Matteo Marsili

Abdus Salam International Centre for Theoretical Physics (ICTP)

Strada Costiera 11

Trieste, 34014

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 19,091

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2,044

CITATIONS
Rank 24,165

SSRN RANKINGS

Top 24,165

in Total Papers Citations

11

Scholarly Papers (15)

1.

Efficiency and Stability in Complex Financial Markets

Economics Discussion Paper No. 2010-3
Number of pages: 14 Posted: 18 Dec 2010
Fabio Caccioli and Matteo Marsili
International School of Advanced Studies (SISSA) and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 311 (76,275)

Abstract:

Interacting agents models, market efficiency, market stability, statistical mechanics of financial market

2.

Eroding Market Stability by Proliferation of Financial Instruments

Number of pages: 26 Posted: 23 Nov 2008 Last Revised: 25 Nov 2009
Fabio Caccioli, Pierpaolo Vivo and Matteo Marsili
International School of Advanced Studies (SISSA), Abdus Salam International Centre for Theoretical Physics (ICTP) and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 278 (87,737)
Citation 6

Abstract:

3.

Complexity and Financial Stability in a Large Random Economy

Number of pages: 26 Posted: 09 Jun 2009 Last Revised: 17 Jan 2012
Matteo Marsili
Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 271 (78,193)
Citation 2

Abstract:

financial stability, systemic risk

4.

Rollover Risk, Network Structure and Systemic Financial Crises

Number of pages: 26 Posted: 18 Nov 2009 Last Revised: 04 Jan 2011
Kartik Anand, Prasanna Gai and Matteo Marsili
Technische Universität Berlin (TU Berlin), Australian National University (ANU) and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 258 (91,230)
Citation 2

Abstract:

credit networks, financial markets, credit crises

5.

Epidemics of Rules, Information Aggregation Failure and Market Crashes

Number of pages: 13 Posted: 15 Jun 2010
Matteo Marsili, Alan Kirman and Kartik Anand
Abdus Salam International Centre for Theoretical Physics (ICTP), GREQAM and Technische Universität Berlin (TU Berlin)
Downloads 129 (175,449)

Abstract:

Coordination games, Asset price bubbles, Financial Crises

6.

The Interrupted Power Law and the Size of Shadow Banking

Number of pages: 12 Posted: 18 Sep 2013 Last Revised: 17 Apr 2014
University of Pisa - Department of Economics, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and International School for Advanced Studies (SISSA)
Downloads 113 (179,608)

Abstract:

Shadow Banking, Firm size distribution, Systemic financial stability

7.

Dynamic Instability in Generic Model of Multi-Assets Markets

Number of pages: 16 Posted: 23 Nov 2008
Matteo Marsili, Giacomo Raffaelli and Benedicte Ponsot
Abdus Salam International Centre for Theoretical Physics (ICTP), Deloitte Consulting and affiliation not provided to SSRN
Downloads 98 (215,771)
Citation 1

Abstract:

8.

Lp Regularized Portfolio Optimization

Number of pages: 27 Posted: 16 Apr 2014
University College London - Financial Computing and Analytics Group, Department of Computer Science, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and University of Hawaii
Downloads 77 (180,659)

Abstract:

9.

Collaboration in Social Networks

Number of pages: 30 Posted: 19 Jan 2012
Luca Dall'Asta, Matteo Marsili and Paolo Pin
Collegio Carlo Alberto, Abdus Salam International Centre for Theoretical Physics (ICTP) and Dipartimento di Economia Politica, Università degli Studi di Siena
Downloads 75 (261,289)

Abstract:

repeated games, social networks, phase transitions

10.

Reconstruction of Financial Networks for Robust Estimation of Systemic Risk

Number of pages: 13 Posted: 28 Sep 2011
Matteo Marsili, Iacopo Mastromatteo and Elia Zarinelli
Abdus Salam International Centre for Theoretical Physics (ICTP), Capital Fund Management and LIST S.p.A.
Downloads 63 (271,478)

Abstract:

network reconstruction, systemic risk, financial stability, stress test

11.

Contour Map of Estimation Error for Expected Shortfall

Number of pages: 5 Posted: 23 Feb 2015
Imre Kondor, Fabio Caccioli, Gabor Papp and Matteo Marsili
Parmenides Foundation, University College London - Financial Computing and Analytics Group, Department of Computer Science, Eötvös Loránd University and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 42 (316,846)

Abstract:

Expected Shortfall, optimization, estimation error

12.

The Social Climbing Game

ETH RC Working Paper No. 12-014
Number of pages: 15 Posted: 12 Jan 2013
Abdus Salam International Centre for Theoretical Physics, iPLESP UMR-S 1136 INSERM, Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP) and ETH Zürich
Downloads 24 (418,903)

Abstract:

hierarchical organisation, network centrality, inequality

13.

On The Concentration of Large Deviations for Fat Tailed Distributions, With Application to Financial Data

Number of pages: 35 Posted: 16 Jan 2012 Last Revised: 07 Apr 2014
University of Trieste, Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP), University of Trieste, University of Trieste and LIST S.p.A.
Downloads 8 (444,328)

Abstract:

Large deviations, fat tails, risk

14.

The Missing Assets and the Size of Shadow Banking: An Update

Number of pages: 3 Posted: 10 Nov 2016
University of Pisa - Department of Economics, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and International School for Advanced Studies (SISSA)
Downloads 0 (428,820)

Abstract:

Firm Size Distribution, Shadow Banking

15.

When Does Inequality Freeze an Economy?

Number of pages: 21 Posted: 23 Apr 2016
Universidade de Sao Paulo, Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP), National Autonomous University of Mexico (UNAM) and International School for Advanced Studies (SISSA)
Downloads 0 (362,806)

Abstract:

Inequality, Wealth, Liquidity