Tomaso Aste

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 16,941

in Total Papers Downloads

4,452

SSRN CITATIONS
Rank 30,354

SSRN RANKINGS

Top 30,354

in Total Papers Citations

20

CROSSREF CITATIONS

8

Scholarly Papers (22)

1.

The Fair Cost of Bitcoin Proof of Work

Number of pages: 3 Posted: 28 Jun 2016
Tomaso Aste
University College London
Downloads 1,022 (32,727)
Citation 8

Abstract:

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Bitcoin, proof of work, blockchain

2.

Deep Learning Modeling of the Limit Order Book: A Comparative Perspective

Number of pages: 16 Posted: 15 Dec 2020
Antonio Briola, Jeremy Turiel and Tomaso Aste
University College London, University College London and University College London
Downloads 466 (91,347)

Abstract:

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Artificial Intelligence, Deep Learning, Econophysics, Financial Markets, Market Microstructure

3.

What Machines Can Learn About Our Complex World - and What Can We Learn From Them?

Number of pages: 9 Posted: 10 Mar 2021
Tomaso Aste
University College London
Downloads 392 (111,617)

Abstract:

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AI; Data-Driven Modeling; Machine Learning; XAI

4.

Machine Learning and AI: Editor’s Foreword

Quantitative Finance, 19 (9): 1445-1448 (2019)
Number of pages: 6 Posted: 23 Sep 2019
Stevens Institute of Technology, School of Business, Bloomberg L.P. and University College London
Downloads 334 (133,241)

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machine learning, finance, financial forecasting, microstructure, option pricing, investment

5.

A Decentralised Digital Identity Architecture

Frontiers in Blockchain, doi:10.3389/fbloc.2019.00017
Number of pages: 30 Posted: 18 Mar 2019 Last Revised: 14 Nov 2019
Geoffrey Goodell and Tomaso Aste
University College London and University College London
Downloads 301 (148,645)
Citation 4

Abstract:

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digital identity, certification, identification, trust, privacy, credentials, authentication, record linkage, entity resolution

6.

Risk-Neutral Pricing and Hedging of In-Play Football Bets

Number of pages: 29 Posted: 26 Apr 2015
University College London, London School of Economics & Political Science (LSE), Queen Mary, University of London and University College London
Downloads 296 (151,783)
Citation 2

Abstract:

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risk-neutral pricing, hedging in-play, football betting

7.

Forecasting Market States

Number of pages: 11 Posted: 07 Aug 2018
Pier Francesco Procacci and Tomaso Aste
University College London and University College London
Downloads 193 (228,341)
Citation 4

Abstract:

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Financial Market States, Temporal Clustering, Information Filtering Networks, Sparse Inverse Covariance, Correlation Structure

8.

Portfolio Optimization with Sparse Multivariate Modelling

Number of pages: 16 Posted: 19 Apr 2021
Pier Francesco Procacci and Tomaso Aste
University College London and University College London
Downloads 185 (236,917)

Abstract:

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Portfolio Construction; Market States; Markowitz; Mean-Variance; Information Filtering Networks; TMFG; Sparse inverse covariance; Correlation Structure.

9.

Can Cryptocurrencies Preserve Privacy and Comply with Regulations?

Frontiers in Blockchain, doi:10.3389/fbloc.2019.00004
Number of pages: 20 Posted: 19 Dec 2018 Last Revised: 06 Jun 2019
Geoffrey Goodell and Tomaso Aste
University College London and University College London
Downloads 179 (243,790)

Abstract:

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10.

How Did EU Immigrants Affect Income and Wealth Inequality in the UK?

Number of pages: 1 Posted: 02 Jul 2016
Yonatan Berman and Tomaso Aste
London Mathematical Laboratory and University College London
Downloads 158 (270,778)

Abstract:

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immigration, inequality, Brexit

11.

Causal Coupling between European and UK Markets Triggered by Announcements of Monetary Policy Decisions

Number of pages: 13 Posted: 08 Jul 2021 Last Revised: 13 Sep 2021
Vittoria Volta and Tomaso Aste
Univesity College London and University College London
Downloads 155 (275,018)

Abstract:

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Eurozone stock market; UK stock market; Spillover effect, Bivariate Empirical Mode Decomposition, Granger causality test, Transfer entropy

12.

A Counterparty Risk Study of UK Banking Systems

Number of pages: 45 Posted: 29 Apr 2015
Annika Birch, Zijun Liu and Tomaso Aste
University College London, Bank of England and University College London
Downloads 130 (315,793)
Citation 2

Abstract:

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Systemic risk, counterparty risk, complex system, data analysis, interbank networks

13.

Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods

Number of pages: 24 Posted: 17 Nov 2014 Last Revised: 18 Nov 2014
King's College London, University College London and King's College London
Downloads 114 (347,179)
Citation 5

Abstract:

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Information Filtering Networks, Financial Networks, Economic Sectors

14.

Anatomy of a Stablecoin's Failure: The Terra-Luna Case

Number of pages: 17 Posted: 08 Aug 2022
University College London, Jaume I University - Department of Economics, University College London and University College London
Downloads 99 (381,813)

Abstract:

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Stablecoin, Cryptocurrency, LUNA, UST, Network Science, Herding

15.

Stress testing and systemic risk measures using multivariate conditional probability

Number of pages: 23 Posted: 08 May 2020 Last Revised: 22 Apr 2021
Tomaso Aste
University College London
Downloads 92 (399,918)

Abstract:

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Stress testing, Systemic risk, Elliptical conditional probability

16.

P2P Loan Acceptance and Default Prediction with Artificial Intelligence

Number of pages: 11 Posted: 11 Jul 2019
Jeremy Turiel and Tomaso Aste
University College London and University College London
Downloads 88 (411,086)
Citation 1

Abstract:

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P2P Lending, Artificial Intelligence, Big Data, Default Risk, Financial Automation

17.

The Cost of Bitcoin Mining Has Never Really Increased

Number of pages: 16 Posted: 15 May 2020 Last Revised: 19 May 2020
Yo-Der Song and Tomaso Aste
University College London and University College London
Downloads 67 (479,144)
Citation 3

Abstract:

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Bitcoin, mining cost, proof of work, cryptocurrency, blockchain

18.

Regime-Based Implied Stochastic Volatility Model for Crypto Option Pricing

Number of pages: 18 Posted: 29 Aug 2022 Last Revised: 25 Sep 2022
Danial Saef, Yuanrong Wang and Tomaso Aste
Humboldt University of Berlin, University College London and University College London
Downloads 61 (502,396)

Abstract:

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High Frequency Trading, Crypto-currency, Market Regimes, Implied Volatility, Option Pricing, Clustering

19.

Sector Neutral Portfolios: Long Memory Motifs Persistence in Market Structure Dynamics

Number of pages: 14 Posted: 08 Nov 2019
Jeremy Turiel and Tomaso Aste
University College London and University College London
Downloads 54 (531,615)

Abstract:

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Portfolio diversification, Market Structure, Networks, Sector diversification

20.

Dynamic Portfolio Optimization with Inverse Covariance Clustering

Number of pages: 57 Posted: 25 Apr 2022
Yuanrong Wang and Tomaso Aste
University College London and University College London
Downloads 35 (629,023)

Abstract:

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Dynamic Portfolio Optimization, Portfolio Management, Market Regimes, Temporal Clustering, Information Filtering Networks, Covariance Structure

21.

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 and University College London
Downloads 16 (772,450)
Citation 1

Abstract:

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P2P, Sharing Economy, Reputation, Reciprocity, Networks

22.

Reciprocity and Success in Academic Careers

Number of pages: 31 Posted: 22 Aug 2018
Beihang University, University College London, University College London and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 15 (781,699)
Citation 1

Abstract:

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Network Science, Citations, Reciprocity, Rich Club, Reputation