38 citations · 106 across the 20 of their papers we have counts for
6 papers · 1 filter
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…
Transaction costs: a new point of view
R. Baviera
We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the qu…
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…
A general methodology to price and hedge derivatives in incomplete markets
E. Aurell, R. Baviera, O. Hammarlid +2
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. Th…
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…