Stefano Marmi

Scuola Normale Superiore

Professor of Mathematics

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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

SCHOLARLY PAPERS

15

DOWNLOADS
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7,786

SSRN CITATIONS
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Top 32,751

in Total Papers Citations

7

CROSSREF CITATIONS

18

Scholarly Papers (15)

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 3,214 (5,069)
Citation 2

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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 2,911 (5,995)
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 365 (112,692)
Citation 14

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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 312 (133,382)
Citation 1

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systemic risk, derivatives, credit default swap

5.

Bond-CDS Implied Rating Systems

Number of pages: 34 Posted: 25 Nov 2014 Last Revised: 24 Mar 2020
Scuola Normale Superiore, Scuola Normale Superiore, UniCredit Group and Scuola Normale Superiore
Downloads 260 (161,008)

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

6.

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 197 (209,367)
Citation 1

Abstract:

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

7.

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 172 (235,643)
Citation 14

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

8.

Stock Recommendations from Stochastic Discounted Cash Flows

Number of pages: 16 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 93 (371,159)

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Stochastic Discounted Cash Flow, Asset Valuation, Valuation Uncertainty, Portfolio Strategy

9.

Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure

Number of pages: 31 Posted: 25 Jun 2020 Last Revised: 12 Apr 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 79 (409,142)
Citation 1

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Stochastic Discounted Cash Flow, Valuation Uncertainty, Valuation Factor, Kalman Filter.

10.

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 40 (560,147)

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

11.

Evolution of Correlation Structure of Industrial Indices of US Equity Markets

Number of pages: 8 Posted: 22 Jun 2013
University of Verona - Department of Economics, Scuola Normale Superiore and University of Palermo
Downloads 39 (565,230)
Citation 1

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12.

Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts

Number of pages: 41 Posted: 28 Aug 2021 Last Revised: 31 Jan 2022
Scuola Normale Superiore, University of Florence - Department of Economics and Management, Scuola Normale Superiore and University of Florence
Downloads 37 (575,537)

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volatility of volatility, non-parametric estimation, central limit theorem, stochastic volatility, Fourier analysis, high-frequency data.

13.

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 34 (591,999)

Abstract:

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

14.

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 (692,215)

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15.

The Yoccoz-Birkeland livestock population model coupled with random price dynamics

Number of pages: 41 Posted: 28 Mar 2022
Riccardo Ceccon, Giulia Livieri and Stefano Marmi
Scuola Normale Superiore, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 14 (731,919)

Abstract:

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population dynamics, delays dynamical systems, strange attractor, chaotic livestock commodities cycles, Sinkhorn distance, statistical distances