Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro Analysis of bank leverage via dynamical systems and deep neural networks. (English) Zbl 1520.91428 SIAM J. Financ. Math. 14, No. 2, 598-643 (2023). MSC: 91G45 60H30 37H15 62M45 PDFBibTeX XMLCite \textit{F. Lillo} et al., SIAM J. Financ. Math. 14, No. 2, 598--643 (2023; Zbl 1520.91428) Full Text: DOI arXiv
Shternshis, Andrey; Mazzarisi, Piero; Marmi, Stefano Measuring market efficiency: the Shannon entropy of high-frequency financial time series. (English) Zbl 1506.91129 Chaos Solitons Fractals 162, Article ID 112403, 16 p. (2022). MSC: 91B84 62M10 62P05 94A17 91B26 PDFBibTeX XMLCite \textit{A. Shternshis} et al., Chaos Solitons Fractals 162, Article ID 112403, 16 p. (2022; Zbl 1506.91129) Full Text: DOI
Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano Asymptotic results for the Fourier estimator of the integrated quarticity. (English) Zbl 1432.91112 Decis. Econ. Finance 42, No. 2, 471-502 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G15 60F05 62P05 PDFBibTeX XMLCite \textit{G. Livieri} et al., Decis. Econ. Finance 42, No. 2, 471--502 (2019; Zbl 1432.91112) Full Text: DOI
Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio Modelling systemic price cojumps with Hawkes factor models. (English) Zbl 1398.91506 Quant. Finance 15, No. 7, 1137-1156 (2015). MSC: 91G10 60J75 62P05 60G55 PDFBibTeX XMLCite \textit{G. Bormetti} et al., Quant. Finance 15, No. 7, 1137--1156 (2015; Zbl 1398.91506) Full Text: DOI arXiv Link