Stefano Marmi

Scuola Normale Superiore

Professor of Mathematics

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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

SCHOLARLY PAPERS

12

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CITATIONS
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Top 18,848

in Total Papers Citations

25

Scholarly Papers (12)

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 3,040 (3,494)

Abstract:

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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 2,764 (4,133)
Citation 1

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market efficiency, portfolio selection, bootstrap

3.

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
University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 327 (90,576)
Citation 16

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

4.

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
University of Pisa - Department of Economics, University of Milan - Department of Philosophy and Scuola Normale Superiore
Downloads 303 (98,452)

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systemic risk, derivatives, credit default swap

5.

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 191 (156,394)

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

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, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 149 (194,137)
Citation 10

Abstract:

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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 146 (197,373)

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

8.

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
Polytechnic University of Milan - Department of Mathematics, Scuola Normale Superiore and UniCredit Group
Downloads 59 (355,032)

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sovereign debt, ponzi schemes, EMU

9.

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 University of Palermo
Downloads 30 (461,328)
Citation 1

Abstract:

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10.

When Panic Makes You Blind: A Chaotic Route to Systemic Risk

Number of pages: 24 Posted: 11 May 2018
Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi
Scuola Normale Superiore, Università di Bologna and Scuola Normale Superiore
Downloads 19 (520,788)

Abstract:

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systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems

11.

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 19 (520,788)

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12.

Asymptotic Results for the Fourier Estimator of the Integrated Quarticity

Number of pages: 31 Posted: 05 Dec 2018 Last Revised: 26 Jun 2019
Scuola Normale Superiore, University of Florence - Department of Economics and Management and Scuola Normale Superiore
Downloads 14 (549,912)

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