Marco Patacca

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

704

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

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
University of Perugia - Dipartimento di Matematica e Informatica, University of Perugia - Department of Economics and University of Verona - Department of Economics
Downloads 187 (228,288)
Citation 5

Abstract:

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

2.

Regime switches and commonalities of the cryptocurrencies asset-class

Number of pages: 20 Posted: 04 Jun 2019 Last Revised: 27 Aug 2020
University of Perugia - Department of Economics, Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV) and University of Verona - Department of Economics
Downloads 161 (259,344)

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Cryptocurrencies, Regime Switching, Hidden Markov Models, Forecasting Analysis

3.

The Quantitative Easing Bursts Bitcoin Price

Accounting and Finance Research, Vol. 10, No. 3; 2021. https://doi.org/10.5430/afr.v10n3p65
Number of pages: 7 Posted: 11 Oct 2021
Marco Patacca and Sergio M. Focardi
University of Verona - Department of Economics and Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 148 (277,645)

Abstract:

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quantitative easing, monetary policy, bitcoin, cryptocurrencies, cointegration

4.

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 University of Verona - Department of Economics
Downloads 134 (300,076)
Citation 3

Abstract:

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

5.

A Change of Measure Formula for Recursive Conditional Expectations

Number of pages: 25 Posted: 18 Nov 2021 Last Revised: 14 Jul 2022
Luca di Persio, Alessandro Gnoatto and Marco Patacca
University of Verona - Department of Computer Science, University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 74 (441,547)

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Change of measure, change of numéraire, BSDE, recursive conditional expectation, non-linear pricing