PROCEEDINGS VOLUME 5848
SPIE THIRD INTERNATIONAL SYMPOSIUM ON FLUCTUATIONS AND NOISE | 24-26 MAY 2005
Noise and Fluctuations in Econophysics and Finance
Proceedings Volume 5848 is from: Logo
SPIE THIRD INTERNATIONAL SYMPOSIUM ON FLUCTUATIONS AND NOISE
24-26 May 2005
Austin, Texas, United States
Scaling Properties
Proc. SPIE 5848, From default probabilities to credit spreads: credit risk models explain market prices, 0000 (23 May 2005); doi: 10.1117/12.618937
Proc. SPIE 5848, Forecasting of magnitude and duration of currency crises based on the analysis of distortions of fractal scaling in exchange rate fluctuations, 0000 (23 May 2005); doi: 10.1117/12.609400
Understanding Price Fluctuations
Proc. SPIE 5848, A theory of fluctuations in stock prices: effects of discreteness, 0000 (23 May 2005); doi: 10.1117/12.609574
Option Pricing
Proc. SPIE 5848, A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory, 0000 (23 May 2005); doi: 10.1117/12.610723
Proc. SPIE 5848, Path integrals in fluctuating markets with a non-Gaussian option pricing model, 0000 (23 May 2005); doi: 10.1117/12.618664
Econoengineering Techniques
Proc. SPIE 5848, What shakes the FX tree? Understanding currency dominance, dependence, and dynamics, 0000 (23 May 2005); doi: 10.1117/12.618875
Proc. SPIE 5848, Correlation filtering in financial time series, 0000 (23 May 2005); doi: 10.1117/12.619185
Proc. SPIE 5848, Pricing of options on assets with level dependent stochastic volatility, 0000 (23 May 2005); doi: 10.1117/12.616198
Random Walks in Finance
Proc. SPIE 5848, The subtle nature of market efficiency, 0000 (23 May 2005); doi: 10.1117/12.619468
Proc. SPIE 5848, Variable step random walks, self-similar distributions, and pricing of options, 0000 (23 May 2005); doi: 10.1117/12.618948
Proc. SPIE 5848, Asymmetry and multifractality in finance with an application to option smiles, 0000 (23 May 2005); doi: 10.1117/12.609359
Statistical Physics/Thermodynamics Viewpoint
Proc. SPIE 5848, Power-law distributions in economics: a nonextensive statistical approach, 0000 (23 May 2005); doi: 10.1117/12.619469
Proc. SPIE 5848, On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers, 0000 (23 May 2005); doi: 10.1117/12.618904
Analytical Techniques I
Proc. SPIE 5848, A closed-form exact solution for the value of American put and its optimal exercise boundary, 0000 (23 May 2005); doi: 10.1117/12.609078
Proc. SPIE 5848, Speculative equilibria and asymptotic dominance in a market with adaptive CRRA traders, 0000 (23 May 2005); doi: 10.1117/12.619471
Proc. SPIE 5848, Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism, 0000 (23 May 2005); doi: 10.1117/12.609420
Agent-based Models
Proc. SPIE 5848, Competitive advantage for multiple-memory strategies in an artificial market, 0000 (23 May 2005); doi: 10.1117/12.618869
Proc. SPIE 5848, Price dynamics and market power in an agent-based power exchange, 0000 (23 May 2005); doi: 10.1117/12.609439
Proc. SPIE 5848, Fluctuation in option pricing using cellular automata based market models, 0000 (23 May 2005); doi: 10.1117/12.611366
Complex Dynamics I
Proc. SPIE 5848, Complex dynamics and empirical evidence, 0000 (23 May 2005); doi: 10.1117/12.619472
Analytical Techniques II
Proc. SPIE 5848, Optimal investment strategies and hedging of derivatives in the presence of transaction costs, 0000 (23 May 2005); doi: 10.1117/12.619358
Proc. SPIE 5848, Rate of convergence of approximations of some convex functionals of stochastic differential equations, 0000 (23 May 2005); doi: 10.1117/12.619474
Proc. SPIE 5848, Risk analytics for hedge funds, 0000 (23 May 2005); doi: 10.1117/12.599049
Complex Dynamics II
Proc. SPIE 5848, Lumpy investment, sectoral propagation, and business cycles, 0000 (23 May 2005); doi: 10.1117/12.609339
Proc. SPIE 5848, Serial correlation in the Italian futures market, 0000 (23 May 2005); doi: 10.1117/12.607897
Proc. SPIE 5848, Analysis in correlation for the Korean stock market, 0000 (23 May 2005); doi: 10.1117/12.609389
Econophysics/Economics Dialogue
Proc. SPIE 5848, What physicists should know about finance, 0000 (23 May 2005); doi: 10.1117/12.613074
Statistical Physics/Thermodynamics Viewpoint
Proc. SPIE 5848, De-noising with wavelets method in chaotic time series: application in climatology, energy, and finance, 0000 (23 May 2005); doi: 10.1117/12.620301
Bubbles and Crashes
Proc. SPIE 5848, A wavelet analysis of scaling laws and long-memory in stock market volatility, 0000 (23 May 2005); doi: 10.1117/12.626343
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