Edit Profile (opens in new tab) Livieri, Giulia Co-Author Distance Author ID: livieri.giulia Published as: Livieri, Giulia; Livieri, G. Documents Indexed: 19 Publications since 2016, including 3 Additional arXiv Preprints Co-Authors: 35 Co-Authors with 19 Joint Publications 665 Co-Co-Authors all top 5 Co-Authors 0 single-authored 5 Marmi, Stefano 4 Flandoli, Franco 3 Ghio, Maddalena 3 Lillo, Fabrizio 2 Buccheri, Giuseppe 2 Campi, Luciano 2 Corvino, Fausto 2 Leocata, Marta 2 Morlacchi, Silvia 2 Pirino, Davide 2 Pirni, Alberto Eugenio Ermenegildo 2 Solomko, Anton V. 2 Vaienti, Sandro 1 Bondi, Alessandro 1 Bormetti, Giacomo 1 Bottazzi, Giulio 1 Callegaro, Giorgia 1 Ceccon, Riccardo 1 Ciacci, Alberto 1 Cordoni, Francesco Giuseppe 1 Corsi, Fulvio 1 Darcy, Matthieu 1 De Angelis, Tiziano 1 Fischer, Markus 1 Galimberti, Luca 1 Hamzi, Boumediene 1 Kolokolov, Aleksey 1 Kratsios, Anastasis 1 Mancino, Maria Elvira 1 Mertens, Luca Philippe 1 Owhadi, Houman 1 Pallavicini, Andrea 1 Pollastri, Alessandro 1 Pulido, Sergio 1 Tavallali, Peyman all top 5 Serials 2 Journal of Econometrics 2 Quantitative Finance 1 Journal of Statistical Physics 1 Applied Mathematics and Optimization 1 Physica D 1 European Journal of Applied Mathematics 1 The Annals of Applied Probability 1 Stochastic Processes and their Applications 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Communications in Nonlinear Science and Numerical Simulation 1 Decisions in Economics and Finance 1 SIAM Journal on Financial Mathematics 1 Annals of Finance all top 5 Fields 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Probability theory and stochastic processes (60-XX) 4 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 Partial differential equations (35-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Ordinary differential equations (34-XX) 1 Integral equations (45-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 10 Publications have been cited 40 times in 38 Documents Cited by ▼ Year ▼ Continuous time mean-variance portfolio optimization through the mean field approach. Zbl 1354.91143 Fischer, Markus; Livieri, Giulia 13 2016 A backward Monte Carlo approach to exotic option pricing. Zbl 1401.91552 Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A. 9 2018 \(N\)-player games and mean-field games with smooth dependence on past absorptions. Zbl 1481.91022 Campi, Luciano; Ghio, Maddalena; Livieri, Giulia 5 2021 A closed-form formula characterization of the Epps effect. Zbl 1448.91278 Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro 4 2020 Statistical inferences for price staleness. Zbl 1456.62250 Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide 3 2020 One-shot learning of stochastic differential equations with data adapted kernels. Zbl 07642851 Darcy, Matthieu; Hamzi, Boumediene; Livieri, Giulia; Owhadi, Houman; Tavallali, Peyman 2 2023 Analysis of bank leverage via dynamical systems and deep neural networks. Zbl 1520.91428 Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro 1 2023 Liquidity fluctuations and the latent dynamics of price impact. Zbl 1484.91460 Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia 1 2022 Asymptotic results for the Fourier estimator of the integrated quarticity. Zbl 1432.91112 Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano 1 2019 Mean-field games of finite-fuel capacity expansion with singular controls. Zbl 1501.35402 Campi, Luciano; De Angelis, Tiziano; Ghio, Maddalena; Livieri, Giulia 1 2022 One-shot learning of stochastic differential equations with data adapted kernels. Zbl 07642851 Darcy, Matthieu; Hamzi, Boumediene; Livieri, Giulia; Owhadi, Houman; Tavallali, Peyman 2 2023 Analysis of bank leverage via dynamical systems and deep neural networks. Zbl 1520.91428 Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro 1 2023 Liquidity fluctuations and the latent dynamics of price impact. Zbl 1484.91460 Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia 1 2022 Mean-field games of finite-fuel capacity expansion with singular controls. Zbl 1501.35402 Campi, Luciano; De Angelis, Tiziano; Ghio, Maddalena; Livieri, Giulia 1 2022 \(N\)-player games and mean-field games with smooth dependence on past absorptions. Zbl 1481.91022 Campi, Luciano; Ghio, Maddalena; Livieri, Giulia 5 2021 A closed-form formula characterization of the Epps effect. Zbl 1448.91278 Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro 4 2020 Statistical inferences for price staleness. Zbl 1456.62250 Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide 3 2020 Asymptotic results for the Fourier estimator of the integrated quarticity. Zbl 1432.91112 Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano 1 2019 A backward Monte Carlo approach to exotic option pricing. Zbl 1401.91552 Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A. 9 2018 Continuous time mean-variance portfolio optimization through the mean field approach. Zbl 1354.91143 Fischer, Markus; Livieri, Giulia 13 2016 all cited Publications top 5 cited Publications all top 5 Cited by 82 Authors 3 Callegaro, Giorgia 3 Fiorin, Lucio 3 Pham, Huyên 2 Buccheri, Giuseppe 2 Djete, Mao Fabrice 2 Grasselli, Martino 2 Lacker, Daniel 2 Marmi, Stefano 2 Wei, Xiaoli 1 Alexander, Carol 1 Alòs, Elisa 1 Alvarez, Alexander 1 Bensoussan, Alain 1 Burzoni, Matteo 1 Campi, Luciano 1 Cont, Rama 1 Dumitrescu, Roxana 1 Erny, Xavier 1 Fang, Kai-Tai 1 Fu, Guanxing 1 Graewe, Paulwin 1 Guo, Xin 1 Hamzi, Boumediene 1 He, Ping 1 Heck, Daniel F. 1 Hoe, SingRu 1 Horst, Ulrich 1 Huang, Minyi 1 Ismail, Amine 1 Jang, Hanbyeol 1 Jia, Guangyan 1 Jo, Subeom 1 Käck, Andreas 1 Kashyap, Ravi 1 Kevrekidis, Ioannis George 1 Kienitz, Jörg 1 Kim, Hanrim 1 Kim, Hyundong 1 Kim, Junseok 1 Kolm, Petter N. 1 Le Flem, Luc 1 Lee, Juwon 1 Lee, Seri 1 Leutscher, Marcos 1 Li, Meng 1 Lillo, Fabrizio 1 Livieri, Giulia 1 Mancino, Maria Elvira 1 Mazzarisi, Piero 1 Mboussa Anga, G. 1 McWalter, Thomas Andrew 1 Nguyen, Dung Tien 1 Nguyen, Son Luu 1 Owhadi, Houman 1 Pallavicini, Andrea 1 Pirino, Davide 1 Pirjol, Dan 1 Platen, Eckhard 1 Possamaï, Dylan 1 Rudd, Robert E. 1 Shao, Jinghai 1 Shternshis, Andrey 1 Sircar, Ronnie 1 Solomko, Anton V. 1 Sun, Fangfang 1 Tan, Xiaolu 1 Tankov, Peter 1 Tian, Taoran 1 Trapin, Luca 1 Turiel, Jeremy 1 Vaienti, Sandro 1 Wang, Jing 1 Wang, Tai-Ho 1 Westray, Nicholas 1 Xu, Long-Hao 1 Xu, Renyuan 1 Yan, ZhongFeng 1 Yang, Xuwei 1 Yin, George Gang 1 Zhu, Haibin 1 Zhu, Lingjiong 1 Zhu, Yingjun all top 5 Cited in 25 Serials 4 Mathematical Finance 4 Quantitative Finance 3 SIAM Journal on Control and Optimization 2 Applied Mathematics and Optimization 2 Annals of Operations Research 2 Stochastic Processes and their Applications 2 Applied Mathematical Finance 2 Decisions in Economics and Finance 1 Journal of Mathematical Analysis and Applications 1 Journal of Statistical Physics 1 Chaos, Solitons and Fractals 1 Mathematics of Operations Research 1 Physica D 1 The Annals of Applied Probability 1 Statistical Papers 1 Electronic Journal of Probability 1 Revista Investigación Operacional 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Discrete Dynamics in Nature and Society 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 SIAM Journal on Financial Mathematics 1 Journal of Business and Economic Statistics 1 Journal of the Korean Society for Industrial and Applied Mathematics 1 AMM. Applied Mathematics and Mechanics. (English Edition) all top 5 Cited in 18 Fields 24 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 19 Probability theory and stochastic processes (60-XX) 10 Systems theory; control (93-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 6 Operations research, mathematical programming (90-XX) 4 Partial differential equations (35-XX) 4 Statistics (62-XX) 4 Numerical analysis (65-XX) 2 Ordinary differential equations (34-XX) 2 Computer science (68-XX) 1 Real functions (26-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year