Zobrazeno 1 - 10
of 589
pro vyhledávání: '"Barucca P."'
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 a distributed ledger as they can contribute to resource waste and net
Externí odkaz:
http://arxiv.org/abs/2411.10249
Calibrating the time-dependent Implied Volatility Surface (IVS) using sparse market data is an essential challenge in computational finance, particularly for real-time applications. This task requires not only fitting market data but also satisfying
Externí odkaz:
http://arxiv.org/abs/2411.02375
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained by the Sylvester-Lyapunov equation. Using the replica method, we comput
Externí odkaz:
http://arxiv.org/abs/2409.01262
Autor:
Barucca, Paolo, Morone, Flaviano
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 market and for individual sectors. Our hypothesis is that private equity
Externí odkaz:
http://arxiv.org/abs/2407.01818
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors, including
Externí odkaz:
http://arxiv.org/abs/2310.16703
Autor:
Elisa Carotti, Edith Tittarelli, Federica Carducci, Marco Barucca, Adriana Canapa, Maria Assunta Biscotti
Publikováno v:
Scientific Reports, Vol 14, Iss 1, Pp 1-12 (2024)
Abstract Transposable elements (TEs) are dynamic components of eukaryotic genomes that are important in speciation. Evolutionary pressure has led to the evolution of silencing mechanisms, such as the involvement of Krüppel box-associated zinc finger
Externí odkaz:
https://doaj.org/article/62ed6c744c184e5ea330e150e940dc84
Autor:
Verna, Adriano, Alippi, Paola, Offi, Francesco, Barucca, Gianni, Varvaro, Gaspare, Agostinelli, Elisabetta, Albrecht, Manfred, Rutkowski, Bogdan, Ruocco, Alessandro, Paoloni, Daniele, Valvidares, Manuel, Laureti, Sara
Publikováno v:
ACS Applied Materials & Interfaces 14 (2022) 12766-12776; Correction: ACS Applied Materials & Interfaces 14 (2022) 24069
Nowadays a wide number of applications based on magnetic materials relies on the properties arising at the interface between different layers in complex heterostructures engineered at the nanoscale. In ferromagnetic/heavy metal multilayers, such as t
Externí odkaz:
http://arxiv.org/abs/2309.15663
Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper, we study transaction reports for five FTSE 100 stocks. We model the
Externí odkaz:
http://arxiv.org/abs/2207.13696
Autor:
Ozhamaratli, Fatih, Barucca, Paolo
The transition from defined benefit to defined contribution pension plans shifts the responsibility for saving toward retirement from governments and institutions to the individuals. Determining optimal saving and investment strategy for individuals
Externí odkaz:
http://arxiv.org/abs/2206.05835
Autor:
Yin, Zexuan, Barucca, Paolo
We propose Variational Heteroscedastic Volatility Model (VHVM) -- an end-to-end neural network architecture capable of modelling heteroscedastic behaviour in multivariate financial time series. VHVM leverages recent advances in several areas of deep
Externí odkaz:
http://arxiv.org/abs/2204.05806