Articolo
Pricing and Hedging Financial Derivatives in Merger&Acquisition Deals with Price Impact
Posted in: Articolo
Apr
25
2026
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 particular, we analyze three classes of contracts: linear instruments ...more »
Tagged width: Barucci Emilio, capital markets, Lan Yuheng, Marazzina Daniele
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling
Posted in: Articolo
Apr
17
2026
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 networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into ...more »
Tagged width: Marazzina Daniele
Forecasting Bitcoin price movements using multivariate Hawkes processes and limit order book data
Posted in: Articolo
Apr
17
2026
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 complexity, and non-stationary behavior. Limit Order Book (LOB) data offer a rich source of high-resolution information that can improve ...more »
Tagged width: blockchain, fintech, Marazzina Daniele
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
Posted in: Articolo
Mar
26
2026
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 »
Tagged width: banking, capital markets, fintech
Eugenio M. Cerutti, Martina Hengge and Takaaki Sagawa, “Stablecoin Shocks”
International Monetary Fund, Working paper n° 26/44
Posted in: Articolo
Mar
26
2026
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 stablecoin-specific news with changes in the combined market capitalization of USDC and USDT, we measure high-frequency ...more »
Tagged width: banking, capital markets, fintech
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
Posted in: Articolo
Mar
26
2026
Abstract: We study competition between a welfare-maximizing public platform and a profit-maximizing private platform in a two-sided payment market. We characterize the public platform’s optimal pricing and show that it balances the benefits of increased competition against the welfare costs of network fragmentation. While introducing ...more »
Tagged width: banking, capital markets
Hyun Song Shin, “Tokenomics and blockchain fragmentation”
Bank for International Settlements, Working Paper n° 1335
Posted in: Articolo
Mar
26
2026
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 blockchains undercuts these network effects and leads to fragmentation of the monetary ...more »
Tagged width: blockchain, fintech
Martin Summer, “Privacy by design for public digital money”
Oesterreichische Nationalbank (Austrian National Bank), Working paper n° 278
Posted in: Articolo
Mar
26
2026
Abstract: As central banks explore issuing digital currencies for public use, a critical design challenge is how to protect the privacy of the granular data trails digital payments leave behind. While privacy is widely recognised as a goal, policy debates often frame it as a ...more »
Juan S. Mora-Sanguinetti, Cristina Peñasco and Rok Spruk, “THE IMPACT OF “GREEN REGULATION” ON FIRMS’ INNOVATION”
Banco de España, Working Paper n° 2611
Posted in: Articolo
Mar
26
2026
Abstract: This paper analyses the impact of “green regulations” – i.e. those aimed at mitigating the effects of climate change and environmental externalities – on innovation, using a novel regulatory database covering the period 2008-2022 for Spain. The database identifies regulations at both the national ...more »
Tagged width: banking, capital markets, eurozone
Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang, “Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter”
European Central Bank, Working Paper n° 3166
Posted in: Articolo
Mar
26
2026
Abstract: We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for peaks-over-threshold (POT) dynamics. Unlike earlier ...more »
Tagged width: banking, capital markets
