36 citations · 85 across the 13 of their papers we have counts for
6 papers · 1 filter
A macroscopically frustrated Ising model
M. Pasquini, M. Serva
A disordered spin glass model where both static and dynamical properties depend on macroscopic magnetizations is presented. These magnetizations interact via random couplings and,…
Moving averages and markets inefficiency
R. Baviera, M. Pasquini, J. Raboanary +1
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested agains…
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…
Optimal Strategies for Prudent Investors
R. Baviera, M. Pasquini, M. Serva +1
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of…
A variational approach to Ising spin glasses in finite dimensions
R. Baviera, M. Pasquini, M. Serva
We introduce a hierarchical class of approximations of the random Ising spin glass in dimensions. The attention is focused on finite clusters of spins where the action of the r…
2d frustrated Ising model with four phases
M. Pasquini, M. Serva
In this paper we consider a 2d random Ising system on a square lattice with nearest neighbour interactions. The disorder is short range correlated and asymmetry between the vertica…