Natascia Angelini, Giacomo Bormetti, Stefano Marmi, Franco Nardini, Value Matters: The Long-run Behavior of Stock Index Returns, «REVIEW OF ECONOMICS & FINANCE», 2018, 12, pp. 16 - 28 [articolo]Open Access
Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco, A Stylized Model for Long-Run Index Return Dynamics, in: Essays in Economic Dynamics: Theory, Simulation Analysis, and Methodological Study, Singapore, Springer, 2016, pp. 111 - 122 [capitolo di libro]
Ranco, Gabriele; Bordino, Ilaria; Bormetti, Giacomo; Caldarelli, Guido; Lillo, Fabrizio; Treccani, Michele, Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics, «PLOS ONE», 2016, 11, pp. 1 - 14 [articolo]Open Access
Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio, Modelling systemic price cojumps with Hawkes factor models, «QUANTITATIVE FINANCE», 2015, 15, pp. 1137 - 1156 [articolo]
Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio, Smile from the past: A general option pricing framework with multiple volatility and leverage components, «JOURNAL OF ECONOMETRICS», 2015, 187, pp. 521 - 531 [articolo]Open Access
Delpini, D.; Bormetti, G., Stochastic volatility with heterogeneous time scales, «QUANTITATIVE FINANCE», 2015, 15, pp. 1597 - 1608 [articolo]
Bormetti, Giacomo; Cazzaniga, Sofia, Multiplicative noise, fast convolution and pricing, «QUANTITATIVE FINANCE», 2014, 14, pp. 481 - 494 [articolo]
Taranto, D.E.; Bormetti, G.; Lillo, F., The adaptive nature of liquidity taking in limit order books, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2014, 2014, Article number: P06002, pp. P06002-1 - P06002-38 [articolo]
Bormetti, Giacomo; De Giuli, Maria Elena; Delpini, Danilo; Tarantola, Claudia, Bayesian Value-at-Risk with product partition models, «QUANTITATIVE FINANCE», 2012, 12, pp. 769 - 780 [articolo]
Delpini, Danilo; Bormetti, Giacomo, Minimal model of financial stylized facts, «PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS», 2011, 83, Article number: 041111, pp. 041111-1 - 041111-9 [articolo]
Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste, A generalized Fourier transform approach to risk measures, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2010, 2010, Article number: P01005, pp. P01005-1 - P01005-16 [articolo]
Bormetti, G.; Cazzola, V.; Delpini, D.; Livan, G., Accounting for risk of non linear portfolios : A novel Fourier approach, «THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS», 2010, 76, pp. 157 - 165 [articolo]
Bormetti, Giacomo; Delpini, Danilo, Exact moment scaling from multiplicative noise, «PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS», 2010, 81, Article number: 032102, pp. 032102-1 - 032102-4 [articolo]
Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo, Option pricing under ornstein-uhlenbeck stochastic volatility: A linear model, «INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE», 2010, 13, pp. 1047 - 1063 [articolo]