129 citations · 382 across the 40 of their papers we have counts for
4 papers · 1 filter
Growth Optimal Investment and Pricing of Derivatives
Erik Aurell, Roberto Baviera, Ola Hammarlid +2
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why the…
Indeterminacy in foreign exchange market
Michele Pasquini, Maurizio Serva
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the resu…
Random dynamical systems, entropies and information
Maurizio Serva
Prediction of events is the challenge in many different disciplines, from meteorology to finance; the more this task is difficult, the more a system is {\it complex}. Nevertheless,…
Efficiency in foreign exchange markets
R. Baviera, M. Pasquini, M. Serva +2
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We intr…