67 citations · 128 across the 35 of their papers we have counts for
41 papers
Efficiency of the Moscow Stock Exchange before 2022
Andrey Shternshis, Piero Mazzarisi, Stefano Marmi
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We sho…
The Yoccoz-Birkeland livestock population model coupled with random price dynamics
Riccardo Ceccon, Giulia Livieri, Stefano Marmi
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equa…
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino +1
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation…
A convergence criterion for the unstable manifolds of the MacKay approximate renormalisation
Seul Bee Lee, Stefano Marmi, Tanja I. Schindler
We give an explicit arithmetical condition which guarantees the existence of the unstable manifold of the MacKay approximate renormalisation scheme for the breakup of invariant tor…
The Brjuno functions of the by-excess, odd, even and odd-odd continued fractions and their regularity properties
Seul Bee Lee, Stefano Marmi
The Brjuno function was introduced by Yoccoz to study the linearizability of holomorphic germs and other one-dimensional small divisor problems. The Brjuno functions associated wit…
Analytic linearization of a generalization of the semi-standard map: radius of convergence and Brjuno sum
Claire Chavaudret, Stefano Marmi
One considers a system on close to an invariant curve which can be viewed as a generalization of the semi-standard map to a trigonometric polynomial with many Fourie…