29 citations · 29 across the 6 of their papers we have counts for
6 papers
Can market volumes reveal traders' rationality and a new risk premium?
Francesca Mariani, Maria Cristina Recchioni, Tai-Ho Wang +1
An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders' belief and risk aversion. T…
Near-Extremal Limits of de Sitter Black Holes
Alejandra Castro, Francesca Mariani, Chiara Toldo
We analyze the thermodynamic response near extremality of charged black holes in four-dimensional Einstein-Maxwell theory with a positive cosmological constant. The latter exhibit…
A new class of composite indicators: the penalized power means
Francesca Mariani, Mariateresa Ciommi, Maria Cristina Recchioni
In this paper we propose a new aggregation method for constructing composite indicators that is based on a penalization of the power means. The idea underlying this approach consis…
Optimal solution of the liquidation problem under execution risk
Lorella Fatone, Francesca Mariani
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order t…
An assets-liabilities dynamical model of banking system and systemic risk governance
Lorella Fatone, Francesca Mariani
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and it…
Systemic risk governance in a dynamical model of a banking system
Lorella Fatone, Francesca Mariani
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential…