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Quantitative Finance Nov 2008
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<div class='paging'>Total of 32 entries </div> <div class='morefewer'>Showing up to 50 entries per page: <a href=/list/q-fin/2008-11?skip=0&show=25 rel="nofollow"> fewer</a> | <span style="color: #454545">more</span> | <span style="color: #454545">all</span> </div> <dl id='articles'> <dt> <a name='item1'>[1]</a> <a href ="/abs/0811.0182" title="Abstract" id="0811.0182"> arXiv:0811.0182 </a> [<a href="/pdf/0811.0182" title="Download PDF" id="pdf-0811.0182" aria-labelledby="pdf-0811.0182">pdf</a>, <a href="/format/0811.0182" title="Other formats" id="oth-0811.0182" aria-labelledby="oth-0811.0182">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Shaw,+W+T">William T. Shaw</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 3 figures; Aug 30: Further corrections and citations; Aug 09 update: links to integrals of exponential Brownian motion; more exact solutions; relations to other work. previous update: Simple VaR, more exact solutions, relation to Legendre equation. In Update: Corrections; better history; more exact solutions; discussion of market states </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Statistics Theory (math.ST); Applications (stat.AP) </div> </div> </dd> <dt> <a name='item2'>[2]</a> <a href ="/abs/0811.0352" title="Abstract" id="0811.0352"> arXiv:0811.0352 </a> [<a href="/pdf/0811.0352" title="Download PDF" id="pdf-0811.0352" aria-labelledby="pdf-0811.0352">pdf</a>, <a href="/format/0811.0352" title="Other formats" id="oth-0811.0352" aria-labelledby="oth-0811.0352">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Evolution of the personal income distribution in the USA: High incomes </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</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='item3'>[3]</a> <a href ="/abs/0811.0356" title="Abstract" id="0811.0356"> arXiv:0811.0356 </a> [<a href="/pdf/0811.0356" title="Download PDF" id="pdf-0811.0356" aria-labelledby="pdf-0811.0356">pdf</a>, <a href="/format/0811.0356" title="Other formats" id="oth-0811.0356" aria-labelledby="oth-0811.0356">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Modeling the evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005 </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</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='item4'>[4]</a> <a href ="/abs/0811.0376" title="Abstract" id="0811.0376"> arXiv:0811.0376 </a> [<a href="/pdf/0811.0376" title="Download PDF" id="pdf-0811.0376" aria-labelledby="pdf-0811.0376">pdf</a>, <a href="/format/0811.0376" title="Other formats" id="oth-0811.0376" aria-labelledby="oth-0811.0376">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Exact prediction of S&P 500 returns </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+O+I">Oleg I. Kitov</a></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); General Finance (q-fin.GN) </div> </div> </dd> <dt> <a name='item5'>[5]</a> <a href ="/abs/0811.0448" title="Abstract" id="0811.0448"> arXiv:0811.0448 </a> [<a href="/pdf/0811.0448" title="Download PDF" id="pdf-0811.0448" aria-labelledby="pdf-0811.0448">pdf</a>, <a href="/format/0811.0448" title="Other formats" id="oth-0811.0448" aria-labelledby="oth-0811.0448">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Statistical properties of information flow in financial time series </div> <div class='list-authors'><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=Kwon,+O">Okyu Kwon</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Jung,+W">Woo-Sung Jung</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">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='item6'>[6]</a> <a href ="/abs/0811.0473" title="Abstract" id="0811.0473"> arXiv:0811.0473 </a> [<a href="/pdf/0811.0473" title="Download PDF" id="pdf-0811.0473" aria-labelledby="pdf-0811.0473">pdf</a>, <a href="/format/0811.0473" title="Other formats" id="oth-0811.0473" aria-labelledby="oth-0811.0473">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stehlikova,+B">B. Stehlikova</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sevcovic,+D">D. Sevcovic</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Numerical Analysis (math.NA); Statistics Theory (math.ST) </div> </div> </dd> <dt> <a name='item7'>[7]</a> <a href ="/abs/0811.0489" title="Abstract" id="0811.0489"> arXiv:0811.0489 </a> [<a href="/pdf/0811.0489" title="Download PDF" id="pdf-0811.0489" aria-labelledby="pdf-0811.0489">pdf</a>, <a href="/format/0811.0489" title="Other formats" id="oth-0811.0489" aria-labelledby="oth-0811.0489">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Modelling the average income dependence on work experience </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</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='item8'>[8]</a> <a href ="/abs/0811.0490" title="Abstract" id="0811.0490"> arXiv:0811.0490 </a> [<a href="/pdf/0811.0490" title="Download PDF" id="pdf-0811.0490" aria-labelledby="pdf-0811.0490">pdf</a>, <a href="/format/0811.0490" title="Other formats" id="oth-0811.0490" aria-labelledby="oth-0811.0490">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Modelling real GDP per capita in the USA: cointegration test </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+O+I">Oleg I. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dolinskaya,+S+A">Svetlana A. Dolinskaya</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='item9'>[9]</a> <a href ="/abs/0811.0591" title="Abstract" id="0811.0591"> arXiv:0811.0591 </a> [<a href="/pdf/0811.0591" title="Download PDF" id="pdf-0811.0591" aria-labelledby="pdf-0811.0591">pdf</a>, <a href="/format/0811.0591" title="Other formats" id="oth-0811.0591" aria-labelledby="oth-0811.0591">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> On the singular limit of solutions to the CIR interest rate model with stochastic volatility </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Stehlikova,+B">B. Stehlikova</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sevcovic,+D">D. Sevcovic</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> submitted </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Numerical Analysis (math.NA) </div> </div> </dd> <dt> <a name='item10'>[10]</a> <a href ="/abs/0811.0800" title="Abstract" id="0811.0800"> arXiv:0811.0800 </a> [<a href="/pdf/0811.0800" title="Download PDF" id="pdf-0811.0800" aria-labelledby="pdf-0811.0800">pdf</a>, <a href="/format/0811.0800" title="Other formats" id="oth-0811.0800" aria-labelledby="oth-0811.0800">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The instability of downside risk measures </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Varga-Haszonits,+I">Istvan Varga-Haszonits</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kondor,+I">Imre Kondor</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 19 pages, 7 figures </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) </div> </div> </dd> <dt> <a name='item11'>[11]</a> <a href ="/abs/0811.0889" title="Abstract" id="0811.0889"> arXiv:0811.0889 </a> [<a href="/pdf/0811.0889" title="Download PDF" id="pdf-0811.0889" aria-labelledby="pdf-0811.0889">pdf</a>, <a href="/format/0811.0889" title="Other formats" id="oth-0811.0889" aria-labelledby="oth-0811.0889">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Real GDP per capita in developed countries </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 39 pages, 27 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='item12'>[12]</a> <a href ="/abs/0811.0892" title="Abstract" id="0811.0892"> arXiv:0811.0892 </a> [<a href="/pdf/0811.0892" title="Download PDF" id="pdf-0811.0892" aria-labelledby="pdf-0811.0892">pdf</a>, <a href="/format/0811.0892" title="Other formats" id="oth-0811.0892" aria-labelledby="oth-0811.0892">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Inflation as a function of labor force change rate: cointegration test for the USA </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+O+I">Oleg I. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dolinskaya,+S+A">Svetlana A. Dolinskaya</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='item13'>[13]</a> <a href ="/abs/0811.0896" title="Abstract" id="0811.0896"> arXiv:0811.0896 </a> [<a href="/pdf/0811.0896" title="Download PDF" id="pdf-0811.0896" aria-labelledby="pdf-0811.0896">pdf</a>, <a href="/format/0811.0896" title="Other formats" id="oth-0811.0896" aria-labelledby="oth-0811.0896">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Relationship between inflation, unemployment and labor force change rate in France: cointegration test </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+O+I">Oleg I. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dolinskaya,+S+A">Svetlana A. Dolinskaya</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 52 pages, 10 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='item14'>[14]</a> <a href ="/abs/0811.1064" title="Abstract" id="0811.1064"> arXiv:0811.1064 </a> [<a href="/pdf/0811.1064" title="Download PDF" id="pdf-0811.1064" aria-labelledby="pdf-0811.1064">pdf</a>, <a href="/format/0811.1064" title="Other formats" id="oth-0811.1064" aria-labelledby="oth-0811.1064">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Transition from Pareto to Boltzmann-Gibbs behavior in a deterministic economic model </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=Alvarez-Llamoza,+O">O. Alvarez-Llamoza</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lopez-Ruiz,+R">R. Lopez-Ruiz</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 10 pages, 14 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); Adaptation and Self-Organizing Systems (nlin.AO); Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item15'>[15]</a> <a href ="/abs/0811.1182" title="Abstract" id="0811.1182"> arXiv:0811.1182 </a> [<a href="/pdf/0811.1182" title="Download PDF" id="pdf-0811.1182" aria-labelledby="pdf-0811.1182">pdf</a>, <a href="/format/0811.1182" title="Other formats" id="oth-0811.1182" aria-labelledby="oth-0811.1182">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Modelling the transition from a socialist to capitalist economic system </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 51 pages, 36 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='item16'>[16]</a> <a href ="/abs/0811.2084" title="Abstract" id="0811.2084"> arXiv:0811.2084 </a> [<a href="/pdf/0811.2084" title="Download PDF" id="pdf-0811.2084" aria-labelledby="pdf-0811.2084">pdf</a>, <a href="/format/0811.2084" title="Other formats" id="oth-0811.2084" aria-labelledby="oth-0811.2084">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A model of subjective supply-demand: the maximum Boltzmann/Shannon entropy solution </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Piotrowski,+E+W">Edward W. Piotrowski</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Sladkowski,+J">Jan Sladkowski</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Presented at the SIGMAPHI 08 Conference </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='item17'>[17]</a> <a href ="/abs/0811.2124" title="Abstract" id="0811.2124"> arXiv:0811.2124 </a> [<a href="/pdf/0811.2124" title="Download PDF" id="pdf-0811.2124" aria-labelledby="pdf-0811.2124">pdf</a>, <a href="/format/0811.2124" title="Other formats" id="oth-0811.2124" aria-labelledby="oth-0811.2124">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> The driving force of labor productivity </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=kitov,+O+I">Oleg I. kitov</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> pages 20, figures 12 </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='item18'>[18]</a> <a href ="/abs/0811.2125" title="Abstract" id="0811.2125"> arXiv:0811.2125 </a> [<a href="/pdf/0811.2125" title="Download PDF" id="pdf-0811.2125" aria-labelledby="pdf-0811.2125">pdf</a>, <a href="/format/0811.2125" title="Other formats" id="oth-0811.2125" aria-labelledby="oth-0811.2125">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> GDP growth rate and population </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kitov,+I+O">Ivan O. Kitov</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> pages 60, figures 35 </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='item19'>[19]</a> <a href ="/abs/0811.3122" title="Abstract" id="0811.3122"> arXiv:0811.3122 </a> [<a href="/pdf/0811.3122" title="Download PDF" id="pdf-0811.3122" aria-labelledby="pdf-0811.3122">pdf</a>, <a href="/format/0811.3122" title="Other formats" id="oth-0811.3122" aria-labelledby="oth-0811.3122">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> A multiscale view on inverse statistics and gain/loss asymmetry in financial time series </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Siven,+J+V">Johannes Vitalis Siven</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lins,+J+T">Jeffrey Todd Lins</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Hansen,+J+L">Jonas Lundbek Hansen</a></div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> J. Stat. Mech. (2009) P02004 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Statistical Finance (q-fin.ST)</span>; Applications (stat.AP) </div> </div> </dd> <dt> <a name='item20'>[20]</a> <a href ="/abs/0811.3130" title="Abstract" id="0811.3130"> arXiv:0811.3130 </a> [<a href="/pdf/0811.3130" title="Download PDF" id="pdf-0811.3130" aria-labelledby="pdf-0811.3130">pdf</a>, <a href="/format/0811.3130" title="Other formats" id="oth-0811.3130" aria-labelledby="oth-0811.3130">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> An Apology for Money </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Svozil,+K">Karl Svozil</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 23 pages, completely revised, a proof of Goedel-type incompleteness is included; contribution to the <a href="http://timesup.org" rel="external noopener nofollow" class="link-external link-http">this http URL</a> Data Ecologies Symposium in Brussels, Belgium, 31st October 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='item21'>[21]</a> <a href ="/abs/0811.3885" title="Abstract" id="0811.3885"> arXiv:0811.3885 </a> [<a href="/pdf/0811.3885" title="Download PDF" id="pdf-0811.3885" aria-labelledby="pdf-0811.3885">pdf</a>, <a href="/format/0811.3885" title="Other formats" id="oth-0811.3885" aria-labelledby="oth-0811.3885">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Fluctuations of company yearly profits versus scaled revenue: Fat tail distribution of Levy type </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Roman,+H">H.E. Roman</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Siliprandi,+R">R.A. Siliprandi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Dose,+C">C. Dose</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Riccardi,+C">C. Riccardi</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Porto,+M">M. Porto</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 6 pages, 6 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">General Finance (q-fin.GN)</span> </div> </div> </dd> <dt> <a name='item22'>[22]</a> <a href ="/abs/0811.4021" title="Abstract" id="0811.4021"> arXiv:0811.4021 </a> [<a href="/pdf/0811.4021" title="Download PDF" id="pdf-0811.4021" aria-labelledby="pdf-0811.4021">pdf</a>, <a href="/format/0811.4021" title="Other formats" id="oth-0811.4021" aria-labelledby="oth-0811.4021">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Effect of changing data size on eigenvalues in the Korean and Japanese stock markets </div> <div class='list-authors'><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=Jung,+W">Woo-Sung Jung</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kaizoji,+T">Taisei Kaizoji</a>, <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Kim,+S">Seunghwan Kim</a></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) </div> </div> </dd> <dt> <a name='item23'>[23]</a> <a href ="/abs/0811.4039" title="Abstract" id="0811.4039"> arXiv:0811.4039 </a> [<a href="/pdf/0811.4039" title="Download PDF" id="pdf-0811.4039" aria-labelledby="pdf-0811.4039">pdf</a>, <a href="/format/0811.4039" title="Other formats" id="oth-0811.4039" aria-labelledby="oth-0811.4039">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Blanchet-Scalliet,+C">Christophette Blanchet-Scalliet</a> (ICJ), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Eyraud-Loisel,+A">Anne Eyraud-Loisel</a> (SAF), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Royer-Carenzi,+M">Manuela Royer-Carenzi</a> (LATP)</div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Le bulletin fran\c{c}ais d'actuariat 20, 10 (2010) http://www.institutdesactuaires.com/bfa/ </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Computational Finance (q-fin.CP)</span>; Probability (math.PR); Pricing of Securities (q-fin.PR) </div> </div> </dd> <dt> <a name='item24'>[24]</a> <a href ="/abs/0811.4678" title="Abstract" id="0811.4678"> arXiv:0811.4678 </a> [<a href="/pdf/0811.4678" title="Download PDF" id="pdf-0811.4678" aria-labelledby="pdf-0811.4678">pdf</a>, <a href="/format/0811.4678" title="Other formats" id="oth-0811.4678" aria-labelledby="oth-0811.4678">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Mathematics underlying the 2008 financial crisis, and a possible remedy </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Maslov,+V+P">V. P. Maslov</a> (1 and 2), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Nazaikinskii,+V+E">V. E. Nazaikinskii</a> (2) ((1) Moscow State University, (2) Institute for Problems in Mechanics, RAS, Moscow)</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">General Finance (q-fin.GN)</span>; Physics and Society (physics.soc-ph) </div> </div> </dd> <dt> <a name='item25'>[25]</a> <a href ="/abs/0811.4715" title="Abstract" id="0811.4715"> arXiv:0811.4715 </a> [<a href="/pdf/0811.4715" title="Download PDF" id="pdf-0811.4715" aria-labelledby="pdf-0811.4715">pdf</a>, <a href="/format/0811.4715" title="Other formats" id="oth-0811.4715" aria-labelledby="oth-0811.4715">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Utility maximization in incomplete markets with default </div> <div class='list-authors'><a href="https://arxiv.org/search/q-fin?searchtype=author&query=Lim,+T">Thomas Lim</a> (PMA), <a href="https://arxiv.org/search/q-fin?searchtype=author&query=Quenez,+M">Marie-Claire Quenez</a> (PMA)</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); Portfolio Management (q-fin.PM) </div> </div> </dd> <dt> <a name='item26'>[26]</a> <a href ="/abs/0811.1561" title="Abstract" id="0811.1561"> arXiv:0811.1561 </a> (cross-list from stat.AP) [<a href="/pdf/0811.1561" title="Download PDF" id="pdf-0811.1561" aria-labelledby="pdf-0811.1561">pdf</a>, <a href="/format/0811.1561" title="Other formats" id="oth-0811.1561" aria-labelledby="oth-0811.1561">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance </div> <div class='list-authors'><a href="https://arxiv.org/search/stat?searchtype=author&query=Fliess,+M">Michel Fliess</a> (LIX, INRIA Saclay - Ile de France), <a href="https://arxiv.org/search/stat?searchtype=author&query=Join,+C">C茅dric Join</a> (INRIA Saclay - Ile de France, CRAN)</div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis) (2008) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Applications (stat.AP)</span>; Commutative Algebra (math.AC); Optimization and Control (math.OC); Statistics Theory (math.ST); Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR) </div> </div> </dd> <dt> <a name='item27'>[27]</a> <a href ="/abs/0811.1896" title="Abstract" id="0811.1896"> arXiv:0811.1896 </a> (cross-list from math.PR) [<a href="/pdf/0811.1896" title="Download PDF" id="pdf-0811.1896" aria-labelledby="pdf-0811.1896">pdf</a>, <a href="/format/0811.1896" title="Other formats" id="oth-0811.1896" aria-labelledby="oth-0811.1896">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Binomial approximations of shortfall risk for game options </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Dolinsky,+Y">Yan Dolinsky</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Kifer,+Y">Yuri Kifer</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Published in at <a href="http://dx.doi.org/10.1214/07-AAP503" 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. 5, 1737-1770 </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Pricing of Securities (q-fin.PR) </div> </div> </dd> <dt> <a name='item28'>[28]</a> <a href ="/abs/0811.3749" title="Abstract" id="0811.3749"> arXiv:0811.3749 </a> (cross-list from math.PR) [<a href="/pdf/0811.3749" title="Download PDF" id="pdf-0811.3749" aria-labelledby="pdf-0811.3749">pdf</a>, <a href="/format/0811.3749" title="Other formats" id="oth-0811.3749" aria-labelledby="oth-0811.3749">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Quantile hedging for an insider </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Klusik,+P">Przemyslaw Klusik</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Palmowski,+Z">Zbigniew Palmowski</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Zwierz,+J">Jakub Zwierz</a></div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Pricing of Securities (q-fin.PR) </div> </div> </dd> <dt> <a name='item29'>[29]</a> <a href ="/abs/0811.3889" title="Abstract" id="0811.3889"> arXiv:0811.3889 </a> (cross-list from math.PR) [<a href="/pdf/0811.3889" title="Download PDF" id="pdf-0811.3889" aria-labelledby="pdf-0811.3889">pdf</a>, <a href="/format/0811.3889" title="Other formats" id="oth-0811.3889" aria-labelledby="oth-0811.3889">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Multivariate utility maximization with proportional transaction costs </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Campi,+L">Luciano Campi</a>, <a href="https://arxiv.org/search/math?searchtype=author&query=Owen,+M+P">Mark P. Owen</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> Addition of two examples (Examples 3.2 and 3.13) and a few other, minor presentational improvements </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Probability (math.PR)</span>; Optimization and Control (math.OC); Portfolio Management (q-fin.PM) </div> </div> </dd> <dt> <a name='item30'>[30]</a> <a href ="/abs/0811.3988" title="Abstract" id="0811.3988"> arXiv:0811.3988 </a> (cross-list from physics.soc-ph) [<a href="/pdf/0811.3988" title="Download PDF" id="pdf-0811.3988" aria-labelledby="pdf-0811.3988">pdf</a>, <a href="/format/0811.3988" title="Other formats" id="oth-0811.3988" aria-labelledby="oth-0811.3988">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis </div> <div class='list-authors'><a href="https://arxiv.org/search/physics?searchtype=author&query=Fenn,+D+J">Daniel J. Fenn</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Porter,+M+A">Mason A. Porter</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=McDonald,+M">Mark McDonald</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Williams,+S">Stacy Williams</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Johnson,+N+F">Neil F. Johnson</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Jones,+N+S">Nick S. Jones</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 8 pages, 6 figures, accepted for publication in Chaos </div> <div class='list-journal-ref'><span class='descriptor'>Journal-ref:</span> Chaos, Vol. 19, No. 3: 033119 (2009) </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Physics and Society (physics.soc-ph)</span>; Adaptation and Self-Organizing Systems (nlin.AO); Data Analysis, Statistics and Probability (physics.data-an); Trading and Market Microstructure (q-fin.TR) </div> </div> </dd> <dt> <a name='item31'>[31]</a> <a href ="/abs/0811.4256" title="Abstract" id="0811.4256"> arXiv:0811.4256 </a> (cross-list from physics.soc-ph) [<a href="/pdf/0811.4256" title="Download PDF" id="pdf-0811.4256" aria-labelledby="pdf-0811.4256">pdf</a>, <a href="/format/0811.4256" title="Other formats" id="oth-0811.4256" aria-labelledby="oth-0811.4256">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model </div> <div class='list-authors'><a href="https://arxiv.org/search/physics?searchtype=author&query=Alfi,+V">V. Alfi</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Cristelli,+M">M. Cristelli</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Pietronero,+L">L. Pietronero</a>, <a href="https://arxiv.org/search/physics?searchtype=author&query=Zaccaria,+A">A. Zaccaria</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> 14 pages, 7 figures </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Physics and Society (physics.soc-ph)</span>; Statistical Mechanics (cond-mat.stat-mech); Trading and Market Microstructure (q-fin.TR) </div> </div> </dd> <dt> <a name='item32'>[32]</a> <a href ="/abs/0811.4613" title="Abstract" id="0811.4613"> arXiv:0811.4613 </a> (cross-list from math.OC) [<a href="/pdf/0811.4613" title="Download PDF" id="pdf-0811.4613" aria-labelledby="pdf-0811.4613">pdf</a>, <a href="/format/0811.4613" title="Other formats" id="oth-0811.4613" aria-labelledby="oth-0811.4613">other</a>] </dt> <dd> <div class='meta'> <div class='list-title mathjax'><span class='descriptor'>Title:</span> Pricing financial derivatives by a minimizing method </div> <div class='list-authors'><a href="https://arxiv.org/search/math?searchtype=author&query=Rotenstein,+E">Eduard Rotenstein</a></div> <div class='list-comments mathjax'><span class='descriptor'>Comments:</span> This paper has been withdrawn by the author </div> <div class='list-subjects'><span class='descriptor'>Subjects:</span> <span class="primary-subject">Optimization and Control (math.OC)</span>; Probability (math.PR); Pricing of Securities (q-fin.PR) </div> </div> </dd> </dl> <div class='paging'>Total of 32 entries </div> <div class='morefewer'>Showing up to 50 entries per page: <a href=/list/q-fin/2008-11?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"> <!-- Macro-Column 1 --> <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> <!-- End Macro-Column 1 --> <!-- Macro-Column 2 --> <div class="column" style="padding: 0;"> <div class="columns"> <div class="column"> <ul style="list-style: none; 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