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pro vyhledávání: '"Vazquez, Samuel"'
Autor:
Chávez-Vázquez, Samuel, Lavín-Delgado, Jorge E., Gómez-Aguilar, José F., Razo-Hernández, José R., Etemad, Sina, Rezapour, Shahram
Publikováno v:
In Applied Mathematical Modelling August 2023 120:436-462
Autor:
Passerini, Filippo, Vazquez, Samuel E.
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 finite horizon using both limit and market orders. Consistently with other
Externí odkaz:
http://arxiv.org/abs/1501.03756
Autor:
Vazquez, Samuel E.
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 is argued that the reason for the observed volatility risk premium is
Externí odkaz:
http://arxiv.org/abs/1402.1255
Autor:
Vazquez, Samuel E., Farinelli, Simone
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such measure has a
Externí odkaz:
http://arxiv.org/abs/0908.3043
Autor:
Vazquez, Samuel E., Severini, Simone
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 flow of products in an economy driven by heterogeneous preferences an
Externí odkaz:
http://arxiv.org/abs/0904.1402
Autor:
Vazquez, Samuel E.
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 transformations. A basic guiding principle is scale invariance, which mean
Externí odkaz:
http://arxiv.org/abs/0902.3840
Akademický článek
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Publikováno v:
JHEP 0903:097,2009
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 dual conformal field theory. Our argument includes a proof of the non-re
Externí odkaz:
http://arxiv.org/abs/0812.0166
Publikováno v:
JHEP 12 (2008) 090
We use the AdS/CFT correspondence to study propagation of sound waves in strongly coupled (2+1) dimensional conformal magnetic fluids. Our computation provides a nontrivial consistency check of the viscous magneto-hydrodynamics of Hartnoll-Kovtun-Mul
Externí odkaz:
http://arxiv.org/abs/0810.4094
Autor:
Vazquez, Samuel E.
Publikováno v:
Phys.Rev.D79:043520,2009
In writing a covariant effective action for single field inflation, one is allowed to add a Gauss-Bonnet and axion-type curvature couplings. These couplings represent modifications of gravity, and are the unique higher-curvature terms that lead to se
Externí odkaz:
http://arxiv.org/abs/0806.0603