Temperature Anomalies and Climate Physical Risk in Portfolio Construction
16 ore fa

Michele Azzone, Carlo Bechi, Gabriele Sbaiz 1. Introduction The increasing frequency, severity, and unpredictability of natural disasters and chronic climate threats pose unprecedented challenges to global financial markets. Traditional asset pricing models and portfolio ...more »
Pricing and Hedging Financial Derivatives in Merger&Acquisition Deals with Price Impact
2 giorni fa

Authors: Emilio Barucci, Yuheng Lan, Daniele Marazzina. This paper investigates the optimal execution and pricing of financial contracts commonly used in merger and acquisition (M&A) transactions, focusing on agreements between a broker and a counterparty. In ...more »
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling
10 giorni fa

Authors: Giovanni Amici, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina. This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature-related shocks, within production or financial ...more »
Forecasting Bitcoin price movements using multivariate Hawkes processes and limit order book data
10 giorni fa

Authors: Davide Raffaelli, Raffaele Giuseppe Cestari, Daniele Marazzina, Simone Formentin Forecasting short-term returns of Bitcoin is a key challenge in high-frequency trading, due to the cryptocurrency’s extreme volatility, market microstructure ...more »
Marco Gross and Richard Senner “From Par to Pressure: Liquidity, Redemptions, and Fire Sales with a Systemic Stablecoin”

International Monetary Fund, Working paper n° 26/5

1 mese fa

Abstract: Fiat-backed stablecoins are expanding, and their issuers may attain systemic relevance as reserve portfolios grow and as they may become ...more »
Eugenio M. Cerutti, Martina Hengge and Takaaki Sagawa, “Stablecoin Shocks”

International Monetary Fund, Working paper n° 26/44

1 mese fa

Abstract: We develop novel measures of stablecoin shocks and use them to identify the causal effects of stablecoin adoption on U.S. financial markets. Combining a daily narrative dataset of ...more »
Youming Liu, Francisco Rivadeneyra and Edona Reshidi, “Public vs. Private Payment Platforms: Market Impacts and Optimal Policy”

Bank of Canada, Working paper n° 2026-10

1 mese fa

Abstract: We study competition between a welfare-maximizing public platform and a profit-maximizing private platform in a two-sided payment market. We ...more »
Hyun Song Shin, “Tokenomics and blockchain fragmentation”

Bank for International Settlements, Working Paper n° 1335

1 mese fa

Abstract: Money is a coordination device underpinned by strong network effects: the more others accept a form of money, the more I wish to adopt it too. The decentralisation agenda of public permissionless ...more »