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arXiv.org / Quantitative Finance Papers Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.
Most cited documents in this series: (1) RePEc:arx:papers:cond-mat/9804100 Universal features in the growth dynamics of complex organizations (1998). (2) RePEc:arx:papers:cond-mat/0307332 Fluctuations and response in financial markets: the subtle nature of
`random price changes (2003). (3) RePEc:arx:papers:cond-mat/0311053 The long memory of the efficient market (2004). (4) RePEc:arx:papers:cond-mat/0106520 Significance of log-periodic precursors to financial crashes (2001). (5) RePEc:arx:papers:0708.2090 The Product Space Conditions the Development of Nations (2007). (6) RePEc:arx:papers:cond-mat/9907161 Scaling of the distribution of price fluctuations of individual
companies (1999). (7) RePEc:arx:papers:cond-mat/9705087 Scaling in stock market data: stable laws and beyond (1997). (8) RePEc:arx:papers:cond-mat/9702082 Scaling behavior in economics: I. Empirical results for company growth (1997). (9) RePEc:arx:papers:physics/0512005 The Growth of Business Firms: Theoretical Framework and Empirical
Evidence (2005). (10) RePEc:arx:papers:cond-mat/0103600 Agent-based simulation of a financial market (2001). (11) RePEc:arx:papers:physics/0502066 Structure and Evolution of the World Trade Network (2005). (12) RePEc:arx:papers:cond-mat/0104295 On the coherence of Expected Shortfall (2002). (13) RePEc:arx:papers:cond-mat/0403051 Fitness-dependent topological properties of the World Trade Web (2004). (14) RePEc:arx:papers:cond-mat/9905305 Scaling of the distribution of fluctuations of financial market indices (1999). (15) RePEc:arx:papers:cond-mat/0111310 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences (2001). (16) RePEc:arx:papers:cond-mat/9709118 A Prototype Model of Stock Exchange (1997). (17) RePEc:arx:papers:cond-mat/0401300 Networks of equities in financial markets (2004). (18) RePEc:arx:papers:cond-mat/0006454 Fractional calculus and continuous-time finance II: the waiting-time
distribution (2000). (19) RePEc:arx:papers:math/0405293 Optimal investment with random endowments in incomplete markets (2004). (20) RePEc:arx:papers:cond-mat/0312703 What really causes large price changes? (2004). (21) RePEc:arx:papers:cond-mat/9903369 The statistical properties of the volatility of price fluctuations (1999). (22) RePEc:arx:papers:cond-mat/0004263 The Nasdaq crash of April 2000: Yet another example of log-periodicity
in a speculative bubble ending in a crash (2000). (23) RePEc:arx:papers:0708.1756 Optimal execution strategies in limit order books with general shape
functions (2010). (24) RePEc:arx:papers:cond-mat/0310061 Do Pareto-Zipf and Gibrat laws hold true? An analysis with European
Firms (2003). (25) RePEc:arx:papers:cond-mat/0104341 A Nonlinear Super-Exponential Rational Model of Speculative Financial
Bubbles (2002). (26) RePEc:arx:papers:cond-mat/0008113 Statistical Properties of Share Volume Traded in Financial Markets (2000). (27) RePEc:arx:papers:cond-mat/0203046 Probability distribution of returns in the Heston model with stochastic
volatility (2002). (28) RePEc:arx:papers:cond-mat/0401225 Exponential distribution of financial returns at mesoscopic time lags: a
new stylized fact (2004). (29) RePEc:arx:papers:cond-mat/0106657 Quantifying Stock Price Response to Demand Fluctuations (2001). (30) RePEc:arx:papers:cond-mat/0202527 Volatility in Financial Markets: Stochastic Models and Empirical Results (2002). (31) RePEc:arx:papers:cond-mat/9702085 Scaling behavior in economics: II. Modeling of company growth (1997). (32) RePEc:arx:papers:cond-mat/0004256 Statistical mechanics of money: How saving propensity affects its
distribution (2000). (33) RePEc:arx:papers:cond-mat/0301543 Critical Market Crashes (2003). (34) RePEc:arx:papers:cond-mat/0102423 Power Laws of Wealth, Market Order Volumes and Market Returns (2001). (35) RePEc:arx:papers:cond-mat/9909265 Modeling Market Mechanism with Minority Game (1999). (36) RePEc:arx:papers:cond-mat/0309233 The Predictive Power of Zero Intelligence in Financial Markets (2004). (37) RePEc:arx:papers:cond-mat/0106114 Analyzing and modelling 1+1d markets (2001). (38) RePEc:arx:papers:cond-mat/0209065 The US 2000-2002 Market Descent: How Much Longer and Deeper? (2002). (39) RePEc:arx:papers:cond-mat/0309416 On the origin of power law tails in price fluctuations (2004). (40) RePEc:arx:papers:cond-mat/0311581 Tobin tax and market depth (2003). (41) RePEc:arx:papers:0912.3028 Credit Default Swap Calibration and Equity Swap Valuation under
Counterparty Risk with a Tractable Structural Model (2009). (42) RePEc:arx:papers:cond-mat/0210475 Statistical theory of the continuous double auction (2002). (43) RePEc:arx:papers:hep-th/9710148 Physics of Finance (1997). (44) RePEc:arx:papers:0812.4199 An exact formula for default swaptions pricing in the SSRJD stochastic
intensity model (2008). (45) RePEc:arx:papers:cond-mat/0103544 Exponential and power-law probability distributions of wealth and income
in the United Kingdom and the United States (2001). (46) RePEc:arx:papers:cond-mat/0102305 From Rational Bubbles to Crashes (2001). (47) RePEc:arx:papers:cond-mat/9901035 Critical Crashes (1999). (48) RePEc:arx:papers:cond-mat/0301289 Pareto Law in a Kinetic Model of Market with Random Saving Propensity (2004). (49) RePEc:arx:papers:0812.2449 Market bubbles and crashes (2008). (50) RePEc:arx:papers:physics/0303028 2000-2003 Real Estate Bubble in the UK but not in the USA (2003). Recent citations received in: | 2008 | 2007 | 2006 | 2005 Recent citations received in: 2008 (1) RePEc:arx:papers:0801.4305 Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments (2008). arXiv.org / Quantitative Finance Papers (2) RePEc:arx:papers:0802.3541 Intermittency and Localization (2008). arXiv.org / Quantitative Finance Papers (3) RePEc:arx:papers:0807.3464 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models (2008). arXiv.org / Quantitative Finance Papers (4) RePEc:arx:papers:0809.4781 On contingent claims pricing in incomplete markets: A risk sharing approach (2008). arXiv.org / Quantitative Finance Papers (5) RePEc:arx:papers:0811.0490 Modelling real GDP per capita in the USA: cointegration test (2008). arXiv.org / Quantitative Finance Papers (6) RePEc:arx:papers:0812.4052 The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation (2008). arXiv.org / Quantitative Finance Papers (7) RePEc:arx:papers:0812.4978 Optimal dividend distribution under Markov-regime switching (2008). arXiv.org / Quantitative Finance Papers (8) RePEc:ces:ceswps:_2465 The Great Risk Shift? Income Volatility in an International Perspective (2008). CESifo GmbH / CESifo Working Paper Series (9) RePEc:nbr:nberwo:14465 What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data (2008). National Bureau of Economic Research, Inc / NBER Working Papers (10) RePEc:rdg:icmadp:icma-dp2008-06 An analytically tractable time-changed jump-diffusion default intensity model (2008). (11) RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468 Pricing by hedging and no-arbitrage beyond semimartingales (2008). Finance and Stochastics (12) RePEc:zbw:ifwedp:7463 Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors (2008). Kiel Institute for the World Economy / Economics Discussion Papers Recent citations received in: 2007 (1) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers (2) RePEc:ams:ndfwpp:07-14 Asset Prices, Traders Behavior, and Market Design (2007). Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance / CeNDEF Working Papers (3) RePEc:arx:papers:0710.0459 Statistical properties of agent-based market area model (2007). arXiv.org / Quantitative Finance Papers (4) RePEc:arx:papers:0710.2402 Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks (2007). arXiv.org / Quantitative Finance Papers (5) RePEc:arx:papers:0710.5497 Multifractality in the Random Parameters Model (2007). arXiv.org / Quantitative Finance Papers (6) RePEc:arx:papers:0711.1595 Likelihood-based inference for correlated diffusions (2007). arXiv.org / Quantitative Finance Papers (7) RePEc:arx:papers:0712.1483 Continuous-time trading and emergence of volatility (2007). arXiv.org / Quantitative Finance Papers (8) RePEc:pra:mprapa:2128 Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory (2007). University Library of Munich, Germany / MPRA Paper (9) RePEc:pra:mprapa:2256 Martingales, Detrending Data, and the Efficient Market Hypothesis (2007). University Library of Munich, Germany / MPRA Paper (10) RePEc:pra:mprapa:5303 Martingales, the efficient market hypothesis, and spurious stylized facts (2007). University Library of Munich, Germany / MPRA Paper (11) RePEc:pra:mprapa:5811 Ito Processes with Finitely Many States of Memory (2007). University Library of Munich, Germany / MPRA Paper (12) RePEc:pra:mprapa:5813 Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts (2007). University Library of Munich, Germany / MPRA Paper (13) RePEc:pra:mprapa:5996 International Trade Patterns over the Last Four Decades: How does Portugal Compare with other Cohesion Countries? (2007). University Library of Munich, Germany / MPRA Paper (14) RePEc:spr:jeicoo:v:2:y:2007:i:2:p:111-124 Patterns of dominant flows in the world trade web (2007). Journal of Economic Interaction and Coordination (15) RePEc:ssa:lemwps:2007/25 Using Complex Network Analysis to Assess the Evolution of International Economic Integration: The cases of East Asia and Latin America (2007). Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy / LEM Papers Series Recent citations received in: 2006 (1) RePEc:arx:papers:math/0612649 General Duality for Perpetual American Options (2006). arXiv.org / Quantitative Finance Papers (2) RePEc:arx:papers:physics/0508156 Size matters: some stylized facts of the stock market revisited (2006). arXiv.org / Quantitative Finance Papers (3) RePEc:pra:mprapa:73 The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation (2006). University Library of Munich, Germany / MPRA Paper Recent citations received in: 2005 (1) RePEc:arx:papers:physics/0504197 The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models (2005). arXiv.org / Quantitative Finance Papers (2) RePEc:arx:papers:physics/0507136 Ideal-Gas Like Markets: Effect of Savings (2005). arXiv.org / Quantitative Finance Papers (3) RePEc:pra:mprapa:15905 The Growth of Business Firms: Theoretical Framework and Empirical Evidence (2005). University Library of Munich, Germany / MPRA Paper (4) RePEc:spr:sistpr:v:8:y:2005:i:3:p:331-354 Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price (2005). Statistical Inference for Stochastic Processes (5) RePEc:taf:quantf:v:5:y:2005:i:6:p:519-521 Two phase behaviour and the distribution of volume (2005). Quantitative Finance (6) RePEc:wpa:wuwpfi:0501005 Five Years of Continuous-time Random Walks in Econophysics (2005). EconWPA / Finance (7) RePEc:wpa:wuwpfi:0506015 Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model (2005). EconWPA / Finance (8) RePEc:wpa:wuwpri:0507004 Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model (2005). EconWPA / Risk and Insurance Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results. Source data used to compute the impact factor of RePEc series. |
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