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Noise and Fluctuations in Econophysics and Finance
Editor(s): Derek Abbott; Jean-Philippe Bouchaud; Xavier Gabaix; Joseph L. McCauley

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Volume Details

Volume Number: 5848
Date Published: 23 May 2005

Table of Contents
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From default probabilities to credit spreads: credit risk models explain market prices
Author(s): Stefan M. Denzler; Michel M. Dacorogna; Ulrich A. Muller; Alexander J. McNeil
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Forecasting of magnitude and duration of currency crises based on the analysis of distortions of fractal scaling in exchange rate fluctuations
Author(s): Olga Yu. Uritskaya
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A theory of fluctuations in stock prices: effects of discreteness
Author(s): Angel L. Alejandro-Quinones; Kevin E. Bassler; Joseph L. McCauley; Gemunu H. Gunaratne
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A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory
Author(s): Lisa Borland
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Path integrals in fluctuating markets with a non-Gaussian option pricing model
Author(s): Frederic D. R. Bonnet; John van der Hoek; Andrew Allison; Derek Abbott
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What shakes the FX tree? Understanding currency dominance, dependence, and dynamics
Author(s): Neil F. Johnson; Mark McDonald; Omer Suleman; Stacy Williams; Sam Howison
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Correlation filtering in financial time series
Author(s): T. Aste; Tiziana Di Matteo; M. Tumminello; R. N. Mantegna
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Pricing of options on assets with level dependent stochastic volatility
Author(s): Alexander Skabelin
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The subtle nature of market efficiency
Author(s): Jean-Philippe Bouchaud
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Variable step random walks, self-similar distributions, and pricing of options
Author(s): Gemunu H. Gunaratne; Joseph L. McCauley
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Asymmetry and multifractality in finance with an application to option smiles
Author(s): Benoit Pochart
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Power-law distributions in economics: a nonextensive statistical approach
Author(s): Silvio M. Duarte Queiros; Celia Anteneodo; Constantino Tsallis
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On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers
Author(s): Andrea De Martino; Matteo Marsili
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A closed-form exact solution for the value of American put and its optimal exercise boundary
Author(s): Song-Ping Zhu
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Speculative equilibria and asymptotic dominance in a market with adaptive CRRA traders
Author(s): Mikhail Anufriev; Giulio Bottazzi; Francesca Pancotto
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Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism
Author(s): Silvano Cincotti; Linda Ponta; Marco Raberto; Enrico Scalas
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Competitive advantage for multiple-memory strategies in an artificial market
Author(s): Kurt E. Mitman; Sehyo Charley Choe; Neil F. Johnson
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Price dynamics and market power in an agent-based power exchange
Author(s): Silvano Cincotti; Eric Guerci; Marco Raberto
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Fluctuation in option pricing using cellular automata based market models
Author(s): Yuying Gao; Gerardo Beni
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Complex dynamics and empirical evidence
Author(s): Domenico Delli Gatti; Edoardo Gaffeo; Gianfranco Giulioni; Mauro Gallegati; Alan Kirman; Antonio Palestrini; Alberto Russo
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Optimal investment strategies and hedging of derivatives in the presence of transaction costs
Author(s): Paolo Muratore-Ginanneschi
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Rate of convergence of approximations of some convex functionals of stochastic differential equations
Author(s): Henri Schurz
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Risk analytics for hedge funds
Author(s): Ankur Pareek
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Lumpy investment, sectoral propagation, and business cycles
Author(s): Makoto Nirei
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Serial correlation in the Italian futures market
Author(s): Simone Bianco; Roberto Reno
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Analysis in correlation for the Korean stock market
Author(s): Woo-Sung Jung; Seungbyung Chae; Jae-Suk Yang; Okyu Kwon; Hie-Tae Moon
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What physicists should know about finance
Author(s): Anatoly B. Schmidt
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De-noising with wavelets method in chaotic time series: application in climatology, energy, and finance
Author(s): Dominique Guegan; Kebira Hoummiya
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A wavelet analysis of scaling laws and long-memory in stock market volatility
Author(s): Tommi A. Vuorenmaa
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