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Piero Mazzarisi

Scuola Normale Superiore (from arXiv:2008.10666, 2020) · ORCID · OpenAlex

18 papers in scope · 17 published · 1 on the econ.EM arXiv · 247 citations · h-index 8 (over the papers listed here)

Papers

(2 of 18)

Optimizing investment period length and strategies for later stage venture capital staged financing portfolio
published2025 · European Journal of Finance · 2 citations
with Guanrou Deng, Maurizio Fiaschetti, Francesca Medda
European Journal of Finance
Spectral signatures of structural change in financial networks
published2025 · Chaos Solitons & Fractals · first circulated 2024
with Valentina Macchiati, Emiliano Marchese, Diego Garlaschelli, Tiziano Squartini
Chaos Solitons & Fractals
Bayesian autoregressive online change-point detection with time-varying parameters
published2024 · Communications in Nonlinear Science and Numerical Simulation · 9 citations
with Ioanna-Yvonni Tsaknaki, Fabrizio Lillo
Communications in Nonlinear Science and Numerical Simulation
A machine learning approach to support decision in insider trading detection
published2024 · EPJ Data Science · 6 citations · first circulated 2022
with Adele Ravagnani, Paola Deriu, Fabrizio Lillo, Francesca Medda, Antonio Russo
EPJ Data Science
Realized Random Graphs, with an Application to the Interbank Network
published2024 · Journal of Financial Econometrics · 3 citations · first circulated 2021
with Giuseppe Buccheri
Journal of Financial Econometrics
Interbank network reconstruction enforcing density and reciprocity
published2024 · Chaos Solitons & Fractals · 1 citations
with Valentina Macchiati, Diego Garlaschelli
Chaos Solitons & Fractals
Online learning of order flow and market impact with Bayesian change-point detection methods
published2024 · Quantitative Finance · 5 citations · first circulated 2023
with Ioanna-Yvonni Tsaknaki, Fabrizio Lillo
Paper profile Quantitative Finance arXiv:2307.02375
Variance of entropy for testing time-varying regimes with an application to meme stocks
published2024 · Decisions in Economics and Finance · 5 citations · first circulated 2022
with Andrey Shternshis
Decisions in Economics and Finance
Efficiency of the Moscow Stock Exchange before 2022
published2022 · Entropy · 7 citations
with Andrey Shternshis, Stefano Marmi
Entropy
Measuring market efficiency: The Shannon entropy of high-frequency financial time series
published2022 · Chaos Solitons & Fractals · 44 citations
with Andrey Shternshis, Stefano Marmi
Chaos Solitons & Fractals
Network-wide assessment of ATM mechanisms using an agent-based model
published2021 · Journal of Air Transport Management · 9 citations
with Luis Delgado, G. Gurtner, Silvia Zaoli, D. Valput, A.J. Cook, Fabrizio Lillo
Journal of Air Transport Management
Betweenness centrality for temporal multiplexes
published2021 · Scientific Reports · 35 citations
with Silvia Zaoli, Fabrizio Lillo
Scientific Reports
On the equivalence between the kinetic Ising model and discrete autoregressive processes
working paper2021 · arXiv · 9 citations
with Carlo Campajola, Fabrizio Lillo, Daniele Tantari
Paper profile arXiv:2008.10666
New centrality and causality metrics assessing air traffic network interactions
published2020 · Journal of Air Transport Management · 31 citations
with Silvia Zaoli, Fabrizio Lillo, Luis Delgado, G. Gurtner
Journal of Air Transport Management
Tail Granger Causalities and Where to Find Them: Extreme Risk Spillovers vs Spurious Linkages
published2020 · Journal of Economic Dynamics and Control · 27 citations
with Silvia Zaoli, Carlo Campajola, Fabrizio Lillo
Journal of Economic Dynamics and Control
Trip Centrality: walking on a temporal multiplex with non-instantaneous link travel time
published2019 · Scientific Reports · 1 citations
with Silvia Zaoli, Fabrizio Lillo
Scientific Reports
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
published2019 · European Journal of Operational Research · 53 citations · first circulated 2017
with Paolo Barucca, Fabrizio Lillo, Daniele Tantari
European Journal of Operational Research
When Panic Makes You Blind: A Chaotic Route to Systemic Risk
published2018 · Journal of Economic Dynamics and Control
with Fabrizio Lillo, Stefano Marmi
Journal of Economic Dynamics and Control

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.