di 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 networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, ...more »

di 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 complexity, and non-stationary behavior. Limit Order Book (LOB) data offer a rich source of high-resolution information that can improve ...more »

Abstract: Fiat-backed stablecoins are expanding, and their issuers may attain systemic relevance as reserve portfolios grow and as they may become increasingly intertwined with financial markets. This paper analyzes the resulting risks and the design choices that can mitigate them. A detailed financial-economics discussion forms ...more »