Marius Frunza

Schwarzthal Tech

Head of Research

231b Business design Center

Upper Street

London, London N1 0QH

United Kingdom

http://www.schwarzthal.tech

Schwarzthal Kapital

Partner

34 quai de Dion Bouton

La Defense Puteaux, 92800

France

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 14,044

SSRN RANKINGS

Top 14,044

in Total Papers Downloads

4,323

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (26)

1.

Market Manipulation and Moral Hazard: Can the LIBOR be Fixed?

Number of pages: 31 Posted: 28 Jan 2013
Marius Frunza
Schwarzthal Tech
Downloads 581 (57,775)
Citation 2

Abstract:

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moral hazard, market manipulation, pump and dump, LIBOR, forensics econometrics

2.

Are Default Probability Models Relevant for Low Default Portfolios?

Number of pages: 20 Posted: 21 Jun 2013
Marius Frunza
Schwarzthal Tech
Downloads 453 (78,588)

Abstract:

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Credit risk, LDP adjustment, upper bound, low default portfolios, bootstrap, Gumbel copula

3.

Cost of the MTIC VAT Fraud for European Union Members

Number of pages: 37 Posted: 05 Apr 2016
Marius Frunza
Schwarzthal Tech
Downloads 334 (111,581)

Abstract:

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VAT, VAT fraud, MTIC, Carousel fraud, panel regression, VAT Gap, vanilla options

4.

Tennis Betting Strategies Based on Neural Networks

Number of pages: 35 Posted: 04 Sep 2020
Jeremy Flahault, Nicolas Le Roger and Marius Frunza
Master 203 - Financial Markets Student, Université Paris Dauphine and Schwarzthal Tech
Downloads 329 (113,373)

Abstract:

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Sport betting, Tennis, Machine Learning, Neural Networks, Statistical Models

5.

Aftermath of the VAT Fraud on Carbon Emissions Markets

Number of pages: 15 Posted: 31 May 2012
Marius Frunza
Schwarzthal Tech
Downloads 311 (120,439)
Citation 3

Abstract:

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EUA, VAT, carbon, money laundering

6.

Is the Gini Coefficient Appropriate for Low Default Portfolios?

Number of pages: 25 Posted: 19 Jan 2013
Marius Frunza
Schwarzthal Tech
Downloads 303 (123,837)

Abstract:

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Gini coefficient, confidence interval, model validation

7.

Influence of Weather Variability on the Orange Juice Prices

Number of pages: 17 Posted: 10 Jun 2012 Last Revised: 25 Oct 2012
Marius Frunza, Frank Laudicina and Florent McIsaac
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 260 (145,206)

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8.
Downloads 259 (145,771)

Is the Bitcoin Rush Over?

Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming
Number of pages: 22 Posted: 25 Apr 2018
Dominique Guegan and Marius Frunza
Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 180 (204,969)
Citation 1

Abstract:

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

Is the Bitcoin Rush Over?

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/WP/2018
Number of pages: 24 Posted: 19 Apr 2018
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 79 (376,501)

Abstract:

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

9.

Assessment of EU’s VAT Gap Due to Shadow Economy

Number of pages: 14 Posted: 04 Dec 2017
Marius Frunza
Schwarzthal Tech
Downloads 187 (198,294)
Citation 1

Abstract:

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VAT fraud, VAT gap, tax evasion, shadow economy

10.

Statistical Evidence of Tax Fraud on the Carbon Allowances Market

Number of pages: 11 Posted: 13 Dec 2010
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 144 (247,337)

Abstract:

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Carbon, EUA, Energy, VAT, Fraud, Missing trader

11.
Downloads 125 (275,759)
Citation 1

Abstract:

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Betting, derivatives, machine learning, money laundry, forensics econometrics

12.

Neural Networks Predictive Modeling for Football Betting

Number of pages: 32 Posted: 02 Sep 2020
affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine, Université Paris Dauphine, Ural Federal University and Schwarzthal Tech
Downloads 122 (282,523)

Abstract:

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Sport Betting Football, Machine Learning, Neural Networks, Statistical Models, Forecast

13.

Proxy-Hedging of Bitcoin Exposures With Altcoins

Number of pages: 29 Posted: 20 May 2020
Université Paris I Panthéon-Sorbonne, Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 118 (289,361)

Abstract:

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Bitcoin, Altcoins, hedging, volatility modelling, portfolio risk management

14.

To Mine or Not to Mine? The Bitcoin Mining Paradox

Number of pages: 25 Posted: 22 May 2020
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 108 (307,944)

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Bitcoin Mining, Difficulty Modelling, Real Option Theory

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Solvency II, impact, Value at Risk, Life risk, Non life risk, market risk

16.

How did COVID-19 shape the Tweets sentiment impact upon stock prices of sport companies?

Number of pages: 38 Posted: 28 Jul 2020 Last Revised: 14 Aug 2020
Karim Derouiche and Marius Frunza
Université Paris Dauphine and Schwarzthal Tech
Downloads 84 (359,490)
Citation 1

Abstract:

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COVID-19, Pandemic, Panic, Sport sector, Juventus, Lazio, Cristiano Ronaldo, NLP, Tweets, Sentiment analysis, Granger causality, Event study

17.
Downloads 83 (362,058)

Abstract:

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Tobin tax, Pigouvian tax, Level III, Fair Value

18.

Assessment of Proxy-Hedging in Jet-Fuel Markets

Number of pages: 30 Posted: 09 Oct 2017
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 79 (372,710)

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Oil Distillates, Gasoil, Jet Fuel, Hedging Strategies, Market Liquidity, Market Efficiency, Time Series Modeling

19.

Multilingual Entity Matching

Number of pages: 12 Posted: 08 Jan 2019 Last Revised: 13 Jul 2020
Ilgiz Mustafin, Marius Frunza and Jooyoung Lee
Innopolis University, Schwarzthal Tech and Innopolis University
Downloads 73 (389,648)

Abstract:

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entity resolution, multilingual entity matching, transliteration

20.

Impact of Tweets’ Sentiment Upon Stock Prices of Sport Companies: Can Fans Influence the Share Price of Their Preferred Sport Brand?

Number of pages: 31 Posted: 22 Aug 2020
Karim Derouiche and Marius Frunza
Université Paris Dauphine and Schwarzthal Tech
Downloads 62 (424,710)

Abstract:

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Sport Industry, Juventus, Lazio, Cristiano Ronaldo, NLP, Tweets, Sentiment Analysis, Granger Causality, Event Study

21.

Bubbles on Altcoins: Rush versus Manipulation

Number of pages: 25 Posted: 24 Nov 2020
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 51 (465,037)

Abstract:

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Bitcoin, Altcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

22.

Pricing Alternatives in Incomplete Markets: An Application for Carbon Allowances

Number of pages: 19 Posted: 04 Feb 2013
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 48 (477,021)

Abstract:

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Carbon, EUA, Generalized Hyperbolic distribution, GARCH modelling, pricing, Incomplete markets, Empirical Martingale Correction.

23.

The Cost of Non-Europe of an Incomplete Economic and Monetary Union to Prevent Future Crises

Number of pages: 24 Posted: 26 Dec 2014
Marius Frunza
Schwarzthal Tech
Downloads 47 (481,257)

Abstract:

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EU, crisis, Banking Union, deposit insurance, Basel III

24.

Study of Tweets’ Sentiment Impact on Stock Prices during Class Actions: An Application to Sports Companies

Number of pages: 42 Posted: 18 Aug 2020
Karim Derouiche and Marius Frunza
Université Paris Dauphine and Schwarzthal Tech
Downloads 44 (494,239)

Abstract:

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Class action, market abuse, financial crime, Sport sector, NLP, Tweets, Sentiment analysis, Granger causality, Event study

25.

Le Ratio Dette Publique/PIB a-t-il Un Sens Economique? (Does the Debt to GDP Ratio Make Sense?)

Number of pages: 18 Posted: 12 Jul 2018
Marius Frunza and Didier Marteau
Schwarzthal Tech and Labex REFI
Downloads 18 (642,498)

Abstract:

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Debt To GDP Ratio, Inflation , Economic Crisis

26.

Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Journal of Alternative Investments, Forthcoming
Posted: 23 Oct 2012 Last Revised: 21 Feb 2014
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne

Abstract:

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Carbon, Generalized Hyperbolic Distribution, Value-at-Risk, CER, EUA, Swap