Giacomo Bormetti

University of Bologna - Department of Mathematics

Piazza di Porta S. Donato , 5

Bologna, Bologna 40126

Italy

  • University of Bologna - Department of Mathematics

SCHOLARLY PAPERS

24

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35

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24

Scholarly Papers (24)

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1.

Value Matters: Predictability of Stock Index Returns

Number of pages: 27 Posted: 02 Apr 2012 Last Revised: 15 Jul 2013
Natascia Angelini, Giacomo Bormetti, Stefano Marmi and Franco Nardini
University of Bologna - School of Economics, Management, and Statistics, University of Bologna - Department of Mathematics, Scuola Normale Superiore and University of Bologna - Department of Mathematics
Downloads 3,213 (5,054)
Citation 2

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Valuation Ratios, Long Run Stock Market Returns

2.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Number of pages: 31 Posted: 08 Feb 2017 Last Revised: 04 Mar 2020
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 513 (75,452)
Citation 5

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

3.

Term Structure of Variance Risk Premium and Returns' Predictability

Number of pages: 49 Posted: 18 Jun 2015 Last Revised: 22 Aug 2016
Giacomo Bormetti, Fulvio Corsi and Adam Majewski
University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 344 (119,935)
Citation 1

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Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing

4.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Pisa - Department of Economics and Scuola Normale Superiore
Downloads 333 (124,374)
Citation 1

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Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing

5.

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Number of pages: 46 Posted: 17 Jul 2015 Last Revised: 10 Mar 2019
Dario Alitab, Giacomo Bormetti, Fulvio Corsi and Adam Majewski
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 280 (149,048)
Citation 2

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High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps

6.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 243 (171,600)

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

7.

Filtering and Smoothing with Score-Driven Models

Number of pages: 39 Posted: 14 Mar 2018 Last Revised: 22 Feb 2021
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 237 (175,839)
Citation 1

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State-Space models, Score-driven models, Kalman filter, Smoothing, Filtering uncertainty

8.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Fulvio Corsi, Stefano Marmi and Fabrizio Lillo
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 172 (235,145)
Citation 14

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price cojumps, Hawkes processes, systemic shocks, high frequency data

9.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
Giacomo Bormetti, Giorgia Callegaro, Giorgia Callegaro, Giulia Livieri and Andrea Pallavicini
University of Bologna - Department of Mathematics, University of PaduaUniversity of Padua, Scuola Normale Superiore and Intesa Sanpaolo
Downloads 169 (238,629)
Citation 7

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Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing

10.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 136 (284,505)
Citation 10

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Financial markets, market microstructure, market impact, liquidity

11.

Smile from the Past: A General Option Pricing Framework with Multiple Volatility and Leverage Components

Number of pages: 33 Posted: 28 Sep 2013 Last Revised: 14 Apr 2014
Adam Majewski, Giacomo Bormetti and Fulvio Corsi
Capital Fund Management, University of Bologna - Department of Mathematics and University of Pisa - Department of Economics
Downloads 134 (287,759)
Citation 9

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12.

Multi-Curve HJM Modelling for Risk Management

Number of pages: 63 Posted: 16 Nov 2014 Last Revised: 08 Oct 2015
Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti
Scuola Normale Superiore, UniCredit S.p.A., UniCredit S.p.A. and University of Bologna - Department of Mathematics
Downloads 122 (308,525)
Citation 1

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HJM, multiple-curve, scenario generation, PCA

13.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 103 (346,911)
Citation 4

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Financial markets, market microstructure, market impact, liquidity, markov chain

14.

The SINC way: A fast and accurate approach to Fourier pricing

Number of pages: 49 Posted: 20 Oct 2020 Last Revised: 19 May 2021
Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli and Pietro Rossi
affiliation not provided to SSRN, University of Bologna - Department of Mathematics, University of Bologna - Department of Statistics and Prometeia
Downloads 100 (353,747)
Citation 1

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option pricing, rough Heston model, Fourier expansion, COS method, Fast Fourier methods

15.

Deep Learning Profit & Loss

Number of pages: 19 Posted: 10 Jul 2020 Last Revised: 27 Aug 2020
Pietro Rossi, Flavio Cocco and Giacomo Bormetti
Prometeia, Prometeia Calcolo and University of Bologna - Department of Mathematics
Downloads 89 (380,605)

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feed-forward neural networks, profit & loss distribution, non-linear portfolios

16.

A Tale of Two Sentiment Scales: Disentangling Short-Run and Long-Run Components in Multivariate Sentiment Dynamics

Number of pages: 37 Posted: 04 Oct 2019 Last Revised: 08 Sep 2020
Danilo Vassallo, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 75 (420,483)
Citation 1

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Sentiment Analysis; Dynamic Factor Models; Kalman FIlter; Expectation Maximization; Quantile Regression

17.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 68 (443,273)
Citation 2

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High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment

18.

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

Number of pages: 24 Posted: 06 Dec 2015 Last Revised: 16 Dec 2015
Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti, Guido Caldarelli, Fabrizio Lillo and Michele Treccani
IMT Institute for Advanced Studies, Yahoo! - Yahoo! Research Labs, University of Bologna - Department of Mathematics, IMT Alti Studi Lucca, Università di Bologna and List Group
Downloads 59 (475,847)
Citation 1

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financial markets, complex systems, data science, computational social science

19.

The Adaptive Nature of Liquidity Taking in Limit Order Books

Number of pages: 40 Posted: 05 Mar 2014 Last Revised: 26 Apr 2016
Damian Taranto, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 45 (534,781)
Citation 3

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Financial markets, market microstructure, limit order book, liquidity

20.

A Lucas Critique Compliant SVAR Model With Observation-Driven Time-Varying Parameters

Number of pages: 48 Posted: 14 Jul 2021 Last Revised: 10 Feb 2022
Giacomo Bormetti and Fulvio Corsi
University of Bologna - Department of Mathematics and University of Pisa - Department of Economics
Downloads 36 (579,999)

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Time-varying VAR models, Independent Component Analysis, Score-driven models

21.

Stochastic Volatility with Heterogeneous Time Scales

Number of pages: 21 Posted: 31 May 2012 Last Revised: 03 Apr 2013
Danilo Delpini and Giacomo Bormetti
Università degli Studi di Sassari - Department of Economics and Business and University of Bologna - Department of Mathematics
Downloads 35 (585,475)
Citation 1

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Continuous Time Stochastic Volatility, Long Memory, Generalized Methods of Moments

22.

Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks

Number of pages: 43 Posted: 17 Mar 2022
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), University of Bologna - Department of Mathematics and Università di Bologna
Downloads 9 (774,041)

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Temporal Networks, Weighted Networks, Score Driven Models, Interbank Market

23.

Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks

Number of pages: 35 Posted: 12 Jun 2019 Last Revised: 17 Sep 2021
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), University of Bologna - Department of Mathematics and Università di Bologna
Downloads 9 (774,041)

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temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction

24.

A Generalized Fourier Transform Approach to Risk Measures

Journal of Statistical Mechanics (2010) P01005, Erratum: J. Stat. Mech. (2012) E05001
Posted: 06 Jun 2012
Giacomo Bormetti, Valentina Cazzola, Giacomo Livan, Guido Montagna and Oreste Nicrosini
University of Bologna - Department of Mathematics, affiliation not provided to SSRN, Abdus Salam International Centre for Theoretical Physics (ICTP), University of Pavia and INFN, Pavia Unit and Istituto Nazionale di Fisica Nucleare Sezione di Pavia

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Models of financial markets, Value-at-Risk, CVaR, Bootstrap