Papers

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2004: Application of Multifractal Measures to Tehran Price Index

P. Norouzzadeh and G. R. Jafari

2004: On a kinetic model for a simple market economy

Stephane Cordier, Lorenzo Pareschi and Giuseppe Toscani

2004: Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market

Jonathan Batten, Craig A. Ellis and Warren Hogan

2004: On the asymptotic free boundary for the American put option problem

H. Hedenmalm

2004: Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Krzysztof Urbanowicz and Janusz A. Holyst

2004: Modelling financial markets by the multiplicative sequence of trades

Vygintas Gontis and Bronislovas Kaulakys

2004: Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees

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

2004: Levy distribution and long correlation times in supermarket sales

R. D. Groot

2004: Power Law Distributions for Stock Prices in Financial Markets

Kyungsik Kim, Seong-Min Yoon and K. H. Chang

2004: Study on Evolvement Complexity in an Artificial Stock Market

Chun-Xia Yang, Tao Zhou, Pei-Ling Zhou, Jun Liu and Zi-Nan Tang

2004: Price return auto-correlation and predictability in agent-based models of financial markets

Damien Challet and Tobias Galla

2004: The scale-free topology of market investments

Diego Garlaschelli, Stefano Battiston, Maurizio Castri, Vito D. P. Servedio and Guido Caldarelli

2004: Multiplicative point process as a model of trading activity

Vygintas Gontis and Bronislovas Kaulakys

2004: Emergent Effective Collusion in an Economy of Perfectly Rational Competitors

Russell K. Standish and Steve Keen

2004: A selective overview of nonparametric methods in financial econometrics

Jianqing Fan

2004: On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value

H. F. Coronel-Brizio and A. R. Hernandez-Montoya

2004: Components of multifractality in high-frequency stock returns

J. Kwapien, P. Oswiecimka and S. Drozdz

2004: A Mechanism for Pockets of Predictability in Complex Adaptive Systems

Jorgen Vitting Andersen and Didier Sornette

2004: Multiscaling and non-universality in fluctuations of driven complex systems

Zoltan Eisler, Janos Kertesz, Soon-Hyung Yook and Albert-Laszlo Barabasi

2004: Self-Organized Criticality and Stock Market Dynamics: an Empirical Study

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

2004: Modeling stylized facts for financial time series

M. I. Krivoruchenko, E. Alessio, V. Frappietro and L. J. Streckert

2004: Dynamic monetary risk measures for bounded discrete-time processes

Patrick Cheridito, Freddy Delbaen and Michael Kupper

2004: Non linear behaviour of stock market volatility

Rosario Bartiromo

2004: Minority Game of price promotions in fast moving consumer goods markets

Robert D. Groot and Pieter A. D. Musters

2004: Wealth distribution in an ancient Egyptian society

A. Y. Abul-Magd

2004: Generating functional analysis of Minority Games with real market histories

A. C. C. Coolen

2004: Statistical analysis of the price index of Tehran Stock Exchange

Ali Rasoolizadeh and R. Solgi

2004: Inverse statistics in stock markets: Universality and idiosyncracy

Wei-Xing Zhou and Wei-Kang Yuan

2004: Experts' earning forecasts: bias, herding and gossamer information

Olivier Guedj and Jean-Philippe Bouchaud

2004: On distribution of number of trades in different time windows in the stock market

I. M. Dremin and A. V. Leonidov

2004: Pareto law and Pareto index in the income distribution of Japanese companies

Atushi Ishikawa

2004: Temporal evolution of the "thermal" and "superthermal" income classes in the USA during 1983-2001

A. Christian Silva and Victor Yakovenko

2004: Fitness-dependent topological properties of the World Trade Web

D. Garlaschelli and M. I. Loffredo

2004: Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index

H. F. Coronel-Brizio and A. R. Hernandez-Montoya

2004: Short-term equity dynamics and endogenous market fluctuations

Ted Theodosopoulos and Muffasir Badshah

2004: A Theory of Fluctuations in Stock Prices

A. L. Alejandro-Quinones, K. E. Bassler, M. Field, J. L. McCauley, M. Nicol, I. Timofeyef, A. Torok and G. H. Gunaratne

2004: Hints for an extension of the early exercise premium formula for American options

Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló

2004: Dynamical Volatilities for Yen-Dollar Exchange Rates

Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee and Myung-Kul Yum

2004: Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations

Przemyslaw Repetowicz, Brian Lucey and Peter Richmond

2004: Long memory stochastic volatility in option pricing

Sergei Fedotov and Abby Tan

2004: Testing the Stability of the 2000-2003 US Stock Market "Antibubble"

Wei-Xing Zhou and D. Sornette

2004: Phase Transition of Dynamical Herd Behaviors in Financial Markets

Kyungsik Kim and Seong-Min Yoon

2004: Need, Greed and Noise: Competing Strategies in a Trading Model

R. Donangelo, A. Hansen, K. Sneppen and S. R. Souza

2004: Statistical Facts of Artificial Stock Market

Hokky Situngkir and Yohanes Surya

2004: Multifractality in the stock market: price increments versus waiting times

P. Oswiecimka, J. Kwapien and S. Drozdz

2004: Laser Welfare: First Steps in Econodynamic Engineering

Geoff Willis

2004: Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method

D. Sornette and Wei-Xing Zhou

2004: A Guided Walk Down Wall Street: an Introduction to Econophysics

Giovani L. Vasconcelos

2004: Power Law Tails in the Italian Personal Income Distribution

Fabio Clementi and Mauro Gallegati

2004: Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability

Costas Vorlow

2004: Predictability of large future changes in major financial indices

D. Sornette and Wei-Xing Zhou

2004: On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals

Alexander Schied

2004: A Characterization of Hedging Portfolios for Interest Rate Contingent Claims

Rene Carmona and Michael Tehranchi

2004: Modeling Credit Risk with Partial Information

Umut Cetin, Robert Jarrow, Philip Protter and Yildiray Yildirim

2004: Dynamics of Money and Income Distributions

Przemyslaw Repetowicz, Stefan Hutzler and Peter Richmond

2004: How the trading activity scales with the company sizes in the FTSE 100

Gilles Zumbach

2004: Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

I. A. Agaev and Yu. A. Kuperin

2004: Price Clustering and Discreteness: Is there Chaos behind the Noise?

Antonios Antoniou and Costas Vorlow

2004: Scaling Properites of Price Changes for Korean Stock Indices

Kyuong Eun Lee and Jae Woo Lee

2004: Increasing Returns to Scale, Dynamics of Industrial Structure and Size Distribution of Firms

Ying Fan, Menghui Li and Zengru Di

2004: Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

A. Christian Silva, Richard E. Prange and Victor Yakovenko

2004: The long memory of the efficient market

Fabrizio Lillo and J. Farmer

2004: Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock

Bertrand M. Roehner

2004: Short-term market reaction after extreme price changes of liquid stocks

Adam Zawadowski, Gyorgy Andor and Janos Kertesz

2004: 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

Geoff Willis and J. Mimkes

2004: Extreme times in financial markets

Jaume Masoliver, Miquel Montero and Josep Perelló

2004: Mathew Effect in Artificial Stock Market

Pei-Ling Zhou, Zi-Nan Tang, Tao Zhou, Jing-Ting Wang and Chun-Xia Yang

2004: Global Optimization of Minority Game by Smart Agents

Yan-Bo Xie, Bing-Hong Wang, Chin-Kun Hu and Tao Zhou

2004: Volatility of Linear and Nonlinear Time Series

Tomer Kalisky, Yosef Ashkenazy and Shlomo Havlin

2004: Properties of low variability periods in financial time series

R. Kitt and J. Kalda

2004: Random walks, liquidity molasses and critical response in financial markets

J. -P. Bouchaud, J. Kockelkoren and Marc Potters

2004: Optimal investment with random endowments in incomplete markets

Julien Hugonnier and Dmitry Kramkov

2004: Dual formulation of the utility maximization problem: the case of nonsmooth utility

B. Bouchard, N. Touzi and A. Zeghal

2004: Volatility smile and stochastic arbitrage returns

Sergei Fedotov and Stephanos Panayides

2004: Zipf's Law Distributions for Korean Stock Prices

Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee and K. H. Chang

2004: Multifractal Measures for the Yen-Dollar Exchange Rate

Kyungsik Kim, Seong-Min Yoon and Jum-Soo Choi

2004: Herd Behaviors in Financial Markets

Kyungsik Kim, Seong-Min Yoon, J. S. Choi and Hideki Takayasu

2004: Multifractal model of asset returns with leverage effect

Zoltan Eisler and Janos Kertesz

2004: Analysis of Data Clusters Obtained by Self-Organizing Methods

V. V. Gafiychuk, B. Yo. Datsko and J. Izmaylova

2004: Indifference pricing and hedging in stochastic volatility models

M. R. Grasselli and T. R. Hurd

2004: Option pricing with fractional volatility

Rui Mendes and Maria Joao Oliveira

2004: Physical Picture of the Insurance Market

Amir Hossein Darooneh

2004: The Feedback Effect of Hedging in Portfolio Optimization

Pierre Henry-Labordere

2004: Clustering stock market companies via chaotic map synchronization

N. Basalto, R. Bellotti, F. De Carlo, P. Facchi and S. Pascazio

2004: Universal bad news principle and pricing of options on dividend-paying assets

Svetlana Boyarchenko and Sergei Levendorskii

2004: Consistency conditions for affine term structure models

Sergei Levendorskii

2004: Practical guide to real options in discrete time

Svetlana Boyarchenko and Sergei Levendorskii

2004: The American put and European options near expiry, under Levy processes

Sergei Levendorskii

2004: What really causes large price changes?

J. Farmer, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike and Anindya Sen

2004: Real payoffs and virtual trading in agent based market models

F. F. Ferreira and M. Marsili

2004: Non-Life Insurance Pricing: Statistical Mechanics Viewpoint

Amir H. Darooneh

2004: Pseudo-diffusions and Quadratic term structure models

Sergei Levendorskii

2004: New statistic for financial return distributions: power-law or exponential?

V. F. Pisarenko and D. Sornette

2004: Majority Orienting Model for the Oscillation of Market Price

Hisanao Takahashi and Yoshiaki Itoh

2004: Agent-based Model Construction In Financial Economic System

Hokky Situngkir and Yohanes Surya

2004: Market depth and price dynamics: A note

Frank Westerhoff

2004: "Stiff" Field Theory of Interest Rates and Psychological Future Time

Belal Baaquie and Jean-Philippe Bouchaud

2004: Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development

T. Di Matteo, T. Aste and Michel Dacorogna

2004: Common Scaling Patterns in Intertrade Times of U. S. Stocks

Plamen Ch. Ivanov, Ainslie Yuen, Boris Podobnik and Youngki Lee

2004: Generalized minority games with adaptive trend-followers and contrarians

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

2004: On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics

Silvio M. Duarte Queiros

2004: Limited profit in predictable stock markets

R. Rothenstein and K. Pawelzik

2004: Bubble, Critical Zone and the Crash of Royal Ahold

G. Broekstra, D. Sornette and Wei-Xing Zhou

2004: On non-markovian nature of stock trading

Andrei Leonidov

2004: Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia

Hokky Situngkir and Yohanes Surya

2004: Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises

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

2004: Removing noise from correlations in multivariate stock price data

Przemyslaw Repetowicz and Peter Richmond

2004: Contagion Flow Through Banking Networks

Michael Boss, Martin Summer and Stefan Thurner

2004: Power Law Distributions in Korean Household Incomes

Kyungsik Kim and Seong-Min Yoon

2004: The durations of recession and prosperity: does their distribution follow a power or an exponential law?

Marcel Ausloos, Janusz Miskiewicz and Michele Sanglier

2004: Relations between a typical scale and averages in the breaking of fractal distribution

Atushi Ishikawa and Tadao Suzuki

2004: On the Origin of Power-Law Fluctuations in Stock Prices

Vasiliki Plerou, Parameswaran Gopikrishnan, Xavier Gabaix and H. Eugene Stanley

2004: An out-of-equilibrium model of the distributions of wealth

Nicola Scafetta, Sergio Picozzi and Bruce J. West

2004: A Non-Gaussian Option Pricing Model with Skew

L. Borland and J. P. Bouchaud

2004: Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector

Adriana P. Mattedi, Fernando M. Ramos, Reinaldo R. Rosa and Rosario Mantegna

2004: Inverse Statistics in the Foreign Exchange Market

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

2004: VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

Jules Sadefo Kamdem

2004: State Tameness: A New Approach for Credit Constrains

Jaime A. Londo\~no

2004: Information cascades and the distribution of economic recessions in the United States

Paul Ormerod

2004: Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

Szilard Pafka, Marc Potters and Imre Kondor

2004: Critical Ising Model and Financial Market

Takeshi Inagaki

2004: Wealth Dynamics on Complex Networks

D. Garlaschelli and M. I. Loffredo

2004: The single risk factor approach to capital charges in case of correlated loss given default rates

Dirk Tasche

2004: Utility Function from Maximum Entropy Principle

Amir H. Darooneh

2004: Non-Life Insurance Pricing: Multi Agents Model

Amir H. Darooneh

2004: Common Underlying Dynamics in an Emerging Market: From Minutes to Months

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

2004: A (reactive) lattice-gas approach to economic cycles

Marcel Ausloos, Paulette Clippe, Janusz Mi\'skiewicz and Andrzej Pekalski

2004: Statistical mechanics analysis of the equilibria of linear economies

A. De Martino, M. Marsili and I. Perez Castillo

2004: Signal and Noise in Financial Correlation Matrices

Zdzislaw Burda and Jerzy Jurkiewicz

2004: The Predictive Power of Zero Intelligence in Financial Markets

J. Farmer, Paolo Patelli and Ilija Zovko

2004: Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk

Dirk Tasche and Ursula Theiler

2004: Long Memory in Stock Trading

Andrei Leonidov

2004: Stochastic Processes with Short Memory

D. N. Zhabin

2004: A perturbative moment approach to option pricing

Marco Airoldi

2004: International evidence on business cycle magnitude dependence

Corrado Di Guilmi, Edoardo Gaffeo, Mauro Gallegati and Antonio Palestrini

2004: On pricing of interest rate derivatives

T. Di Matteo, M. Airoldi and Enrico Scalas

2004: An interest rates cluster analysis

T. Di Matteo, T. Aste and Rosario Mantegna

2004: The Opinion Game: Stock price evolution from microscopic market modelling

Anton Bovier, Jiri Cerny and Ostap Hryniv

2004: Long range Ising model for credit risk modeling in homogeneous portfolios

Jordi Molins and Eduard Vives

2004: Best linear forecast of volatility in financial time series

M. I. Krivoruchenko

2004: Modelling Correlations in Portfolio Credit Risk

Bernd Rosenow, Rafael Weissbach and Frank Altrock

2004: Premium Calculation Based on Physical Principles

Amir H. Darooneh

2004: Networks of equities in financial markets

G. Bonanno, G. Caldarelli, F. Lillo, S. Micciche`, N. Vandewalle and Rosario Mantegna

2004: Origin of Crashes in 3 US stock markets: Shocks and Bubbles

Anders Johansen

2004: Bridging the ARCH model for finance and nonextensive entropy

Silvio M. Duarte Queiros and Constantino Tsallis

2004: Large price changes on small scales

A. G. Zawadowski, J. Kertesz and G. Andor

2004: Typical properties of large random economies with linear activities

A. De Martino, M. Marsili and I. P\'erez Castillo

2004: On the origin of power law tails in price fluctuations

J. Farmer and Fabrizio Lillo

2004: Pareto Law in a Kinetic Model of Market with Random Saving Propensity

Arnab Chatterjee, Bikas K. Chakrabarti and S. S. Manna

2004: Empirical nonextensive laws for the county distribution of total personal income and gross domestic product

Ernesto P. Borges