108 citations · 526 across the 14 of their papers we have counts for
17 papers
Optimal Trading with Alpha Predictors
Filippo Passerini, Samuel E. Vazquez
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finit…
Option Pricing, Historical Volatility and Tail Risks
Samuel E. Vazquez
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It…
Gauge Invariance, Geometry and Arbitrage
Samuel E. Vazquez, Simone Farinelli
In this work, we identify the most general measure of arbitrage for any market model governed by Itô processes. We show that our arbitrage measure is invariant under changes of num…
Perturbation theory in a pure exchange non-equilibrium economy
Samuel E. Vazquez, Simone Severini
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the…
Scale Invariance, Bounded Rationality and Non-Equilibrium Economics
Samuel E. Vazquez
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product tran…
1/N Effects in Non-Relativistic Gauge-Gravity Duality
Allan Adams, Alexander Maloney, Aninda Sinha +1
We argue that higher-curvature terms in the gravitational Lagrangian lead, via non-relativistic gauge-gravity duality, to finite renormalization of the dynamical exponent of the du…