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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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Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices

Mircea Gligor,Marcel Ausloos

Theory of market fluctuations

S. V. Panyukov

Scaling in the distribution of intertrade durations of Chinese stocks

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

Role of scaling in the statistical modeling of finance

Attilio L. Stella,Fulvio Baldovin

Topological identification in networks of dynamical systems

Donatello W. Materassi,Giacomo W. Innocenti

Time vs. Ensemble Averages for Nonstationary Time Series

Joseph L. McCauley

Moving Mini-Max - a new indicator for technical analysis

Z. K. Silagadze

Pricing and hedging barrier options in a hyper-exponential additive model

Marc Jeannin,Martijn Pistorius

A Finite Element Framework for Option Pricing with the Bates Model

Edie Miglio,Carlo Sgarra

Multivariate stochastic volatility using state space models

K. Triantafyllopoulos

Constant Maturity Credit Default Swap Pricing with Market Models

Damiano Brigo

Illiquidity and Derivative Valuation

Ulrich Horst,Felix Naujokat

Default correlation, cluster dynamics and single names: The GPCL dynamical loss model

Damiano Brigo,Andrea Pallavicini,Roberto Torresetti

A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions

Bjorn Eriksson,Martijn Pistorius

A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes

Marc Jeannin,Martijn Pistorius

The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation

Damiano Brigo

Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis

Massimo Morini,Damiano Brigo

Perpetual American vanilla option pricing under single regime change risk. An exhaustive study

Miquel Montero

Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing

Damiano Brigo,Fabio Mercurio

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

Guo-Hua Mu,Wei Chen,János Kertész,Wei-Xing Zhou

The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market

Daniel J. Fenn,Sam D. Howison,Mark McDonald,Stacy Williams,Neil F. Johnson

Boom and bust in continuous time evolving economic model

Lawrence Mitchell,G. J. Ackland

On properties of Continuous-Time Random Walks with Non-Poissonian jump-times

Javier Villarroel,Miquel Montero

On three filtering problems arising in mathematical finance

Damiano Brigo,Bernard Hanzon

Multifactor Analysis of Multiscaling in Volatility Return Intervals

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

Changes in the Distribution of Income Volatility

Shane T. Jensen,Stephen H. Shore

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel,Didier Sornette,Peter Wohrmann

Volatility Effects on the Escape Time in Financial Market Models

Bernardo Spagnolo,Davide Valenti

An Apology for Money

Karl Svozil

Mathematics underlying the 2008 financial crisis, and a possible remedy

V. P. Maslov,V. E. Nazaikinskii

The instability of downside risk measures

Istvan Varga-Haszonits,Imre Kondor

A model for interevent times with long tails and multifractality in human communications: An application to financial trading

J. Perello,J. Masoliver,A. Kasprzak,R. Kutner

How to quantify the influence of correlations on investment diversification

Matus Medo,Chi Ho Yeung,Yi-Cheng Zhang

Probability distribution of returns in the exponential Ornstein-Uhlenbeck model

Giacomo Bormetti,Valentina Cazzola,Guido Montagna,Oreste Nicrosini

Effects of time dependency and efficiency on information flow in financial markets

Cheoljun Eom,Woo-Sung Jung,Sunghoon Choi,Gabjin Oh,Seunghwan Kim

Current log-periodic view on future world market development

Stanislaw Drozdz,Jaroslaw Kwapien,Pawel Oswiecimka,Josef Speth

Information flow between stock indices

Okyu Kwon,Jae-Suk Yang

Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes

Yu. A Kuperin,R. R. Schastlivtsev

Multivariate stochastic volatility with Bayesian dynamic linear models

K. Triantafyllopoulos

Intermittency and Localization

G. Yaari,D. Stauffer,S. Solomon

A theoretical approach for Pareto-Zipf law

Caglar Tuncay

Finite-time singularity in the evolution of hyperinflation episodes

Martin A. Szybisz,Leszek Szybisz

Gamma-distribution and wealth inequality

Anirban Chakraborti,Marco Patriarca

Forecasting with time-varying vector autoregressive models

K. Triantafyllopoulos

Market bubbles and crashes

T. Kaizoji,D. Sornette

Emergence of firms in $(d+1)$-dimensional work space

G. Weisbuch,D. Stauffer,D. Mangalagiu,R. Ben-Av,S. Solomon

Parametric and nonparametric models and methods in financial econometrics

Zhibiao Zhao

Econometrics as Sorcery

G. Innocenti,D. Materassi

Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets

V. Alfi,L. Pietronero,A. Zaccaria

Shelf space strategy in long-tail markets

R. Alexander Bentley,Paul Ormerod,Mark E. Madsen

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