222 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Hebrew University of JerusalemIL3 papers
- University of ManchesterGB3 papers
- Ben-Gurion University of the NegevIL2 papers
- Advanced Research Projects Agency - EnergyUS1 paper
- Imperial College LondonGB1 paper
- Jerusalem College of TechnologyIL1 paper
- Korea Advanced Institute of Science and TechnologyKR1 paper
- London School of Economics and Political ScienceGB1 paper
- Queens College, CUNYUS1 paper
- Sapienza University of RomeIT1 paper
- University of BolognaIT1 paper
- University of Milano-BicoccaIT1 paper
10 papers
A Survey on Centrality and Importance Measures in Hypergraphs: Categorization and Empirical Insights
Jaewan Chun, Fanchen Bu, Yeongho Kim +3
Identifying central entities and interactions is a fundamental problem in network science. While well-studied for graphs (pairwise relations), many biological and social systems ex…
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales +3
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), form…
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…
Spin and charge transport in ferromagnet-superconductor-ferromagnet heterostructures: Stoner versus spin mass mismatch mechanism
Paola Gentile, Marilena Catapano, Nicola De Vivo +3
We study transport phenomena through a ballistic ferromagnet-superconductor-ferromagnet (F/S/F) junction, comparing the case in which the ferromagnetic order in the two F layers is…
A Clarification of the Nuances in the Fairness Metrics Landscape
Alessandro Castelnovo, Riccardo Crupi, Greta Greco +3
In recent years, the problem of addressing fairness in Machine Learning (ML) and automatic decision-making has attracted a lot of attention in the scientific communities dealing wi…
Missing Data as Part of the Social Behavior in Real-World Financial Complex Systems
Guy Kelman, Eran Manes, Marco Lamieri +1
Many real-world networks are known to exhibit facts that counter our knowledge prescribed by the theories on network creation and communication patterns. A common prerequisite in n…
Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis
Natasa Golo, David S. Bree, Guy Kelman +3
Solomon and Golo [1] have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic param…
Dissortative From the Outside, Assortative From the Inside: Social Structure and Behavior in the Industrial Trade Network
Guy Kelman, David S. Brée, Eran Manes +3
It is generally accepted that neighboring nodes in financial networks are negatively assorted with respect to the correlation between their degrees. This feature would play an impo…
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
Damiano Brigo, Qing Liu, Andrea Pallavicini +1
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach…
From Minority Game to Black & Scholes pricing
Matteo Ortisi, Valerio Zuccolo
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics deri…