Stefano Marmi

Scuola Normale Superiore

Professor of Mathematics

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

http://homepage.sns.it/marmi/

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 5,289

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Top 5,289

in Total Papers Downloads

6,569

CITATIONS

2

Scholarly Papers (10)

1.

Value Matters: Predictability of Stock Index Returns

Number of pages: 27 Posted: 02 Apr 2012 Last Revised: 15 Jul 2013
University of Bologna - School of Economics, Management, and Statistics, University of Bologna - Department of Mathematics, Scuola Normale Superiore and University of Bologna - Department of Mathematics
Downloads 2,500 (3,006)

Abstract:

Valuation Ratios, Long Run Stock Market Returns

2.

A Quantitative Approach to Faber's Tactical Asset Allocation

Number of pages: 13 Posted: 22 Sep 2009 Last Revised: 11 Jul 2012
Scuola Normale Superiore, University of Siena - Department of Economics and Statistics, University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 2,388 (3,422)
Citation 2

Abstract:

market efficiency, portfolio selection, bootstrap

3.

Risk Allocation: The Double Face of Financial Derivatives

Number of pages: 22 Posted: 24 May 2011 Last Revised: 13 Jul 2011
Fulvio Corsi, Hykel Hosni and Stefano Marmi
Ca' Foscari University of Venice, University of Milan - Department of Philosophy and Scuola Normale Superiore
Downloads 283 (85,254)

Abstract:

systemic risk, derivatives, credit default swap

4.

Why Was USA Downgraded and Germany Not? A Market Dynamics Analysis

Number of pages: 11 Posted: 01 Jun 2012
Stefano Marmi, Aldo Nassigh and Niccolò Cottini
Scuola Normale Superiore, UniCredit Group and UniCredit Group
Downloads 160 (137,752)

Abstract:

Credit Default Swaps, Credit Rating, sovereign yields, rating agencies

5.

When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification

Number of pages: 36 Posted: 13 Jun 2013
Fulvio Corsi, Stefano Marmi and Fabrizio Lillo
Ca' Foscari University of Venice, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 156 (92,280)

Abstract:

financial innovation, leverage, diversification, endogenous risk, financial crises

6.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, Ca' Foscari University of Venice, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 117 (177,991)

Abstract:

price cojumps, Hawkes processes, systemic shocks, high frequency data

7.

Sovereign Ratings Implied by Coupled CDS-Bond Market Data

Number of pages: 26 Posted: 25 Nov 2014
Stefano Marmi, Aldo Nassigh and Daniele Regoli
Scuola Normale Superiore, UniCredit Group and Scuola Normale Superiore
Downloads 52 (199,019)

Abstract:

credit ratings, market implied ratings, support vector machine, credit default swaps, default risk

8.

Evolution of Correlation Structure of Industrial Indices of US Equity Markets

Number of pages: 8 Posted: 22 Jun 2013
Scuola Normale Superiore, Scuola Normale Superiore and Central European University
Downloads 23 (417,950)

Abstract:

9.

Distribution of the Asset Price Movement and Market Potential

Number of pages: 6 Posted: 14 Mar 2014
Dong Han Kim and Stefano Marmi
Dongguk University and Scuola Normale Superiore
Downloads 13 (459,196)

Abstract:

10.

Sovereign Debt Ponzi-Schemes and Credit Risk in the EMU

Number of pages: 25 Posted: 15 Jun 2015 Last Revised: 18 Jun 2015
Tommaso Colozza, Stefano Marmi and Aldo Nassigh
University of Florence - Department of Economics and Management, Scuola Normale Superiore and UniCredit Group
Downloads 10 (347,946)

Abstract:

sovereign debt, ponzi schemes, EMU