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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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What drives mutual fund asset concentration?

Yonathan Schwarzkopf,J. Doyne Farmer

Emergence of long memory in stock volatility from a modified Mike-Farmer model

Gao-Feng Gu,Wei-Xing Zhou

Random matrix theory and the evolution of business cycle synchronisation 1886-2006

Paul Ormerod

Scaling and efficiency determine the irreversible evolution of a market

Fulvio Baldovin,Attilio L. Stella

The exponentially truncated q-distribution: A generalized distribution for real complex systems

Hari M. Gupta,Jose R. Campanha

The evolution of EU business cycle synchronisation 1981-2007

Paul Ormerod

Taxes in a simple wealth distribution model by inelastically scattering particles

Sebastian D. Guala

Detecting speculative bubbles created in experiments via decoupling in agent based models

Magda Roszczynska,Andrzej Nowak,Daniel Kamieniarz,Sorin Solomon,Jorgen Vitting Andersen

Modelling interest rates by correlated multi-factor CIR-like processes

L. Bertini,L. Passalacqua

Stochastic calculus for uncoupled continuous-time random walks

Guido Germano,Mauro Politi,Enrico Scalas,René L. Schilling

Criticality Characteristics of Current Oil Price Dynamics

Stanislaw Drozdz,Jaroslaw Kwapien,Pawel Oswiecimka

Dynamic modeling of mean-reverting spreads for statistical arbitrage

Kostas Triantafyllopoulos,Giovanni Montana

Breakdown of the mean-field approximation in a wealth distribution model

Matus Medo

Economics need a scientific revolution

Jean-Philippe Bouchaud

Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

J. B. Glattfelder,A. Dupuis,R. B. Olsen

Exact prediction of S&P 500 returns

Ivan O. Kitov,Oleg I. Kitov

Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect

Simone Bianco,Fulvio Corsi,Roberto Reno'

Modelling the transition from a socialist to capitalist economic system

Ivan O. Kitov

Real GDP per capita in developed countries

Ivan O. Kitov

Modelling the average income dependence on work experience

Ivan O. Kitov

The Problem of Modelling of Economic Dynamics in Differential Form

S. I. Chernyshov,V. S. Ponomarenko,A. V. Voronin

Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Alexander Shapovalov,Andrey Trifonov,Elena Masalova

Different fractal properties of positive and negative returns

P. Oswiecimka,J. Kwapien,S. Drozdz,A. Z. Gorski,R. Rak

Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)

éva Rácz,Zoltán Eisler,János Kertész

Emergence of product differentiation from consumer heterogeneity and asymmetric information

Linyuan Lü,Matus Medo,Yi-Cheng Zhang,Damien Challet

Mathematical analysis of long tail economy using stochastic ranking processes

Kumiko Hattori,Tetsuya Hattori

Business Cycle and Conserved Quantity in Economics

Masa-aki Taniguchi,Masako Bando,Akihiro Nakayama

The virtues and vices of equilibrium and the future of financial economics

J. Doyne Farmer,John Geanakoplos

Feasibility of Portfolio Optimization under Coherent Risk Measures

Imre Kondor,Istvan Varga-Haszonits

Global recessions as a cascade phenomenon with heterogenous, interacting agents

Paul Ormerod

Consequences of increased longevity for wealth, fertility, and population growth

Aleksandar Bogojevic,Antun Balaz,Rasa Karapandza

The structural role of weak and strong links in a financial market network

Antonios Garas,Panos Argyrakis,Shlomo Havlin

The universal shape of economic recession and recovery after a shock

Damien Challet,Sorin Solomon,Gur Yaari

Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps

Damiano Brigo,Agostino Capponi

An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Damiano Brigo,Naoufel El-Bachir

Measuring expectations in options markets: An application to the SP500 index

Abel Rodriguez,Enrique ter Horst

Steady coexistence of the subjects of the market representing the private and state capital

Viktor I. Shapovalov

A Stochastic Processes Toolkit for Risk Management

Damiano Brigo,Antonio Dalessandro,Matthias Neugebauer,Fares Triki

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Jianqing Fan,Jingjin Zhang,Ke Yu

Probability of Large Movements in Financial Markets

Robert Kitt,Maksim Sakki,Jaan Kalda

Correlated Random Walks and the Joint Survival Probability

Mark B. Wise,Vineer Bhansali

Optimal dividend distribution under Markov-regime switching

Zhengjun Jiang,Martijn Pistorius

Economic law of increase of Kolmogorov complexity. Transition from financial crisis 2008 to the zero-order phase transition (social explosion)

V. P. Maslov

On the Financial Crisis 2008 from a Physicist's viewpoint: A Spin-Glass Interpretation

U. Krey

Analysing tax evasion dynamics via the Ising model

Georg Zaklan,Frank Westerhoff,Dietrich Stauffer

From short to fat tails in financial markets: A unified description

A. A. G. Cortines,R. Riera,C. Anteneodo

Direct evidence for inversion formula in multifractal financial volatility measure

Zhi-Qiang Jiang,Wei-Xing Zhou

Trading Model with Pair Pattern Strategies

F. Ren,Y. -C. Zhang

Critical comparison of several order-book models for stock-market fluctuations

Frantisek Slanina

Multifractal analysis of Chinese stock volatilities based on partition function approach

Zhi-Qiang Jiang,Wei-Xing Zhou

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