Quantitative Finance

Authors and titles for January 2012

[1] arXiv:1201.0075 [pdf, other]

Title: Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance

Xiaoshan Chen, Qingshuo Song, Fahuai Yi, George Yin

Comments: 23 pages

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

[2] arXiv:1201.0106 [pdf, other]

Title: Saddlepoint methods in portfolio theory

Richard J Martin

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

[3] arXiv:1201.0111 [pdf, other]

Title: A CDS Option Miscellany

Richard J Martin

Comments: Minor corrections from 2017 version

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

[4] arXiv:1201.0433 [pdf, other]

Title: Random matrix approach to the dynamics of stock inventory variations

W.-X. Zhou (ECUST), G.-H. Mu (ECUST), J. Kertész (BME)

Comments: 10 REVTEX pages including 7 figures

Journal-ref: New Journal of Physics 14 (9), 093025 (2012)

Subjects: Statistical Finance (q-fin.ST)

[5] arXiv:1201.0625 [pdf, other]

Title: Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory

Leonidas Sandoval Junior, Adriana Bruscato, Maria Kelly Venezuela

Comments: 23 pages

Journal-ref: Physica A 410 (2013) 94-109

Subjects: Portfolio Management (q-fin.PM)

[6] arXiv:1201.0967 [pdf, other]

Title: Real Output Costs of Financial Crises: A Loss Distribution Approach

Daniel Kapp, Marco Vega

Comments: 31 pages, 10 figures

Subjects: Risk Management (q-fin.RM)

[7] arXiv:1201.1437 [pdf, other]

Title: Heat kernel methods in finance: the SABR model

Carmelo Vaccaro

Comments: 59 pages, no figures

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

[8] arXiv:1201.1483 [pdf, other]

Title: Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein, Birgit Rudloff

Journal-ref: Quantitative Finance 13 (9), 1473-1489, (2013)

Subjects: Risk Management (q-fin.RM)

[9] arXiv:1201.1535 [pdf, other]

Title: Understanding the source of multifractality in financial markets

Jozef Barunik, Tomaso Aste, Tiziana Di Matteo, Ruipeng Liu

Journal-ref: Physica A, 391 (17), pp. 4234-4251 (2012)

Subjects: Statistical Finance (q-fin.ST)

[10] arXiv:1201.1604 [pdf, other]

Title: Deriving consensus rankings via multicriteria decision making methodology

Amy Poh Ai Ling, Mohamad Nasir Saludin, Masao Mukaidono

Journal-ref: Business Strategy Series, Vol. 13 Iss: 1, pp.3 - 12 2012

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

[11] arXiv:1201.1782 [pdf, other]

Title: Smiles all around: FX joint calibration in a multi-Heston model

Alvise De Col (1), Alessandro Gnoatto (4), Martino Grasselli (2,3) ((1) UBS AG, (2) Università degli Studi di Padova - Dipartimento di Matematica, (3) Département Mathématiques et Ingénierie Financière, ESILV, Paris La Défense (France), (4) Mathematisches Institut, LMU München (Germany))

Comments: Journal of Banking and Finance. Accepted

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

[12] arXiv:1201.1783 [pdf, other]

Title: A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification

Davide La Torre, Marco Maggis

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[13] arXiv:1201.1788 [pdf, other]

Title: Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type

Marco Frittelli, Marco Maggis

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[14] arXiv:1201.1840 [pdf, other]

Title: Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Ulrich Horst, Michael Kupper, Andrea Macrina, Christoph Mainberger

Comments: 24 pages, 4 figures

Subjects: General Finance (q-fin.GN); Probability (math.PR)

[15] arXiv:1201.2024 [pdf, other]

Title: Modeling international crisis synchronization in the World Trade Web

Pau Erola, Albert Diaz-Guilera, Sergio Gomez, Alex Arenas

Journal-ref: Networks and Heterogeneous Media 7 (2012) 385-397

Subjects: General Finance (q-fin.GN)

[16] arXiv:1201.2257 [pdf, other]

Title: Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function

Marco Frittelli, Marco Maggis, Ilaria Peri

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[17] arXiv:1201.2616 [pdf, other]

Title: The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

C. Neri (Lloyds Banking Group, London, UK), L. Schneider (EMLYON Business School, Lyon, France)

Comments: 24 pages, 2 figures

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

[18] arXiv:1201.2825 [pdf, other]

Title: Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations

Hao Meng (ECUST), Fei Ren (ECUST), Gao-Feng Gu (ECUST), Xiong Xiong (TJU), Yong-Jie Zhang (TJU), Wei-Xing Zhou (ECUST), Wei Zhang (TJU)

Comments: 6 EPL pages including 6 figures

Journal-ref: EPL 98 (3), 38003 (2012)

Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

[19] arXiv:1201.3083 [pdf, other]

Title: The class of nonlinear stochastic models as a background for the bursty behavior in financial markets

Vygintas Gontis, Aleksejus Kononovicius, Stefan Reimann

Comments: 9 pages, 5 figures

Journal-ref: Advances in Complex Systems 15 (1), 2012, 1250071

Subjects: Statistical Finance (q-fin.ST)

[20] arXiv:1201.3473 [pdf, other]

Title: Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations

Ladislav Kristoufek

Comments: 6 pages, 4 figures

Journal-ref: EPL 95, 68001, 2011

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[21] arXiv:1201.3511 [pdf, other]

Title: How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

Ladislav Kristoufek

Comments: 15 pages, 6 tables

Journal-ref: Physica A 391(17), pp. 4252-4260, 2012

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[22] arXiv:1201.3572 [pdf, other]

Title: Quantifying reflexivity in financial markets: towards a prediction of flash crashes

Vladimir Filimonov, Didier Sornette

Journal-ref: Phys. Rev. E 85 (5), 056108 (2012)

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

[23] arXiv:1201.3580 [pdf, other]

Title: A drift formulation of Gresham's Law

Reginald D. Smith

Comments: 6 pages, 7 figures

Journal-ref: Hyperion international journal of econophysics & new economy, volume 5, issue 1, 2012, p. 71-84

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech); General Finance (q-fin.GN)

[24] arXiv:1201.3584 [pdf, other]

Title: Ecological analysis of world trade

Leonardo Ermann, Dima L. Shepelyansky

Comments: 5 pages, 6 figures (6 extra figures in Supporting Information)

Journal-ref: Phys. Lett. A 377, 250-256 (2013)

Subjects: General Finance (q-fin.GN); Statistical Mechanics (cond-mat.stat-mech); Social and Information Networks (cs.SI); Physics and Society (physics.soc-ph)

[25] arXiv:1201.3798 [pdf, other]

Title: No need for conspiracy: Self-organized cartel formation in a modified trust game

Tiago P. Peixoto, Stefan Bornholdt

Comments: 5 pages, 5 figures [fixes a typo in the text]

Journal-ref: Phys. Rev. Lett. 108, 218702 (2012)

Subjects: General Finance (q-fin.GN); Computer Science and Game Theory (cs.GT); Physics and Society (physics.soc-ph)

[26] arXiv:1201.4490 [pdf, other]

Title: Survivability and centrality measures for networks of financial market indices

Leonidas Sandoval Junior

Subjects: Statistical Finance (q-fin.ST)

[27] arXiv:1201.4580 [pdf, other]

Title: A non-linear model of trading mechanism on a financial market

N. Vvedenskaya, Y. Suhov, V. Belitsky

Comments: 15 pages, 1 figure

Journal-ref: Markov Processes and Related Fields, Vol. 19 (2013), 83--98

Subjects: Trading and Market Microstructure (q-fin.TR); Probability (math.PR)

[28] arXiv:1201.4586 [pdf, other]

Title: To lag or not to lag? How to compare indices of stock markets that operate at different times

Leonidas Sandoval Junior

Journal-ref: Physica A 403 (2014) 227-243

Subjects: General Finance (q-fin.GN)

[29] arXiv:1201.4776 [pdf, other]

Title: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha, Jozef Barunik

Journal-ref: Energy Economics 34(1), pp. 241--247 (2012)

Subjects: Statistical Finance (q-fin.ST)

[30] arXiv:1201.4781 [pdf, other]

Title: Monte Carlo-based tail exponent estimator

Jozef Barunik, Lukas Vacha

Journal-ref: Physica A: Statistical Mechanics and its Applications (2010), 389 (21), pp. 4863-4874

Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

[31] arXiv:1201.4786 [pdf, other]

Title: On Hurst exponent estimation under heavy-tailed distributions

Jozef Barunik, Ladislav Kristoufek

Journal-ref: Physica A: Statistical Mechanics and its Applications (2010), 389 (18), pp. 3844-3855

Subjects: Statistical Finance (q-fin.ST)

[32] arXiv:1201.4841 [pdf, other]

Title: Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]

Marcel R. Ausloos

Comments: 20 pages, 6 figures, 2 tables, 51 references; prepared for Physica A; now including title, author, address and abstract

Journal-ref: Physica A 391 (2012) 3190-97

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph)

[33] arXiv:1201.5132 [pdf, other]

Title: Quasi self-dual exponential L\'evy processes

Thorsten Rheinländer, Michael Schmutz

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[34] arXiv:1201.5448 [pdf, other]

Title: Determinants of immediate price impacts at the trade level in an emerging order-driven market

Wei-Xing Zhou (ECUST)

Comments: 21 IOP tex pages including 5 figures and 5 tables. Accepted for publication in New Journal of Physics

Journal-ref: New Journal of Physics 14 (2), 023055 (2012)

Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

[35] arXiv:1201.5690 [pdf, other]

Title: Heavy-tail driven by memory

Jongwook Kim, Gabjin Oh

Comments: This paper was withdrawn by the authors because of the change in authorship. The work is replaced by the new one with considerable improvement which is available at arXiv

Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST)

[36] arXiv:1201.6130 [pdf, other]

Title: Portfolio liquidation in dark pools in continuous time

Peter Kratz, Torsten Schöneborn

Subjects: Trading and Market Microstructure (q-fin.TR); Optimization and Control (math.OC)

[37] arXiv:1201.6137 [pdf, other]

Title: Modeling electricity spot prices using mean-reverting multifractal processes

Martin Rypdal, Ola Løvsletten

Comments: 13 pages, 4 figures, 2 tables

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[38] arXiv:1201.6340 [pdf, other]

Title: Mathematical Constraints on Financially Viable Public Policy

Martin Gremm, Mark B. Wise

Comments: 11 pages

Subjects: General Finance (q-fin.GN)

[39] arXiv:1201.6418 [pdf, other]

Title: Anti-correlation and subsector structure in financial systems

X.F. Jiang, B. Zheng

Comments: 6 pages, 2 figures, 4 tables

Journal-ref: EPL, 97 (2012) 48006

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

[40] arXiv:1201.6535 [pdf, other]

Title: Asymmetric correlation matrices: an analysis of financial data

Giacomo Livan, Luca Rebecchi

Comments: Revised version; 11 pages, 13 figures

Journal-ref: Eur. Phys. J. B 85, 213 (2012)

Subjects: Statistical Finance (q-fin.ST)

[41] arXiv:1201.6544 [pdf, other]

Title: A Random Matrix Approach to Dynamic Factors in macroeconomic data

Małgorzata Snarska

Comments: arXiv admin note: text overlap with arXiv:physics/0512090 by other authors

Journal-ref: ACTA PHYSICA POLONICA A Vol. 121 B (2012) 110-120

Subjects: Statistical Finance (q-fin.ST); Computational Physics (physics.comp-ph); Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph)

[42] arXiv:1201.0769 (cross-list from math.PR) [pdf, other]

Title: Robust utility maximization in non-dominated models with 2BSDEs

Anis Matoussi, Dylan Possamaï, Chao Zhou

Comments: 31 pages

Subjects: Probability (math.PR); General Finance (q-fin.GN)

[43] arXiv:1201.1151 (cross-list from stat.AP) [pdf, other]

Title: Futures pricing in electricity markets based on stable CARMA spot models

Fred Espen Benth, Claudia Klüppelberg, Gernot Müller, Linda Vos

Subjects: Applications (stat.AP); Pricing of Securities (q-fin.PR)

[44] arXiv:1201.1215 (cross-list from physics.soc-ph) [pdf, other]

Title: Triadic motifs and dyadic self-organization in the World Trade Network

Tiziano Squartini, Diego Garlaschelli

Comments: 12 pages, 3 figures; Best Paper Award at the 6th International Conference on Self-Organizing Systems, Delft, The Netherlands, 15-16/03/2012

Journal-ref: in Self-Organizing Systems (series: Lec. Notes Comp. Science 7166/2012), chapter 3, pp. 24-35, Springer (edited by F. A. Kuipers and P. E. Heegaard) (2012)

Subjects: Physics and Society (physics.soc-ph); Social and Information Networks (cs.SI); Data Analysis, Statistics and Probability (physics.data-an); General Finance (q-fin.GN)

[45] arXiv:1201.1623 (cross-list from cs.IR) [pdf, other]

Title: MultiDendrograms: Variable-Group Agglomerative Hierarchical Clusterings

Sergio Gomez, Justo Montiel, David Torres, Alberto Fernandez

Comments: Article upgraded to MultiDendrograms 3.0. Software available at this http URL

Subjects: Information Retrieval (cs.IR); Statistics Theory (math.ST); Computational Physics (physics.comp-ph); Data Analysis, Statistics and Probability (physics.data-an); Computational Finance (q-fin.CP); Computation (stat.CO)

[46] arXiv:1201.2756 (cross-list from math.OC) [pdf, other]

Title: Capacitary measures for completely monotone kernels via singular control

Aurélien Alfonsi (CERMICS), Alexander Schied

Subjects: Optimization and Control (math.OC); Computational Finance (q-fin.CP)

[47] arXiv:1201.2817 (cross-list from cond-mat.stat-mech) [pdf, other]

Title: On the concentration of large deviations for fat tailed distributions, with application to financial data

Mario Filiasi, Giacomo Livan, Matteo Marsili, Maria Peressi, Erik Vesselli, Elia Zarinelli

Comments: 38 pages, 12 figures

Subjects: Statistical Mechanics (cond-mat.stat-mech); Data Analysis, Statistics and Probability (physics.data-an); Risk Management (q-fin.RM)

[48] arXiv:1201.2899 (cross-list from stat.ME) [pdf, other]

Title: Parameter Estimation using Empirical Likelihood combined with Market Information

Steven Kou, Tony Sit, Zhiliang Ying

Subjects: Methodology (stat.ME); Pricing of Securities (q-fin.PR)

[49] arXiv:1201.3432 (cross-list from physics.soc-ph) [pdf, other]

Title: The leading digit distribution of the worldwide Illicit Financial Flows

Tariq Ahmad Mir

Comments: 13 pages, 10 figures, 6 tables, additional data analyis

Journal-ref: Quality & Quantity, 50 (2016) 271-281

Subjects: Physics and Society (physics.soc-ph); Data Analysis, Statistics and Probability (physics.data-an); General Finance (q-fin.GN)

[50] arXiv:1201.3851 (cross-list from cs.AI) [pdf, other]

Title: Combinatorial Modelling and Learning with Prediction Markets

Jinli Hu

Subjects: Artificial Intelligence (cs.AI); Computer Science and Game Theory (cs.GT); Trading and Market Microstructure (q-fin.TR)