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
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7 papers · 1 filter
Replica approach to mean-variance portfolio optimization
Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with th…
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…
Excess reciprocity distorts reputation in online social networks
Giacomo Livan, Fabio Caccioli, Tomaso Aste
The peer-to-peer (P2P) economy relies on establishing trust in distributed networked systems, where the reliability of a user is assessed through digital peer-review processes that…
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…
Parsimonious modeling with Information Filtering Networks
Wolfram Barfuss, Guido Previde Massara, T. Di Matteo +1
We introduce a methodology to construct parsimonious probabilistic models. This method makes use of Information Filtering Networks to produce a robust estimate of the global sparse…