Papers

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2001: Dynamics of market indices, Markov chains, and random walking problem

M. I. Krivoruchenko

2001: The mechanism of double exponential growth in hyper-inflation

Takayuki Mizuno, Misako Takayasu and Hideki Takayasu

2001: Identifying Complexity by Means of Matrices

S. Drozdz, J. Kwapien, J. Speth and M. Wojcik

2001: Self-organized criticality in a model of collective bank bankruptcies

Agata Aleksiejuk, Janusz A. Holyst and Gueorgi Kossinets

2001: Gradually Truncated Log-normal distribution - Size distribution of firms

Hari M. Gupta and Jose R. Campanha

2001: An application of Malliavin Calculus to Finance

Arturo Kohatsu-Higa and Miquel Montero

2001: Portfolio Optimization and the Random Magnet Problem

B. Rosenow, V. Plerou, P. Gopikrishnan and H. E. Stanley

2001: Return or stock price differences

Jaume Masoliver, Miquel Montero and Josep Perelló

2001: Noisy Covariance Matrices and Portfolio Optimization

Szilard Pafka and Imre Kondor

2001: Symmetry Breaking in Stock Demand

Vasiliki Plerou, Parameswaran Gopikrishnan and H. Eugene Stanley

2001: Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Yannick Malevergne and D. Sornette

2001: Nucleation of Market Shocks in Sornette-Ide model

Ana Proykova, Lena Roussenova and Dietrich Stauffer

2001: A simple model of price formation

Katarzyna Sznajd-Weron and R. Weron

2001: Quantum Field Theory of Forward Rates with Stochastic Volatility

Belal E. Baaquie

2001: The domino effect for markets

Christian Schulze

2001: Microscopic Models of Financial Markets

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

2001: Self-similar approach to market analysis

V. I. Yukalov

2001: Stochastic Multiplicative Processes for Financial Markets

Zhi-Feng Huang and Sorin Solomon

2001: Stability of money: Phase transitions in an Ising economy

Stefan Bornholdt and Friedrich Wagner

2001: Ordered phase and non-equilibrium fluctuation in stock market

Jun-ichi Maskawa

2001: Empirical investigation of a quantum field theory of forward rates

Belal E. Baaquie and Srikant Marakani

2001: Wealth redistribution with finite resources

S. Pianegonda, J. R. Iglesias, G. Abramson and J. L. Vega

2001: Forecasting Portfolio Risk in Normal and Stressed Markets

Vineer Bhansali and Mark B. Wise

2001: Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos

A. Corcos, J. -P. Eckmann, A. Malaspinas, Yannick Malevergne and D. Sornette

2001: Asset-asset interactions and clustering in financial markets

G. Cuniberti, M. Porto and H. E. Roman

2001: Broken ergodicity and memory in the minority game

J. A. F. Heimel and A. De Martino

2001: "Slimming" of power law tails by increasing market returns

D. Sornette

2001: 'Animal spirits' and expectations in U.S. recession forecasting

Elliott Middleton

2001: Pricing formulas, model error and hedging derivative portfolios

T. R. Hurd

2001: Scaling in the Bombay Stock Exchange Index

Ashok Razdan

2001: Decomposing the stock market intraday dynamics

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

2001: Forecasting Uncertain Events with Small Groups

Kay-Yut Chen, Leslie R. Fine and Bernardo A. Huberman

2001: A Random Matrix Approach to Cross-Correlations in Financial Data

V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, T. Guhr and H. E. Stanley

2001: Financial Market Dynamics

Fredrick Michael and M. D. Johnson

2001: Mean-field approximation for a limit order driven market model

Frantisek Slanina

2001: Dynamical Solution of the On-Line Minority Game

A C C Coolen and J A F Heimel

2001: Correlation Structure and Fat Tails in Finance: a New Mechanism

Marco Airoldi

2001: Ensemble properties of securities traded in the NASDAQ market

Fabrizio Lillo and Rosario Mantegna

2001: Introducing Variety in Risk Management

Fabrizio Lillo, Rosario Mantegna, Jean-Philippe Bouchaud and Marc Potters

2001: Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem

Carlo Acerbi

2001: The Dynamics of the Linear Random Farmer Model

Rui Carvalho

2001: Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise

A. C. C. Coolen, J. A. F. Heimel and D. Sherrington

2001: Quantifying Stock Price Response to Demand Fluctuations

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

2001: Significance of log-periodic precursors to financial crashes

D. Sornette and A. Johansen

2001: Inner Market as a "Black Box"

Ari Belenkiy

2001: Analyzing and modelling 1+1d markets

Damien Challet and Robin Stinchcombe

2001: Time-reversal asymmetry in Cont-Bouchaud stock market model

Iksoo Chang and Dietrich Stauffer

2001: Why Financial Markets Will Remain Marginally Inefficient?

Yi-Cheng Zhang

2001: Application of multi-agent games to the prediction of financial time-series

N. F. Johnson, D. Lamper, P. Jefferies, M. L. Hart and S. Howison

2001: Expected Shortfall: a natural coherent alternative to Value at Risk

Carlo Acerbi and Dirk Tasche

2001: Heterogeneous volatility cascade in financial markets

Gilles Zumbach and Paul Lynch

2001: Microscopic Models for Long Ranged Volatility Correlations

Irene Giardina, Jean-Philippe Bouchaud and Marc M\'ezard

2001: Conditional Expectation as Quantile Derivative

Dirk Tasche

2001: Algorithmic Complexity in Real Financial Markets

R. Mansilla

2001: Anticorrelations, subbrownian stochastic drift, and 1/f-like spectra in stable financial systems

Kestutis Staliunas

2001: Levels of complexity in financial markets

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

2001: Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis

Fabrizio Lillo, Giovanni Bonanno and Rosario Mantegna

2001: Market ecology of active and passive investors

Andrea Capocci and Yi-Cheng Zhang

2001: Market price simulator based on analog electrical circuit

Aki-Hiro Sato and Hideki Takayasu

2001: Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent

Aki-Hiro Sato and Hideki Takayasu

2001: Profit Profiles in Correlated Markets

Ingve Simonsen and Kim Sneppen

2001: Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD

Marcel Ausloos and K. Ivanova

2001: Crashes: symptoms, diagnoses and remedies

Marcel Ausloos, K. Ivanova and N. Vandewalle

2001: Criticality in a model of banking crises

Giulia Iori and Saqib Jafarey

2001: Measures of globalization based on cross-correlations of world financial indices

Sergei Maslov

2001: Markov properties of high frequency exchange rate data

C. Renner, J. Peinke and R. Friedrich

2001: Power Laws of Wealth, Market Order Volumes and Market Returns

Sorin Solomon and Peter Richmond

2001: Models for the size distribution of businesses in a price driven market

R. D'Hulst and G. J. Rodgers

2001: A paradox of diffusion market model related with existence of winning combinations of options

Nikolai Dokuchaev

2001: Measuring long-range dependence in electricity prices

Rafał Weron

2001: Dynamics of correlations in the stock market

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

2001: Agent-based simulation of a financial market

Marco Raberto, Silvano Cincotti, Sergio M. Focardi and Michele Marchesi

2001: Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States

Adrian Dragulescu and Victor Yakovenko

2001: Finite market size as a source of extreme wealth inequality and market instability

Zhi-Feng Huang and Sorin Solomon

2001: Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets

Szilard Pafka and Imre Kondor

2001: How Traders enter the Market through the Book

Lorenzo Matassini and Fabio Franci

2001: False EUR exchange rates vs. DKK, CHF, JPY and USD. What is a strong currency?

K. Ivanova and Marcel Ausloos

2001: Minority Games and stylized facts

Damien Challet, M. Marsili and Y. -C. Zhang

2001: General framework for a portfolio theory with non-Gaussian risks and non-linear correlations

Yannick Malevergne and D. Sornette

2001: Bid distributions of competing agents in simple models of auctions

R. D'Hulst and G. J. Rodgers

2001: On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited

Peter Carr and Michael Schr\"oder

2001: Price fluctuations from the order book perspective - empirical facts and a simple model

Sergei Maslov and Mark Mills

2001: Quantifying dynamics of the financial correlations

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

2001: Multifractal fluctuations in finance

F. Schmitt, D. Schertzer and S. Lovejoy

2001: From Rational Bubbles to Crashes

D. Sornette and Yannick Malevergne

2001: Expected Shortfall as a Tool for Financial Risk Management

Carlo Acerbi, Claudio Nordio and Carlo Sirtori

2001: A process-reconstruction analysis of market fluctuations

Rui Mendes, R. Lima and Tanya Araújo

2001: To sell or not to sell? Behavior of shareholders during price collapses

Bertrand M. Roehner

2001: Combustion Models in Finance

C. Tannous and A. Fessant

2001: Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation

Yannick Malevergne and D. Sornette

2001: Statistical mechanics of asset markets with private information

Johannes Berg, Matteo Marsili, Aldo Rustichini and Riccardo Zecchina

2001: Stylized facts of financial markets and market crashes in Minority Games

Damien Challet, Matteo Marsili and Yi-Cheng Zhang

2001: Coarse-graining and Self-similarity of Price Fluctuations

Yoshi Fujiwara and Hirokazu Fujisaka

2001: Liquid markets and market liquids: collective and single-asset dynamics in financial markets

G. Cuniberti and L. Matassini

2001: Wealth Condensation in Pareto Macro-Economies

Z. Burda, D. Johnston, J. Jurkiewicz, M. Kaminski, M. A. Nowak, G. Papp and I. Zahed

2001: Stability of Pareto-Zipf Law in Non-Stationary Economies

Sorin Solomon and Peter Richmond

2001: Correlation structure of extreme stock returns

Pierre Cizeau, Marc Potters and Jean-Philippe Bouchaud

2000: On the valuation of arithmetic-average Asian options: Laguerre series and Theta integrals

Michael Schr\"oder

2000: Corporate Default Behavior: A Simple Stochastic Model

Ting Lei and Raymond J. Hawkins

2000: The waiting-time distribution of LIFFE bond futures

Marco Raberto, Enrico Scalas, Rudolf Gorenflo and Francesco Mainardi

2000: The price dynamics of common trading strategies

J. Farmer and Shareen Joshi

2000: A Self-organising Model of Market with Single Commodity

Anirban Chakraborti, Srutarshi Pradhan and Bikas K. Chakrabarti

2000: Generating Functional Analysis of the Dynamics of the Batch Minority Game with Random External Information

J. A. F. Heimel and A. C. C. Coolen

2000: Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

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

2000: Universal Structure of the Personal Income Distribution

Wataru Souma

2000: Moving averages and markets inefficiency

R. Baviera, M. Pasquini, J. Raboanary and M. Serva

2000: Microstructure Effects on Daily Return Volatility in Financial Markets

Andreas Krause

2000: The thermodynamics of portfolios

Edward Piotrowski and Jan Sladkowski

2000: Hamiltonian in Financial Markets

Jun-ichi Maskawa

2000: Identifying Business Sectors from Stock Price Fluctuations

Parameswaran Gopikrishnan, Bernd Rosenow, Vasiliki Plerou and H. Eugene Stanley

2000: Fokker-Planck equation of distributions of financial returns and power laws

D. Sornette

2000: From Minority Games to real markets

Damien Challet, A. Chessa, M. Marsili and Y. -C. Zhang

2000: High-frequency Cross-correlation in a Set of Stocks

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

2000: Fractional calculus and continuous-time finance II: the waiting-time distribution

Francesco Mainardi, Marco Raberto, Rudolf Gorenflo and Enrico Scalas

2000: Statistical physics of adaptive correlation of agents in a market

David Sherrington, Juan P. Garrahan and Esteban Moro

2000: Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity

Taisei Kaizoji

2000: Power Laws are Boltzmann Laws in Disguise

Peter Richmond and Sorin Solomon

2000: On the nature of the stock market: Simulations and experiments

Hendrik J. Blok

2000: Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

Danuta Makowiec and Piotr Gnacinski

2000: Multifractal returns and Hierarchical Portfolio Theory

J. -F. Muzy, D. Sornette, J. Delour and A. Arneodo

2000: A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?

G. Caldarelli, M. Piccioni and Emanuela Sciubba

2000: Empirical properties of the variety of a financial portfolio and the single-index model

Fabrizio Lillo and Rosario Mantegna

2000: Money and Goldstone modes

Per Bak, Simon F. Norrelykke and Martin Shubik

2000: A multivariate multifractal model for return fluctuations

E. Bacry, J. Delour and J. F. Muzy

2000: Determining bottom price-levels after a speculative peak

B. M. Roehner

2000: Tradable Schemes

Jiri Hoogland and Dimitri Neumann

2000: Evidence for the exponential distribution of income in the USA

Adrian Dragulescu and Victor Yakovenko

2000: Life in the Stockmarket - a Realistic Model for Trading

Fabio Franci and Lorenzo Matassini

2000: Statistical Properties of Share Volume Traded in Financial Markets

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

2000: Fractal Properties in Economics

H. Takayasu, M. Takayasu, M. P. Okazaki, K. Marumo and T. Shimizu

2000: Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems

Zhi-Feng Huang and Sorin Solomon

2000: Statistical mechanics of money

Adrian Dragulescu and Victor Yakovenko

2000: Taxonomy of Stock Market Indices

Giovanni Bonanno, Nicolas Vandewalle and Rosario Mantegna

2000: Optimization of Trading Physics Models of Markets

Lester Ingber and Radu Paul Mondescu

2000: Scaling and Multi-scaling in Financial Markets

Giulia Iori

2000: Modelling High-frequency Economic Time Series

Lei-Han Tang and Zhi-Feng Huang

2000: Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations

Filippo Castiglione

2000: The growth dynamics of German business firms

Johannes Voit

2000: The first 20 minutes in the Hong Kong stock market

Zhi-Feng Huang

2000: Asians and cash dividends: Exploiting symmetries in pricing theory

Jiri Hoogland and Dimitri Neumann

2000: Variety and Volatility in Financial Markets

Fabrizio Lillo and Rosario Mantegna

2000: Pareto's Law for Income of Individuals and Debt of Bankrupt Companies

Hideaki Aoyama, Yuichi Nagahara, Mitsuhiro P. Okazaki, Wataru Souma, Hideki Takayasu and Misako Takayasu

2000: Trading behavior and excess volatility in toy markets

M. Marsili and Damien Challet

2000: Statistical mechanics of money: How saving propensity affects its distribution

Anirban Chakraborti and Bikas K. Chakrabarti

2000: Systems with Correlations in the Variance: Generating Power-Law Tails in Probability Distributions

Boris Podobnik, Plamen Ch. Ivanov, Youngki Lee, Alessandro Chessa and H. Eugene Stanley

2000: Algorithmic Complexity of Real Financial Markets

Ricardo Mansilla

2000: A Continuous Time Asynchronous Model of the Stock Market; Beyond the LLS Model

M. Shatner, L. Muchnik, M. Leshno and Sorin Solomon

2000: Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model

Sorin Solomon and Moshe Levy

2000: Path Dependent Option Pricing: the path integral partial averaging method

Andrew Matacz

2000: Self-Organized Criticality in a Transient System

Simon F. Norrelykke and Per Bak

2000: Comment on: Thermal model for Adaptive Competition in a Market

Damien Challet, M. Marsili and R. Zecchina

2000: The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash

Anders Johansen and Didier Sornette

2000: Black-Scholes option pricing within Ito and Stratonovich conventions

Josep Perelló, J. M. Porra, Miquel Montero and J. Masoliver

2000: On the valuation of Paris options: foundational results

Michael Schr\"oder

2000: Self-organization of value and demand

R. Donangelo and K. Sneppen

2000: Self-organized model for information spread in financial markets

Zhi-Feng Huang

2000: A Stochastic Cascade Model for FX Dynamics

Wolfgang Breymann, Shoaleh Ghashghaie and Peter Talkner

2000: Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation

D. Sornette

2000: A dynamical model describing stock market price distributions

Jaume Masoliver, Miquel Montero and Josep M. Porra

2000: Statistical characterization of the fixed income market efficiency

M. Bernaschi, Luca Grilli, L. Marangio, S. Succi and D. Vergni

2000: The Futility of Utility: how market dynamics marginalize Adam Smith

Joseph L. McCauley

2000: Symmetry alteration of ensemble return distribution in crash and rally days of financial markets

Fabrizio Lillo and Rosario Mantegna

2000: From naive to sophisticated behavior in multiagents based financial market models

Ricardo Mansilla

2000: High-resolution path-integral development of financial options

Lester Ingber

2000: Economy of scales in R&D with block-busters

D. Sornette

2000: "Thermometers" of Speculative Frenzy

B. M. Roehner and D. Sornette

2000: Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success

D. Sornette and J. V. Andersen

2000: Domino effect for world market fluctuations

N. Vandewalle, Ph. Boveroux and F. Brisbois

2000: Learning short-option valuation in the presence of rare events

Marco Raberto, G. Cuniberti, Enrico Scalas, Marco Riani, F. Mainardi and G. Servizi

2000: Fractional calculus and continuous-time finance

Enrico Scalas, Rudolf Gorenflo and Francesco Mainardi

2000: On the Consistency of the Deterministic Local Volatility Function Model ('implied tree')

Karl Strobl