← All authors Stefano Marmi Scuola Normale Superiore (per OpenAlex) · ORCID · OpenAlex
19 papers in scope · 19 published · 1 on the econ.EM arXiv · 335 citations · h-index 7 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Giacomo Toscano Simona Sanfelici Maria Elvira Mancino Giulia Livieri Carsten Chong Viktor Todorov Zhao Chen Ilze Kalnina Christina Dan Wang Kokouvi Tewou Qiang Liu Zhi Liu Zhou Wang Jun Yu Tetsuya Takabatake Chen Zhang Yang Zu José E. Figueroa-López H. Peter Boswijk Bei Wu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 19)
Filtering and statistical properties of unimodal maps perturbed by heteroscedastic noise
published 2026 · Stochastics and Dynamics
Price predictability at ultra-high frequency: Entropy-based randomness test
published 2024 · Communications in Nonlinear Science and Numerical Simulation · first circulated 2023
with Andrey Shternshis
Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems
published 2023 · Journal of Statistical Physics · 1 citations
Uncertainty in firm valuation and a cross-sectional misvaluation measure
published 2023 · Annals of Finance · 3 citations · first circulated 2020
published 2022 · Journal of Financial Econometrics · 12 citations · first circulated 2021
Efficiency of the Moscow Stock Exchange before 2022
published 2022 · Entropy · 7 citations
Measuring market efficiency: The Shannon entropy of high-frequency financial time series
published 2022 · Chaos Solitons & Fractals · 44 citations
Bond-CDS implied rating systems
published 2022 · Information Sciences · 4 citations
with Tommaso Colozza, Aldo Nassigh, Daniele Regoli
Asymptotic results for the Fourier estimator of the integrated quarticity
published 2019 · Decisions in Economics and Finance · 5 citations · first circulated 2018
Entropy and Efficiency of the ETF Market
published 2019 · Computational Economics · 12 citations · first circulated 2016
Value Matters: The Long-run Behavior of Stock Index Returns
published 2018 · Review of Economics and Finance · 1 citations
no link
When Panic Makes You Blind: A Chaotic Route to Systemic Risk
published 2018 · Journal of Economic Dynamics and Control
Collective synchronization and high frequency systemic instabilities in financial markets
published 2017 · Quantitative Finance · 35 citations · first circulated 2015
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
published 2016 · Operations Research · 68 citations · first circulated 2013
Distribution of asset price movement and market potential
published 2015 · Journal of Statistical Mechanics Theory and Experiment · 2 citations · first circulated 2014
with Dong Han Kim
Preface for the special feature
published 2015 · Evolutionary and Institutional Economics Review
Modelling systemic price cojumps with Hawkes factor models
published 2015 · Quantitative Finance · 73 citations · first circulated 2013
Evolution of correlation structure of industrial indices of U.S. equity markets
published 2013 · Physical Review E · 66 citations
A quantitative approach to Faber's tactical asset allocation
published 2013 · International Journal of Computational Economics and Econometrics · 2 citations · first circulated 2011
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.
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