Gianna Figà-Talamanca

University of Perugia - Department of Economics

via Pascoli, 20

PG 06123 Perugia, 06123

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

468

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

A Confidence-Based Model for Asset and Derivative Prices in the Bitcoin Market

An updated version of this paper is published under the new title "Market attention and Bitcoin price modeling: theory, estimation and option pricing" in Cretarola, A., Figà-Talamanca, G. & Patacca, M. Decisions in Economics and Finance (2019).
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 19 Sep 2019
Alessandra Cretarola and Gianna Figà-Talamanca
University of Perugia - Dipartimento di Matematica e Informatica and University of Perugia - Department of Economics
Downloads 211 (147,555)
Citation 2

Abstract:

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BitCoin, Sentiment, Equivalent martingale measure, Option Pricing

2.

A Sentiment-Based Model for the Bitcoin: Theory, Estimation and Option Pricing

A revised version of this paper is published under the new title "Market attention and Bitcoin price modeling: theory, estimation and option pricing" in Cretarola, A., Figà-Talamanca, G. & Patacca, M. Decisions in Economics and Finance (2019).
Number of pages: 39 Posted: 27 Sep 2017 Last Revised: 19 Sep 2019
Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
University of Perugia - Dipartimento di Matematica e Informatica, University of Perugia - Department of Economics and Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 122 (235,297)
Citation 3

Abstract:

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BitCoin, Sentiment, Stochastic Models, Equivalent Martingale Measure, Option Pricing, Likelihood

3.

Does Market Attention Affect Bitcoin Returns and Volatility?

Figá-Talamanca, G. & Patacca, M., Does market attention affect Bitcoin returns and volatility?, Decisions in Economics and Finance (2019). Doi.org/10.1007/s10203-019-00258-7
Number of pages: 19 Posted: 26 Mar 2018 Last Revised: 25 Jul 2019
Gianna Figà-Talamanca and Marco Patacca
University of Perugia - Department of Economics and Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 110 (253,657)
Citation 3

Abstract:

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Bitcoin, Market Attention, SVI Google Index, ARMA, GARCH

4.

Regime Switching Analysis of Cryptocurrencies

Number of pages: 11 Posted: 04 Jun 2019
Gianna Figà-Talamanca, Sergio M. Focardi and Marco Patacca
University of Perugia - Department of Economics, Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV) and Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 25 (504,067)

Abstract:

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Cryptocurrencies, Regime Switching, Hidden Markov Models, Forecasting Analysis