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
8 papers · 1 filter
Dependency structures in cryptocurrency market from high to low frequency
Antonio Briola, Tomaso Aste
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study…
Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics
Jeremy Turiel, Tomaso Aste
We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated…
Maximum Entropy approach to multivariate time series randomization
Riccardo Marcaccioli, Giacomo Livan
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through s…
Forecasting market states
Pier Francesco Procacci, Tomaso Aste
We propose a novel methodology to define, analyze and forecast market states. In our approach market states are identified by a reference sparse precision matrix and a vector of ex…
A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mo…
A nonlinear impact: evidences of causal effects of social media on market prices
Thársis T. P. Souza, Tomaso Aste
Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evide…