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2002 | On the coherence of Expected Shortfall RePEc:arx:papers:cond-mat/0104295 [Citation Analysis] | 73 |
2007 | The Product Space Conditions the Development of Nations RePEc:arx:papers:0708.2090 [Citation Analysis] | 59 |
2004 | The long memory of the efficient market RePEc:arx:papers:cond-mat/0311053 [Citation Analysis] | 35 |
1998 | Universal features in the growth dynamics of complex organizations RePEc:arx:papers:cond-mat/9804100 [Citation Analysis] | 34 |
1997 | Scaling in stock market data: stable laws and beyond RePEc:arx:papers:cond-mat/9705087 [Citation Analysis] | 29 |
2003 | Fluctuations and response in financial markets: the subtle nature of
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2001 | Expected Shortfall: a natural coherent alternative to Value at Risk RePEc:arx:papers:cond-mat/0105191 [Citation Analysis] | 29 |
2004 | What really causes large price changes? RePEc:arx:papers:cond-mat/0312703 [Citation Analysis] | 28 |
1999 | Scaling of the distribution of price fluctuations of individual
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2001 | Testing the Gaussian Copula Hypothesis for Financial Assets Dependences RePEc:arx:papers:cond-mat/0111310 [Citation Analysis] | 26 |
1997 | Scaling behavior in economics: I. Empirical results for company growth RePEc:arx:papers:cond-mat/9702082 [Citation Analysis] | 25 |
2002 | Expected Shortfall and Beyond RePEc:arx:papers:cond-mat/0203558 [Citation Analysis] | 24 |
2008 | How markets slowly digest changes in supply and demand RePEc:arx:papers:0809.0822 [Citation Analysis] | 24 |
2001 | Significance of log-periodic precursors to financial crashes RePEc:arx:papers:cond-mat/0106520 [Citation Analysis] | 24 |
1999 | Scaling of the distribution of fluctuations of financial market indices RePEc:arx:papers:cond-mat/9905305 [Citation Analysis] | 24 |
2005 | The Growth of Business Firms: Theoretical Framework and Empirical
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2001 | Quantifying Stock Price Response to Demand Fluctuations RePEc:arx:papers:cond-mat/0106657 [Citation Analysis] | 22 |
2009 | Colloquium: Statistical mechanics of money, wealth, and income RePEc:arx:papers:0905.1518 [Citation Analysis] | 21 |
2010 | Optimal execution strategies in limit order books with general shape
functions RePEc:arx:papers:0708.1756 [Citation Analysis] | 21 |
2000 | Statistical Properties of Share Volume Traded in Financial Markets RePEc:arx:papers:cond-mat/0008113 [Citation Analysis] | 20 |
2005 | The Production Function RePEc:arx:papers:physics/0511191 [Citation Analysis] | 20 |
2001 | Expected Shortfall as a Tool for Financial Risk Management RePEc:arx:papers:cond-mat/0102304 [Citation Analysis] | 19 |
2001 | Agent-based simulation of a financial market RePEc:arx:papers:cond-mat/0103600 [Citation Analysis] | 18 |
2005 | Structure and Evolution of the World Trade Network RePEc:arx:papers:physics/0502066 [Citation Analysis] | 18 |
2004 | The Predictive Power of Zero Intelligence in Financial Markets RePEc:arx:papers:cond-mat/0309233 [Citation Analysis] | 18 |
2001 | Analyzing and modelling 1+1d markets RePEc:arx:papers:cond-mat/0106114 [Citation Analysis] | 17 |
1999 | The statistical properties of the volatility of price fluctuations RePEc:arx:papers:cond-mat/9903369 [Citation Analysis] | 16 |
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] | 16 |
2000 | Fractional calculus and continuous-time finance II: the waiting-time
distribution RePEc:arx:papers:cond-mat/0006454 [Citation Analysis] | 16 |
2004 | Fitness-dependent topological properties of the World Trade Web RePEc:arx:papers:cond-mat/0403051 [Citation Analysis] | 15 |
2005 | Utility maximization in incomplete markets RePEc:arx:papers:math/0508448 [Citation Analysis] | 15 |
2003 | Do Pareto-Zipf and Gibrat laws hold true? An analysis with European
Firms RePEc:arx:papers:cond-mat/0310061 [Citation Analysis] | 15 |
2011 | The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis RePEc:arx:papers:1110.5544 [Citation Analysis] | 15 |
2009 | The Building Blocks of Economic Complexity RePEc:arx:papers:0909.3890 [Citation Analysis] | 15 |
2000 | Statistical mechanics of money RePEc:arx:papers:cond-mat/0001432 [Citation Analysis] | 15 |
2011 | Pollution permits, Strategic Trading and Dynamic Technology Adoption RePEc:arx:papers:1103.2914 [Citation Analysis] | 13 |
2004 | Pareto Law in a Kinetic Model of Market with Random Saving Propensity RePEc:arx:papers:cond-mat/0301289 [Citation Analysis] | 13 |
2011 | Sectoral Convergence in Output Per Worker Between Portuguese Regions RePEc:arx:papers:1110.5552 [Citation Analysis] | 13 |
2004 | Optimal investment with random endowments in incomplete markets RePEc:arx:papers:math/0405293 [Citation Analysis] | 13 |
1997 | A Prototype Model of Stock Exchange RePEc:arx:papers:cond-mat/9709118 [Citation Analysis] | 13 |
2007 | On the Topological Properties of the World Trade Web: A Weighted Network
Analysis RePEc:arx:papers:0708.4359 [Citation Analysis] | 13 |
2002 | Statistical theory of the continuous double auction RePEc:arx:papers:cond-mat/0210475 [Citation Analysis] | 13 |
2004 | Networks of equities in financial markets RePEc:arx:papers:cond-mat/0401300 [Citation Analysis] | 13 |
2008 | Stock price jumps: news and volume play a minor role RePEc:arx:papers:0803.1769 [Citation Analysis] | 12 |
2002 | Probability distribution of returns in the Heston model with stochastic
volatility RePEc:arx:papers:cond-mat/0203046 [Citation Analysis] | 12 |
2007 | Kinetic Exchange Models for Income and Wealth Distributions RePEc:arx:papers:0709.1543 [Citation Analysis] | 12 |
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] | 12 |
2003 | Critical Market Crashes RePEc:arx:papers:cond-mat/0301543 [Citation Analysis] | 12 |
2000 | From Minority Games to real markets RePEc:arx:papers:cond-mat/0011042 [Citation Analysis] | 12 |
1997 | Physics of Finance RePEc:arx:papers:hep-th/9710148 [Citation Analysis] | 12 |
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2011 | Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. RePEc:ner:dauphi:urn:hdl:123456789/7101 | [Citation Analysis] |
2011 | Optimal trade execution and price manipulation in order books with
time-varying liquidity RePEc:arx:papers:1109.2631 | [Citation Analysis] |
2011 | Liquidity risk, price impacts and the replication problem RePEc:spr:finsto:v:15:y:2011:i:3:p:399-419 | [Citation Analysis] |
2011 | Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment
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2011 | A Map of the Brazilian Stock Market RePEc:arx:papers:1107.4146 | [Citation Analysis] |
2011 | Pruning a Minimum Spanning Tree RePEc:arx:papers:1109.0642 | [Citation Analysis] |
2011 | Cluster formation and evolution in networks of financial market indices RePEc:arx:papers:1111.5069 | [Citation Analysis] |
2011 | Levy subordinator model: A two parameter model of default dependency RePEc:pra:mprapa:26274 | [Citation Analysis] |
2011 | From microscopic taxation and redistribution models to macroscopic
income distributions RePEc:arx:papers:1109.0606 | [Citation Analysis] |
2011 | Response of double-auction markets to instantaneous SellingâBuying signals with stochastic BidâAsk spread RePEc:spr:jeicoo:v:6:y:2011:i:2:p:93-120 | [Citation Analysis] |
2011 | The Stability of the Constrained Utility Maximization Problem - A BSDE
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2011 | The Japanese economy in crises: A time series segmentation study RePEc:zbw:ifwedp:201124 | [Citation Analysis] |
2011 | Computational LPPL Fit to Financial Bubbles RePEc:arx:papers:1003.2920 | [Citation Analysis] |
2011 | Entropy and equilibrium state of free market models RePEc:arx:papers:1108.5725 | [Citation Analysis] |
2011 | Stability of the World Trade Web over Time - An Extinction Analysis RePEc:arx:papers:1104.4380 | [Citation Analysis] |
2011 | Modeling the International-Trade Network: A Gravity Approach RePEc:arx:papers:1112.2867 | [Citation Analysis] |
2011 | Modeling the International-Trade Network: A Gravity Approach RePEc:ssa:lemwps:2011/25 | [Citation Analysis] |
2011 | Econophysics: Bridges over a Turbulent Current RePEc:arx:papers:1107.5373 | [Citation Analysis] |
2011 | Adjoints and Automatic (Algorithmic) Differentiation in Computational
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2011 | Exchangeability type properties of asset prices RePEc:arx:papers:0901.4914 | [Citation Analysis] |
2011 | Marginal density expansions for diffusions and stochastic volatility RePEc:arx:papers:1111.2462 | [Citation Analysis] |
2011 | Investigating the distribution of personal income obtained from the recent U.S. data RePEc:eee:ecmode:v:28:y:2011:i:3:p:1170-1173 | [Citation Analysis] |
2011 | Risk-averse asymptotics for reservation prices RePEc:kap:annfin:v:7:y:2011:i:3:p:375-387 | [Citation Analysis] |
2011 | Distinguishing manipulated stocks via trading network analysis RePEc:arx:papers:1110.2260 | [Citation Analysis] |
2011 | The Small and Large Time Implied Volatilities in the Minimal Market Model RePEc:uts:rpaper:297 | [Citation Analysis] |
2011 | The Small and Large Time Implied Volatilities in the Minimal Market
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2011 | Implied Volatility Surface: Construction Methodologies and
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2011 | A method for pricing American options using semi-infinite linear
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2011 | Machine Learning Markets RePEc:arx:papers:1106.4509 | [Citation Analysis] |
2011 | Response of double-auction markets to instantaneous Selling-Buying
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2011 | The Existence of Dominating Local Martingale Measures RePEc:arx:papers:1111.3885 | [Citation Analysis] |
2011 | Rough paths in idealized financial markets RePEc:arx:papers:1005.0279 | [Citation Analysis] |
2011 | On the game interpretation of a shadow price process in utility
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2011 | The Second Wave of the Global Crisis? A Log-Periodic Oscillation
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2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX RePEc:ucm:doicae:1117 | [Citation Analysis] |
2011 | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291 | [Citation Analysis] |
2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX RePEc:dgr:eureir:1765022806 | [Citation Analysis] |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels RePEc:aah:create:2012-11 | [Citation Analysis] |
2011 | Investment/consumption problem in illiquid markets with regimes switching RePEc:hal:wpaper:hal-00610214 | [Citation Analysis] |
2011 | Dividend problem with Parisian delay for a spectrally negative L\evy
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2011 | RETHINKING MACROECONOMICS: WHAT FAILED, AND HOW TO REPAIR IT RePEc:bla:jeurec:v:9:y:2011:i:4:p:591-645 | [Citation Analysis] |
2011 | A directional-change events approach for studying financial time series RePEc:zbw:ifwedp:201128 | [Citation Analysis] |
2011 | Asset returns and volatility clustering in financial time series RePEc:arx:papers:1002.0284 | [Citation Analysis] |
2011 | Randomised Mixture Models for Pricing Kernels RePEc:arx:papers:1112.2059 | [Citation Analysis] |
2011 | Down-Side Risk Probability Minimization Problem with Cox-Ingersoll-Rosss Interest Rates RePEc:kap:apfinm:v:18:y:2011:i:1:p:69-87 | [Citation Analysis] |
2011 | Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect RePEc:kap:apfinm:v:18:y:2011:i:4:p:385-403 | [Citation Analysis] |
2011 | Impact of the first to default time on Bilateral CVA RePEc:arx:papers:1106.3496 | [Citation Analysis] |
2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA,
collateral,netting rules and re-hypothecation RePEc:arx:papers:1112.1521 | [Citation Analysis] |
2011 | Mortality density forecasts: An analysis of six stochastic mortality models RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367 | [Citation Analysis] |
2011 | The two-price model revisited. A Minskian-Kaleckian reading of the process of financialization RePEc:pra:mprapa:32033 | [Citation Analysis] |
2011 | Approaching Economic Issues through EpidemiologyâAn Introduction to Business Epidemiology RePEc:rjr:romjef:v::y:2011:i:1:p:257-276 | [Citation Analysis] |
2011 | Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses? RePEc:eee:insuma:v:48:y:2011:i:2:p:287-303 | [Citation Analysis] |
2011 | Adjoint expansions in local Lévy models RePEc:pra:mprapa:34571 | [Citation Analysis] |
2011 | Anti-Robust and Tonsured Statistics RePEc:arx:papers:1110.4648 | [Citation Analysis] |
2011 | Diagnosis and Prediction of Market Rebounds in Financial Markets RePEc:arx:papers:1003.5926 | [Citation Analysis] |
2011 | The impact of oil price fluctuations on stock markets in developed and emerging economies RePEc:pra:mprapa:31753 | [Citation Analysis] |
2011 | The impact of oil price fluctuations on stock markets
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2011 | The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies RePEc:nan:wpaper:1103 | [Citation Analysis] |
2011 | Return and volatility transmission between world oil prices and stock markets of the GCC countries RePEc:eee:ecmode:v:28:y:2011:i:4:p:1815-1825 | [Citation Analysis] |
2011 | The product life cycle of durable goods RePEc:pra:mprapa:33174 | [Citation Analysis] |
2011 | From microscopic taxation and redistribution models to macroscopic
income distributions RePEc:arx:papers:1109.0606 | [Citation Analysis] |
2011 | The Product Life Cycle of Durable Goods RePEc:arx:papers:1109.0828 | [Citation Analysis] |
2011 | Econophysics: agent-based models RePEc:hal:journl:hal-00621059 | [Citation Analysis] |
2011 | Entropy and equilibrium state of free market models RePEc:arx:papers:1108.5725 | [Citation Analysis] |
2011 | The experience curve and the market size of competitive consumer durable markets RePEc:pra:mprapa:33370 | [Citation Analysis] |
2011 | An almost linear stochastic map related to the particle system models of
social sciences RePEc:arx:papers:1101.3617 | [Citation Analysis] |
2011 | Exponential wealth distribution: a new approach from functional
iteration theory RePEc:arx:papers:1103.1501 | [Citation Analysis] |
2011 | Econophysics: Bridges over a Turbulent Current RePEc:arx:papers:1107.5373 | [Citation Analysis] |
2011 | Market clearing by maximum entropy in agent models of stock markets RePEc:spr:jeicoo:v:6:y:2011:i:2:p:121-138 | [Citation Analysis] |
2011 | The Product Life Cycle of Durable Goods RePEc:zbw:esprep:50530 | [Citation Analysis] |
2011 | Firm dynamics in a closed, conserved economy: A model of size
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2011 | Investigating the distribution of personal income obtained from the recent U.S. data RePEc:eee:ecmode:v:28:y:2011:i:3:p:1170-1173 | [Citation Analysis] |
2011 | Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management RePEc:nea:journl:y:2011:i:11:p:85-105 | [Citation Analysis] |
2011 | Hedging under arbitrage RePEc:arx:papers:1003.4797 | [Citation Analysis] |
2011 | The Lehman Brothers Effect and Bankruptcy Cascades RePEc:arx:papers:1002.1070 | [Citation Analysis] |
2011 | Anomalous price impact and the critical nature of liquidity in financial
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2011 | Why is order flow so persistent? RePEc:arx:papers:1108.1632 | [Citation Analysis] |
2011 | Identification of clusters of investors from their real trading activity
in a financial market RePEc:arx:papers:1107.3942 | [Citation Analysis] |
2011 | The network of global corporate control RePEc:arx:papers:1107.5728 | [Citation Analysis] |
2011 | Co-movements in commodity prices: a note based on network analysis RePEc:qut:dpaper:274 | [Citation Analysis] |
2011 | Exchangeability type properties of asset prices RePEc:arx:papers:0901.4914 | [Citation Analysis] |
2011 | Comparison of Two Numerical Methods for Computation of American Type of
the Floating Strike Asian Option RePEc:arx:papers:1106.0020 | [Citation Analysis] |
2011 | A unified approach to determining the early exercise boundary position
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2011 | Sensitivity analysis of the early exercise boundary for American style
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2011 | Endogenous equilibria in liquid markets with frictions and boundedly rational agents RePEc:vnm:wpdman:7 | [Citation Analysis] |
2011 | Default and Systemic Risk in Equilibrium RePEc:arx:papers:1108.1133 | [Citation Analysis] |
2011 | A Bayesian nonparametric approach to modeling market share dynamics RePEc:cca:wpaper:217 | [Citation Analysis] |
2011 | How business is done and thedoing businessindicators : the investment climate when firms have climate control RePEc:wbk:wbrwps:5563 | [Citation Analysis] |
2011 | Explaining the Diversification Path of Exporters in Brazil: How Similar and Sophisticated are New Products? RePEc:sus:susewp:2611 | [Citation Analysis] |
2011 | Does comparative advantage explain countriesâ diversification level? RePEc:spr:weltar:v:147:y:2011:i:3:p:507-526 | [Citation Analysis] |
2011 | The network structure of economic output RePEc:kap:jecgro:v:16:y:2011:i:4:p:309-342 | [Citation Analysis] |
2011 | The Heckscher-Ohlin model and the network structure of international trade RePEc:eee:reveco:v:20:y:2011:i:2:p:135-145 | [Citation Analysis] |
2011 | Adiabaticity conditions for volatility smile in Black-Scholes pricing model RePEc:spr:eurphb:v:79:y:2011:i:1:p:47-53 | [Citation Analysis] |
2011 | Computational LPPL Fit to Financial Bubbles RePEc:arx:papers:1003.2920 | [Citation Analysis] |
2011 | Randomised Mixture Models for Pricing Kernels RePEc:arx:papers:1112.2059 | [Citation Analysis] |
2011 | Stochastic Price Dynamics Implied By the Limit Order Book RePEc:arx:papers:1105.4789 | [Citation Analysis] |
2011 | Pruning a Minimum Spanning Tree RePEc:arx:papers:1109.0642 | [Citation Analysis] |
2011 | A Map of the Brazilian Stock Market RePEc:arx:papers:1107.4146 | [Citation Analysis] |
2011 | Cluster formation and evolution in networks of financial market indices RePEc:arx:papers:1111.5069 | [Citation Analysis] |
2011 | Modeling the International-Trade Network: A Gravity Approach RePEc:ssa:lemwps:2011/25 | [Citation Analysis] |
2011 | Modeling the International-Trade Network: A Gravity Approach RePEc:arx:papers:1112.2867 | [Citation Analysis] |
2011 | Two-factor capital structure models for equity and credit RePEc:arx:papers:1110.5846 | [Citation Analysis] |
2011 | Random digraphs with given expected degree sequences: A model for economic networks RePEc:eee:jeborg:v:78:y:2011:i:3:p:396-411 | [Citation Analysis] |
2011 | The near-extreme density of intraday log-returns RePEc:arx:papers:1106.0039 | [Citation Analysis] |
2011 | A directional-change events approach for studying financial time series RePEc:zbw:ifwedp:201128 | [Citation Analysis] |
2011 | Volatility forecasting and microstructure noise RePEc:eee:econom:v:160:y:2011:i:1:p:257-271 | [Citation Analysis] |
2011 | Forward Exponential Performances: Pricing and Optimal Risk Sharing RePEc:arx:papers:1109.3908 | [Citation Analysis] |
2011 | Continuous-time mean-variance portfolio optimization in a jump-diffusion market RePEc:spr:decfin:v:34:y:2011:i:1:p:21-40 | [Citation Analysis] |
2011 | Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses? RePEc:eee:insuma:v:48:y:2011:i:2:p:287-303 | [Citation Analysis] |
2011 | A limit order book model for latency arbitrage RePEc:arx:papers:1110.4811 | [Citation Analysis] |
2011 | Optimal investment with counterparty risk: a default-density model approach RePEc:spr:finsto:v:15:y:2011:i:4:p:725-753 | [Citation Analysis] |
2011 | Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA RePEc:cfi:fseres:cf265 | [Citation Analysis] |
2011 | The cost of counterparty risk and collateralization in longevity swaps RePEc:pra:mprapa:35740 | [Citation Analysis] |
2011 | Impact of the first to default time on Bilateral CVA RePEc:arx:papers:1106.3496 | [Citation Analysis] |
2011 | A projected gradient dynamical system modeling the dynamics of
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2011 | A projected gradient dynamical system modeling the dynamics of bargaining RePEc:cma:wpaper:1101 | [Citation Analysis] |