29 citations · 83 across the 7 of their papers we have counts for
10 papers
Multiscaling in the Rough Bergomi Model: A Tale of Tails
Giuseppe Brandi, Tiziana Di Matteo
The rough Bergomi (rBergomi) model, characterised by its roughness parameter , has been shown to exhibit multiscaling behaviour as approaches zero. Multiscaling has profound…
Multiscaling and rough volatility: an empirical investigation
Giuseppe Brandi, T. Di Matteo
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts,…
The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool
Ioannis P. Antoniades, Giuseppe Brandi, L. G. Magafas +1
The dynamical evolution of multiscaling in financial time series is investigated using time-dependent Generalized Hurst Exponents (GHE), , for various values of the parameter…
A new multilayer network construction via Tensor learning
Giuseppe Brandi, T. Di Matteo
Multilayer networks proved to be suitable in extracting and providing dependency information of different complex systems. The construction of these networks is difficult and is mo…
Predicting Multidimensional Data via Tensor Learning
Giuseppe Brandi, T. Di Matteo
The analysis of multidimensional data is becoming a more and more relevant topic in statistical and machine learning research. Given their complexity, such data objects are usually…
On the statistics of scaling exponents and the Multiscaling Value at Risk
Giuseppe Brandi, T. Di Matteo
Scaling and multiscaling financial time series have been widely studied in the literature. The research on this topic is vast and still flourishing. One way to analyze the scaling…
Systemic liquidity contagion in the European interbank market
V. Macchiati, G. Brandi, G. Cimini +3
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and fi…
Unveil stock correlation via a new tensor-based decomposition method
Giuseppe Brandi, Ruggero Gramatica, Tiziana Di Matteo
Portfolio allocation and risk management make use of correlation matrices and heavily rely on the choice of a proper correlation matrix to be used. In this regard, one important qu…
On the interplay between multiscaling and stocks dependence
R. J. Buonocore, G. Brandi, R. N. Mantegna +1
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the o…
Epidemics of Liquidity Shortages in Interbank Markets
Giuseppe Brandi, Riccardo Di Clemente, Giulio Cimini
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models u…