283 citations
- University College LondonGB54 papers
- London School of Economics and Political ScienceGB48 papers
- London Mathematical LaboratoryGB13 papers
- King's College LondonGB10 papers
- London Institute for Mathematical SciencesGB7 papers
- University of ZurichCH5 papers
- Eötvös Loránd UniversityHU4 papers
- IMT School for Advanced Studies LuccaIT4 papers
- Institute for Complex SystemsIT4 papers
- Parmenides FoundationDE4 papers
- Complexity Science HubAT3 papers
- Department of Science and TechnologyIN3 papers
55 papers
Top eigenpair statistics of diluted Wishart matrices
Barak Budnick, Preben Forer, Pierpaolo Vivo +3
Using the replica method, we compute the statistics of the top eigenpair of diluted covariance matrices of the form , where is a…
Sentiment trading with large language models
Kemal Kirtac, Guido Germano
We investigate the efficacy of large language models (LLMs) in sentiment analysis of U.S. financial news and their potential in predicting stock market returns. We analyze a datase…
Phase transitions in debt recycling
Sabrina Aufiero, Preben Forer, Pierpaolo Vivo +2
Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds up as the mortgage is repaid m…
Correlation between upstreamness and downstreamness in random global value chains
Silvia Bartolucci, Fabio Caccioli, Francesco Caravelli +1
This paper is concerned with upstreamness and downstreamness of industries and countries. Upstreamness and downstreamness measure respectively the average distance of an industrial…
FTX's downfall and Binance's consolidation: The fragility of centralised digital finance
David Vidal-Tomás, Antonio Briola, Tomaso Aste
This paper investigates the causes of the FTX digital currency exchange's failure in November 2022. We identify the collapse of the Terra-Luna ecosystem as the pivotal event that t…
Anatomy of a Stablecoin's failure: the Terra-Luna case
Antonio Briola, David Vidal-Tomás, Yuanrong Wang +1
We quantitatively describe the main events that led to the Terra project's failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources;…