29 citations · 83 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…