Similar Search Results

Novel advancements in the Markov chain stock model : analysis and inference

Barbu, Vlad Stefan; D'Amico, Guglielmo; De Blasis, Riccardo - In: Annals of finance 13 (2017) 2, pp. 125-152

Persistent link: https://www.econbiz.de/10011944970

The price leadership share : a new measure of price discovery in financial markets

De Blasis, Riccardo - In: Annals of finance 16 (2020) 3, pp. 381-405

Persistent link: https://www.econbiz.de/10012496349

Weighted-indexed semi-Markov model : calibration and application to financial modeling

De Blasis, Riccardo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16

We address the calibration issues of the weighted-indexed semi-Markov chain (WISMC) model applied to high-frequency financial data. Specifically, we propose to automate the discretization of the price returns and the volatility index by using four different approaches, two based on statistical...

Persistent link: https://www.econbiz.de/10014288949

Arbitrage, contract design, and market structure in Bitcoin futures markets

De Blasis, Riccardo; Webb, Alexander - In: The journal of futures markets 42 (2022) 3, pp. 492-524

Persistent link: https://www.econbiz.de/10012817947

Intelligent design : stablecoins (in)stability and collateral during market turbulence

De Blasis, Riccardo; Galati, Luca; Webb, Alexander; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

How does stablecoin design affect market behavior during turbulent periods? Stablecoins attempt to maintain a "stable" peg to the US dollar, but do so with widely varying structural designs. The spectacular collapse of the TerraUSD (UST) stablecoin and the linked Terra (LUNA) token in May 2022...

Persistent link: https://www.econbiz.de/10014289127

A semi-Markov approach to the stock valuation problem

D'Amico, Guglielmo - In: Annals of finance 9 (2013) 4, pp. 589-610

Persistent link: https://www.econbiz.de/10010196598

The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Networks, topology and dynamics : theory and …, (pp. 195-211). 2009

Persistent link: https://www.econbiz.de/10003774325

Homogeneous and non-homogeneous semi-Markov backward credit risk migration models

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Financial hedging, (pp. 3-55). 2009

Persistent link: https://www.econbiz.de/10008799134

A non-homogeneous semi-Markov reward model for the credit spread computation

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10008992173

A system maintenance approach to analyzing the Italian judicial system reform proposal of 2010

D'Amico, Guglielmo; Manca, Raimondo - In: Socio-economic planning sciences : the international … 46 (2012) 3, pp. 205-215

Persistent link: https://www.econbiz.de/10009575152