### Proceedings of SPIE Volume 5848

Noise and Fluctuations in Econophysics and FinanceFormat | Member Price | Non-Member Price |
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Softcover | $105.00 * | $105.00 * |

*Available as a photocopy reprint only. Allow two weeks reprinting time plus standard delivery time. No discounts or returns apply.

Volume Details

Volume Number: 5848

Date Published: 23 May 2005

Softcover: 29 papers (386) pages

ISBN: 9780819458438

Date Published: 23 May 2005

Softcover: 29 papers (386) pages

ISBN: 9780819458438

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

Author(s): Stefan M. Denzler; Michel M. Dacorogna; Ulrich A. Muller; Alexander J. McNeil

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

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

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

Author(s): Lisa Borland

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

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

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

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

Author(s): Alexander Skabelin

Variable step random walks, self-similar distributions, and pricing of options

Author(s): Gemunu H. Gunaratne; Joseph L. McCauley

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

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

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

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

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

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

Author(s): Silvano Cincotti; Linda Ponta; Marco Raberto; Enrico Scalas

Competitive advantage for multiple-memory strategies in an artificial market

Author(s): Kurt E. Mitman; Sehyo Charley Choe; Neil F. Johnson

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

Author(s): Silvano Cincotti; Eric Guerci; Marco Raberto

Fluctuation in option pricing using cellular automata based market models

Author(s): Yuying Gao; Gerardo Beni

Author(s): Yuying Gao; Gerardo Beni

Complex dynamics and empirical evidence

Author(s): Domenico Delli Gatti; Edoardo Gaffeo; Gianfranco Giulioni; Mauro Gallegati; Alan Kirman; Antonio Palestrini; Alberto Russo

Author(s): Domenico Delli Gatti; Edoardo Gaffeo; Gianfranco Giulioni; Mauro Gallegati; Alan Kirman; Antonio Palestrini; Alberto Russo

Optimal investment strategies and hedging of derivatives in the presence of transaction costs

Author(s): Paolo Muratore-Ginanneschi

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

Author(s): Henri Schurz

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Serial correlation in the Italian futures market

Author(s): Simone Bianco; Roberto Reno

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

Author(s): Woo-Sung Jung; Seungbyung Chae; Jae-Suk Yang; Okyu Kwon; Hie-Tae Moon

De-noising with wavelets method in chaotic time series: application in climatology, energy, and finance

Author(s): Dominique Guegan; Kebira Hoummiya

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

Author(s): Tommi A. Vuorenmaa

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