Most cited documents in this series:

Year	Title	Cited
2007	The Product Space Conditions the Development of Nations RePEc:arx:papers:0708.2090 [Citation Analysis]	47
2002	On the coherence of Expected Shortfall RePEc:arx:papers:cond-mat/0104295 [Citation Analysis]	33
2004	The long memory of the efficient market RePEc:arx:papers:cond-mat/0311053 [Citation Analysis]	30
1998	Universal features in the growth dynamics of complex organizations RePEc:arx:papers:cond-mat/9804100 [Citation Analysis]	29
2003	Fluctuations and response in financial markets: the subtle nature of `random price changes RePEc:arx:papers:cond-mat/0307332 [Citation Analysis]	29
2004	What really causes large price changes? RePEc:arx:papers:cond-mat/0312703 [Citation Analysis]	23
1997	Scaling in stock market data: stable laws and beyond RePEc:arx:papers:cond-mat/9705087 [Citation Analysis]	22
2001	Expected Shortfall: a natural coherent alternative to Value at Risk RePEc:arx:papers:cond-mat/0105191 [Citation Analysis]	21
1999	Scaling of the distribution of fluctuations of financial market indices RePEc:arx:papers:cond-mat/9905305 [Citation Analysis]	20
2005	The Production Function RePEc:arx:papers:physics/0511191 [Citation Analysis]	20
1997	Scaling behavior in economics: I. Empirical results for company growth RePEc:arx:papers:cond-mat/9702082 [Citation Analysis]	20
1999	Scaling of the distribution of price fluctuations of individual companies RePEc:arx:papers:cond-mat/9907161 [Citation Analysis]	20
2001	Testing the Gaussian Copula Hypothesis for Financial Assets Dependences RePEc:arx:papers:cond-mat/0111310 [Citation Analysis]	19
2005	The Growth of Business Firms: Theoretical Framework and Empirical Evidence RePEc:arx:papers:physics/0512005 [Citation Analysis]	19
2001	Significance of log-periodic precursors to financial crashes RePEc:arx:papers:cond-mat/0106520 [Citation Analysis]	19
2008	How markets slowly digest changes in supply and demand RePEc:arx:papers:0809.0822 [Citation Analysis]	19
2009	Colloquium: Statistical mechanics of money, wealth, and income RePEc:arx:papers:0905.1518 [Citation Analysis]	18
2010	Optimal execution strategies in limit order books with general shape functions RePEc:arx:papers:0708.1756 [Citation Analysis]	17
2001	Quantifying Stock Price Response to Demand Fluctuations RePEc:arx:papers:cond-mat/0106657 [Citation Analysis]	16
2004	The Predictive Power of Zero Intelligence in Financial Markets RePEc:arx:papers:cond-mat/0309233 [Citation Analysis]	16
2005	Structure and Evolution of the World Trade Network RePEc:arx:papers:physics/0502066 [Citation Analysis]	15
2011	The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis RePEc:arx:papers:1110.5544 [Citation Analysis]	15
2004	Optimal investment with random endowments in incomplete markets RePEc:arx:papers:math/0405293 [Citation Analysis]	14
2000	Fractional calculus and continuous-time finance II: the waiting-time distribution RePEc:arx:papers:cond-mat/0006454 [Citation Analysis]	14
2001	Agent-based simulation of a financial market RePEc:arx:papers:cond-mat/0103600 [Citation Analysis]	14
2004	Fitness-dependent topological properties of the World Trade Web RePEc:arx:papers:cond-mat/0403051 [Citation Analysis]	14
2003	Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms RePEc:arx:papers:cond-mat/0310061 [Citation Analysis]	14
2002	Statistical theory of the continuous double auction RePEc:arx:papers:cond-mat/0210475 [Citation Analysis]	13
2001	Expected Shortfall as a Tool for Financial Risk Management RePEc:arx:papers:cond-mat/0102304 [Citation Analysis]	13
2001	Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States RePEc:arx:papers:cond-mat/0103544 [Citation Analysis]	13
2011	Pollution permits, Strategic Trading and Dynamic Technology Adoption RePEc:arx:papers:1103.2914 [Citation Analysis]	13
2011	Sectoral Convergence in Output Per Worker Between Portuguese Regions RePEc:arx:papers:1110.5552 [Citation Analysis]	13
2000	Statistical Properties of Share Volume Traded in Financial Markets RePEc:arx:papers:cond-mat/0008113 [Citation Analysis]	13
2004	Pareto Law in a Kinetic Model of Market with Random Saving Propensity RePEc:arx:papers:cond-mat/0301289 [Citation Analysis]	12
1999	The statistical properties of the volatility of price fluctuations RePEc:arx:papers:cond-mat/9903369 [Citation Analysis]	12
2001	Analyzing and modelling 1+1d markets RePEc:arx:papers:cond-mat/0106114 [Citation Analysis]	12
2002	Probability distribution of returns in the Heston model with stochastic volatility RePEc:arx:papers:cond-mat/0203046 [Citation Analysis]	11
2000	The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash RePEc:arx:papers:cond-mat/0004263 [Citation Analysis]	11
2005	Utility maximization in incomplete markets RePEc:arx:papers:math/0508448 [Citation Analysis]	11
2007	On the Topological Properties of the World Trade Web: A Weighted Network Analysis RePEc:arx:papers:0708.4359 [Citation Analysis]	11
1997	A Prototype Model of Stock Exchange RePEc:arx:papers:cond-mat/9709118 [Citation Analysis]	11
2004	Networks of equities in financial markets RePEc:arx:papers:cond-mat/0401300 [Citation Analysis]	11
2000	Statistical mechanics of money RePEc:arx:papers:cond-mat/0001432 [Citation Analysis]	11
1997	Physics of Finance RePEc:arx:papers:hep-th/9710148 [Citation Analysis]	11
2004	On the origin of power law tails in price fluctuations RePEc:arx:papers:cond-mat/0309416 [Citation Analysis]	10
2007	Kinetic Exchange Models for Income and Wealth Distributions RePEc:arx:papers:0709.1543 [Citation Analysis]	10
2002	A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles RePEc:arx:papers:cond-mat/0104341 [Citation Analysis]	10
2001	From Rational Bubbles to Crashes RePEc:arx:papers:cond-mat/0102305 [Citation Analysis]	10
2001	Correlation structure of extreme stock returns RePEc:arx:papers:cond-mat/0006034 [Citation Analysis]	9
2009	Large portfolio losses: A dynamic contagion model RePEc:arx:papers:0704.1348 [Citation Analysis]	9

Citing documents used to compute impact factor 71:

Year	Title	See
2010	Symptomy kryzysu globalnego a etyka gospodarcza religii światowych. Analiza porównawcza bankowości islamskiej i bankowości klasycznej w kontekście kryzysu finansowego RePEc:pra:mprapa:26971	[Citation Analysis]
2010	Short and long-term links between oil prices and stock markets in Europe RePEc:ebl:ecbull:eb-09-00534	[Citation Analysis]
2010	Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe. RePEc:hal:wpaper:hal-00507825	[Citation Analysis]
2010	On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM RePEc:hal:wpaper:hal-00507824	[Citation Analysis]
2010	Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns RePEc:dgr:eureir:1765018043	[Citation Analysis]
2010	Time-varying Predictability in Crude Oil Markets: The Case of GCC Countries RePEc:hal:wpaper:hal-00507822	[Citation Analysis]
2010	Universal patterns of inequality RePEc:arx:papers:0912.4898	[Citation Analysis]
2010	Laplace transform analysis of a multiplicative asset transfer model RePEc:arx:papers:1004.5169	[Citation Analysis]
2010	Inequality reversal: effects of the savings propensity and correlated returns RePEc:arx:papers:1005.3518	[Citation Analysis]
2010	Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models RePEc:arx:papers:0911.0373	[Citation Analysis]
2010	Risk measuring under model uncertainty RePEc:arx:papers:1004.5524	[Citation Analysis]
2010	Optimal Stopping Under Ambiguity in Continuous Time RePEc:bie:wpaper:429	[Citation Analysis]
2010	Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery RePEc:pra:mprapa:19684	[Citation Analysis]
2010	Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations RePEc:arx:papers:0911.3331	[Citation Analysis]
2010	Credit Default Swaps Liquidity modeling: A survey RePEc:arx:papers:1003.0889	[Citation Analysis]
2010	Consistent Valuation of Bespoke CDO Tranches RePEc:arx:papers:1004.1758	[Citation Analysis]
2010	Delta Hedging in Financial Engineering: Towards a Model-Free Approach RePEc:arx:papers:1005.0194	[Citation Analysis]
2010	Delta Hedging in Financial Engineering: Towards a Model-Free Approach RePEc:hal:journl:inria-00479824	[Citation Analysis]
2010	Sensitivities for Bermudan options by regression methods RePEc:spr:decfin:v:33:y:2010:i:2:p:117-138	[Citation Analysis]
2010	Identity, reputation and social interaction with an application to sequential voting RePEc:vnm:wpaper:204	[Citation Analysis]
2010	Modeling share prices of banks and bankrupts RePEc:arx:papers:1003.2692	[Citation Analysis]
2010	Modeling share prices of banks and bankrupts RePEc:pra:mprapa:21369	[Citation Analysis]
2010	The Heckscher-Ohlin Model and the Network Structure of International Trade RePEc:pra:mprapa:30187	[Citation Analysis]
2010	A Subjective and Probabilistic Approach to Derivatives RePEc:arx:papers:1001.1616	[Citation Analysis]
2010	Managing Derivative Exposure RePEc:arx:papers:1004.1053	[Citation Analysis]
2010	The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations RePEc:arx:papers:0911.0454	[Citation Analysis]
2010	Securities Pricing with Information-Sensitive Discounting RePEc:kyo:wpaper:695	[Citation Analysis]
2010	Security Pricing with Information-Sensitive Discounting RePEc:arx:papers:1001.3570	[Citation Analysis]
2010	Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes RePEc:arx:papers:1012.1878	[Citation Analysis]
2010	Financial Markets Interactions between Economic Theory and Practice RePEc:pra:mprapa:27322	[Citation Analysis]
2010	Diverse Beliefs RePEc:arx:papers:1001.1450	[Citation Analysis]
2010	On refined volatility smile expansion in the Heston model RePEc:arx:papers:1001.3003	[Citation Analysis]
2010	Two-sided estimates for stock price distribution densities in jump-diffusion models RePEc:arx:papers:1005.1917	[Citation Analysis]
2010	Liquidity and Market Microstructure Noise: Evidence from the Pekao Data RePEc:cpn:umkdem:v:10:y:2010:p:5-14	[Citation Analysis]
2010	Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model RePEc:pab:rmcpee:v:10:y:2010:i:1:p:73-98	[Citation Analysis]
2010	Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading RePEc:arx:papers:0812.0033	[Citation Analysis]
2010	A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage RePEc:arx:papers:1004.5559	[Citation Analysis]
2010	Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest RePEc:pra:mprapa:28250	[Citation Analysis]
2010	Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery RePEc:pra:mprapa:19684	[Citation Analysis]
2010	Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest RePEc:pra:mprapa:26277	[Citation Analysis]
2010	The nature of price returns during periods of high market activity RePEc:arx:papers:1010.4226	[Citation Analysis]
2010	Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement RePEc:arx:papers:0906.1387	[Citation Analysis]
2010	Segmentation algorithm for non-stationary compound Poisson processes RePEc:spr:eurphb:v:78:y:2010:i:2:p:235-243	[Citation Analysis]
2010	The times change: multivariate subordination, empirical facts RePEc:hal:journl:hal-00620841	[Citation Analysis]
2010	Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior RePEc:arx:papers:0912.4723	[Citation Analysis]
2010	Liquidity crisis, granularity of the order book and price fluctuations RePEc:spr:eurphb:v:73:y:2010:i:1:p:41-49	[Citation Analysis]
2010	Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model RePEc:arx:papers:0905.1882	[Citation Analysis]
2010	Sensitivities for Bermudan options by regression methods RePEc:spr:decfin:v:33:y:2010:i:2:p:117-138	[Citation Analysis]
2010	Partial equilibria with convex capital requirements: existence, uniqueness and stability RePEc:kap:annfin:v:6:y:2010:i:1:p:107-135	[Citation Analysis]
2010	Portfolio choice under local industry and country factors RePEc:kap:fmktpm:v:24:y:2010:i:4:p:353-393	[Citation Analysis]
2010	A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms RePEc:arx:papers:1005.5082	[Citation Analysis]
2010	Risk-neutral compatibility with option prices RePEc:spr:finsto:v:14:y:2010:i:2:p:285-315	[Citation Analysis]
2010	Exotic derivatives under stochastic volatility models with jumps RePEc:arx:papers:0912.2595	[Citation Analysis]
2010	Laplace transform analysis of a multiplicative asset transfer model RePEc:arx:papers:1004.5169	[Citation Analysis]
2010	Modelling Heterogeneity and Dynamics in the Volatility of Individual Wages RePEc:iza:izadps:dp4712	[Citation Analysis]
2010	The Great Increase in Relative Volatility of Real Wages in the United States RePEc:lvl:lacicr:1010	[Citation Analysis]
2010	New procedures for testing whether stock price processes are martingales RePEc:arx:papers:0907.3273	[Citation Analysis]
2010	Levy Subordinator Model of Default Dependency RePEc:pra:mprapa:21386	[Citation Analysis]
2010	Credit models and the crisis, or: how I learned to stop worrying and love the CDOs RePEc:arx:papers:0912.5427	[Citation Analysis]
2010	Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations RePEc:arx:papers:0911.3331	[Citation Analysis]
2010	Credit Default Swaps Liquidity modeling: A survey RePEc:arx:papers:1003.0889	[Citation Analysis]
2010	An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets RePEc:pra:mprapa:26850	[Citation Analysis]
2010	From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH RePEc:pra:mprapa:27946	[Citation Analysis]
2010	Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection RePEc:arx:papers:1004.4956	[Citation Analysis]
2010	A Multi Agent Model for the Limit Order Book Dynamics RePEc:arx:papers:1005.0182	[Citation Analysis]
2010	A multi agent model for the limit order book dynamics RePEc:spr:eurphb:v:78:y:2010:i:2:p:265-273	[Citation Analysis]
2010	Continuous-time trading and the emergence of probability RePEc:arx:papers:0904.4364	[Citation Analysis]
2010	Fractional processes as models in stochastic finance RePEc:arx:papers:1004.3106	[Citation Analysis]
2010	The fundamental theorem of asset pricing for continuous processes under small transaction costs RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191	[Citation Analysis]
2010	Computing optimal recovery policies for financial markets RePEc:aeg:wpaper:2010-20	[Citation Analysis]
2010	The impact of uncertainties on the pricing of contingent claims RePEc:arx:papers:1001.5202	[Citation Analysis]

Cites in year: CiY