Papers

From arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

1999: Driving Force in Investment

Andrea Capocci and Yi-Cheng Zhang

1999: A model for correlations in stock markets

Jae Dong Noh

1999: Economic Fluctuations and Diffusion

Vasiliki Plerou, Parameswaran Gopikrishnan, Luis. A. Nunes Amaral, Xavier Gabaix and H. Eugene Stanley

1999: Dynamics of the Number of Trades of Financial Securities

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

1999: Minimal Variance Hedging of Options with Student-t Underlying

K. Pinn

1999: Dynamics of competition between collectivity and noise in the stock market

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

1999: Simple model of a limit order-driven market

Sergei Maslov

1999: Speculative trading: the price multiplier effect

B. M. Roehner

1999: Identifying the bottom line after a stock market crash

B. M. Roehner

1999: Growth Optimal Investment and Pricing of Derivatives

Erik Aurell, Roberto Baviera, Ola Hammarlid, Maurizio Serva and Angelo Vulpiani

1999: On Rational Bubbles and Fat Tails

Thomas Lux and D. Sornette

1999: Fundamental Framework for Technical Analysis

J. V. Andersen, S. Gluzman and D. Sornette

1999: Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory

Matthias Otto

1999: Market Fluctuations: multiplicative and percolation models, size effects and predictions

D. Sornette, D. Stauffer and H. Takayasu

1999: Statistical Properties of Statistical Ensembles of Stock Returns

Fabrizio Lillo and Rosario Mantegna

1999: Modeling Market Mechanism with Minority Game

Damien Challet, Matteo Marsili and Yi-Cheng Zhang

1999: Patterns of consumption in socio-economic models with heterogeneous interacting agents

Giulia Iori and Vassilis Koulovassilopoulos

1999: Financial Friction and Multiplicative Markov Market Game

Erik Aurell and Paolo Muratore-Ginanneschi

1999: Equity Allocation and Portfolio Selection in Insurance

Erik Taflin

1999: Transaction costs: a new point of view

R. Baviera

1999: Have your cake and eat it too: increasing returns while lowering large risks!

J. V. Andersen and D. Sornette

1999: Scaling of the distribution of price fluctuations of individual companies

V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer and H. E. Stanley

1999: Analysis of the phenomenon of speculative trading in one of its basic manifestations: postage stamp bubbles

Bertrand Roehner and D. Sornette

1999: Heteroskedastic Levy Flights

Paolo Santini

1999: Scale-invariant Truncated L\'evy Process

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

1999: Indeterminacy in foreign exchange market

Michele Pasquini and Maurizio Serva

1999: Capital flow in a two-component dynamical system

Frantisek Slanina and Yi-Cheng Zhang

1999: Using path integrals to price interest rate derivatives

Matthias Otto

1999: Scaling of the distribution of fluctuations of financial market indices

Parameswaran Gopikrishnan, Vasiliki Plerou, Luis A. Nunes Amaral, Martin Meyer and H. Eugene Stanley

1999: Scaling transformation and probability distributions for financial time series

Marc-Etienne Brachet, Erik Taflin and Jean Marcel Tcheou

1999: On the possibility of optimal investment

Frantisek Slanina

1999: The Dynamics of Money

Per Bak, Simon F. Norrelykke and Martin Shubik

1999: Clustering of volatility as a multiscale phenomenon

Michele Pasquini and Maurizio Serva

1999: A general methodology to price and hedge derivatives in incomplete markets

E. Aurell, R. Baviera, O. Hammarlid, M. Serva and A. Vulpiani

1999: The statistical properties of the volatility of price fluctuations

Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau, Martin Meyer, Chung-Kang Peng and H. Eugene Stanley

1999: Volatility in the Italian Stock Market: an Empirical Study

Marco Raberto, Enrico Scalas, Gianaurelio Cuniberti and Massimo Riani

1999: Correlations in the Bond-Future Market

Gianaurelio Cuniberti, Marco Raberto and Enrico Scalas

1999: "Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions

D. Sornette, P. Simonetti and J. V. Andersen

1999: Markovian approximation in foreign exchange markets

R. Baviera, D. Vergni and A. Vulpiani

1999: Critical Crashes?

Kirill Ilinski

1999: A prognosis oriented microscopic stock market model

C. Busshaus and H. Rieger

1999: Universal and non-universal properties of cross-correlations in financial time series

Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A. Nunes Amaral and H. Eugene Stanley

1999: How to account for virtual arbitrage in the standard derivative pricing

Kirill Ilinski

1999: Derivative pricing with virtual arbitrage

Kirill Ilinski and Alexander Stepanenko

1999: Virtual Arbitrage Pricing Theory

Kirill Ilinski

1999: How to reconcile Market Efficiency and Technical Analysis

Alexandra Ilinskaia and Kirill Ilinski

1999: Modeling interest rate dynamics: an infinite-dimensional approach

Rama Cont

1999: A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods

Marco Rosa-Clot and Stefano Taddei

1999: A Path Integral Approach to Derivative Security Pricing: I. Formalism and Analytical Results

Marco Rosa-Clot and Stefano Taddei

1999: Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses

A. Johansen and D. Sornette

1999: Toward a Theory of Marginally Efficient Markets

Yi-Cheng Zhang

1999: Efficiency in foreign exchange markets

R. Baviera, M. Pasquini, M. Serva, D. Vergni and A. Vulpiani

1999: Critical Crashes

Anders Johansen and Didier Sornette

1998: Minimizing volatility increases large risks

D. Sornette, J. V. Andersen and P. Simonetti

1998: Gauge Physics of Finance: simple introduction

Kirill Ilinski

1998: Reaction-Diffusion-Branching Models of Stock Price Fluctuations

Lei-Han Tang and Guang-Shan Tian

1998: The Uneven Distribution of Numbers in Nature

L. Pietronero, E. Tosatti, V. Tosatti and A. Vespignani

1998: Black-Scholes equation from Gauge Theory of Arbitrage

Kirill Ilinski and Gleb Kalinin

1998: Multiscale behaviour of volatility autocorrelations in a financial market

Michele Pasquini and Maurizio Serva

1998: A generalized spin model of financial markets

Debashish Chowdhury and Dietrich Stauffer

1998: Booms and Crashes in Self-Similar Markets

S. Gluzman and V. I. Yukalov

1998: Optimal lag in dynamical investments

M. Serva

1998: Equilibrium condition in Insurance Pricing: a particular case

Renato Ghisellini

1998: Insurance policy value and Pareto-optimal retention in the hypothesis of rare loss events

Renato Ghisellini

1998: Economic returns of research: the Pareto law and its implications

Didier Sornette and Daniel Zajdenweber

1998: Quantum Field Theory of Treasury Bonds

Belal E. Baaquie

1998: Generalizing Merton's approach of pricing risky debt: some closed form results

D. F. Wang

1998: Scaling Laws for the Market Microstructure of the Interdealer Broker Markets

David Eliezer and Ian I. Kogan

1998: Time Dynamics of Probability Measure and Hedging of Derivatives

S. Esipov and I. Vaysburd

1998: Probability distribution of drawdowns in risky investments

Sergei Maslov and Yi-Cheng Zhang

1998: Pricing defaultable debt: some exact results

D. F. Wang

1998: Option Pricing Model for Incomplete Market

Sergei Fedotov and Sergei Mikhailov

1998: Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility

D. F. Wang

1998: Optimal Strategies for Prudent Investors

R. Baviera, M. Pasquini, M. Serva and A. Vulpiani

1998: Electrodynamical model of quasi-efficient financial market

Kirill Ilinski and Alexander S. Stepanenko

1998: Large deviations and portfolio optimization

Didier Sornette

1998: Revisiting the Black-Scholes equation

D. F. Wang

1998: Inverse Cubic Law for the Probability Distribution of Stock Price Variations

Parameswaran Gopikrishnan, Martin Meyer, Luis A Nunes Amaral and H Eugene Stanley

1998: Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes

Rosario Mantegna and H. Eugene Stanley

1998: Are Financial Crashes Predictable?

Laurent Laloux, Marc Potters, Rama Cont, Jean-Pierre Aguilar and Jean-Philippe Bouchaud

1998: Universal features in the growth dynamics of complex organizations

Youngki Lee, Luis A. N. Amaral, David Canning, Martin Meyer and H. Eugene Stanley

1998: Gauge theory of Finance?

D. Sornette

1998: Renormalization Group Analysis of October Market Crashes

S. Gluzman and V. I. Yukalov

1998: Resummation Methods for Analyzing Time Series

S. Gluzman and V. I. Yukalov

1998: Stochastic Lotka-Volterra Systems of Competing Auto-Catalytic Agents Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated Levy Distribution of Market Returns, Clustered Volatility, Booms and Craches

Sorin Solomon

1998: Risk-return arguments applied to options with trading costs

Erik Aurell and Karol \.Zyczkowski

1998: Fixed Points in Self-Similar Analysis of Time Series

S. Gluzman and V. I. Yukalov

1998: Hierarchical Structure in Financial Markets

Rosario Mantegna

1998: The sharp peak-flat trough pattern and critical speculation

B. M. Roehner and D. Sornette

1998: ``String'' formulation of the Dynamics of the Forward Interest Rate Curve

D. Sornette

1998: From turbulence to financial time series

B. Holdom

1998: Valuation of path-dependent American options using a Monte Carlo approach

H. Sorge

1998: The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Pedro Santa-Clara and D. Sornette

1998: Optimal Investment Strategy for Risky Assets

Sergei Maslov and Yi-Cheng Zhang

1998: Dynamical Optimization Theory of a Diversified Portfolio

Matteo Marsili, Sergei Maslov and Yi-Cheng Zhang

1998: Rational Decisions, Random Matrices and Spin Glasses

Stefano Galluccio, Jean-Philippe Bouchaud and Marc Potters

1998: Herd behavior and aggregate fluctuations in financial markets

Rama Cont and Jean-Philippe Bouchaud

1997: Phenomenology of the Interest Rate Curve

J. -P. Bouchaud, N. Sagna, R. Cont, N. El-Karoui and Marc Potters

1997: Stock market crashes are outliers

A. Johansen and D. Sornette

1997: Statistical Analysis of the Stock Index of the Budapest Stock Exchange

J. Rotyis and G. Vattay

1997: Physics of Finance

Kirill Ilinski

1997: Financial Modeling and Option Theory with the Truncated Levy Process

Andrew Matacz

1997: A Prototype Model of Stock Exchange

G. Caldarelli, M. Marsili and Y. -C. Zhang

1997: Volatility distribution in the S&P500 Stock Index

Pierre Cizeau, Yanhui Liu, Martin Meyer, C. -K. Peng and H. Eugene Stanley

1997: Wealth Distributions in Models of Capital Exchange

S. Ispolatov, P. L. Krapivsky and S. Redner

1997: Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''

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

1997: Missing Information and Asset Allocation

Jean-Philippe Bouchaud, Marc Potters and Jean-Pierre Aguilar

1997: Correlations in Economic Time Series

Yanhui Liu, Pierre Cizeau, Martin Meyer, Chung-Kang Peng and H. Eugene Stanley

1997: Scaling in stock market data: stable laws and beyond

Rama Cont, Marc Potters and Jean-Philippe Bouchaud

1997: Scaling and correlation in financial data

Rama Cont

1997: Scaling behavior in economics: II. Modeling of company growth

S. V. Buldyrev, L. A. N. Amaral, S. Havlin, H. Leschhorn, P. Maass, Michael Salinger, H. E. Stanley and M. H. R. Stanley

1997: Scaling behavior in economics: I. Empirical results for company growth

L. A. N. Amaral, S. V. Buldyrev, S. Havlin, H. Leschhorn, P. Maass, Michael Salinger, H. E. Stanley and M. H. R. Stanley