258 citations · 1.1k across the 40 of their papers we have counts for
4 papers · 1 filter
The Social Climbing Game
Marco Bardoscia, Giancarlo De Luca, Giacomo Livan +2
The structure of a society depends, to some extent, on the incentives of the individuals they are composed of. We study a stylized model of this interplay, that suggests that the m…
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…
On the concentration of large deviations for fat tailed distributions, with application to financial data
Mario Filiasi, Giacomo Livan, Matteo Marsili +3
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a f…