Matteo Marsili

Abdus Salam International Centre for Theoretical Physics (ICTP)

Strada Costiera 11

Trieste, 34014

Italy

SCHOLARLY PAPERS

16

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2,247

CITATIONS
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Top 23,847

in Total Papers Citations

26

Scholarly Papers (16)

1.

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 351 (84,123)
Citation 2

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financial stability, systemic risk

2.

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 337 (88,115)

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

3.

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 294 (102,383)
Citation 1

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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 290 (103,933)
Citation 2

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credit networks, financial markets, credit crises

5.

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 Capital Fund Management
Downloads 149 (195,356)
Citation 2

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Shadow Banking, Firm size distribution, Systemic financial stability

6.

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 148 (196,451)

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Coordination games, Asset price bubbles, Financial Crises

7.

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 147 (197,483)
Citation 4

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8.

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 114 (240,495)
Citation 4

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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 88 (286,096)

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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 79 (305,598)
Citation 1

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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 65 (340,566)
Citation 1

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Expected Shortfall, optimization, estimation error

12.

Lost in Diversification

Number of pages: 10 Posted: 09 Feb 2019
Bank of England, Bocconi University - Department of Finance, Abdus Salam International Centre for Theoretical Physics (ICTP) and Capital Fund Management
Downloads 44 (406,953)

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Financial Transformation, Transparency, Information Theory, Diversification, Securitisation, Asset Backed Securities

13.

When Does Inequality Freeze an Economy?

Number of pages: 21 Posted: 23 Apr 2016
University of Sao Paulo (USP), Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP), National Autonomous University of Mexico (UNAM) and Capital Fund Management
Downloads 42 (414,346)

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Inequality, Wealth, Liquidity

14.

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 38 (430,059)
Citation 2

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Large deviations, fat tails, risk

15.

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 Capital Fund Management
Downloads 31 (459,948)

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Firm Size Distribution, Shadow Banking

16.

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 30 (464,700)

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hierarchical organisation, network centrality, inequality