653 citations · 2.9k across the 53 of their papers we have counts for
4 papers · 1 filter
Resilience to Contagion in Financial Networks
Hamed Amini, Rama Cont, Andreea Minca
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive r…
Loss-Based Risk Measures
Rama Cont, Romain Deguest, Xuedong He
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study…
Price dynamics in a Markovian limit order market
Rama Cont, Adrien De Larrard
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in term…
Nonparametric tests for pathwise properties of semimartingales
Rama Cont, Cecilia Mancini
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a Lévy process and a Brownian semimartingale. Using a nonparametric t…