2 citations · 2 across the 6 of their papers we have counts for
4 papers · 1 filter
Are cryptocurrencies real financial bubbles? Evidence from quantitative analyses
Marco Bianchetti, Camilla Ricci, Marco Scaringi
The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually…
Sharpening Shapley Allocation: from Basel 2.5 to FRTB
Marco Scaringi, Marco Bianchetti
Risk allocation, the decomposition of a portfolio-wide risk measure into component contributions, is a fundamental problem in financial risk management due to the non-additive natu…
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales +3
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), form…
Brexit or Bremain ? Evidence from bubble analysis
Marco Bianchetti, Davide Galli, Camilla Ricci +2
We applied the Johansen-Ledoit-Sornette (JLS) model to detect possible bubbles and crashes related to the Brexit/Bremain referendum scheduled for 23rd June 2016. Our implementation…