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February Papers in Quantitative Finance at arXiv

Visit the new Q-Fin section at arXiv.

Read the Launch Announcement.

• The Reality Game - Dmitriy Cherkashin, J. Doyne Farmer, Seth Lloyd
• A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment - Subrata Chakrabarty
• The role of a matchmaker in buyer-vendor interactions - Linyuan Lü, Matus Medo, Yi-Cheng Zhang
• The backbone of complex networks of corporations: Who is controlling whom? - J.B. Glattfelder, S. Battiston
• Production Copula - H. Iyetomi, H. Aoyama, Y. Fujiwara, Y. Ikeda, W. Souma
• Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives - Rasoul Behboudi, You-Lan Zhu
• Emergence of Power Law in a Market with Mixed Models - M. Ali Saif, Prashant M. Gade
• Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models - M. Ali Saif, Prashant M. Gade
• A Unified Framework for Dynamic Pari-Mutuel Information Market Design - Shipra Agrawal, Erick Delage, Mark Peters, Zizhuo Wang, Yinyu Ye
• Optimal Trade Execution in Illiquid Markets - Erhan Bayraktar, Mike Ludkovski
• First-passage and risk evaluation under stochastic volatility - Jaume Masoliver, Josep Perello
• Monitoring dates of maximal risk - Erick Trevino Aguilar
• Optimal leverage from non-ergodicity - Ole Peters
• On the valuation of compositions in Lévy term structure models - Wolfgang Kluge, Antonis Papapantoleon
• A Fourier transform method for spread option pricing - T. R. Hurd, Zhuowei Zhou
• The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets - Cheoljun Eom, Jongwon Park, Woo-Sung Jung, Taisei Kaizoji, Yong H. Kim
• Scale Invariance, Bounded Rationality and Non-Equilibrium Economics - Samuel E. Vazquez
• Liquidity Crisis, Granularity of the Order Book and Price Fluctuations - M. Cristelli, V. Alfi, L. Pietronero, A. Zaccaria
• T-Systems and the lower Snell envelope - Erick Trevino Aguilar
• Time and symmetry in models of economic markets - Lee Smolin
• Quantized Interest Rate at the Money for American Options - L.M. Dieng
• A k-generalized statistical mechanics approach to income analysis - F. Clementi, M. Gallegati, G. Kaniadakis

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