258 citations · 1.1k across the 40 of their papers we have counts for
5 papers · 1 filter
Modeling and Simulation of Financial Returns under Non-Gaussian Distributions
Federica De Domenico, Giacomo Livan, Guido Montagna +1
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical a…
Maximum Entropy approach to multivariate time series randomization
Riccardo Marcaccioli, Giacomo Livan
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through s…
On the non-stationarity of financial time series: impact on optimal portfolio selection
Giacomo Livan, Jun-ichi Inoue, Enrico Scalas
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary beh…
Asymmetric correlation matrices: an analysis of financial data
Giacomo Livan, Luca Rebecchi
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the sp…
The fine structure of spectral properties for random correlation matrices: an application to financial markets
G. Livan, S. Alfarano, E. Scalas
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirica…