no code implementations • 21 Jul 2023 • Maxime L. D. Nicolas, Adrien Desroziers, Fabio Caccioli, Tomaso Aste
We investigate the response of shareholders to Environmental, Social, and Governance-related reputational risk (ESG-risk), focusing exclusively on the impact of social media.
no code implementations • 16 Jun 2021 • Isobel Seabrook, Fabio Caccioli, Tomaso Aste
We present a novel methodology to quantify the "impact" of and "response" to market shocks.
no code implementations • 9 Mar 2021 • Marco Bardoscia, Paolo Barucca, Stefano Battiston, Fabio Caccioli, Giulio Cimini, Diego Garlaschelli, Fabio Saracco, Tiziano Squartini, Guido Caldarelli
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution.
Physics and Society Statistical Mechanics Social and Information Networks Risk Management
no code implementations • 7 Mar 2021 • Gábor Papp, Imre Kondor, Fabio Caccioli
Results are presented for the out-of-sample and the in-sample estimator of the regularized ES, the estimation error, the distribution of the optimal portfolio weights and the density of the assets eliminated from the portfolio by the regularizer.
no code implementations • 23 Dec 2020 • Isobel Seabrook, Paolo Barucca, Fabio Caccioli
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks.
Computational Engineering, Finance, and Science
no code implementations • 18 Jun 2019 • Biobele J. Brown, Alexander A. Przybylski, Petru Manescu, Fabio Caccioli, Gbeminiyi Oyinloye, Muna Elmi, Michael J. Shaw, Vijay Pawar, Remy Claveau, John Shawe-Taylor, Mandayam A. Srinivasan, Nathaniel K. Afolabi, Adebola E. Orimadegun, Wasiu A. Ajetunmobi, Francis Akinkunmi, Olayinka Kowobari, Kikelomo Osinusi, Felix O. Akinbami, Samuel Omokhodion, Wuraola A. Shokunbi, Ikeoluwa Lagunju, Olugbemiro Sodeinde, Delmiro Fernandez-Reyes
Our Locality-specific Elastic-Net based Malaria Prediction System (LEMPS) achieves good generalization performance, both in magnitude and direction of the prediction, when tasked to predict monthly prevalence on previously unseen validation data (MAE<=6x10-2, MSE<=7x10-3) within a range of (+0. 1 to -0. 05) error-tolerance which is relevant and usable for aiding decision-support in a holoendemic setting.
1 code implementation • 16 Jun 2016 • Paolo Barucca, Marco Bardoscia, Fabio Caccioli, Marco D'Errico, Gabriele Visentin, Guido Caldarelli, Stefano Battiston
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system.
no code implementations • 15 Apr 2014 • Fabio Caccioli, Imre Kondor, Matteo Marsili, Susanne Still
Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their trades make on the market.
Portfolio Management Risk Management