Quantitative Finance

Authors and titles for February 2009

[1] arXiv:0902.0100 [pdf, other]

Title: The Reality Game

Dmitriy Cherkashin, J. Doyne Farmer, Seth Lloyd

Comments: 21 pages, 5 figures

Subjects: General Finance (q-fin.GN)

[2] arXiv:0902.0188 [pdf, other]

Title: A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment

Subrata Chakrabarty

Journal-ref: Proceedings of the 39th Hawaii International Conference on System Sciences 1 (2006) 1-10

Subjects: General Finance (q-fin.GN)

[3] arXiv:0902.0504 [pdf, other]

Title: The role of a matchmaker in buyer-vendor interactions

Linyuan Lü, Matus Medo, Yi-Cheng Zhang

Comments: 7 pages, 5 figures, minor modifications

Journal-ref: European Physical Journal B 71, 565-571 (2009)

Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)

[4] arXiv:0902.0713 [pdf, other]

Title: Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]

Amparo Baillo

Comments: 3 pages

Subjects: Statistical Finance (q-fin.ST)

[5] arXiv:0902.0878 [pdf, other]

Title: Backbone of complex networks of corporations: The flow of control

J.B. Glattfelder, S. Battiston

Comments: 24 pages, 12 figures, 2nd version (text made more concise and readable, results unchanged)

Journal-ref: Phys. Rev. E 80, 036104 (2009)

Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph)

[6] arXiv:0902.1576 [pdf, other]

Title: A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms

H. Iyetomi, H. Aoyama, Y. Fujiwara, Y. Ikeda, W. Souma

Comments: 27pages, including 15 figures and 4 tables. Revised extensively in Ver.3 (Nov. 2010)

Subjects: General Finance (q-fin.GN); Statistical Finance (q-fin.ST)

[7] arXiv:0902.1721 [pdf, other]

Title: Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives

Rasoul Behboudi, You-Lan Zhu

Subjects: Computational Finance (q-fin.CP); Analysis of PDEs (math.AP); Numerical Analysis (math.NA)

[8] arXiv:0902.2065 [pdf, other]

Title: Emergence of Power Law in a Market with Mixed Models

M. Ali Saif, Prashant M. Gade

Comments: 18 pages and 9 figures

Journal-ref: Physica A 384 (2007) 448

Subjects: Trading and Market Microstructure (q-fin.TR)

[9] arXiv:0902.2070 [pdf, other]

Title: Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models

M. Ali Saif, Prashant M. Gade

Comments: 15 pages and 6 figures

Journal-ref: Physica A 388 (2009) 697

Subjects: Trading and Market Microstructure (q-fin.TR)

[10] arXiv:0902.2429 [pdf, other]

Title: A Unified Framework for Dynamic Pari-Mutuel Information Market Design

Shipra Agrawal, Erick Delage, Mark Peters, Zizhuo Wang, Yinyu Ye

Subjects: Trading and Market Microstructure (q-fin.TR)

[11] arXiv:0902.2516 [pdf, other]

Title: Optimal Trade Execution in Illiquid Markets

Erhan Bayraktar, Mike Ludkovski

Journal-ref: Mathematical Finance 21(4), pp. 681-701, 2011

Subjects: Trading and Market Microstructure (q-fin.TR)

[12] arXiv:0902.2735 [pdf, other]

Title: First-passage and risk evaluation under stochastic volatility

Jaume Masoliver, Josep Perello

Comments: 36 pages, 11 figures

Journal-ref: Phys. Rev. E 80, 016108 (2009) [15 pages]

Subjects: Statistical Finance (q-fin.ST); Risk Management (q-fin.RM)

[13] arXiv:0902.2756 [pdf, other]

Title: Monitoring dates of maximal risk

Erick Trevino Aguilar

Comments: Working Paper

Subjects: Risk Management (q-fin.RM)

[14] arXiv:0902.2965 [pdf, other]

Title: Optimal leverage from non-ergodicity

Ole Peters

Comments: 17 pages, 3 figures. Updated figures and extended discussion of ergodicity

Journal-ref: Quant. Fin., Vol. 11, Issue 11, 1593--1602, 2011 (open access)

Subjects: Risk Management (q-fin.RM); Portfolio Management (q-fin.PM)

[15] arXiv:0902.3456 [pdf, other]

Title: On the valuation of compositions in L\'evy term structure models

Wolfgang Kluge, Antonis Papapantoleon

Comments: 17 pages, 2 figures, to appear in Quant. Finance

Journal-ref: Quantitative Finance 2009, Vol. 9, No. 8, 951-959

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[16] arXiv:0902.3643 [pdf, other]

Title: A Fourier transform method for spread option pricing

T. R. Hurd, Zhuowei Zhou

Comments: 16 pages, 3 figures

Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[17] arXiv:0902.3836 [pdf, other]

Title: The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets

Cheoljun Eom, Jongwon Park, Woo-Sung Jung, Taisei Kaizoji, Yong H. Kim

Subjects: Portfolio Management (q-fin.PM); Statistical Finance (q-fin.ST)

[18] arXiv:0902.3840 [pdf, other]

Title: Scale Invariance, Bounded Rationality and Non-Equilibrium Economics

Samuel E. Vazquez

Comments: 40 pages, 17 figs

Subjects: Trading and Market Microstructure (q-fin.TR)

[19] arXiv:0902.4159 [pdf, other]

Title: Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

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

Comments: 18 pages, 7 figures

Subjects: Trading and Market Microstructure (q-fin.TR)

[20] arXiv:0902.4245 [pdf, other]

Title: T-Systems and the lower Snell envelope

Erick Trevino Aguilar

Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[21] arXiv:0902.4274 [pdf, other]

Title: Time and symmetry in models of economic markets

Lee Smolin

Comments: 41 pages, one figure

Subjects: General Finance (q-fin.GN)

[22] arXiv:0902.4684 [pdf, other]

Title: Quantized Interest Rate at the Money for American Options

L.M. Dieng

Comments: 10 pages, 1 figure. Presented at the American Physical Society meeting

Subjects: Pricing of Securities (q-fin.PR)

[23] arXiv:0902.0075 (cross-list from physics.soc-ph) [pdf, other]

Title: A k-generalized statistical mechanics approach to income analysis

F. Clementi, M. Gallegati, G. Kaniadakis

Comments: LaTeX2e; 15 pages with 1 figure; corrected typos

Journal-ref: Journal of Statistical Mechanics: Theory and Experiment, 16 February 2009, start page: P02037

Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Statistical Finance (q-fin.ST)

[24] arXiv:0902.1328 (cross-list from math.PR) [pdf, other]

Title: On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation

Laurent Carraro, Nicole El Karoui, Jan Obłój

Comments: Published in at this http URL the Annals of Probability (this http URL) by the Institute of Mathematical Statistics (this http URL)

Journal-ref: Annals of Probability 2012, Vol. 40, No. 1, 372-400

Subjects: Probability (math.PR); Pricing of Securities (q-fin.PR)

[25] arXiv:0902.2479 (cross-list from math.OC) [pdf, other]

Title: Regularity of the Optimal Stopping Problem for Jump Diffusions

Erhan Bayraktar, Hao Xing

Comments: To Appear in the SIAM Journal on Control and Optimization

Subjects: Optimization and Control (math.OC); Probability (math.PR); Pricing of Securities (q-fin.PR)