Interesting finance publication.

Posted: November 28, 2010 in Uncategorized

Hello,
Long time friends ,I just wanted to share some recent papers that I have been reading with you.  Sorry for the latency in posts but between an          active career, raising a 3 year old, and the holidays…..I am tired.
  1. Nicola Moreni.  Andrea Pallavicini.  “Parsimonious HJM Modellingfor Multiple Yield-Curve Dynamics”  November 4, 2010 (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.0828v1.pdf)
  2. IACOPO MASTROMATTEO.  MATTEO MARSILI.  “FINANCIAL CORRELATIONS AT ULTRA-HIGH FREQUENCY:THEORETICAL MODELS AND EMPIRICAL ESTIMATION”  (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.1011v1.pdf)
  3. Boris Podobnik.  Davor Horvatic.  “Cross-Correlations between Volume Change and Price Change”  November 12, 2010 (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.2674v1.pdf)

 

 

 

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