Stefano Marmi

Scuola Normale Superiore

Professor of Mathematics

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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3

CROSSREF CITATIONS

17

Scholarly Papers (11)

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 3,095 (3,699)
Citation 1

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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 2,807 (4,385)
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 337 (93,345)
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 306 (103,840)
Citation 1

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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 193 (164,720)
Citation 1

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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 158 (196,395)
Citation 11

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

7.

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 152 (202,887)

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credit ratings, market implied ratings, support vector machine, machine learning, 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
University of Rome Tor Vergata, Scuola Normale Superiore and University of Palermo
Downloads 32 (479,493)
Citation 1

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9.

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 21 (540,251)

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

10.

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 (552,586)

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11.

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 18 (558,799)

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