80 citations · 645 across the 38 of their papers we have counts for
3 papers · 1 filter
Contingent Convertible Bonds in Financial Networks
Giovanni Calice, Carlo Sala, Daniele Tantari
We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of…
On the equivalence between the Kinetic Ising Model and discrete autoregressive processes
Carlo Campajola, Fabrizio Lillo, Piero Mazzarisi +1
Binary random variables are the building blocks used to describe a large variety of systems, from magnetic spins to financial time series and neuron activity. In Statistical Physic…
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
Carlo Campajola, Domenico Di Gangi, Fabrizio Lillo +1
A common issue when analyzing real-world complex systems is that the interactions between the elements often change over time: this makes it difficult to find optimal models that d…