Most cited documents in this series:

Year	Title	Cited
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 `random price changes RePEc:arx:papers:cond-mat/0307332 [Citation Analysis]	29
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 companies RePEc:arx:papers:cond-mat/9907161 [Citation Analysis]	27
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 Evidence RePEc:arx:papers:physics/0512005 [Citation Analysis]	22
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

Citing documents used to compute impact factor 116:

Year	Title	See
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 including Re-Hypotecation and Netting RePEc:arx:papers:1101.3926	[Citation Analysis]
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 Selling–Buying signals with stochastic Bid–Ask 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 Approach RePEc:arx:papers:1107.0190	[Citation Analysis]
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 Finance RePEc:arx:papers:1107.1831	[Citation Analysis]
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 Model RePEc:arx:papers:1109.6154	[Citation Analysis]
2011	Implied Volatility Surface: Construction Methodologies and Characteristics RePEc:arx:papers:1107.1834	[Citation Analysis]
2011	A method for pricing American options using semi-infinite linear programming RePEc:arx:papers:1103.4483	[Citation Analysis]
2011	Machine Learning Markets RePEc:arx:papers:1106.4509	[Citation Analysis]
2011	Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread RePEc:arx:papers:1011.0748	[Citation Analysis]
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 maximization problems under transaction costs RePEc:arx:papers:1112.2406	[Citation Analysis]
2011	The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series RePEc:arx:papers:1107.0480	[Citation Analysis]
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 risk process RePEc:arx:papers:1004.3310	[Citation Analysis]
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-Ross’s 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 Epidemiology–An 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 in developed and emerging economies RePEc:dpc:wpaper:2311	[Citation Analysis]
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 distribution of employment and related statistics RePEc:arx:papers:1112.2168	[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	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 markets RePEc:arx:papers:1105.1694	[Citation Analysis]
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 at expiry for American style of general class of derivatives RePEc:arx:papers:1012.0348	[Citation Analysis]
2011	Sensitivity analysis of the early exercise boundary for American style of Asian options RePEc:arx:papers:1101.3071	[Citation Analysis]
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 countries’ 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 bargaining RePEc:arx:papers:1105.1767	[Citation Analysis]
2011	A projected gradient dynamical system modeling the dynamics of bargaining RePEc:cma:wpaper:1101	[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

Year	Title	See
2011	Anomalous price impact and the critical nature of liquidity in financial markets RePEc:arx:papers:1105.1694	[Citation Analysis]
2011	Why Money Trickles Up - Wealth & Income Distributions RePEc:arx:papers:1105.2122	[Citation Analysis]
2011	Impact of the first to default time on Bilateral CVA RePEc:arx:papers:1106.3496	[Citation Analysis]
2011	Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach RePEc:arx:papers:1106.3921	[Citation Analysis]
2011	Multiplicative noise, fast convolution, and pricing RePEc:arx:papers:1107.1451	[Citation Analysis]
2011	Path properties and regularity of affine processes on general state spaces RePEc:arx:papers:1107.1607	[Citation Analysis]
2011	Implied Volatility Surface: Construction Methodologies and Characteristics RePEc:arx:papers:1107.1834	[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	A Map of the Brazilian Stock Market RePEc:arx:papers:1107.4146	[Citation Analysis]
2011	Ito calculus without probability in idealized financial markets RePEc:arx:papers:1108.0799	[Citation Analysis]
2011	Computation of copulas by Fourier methods RePEc:arx:papers:1108.1216	[Citation Analysis]
2011	Why is order flow so persistent? RePEc:arx:papers:1108.1632	[Citation Analysis]
2011	Additive habits with power utility: Estimates, asymptotics and equilibrium RePEc:arx:papers:1108.2889	[Citation Analysis]
2011	Pruning a Minimum Spanning Tree RePEc:arx:papers:1109.0642	[Citation Analysis]
2011	Evolutionary Model of Non-Durable Markets RePEc:arx:papers:1109.5791	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model RePEc:arx:papers:1109.6154	[Citation Analysis]
2011	Distinguishing manipulated stocks via trading network analysis RePEc:arx:papers:1110.2260	[Citation Analysis]
2011	Agglomeration and Interregional Mobility of Labor in Portugal RePEc:arx:papers:1110.5534	[Citation Analysis]
2011	Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III RePEc:arx:papers:1110.5578	[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	Modeling the International-Trade Network: A Gravity Approach RePEc:arx:papers:1112.2867	[Citation Analysis]
2011	Valuation of Zynga RePEc:arx:papers:1112.6024	[Citation Analysis]
2011	The Social Architecture of Capitalism RePEc:arx:papers:cond-mat/0401053	[Citation Analysis]
2011	A conjecture on the distribution of firm profit RePEc:arx:papers:cond-mat/0407687	[Citation Analysis]
2011	ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in Mathematics and Financial Economics) RePEc:cfi:fseres:cf257	[Citation Analysis]
2011	Realized Laplace transforms for estimation of jump diffusive volatility models RePEc:eee:econom:v:164:y:2011:i:2:p:367-381	[Citation Analysis]
2011	Effects of structural changes on the risk characteristics of REIT returns RePEc:eee:reveco:v:20:y:2011:i:4:p:645-653	[Citation Analysis]
2011	TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data RePEc:hum:wpaper:sfb649dp2011-054	[Citation Analysis]
2011	Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives RePEc:hum:wpaper:sfb649dp2011-055	[Citation Analysis]
2011	Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data RePEc:hum:wpaper:sfb649dp2011-056	[Citation Analysis]
2011	We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size agai RePEc:hum:wpaper:sfb649dp2011-057	[Citation Analysis]
2011	The Merit of High-Frequency Data in Portfolio Allocation RePEc:hum:wpaper:sfb649dp2011-058	[Citation Analysis]
2011	On heterogeneous latent class models with applications to the analysis of rating scores RePEc:hum:wpaper:sfb649dp2011-062	[Citation Analysis]
2011	Multivariate Volatility Modeling of Electricity Futures RePEc:hum:wpaper:sfb649dp2011-063	[Citation Analysis]
2011	Semiparametric Estimation with Generated Covariates RePEc:hum:wpaper:sfb649dp2011-064	[Citation Analysis]
2011	Linking corporate reputation and shareholder value using the publication of reputation rankings RePEc:hum:wpaper:sfb649dp2011-065	[Citation Analysis]
2011	Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators RePEc:hum:wpaper:sfb649dp2011-067	[Citation Analysis]
2011	The Labor Share: A Review of Theory and Evidence RePEc:hum:wpaper:sfb649dp2011-069	[Citation Analysis]
2011	Econometric analysis of volatile art markets RePEc:hum:wpaper:sfb649dp2011-071	[Citation Analysis]
2011	Financial Network Systemic Risk Contributions RePEc:hum:wpaper:sfb649dp2011-072	[Citation Analysis]
2011	Evolvement of uniformity and volatility in the stressed global financial village RePEc:kie:kieliw:1739	[Citation Analysis]
2011	The herd behavior index: A new measure for systemic risk in financial markets. RePEc:ner:leuven:urn:hdl:123456789/320654	[Citation Analysis]
2011	Why money trickles up – wealth & income distributions RePEc:pra:mprapa:30851	[Citation Analysis]
2011	What the keynesian theory said about Portugal? RePEc:pra:mprapa:32610	[Citation Analysis]
2011	What said the neoclassical and endogenous growth theories about Portugal? RePEc:pra:mprapa:32631	[Citation Analysis]
2011	What said the new economic geography about Portugal? An alternative approach RePEc:pra:mprapa:32795	[Citation Analysis]
2011	Net migration and convergence in Portugal. An alternative analysis RePEc:pra:mprapa:32801	[Citation Analysis]
2011	Application of Keynesian and convergence theories in Portugal. Differences and similarities RePEc:pra:mprapa:32910	[Citation Analysis]
2011	Application of convergence theories and new economic geography in Portugal. An alternative analysis RePEc:pra:mprapa:32986	[Citation Analysis]
2011	Application of Keynesian and convergence theories in Portugal. An alternative approach RePEc:pra:mprapa:32987	[Citation Analysis]
2011	Application of Keynesian theory and new economic geography in Portugal. An alternative analysis RePEc:pra:mprapa:32999	[Citation Analysis]
2011	What said the economic theory about Portugal RePEc:pra:mprapa:33021	[Citation Analysis]
2011	The Keynesian theory and the manufactured industry in Portugal RePEc:pra:mprapa:33363	[Citation Analysis]
2011	The convergence theories and the manufactured industry in Portugal RePEc:pra:mprapa:33365	[Citation Analysis]
2011	The experience curve and the market size of competitive consumer durable markets RePEc:pra:mprapa:33370	[Citation Analysis]
2011	The Keynesian and the convergence theories in the Portuguese manufactured industry RePEc:pra:mprapa:33371	[Citation Analysis]
2011	The Keynesian and the convergence theories in the Portuguese manufactured industry. Another approach RePEc:pra:mprapa:33373	[Citation Analysis]
2011	The Keynesian theory and the geographic concentration in the Portuguese manufactured industry RePEc:pra:mprapa:33404	[Citation Analysis]
2011	The Keynesian theory and the geographic concentration in the Portuguese manufactured industry. Another analysis RePEc:pra:mprapa:33406	[Citation Analysis]
2011	The convergence theories and the geographic concentration in the Portuguese manufactured industry. Another approach RePEc:pra:mprapa:33407	[Citation Analysis]
2011	The convergence theories and the geographic concentration in the Portuguese manufactured industry RePEc:pra:mprapa:33411	[Citation Analysis]
2011	The economic theory and the Portuguese manufactured industry RePEc:pra:mprapa:33491	[Citation Analysis]
2011	The economic theory and the Portuguese manufactured industry. Another approach RePEc:pra:mprapa:33492	[Citation Analysis]
2011	A linear model of the new economic geography for Portugal RePEc:pra:mprapa:33506	[Citation Analysis]
2011	A non linear model of the new economic geography for Portugal RePEc:pra:mprapa:33507	[Citation Analysis]
2011	A model of the Keynesian theory for the Portuguese manufactured industry RePEc:pra:mprapa:33632	[Citation Analysis]
2011	A model of the Keynesian theory for the Portuguese manufactured industry. Another analysis RePEc:pra:mprapa:33633	[Citation Analysis]
2011	A model for net migration between the Portuguese regions RePEc:pra:mprapa:33717	[Citation Analysis]
2011	A model for net migration between the Portuguese regions. Another perspective RePEc:pra:mprapa:33718	[Citation Analysis]
2011	A model based on the Rybczynski equation for Portugal RePEc:pra:mprapa:33734	[Citation Analysis]
2011	A model based on the Rybczynski equation for Portugal. Another way RePEc:pra:mprapa:33735	[Citation Analysis]
2011	Evolutionary Model of Non-Durable Markets RePEc:pra:mprapa:33743	[Citation Analysis]
2011	Integration and contagion in US housing markets RePEc:pra:mprapa:34591	[Citation Analysis]
2011	The cost of counterparty risk and collateralization in longevity swaps RePEc:pra:mprapa:35740	[Citation Analysis]
2011	Large covariance estimation by thresholding principal orthogonal complements RePEc:pra:mprapa:38697	[Citation Analysis]
2011	Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011 RePEc:ris:ewikln:2011_006	[Citation Analysis]
2011	Modeling the International-Trade Network: A Gravity Approach RePEc:ssa:lemwps:2011/25	[Citation Analysis]
2011	Integration and Contagion in US Housing Markets RePEc:ucd:wpaper:201131	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model RePEc:uts:rpaper:297	[Citation Analysis]
2011	Evolutionary Model of Non-Durable Markets RePEc:zbw:esprep:50531	[Citation Analysis]
2011	The Economic Theory and the Portuguese Manufactured Industry RePEc:zbw:esprep:51350	[Citation Analysis]
2011	The Experience Curve and the Market Size of Competitive Consumer Durable Markets RePEc:zbw:esprep:59749	[Citation Analysis]
2011	The Japanese economy in crises: A time series segmentation study RePEc:zbw:ifwedp:201124	[Citation Analysis]
2011	Modelling trades-through in a limited order book using Hawkes processes RePEc:zbw:ifwedp:201132	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	Continuous-time trading and the emergence of probability RePEc:arx:papers:0904.4364	[Citation Analysis]
2010	Exotic derivatives under stochastic volatility models with jumps RePEc:arx:papers:0912.2595	[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	On refined volatility smile expansion in the Heston model RePEc:arx:papers:1001.3003	[Citation Analysis]
2010	Security Pricing with Information-Sensitive Discounting RePEc:arx:papers:1001.3570	[Citation Analysis]
2010	Convergence of Heston to SVI RePEc:arx:papers:1002.3633	[Citation Analysis]
2010	Dynamic risk measures RePEc:arx:papers:1002.3794	[Citation Analysis]
2010	Managing Derivative Exposure RePEc:arx:papers:1004.1053	[Citation Analysis]
2010	On the fractional Black-Scholes market with transaction costs RePEc:arx:papers:1005.0211	[Citation Analysis]
2010	The dual optimizer for the growth-optimal portfolio under transaction costs RePEc:arx:papers:1005.5105	[Citation Analysis]
2010	Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades RePEc:arx:papers:1009.3361	[Citation Analysis]
2010	Financial system and macroeconomic resilience: revisited RePEc:bis:bisbps:53	[Citation Analysis]
2010	Leverage Causes Fat Tails and Clustered Volatility RePEc:cwl:cwldpp:1745	[Citation Analysis]
2010	Optimal trade execution and absence of price manipulations in limit order book models RePEc:hal:journl:hal-00397652	[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	Securities Pricing with Information-Sensitive Discounting RePEc:kyo:wpaper:695	[Citation Analysis]
2010	An economic model of contagion in interbank lending markets RePEc:lec:leecon:11/06	[Citation Analysis]
2010	Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable RePEc:nbr:nberwo:15718	[Citation Analysis]
2010	Levy Subordinator Model of Default Dependency RePEc:pra:mprapa:21386	[Citation Analysis]
2010	Elementi di novità, meccanismi noti e cause di fondo della recente crisi RePEc:pra:mprapa:21648	[Citation Analysis]
2010	Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization. RePEc:pra:mprapa:23082	[Citation Analysis]
2010	Counterparty Risk Subject To ATE RePEc:pra:mprapa:27782	[Citation Analysis]
2010	Counterparty Risk Subject To ATE RePEc:pra:mprapa:28067	[Citation Analysis]
2010	Theoretical analysis of the bid-ask bounce and Related Phenomena RePEc:pra:mprapa:35929	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	On the Stickiness Property RePEc:arx:papers:0801.0718	[Citation Analysis]
2009	How to quantify the influence of correlations on investment diversification RePEc:arx:papers:0805.3397	[Citation Analysis]
2009	Analysis of Fourier transform valuation formulas and applications RePEc:arx:papers:0809.3405	[Citation Analysis]
2009	Implementing Loss Distribution Approach for Operational Risk RePEc:arx:papers:0904.1805	[Citation Analysis]
2009	Minimizing the expected market time to reach a certain wealth level RePEc:arx:papers:0904.1903	[Citation Analysis]
2009	Dynamic operational risk: modeling dependence and combining different sources of information RePEc:arx:papers:0904.4074	[Citation Analysis]
2009	Modeling operational risk data reported above a time-varying threshold RePEc:arx:papers:0904.4075	[Citation Analysis]
2009	Colloquium: Statistical mechanics of money, wealth, and income RePEc:arx:papers:0905.1518	[Citation Analysis]
2009	Heterogeneous Beliefs with Partial Observations RePEc:arx:papers:0907.4950	[Citation Analysis]
2009	The Structure and Growth of Weighted Networks RePEc:arx:papers:0908.0348	[Citation Analysis]
2009	Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme RePEc:arx:papers:0909.1478	[Citation Analysis]
2009	Financial bubbles analysis with a cross-sectional estimator RePEc:arx:papers:0909.2885	[Citation Analysis]
2009	Scaling and memory in the non-poisson process of limit order cancelation RePEc:arx:papers:0911.0057	[Citation Analysis]
2009	Finitely additive probabilities and the Fundamental Theorem of Asset Pricing RePEc:arx:papers:0911.5503	[Citation Analysis]
2009	Variance Optimal Hedging for continuous time processes with independent increments and applications RePEc:arx:papers:0912.0372	[Citation Analysis]
2009	Superfamily classification of nonstationary time series based on DFA scaling exponents RePEc:arx:papers:0912.2016	[Citation Analysis]
2009	Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model RePEc:arx:papers:0912.3031	[Citation Analysis]
2009	Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk RePEc:arx:papers:0912.4404	[Citation Analysis]
2009	The Structure and Growth of International Trade RePEc:fce:doctra:0924	[Citation Analysis]
2009	Systematic risk analysis: first steps towards a new definition of beta RePEc:hal:journl:inria-00425077	[Citation Analysis]
2009	THE INTRODUCTION OF EMERGING CURRENCIES INTO A PORTFOLIO: TOWARDS A MORE COMPLETE DIVERSIFICATION MODEL RePEc:hal:wpaper:hal-00616581	[Citation Analysis]
2009	Policies for Achieving Structural Transformation in the Caribbean: Private Sector Development Discussion Paper #2 RePEc:idb:brikps:72918	[Citation Analysis]
2009	Does economics need a scientific revolution? RePEc:pra:mprapa:14476	[Citation Analysis]
2009	A fair price for motor fuel in the United States RePEc:pra:mprapa:15039	[Citation Analysis]
2009	Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange RePEc:pra:mprapa:19887	[Citation Analysis]
2009	The dynamics of social interaction with agents’ heterogeneity RePEc:vnm:wpaper:189	[Citation Analysis]
2009	Distribution of Labour Productivity in Japan over the Period 1996–-2006 RePEc:zbw:ifwedp:7481	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Sparse and stable Markowitz portfolios RePEc:arx:papers:0708.0046	[Citation Analysis]
2008	Investments in Random Environments RePEc:arx:papers:0709.3630	[Citation Analysis]
2008	Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments RePEc:arx:papers:0801.4305	[Citation Analysis]
2008	Intermittency and Localization RePEc:arx:papers:0802.3541	[Citation Analysis]
2008	Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time RePEc:arx:papers:0802.4311	[Citation Analysis]
2008	Probability distribution of returns in the exponential Ornstein-Uhlenbeck model RePEc:arx:papers:0805.0540	[Citation Analysis]
2008	Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models RePEc:arx:papers:0807.3464	[Citation Analysis]
2008	Modelling real GDP per capita in the USA: cointegration test RePEc:arx:papers:0811.0490	[Citation Analysis]
2008	The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation RePEc:arx:papers:0812.4052	[Citation Analysis]
2008	The Great Risk Shift? Income Volatility in an International Perspective RePEc:ces:ceswps:_2465	[Citation Analysis]
2008	A Boltzmann-type Approach to the Formation of Wealth Distribution Curves RePEc:knz:cofedp:0805	[Citation Analysis]
2008	Happiness Inequality in the United States RePEc:nbr:nberwo:14220	[Citation Analysis]
2008	What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data RePEc:nbr:nberwo:14465	[Citation Analysis]
2008	An analytically tractable time-changed jump-diffusion default intensity model RePEc:rdg:icmadp:icma-dp2008-06	[Citation Analysis]
2008	Pricing by hedging and no-arbitrage beyond semimartingales RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468	[Citation Analysis]
2008	Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors RePEc:zbw:ifwedp:7463	[Citation Analysis]
2008	Power-Law and Log-Normal Distributions in Firm Size Displacement Data RePEc:zbw:ifwedp:7466	[Citation Analysis]