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Volume 9, Issue 5

Quantitative Finance

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Quantitative Finance, Volume 9, Issue 5 (2009)

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Quantitative Finance, Volume 9, Issue 5 (2009)

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Features

Article

Modeling risk in arbitrage strategies using finite mixtures

Adam Tashman & Robert J. Frey

Pages: 495-503

Published online: 18 Jun 2009

First Page PreviewforModeling risk in arbitrage strategies using finite mixtures | Full Text | References | PDF (772 KB)

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24 CrossRef citations
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Article

Time reversal invariance in finance

Gilles Zumbach

Pages: 505-515

Published online: 18 Jun 2009

First Page PreviewforTime reversal invariance in finance | Full Text | References | PDF (522.2 KB)

342 Views
51 CrossRef citations
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Research Papers

Article

Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals

Ngai Hang Chan & Chi Tim Ng

Pages: 519-525

Published online: 18 Jun 2009

AbstractforStochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals | Full Text | References | PDF (126 KB)

153 Views
1 CrossRef citations
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Article

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Roberto Pascual & David Veredas

Pages: 527-545

Published online: 18 Jun 2009

AbstractforWhat pieces of limit order book information matter in explaining order choice by patient and impatient traders? | Full Text | References | PDF (195.5 KB)

488 Views
19 CrossRef citations
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Article

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltán Eisler, János Kertész, Fabrizio Lillo & Rosario N. Mantegna

Pages: 547-563

Published online: 18 Jun 2009

AbstractforDiffusive behavior and the modeling of characteristic times in limit order executions | Full Text | References | PDF (879.8 KB)

120 Views
16 CrossRef citations
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Article

Portfolio diversification and value at risk under thick-tailedness

Rustam Ibragimov

Pages: 565-580

Published online: 18 Jun 2009

AbstractforPortfolio diversification and value at risk under thick-tailedness | Full Text | References | PDF (235.5 KB)

637 Views
66 CrossRef citations
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Article

Capital allocation for credit portfolios with kernel estimators

Dirk Tasche

Pages: 581-595

Published online: 18 Jun 2009

AbstractforCapital allocation for credit portfolios with kernel estimators | Full Text | References | PDF (174.3 KB)

267 Views
21 CrossRef citations
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Article

A multivariate Lévy process model with linear correlation

Reiichiro Kawai

Pages: 597-606

Published online: 18 Jun 2009

AbstractforA multivariate Lévy process model with linear correlation | Full Text | References | PDF (455.4 KB)

204 Views
18 CrossRef citations
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Article

Volatility transmission patterns and terrorist attacks

Helena Chuliá, Francisco Climent, Pilar Soriano & Hipòlit Torró

Pages: 607-619

Published online: 18 Jun 2009

AbstractforVolatility transmission patterns and terrorist attacks | Full Text | References | PDF (258.9 KB)

332 Views
16 CrossRef citations
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Article

A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms

Joaquim J.S. Ramalho & Jacinto Vidigal da Silva

Pages: 621-636

Published online: 18 Jun 2009

AbstractforA two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms | Full Text | References | PDF (181.1 KB)

1844 Views
94 CrossRef citations
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