Quantitative Finance - oalib

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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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Eroding market stability by proliferation of financial instruments

Fabio Caccioli,Matteo Marsili,Pierpaolo Vivo

Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis

Ljudmila A. Bordag

Compensating asynchrony effects in the calculation of financial correlations

Michael C. Münnix,Rudi Sch？fer,Thomas Guhr

Complex Systems: From Nuclear Physics to Financial Markets

J. Speth,S. Drozdz,F. Gruemmer

A Heat Kernel Approach to Interest Rate Models

Jiro Akahori,Yuji Hishida,Josef Teichmann,Takahiro Tsuchiya

Optimal partial hedging in a discrete-time market as a knapsack problem

Peter G. Lindberg

Hedging in an equilibrium-based model for a large investor

David German

Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates

A. N. Sekar Iyengar

Stock Market Trading Via Stochastic Network Optimization

Michael J. Neely

Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme

Tetsuya Takaishi

Weighted Trade Network in a Model of Preferential Bipartite Transactions

Abhijit Chakraborty,S. S. Manna

Schumpeterian economic dynamics as a quantifiable minimum model of evolution

Stefan Thurner,Peter Klimek,Rudolf Hanel

Econophysics: Empirical facts and agent-based models

Anirban Chakraborti,Ioane Muni Toke,Marco Patriarca,Frederic Abergel

Hidden Noise Structure and Random Matrix Models of Stock Correlations

Ivailo I. Dimov,Petter N. Kolm,Lee Maclin,Dan Y. C. Shiber

Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

Fei Ren,Wei-Xing Zhou

Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles

Zhi-Qiang Jiang,Wei-Xing Zhou,Didier Sornette,Ryan Woodard,Ken Bastiaensen,Peter Cauwels

Optimal intervention in the foreign exchange market when interventions affect market dynamics

Alec N. Kercheval,Juan F. Moreno

Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect

Johannes Vitalis Siven,Jeffrey Todd Lins

Statistical Regularities of Equity Market Activity

Fengzhong Wang,Kazuko Yamasaki,Shlomo Havlin,H. Eugene Stanley

Financial crises and the evaporation of trust

Kartik Anand,Prasanna Gai,Matteo Marsili

Finitely additive probabilities and the Fundamental Theorem of Asset Pricing

Constantinos Kardaras

Existence of Shadow Prices in Finite Probability Spaces

Jan Kallsen,Johannes Muhle-Karbe

Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times

Li Lin,Didier Sornette

A remark on Gatheral's 'most-likely path approximation' of implied volatility

Martin Keller-Ressel,Josef Teichmann

On the Performance of Delta Hedging Strategies in Exponential Lévy Models

Stephan Denkl,Martina Goy,Jan Kallsen,Johannes Muhle-Karbe,Arnd Pauwels

Asymptotic behavior of prices of path dependent options

Yuji Hishida,Kenji Yasutomi

Sign and amplitude representation of the forex networks

Sylwia Gworek,Jaroslaw Kwapien,Stanislaw Drozdz

Heterogeneous expectations and long range correlation of the volatility of asset returns

Jerome Coulon,Yannick Malevergne

Stock market volatility: An approach based on Tsallis entropy

Sonia R. Bentes,Rui Menezes,Diana A. Mendes

Solvable Stochastic Dealer Models for Financial Markets

Kenta Yamada,Hideki Takayasu,Takatoshi Ito,Misako Takayasu

Minimal Spanning Tree graphs and power like scaling in FOREX networks

A Z Gorski,S. Drozdz,J. Kwapien

Multiscaling behavior in the volatility return intervals of Chinese indices

Fei Ren,Wei-Xing Zhou

How markets slowly digest changes in supply and demand

Jean-Philippe Bouchaud,J. Doyne Farmer,Fabrizio Lillo

Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics

Sergey Zaitsev,Alexander Zaitsev,Andrei Leonidov,Vladimir Trainin

Evolution of the personal income distribution in the USA: High incomes

Ivan O. Kitov

Modeling the evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005

Ivan O. Kitov

Modelling real GDP per capita in the USA: cointegration test

Ivan O. Kitov,Oleg I. Kitov,Svetlana A. Dolinskaya

A multiscale view on inverse statistics and gain/loss asymmetry in financial time series

Johannes Vitalis Siven,Jeffrey Todd Lins,Jonas Lundbek Hansen

Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

V. Alfi,M. Cristelli,L. Pietronero,A. Zaccaria

A note on wealth in a volatile economy

M. Marsili

A Theory for Market Impact: How Order Flow Affects Stock Price

Austin Gerig

Fractional derivatives of random walks: Time series with long-time memory

H. Eduardo Roman,Markus Porto

Detrended fluctuation analysis of intertrade durations

Zhi-Qiang Jiang,Wei Chen,Wei-Xing Zhou

How to grow a bubble: A model of myopic adapting agents

Georges Harras,Didier Sornette

A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

D. Lemmens,M. Wouters,J. Tempere,S. Foulon

Market response to external events and interventions in spherical minority games

P. Papadopoulos,A. C. C. Coolen

On the probability distribution of stock returns in the Mike-Farmer model

Gao-Feng Gu,Wei-Xing Zhou

Using self-similarity and renormalization group to analyze time series

Giovanni Arcioni

Coherence-based multivariate analysis of high frequency stock market values

Donatello Materassi,Giacomo Innocenti

Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market

Tian Qiu,Liang Guo,Guang Chen

©2008-2020 OALib, Inc | Public user content licensed CC-BY 4.0 unless otherwise specified. OALib ISSN Online: 2333-9721 OALib ISSN Print: 2333-9705