Giulia Livieri

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 39,995

SSRN RANKINGS

Top 39,995

in Total Papers Downloads

1,682

SSRN CITATIONS
Rank 33,645

SSRN RANKINGS

Top 33,645

in Total Papers Citations

15

CROSSREF CITATIONS

9

Scholarly Papers (15)

1.

Liquidity Fluctuations and the Latent Dynamics of Price Impact

Number of pages: 40 Posted: 14 Aug 2018 Last Revised: 22 Dec 2020
Bloomberg LP, Imperial College London - Department of Physics, Università di Bologna and Scuola Normale Superiore
Downloads 449 (90,008)
Citation 1

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market impact, market liquidity, Kalman filter, dynamic linear models, order book depth

2.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
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 334 (125,896)
Citation 1

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

3.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
University of Bologna - Department of Mathematics, University of PaduaUniversity of Padua, Scuola Normale Superiore and Intesa Sanpaolo
Downloads 170 (240,832)
Citation 7

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

4.

Rough Volatility: Evidence from Option Prices

Number of pages: 18 Posted: 10 Feb 2017
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Intesa Sanpaolo and Ecole Polytechnique, Palaiseau
Downloads 132 (295,064)
Citation 3

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Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation

5.

The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
University of Verona - Department of Economics, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 99 (360,995)
Citation 1

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Weak diffusion limits, Score-driven models, Student-t, General error distribution

6.

Stock Recommendations from Stochastic Discounted Cash Flows

Number of pages: 16 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 95 (370,420)

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Stochastic Discounted Cash Flow, Asset Valuation, Valuation Uncertainty, Portfolio Strategy

7.

Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure

Number of pages: 31 Posted: 25 Jun 2020 Last Revised: 12 Apr 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 84 (399,438)
Citation 1

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Stochastic Discounted Cash Flow, Valuation Uncertainty, Valuation Factor, Kalman Filter.

8.

Statistical Inferences for Price Staleness

Number of pages: 71 Posted: 13 Nov 2018 Last Revised: 21 Jan 2020
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 75 (426,248)
Citation 3

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staleness, idle time, liquidity, zero returns, stable convergence

9.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
University of Verona - Department of Economics, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 62 (470,719)
Citation 5

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

10.

Financial Cyclical Factors and Growth: Insights from an Augmented Stochastic Solow Growth Model

Number of pages: 33 Posted: 19 Jul 2016
Michael Donadelli, Giulia Livieri and Antonio Paradiso
University of Brescia, Scuola Normale Superiore and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 49 (523,467)

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Stochastic Growth Model, Cyclical Fluctuations, Financial Factors, State Space Model

11.

Asymptotic Results for the Fourier Estimator of the Integrated Quarticity

Number of pages: 31 Posted: 05 Dec 2018 Last Revised: 26 Jun 2019
Giulia Livieri, Maria Elvira Mancino and Stefano Marmi
Scuola Normale Superiore, University of Florence - Department of Economics and Management and Scuola Normale Superiore
Downloads 43 (551,395)

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(powers of) volatility estimation, quarticity, central limit theorem, Fourier analysis, high frequency data

12.

Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts

Number of pages: 41 Posted: 28 Aug 2021 Last Revised: 31 Jan 2022
Scuola Normale Superiore, University of Florence - Department of Economics and Management, Scuola Normale Superiore and University of Florence
Downloads 38 (576,750)

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volatility of volatility, non-parametric estimation, central limit theorem, stochastic volatility, Fourier analysis, high-frequency data.

13.

N-Player Games and Mean-Field Games With Smooth Dependence on Past Absorptions

Number of pages: 42 Posted: 15 Feb 2019
Luciano Campi, Maddalena Ghio and Giulia Livieri
London School of Economics & Political Science (LSE), Scuola Normale Superiore and Scuola Normale Superiore
Downloads 22 (678,130)

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Nash Equilibrium; Mean-Field Game; Absorbing Boundary; McKean-Vlasov Limit; Controlled Martingale Problem; Relaxed Control

14.

The Yoccoz-Birkeland livestock population model coupled with random price dynamics

Number of pages: 41 Posted: 28 Mar 2022
Riccardo Ceccon, Giulia Livieri and Stefano Marmi
Scuola Normale Superiore, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 19 (700,902)

Abstract:

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population dynamics, delays dynamical systems, strange attractor, chaotic livestock commodities cycles, Sinkhorn distance, statistical distances

15.

One-Shot Learning of Stochastic Differential Equations with Computational Graph Completion

Number of pages: 24 Posted: 22 Mar 2022
affiliation not provided to SSRN, California Institute of Technology, Scuola Normale Superiore, California Institute of Technology and affiliation not provided to SSRN
Downloads 11 (769,003)

Abstract:

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learning stochastic differential equations, times series forecasting, extrapolation, computational graph completion, kernel methods, Machine learning, stochastic differential equations, one-shot learning, learning dynamical systems, learning dynamical systems from data