4 citations · 4 across the 4 of their papers we have counts for
4 papers
Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations
Deborah Miori, Constantin Petrov
Starting from a corpus of economic articles from The Wall Street Journal, we present a novel systematic way to analyse news content that evolves over time. We leverage on state-of-…
DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools
Deborah Miori, Mihai Cucuringu
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At t…
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
Deborah Miori, Mihai Cucuringu
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number…
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
Deborah Miori, Mihai Cucuringu
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationshi…