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Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series

Economy – Quantitative Finance – General Finance
Scientific paper

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Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009

Economy – Quantitative Finance – General Finance
Scientific paper

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Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions

Economy – Quantitative Finance – Risk Management
Scientific paper

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Managing Derivative Exposure

Economy – Quantitative Finance – Portfolio Management
Scientific paper

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Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market

Economy – Quantitative Finance – General Finance
Scientific paper

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Margin setting with high-frequency data1

Economy – Quantitative Finance – Risk Management
Scientific paper

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Market behavior and performance of different strategy evaluation schemes

Economy – Quantitative Finance – Portfolio Management
Scientific paper

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Market bubbles and crashes

Economy – Quantitative Finance – Risk Management
Scientific paper

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Market completion using options

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Market dynamics after large financial crash

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws

Economy – Quantitative Finance – Trading and Market Microstructure
Scientific paper

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Market impact and trading profile of large trading orders in stock markets

Economy – Quantitative Finance – Trading and Market Microstructure
Scientific paper

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Market Implied Probability Distributions and Bayesian Skew Estimation

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Market inefficiency identified by both single and multiple currency trends

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Market Model with Heterogeneous Buyers

Economy – Quantitative Finance – Trading and Market Microstructure
Scientific paper

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Market models for CDOs driven by time-inhomogeneous Lévy processes

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Market panic on different time-scales

Economy – Quantitative Finance – Statistical Finance
Scientific paper

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Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Market response to external events and interventions in spherical minority games

Economy – Quantitative Finance – Trading and Market Microstructure
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