Stefano Marmi
Scuola Normale Superiore di Pisa
H-index: 24
Europe-Italy
Top articles of Stefano Marmi
Title | Journal | Author(s) | Publication Date |
---|---|---|---|
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts | Journal of Financial Econometrics | Giacomo Toscano Giulia Livieri Maria Elvira Mancino Stefano Marmi | 2024/1/1 |
Global and local minima of -Brjuno functions | arXiv preprint arXiv:2401.17679 | Ayreena Bakhtawar Carlo Carminati Stefano Marmi | 2024/1/31 |
Correction to: Regularity properties of k-Brjuno and Wilton functions | Aequationes mathematicae | Seul Bee Lee Stefano Marmi Izabela Petrykiewicz Tanja I Schindler | 2024/1/17 |
The Yoccoz–Birkeland livestock population model coupled with random price dynamics | Communications in Nonlinear Science and Numerical Simulation | Riccardo Ceccon Giulia Livieri Stefano Marmi | 2023/4/1 |
Uncertainty in firm valuation and a cross-sectional misvaluation measure | Annals of Finance | Giulio Bottazzi Francesco Cordoni Giulia Livieri Stefano Marmi | 2023/3 |
Price predictability at ultra-high frequency: Entropy-based randomness test | arXiv preprint arXiv:2312.16637 | Andrey Shternshis Stefano Marmi | 2023/12/27 |
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems | Journal of Statistical Physics | Fabrizio Lillo Giulia Livieri Stefano Marmi Anton Solomko Sandro Vaienti | 2023/10/4 |
Regularity properties of k-Brjuno and Wilton functions | Aequationes mathematicae | Seul Bee Lee Stefano Marmi Izabela Petrykiewicz Tanja I Schindler | 2023/6/30 |
Analysis of bank leverage via dynamical systems and deep neural networks | SIAM Journal on Financial Mathematics | Fabrizio Lillo Giulia Livieri Stefano Marmi Anton Solomko Sandro Vaienti | 2023/6/30 |
Bond-CDS implied rating systems | Information Sciences | Tommaso Colozza Stefano Marmi Aldo Nassigh Daniele Regoli | 2022/8/1 |
A convergence criterion for the unstable manifolds of the MacKay approximate renormalisation | Physica D: Nonlinear Phenomena | Seul Bee Lee Stefano Marmi Tanja I Schindler | 2022/7/1 |
Random‐like properties of chaotic forcing | Journal of the London Mathematical Society | Paolo Giulietti Stefano Marmi Matteo Tanzi | 2022/10 |
Some arithmetical aspects of renormalization in Teichmüller dynamics: On the occasion of Corinna Ulcigrai winning the Brin Prize | Journal of Modern Dynamics | Stefano Marmi | 2022/4/6 |
Measuring market efficiency: The Shannon entropy of high-frequency financial time series | Chaos, solitons & fractals | Andrey Shternshis Piero Mazzarisi Stefano Marmi | 2022/9/1 |
Generalized Feller Processes and their Applications to Affine and Polynomial Processes | Tonio Mollmann | 2022/1/25 | |
Efficiency of the moscow stock exchange before 2022 | Entropy | Andrey Shternshis Piero Mazzarisi Stefano Marmi | 2022/8/25 |
Financial market dynamics: essay in agent-based exploration | Matteo Ottaviani | 2022/1/12 | |
The Brjuno functions of the by-excess, odd, even and odd-odd continued fractions and their regularity properties | arXiv preprint arXiv:2111.13553 | Seul Bee Lee Stefano Marmi | 2021/11/26 |
Cohomological equations for linear involutions | Dynamical Systems | Erwan Lanneau Stefano Marmi Alexandra Skripchenko | 2021/4/3 |
Mean-Field games with absorption and singular controls | Maddalena Ghio | 2021/9/27 |