Marius Frunza

University Paris Dauphine

Place du Maréchal de Lattre de Tassigny - 75775 PA

Paris, 75775

France

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 11,902

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Top 11,902

in Total Papers Downloads

7,386

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (26)

1.

Tennis Betting Strategies Based on Neural Networks

Number of pages: 35 Posted: 04 Sep 2020
Jeremy Flahault, Nicolas Le Roger and Marius Frunza
Université Paris Dauphine, Université Paris Dauphine and University Paris Dauphine
Downloads 1,092 (36,547)

Abstract:

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

2.

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

Number of pages: 31 Posted: 28 Jan 2013
Marius Frunza
University Paris Dauphine
Downloads 675 (70,546)
Citation 4

Abstract:

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

3.

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 University Paris Dauphine
Downloads 601 (81,591)

Abstract:

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

4.

Are Default Probability Models Relevant for Low Default Portfolios?

Number of pages: 20 Posted: 21 Jun 2013
Marius Frunza
University Paris Dauphine
Downloads 562 (88,816)

Abstract:

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

5.

Cost of the MTIC VAT Fraud for European Union Members

Number of pages: 37 Posted: 05 Apr 2016
Marius Frunza
University Paris Dauphine
Downloads 501 (102,406)

Abstract:

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

6.

Is the Gini Coefficient Appropriate for Low Default Portfolios?

Number of pages: 25 Posted: 19 Jan 2013
Marius Frunza
University Paris Dauphine
Downloads 421 (125,861)

Abstract:

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Gini coefficient, confidence interval, model validation

7.

Aftermath of the VAT Fraud on Carbon Emissions Markets

Number of pages: 15 Posted: 31 May 2012
Marius Frunza
University Paris Dauphine
Downloads 355 (152,491)
Citation 3

Abstract:

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EUA, VAT, carbon, money laundering

8.
Downloads 333 (163,421)
Citation 1

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 University Paris Dauphine
Downloads 229 (238,371)
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
University Paris Dauphine and Université Paris I Panthéon-Sorbonne
Downloads 104 (463,370)

Abstract:

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

9.

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
University Paris Dauphine, 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 317 (172,292)

Abstract:

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10.

Assessment of EU’s VAT Gap Due to Shadow Economy

Number of pages: 14 Posted: 04 Dec 2017
Marius Frunza
University Paris Dauphine
Downloads 297 (184,473)
Citation 1

Abstract:

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VAT fraud, VAT gap, tax evasion, shadow economy

11.

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 University Paris Dauphine
Downloads 247 (222,347)

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Bitcoin Mining, Difficulty Modelling, Real Option Theory

12.

Proxy-Hedging of Bitcoin Exposures With Altcoins

Number of pages: 29 Posted: 20 May 2020
Université Paris I Panthéon-Sorbonne, University Paris Dauphine and Université Paris I Panthéon-Sorbonne
Downloads 226 (242,371)

Abstract:

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

13.

Assessment of Proxy-Hedging in Jet-Fuel Markets

Number of pages: 30 Posted: 09 Oct 2017
University Paris Dauphine, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 211 (259,553)

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

14.

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, University Paris Dauphine and Innopolis University
Downloads 209 (260,633)

Abstract:

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entity resolution, multilingual entity matching, transliteration

15.

Statistical Evidence of Tax Fraud on the Carbon Allowances Market

Number of pages: 11 Posted: 13 Dec 2010
University Paris Dauphine, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 188 (287,038)

Abstract:

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

16.

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 University Paris Dauphine
Downloads 170 (313,546)

Abstract:

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

17.

Assessment of the Link between the Betting Industry and Financial Crime: Application to Association Football

Number of pages: 54 Posted: 21 Nov 2014
Marius Frunza
University Paris Dauphine
Downloads 161 (328,715)
Citation 1

Abstract:

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

18.

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 University Paris Dauphine
Downloads 147 (354,391)

Abstract:

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

19.

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 University Paris Dauphine
Downloads 142 (364,376)
Citation 2

Abstract:

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

20.
Downloads 125 (402,162)

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

21.

Taxe Sur les Transactions Financières: Une Taxe Pigou, Pas Une Taxe Tobin (Tax on Financial Transactions: Why a Pigouvian Tax is More Efficient than a Tobin Tax?)

Number of pages: 10 Posted: 30 Nov 2012 Last Revised: 05 Dec 2012
Marius Frunza and Didier Marteau
University Paris Dauphine and Labex REFI
Downloads 115 (427,859)

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Tobin tax, Pigouvian tax, Level III, Fair Value

22.

Pricing Alternatives in Incomplete Markets: An Application for Carbon Allowances

Number of pages: 19 Posted: 04 Feb 2013
Marius Frunza and Dominique Guegan
University Paris Dauphine and Université Paris I Panthéon-Sorbonne
Downloads 79 (549,006)

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

23.

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 University Paris Dauphine
Downloads 76 (561,250)

Abstract:

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

24.

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
University Paris Dauphine
Downloads 76 (561,250)

Abstract:

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

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
University Paris Dauphine and Labex REFI
Downloads 60 (635,791)

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
University Paris Dauphine and Université Paris I Panthéon-Sorbonne

Abstract:

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