36 citations · 85 across the 13 of their papers we have counts for
Showing 1998Show all
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cond-mat.stat-mech1998
Multiscale behaviour of volatility autocorrelations in a financial market
Michele Pasquini, Maurizio Serva
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exh…
quant-ph1998★ 1 cited
Localization induced by noise and non linearity
Ph. Blanchard, M. Pasquini, M. Serva
We introduce a model for a two configurations system, and we study the transition from quantum to classical behaviour. We first consider the effect of the interaction with the envi…
cond-mat.dis-nn1998
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…