arXiv · arXiv q-fin · 2017
Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets. The tools include a variety of complexity measures like Maximal Lyapunov and Hurst exponents and HHI index for market concentration and Entropy, a measure of uncertainty and complexity in a dynamical system, applied on …
George P Papaioannou, Christos Dikaiakos, Anargyros Dramountanis, Dionysios S Georgiadis, Panagiotis G Papaioannou
arXiv · arXiv q-fin · 2013
Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the nominal total credit used by non-financial corporations. Such frequent and intense fluctuations are f…
Stefano Olgiati, Alessandro Danovi
arXiv · arXiv q-fin · 2012
Italy and the Eurozone are heading in the year 2012 into a financial depression of unprecedented magnitude, with a forthcoming multitude of often contradictory public economic and financial stability emergency interventions whose ultimate endogenous and exogenous effects on public and private health spending and on the sustainability of universal coverage are difficult to predict ex ante. The research question is to …
Stefano Olgiati, Alessandro Danovi
arXiv · arXiv · 2017
This paper explores a real-world fundamental theme under a data science perspective. It specifically discusses whether fraud or manipulation can be observed in and from municipality income tax size distributions, through their aggregation from citizen fiscal reports. The study case pertains to official data obtained from the Italian Ministry of Economics and Finance over the period 2007-2011. All Italian (20) regions…
Marcel Ausloos, Roy Cerqueti, Tariq A. Mir
arXiv · arXiv · 2016
The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work but is also presenting unpublished features. The data pertains to Italy (IT), over the period 2007-2011: the number of cities in regions, the number of inhabitants in cities and in regions, as well as the aggregated tax income of the cities and of regions. Frequency-size plots and cumulativ…
Marcel Ausloos, Roy Cerqueti
arXiv · arXiv · 2014
Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions will very likely become more intense and more frequent by the end of this century, as global mean surface temperature increase…
Alessandro Chieppa, Andrea Ricca, Gianluca Rosso
arXiv · arXiv q-fin · 2025
This paper extends an option-theoretic approach to estimate liquidity spreads for corporate bonds. Inspired by Longstaff's equity market framework and subsequent work by Koziol and Sauerbier on risk-free zero-coupon bonds, the model views liquidity as a look-back option. The model accounts for the interplay of risk-free rate volatility and credit risk. A numerical analysis highlights the impact of these factors on th…
Pietro Rossi, Paolo Spezzati, Riccardo Tedeschi
arXiv · arXiv q-fin · 2025
This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices across major European markets-Germany, France, and Italy. Using daily returns from October 2021 to February 2024, the analysis explores the effects of key global disruptions such as the Covid-19 pandemic and the Russia-Ukraine conflic…
Barbara Iannone, Pierdomenico Duttilo, Stefano Antonio Gattone
arXiv · arXiv q-fin · 2024
This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is trained on data from Experian, a widely recognized credit bureau, to effectively identify instances of loan defaults among bank customers. Employing state-of-the-art statistical and machine learning techniques ensures the model's predictive ac…
O. Didkovskyi, N. Jean, G. Le Pera, C. Nordio
arXiv · arXiv q-fin · 2006
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock …
Andreia Dionisio, Rui Menezes, Diana A. Mendes
arXiv · arXiv · 2010
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1. For each country, we extract the long run trend and the cyclical component of real economic activity, while the corresponding inte…
Periklis Gogas, Ioannis Pragidis
arXiv · arXiv · 2018
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses …
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
arXiv · arXiv · 2016
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network characterization of clearing members, whose links correspond to direct credits and debits. This network constitutes the ground for the propagation of financial distress: equity lo…
Giulia Poce, Giulio Cimini, Andrea Gabrielli, Andrea Zaccaria, Giuditta Baldacci
arXiv · arXiv · 2012
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates for sovereign debt increased dramatically. High interest rates imply that default is likely due to economic conditions. High interest rates also increase the cost of borrowing and …
Marco Lagi, Yaneer Bar-Yam
arXiv · arXiv q-fin · 2026
This paper argues that AI-agent alignment in markets should not be understood only as a property of agents, but also as a property of the interaction infrastructure in which agents act. In financial markets, this infrastructure is the market core: the rule system that determines how orders enter, interact, match, persist, and stabilize. If this fundamental interaction layer allows or rewards undesired behaviour, then…
Omar Inverso, Emilio Tuosto, Dragisa Zunic