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q-fin.ST2020
Market structure dynamics during COVID-19 outbreak
Pier Francesco Procacci, Carolyn E. Phelan, Tomaso Aste
In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during t…
q-fin.ST2018
Forecasting market states
Pier Francesco Procacci, Tomaso Aste
We propose a novel methodology to define, analyze and forecast market states. In our approach market states are identified by a reference sparse precision matrix and a vector of ex…