18 citations · 88 across the 16 of their papers we have counts for
16 papers
New Application of Functional Integrals to Classical Mechanics
Anton Zherebtsov, Kirill Ilinski
In this paper a new functional integral representation for classical dynamics is introduced. It is achieved by rewriting the Liouville picture in terms of bosonic creation-annihila…
Critical Crashes?
Kirill Ilinski
In this short note we discuss recent attempts to describe pre-crash market dynamics with analogies from theory of critical phenomena.
How to account for virtual arbitrage in the standard derivative pricing
Kirill Ilinski
In this short note we show how virtual arbitrage opportunities can be modelled and included in the standard derivative pricing without changing the general framework.
Derivative pricing with virtual arbitrage
Kirill Ilinski, Alexander Stepanenko
In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We mode…
Virtual Arbitrage Pricing Theory
Kirill Ilinski
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter i…
How to reconcile Market Efficiency and Technical Analysis
Alexandra Ilinskaia, Kirill Ilinski
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However t…