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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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Perpetual American options within CTRW's

Miquel Montero

Analytical modelling of terminal properties in industrial growth

Arnabi Marjit,Sudipto Marjit,Arnab K. Ray

On the Topological Properties of the World Trade Web: A Weighted Network Analysis

Giorgio Fagiolo,Javier Reyes,Stefano Schiavo

Time reversal invariance in finance

Gilles Zumbach

Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle

Dirk Tasche

Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History

Marie-Thérèse Boyer-Xambeu,Ghislain Deleplace,Patrice Gaubert,Lucien Gillard,Madalina Olteanu

Common Markets, Strong Currencies & the Collective Welfare

Esteban Guevara

Kinetic Economies

Wan Ahmad Tajuddin Wan Abdullah,Sidiq Mohamad Khidzir

Phase transition in the rich-get-richer mechanism due to finite-size effects

James P. Bagrow,Jie Sun,Daniel ben-Avraham

Financial Variables Effect on the U.S. Gross Private Domestic Investment (GPDI) 1959-2001

Byron E. Bell

On the transition to efficiency in Minority Games

Tobias Galla,Andrea De Martino

Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

Xiao-Hui Ni,Wei-Xing Zhou

Quasistatically varying log-normal distribution in the middle scale region of Japanese land prices

Atushi Ishikawa

Divergent estimation error in portfolio optimization and in linear regression

Imre Kondor,Istvan Varga-Haszonits

The k-generalized distribution: A new descriptive model for the size distribution of incomes

F. Clementi,T. Di Matteo,M. Gallegati,G. Kaniadakis

Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets

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

Smearing Distributions and their use in Financial Markets

Petr Jizba,Hagen Kleinert

The value of information in financial markets: An agent-based simulation

Bence Toth,Enrico Scalas

Empirical regularities of order placement in the Chinese stock market

Gao-Feng Gu,Wei Chen,Wei-Xing Zhou

Two Fractal Overlap Time Series: Earthquakes and Market Crashes

Bikas K. Chakrabarti,Arnab Chatterjee,Pratip Bhattacharyya

Market Model with Heterogeneous Buyers

Matus Medo,Yi-Cheng Zhang

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

Gunter M. Schütz,Fernando Pigeard de Almeida Prado,Rosemary J. Harris,Vladimir Belitsky

Detecting anchoring in financial markets

Jorgen Vitting Andersen

The log-normal distribution from Non-Gibrat's law in the middle scale region of profits

Atushi Ishikawa

A Comparative Study of Stochastic Volatility Models

E. Cisana,L. Fermi,G. Montagna,O. Nicrosini

Entropy and Uncertainty Analysis in Financial Markets

Andreia Dionisio,Rui Menezes,Diana A. Mendes

Volatility return intervals analysis of the Japanese market

Woo-Sung Jung,Fengzhong Wang,Shlomo Havlin,Taisei Kaizoji,Hie-Tae Moon,H. Eugene Stanley

Hiking the hypercube: producers and consumers

Tanya Araújo,Gérard Weisbuch

Heterogeneity and Increasing Returns May Drive Socio-Economic Transitions

Gérard Weisbuch,Vincent Buskens,Luat Vuong

The Quantum Black-Scholes Equation

Luigi Accardi,Andreas Boukas

Multifractality in stock indexes: Fact or fiction?

Zhi-Qiang Jiang,Wei-Xing Zhou

The minority game: An economics perspective

Willemien Kets

A Brief History of Economics: An Outsider's Account

Bikas K Chakrabarti

Quantum Auctions: Facts and Myths

E. W. Piotrowski,J. Sladkowski

A Markov process associated with plot-size distribution in Czech Land Registry and its number-theoretic properties

Pavel Exner,Petr ？eba

A threshold model of financial markets

Pawe？ Sieczka,Janusz A. Ho？yst

The market efficiency in the stock markets

Jae-Suk Yang,Wooseop Kwak,Taisei Kaizoji,In-mook Kim

On the origin of the Epps effect

Bence Toth,Janos Kertesz

A case study of speculative financial bubbles in the South African stock market 2003-2006

Wei-Xing Zhou,Didier Sornette

Structurally dynamic spin market networks

D. Horvath,Z. Kuscsik

The uniqueness of company size distribution function from tent-shaped growth rate distribution

Atushi Ishikawa

Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory

Joseph L. McCauley

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Carl Chiarella,Giulia Iori,Josep Perello

Empirics versus RMT in financial cross-correlations

S. Drozdz,J. Kwapien,P. Oswiecimka

Renewal equations for option pricing

Miquel Montero

Credit risk - A structural model with jumps and correlations

Rudi Sch？fer,Markus Sj？lin,Andreas Sundin,Michal Wolanski,Thomas Guhr

The International Trade Network

K. Bhattacharya,G. Mukherjee,S. S. Manna

Sparse and stable Markowitz portfolios

Joshua Brodie,Ingrid Daubechies,Christine De Mol,Domenico Giannone,Ignace Loris

Maximum Entropy, the Collective Welfare Principle and the Globalization Process

Esteban Guevara

Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

Zhi-Qiang Jiang,Liang Guo,Wei-Xing Zhou

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