751 citations · 3.2k across the 102 of their papers we have counts for
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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…
On the dynamics of a self-gravitating medium with random and non-random initial conditions
Erik Aurell, Duccio Fanelli, Paolo Muratore-Ginanneschi
The dynamics of a one-dimensional self-gravitating medium, with initial density almost uniform is studied. Numerical experiments are performed with ordered and with Gaussian random…
Financial Friction and Multiplicative Markov Market Game
Erik Aurell, Paolo Muratore-Ginanneschi
We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form,…
Drifters dispersion in the Adriatic Sea: Lagrangian data and chaotic model
Guglielmo Lacorata, Erik Aurell, Angelo Vulpiani
We analyze characteristics of drifter trajectories from the Adriatic Sea with recently introduced nonlinear dynamics techniques. We discuss how in quasi-enclosed basins, relative d…