38 citations · 106 across the 20 of their papers we have counts for
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cond-mat.stat-mech2015★ 5 cited
A method that reveals the multi-level ultrametric tree hidden in p-spin glass like systems
R. Baviera, M. A. Virasoro
In the study of disordered models like spin glasses the key object of interest is the rugged energy hypersurface defined in configuration space. The statistical mechanics calculati…
cond-mat.stat-mech1999★ 38 cited
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…
cond-mat.stat-mech1999★ 13 cited
Markovian approximation in foreign exchange markets
R. Baviera, D. Vergni, A. Vulpiani
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters netw…