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ISSN: 2333-9721
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Quantitative Finance

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主页: http://arxiv.org/archive/q-fin

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A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles

D. Sornette,J. V. Andersen

Wealth Condensation in Pareto Macro-Economies

Z. Burda,D. Johnston,J. Jurkiewicz,M. Kaminski,M. A. Nowak,G. Papp,I. Zahed

The mechanism of double exponential growth in hyper-inflation

Takayuki Mizuno,Misako Takayasu,Hideki Takayasu

Calculating Value-at-Risk contributions in CreditRisk+

Hermann Haaf,Dirk Tasche

The origin of fat tailed distributions in financial time series

G. M. Viswanathan,U. L. Fulco,M. L. Lyra,M. Serva

A quantitative model of trading and price formation in financial markets

Marcus G. Daniels,J. Doyne Farmer,Laszlo Gillemot,Giulia Iori,Eric Smith

Stability of money: Phase transitions in an Ising economy

Stefan Bornholdt,Friedrich Wagner

Ordered phase and non-equilibrium fluctuation in stock market

Jun-ichi Maskawa

Quantum Field Theory of Forward Rates with Stochastic Volatility

Belal E. Baaquie

Microscopic Models of Financial Markets

E. Samanidou,E. Zschischang,D. Stauffer,T. Lux

Nucleation of Market Shocks in Sornette-Ide model

Ana Proykova,Lena Roussenova,Dietrich Stauffer

Stochastic Multiplicative Processes for Financial Markets

Zhi-Feng Huang,Sorin Solomon

Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise

A. C. C. Coolen,J. A. F. Heimel,D. Sherrington

Quantifying Stock Price Response to Demand Fluctuations

Vasiliki Plerou,Parameswaran Gopikrishnan,Xavier Gabaix,H. Eugene Stanley

Power law relaxation in a complex system: Omori law after a financial market crash

Fabrizio Lillo,Rosario N. Mantegna

Return or stock price differences

Jaume Masoliver,Miquel Montero,Josep Perello

Gradually Truncated Log-normal distribution - Size distribution of firms

Hari M. Gupta,Jose R. Campanha

Criticality in a model of banking crises

Giulia Iori,Saqib Jafarey

Algorithmic Complexity in Real Financial Markets

R. Mansilla

Levels of complexity in financial markets

Giovanni Bonanno,Fabrizio Lillo,Rosario N. Mantegna

Market ecology of active and passive investors

Andrea Capocci,Yi-Cheng Zhang

Mean-field approximation for a limit order driven market model

Frantisek Slanina

Liquid markets and market liquids: collective and single-asset dynamics in financial markets

G. Cuniberti,L. Matassini

Coarse-graining and Self-similarity of Price Fluctuations

Yoshi Fujiwara,Hirokazu Fujisaka

A Random Matrix Approach to Cross-Correlations in Financial Data

V. Plerou,P. Gopikrishnan,B. Rosenow,L. A. N. Amaral,T. Guhr,H. E. Stanley

Broken ergodicity and memory in the minority game

J. A. F. Heimel,A. De Martino

Decomposing the stock market intraday dynamics

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

Financial Market Dynamics

Fredrick Michael,M. D. Johnson

Forecasting Uncertain Events with Small Groups

Kay-Yut Chen,Leslie R. Fine,Bernardo A. Huberman

Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets

Ingve Simonsen

Agent-based simulation of a financial market

Marco Raberto,Silvano Cincotti,Sergio M. Focardi,Michele Marchesi

The domino effect for markets

Christian Schulze

False EUR exchange rates vs. DKK, CHF, JPY and USD. What is a strong currency?

K. Ivanova,M. Ausloos

Finite market size as a source of extreme wealth inequality and market instability

Zhi-Feng Huang,Sorin Solomon

How Traders enter the Market through the Book

Lorenzo Matassini,Fabio Franci

Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets

Szilard Pafka,Imre Kondor

Measures of globalization based on cross-correlations of world financial indices

Sergei Maslov

Dynamics of correlations in the stock market

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

Analyzing and modelling 1+1d markets

Damien Challet,Robin Stinchcombe

Portfolio Optimization and the Random Magnet Problem

B. Rosenow,V. Plerou,P. Gopikrishnan,H. E. Stanley

Time-reversal asymmetry in Cont-Bouchaud stock market model

Iksoo Chang,Dietrich Stauffer

Why Financial Markets Will Remain Marginally Inefficient?

Yi-Cheng Zhang

Application of multi-agent games to the prediction of financial time-series

N. F. Johnson,D. Lamper,P. Jefferies,M. L. Hart,S. Howison

Price fluctuations from the order book perspective - empirical facts and a simple model

Sergei Maslov,Mark Mills

To sell or not to sell? Behavior of shareholders during price collapses

Bertrand M. Roehner

A process-reconstruction analysis of market fluctuations

R. Vilela Mendes,R. Lima,T. Araujo

Power Laws of Wealth, Market Order Volumes and Market Returns

Sorin Solomon,Peter Richmond

Markov properties of high frequency exchange rate data

C. Renner,J. Peinke,R. Friedrich

From Rational Bubbles to Crashes

D. Sornette,Y. Malevergne

Multifractal fluctuations in finance

F. Schmitt,D. Schertzer,S. Lovejoy

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