Fabio Caccioli

University College London - Financial Computing and Analytics Group, Department of Computer Science

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 23,821

SSRN RANKINGS

Top 23,821

in Total Papers Downloads

2,139

SSRN CITATIONS
Rank 12,526

SSRN RANKINGS

Top 12,526

in Total Papers Citations

44

CROSSREF CITATIONS

37

Scholarly Papers (15)

1.

Network Valuation in Financial Systems

Number of pages: 26 Posted: 16 Jun 2016 Last Revised: 29 Jul 2016
University of Zurich - Department of Banking and Finance, Bank of England, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Zurich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and IMT Alti Studi Lucca
Downloads 521 (56,719)
Citation 30

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Interbank Claim Valuation; Network Valuation; Financial Network; Systemic Risk; Credit Risk; Default; Contagion

2.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 458 (66,586)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

3.

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 150 (209,104)
Citation 5

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4.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
University College London - Financial Computing and Analytics Group, Department of Computer Science, Santa Fe Institute, Santa Fe Institute and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 133 (230,366)
Citation 42

Abstract:

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network models, systemic risk

5.

Heterogeneity, Correlations and Financial Contagion

Number of pages: 15 Posted: 07 Sep 2011
Fabio Caccioli, Thomas A. Catanach and J. Doyne Farmer
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Notre Dame and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 118 (252,175)
Citation 22

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Network Models, Systemic Risk

6.

Taming the Basel Leverage Cycle

Number of pages: 40 Posted: 16 Jul 2015
London School of Economics & Political Science (LSE) - London School of Economics, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Oxford and University of Oxford
Downloads 117 (253,711)
Citation 1

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7.

Reverse Stress Testing Interbank Networks

Number of pages: 19 Posted: 03 Mar 2017 Last Revised: 10 Mar 2017
Daniel Grigat and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 113 (260,102)

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systemic risk, network models, contagion, network topology

8.

Analytic Solution to Variance Optimization with No Short-Selling

Number of pages: 27 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 107 (270,322)

Abstract:

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Portfolio Optimization, Variance, No Short Selling

9.

Reconstructing and Stress Testing Credit Networks

Number of pages: 44 Posted: 12 Dec 2017
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Financial Computing and Analytics Group, Department of Computer Science and Deutsche Bundesbank
Downloads 106 (272,094)
Citation 3

Abstract:

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network reconstruction; systemic risk; bipartite credit network; aggregation level

10.

Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization

Number of pages: 16 Posted: 17 Jan 2017
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London - Financial Computing and Analytics Group, Department of Computer Science and Parmenides Foundation
Downloads 100 (283,210)
Citation 1

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Portfolio Optimization, Bias-Variance Trade-Off, Expected Shortfall

11.

Network Models of Financial Systemic Risk: A Review

Number of pages: 33 Posted: 13 Nov 2017
Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Zurich - Department of Banking and Finance and Kobe University - Graduate School of Economics
Downloads 81 (323,248)
Citation 5

Abstract:

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financial networks, systemic risk, contagion, clearing algorithm, overlapping portfolio, interbank markets

12.

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 67 (359,686)
Citation 1

Abstract:

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Expected Shortfall, optimization, estimation error

13.

A Percolation Model for the Emergence of the Bitcoin Lightning Network

Number of pages: 22 Posted: 30 Dec 2019
Silvia Bartolucci, Fabio Caccioli and Pierpaolo Vivo
Imperial College Business School, University College London - Financial Computing and Analytics Group, Department of Computer Science and University of London - Faculty of Natural and Mathematical Sciences
Downloads 50 (413,772)
Citation 1

Abstract:

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Blockchain, Lightning Network, Payment Networks, Percolation, Fitness Models

14.

Excess Reciprocity Distorts Reputation in Online Social Networks

Number of pages: 22 Posted: 06 Feb 2018
Giacomo Livan, Fabio Caccioli and Tomaso Aste
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London
Downloads 10 (621,190)

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P2P, Sharing Economy, Reputation, Reciprocity, Networks

15.

Reciprocity and Success in Academic Careers

Number of pages: 31 Posted: 22 Aug 2018
Weihua Li, Tomaso Aste, Fabio Caccioli and Giacomo Livan
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 8 (634,950)
Citation 1

Abstract:

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Network Science, Citations, Reciprocity, Rich Club, Reputation