Quantitative Finance Sep 2008

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id="0809.0241"> arXiv:0809.0241 </a> [<a href="/pdf/0809.0241" title="Download PDF" id="pdf-0809.0241" aria-labelledby="pdf-0809.0241">pdf</a>, <a href="/format/0809.0241" title="Other formats" id="oth-0809.0241" aria-labelledby="oth-0809.0241">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Bayesian Analysis of Value-at-Risk with Product Partition Models </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bormetti,+G">Giacomo Bormetti</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=De+Giuli,+M+E">Maria Elena De Giuli</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Delpini,+D">Danilo Delpini</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tarantola,+C">Claudia Tarantola</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 30 pages, 6 figures and 6 tables </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Risk Management (q-fin.RM)</span>; Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST); Applications (stat.AP); Methodology (stat.ME) </div> </div> </dd> <dt> <a name='item2'>[2]</a> <a href ="/abs/0809.0250" title="Abstract" id="0809.0250"> arXiv:0809.0250 </a> [<a href="/pdf/0809.0250" title="Download PDF" id="pdf-0809.0250" aria-labelledby="pdf-0809.0250">pdf</a>, <a href="/format/0809.0250" title="Other formats" id="oth-0809.0250" aria-labelledby="oth-0809.0250">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Multiscaling behavior in the volatility return intervals of Chinese indices </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ren,+F">Fei Ren</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+W">Wei-Xing Zhou</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 6 pages, 4 figures, 2 tables </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> EPL 84, 68001 (2008) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item3'>[3]</a> <a href ="/abs/0809.0437" title="Abstract" id="0809.0437"> arXiv:0809.0437 </a> [<a href="/pdf/0809.0437" title="Download PDF" id="pdf-0809.0437" aria-labelledby="pdf-0809.0437">pdf</a>, <a href="/format/0809.0437" title="Other formats" id="oth-0809.0437" aria-labelledby="oth-0809.0437">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Minimal Spanning Tree graphs and power like scaling in FOREX networks </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gorski,+A+Z">A Z Gorski</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Drozdz,+S">S. Drozdz</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kwapien,+J">J. Kwapien</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 9 pages, 7 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Acta. Phys. Pol. A114 (2008) 531 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item4'>[4]</a> <a href ="/abs/0809.0448" title="Abstract" id="0809.0448"> arXiv:0809.0448 </a> [<a href="/pdf/0809.0448" title="Download PDF" id="pdf-0809.0448" aria-labelledby="pdf-0809.0448">pdf</a>, <a href="/format/0809.0448" title="Other formats" id="oth-0809.0448" aria-labelledby="oth-0809.0448">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The Stock Market as a Game: An Agent Based Approach to Trading in Stocks </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Engle,+E">Eric Engle</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 21 pages and accompanying program </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Artificial Intelligence (cs.AI); Computer Science and Game Theory (cs.GT) </div> </div> </dd> <dt> <a name='item5'>[5]</a> <a href ="/abs/0809.0481" title="Abstract" id="0809.0481"> arXiv:0809.0481 </a> [<a href="/pdf/0809.0481" title="Download PDF" id="pdf-0809.0481" aria-labelledby="pdf-0809.0481">pdf</a>, <a href="/format/0809.0481" title="Other formats" id="oth-0809.0481" aria-labelledby="oth-0809.0481">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Solvable Stochastic Dealer Models for Financial Markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yamada,+K">Kenta Yamada</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Takayasu,+H">Hideki Takayasu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ito,+T">Takatoshi Ito</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Takayasu,+M">Misako Takayasu</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 10 pages, 12 figures, 1 table </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item6'>[6]</a> <a href ="/abs/0809.0739" title="Abstract" id="0809.0739"> arXiv:0809.0739 </a> [<a href="/pdf/0809.0739" title="Download PDF" id="pdf-0809.0739" aria-labelledby="pdf-0809.0739">pdf</a>, <a href="/format/0809.0739" title="Other formats" id="oth-0809.0739" aria-labelledby="oth-0809.0739">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A dual characterization of self-generation and exponential forward performances </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=%C5%BDitkovi%C4%87,+G">Gordan 沤itkovi膰</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Published in at <a href="http://dx.doi.org/10.1214/09-AAP607" rel="external noopener nofollow" class="link-external link-http">this http URL</a> the Annals of Applied Probability (<a href="http://www.imstat.org/aap/" rel="external noopener nofollow" class="link-external link-http">this http URL</a>) by the Institute of Mathematical Statistics (<a href="http://www.imstat.org" rel="external noopener nofollow" class="link-external link-http">this http URL</a>) </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Annals of Applied Probability 2009, Vol. 19, No. 6, 2176-2210 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Probability (math.PR); Portfolio Management (q-fin.PM) </div> </div> </dd> <dt> <a name='item7'>[7]</a> <a href ="/abs/0809.0822" title="Abstract" id="0809.0822"> arXiv:0809.0822 </a> [<a href="/pdf/0809.0822" title="Download PDF" id="pdf-0809.0822" aria-labelledby="pdf-0809.0822">pdf</a>, <a href="/format/0809.0822" title="Other formats" id="oth-0809.0822" aria-labelledby="oth-0809.0822">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> How markets slowly digest changes in supply and demand </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bouchaud,+J">Jean-Philippe Bouchaud</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Farmer,+J+D">J. Doyne Farmer</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lillo,+F">Fabrizio Lillo</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 111 pages, 24 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Statistical Mechanics (cond-mat.stat-mech); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item8'>[8]</a> <a href ="/abs/0809.1040" title="Abstract" id="0809.1040"> arXiv:0809.1040 </a> [<a href="/pdf/0809.1040" title="Download PDF" id="pdf-0809.1040" aria-labelledby="pdf-0809.1040">pdf</a>, <a href="/format/0809.1040" title="Other formats" id="oth-0809.1040" aria-labelledby="oth-0809.1040">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Glattfelder,+J">J.B. Glattfelder</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dupuis,+A">A. Dupuis</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Olsen,+R">R.B. Olsen</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 26 pages, 3 figures, 23 tables,2nd version (text made more concise and readable, algorithm pseudocode, results unchanged), 5-year datasets (USD-JPY, EUR-USD) provided at <a href="http://www.olsen.ch/more/datasets/" rel="external noopener nofollow" class="link-external link-http">this http URL</a> </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Quant. Financ. 11(4), 599 - 614 (2011) - published online Oct. 2010 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item9'>[9]</a> <a href ="/abs/0809.1139" title="Abstract" id="0809.1139"> arXiv:0809.1139 </a> [<a href="/pdf/0809.1139" title="Download PDF" id="pdf-0809.1139" aria-labelledby="pdf-0809.1139">pdf</a>, <a href="/format/0809.1139" title="Other formats" id="oth-0809.1139" aria-labelledby="oth-0809.1139">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Fractality feature in oil price fluctuations </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Momeni,+M">M. Momeni</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kourakis,+I">I. Kourakis</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Talebi,+K">K. Talebi</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 7 pages, 10 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Computational Physics (physics.comp-ph); Data Analysis, Statistics and Probability (physics.data-an) </div> </div> </dd> <dt> <a name='item10'>[10]</a> <a href ="/abs/0809.1393" title="Abstract" id="0809.1393"> arXiv:0809.1393 </a> [<a href="/pdf/0809.1393" title="Download PDF" id="pdf-0809.1393" aria-labelledby="pdf-0809.1393">pdf</a>, <a href="/format/0809.1393" title="Other formats" id="oth-0809.1393" aria-labelledby="oth-0809.1393">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Graphical models for correlated defaults </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Filiz,+I+O">I. Onur Filiz</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Guo,+X">Xin Guo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Morton,+J">Jason Morton</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sturmfels,+B">Bernd Sturmfels</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 30 pages, 16 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Probability (math.PR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item11'>[11]</a> <a href ="/abs/0809.1534" title="Abstract" id="0809.1534"> arXiv:0809.1534 </a> [<a href="/pdf/0809.1534" title="Download PDF" id="pdf-0809.1534" aria-labelledby="pdf-0809.1534">pdf</a>, <a href="/format/0809.1534" title="Other formats" id="oth-0809.1534" aria-labelledby="oth-0809.1534">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sznajd-Weron,+K">Katarzyna Sznajd-Weron</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Weron,+R">Rafa艂 Weron</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=W%C5%82oszczowska,+M">Maja W艂oszczowska</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph); Trading and Market Microstructure (q-fin.TR) </div> </div> </dd> <dt> <a name='item12'>[12]</a> <a href ="/abs/0809.1747" title="Abstract" id="0809.1747"> arXiv:0809.1747 </a> [<a href="/pdf/0809.1747" title="Download PDF" id="pdf-0809.1747" aria-labelledby="pdf-0809.1747">pdf</a>, <a href="/format/0809.1747" title="Other formats" id="oth-0809.1747" aria-labelledby="oth-0809.1747">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Local time and the pricing of time-dependent barrier options </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mijatovic,+A">Aleksandar Mijatovic</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 32 pages, to appear in Finance and Stochastics </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item13'>[13]</a> <a href ="/abs/0809.1985" title="Abstract" id="0809.1985"> arXiv:0809.1985 </a> [<a href="/pdf/0809.1985" title="Download PDF" id="pdf-0809.1985" aria-labelledby="pdf-0809.1985">pdf</a>, <a href="/format/0809.1985" title="Other formats" id="oth-0809.1985" aria-labelledby="oth-0809.1985">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Affine Models </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cuchiero,+C">Christa Cuchiero</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Filipovic,+D">Damir Filipovic</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Teichmann,+J">Josef Teichmann</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> (short) review article to be published in Encyclopedia of Quantitative Finance </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item14'>[14]</a> <a href ="/abs/0809.2270" title="Abstract" id="0809.2270"> arXiv:0809.2270 </a> [<a href="/pdf/0809.2270" title="Download PDF" id="pdf-0809.2270" aria-labelledby="pdf-0809.2270">pdf</a>, <a href="/format/0809.2270" title="Other formats" id="oth-0809.2270" aria-labelledby="oth-0809.2270">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On incompleteness of bond markets with infinite number of random factors </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Barski,+M">Micha艂 Barski</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jakubowski,+J">Jacek Jakubowski</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zabczyk,+J">Jerzy Zabczyk</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 18 pages </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Mathematical Finance, (2011), 21, 3, pp. 541-556 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item15'>[15]</a> <a href ="/abs/0809.2878" title="Abstract" id="0809.2878"> arXiv:0809.2878 </a> [<a href="/pdf/0809.2878" title="Download PDF" id="pdf-0809.2878" aria-labelledby="pdf-0809.2878">pdf</a>, <a href="/format/0809.2878" title="Other formats" id="oth-0809.2878" aria-labelledby="oth-0809.2878">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Majumdar,+S+N">Satya N. Majumdar</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bouchaud,+J">Jean-Philippe Bouchaud</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 10 pages, 6 figures included </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Data Analysis, Statistics and Probability (physics.data-an) </div> </div> </dd> <dt> <a name='item16'>[16]</a> <a href ="/abs/0809.3305" title="Abstract" id="0809.3305"> arXiv:0809.3305 </a> [<a href="/pdf/0809.3305" title="Download PDF" id="pdf-0809.3305" aria-labelledby="pdf-0809.3305">pdf</a>, <a href="/format/0809.3305" title="Other formats" id="oth-0809.3305" aria-labelledby="oth-0809.3305">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Implied volatility explosions: European calls and implied volatilities close to expiry in exponential L茅vy models </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Roper,+M">Michael Roper</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item17'>[17]</a> <a href ="/abs/0809.3375" title="Abstract" id="0809.3375"> arXiv:0809.3375 </a> [<a href="/pdf/0809.3375" title="Download PDF" id="pdf-0809.3375" aria-labelledby="pdf-0809.3375">pdf</a>, <a href="/format/0809.3375" title="Other formats" id="oth-0809.3375" aria-labelledby="oth-0809.3375">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Smile dynamics -- a theory of the implied leverage effect </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ciliberti,+S">Stefano Ciliberti</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bouchaud,+J">Jean-Philippe Bouchaud</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Potters,+M">Marc Potters</a> (CFM)</div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Submitted to Wilmott </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Data Analysis, Statistics and Probability (physics.data-an); Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item18'>[18]</a> <a href ="/abs/0809.3405" title="Abstract" id="0809.3405"> arXiv:0809.3405 </a> [<a href="/pdf/0809.3405" title="Download PDF" id="pdf-0809.3405" aria-labelledby="pdf-0809.3405">pdf</a>, <a href="/format/0809.3405" title="Other formats" id="oth-0809.3405" aria-labelledby="oth-0809.3405">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Analysis of Fourier transform valuation formulas and applications </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Eberlein,+E">Ernst Eberlein</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Glau,+K">Kathrin Glau</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Papapantoleon,+A">Antonis Papapantoleon</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 26 pages, 3 figures, to appear in Appl. Math. Finance </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Applied Mathematical Finance 2010, Vol. 17, No. 3, 211-240 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Pricing of Securities (q-fin.PR)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item19'>[19]</a> <a href ="/abs/0809.3418" title="Abstract" id="0809.3418"> arXiv:0809.3418 </a> [<a href="/pdf/0809.3418" title="Download PDF" id="pdf-0809.3418" aria-labelledby="pdf-0809.3418">pdf</a>, <a href="/format/0809.3418" title="Other formats" id="oth-0809.3418" aria-labelledby="oth-0809.3418">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Network effects in a human capital based economic growth model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Martins,+T+V">Teresa Vaz Martins</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Araujo,+T">Tanya Araujo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Santos,+M+A">Maria Augusta Santos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Aubyn,+M+S">Miguel St Aubyn</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> to appear in Physica A </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item20'>[20]</a> <a href ="/abs/0809.3541" title="Abstract" id="0809.3541"> arXiv:0809.3541 </a> [<a href="/pdf/0809.3541" title="Download PDF" id="pdf-0809.3541" aria-labelledby="pdf-0809.3541">pdf</a>, <a href="/format/0809.3541" title="Other formats" id="oth-0809.3541" aria-labelledby="oth-0809.3541">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Labour Productivity Superstatistics </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Aoyama,+H">Hideaki Aoyama</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yoshikawa,+H">Hiroshi Yoshikawa</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Iyetomi,+H">Hiroshi Iyetomi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fujiwara,+Y">Yoshi Fujiwara</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 13 pages including figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item21'>[21]</a> <a href ="/abs/0809.3824" title="Abstract" id="0809.3824"> arXiv:0809.3824 </a> [<a href="/pdf/0809.3824" title="Download PDF" id="pdf-0809.3824" aria-labelledby="pdf-0809.3824">pdf</a>, <a href="/format/0809.3824" title="Other formats" id="oth-0809.3824" aria-labelledby="oth-0809.3824">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Time Consistent Dynamic Limit Order Books Calibrated on Options </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bion-Nadal,+J">Jocelyne Bion-Nadal</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item22'>[22]</a> <a href ="/abs/0809.3902" title="Abstract" id="0809.3902"> arXiv:0809.3902 </a> [<a href="/pdf/0809.3902" title="Download PDF" id="pdf-0809.3902" aria-labelledby="pdf-0809.3902">pdf</a>, <a href="/format/0809.3902" title="Other formats" id="oth-0809.3902" aria-labelledby="oth-0809.3902">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Clustering of discretely observed diffusion processes </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=De+Gregorio,+A">Alessandro De Gregorio</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Iacus,+S+M">Stefano Maria Iacus</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Probability (math.PR); Methodology (stat.ME); Machine Learning (stat.ML) </div> </div> </dd> <dt> <a name='item23'>[23]</a> <a href ="/abs/0809.3978" title="Abstract" id="0809.3978"> arXiv:0809.3978 </a> [<a href="/pdf/0809.3978" title="Download PDF" id="pdf-0809.3978" aria-labelledby="pdf-0809.3978">pdf</a>, <a href="/format/0809.3978" title="Other formats" id="oth-0809.3978" aria-labelledby="oth-0809.3978">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Multi-market minority game: breaking the symmetry of choice </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wawrzyniak,+K">Karol Wawrzyniak</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wislicki,+W">Wojciech Wislicki</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 15 pages, 12 figures, Accepted to 'Advances in Complex Systems' </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Adv.Complex Syst. 12:423-437,2009 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Disordered Systems and Neural Networks (cond-mat.dis-nn); High Energy Physics - Lattice (hep-lat); Adaptation and Self-Organizing Systems (nlin.AO); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item24'>[24]</a> <a href ="/abs/0809.4139" title="Abstract" id="0809.4139"> arXiv:0809.4139 </a> [<a href="/pdf/0809.4139" title="Download PDF" id="pdf-0809.4139" aria-labelledby="pdf-0809.4139">pdf</a>, <a href="/format/0809.4139" title="Other formats" id="oth-0809.4139" aria-labelledby="oth-0809.4139">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Breakdown of the mean-field approximation in a wealth distribution model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Medo,+M">Matus Medo</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 11 pages, 3 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Journal of Statistical Mechanics, P02014 (2009) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Statistical Mechanics (cond-mat.stat-mech); Dynamical Systems (math.DS); Physics and Society (physics.soc-ph); General Finance (q-fin.GN) </div> </div> </dd> <dt> <a name='item25'>[25]</a> <a href ="/abs/0809.4372" title="Abstract" id="0809.4372"> arXiv:0809.4372 </a> [<a href="/pdf/0809.4372" title="Download PDF" id="pdf-0809.4372" aria-labelledby="pdf-0809.4372">pdf</a>, <a href="/format/0809.4372" title="Other formats" id="oth-0809.4372" aria-labelledby="oth-0809.4372">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Ruin probabilities under general investments and heavy-tailed claims </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hult,+H">Henrik Hult</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lindskog,+F">Filip Lindskog</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Risk Management (q-fin.RM)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item26'>[26]</a> <a href ="/abs/0809.4570" title="Abstract" id="0809.4570"> arXiv:0809.4570 </a> [<a href="/pdf/0809.4570" title="Download PDF" id="pdf-0809.4570" aria-labelledby="pdf-0809.4570">pdf</a>, <a href="/format/0809.4570" title="Other formats" id="oth-0809.4570" aria-labelledby="oth-0809.4570">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Stock market volatility: An approach based on Tsallis entropy </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bentes,+S+R">Sonia R. Bentes</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Menezes,+R">Rui Menezes</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mendes,+D+A">Diana A. Mendes</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 15 pages, 2 figures, 2 tables, presented at SigmaPhi2008 Conference </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item27'>[27]</a> <a href ="/abs/0809.4615" title="Abstract" id="0809.4615"> arXiv:0809.4615 </a> [<a href="/pdf/0809.4615" title="Download PDF" id="pdf-0809.4615" aria-labelledby="pdf-0809.4615">pdf</a>, <a href="/format/0809.4615" title="Other formats" id="oth-0809.4615" aria-labelledby="oth-0809.4615">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Correlation, hierarchies, and networks in financial markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tumminello,+M">M. Tumminello</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lillo,+F">F. Lillo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mantegna,+R">R.N. Mantegna</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 37 pages, 9 figures, 3 tables </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> J. Econ. Behav. Organ. 75, pp. 40-58 (2010) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph); Portfolio Management (q-fin.PM) </div> </div> </dd> <dt> <a name='item28'>[28]</a> <a href ="/abs/0809.4781" title="Abstract" id="0809.4781"> arXiv:0809.4781 </a> [<a href="/pdf/0809.4781" title="Download PDF" id="pdf-0809.4781" aria-labelledby="pdf-0809.4781">pdf</a>, <a href="/format/0809.4781" title="Other formats" id="oth-0809.4781" aria-labelledby="oth-0809.4781">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On contingent claims pricing in incomplete markets: A risk sharing approach </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Anthropelos,+M">Michail Anthropelos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Frangos,+N+E">Nikolaos E. Frangos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Xanthopoulos,+S+Z">Stylianos Z. Xanthopoulos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yannacopoulos,+A+N">Athanasios N. Yannacopoulos</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> This paper has been withdrawn by the author since its revised version includes several modifications </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Optimization and Control (math.OC); Probability (math.PR); Trading and Market Microstructure (q-fin.TR) </div> </div> </dd> <dt> <a name='item29'>[29]</a> <a href ="/abs/0809.0301" title="Abstract" id="0809.0301"> arXiv:0809.0301 </a> (cross-list from math.PR) [<a href="/pdf/0809.0301" title="Download PDF" id="pdf-0809.0301" aria-labelledby="pdf-0809.0301">pdf</a>, <a href="/format/0809.0301" title="Other formats" id="oth-0809.0301" aria-labelledby="oth-0809.0301">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Esscher transform and the duality principle for multidimensional semimartingales </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Eberlein,+E">Ernst Eberlein</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Papapantoleon,+A">Antonis Papapantoleon</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Shiryaev,+A+N">Albert N. Shiryaev</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Published in at <a href="http://dx.doi.org/10.1214/09-AAP600" rel="external noopener nofollow" class="link-external link-http">this http URL</a> the Annals of Applied Probability (<a href="http://www.imstat.org/aap/" rel="external noopener nofollow" class="link-external link-http">this http URL</a>) by the Institute of Mathematical Statistics (<a href="http://www.imstat.org" rel="external noopener nofollow" class="link-external link-http">this http URL</a>) </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Annals of Applied Probability 2009, Vol. 19, No. 5, 1944-1971 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Computational Finance (q-fin.CP) </div> </div> </dd> <dt> <a name='item30'>[30]</a> <a href ="/abs/0809.0979" title="Abstract" id="0809.0979"> arXiv:0809.0979 </a> (cross-list from nlin.CG) [<a href="/pdf/0809.0979" title="Download PDF" id="pdf-0809.0979" aria-labelledby="pdf-0809.0979">pdf</a>, <a href="/format/0809.0979" title="Other formats" id="oth-0809.0979" aria-labelledby="oth-0809.0979">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A housing-demographic multi-layered nonlinear model to test regulation strategies </div> <div class='list-authors'><a href="https://arxiv.org/search/nlin?searchtype=author&query=Huerta,+R">Ramon Huerta</a>, <a href="https://arxiv.org/search/nlin?searchtype=author&query=Corbacho,+F">Fernando Corbacho</a>, <a href="https://arxiv.org/search/nlin?searchtype=author&query=Lago-Fernandez,+L+F">Luis F. Lago-Fernandez</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Cellular Automata and Lattice Gases (nlin.CG)</span>; General Finance (q-fin.GN) </div> </div> </dd> <dt> <a name='item31'>[31]</a> <a href ="/abs/0809.1516" title="Abstract" id="0809.1516"> arXiv:0809.1516 </a> (cross-list from math.ST) [<a href="/pdf/0809.1516" title="Download PDF" id="pdf-0809.1516" aria-labelledby="pdf-0809.1516">pdf</a>, <a href="/format/0809.1516" title="Other formats" id="oth-0809.1516" aria-labelledby="oth-0809.1516">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> SURE shrinkage of Gaussian paths and signal identification </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Privault,+N">Nicolas Privault</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=R%C3%A9veillac,+A">Anthony R茅veillac</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistics Theory (math.ST)</span>; Risk Management (q-fin.RM) </div> </div> </dd> <dt> <a name='item32'>[32]</a> <a href ="/abs/0809.1612" title="Abstract" id="0809.1612"> arXiv:0809.1612 </a> (cross-list from math.PR) [<a href="/pdf/0809.1612" title="Download PDF" id="pdf-0809.1612" aria-labelledby="pdf-0809.1612">pdf</a>, <a href="/format/0809.1612" title="Other formats" id="oth-0809.1612" aria-labelledby="oth-0809.1612">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Correlated continuous time random walks </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Meerschaert,+M+M">Mark M. Meerschaert</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Nane,+E">Erkan Nane</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Xiao,+Y">Yimin Xiao</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 13 pages </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Statistics & Probability Letters, 79 (2009), 1194-1202. </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Statistics Theory (math.ST); Statistical Finance (q-fin.ST) </div> </div> </dd> <dt> <a name='item33'>[33]</a> <a href ="/abs/0809.3060" title="Abstract" id="0809.3060"> arXiv:0809.3060 </a> (cross-list from physics.soc-ph) [<a href="/pdf/0809.3060" title="Download PDF" id="pdf-0809.3060" aria-labelledby="pdf-0809.3060">pdf</a>, <a href="/format/0809.3060" title="Other formats" id="oth-0809.3060" aria-labelledby="oth-0809.3060">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Non-Gibrat's law in the middle scale region </div> <div class='list-authors'><a href="https://arxiv.org/search/physics?searchtype=author&query=Tomoyose,+M">Masashi Tomoyose</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Fujimoto,+S">Shouji Fujimoto</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Ishikawa,+A">Atushi Ishikawa</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 8 pages, 14 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Physics and Society (physics.soc-ph)</span>; Computational Finance (q-fin.CP); General Finance (q-fin.GN) </div> </div> </dd> <dt> <a name='item34'>[34]</a> <a href ="/abs/0809.3714" title="Abstract" id="0809.3714"> arXiv:0809.3714 </a> (cross-list from math.NA) [<a href="/pdf/0809.3714" title="Download PDF" id="pdf-0809.3714" aria-labelledby="pdf-0809.3714">pdf</a>, <a href="/format/0809.3714" title="Other formats" id="oth-0809.3714" aria-labelledby="oth-0809.3714">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Existence, uniqueness and a constructive solution algorithm for a class of finite Markov moment problems </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Gosse,+L">Laurent Gosse</a> (CNR BARI), <a href="https://arxiv.org/search/math?searchtype=author&query=Runborg,+O">Olof Runborg</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> SIAM J. Appl. Math. 68, 6 (2008) 1618-1640 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Numerical Analysis (math.NA)</span>; Computational Finance (q-fin.CP); Applications (stat.AP) </div> </div> </dd> </dl> <div class='paging'>Total of 34 entries </div> <div class='morefewer'>Showing up to 50 entries per page: <a href=/list/q-fin/2008-09?skip=0&show=25 rel="nofollow"> fewer</a> | <span style="color: #454545">more</span> | <span style="color: #454545">all</span> </div> </div> </div> </div> </main> <footer style="clear: both;"> <div class="columns is-desktop" role="navigation" aria-label="Secondary" style="margin: -0.75em -0.75em 0.75em -0.75em">  <div class="column" style="padding: 0;"> <div class="columns"> <div class="column"> <ul style="list-style: none; line-height: 2;"> <li><a href="https://info.arxiv.org/about">About</a></li> <li><a href="https://info.arxiv.org/help">Help</a></li> </ul> </div> <div class="column"> <ul style="list-style: none; 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Quantitative Finance Sep 2008