85 citations · 92 across the 6 of their papers we have counts for
6 papers
Resilience of mobility network to dynamic population response across COVID-19 interventions: evidences from Chile
Pasquale Casaburi, Lorenzo Dall'Amico, Nicolò Gozzi +6
The COVID19 pandemic highlighted the importance of non-traditional data sources, such as mobile phone data, to inform effective public health interventions and monitor adherence to…
Multiscaling and rough volatility: an empirical investigation
Giuseppe Brandi, T. Di Matteo
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts,…
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…
A memory-based method to select the number of relevant components in Principal Component Analysis
Anshul Verma, Pierpaolo Vivo, Tiziana Di Matteo
We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose…
Effects of diversification among assets in an agent-based market model
F. Ghoulmié, M. Bartolozzi, C. P. Mellen +1
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive…
An invariant distribution in static granular media
T. Aste, T. Di Matteo, M. Saadatfar +3
We have discovered an invariant distribution for local packing configurations in static granular media. This distribution holds in experiments for packing fractions covering most o…