publications

Journal and Book Publications

  1. FLANDOLI, F., GHIO, M., LIVIERI, G., “N-player games and MFGs of intermediate interactions “. APPL MATH OPTIM. (2021, Just Accepted) https://arxiv.org/abs/2104.03944
  2. CAMPI, L., DE ANGELIS, T., GHIO, M., “Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls”. ANN APPL PROBAB. (2021, Just Accepted) https://arxiv.org/abs/2006.02074
  3. TIRONE, S., GHIO, M., LIVIERI, G., MARMI, S., GIOVANETTI, V. , “Kelly Betting with Quantum Payoff: a continuous variable approach”. QUANTUM. (2021, Just Accepted). https://arxiv.org/pdf/2001.11395.pdf
  4. MERTENS L.P., CIACCI, A., LILLO, F., LIVIERI, G. “Liquidity Fluctuations and the latent dynamic of price impact”. QUANT. FINANCE (2021, Just Accepted). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3214744
  5. CAMPI, L., GHIO, M., LIVIERI, G. “N-player games and mean-field games with smooth dependence on past absorptions”. ANN I H POINCARE-PR (2021, Just Accepted). https://arxiv.org/abs/1902.02670
  6. BUCCHERI, G., CORSI, F., FLANDOLI, F., LIVIERI, G. “The Continuous-Time Limit of Score-Driven Volatility Models”. J. ECONOM. (2020) https://doi.org/10.1016/j.jeconom.2020.07.042.
  7. KOLOKOLOV, A., LIVIERI, G., PIRINO, D. “Statistical inference for price staleness”. J. ECONOM. (2020) https://doi.org/10.1016/j.jeconom.2020.01.021.
  8. BILLIO, M., DONADELLI, M., PARADISO, A., LIVIERI, G. “On the role of domestic and international financial cyclical factors in driving economic growth”. APPL. ECON. (2019) https://doi.org/10.1080/00036846.2019.1659934.
  9. LIVIERI, G., MANCINO, M. E., MARMI, S., “Asymptotic results for the Fourier estimator of the integrated quarticity”. DECISION IN ECONOMICS AND FINANCE. (2019) https://doi.org/10.1007/s10203-019-00259-6.
  10. BORMETTI, G., CASARIN, R., CORSI, F., LIVIERI, G., “A stochastic volatility model with realized measures for option pricing”. J BUS ECON STAT. (2019) https://doi.org/10.1080/07350015.2019.1604371.
  11. DONADELLI, M., PARADISO, A., LIVIERI, G., “Adding cycles into the neoclassical growth model”., ECON. MODEL. (2018) https://doi.org/10.1016/j.econmod.2018.09.018.
  12. LIVIERI, G., MOUTI, S., PALLAVICINI, A., ROSENBAUM, M., “Rough Volatility: Evidence from Option Prices”., IISE TRANSACTIONS. (2018) https://doi.org/10.1080/24725854.2018.1444297.
  13. BORMETTI, G., CALLEGARO, G., LIVIERI, G., PALLAVICINI, A., “A Backward Monte Carlo approach to exotic option pricing”. EUR. J. APPL. MATH. (2017) https://doi.org/10.1017/S0956792517000079.
  14. FISCHER, M., LIVIERI, G., “Continuous time mean-variance portfolio optimization through the mean field approach”. ESAIM-PROBAB STAT. (2016) https://doi.org/10.1051/ps/2016001.

Other publications

  1. BORMETTI, G., CASARIN, R., CORSI, F., LIVIERI, G., “A stochastic volatility framework with analytical filtering”. Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations (2019) .

R&R

Submitted Papers

  1. LIVIERI, G., MANCINO, M. E., MARMI, S., TOSCANO, G., “Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts”.
  2. LILLO, F., LIVIERI, G., MARMI, S., SOLOMKO, A., VAIENTI, S., “A rigorous analysis of bank leverage via dynamical systems and deep neural network”. https://arxiv.org/abs/2104.04960
  3. BOTAZZI, G., CORDONI, F., LIVIERI, G., MARMI, S., “Uncertainty in Firm Valuation and Cross-Sectional Misvaluation Measure”. https://ideas.repec.org/p/ssa/lemwps/2020-15.html
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