283 citations · 802 across the 44 of their papers we have counts for
5 papers · 1 filter
Granger Causality Detection with Kolmogorov-Arnold Networks
Hongyu Lin, Mohan Ren, Paolo Barucca +1
Discovering causal relationships in time series data is central in many scientific areas, ranging from economics to climate science. Granger causality is a powerful tool for causal…
How the interplay between power concentration, competition, and propagation affects the resource efficiency of distributed ledgers
Paolo Barucca, Carlo Campajola, Jiahua Xu
Forks in the Bitcoin network result from the natural competition in the blockchain's Proof-of-Work consensus protocol. Their frequency is a critical indicator for the efficiency of…
Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface
Kentaro Hoshisashi, Carolyn E. Phelan, Paolo Barucca
Calibrating the time-dependent Implied Volatility Surface (IVS) using sparse market data is an essential challenge in computational finance, particularly for real-time applications…
Random matrix ensemble for the covariance matrix of Ornstein-Uhlenbeck processes with heterogeneous temperatures
Leonardo Ferreira, Fernando Metz, Paolo Barucca
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained b…
Predicting public market behavior from private equity deals
Paolo Barucca, Flaviano Morone
We process private equity transactions to predict public market behavior with a logit model. Specifically, we estimate our model to predict quarterly returns for both the broad mar…