283 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- London School of Economics and Political ScienceGB3 papers
- University College LondonGB3 papers
- Ca' Foscari University of VeniceIT2 papers
- European Centre for Living TechnologyIT2 papers
- IMT School for Advanced Studies LuccaIT2 papers
- Institute for Complex SystemsIT2 papers
- London Institute for Mathematical SciencesGB2 papers
- London Mathematical LaboratoryGB2 papers
- Sapienza University of RomeIT2 papers
- Systemic Risk CentreGB2 papers
- The Abdus Salam International Centre for Theoretical Physics (ICTP)IT2 papers
- University of ZurichCH2 papers
11 papers
Double Machine Learning for Time Series
Milos Ciganovic, Federico D'Amario, Massimiliano Tancioni
We modify the Double Machine Learning estimator to broaden its applicability to macroeconomic time-series settings. A deterministic cross-fitting step, termed Reverse Cross-Fitting…
Cluster Workload Allocation: Semantic Soft Affinity Using Natural Language Processing
Leszek Sliwko, Jolanta Mizeria-Pietraszko
Cluster workload allocation often requires complex configurations, creating a usability gap. This paper introduces a semantic, intent-driven scheduling paradigm for cluster systems…
Dubito Ergo Sum: Exploring AI Ethics
Viktor Dorfler, Giles Cuthbert
We paraphrase Descartes' famous dictum in the area of AI ethics where the "I doubt and therefore I am" is suggested as a necessary aspect of morality. Therefore AI, which cannot do…
The Physics of Financial Networks
Marco Bardoscia, Paolo Barucca, Stefano Battiston +6
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value o…
Lost in Diversification
Marco Bardoscia, Daniele d'Arienzo, Matteo Marsili +1
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk,…
PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation
Will Hicks
The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions t…
Network Valuation in Financial Systems
Paolo Barucca, Marco Bardoscia, Fabio Caccioli +4
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing…
Statistical mechanics of complex economies
Marco Bardoscia, Giacomo Livan, Matteo Marsili
In the pursuit of ever increasing efficiency and growth, our economies have evolved to remarkable degrees of complexity, with nested production processes feeding each other in orde…
Interactions between financial and environmental networks in OECD countries
Franco Ruzzenenti, Andreas Joseph, Elisa Ticci +2
We analyse a multiplex of networks between OECD countries during the decade 2002-2010, which consists of five financial layers, given by foreign direct investment, equity securitie…
Exact fit of simple finite mixture models
Dirk Tasche
How to forecast next year's portfolio-wide credit default rate based on last year's default observations and the current score distribution? A classical approach to this problem co…
The two defaults scenario for stressing credit portfolio loss distributions
Dirk Tasche
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. W…