Papers

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2002: Generalized Technical Analysis. Effects of transaction volume and risk

Marcel Ausloos and K. Ivanova

2002: Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

Kyungsik Kim and Seong-Min Yoon

2002: Degree stability of a minimum spanning tree of price return and volatility

Salvatore Miccich\`e, Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

2002: Risk and Utility in Portfolio Optimization

Morrel H. Cohen and Vincent D. Natoli

2002: Power Law Distribution of the Frequency of Demises of U.S Firms

William Cook and Paul Ormerod

2002: How effective is advertising in duopoly markets?

Katarzyna Sznajd-Weron and R. Weron

2002: Criticality and finite size effects in a simple realistic model of stock market

Damien Challet and Matteo Marsili

2002: A Theory of Non_Gaussian Option Pricing

Lisa Borland

2002: A quantitative model of trading and price formation in financial markets

Marcus G. Daniels, J. Farmer, Laszlo Gillemot, Giulia Iori and Eric Smith

2002: Transfer Potentials shape and equilibrate Monetary Systems

Dieter Braun and Robert Fischer

2002: A Monte Carlo method for exponential hedging of contingent claims

M. R. Grasselli and T. R. Hurd

2002: Premium Forecasting of an Insurance Company: Automobile Insurance

M. Ebrahim Fouladvand and Amir H. Darooneh

2002: Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets

V. Gontis

2002: Pricing Derivatives by Path Integral and Neural Networks

G. Montagna, M. Morelli, O. Nicrosini, P. Amato and M. Farina

2002: Statistical Mechanics of Money, Income, and Wealth: A Short Survey

Adrian A. Dragulescu and Victor Yakovenko

2002: Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Takayuki Mizuno, Shoko Kurihara, Misako Takayasu and Hideki Takayasu

2002: Reconstructing an economic space from a market metric

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

2002: Limit order market analysis and modelling: on an universal cause for over-diffusive prices

Damien Challet and Robin Stinchcombe

2002: Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons

E. Aurell and P. Muratore-Ginanneschi

2002: Inverse Statistics in Economics: The gain-loss asymmetry

Mogens H. Jensen, Anders Johansen and Ingve Simonsen

2002: Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Alexandre Kurth and Dirk Tasche

2002: Probability distribution of returns in the Heston model with stochastic volatility

Adrian A. Dragulescu and Victor Yakovenko

2002: The origin of fat tailed distributions in financial time series

G. M. Viswanathan, U. L. Fulco, M. L. Lyra and M. Serva

2002: Pricing European Options in Realistic Markets

Martin Schaden

2002: Time series analysis for minority game simulations of financial markets

Fernando F. Ferreira, Gerson Francisco, Birajara S. Machado and Paulsamy Muruganandam

2002: A continuous time random walk model for financial distributions

Jaume Masoliver, Miquel Montero and George H. Weiss

2002: Endogenous versus Exogenous Crashes in Financial Markets

A. Johansen and D. Sornette

2002: Strategy for investments from Zipf law(s)

Marcel Ausloos and Ph. Bronlet

2002: Statistical theory of the continuous double auction

Eric Smith, J. Farmer, Laszlo Gillemot and Supriya Krishnamurthy

2002: Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices

Yannick Malevergne and D. Sornette

2002: Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes

Naoki Kozuki and Nobuko Fuchikami

2002: A shortcut to sign Incremental Value-at-Risk for risk allocation

Dirk Tasche and Luisa Tibiletti

2002: Expected Shortfall and Beyond

Dirk Tasche

2002: Implications of Correlated Default For Portfolio Allocation To Corporate Bonds

Mark B. Wise and Vineer Bhansali

2002: Dynamics of a financial market index after a crash

Fabrizio Lillo and Rosario Mantegna

2002: Log-periodic self-similarity: an emerging financial law?

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

2002: A master equation approach to option pricing

Daniel Faller and Francesco Petruccione

2002: A theory for Fluctuations in Stock Prices and Valuation of their Options

Gemunu H. Gunaratne and Joseph L. McCauley

2002: Statistical Bounds on Equity

Daniel O. Badagnani

2002: Pareto's law: a model of human sharing and creativity

Nicola Scafetta, Sergio Picozzi and Bruce J. West

2002: Hedging in Field Theory Models of the Term Structure

Belal E. Baaquie and Marakani Srikant

2002: Kinematics of stock prices

M. Serva, U. L. Fulco, M. L. Lyra and G. M. Viswanathan

2002: The US 2000-2002 Market Descent: How Much Longer and Deeper?

D. Sornette and Wei-Xing Zhou

2002: Option Pricing Formulas based on a non-Gaussian Stock Price Model

Lisa Borland

2002: Quantum Finance

Martin Schaden

2002: Statistical properties of the Jakarta and Kuala Lumpur stock exchange indices before and after crash

T. Mart

2002: Comparison of Field Theory Models of Interest Rates with Market Data

Belal E. Baaquie and Marakani Srikant

2002: Theoretical Analysis and Simulations of the Generalized Lotka-Volterra Model

Ofer Malcai, Ofer Biham, Peter Richmond and Sorin Solomon

2002: Long-Time Fluctuations in a Dynamical Model of Stock Market Indices

Ofer Biham, Zhi-Feng Huang, Ofer Malcai and Sorin Solomon

2002: Growth and Fluctuations of Personal Income

Yoshi Fujiwara, Wataru Souma, Hideaki Aoyama, Taisei Kaizoji and Masanao Aoki

2002: The Interactive Minority Game: Instructions for Experts

Peter Ruch, Joseph Wakeling and Yi-Cheng Zhang

2002: Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance

Belal E. Baaquie, Claudio Coriano and Marakani Srikant

2002: Buyer feedback as a filtering mechanism for reputable sellers

Paolo Laureti, Frantisek Slanina, Yi-Kuo Yu and Yi-Cheng Zhang

2002: Optimal portfolio selection and compression in an incomplete market

Nikolai Dokuchaev and Ulrich Haussmann

2002: Maximin setting for investment problems and fixed income management with observable but non-predictable parameters

Nikolai Dokuchaev

2002: Remarks on the monotonicity of default probabilities

Dirk Tasche

2002: Designing agent-based market models

Paul Jefferies and Neil F. Johnson

2002: Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets

Yannick Malevergne and D. Sornette

2002: Single Curve Collapse of the Price Impact Function for the New York Stock Exchange

Fabrizio Lillo, J. Farmer and Rosario Mantegna

2002: Excess Demand Financial Market Model

Fredrick Michael, John Evans and M. D. Johnson

2002: Volatility Cluster and Herding

Friedrich Wagner

2002: Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

Taisei Kaizoji, Stefan Bornholdt and Yoshi Fujiwara

2002: Stock Market Scale by Artificial Insymmetrised Patterns

Danuta Makowiec

2002: Advertising effects in Sznajd marketing model

Christian Schulze

2002: Dissecting financial markets: Sectors and states

Matteo Marsili

2002: The Hunt Hypothesis and the Dividend Policy of the Firm. The Chaotic Motion of the Profits

Safieddine Bouali

2002: Portfolio Allocation to Corporate Bonds with Correlated Defaults

Mark B. Wise and Vineer Bhansali

2002: On multifractality and fractional derivatives

U. Frisch and T. Matsumoto

2002: A New Method to Estimate the Noise in Financial Correlation Matrices

Thomas Guhr and Bernd Kaelber

2002: A Quantum Field Theory Term Structure Model Applied to Hedging

Belal E. Baaquie, Marakani Srikant and Mitch Warachka

2002: Exact Hurst exponent and crossover behavior in a limit order market model

R. D. Willmann, G. M. Schuetz and Damien Challet

2002: Endogeneous Versus Exogeneous Shocks in Systems with Memory

D. Sornette and A. Helmstetter

2002: Risk aversion in economic transactions

C. Anteneodo, C. Tsallis and A. S. Martinez

2002: Pricing rule based on non-arbitrage arguments for random volatility and volatility smile

Nikolai Dokuchaev

2002: Hedging Extreme Co-Movements

Yannick Malevergne and D. Sornette

2002: Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes

Wei-Xing Zhou and Didier Sornette

2002: Financial multifractality and its subtleties: an example of DAX

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

2002: Cont-Bouchaud percolation model including Tobin tax

Gudrun Ehrenstein

2002: Non-equilibrium statistical mechanics of Minority Games

A. C. C. Coolen

2002: Noisy Covariance Matrices and Portfolio Optimization II

Szilard Pafka and Imre Kondor

2002: Market simulation with hierarchical information flux

Christian Schulze

2002: Time dependent cross correlations between different stock returns: A directed network of influence

L. Kullmann, J. Kertesz and K. Kaski

2002: On the coherence of Expected Shortfall

Carlo Acerbi and Dirk Tasche

2002: Volatility fingerprints of large shocks: Endogeneous versus exogeneous

D. Sornette, Yannick Malevergne and J. F. Muzy

2002: Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets

A. G. Zawadowski, R. Karadi and J. Kertesz

2002: Predicting critical crashes? A new restriction for the free variables

Hans-Christian v. Bothmer and Christian Meister

2002: Black-Scholes-Like Derivative Pricing With Tsallis Non-extensive Statistics

Fredrick Michael and M. D. Johnson

2002: Lagrange statistics in systems (markets) with price constraints: Analysis of property, car sales, marriage and job markets by the Boltzmann function and the Pareto distribution

J. Mimkes, Th. Fruend and Geoff Willis

2002: A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles

D. Sornette and J. V. Andersen

2002: Portfolio Optimization with Spectral Measures of Risk

Carlo Acerbi and Simonetti Prospero

2002: Waiting-times and returns in high-frequency financial data: an empirical study

Marco Raberto, Enrico Scalas and F. Mainardi

2002: Anticorrelations and subdiffusion in financial systems

Kestutis Staliunas

2002: A New Approach to Personal Income Distribution

Atushi Ishikawa, Tadao Suzuki and Masashi Tomoyose

2002: Self-Financing, Replicating Hedging Strategies, an incomplete thermodynamic analogy

Joesph L. McCauley

2002: Investigating Extreme Dependences: Concepts and Tools

Yannick Malevergne and D. Sornette

2002: Triangular arbitrage as an interaction among foreign exchange rates

Yukihiro Aiba, Naomichi Hatano, Hideki Takayasu, Kouhei Marumo and Tokiko Shimizu

2002: Calculating Value-at-Risk contributions in CreditRisk+

Hermann Haaf and Dirk Tasche

2002: Brownian excursions an Parisian barrier options: a note

Michael Schr\"oder

2002: Analytical ramifications of derivatives valuation: Asian options and special functions

Michael Schr\"oder

2002: Volatility in Financial Markets: Stochastic Models and Empirical Results

Salvatore Micciche`, Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

2002: Colored minority games

Matteo Marsili and Maurizio Piai

2002: Physics of Personal Income

Wataru Souma

2002: Tail Dependence of Factor Models

Yannick Malevergne and D. Sornette

2002: Optimal Investment Horizons

Ingve Simonsen, Mogens H. Jensen and Anders Johansen

2002: Stochastic volatility and leverage effect

Josep Perelló and Jaume Masoliver

2002: A Path Integral Way to Option Pricing

G. Montagna, O. Nicrosini and N. Moreni

2002: Non-L\'evy Distribution of Commodity Price Fluctuations

Kaushik Matia, Luis A. Nunes Amaral, Stephen P. Goodwin and H. Eugene Stanley

2002: Modelling share volume traded in financial markets

Vygintas Gontis

2002: The Perception of Time, Risk and Return During Periods of Speculation

Emanuel Derman

2002: Firms Growth Dynamics, Competition and Power Law Scaling

Hari M. Gupta and Jose R. Campanha

2002: Empirical Regularities in Distributions of Individual Consumption Expenditure

Martin Hohnisch, Sabine Pittnauer and Manisha Chakrabarty

2002: Sornette-Ide model for markets: Trader expectations as imaginary part

Christian Schulze