Journal and Book Publications
PUBLICATIONS ON PROBABILITY AND MATHEMATICAL STATISTICS
- 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
- 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
- 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
- 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
- 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
- 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
- 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.
- 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
- 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.
- 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.
- 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.
- 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.
- 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.
- 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
- 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.
- 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.
- 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
- 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
- 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
- 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
- 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
- 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
- BONDI, A., LIVIERI, G., PULIDO, S., “Affine Volterra processes with jumps”. https://arxiv.org/pdf/2203.06400.pdf
- KOLOKOLOV, A., LIVIERI, G., PIRINO, D., “Testing for Endogeneity of Irregular Sampling Schemes.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4184342
- 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
- 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”