Domenico Di Gangi

National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI)

Via Giuseppe Moruzzi, 1

Pisa

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

337

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

Number of pages: 41 Posted: 04 Aug 2015 Last Revised: 23 Jun 2018
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 281 (158,894)
Citation 10

Abstract:

Loading...

systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model

2.

Links between government bond and futures markets: dealer-client relationships and price discovery in the UK

Bank of England Working Paper No. 991
Number of pages: 37 Posted: 25 Jul 2022
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), Bank of England, Bank of England and Bank of England
Downloads 20 (734,414)

Abstract:

Loading...

Gilt cash and futures markets, price discovery, network analysis, financial stability, resilience.

3.

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 19 (742,955)

Abstract:

Loading...

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

4.

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 16 (769,436)

Abstract:

Loading...

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

5.

Network Sensitivity of Systemic Risk

Journal of Network Theory in Finance, Vol. 5, No. 3, 2019
Number of pages: 20 Posted: 19 Jan 2021
University College London - Financial Computing and Analytics Group, Department of Computer Science, National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), Medical University of Vienna, Scuola Normale di Pisa, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Warsaw - Faculty of Physics, University College London and Northwestern University - Northwestern Institute for Complex Systems (NICO)
Downloads 1 (935,906)
  • Add to Cart

Abstract:

Loading...

financial networks, systemic risk and contagion, DebtRank, network reconstruction, mesoscale structure