspremont and Laurent El Ghaoui

2005: Analysis of Binarized High Frequency Financial Data

Naoya Sazuka

2005: An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market

Andreia Dionisio, Rui Menezes and Diana A. Mendes

2005: Condensation in an Economic Model with Brand Competition

L. Casillas, F. J. Espinosa, R. Huerta-Quintanilla and M. Rodriguez-Achach

2005: Random Matrix Filtering in Portfolio Optimization

Gabor Papp, Szilard Pafka, Maciej A. Nowak and Imre Kondor

2005: Role of Selective Interaction in Wealth Distribution

Abhijit Kar Gupta

2005: A characteristic time scale of tick quotes on foreign currency markets

Aki-Hiro Sato

2005: Firm Projects, NPV and Risk

Jana Hudakova and Ondrej Hudak

2005: Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

Misako Takayasu, Takayuki Mizuno and Hideki Takayasu

2005: Transfer Entropy Analysis of the Stock Market

Seung Ki Baek, Woo-Sung Jung, Okyu Kwon and Hie-Tae Moon

2005: Leptokurtic Portfolio Theory

Robert Kitt and Jaan Kalda

2005: Multifractal Behavior of the Korean Stock-market Index KOSPI

Jae Woo Lee, Kyuoung Eun Lee and Per Arne Rikvold

2005: A filtering approach to tracking volatility from prices observed at random times

Jaksa Cvitanic, Robert Liptser and Boris Rozovskii

2005: Game theoretic derivation of discrete distributions and discrete pricing formulas

Akimichi Takemura and Taiji Suzuki

2005: A boundary point lemma for Black-Scholes type operators

Erik Ekstr\"om and Johan Tysk

2005: Dynamic State Tameness

Jaime A. Londo\~no

2005: Waiting-time distribution for a stock-market index

Jae Woo Lee, Kyoung Eun Lee and Per Arne Rikvold

2005: The Network of Inter-Regional Direct Investment Stocks across Europe

Stefano Battiston, Jo\~ao F. Rodrigues and Hamza Zeytinoglu

2005: Impact of Stock Market Structure on Intertrade Time and Price Dynamics

Ainslie Yuen and Plamen Ch. Ivanov

2005: Cross-country hierarchical structure and currency crisis

Guillermo J. Ortega and David Matesanz

2005: Derivation of the distribution from extended Gibrat's law

Atushi Ishikawa

2005: Characteristic market behaviors caused by intervention in a foreign exchange market

Takayuki Mizuno, Yukiko Saito, Tsutomu Watanabe and Hideki Takayasu

2005: Correlation Networks Among Currencies

Takayuki Mizuno, Hideki Takayasu and Misako Takayasu

2005: Modeling a foreign exchange rate using moving average of Yen-Dollar market data

Takayuki Mizuno, Misako Takayasu and Hideki Takayasu

2005: Trend followers lose more often than they gain

Marc Potters and Jean-Philippe Bouchaud

2005: Application of Zhangs Square Root Law and Herding to Financial Markets

Friedrich Wagner

2005: Consumers don't play dice, influence of social networks and advertisements

Robert D. Groot

2005: Stock mechanics: energy conservation theory and the fundamental line of DJIA

Caglar Tuncay

2005: Dynamic exponential utility indifference valuation

Michael Mania and Martin Schweizer

2005: Some remarks on first passage of Levy processes, the American put and pasting principles

L. Alili and A. E. Kyprianou

2005: Utility maximization in incomplete markets

Ying Hu, Peter Imkeller and Matthias Muller

2005: Analysis of a Class of Likelihood Based Continuous Time Stochastic Volatility Models including Ornstein-Uhlenbeck Models in Financial Economics

Lancelot F. James

2005: Eigenvalue density of empirical covariance matrix for correlated samples

Z. Burda, J. Jurkiewicz and B. Waclaw

2005: Stationary states of a spherical Minority Game with ergodicity breaking

Tobias Galla and David Sherrington

2005: Sector identification in a set of stock return time series traded at the London Stock Exchange

C. Coronnello, M. Tumminello, F. Lillo, S. Miccich\`e and Rosario Mantegna

2005: Master equation for a kinetic model of trading market and its analytic solution

Arnab Chatterjee, Bikas K. Chakrabarti and Robin B. Stinchcombe

2005: Bipartite Producer-Consumer Networks and the Size Distribution of Firms

Wang Dahui, Zhou Li and Di Zengru

2005: Dynamic Process of Money Transfer Models

Yougui Wang and Ning Ding

2005: Prospects for Money Transfer Models

Yougui Wang, Ning Ding and Ning Xi

2005: How Required Reserve Ratio Affects Distribution and Velocity of Money

Ning Xi, Ning Ding and Yougui Wang

2005: The Velocity of Money in a Life-Cycle Model

Yougui Wang and Hanqing Qiu

2005: The Economic Mobility in Money Transfer

Ning Ding, Ning Xi and Yougui Wang

2005: Power-Law Distributions in Circulating Money: Effect of Preferential Behavior

Ning Ding and Yougui Wang

2005: Effects of Saving and Spending Patterns on Holding Time Distribution

Ning Ding, Ning Xi and Yougui Wang

2005: The Circulation of Money and Holding Time Distribution

Yougui Wang, Ning Ding and Li Zhang

2005: Ideal-Gas Like Markets: Effect of Savings

Arnab Chatterjee and Bikas K Chakrabarti

2005: Financial Applications of Random Matrix Theory: Old Laces and New Pieces

Marc Potters, J. P. Bouchaud and L. Laloux

2005: Production networks and failure avalanches

Gerard Weisbuch and Stefano Battiston

2005: Ab initio yield curve dynamics

Raymond J. Hawkins, B. Roy Frieden and Joseph L. D'Anna

2005: The distribution of wealth in the presence of altruism for simple economic models

M. Rodriguez-Achach and R. Huerta-Quintanilla

2005: On a multi-timescale statistical feedback model for volatility fluctuations

L. Borland and J. -Ph. Bouchaud

2005: Scaling and data collapse for the mean exit time of asset prices

Miquel Montero, Josep Perelló, Jaume Masoliver, Fabrizio Lillo, Salvatore Micciche and Rosario Mantegna

2005: Income Distribution Dependence of Poverty Measure: A Theoretical Analysis

Amit K Chattopadhyay and Sushanta Mallick

2005: Typical properties of optimal growth in the Von Neumann expanding model for large random economies

Andrea De Martino and Matteo Marsili

2005: Applications of physics to finance and economics: returns, trading activity and income

A. Christian Silva

2005: Cluster analysis for portfolio optimization

Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati and Rosario Mantegna

2005: The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises

Tanya Ara\'ujo and Francisco Lou\c{c}\~a

2005: A Model of Coupled-Maps for Economic Dynamics

J. R. Sanchez and R. Lopez-Ruiz

2005: Forecasting non-stationary financial time series through genetic algorithm

M. B. Porecha, P. K. Panigrahi, J. C. Parikh, C. M. Kishtawal and Sujit Basu

2005: Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model

P. Okunev

2005: A Note on the Ruin Problem with Risky Investments

David Maher

2005: Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

Baosheng Yuan and Kan Chen

2005: Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices

Taisei Kaizoji

2005: Boltzmann-Gibbs Distribution of Fortune and Broken Time-Reversible Symmetry in Econodynamics

P. Ao

2005: Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months

Renato Vicente, Charles M. de Toledo, Vitor B. P. Leite and Nestor Caticha

2005: Stock mechanics: predicting recession in S&P500, DJIA, and NASDAQ

Caglar Tuncay

2005: Increasing market efficiency: Evolution of cross-correlations of stock returns

Bence Toth and Janos Kertesz

2005: Pareto index induced from the scale of companies

Atushi Ishikawa

2005: Influence of saving propensity on the power law tail of wealth distribution

Marco Patriarca, Anirban Chakraborti and Guido Germano

2005: Is There a Real-Estate Bubble in the US?

Wei-Xing Zhou and Didier Sornette

2005: Characteristics of the Korean stock market correlations

Woo-Sung Jung, Seungbyung Chae, Jae-Suk Yang and Hie-Tae Moon

2005: On Some Processes and Distributions in a Collective Model of Investors' Behavior

Kyrylo Shmatov and Mikhail Smirnov

2005: Fast Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model: Using Hermite Expansions for Higher Accuracy

P. Okunev

2005: A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model

Pavel Okunev

2005: Study on optimal timing of mark-to-market for contingent credit risk control

Jiali Liao and Ted Theodosopoulos

2005: Arbitrage Opportunities and their Implications to Derivative Hedging

Stephanos Panayides

2005: Anomalous waiting times in high-frequency financial data

Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli and Marco Raberto

2005: Design in Complex Systems: Individual Performance versus System Efficiency

Chengling Gou

2005: Empirical study and model of personal income

Wataru Souma and Makoto Nirei

2005: Recurrence analysis of the NASDAQ crash of April 2000

Annalisa Fabretti and Marcel Ausloos

2005: Economic exchanges in a stratified society: End of the middle class?

M. F. Laguna, S. Risau Gusman and J. R. Iglesias

2005: Money Exchange Model and a general Outlook

Abhijit Kar Gupta

2005: Agents Play Mix-game

Chengling Gou

2005: Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction

Wei-Xing Zhou and Didier Sornette

2005: The bulk of the stock market correlation matrix is not pure noise

J. Kwapien, P. Oswiecimka and S. Drozdz

2005: Analyzing money distributions in `ideal gas' models of markets

Arnab Chatterjee, Bikas K. Chakrabarti and Robin B. Stinchcombe

2005: What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?

Hokky Situngkir and Yohanes Surya

2005: Kinetic theory models for the distribution of wealth: power law from overlap of exponentials

Marco Patriarca, Anirban Chakraborti, Kimmo Kaski and Guido Germano

2005: Structure and Evolution of the World Trade Network

D. Garlaschelli and M. I. Loffredo

2005: Extremal quantile regression

Victor Chernozhukov

2005: On utility maximization in discrete-time financial market models

Miklos Rasonyi and Lukasz Stettner

2005: Classical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes

Dirk Becherer and Martin Schweizer

2005: A theory of bond portfolios

Ivar Ekeland and Erik Taflin

2005: The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models

Sitabhra Sinha

2005: Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Alexandros Leontitsis and Costas Vorlow

2005: Detecting subtle effects of persistence in the stock market dynamics

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

2005: Investment horizons: A time-dependent measure of asset performance

Ingve Simonsen, Anders Johansen and Mogens H. Jensen

2005: The law of large numbers for completely random behavior of market participants. Quantum economics

V. P. Maslov

2005: Risk portofolio management under Zipf analysis based strategies

Marcel Ausloos

2005: How the rich get richer

Anita Mehta, A. S. Majumdar and J. M. Luck

2005: Time and foreign exchange markets

Luca Berardi and Maurizio Serva

2005: Hausdorff clustering of financial time series

Nicolas Basalto, Roberto Bellotti, Francesco De Carlo, Paolo Facchi and Saverio Pascazio

2005: Estimating Probabilities of Default for Low Default Portfolios

Katja Pluto and Dirk Tasche

2005: The Quantitative Relations between Stock Prices and Quantities of Tradable Stock Shares and Its Applications

Chengling Gou

2005: Application of noise level estimation for portfolio optimization

Krzysztof Urbanowicz and Janusz A. Holyst

2005: Self-fulfilling Ising Model of Financial Markets

Wei-Xing Zhou and Didier Sornette

2005: Optimal supply against fluctuating demand

Nobuyuki Sakai and Hisanori Kudoh

2005: Stock Mechanics: a classical approach

Caglar Tuncay

2005: Non-trivial scaling of fluctuations in the trading activity of NYSE

Janos Kertesz and Zoltan Eisler

2005: A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates

Belal E. Baaquie

2005: Power-law distributions in economics: a nonextensive statistical approach

Silvio M. Duarte Queiros, Celia Anteneodo and Constantino Tsallis

2005: Dynamical Minority Games in Futures Exchange Markets

Seong-Min Yoon and Kyungsik Kim

2005: What shakes the FX tree? Understanding currency dominance, dependence and dynamics

Neil F. Johnson, Mark McDonald, Omer Suleman, Stacy Williams and Sam Howison

2005: Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010

S. Drozdz, F. Gruemmer, F. Ruf and J. Speth

2005: The right time to sell a stock whose price is driven by Markovian noise

Robert C. Dalang and M. -O. Hongler

2005: Generalized stochastic differential utility and preference for information

Ali Lazrak

2005: On the super replication price of unbounded claims

Sara Biagini and Marco Frittelli

2005: Interplay between dividend rate and business constraints for a financial corporation

Tahir Choulli, Michael Taksar and Xun Yu Zhou

2005: Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

Gordan Zitkovic

2005: Characterization of arbitrage-free markets

Eva Strasser

2005: A note on exact likelihoods of the Carr-Wu models for leverage effects and volatility in financial economics

Lancelot F. James

2005: Coordination, intermittency and trends in generalized Minority Games

A. Tedeschi, A. De Martino and I. Giardina

2005: Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets

Didier Sornette and Wei-Xing Zhou

2005: Reply to cond-mat/0503325: Comment on `Generating functional analysis of Minority Games with real merket histories' by KH Ho, WC Man, FK Chow and HF Chau

A. C. C. Coolen

2005: Simulations of financial markets in a Potts-like model

Tetsuya Takaishi

2005: On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers

Andrea De Martino and Matteo Marsili

2005: Self-Similar Log-Periodic Structures in Western Stock Markets from 2000

M. Bartolozzi, S. Drozdz, D. B. Leinweber, J. Speth and A. W. Thomas

2005: A theory for long-memory in supply and demand

F. Lillo, Szabolcs Mike and J. Farmer

2005: An analytic treatment of the Gibbs-Pareto behavior in wealth distribution

Arnab Das and Sudhakar Yarlagadda

2005: A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate

P. Norouzzadeh

2005: Additive-multiplicative stochastic models of financial mean-reverting processes

C. Anteneodo and R. Riera

2005: Statistical Properties of Demand Fluctuation in the Financial Market

Kaushik Matia and Kazuko Yamasaki

2005: Statistical Properties of Business Firms Structure and Growth

Kaushik Matia, Dongfeng Fu, Sergey V. Buldyrev, Fabio Pammolli, Massimo Riccaboni and H. Eugene Stanley

2005: Macro-players in stock markets

Bertrand M. Roehner

2005: On nonexistence of non-constant volatility in the Black-Scholes formula

K. Hamza and F. C. Klebaner

2005: On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs

Bruno Bouchard and Emmanuel Temam

2005: Properties of the wealth process in a market microstructure model

Ted Theodosopoulos and Ming Yuen

2005: Uncertainty relations in models of market microstructure

Ted Theodosopoulos

2005: Pricing of options on stocks driven by multi-dimensional operator stable Levy processes

Przemyslaw Repetowicz and Peter Richmond

2005: On the distribution of high-frequency stock market traded volume: a dynamical scenario

Silvio M. Duarte Queiros

2005: Evidence for Power-law tail of the Wealth Distribution in India

Sitabhra Sinha

2005: On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics

Silvio M. Duarte Queiros and Constantino Tsallis

2005: No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bruno Bouchard

2005: Volatility conditional on price trends

Gilles Zumbach

2005: Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model

Jaume Masoliver and Josep Perelló

2005: A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model

Lisa Borland, Jeremy Evnine and Benoit Pochart

2005: Scaling analysis of multivariate intermittent time series

Robert Kitt and Jaan Kalda

2005: Basel II for Physicists: A Discussion Paper

Enrico Scalas

2005: The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond

Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy and Gilles Zumbach

2005: Five Years of Continuous-time Random Walks in Econophysics

Enrico Scalas

2005: Metaheuristic Approaches to Realistic Portfolio Optimization

Franco Busetti

2005: A multi-time scale non-Gaussian model of stock returns

Lisa Borland

2005: Calculating credit risk capital charges with the one-factor model

Susanne Emmer and Dirk Tasche