Via Banchi di Sotto, 55
Siena, 53100
Italy
Piazza dei Cavalieri, 7
Pisa, 56126
DEPS, University of Siena
Scuola Normale Superiore
Regimes, Bayesian methods, Order flow, Market impact
Insider trading, Market abuse, Unsupervised learning, Statistically validated networks
State-space models, Dynamic networks, Interbank market, Systemic risk.
Private Equity fund Portfolio,Rounds of financing, Investment Period,Investment strategies,Private Equity Exit, Stochastic Programming
insider trading, market abuse, unsupervised learning, statistically validated networks
Dimensionality reduction, Principal component analysis, Autoencoder, Insider trading, Market abuse, Unsupervised learning
Time series analysis, Change point detection, Long memory, Time-varying parameters, Bayesian inference
Time series analysis, Change-point detection, Time-varying parameters, Bayesian inference
Covid; Stock Market, Household finance
systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems
Later-stage Venture Capital Portfolio, Staged Financing, Reinforcement Learning, Markov Decision Process
Autoregressive Models, Conditional Value at Risk, Expected Shortfall, Risk Management
Granger causality in risk, Spillover effects, Financial contagion, Autoregressive processes, Likelihood-Ratio test
Value at Risk, Expected Shortfall, Latent variables, Subordinated Processes
Kelly Criterion, Log-Optimal Portfolios, Estimation Risk
