author profile photo

Federico Gatta

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

  • Scuola Normale Superiore

SCHOLARLY PAPERS

4

DOWNLOADS

272

TOTAL CITATIONS

0

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

A MULTI-STEP APPROACH FOR MINIMIZING RISK IN DECENTRALIZED EXCHANGES  -  THE SIAG/FME CODE QUEST 2023 WINNING STRATEGY

Number of pages: 14 Posted: 20 Jun 2024
Daniele Maria Di Nosse and Federico Gatta
Scuola Normale Superiore and Scuola Normale Superiore
Downloads 76 (844,901)

Abstract:

Loading...

Decentralized Exchanges, Conditional Value at Risk, Expected Shortfall, Cryptocurrencies

2.

CAESar: Conditional Autoregressive Expected Shortfall

Number of pages: 47 Posted: 11 Jul 2024 Last Revised: 15 Jun 2026
Federico Gatta, Fabrizio Lillo and Piero Mazzarisi
Scuola Normale Superiore, Scuola Normale Superiore and DEPS, University of Siena
Downloads 74 (860,052)

Abstract:

Loading...

Autoregressive Models, Conditional Value at Risk, Expected Shortfall, Risk Management, Basel IV

3.

A high-frequency Approach to Realized Risk Measures

Number of pages: 27 Posted: 21 Oct 2025
Federico Gatta, Fabrizio Lillo and Piero Mazzarisi
Scuola Normale Superiore, Scuola Normale Superiore and DEPS, University of Siena
Downloads 64 (942,565)

Abstract:

Loading...

Value at Risk, Expected Shortfall, Latent variables, Subordinated Processes

4.

Deviations from Tradition: Stylized Facts in the Era of DeFi

Number of pages: 32 Posted: 29 Oct 2025
Daniele Maria Di Nosse, Federico Gatta, Fabrizio Lillo and Sebastian Jaimungal
Scuola Normale Superiore, Scuola Normale Superiore, Scuola Normale Superiore and University of Toronto - Department of Statistics
Downloads 58 (1,031,043)

Abstract:

Loading...

Blockchain, Decentralized Exchanges, Maximal Extractable Value, Market Microstructure, Uniswap v3, Cryptocurrency