Publications (33)
DebtRank: A microscopic foundation for shock propagation
Marco Bardoscia, Stefano Battiston, Fabio Caccioli +1
Distress propagation in complex networks: the case of non-linear DebtRank
Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti +2
On information efficiency and financial stability
Fabio Caccioli, Matteo Marsili
Eroding market stability by proliferation of financial instruments
Fabio Caccioli, Matteo Marsili, Pierpaolo Vivo
A proposal for impact-adjusted valuation: Critical leverage and execution risk
Fabio Caccioli, Jean-Philippe Bouchaud, J. Doyne Farmer
Reciprocity and success in academic careers
Weihua Li, Tomaso Aste, Fabio Caccioli +1
Stability analysis of financial contagion due to overlapping portfolios
Fabio Caccioli, Munik Shrestha, Cristopher Moore +1
Network models of financial systemic risk: A review
Fabio Caccioli, Paolo Barucca, Teruyoshi Kobayashi
Analytic solution to variance optimization with no short-selling
Imre Kondor, Gábor Papp, Fabio Caccioli
Emergence of strongly connected giant components in continuum disk-spin percolation
Francesco Caravelli, Marco Bardoscia, Fabio Caccioli
Heterogeneity, correlations and financial contagion
Fabio Caccioli, Thomas A. Catanach, J. Doyne Farmer
The effect of heterogeneity on financial contagion due to overlapping portfolios
Opeoluwa Banwo, Fabio Caccioli, Paul Harrald +1
Optimal Liquidation Strategies Regularize Portfolio Selection
Fabio Caccioli, Susanne Still, Matteo Marsili +1
Excess reciprocity distorts reputation in online social networks
Giacomo Livan, Fabio Caccioli, Tomaso Aste
Optimal growth trajectories with finite carrying capacity
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli +1
Ising model with memory: coarsening and persistence properties
Fabio Caccioli, Silvio Franz, Matteo Marsili
Critical fluctuations in spatial complex networks
Serena Bradde, Fabio Caccioli, Luca Dall'Asta +1
Reverse stress testing interbank networks
Daniel Grigat, Fabio Caccioli
Random Matrix approach to collective behavior and bulk universality in protein dynamics
Raffaello Potestio, Fabio Caccioli, Pierpaolo Vivo
Quantification of systemic risk from overlapping portfolios in the financial system
Sebastian Poledna, SerafÃn MartÃnez-Jaramillo, Fabio Caccioli +1
Replica approach to mean-variance portfolio optimization
Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
Fabio Caccioli, Imre Kondor, Gábor Papp
Analytic approach to variance optimization under an $\ell_1$ constraint
Imre Kondor, Gábor Papp, Fabio Caccioli
Dynamic facilitation picture of a higher-order glass singularity
Mauro Sellitto, Daniele De Martino, Fabio Caccioli +1
Data-Driven Malaria Prevalence Prediction in Large Densely-Populated Urban Holoendemic sub-Saharan West Africa: Harnessing Machine Learning Approaches and 22-years of Prospectively Collected Data
Biobele J. Brown, Alexander A. Przybylski, Petru Manescu +20
Contour map of estimation error for Expected Shortfall
Imre Kondor, Fabio Caccioli, Gábor Papp +1
Relation between regional uncertainty spillovers in the global banking system
Sachapon Tungsong, Fabio Caccioli, Tomaso Aste
$L_p$ regularized portfolio optimization
Fabio Caccioli, Imre Kondor, Matteo Marsili +1
Pathways towards instability in financial networks
Marco Bardoscia, Stefano Battiston, Fabio Caccioli +1
How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
Fabio Caccioli, J. Doyne Farmer, Nick Foti +1
Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization
Gábor Papp, Fabio Caccioli, Imre Kondor
Voter models with conserved dynamics
Fabio Caccioli, Luca Dall'Asta, Tobias Galla +1
Strong Noise Effects in one-dimensional Neutral Populations
Luca Dall'Asta, Fabio Caccioli, Deborah Beghè