• Pricing and Hedging Financial Derivatives in Merger&Acquisition Deals with Price Impact

Pricing and Hedging Financial Derivatives in Merger&Acquisition Deals with Price Impact
2 ore 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
8 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
8 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

29 giorni 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

29 giorni 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

29 giorni 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

29 giorni 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 »
Martin Summer, “Privacy by design for public digital money”

Oesterreichische Nationalbank (Austrian National Bank), Working paper n° 278

29 giorni fa

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 ...more »