Giacomo Livan

Abdus Salam International Centre for Theoretical Physics (ICTP)

Strada Costiera 11

34100 Trieste

United States

  • Abdus Salam International Centre for Theoretical Physics (ICTP)

SCHOLARLY PAPERS

3

DOWNLOADS

194

TOTAL CITATIONS

2

Scholarly Papers (3)

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1.

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
Mario Filiasi, Giacomo Livan, Matteo Marsili, Maria Peressi, Erik Vesselli and Elia Zarinelli
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 134 (433,868)
Citation 2

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Large deviations, fat tails, risk

2.

The Social Climbing Game

ETH RC Working Paper No. 12-014
Number of pages: 15 Posted: 12 Jan 2013
Marco Bardoscia, Giancarlo De Luca, Giacomo Livan, Matteo Marsili and Claudio J. Tessone
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 60 (718,364)

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hierarchical organisation, network centrality, inequality

3.

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 Pavia - Department of Economics and Management, 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