Quantitative Finance Jan 2008

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id="0801.0003"> arXiv:0801.0003 </a> [<a href="/pdf/0801.0003" title="Download PDF" id="pdf-0801.0003" aria-labelledby="pdf-0801.0003">pdf</a>, <a href="/format/0801.0003" title="Other formats" id="oth-0801.0003" aria-labelledby="oth-0801.0003">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sch%C3%BCtz,+G+M">Gunter M. Sch眉tz</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=de+Almeida+Prado,+F+P">Fernando Pigeard de Almeida Prado</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Harris,+R+J">Rosemary J. Harris</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Belitsky,+V">Vladimir Belitsky</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 26 pages, 3 figures. v2: minor alterations, to appear in Physica A (<a href="http://www.elsevier.com/wps/find/journaldescription.cws_home/505702/description#description" 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> Physica A 388 (2009) 4126-4144 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Statistical Mechanics (cond-mat.stat-mech); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item2'>[2]</a> <a href ="/abs/0801.0108" title="Abstract" id="0801.0108"> arXiv:0801.0108 </a> [<a href="/pdf/0801.0108" title="Download PDF" id="pdf-0801.0108" aria-labelledby="pdf-0801.0108">pdf</a>, <a href="/format/0801.0108" title="Other formats" id="oth-0801.0108" aria-labelledby="oth-0801.0108">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Note on two phase phenomena in financial markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jiang,+S">Shi-Mei Jiang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cai,+S">Shi-Min Cai</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+T">Tao Zhou</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+P">Pei-Ling Zhou</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 8 pages and 5 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Chin. Phys. Lett. 25 (2008) 2319 </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) </div> </div> </dd> <dt> <a name='item3'>[3]</a> <a href ="/abs/0801.0195" title="Abstract" id="0801.0195"> arXiv:0801.0195 </a> [<a href="/pdf/0801.0195" title="Download PDF" id="pdf-0801.0195" aria-labelledby="pdf-0801.0195">pdf</a>, <a href="/format/0801.0195" title="Other formats" id="oth-0801.0195" aria-labelledby="oth-0801.0195">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> An optimal life insurance policy in the investment-consumption problem in an incomplete market </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Egami,+M">Masahiko Egami</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Iwaki,+H">Hideki Iwaki</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> This paper has been withdrawn by the authors </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Optimization and Control (math.OC) </div> </div> </dd> <dt> <a name='item4'>[4]</a> <a href ="/abs/0801.0631" title="Abstract" id="0801.0631"> arXiv:0801.0631 </a> [<a href="/pdf/0801.0631" title="Download PDF" id="pdf-0801.0631" aria-labelledby="pdf-0801.0631">pdf</a>, <a href="/format/0801.0631" title="Other formats" id="oth-0801.0631" aria-labelledby="oth-0801.0631">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Critical comparison of several order-book models for stock-market fluctuations </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Slanina,+F">Frantisek Slanina</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 17 pages, 26 figures, accepted in Eur. Phys. J. B </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Eur. Phys. J. B 61, 225-240 (2008) </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='item5'>[5]</a> <a href ="/abs/0801.0718" title="Abstract" id="0801.0718"> arXiv:0801.0718 </a> [<a href="/pdf/0801.0718" title="Download PDF" id="pdf-0801.0718" aria-labelledby="pdf-0801.0718">pdf</a>, <a href="/format/0801.0718" title="Other formats" id="oth-0801.0718" aria-labelledby="oth-0801.0718">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On the Stickiness Property </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bayraktar,+E">Erhan Bayraktar</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sayit,+H">Hasanjan Sayit</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Key words: Transaction costs. No Arbitrage. Sticky processes. Time change </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='item6'>[6]</a> <a href ="/abs/0801.0748" title="Abstract" id="0801.0748"> arXiv:0801.0748 </a> [<a href="/pdf/0801.0748" title="Download PDF" id="pdf-0801.0748" aria-labelledby="pdf-0801.0748">pdf</a>, <a href="/format/0801.0748" title="Other formats" id="oth-0801.0748" aria-labelledby="oth-0801.0748">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Hausdorff clustering </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Basalto,+N">N. Basalto</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bellotti,+R">R. Bellotti</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=De+Carlo,+F">F. De Carlo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Facchi,+P">P. Facchi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pantaleo,+E">E. Pantaleo</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pascazio,+S">S. Pascazio</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 12 pages, 13 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Phys. Rev. E 78, 046112 (2008) </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); Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item7'>[7]</a> <a href ="/abs/0801.0969" title="Abstract" id="0801.0969"> arXiv:0801.0969 </a> [<a href="/pdf/0801.0969" title="Download PDF" id="pdf-0801.0969" aria-labelledby="pdf-0801.0969">pdf</a>, <a href="/format/0801.0969" title="Other formats" id="oth-0801.0969" aria-labelledby="oth-0801.0969">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Pareto and Boltzmann-Gibbs behaviors in a deterministic multi-agent system </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gonzalez-Estevez,+J">J. Gonzalez-Estevez</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cosenza,+M+G">M. G. Cosenza</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lopez-Ruiz,+R">R. Lopez-Ruiz</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sanchez,+J+R">J. R. Sanchez</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 9 pages, 9 color .eps figures, submitted to Physica A </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span>; Statistical Mechanics (cond-mat.stat-mech); Multiagent Systems (cs.MA); Adaptation and Self-Organizing Systems (nlin.AO); Chaotic Dynamics (nlin.CD); Computational Physics (physics.comp-ph); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item8'>[8]</a> <a href ="/abs/0801.1475" title="Abstract" id="0801.1475"> arXiv:0801.1475 </a> [<a href="/pdf/0801.1475" title="Download PDF" id="pdf-0801.1475" aria-labelledby="pdf-0801.1475">pdf</a>, <a href="/format/0801.1475" title="Other formats" id="oth-0801.1475" aria-labelledby="oth-0801.1475">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A Multifractal Analysis of Asian Foreign Exchange Markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Oh,+G">Gabjin Oh</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Eom,+C">Cheoljun Eom</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Havlin,+S">Shlomo Havlin</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jung,+W">Woo-Sung Jung</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Wang,+F">Fengzhong Wang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stanley,+H+E">H. Eugene Stanley</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kim,+S">Seunghwan Kim</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Eur. Phys. J. B (2012) 85: 214 </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); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item9'>[9]</a> <a href ="/abs/0801.1599" title="Abstract" id="0801.1599"> arXiv:0801.1599 </a> [<a href="/pdf/0801.1599" title="Download PDF" id="pdf-0801.1599" aria-labelledby="pdf-0801.1599">pdf</a>, <a href="/format/0801.1599" title="Other formats" id="oth-0801.1599" aria-labelledby="oth-0801.1599">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Parametric and nonparametric models and methods in financial econometrics </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhao,+Z">Zhibiao Zhao</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Published in at <a href="http://dx.doi.org/10.1214/08-SS034" rel="external noopener nofollow" class="link-external link-http">this http URL</a> the Statistics Surveys (<a href="http://www.i-journals.org/ss/" 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> Statistics Surveys 2008, Vol. 2, 1-42 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Methodology (stat.ME) </div> </div> </dd> <dt> <a name='item10'>[10]</a> <a href ="/abs/0801.1710" title="Abstract" id="0801.1710"> arXiv:0801.1710 </a> [<a href="/pdf/0801.1710" title="Download PDF" id="pdf-0801.1710" aria-labelledby="pdf-0801.1710">pdf</a>, <a href="/format/0801.1710" title="Other formats" id="oth-0801.1710" aria-labelledby="oth-0801.1710">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Multifractal analysis of Chinese stock volatilities based on partition function approach </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jiang,+Z">Zhi-Qiang Jiang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+W">Wei-Xing Zhou</a> (ECUST)</div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 14 elsart pages including 4 eps figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Physica A 387 (19), 4881-4888 (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='item11'>[11]</a> <a href ="/abs/0801.2980" title="Abstract" id="0801.2980"> arXiv:0801.2980 </a> [<a href="/pdf/0801.2980" title="Download PDF" id="pdf-0801.2980" aria-labelledby="pdf-0801.2980">pdf</a>, <a href="/format/0801.2980" title="Other formats" id="oth-0801.2980" aria-labelledby="oth-0801.2980">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Analysing tax evasion dynamics via the Ising model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zaklan,+G">Georg Zaklan</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Westerhoff,+F">Frank Westerhoff</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stauffer,+D">Dietrich Stauffer</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 15 pages including figures and the Fortran program </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='item12'>[12]</a> <a href ="/abs/0801.3043" title="Abstract" id="0801.3043"> arXiv:0801.3043 </a> [<a href="/pdf/0801.3043" title="Download PDF" id="pdf-0801.3043" aria-labelledby="pdf-0801.3043">pdf</a>, <a href="/format/0801.3043" title="Other formats" id="oth-0801.3043" aria-labelledby="oth-0801.3043">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Activity spectrum from waiting-time distribution </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Politi,+M">Mauro Politi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Scalas,+E">Enrico Scalas</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 8 pages, 5 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Physica A 383 (2007) 43-48 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item13'>[13]</a> <a href ="/abs/0801.3047" title="Abstract" id="0801.3047"> arXiv:0801.3047 </a> [<a href="/pdf/0801.3047" title="Download PDF" id="pdf-0801.3047" aria-labelledby="pdf-0801.3047">pdf</a>, <a href="/format/0801.3047" title="Other formats" id="oth-0801.3047" aria-labelledby="oth-0801.3047">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Econometrics as Sorcery </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Innocenti,+G">G. Innocenti</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Materassi,+D">D. Materassi</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Chaotic Dynamics (nlin.CD) </div> </div> </dd> <dt> <a name='item14'>[14]</a> <a href ="/abs/0801.3263" title="Abstract" id="0801.3263"> arXiv:0801.3263 </a> [<a href="/pdf/0801.3263" title="Download PDF" id="pdf-0801.3263" aria-labelledby="pdf-0801.3263">pdf</a>, <a href="/format/0801.3263" title="Other formats" id="oth-0801.3263" aria-labelledby="oth-0801.3263">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> From short to fat tails in financial markets: A unified description </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Cortines,+A">A.A.G. Cortines</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Riera,+R">R. Riera</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Anteneodo,+C">C. Anteneodo</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 11 pages, 5 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> European Journal of Physics B, volume 60, p. 385, 2007 </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); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item15'>[15]</a> <a href ="/abs/0801.3348" title="Abstract" id="0801.3348"> arXiv:0801.3348 </a> [<a href="/pdf/0801.3348" title="Download PDF" id="pdf-0801.3348" aria-labelledby="pdf-0801.3348">pdf</a>, <a href="/format/0801.3348" title="Other formats" id="oth-0801.3348" aria-labelledby="oth-0801.3348">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Tsagaris,+T">Theodoros Tsagaris</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 28 pages, submitted to journal </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Optimization and Control (math.OC); Probability (math.PR) </div> </div> </dd> <dt> <a name='item16'>[16]</a> <a href ="/abs/0801.3494" title="Abstract" id="0801.3494"> arXiv:0801.3494 </a> [<a href="/pdf/0801.3494" title="Download PDF" id="pdf-0801.3494" aria-labelledby="pdf-0801.3494">pdf</a>, <a href="/format/0801.3494" title="Other formats" id="oth-0801.3494" aria-labelledby="oth-0801.3494">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Direct evidence for inversion formula in multifractal financial volatility measure </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jiang,+Z">Zhi-Qiang Jiang</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+W">Wei-Xing Zhou</a> (ECUST)</div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 4 Revtex pages + 4 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Chinese Phys. Lett. 26, 028901, (2009) </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='item17'>[17]</a> <a href ="/abs/0801.3560" title="Abstract" id="0801.3560"> arXiv:0801.3560 </a> [<a href="/pdf/0801.3560" title="Download PDF" id="pdf-0801.3560" aria-labelledby="pdf-0801.3560">pdf</a>, <a href="/format/0801.3560" title="Other formats" id="oth-0801.3560" aria-labelledby="oth-0801.3560">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Trading Model with Pair Pattern Strategies </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ren,+F">F. Ren</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhang,+Y">Y.-C. Zhang</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 22 pages, 16 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Physica A 387 (2008), 5523-5534 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item18'>[18]</a> <a href ="/abs/0801.3712" title="Abstract" id="0801.3712"> arXiv:0801.3712 </a> [<a href="/pdf/0801.3712" title="Download PDF" id="pdf-0801.3712" aria-labelledby="pdf-0801.3712">pdf</a>, <a href="/format/0801.3712" title="Other formats" id="oth-0801.3712" aria-labelledby="oth-0801.3712">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Empirical shape function of limit-order books in the Chinese stock market </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gu,+G">Gao-Feng Gu</a> (ECUST), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Chen,+W">Wei Chen</a> (SZSE), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Zhou,+W">Wei-Xing Zhou</a> (ECUST)</div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 10 Elsart page including 4 figures </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Physica A 387 (21), 5182-5188 (2008) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Trading and Market Microstructure (q-fin.TR)</span>; Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item19'>[19]</a> <a href ="/abs/0801.3973" title="Abstract" id="0801.3973"> arXiv:0801.3973 </a> [<a href="/pdf/0801.3973" title="Download PDF" id="pdf-0801.3973" aria-labelledby="pdf-0801.3973">pdf</a>, <a href="/format/0801.3973" title="Other formats" id="oth-0801.3973" aria-labelledby="oth-0801.3973">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Boom and bust in continuous time evolving economic model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mitchell,+L">Lawrence Mitchell</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ackland,+G+J">G. J. Ackland</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 7 pages, 9 figures, epjb style. New references. Section on avoiding boom and bust. Fix bibliography </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> EPJB 70:567-573 (2009) </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/0801.4047" title="Abstract" id="0801.4047"> arXiv:0801.4047 </a> [<a href="/pdf/0801.4047" title="Download PDF" id="pdf-0801.4047" aria-labelledby="pdf-0801.4047">pdf</a>, <a href="/format/0801.4047" title="Other formats" id="oth-0801.4047" aria-labelledby="oth-0801.4047">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> No Arbitrage Conditions For Simple Trading Strategies </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Bayraktar,+E">Erhan Bayraktar</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sayit,+H">Hasanjan Sayit</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Keywords: Simple trading strategies. Arbitrage. Sticky processes. Short-Sales Restrictions </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='item21'>[21]</a> <a href ="/abs/0801.4220" title="Abstract" id="0801.4220"> arXiv:0801.4220 </a> [<a href="/pdf/0801.4220" title="Download PDF" id="pdf-0801.4220" aria-labelledby="pdf-0801.4220">pdf</a>, <a href="/format/0801.4220" title="Other formats" id="oth-0801.4220" aria-labelledby="oth-0801.4220">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Forecasting volatility with the multifractal random walk model </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Duchon,+J">Jean Duchon</a> (IF), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Robert,+R">Raoul Robert</a> (IF), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Vargas,+V">Vincent Vargas</a> (CEREMADE)</div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item22'>[22]</a> <a href ="/abs/0801.4305" title="Abstract" id="0801.4305"> arXiv:0801.4305 </a> [<a href="/pdf/0801.4305" title="Download PDF" id="pdf-0801.4305" aria-labelledby="pdf-0801.4305">pdf</a>, <a href="/format/0801.4305" title="Other formats" id="oth-0801.4305" aria-labelledby="oth-0801.4305">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Barrientos,+J+E+N">J. Emeterio Navarro Barrientos</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Walter,+F+E">Frank E. Walter</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Schweitzer,+F">Frank Schweitzer</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 27 pp. v2 with minor corrections. See <a href="http://www.sg.ethz.ch" rel="external noopener nofollow" class="link-external link-http">this http URL</a> for more info </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> International Journal of Modern Physics C vol. 19, no. 6 (2008) 971-994 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Computational Engineering, Finance, and Science (cs.CE); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item23'>[23]</a> <a href ="/abs/0801.4337" title="Abstract" id="0801.4337"> arXiv:0801.4337 </a> [<a href="/pdf/0801.4337" title="Download PDF" id="pdf-0801.4337" aria-labelledby="pdf-0801.4337">pdf</a>, <a href="/format/0801.4337" title="Other formats" id="oth-0801.4337" aria-labelledby="oth-0801.4337">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Emergence of firms in $(d+1)$-dimensional work space </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Weisbuch,+G">G. Weisbuch</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stauffer,+D">D. Stauffer</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Mangalagiu,+D">D. Mangalagiu</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Ben-Av,+R">R. Ben-Av</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Solomon,+S">S. Solomon</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 13 pages including all 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) </div> </div> </dd> <dt> <a name='item24'>[24]</a> <a href ="/abs/0801.4341" title="Abstract" id="0801.4341"> arXiv:0801.4341 </a> [<a href="/pdf/0801.4341" title="Download PDF" id="pdf-0801.4341" aria-labelledby="pdf-0801.4341">pdf</a>, <a href="/format/0801.4341" title="Other formats" id="oth-0801.4341" aria-labelledby="oth-0801.4341">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The log-periodic-AR(1)-GARCH(1,1) model for financial crashes </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Gazola,+L">L. Gazola</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Fernandes,+C">C. Fernandes</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Pizzinga,+A">A. Pizzinga</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Riera,+R">R. Riera</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 17 pages, 4 figures, 12 tables, to appear in Europen Physical Journal B </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) </div> </div> </dd> <dt> <a name='item25'>[25]</a> <a href ="/abs/0801.4941" title="Abstract" id="0801.4941"> arXiv:0801.4941 </a> [<a href="/pdf/0801.4941" title="Download PDF" id="pdf-0801.4941" aria-labelledby="pdf-0801.4941">pdf</a>, <a href="/format/0801.4941" title="Other formats" id="oth-0801.4941" aria-labelledby="oth-0801.4941">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Yip,+W+Y">Wing Yan Yip</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Olhede,+S">Sofia Olhede</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stephens,+D">David Stephens</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 32 pages, 6 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Portfolio Management (q-fin.PM)</span>; Probability (math.PR) </div> </div> </dd> <dt> <a name='item26'>[26]</a> <a href ="/abs/0801.3191" title="Abstract" id="0801.3191"> arXiv:0801.3191 </a> (cross-list from math.PR) [<a href="/pdf/0801.3191" title="Download PDF" id="pdf-0801.3191" aria-labelledby="pdf-0801.3191">pdf</a>, <a href="/format/0801.3191" title="Other formats" id="oth-0801.3191" aria-labelledby="oth-0801.3191">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Guo,+X">Xin Guo</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Zeng,+Y">Yan Zeng</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Published in at <a href="http://dx.doi.org/10.1214/07-AAP447" 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 2008, Vol. 18, No. 1, 120-142 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Risk Management (q-fin.RM) </div> </div> </dd> </dl> <div class='paging'>Total of 26 entries </div> <div class='morefewer'>Showing up to 50 entries per page: <a href=/list/q-fin/2008-01?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; line-height: 2;"> <li> <svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 512 512" class="icon filter-black" role="presentation"><title>contact arXiv</title><desc>Click here to contact arXiv</desc><path d="M502.3 190.8c3.9-3.1 9.7-.2 9.7 4.7V400c0 26.5-21.5 48-48 48H48c-26.5 0-48-21.5-48-48V195.6c0-5 5.7-7.8 9.7-4.7 22.4 17.4 52.1 39.5 154.1 113.6 21.1 15.4 56.7 47.8 92.2 47.6 35.7.3 72-32.8 92.3-47.6 102-74.1 131.6-96.3 154-113.7zM256 320c23.2.4 56.6-29.2 73.4-41.4 132.7-96.3 142.8-104.7 173.4-128.7 5.8-4.5 9.2-11.5 9.2-18.9v-19c0-26.5-21.5-48-48-48H48C21.5 64 0 85.5 0 112v19c0 7.4 3.4 14.3 9.2 18.9 30.6 23.9 40.7 32.4 173.4 128.7 16.8 12.2 50.2 41.8 73.4 41.4z"/></svg> <a href="https://info.arxiv.org/help/contact.html"> Contact</a> </li> <li> <svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 512 512" class="icon filter-black" role="presentation"><title>subscribe to arXiv mailings</title><desc>Click here to subscribe</desc><path d="M476 3.2L12.5 270.6c-18.1 10.4-15.8 35.6 2.2 43.2L121 358.4l287.3-253.2c5.5-4.9 13.3 2.6 8.6 8.3L176 407v80.5c0 23.6 28.5 32.9 42.5 15.8L282 426l124.6 52.2c14.2 6 30.4-2.9 33-18.2l72-432C515 7.8 493.3-6.8 476 3.2z"/></svg> <a href="https://info.arxiv.org/help/subscribe"> Subscribe</a> </li> </ul> </div> </div> </div>   <div class="column" style="padding: 0;"> <div class="columns"> <div class="column"> <ul style="list-style: none; 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Quantitative Finance Jan 2008