Publications

Journal and Book Publications

PUBLICATIONS ON PROBABILITY AND MATHEMATICAL STATISTICS

  1. FLANDOLI, F., GHIO, M., LIVIERI, G., “N-player games and MFGs of intermediate interactions “. APPL MATH OPTIM. (2021, 85(3): 1-65). https://link.springer.com/article/10.1007/s00245-022-09834-7
  2. CAMPI, L., DE ANGELIS, T., GHIO, M., “Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls”. ANN APPL PROBAB. (2021, 32(5): 3674-3717) https://arxiv.org/abs/2006.02074
  3. 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, 57(4):1901-1939). https://arxiv.org/abs/1902.02670
  4. FISCHER, M., LIVIERI, G., “Continuous time mean-variance portfolio optimization through the mean field approach”. ESAIM-PROBAB STAT. (2016, 20: 30-44) https://doi.org/10.1051/ps/2016001.

PUBLICATIONS ON ECONOMETRICS AND MATHEMATICAL METHODS IN ECONOMICS AND FINANCE

  1. LILLO, F., LIVIERI, G., MARMI, S., SOLOMKO, A., VAIENTI, S., “A rigorous analysis of bank leverage via dynamical systems and deep neural network”. SIFIN (2023, Just Accepted) https://arxiv.org/abs/2104.04960
  2. DARCY, M., HAMZI, B., LIVIERI, G., OWHADI, H., TAVALLALI, P., “One-Shot Learning of Stochastic Differential Equations with Computational Graph Completion”. PHYS. REV. D (2022, Just Accepted) https://arxiv.org/abs/2209.12086
  3. 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”. J FINANCIAL ECON. (2022, Just Accepted) https://arxiv.org/abs/2112.14529.
  4. MERTENS L.P., CIACCI, A., LILLO, F., LIVIERI, G. “Liquidity Fluctuations and the latent dynamic of price impact”. QUANT. FINANCE (2022, 22(1):149–169.). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3214744
  5. BUCCHERI, G., CORSI, F., FLANDOLI, F., LIVIERI, G. “The Continuous-Time Limit of Score-Driven Volatility Models”. J. ECONOM. (2021, 221(2):655–675.) https://doi.org/10.1016/j.jeconom.2020.07.042.
  6. KOLOKOLOV, A., LIVIERI, G., PIRINO, D. “Statistical inference for price staleness”. J. ECONOM. (2020, 218(1):32–81) https://doi.org/10.1016/j.jeconom.2020.01.021.
  7. 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.
  8. 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.
  9. 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.
  10. 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.

PUBLICATIONS IN ECONOMICS

  1. BOTAZZI, G., CORDONI, F., LIVIERI, G., MARMI, S., “Uncertainty in Firm Valuation and Cross-Sectional Misvaluation Measure”. ANN. FINANCE. (2022, Just Accepted) .https://ideas.repec.org/p/ssa/lemwps/2020-15.
  2. 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.
  3. 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.

PUBLICATIONS IN PHYSICS

  1. 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

PUBLICATIONS IN DYNAMICAL SYSTEMS

  1. CECCON, R., LIVIERI, G., MARMI, S., “The Yoccoz-Birkeland livestock population model coupled with random price dynamics”. COMMUN NONLINEAR SCI NUMER SIMUL (2022, Just Accepted) https://arxiv.org/abs/2205.09796

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) .

Submitted Papers

  1. GALIMBERTI, L., LIVIERI,G., KRATSIOS, A., “Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis”. https://arxiv.org/abs/2210.13300
  2. LIVIERI, G., RADI, D., SMANIOTTO,E., “Pricing Transition Risk with a Jump-Diffusion CreditfRisk Model: Evidenes from the CDS market”. https://ideas.repec.org/p/arx/papers/2303.12483.html
  3. BONDI, A., LIVIERI, G., PULIDO, S., “Affine Volterra processes with jumps”. https://arxiv.org/pdf/2203.06400.pdf
  4. KOLOKOLOV, A., LIVIERI, G., PIRINO, D., “Testing for Endogeneity of Irregular Sampling Schemes.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4184342
  5. FLANDOLI, F., CORVINO, F., LEOCATA, M., LIVIERI, G., MORLACCHI, S., PIRNI, A., “Multiscale modeling of Green Energy Transition: Structural properties and an example. https://arxiv.org/abs/2212.01329
  6. LEOCATA, M., LIVIERI, G., MORLACCHI, S., CORVINO, F, FLANDOLI, F., PIRNI, A., “Understanding the householder solar panel consumer: a Markovian Model and its Societal implications”

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