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4 papers · 1 filter
Network models of financial systemic risk: A review
Fabio Caccioli, Paolo Barucca, Teruyoshi Kobayashi
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visi…
Dynamic correlations at different time-scales with Empirical Mode Decomposition
Noemi Nava, T. Di Matteo, Tomaso Aste
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposi…
Hilbert transform, spectral filters and option pricing
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai +1
We show how spectral filters can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the f…
Analytic solution to variance optimization with no short-selling
Imre Kondor, Gábor Papp, Fabio Caccioli
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric …