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researcher

G. Bormetti

13 papers hereh-index 13580 citations89 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author3
  • middle author8
  • last author2

Across the 13 of 13 papers where every author was matched, so the position is known.

fields
  • q-fin.TR3
  • q-fin.PR2
  • q-fin.RM2
  • q-fin.ST2
  • cond-mat.other1
  • q-fin.CP1

identity via Semantic Scholar / OpenAlex

activity
20042025
most citedBayesian Analysis of Value-at-Risk with Product Partition Models

4 citations · 7 across the 9 of their papers we have counts for

collaborators
Showing 2013Show all

1 paper · 1 filter

q-fin.ST2013★ 2 cited

Modelling systemic price cojumps with Hawkes factor models

Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani +3

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian St…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.