Piero Mazzarisi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Dimensionality reduction techniques to support insider trading detection Quantitative Finance	2026-04-15	Paper
Online learning of order flow and market impact with Bayesian change-point detection methods Quantitative Finance	2025-04-03	Paper
Bayesian autoregressive online change-point detection with time-varying parameters Communications in Nonlinear Science and Numerical Simulation	2025-02-14	Paper
Variance of entropy for testing time-varying regimes with an application to meme stocks Decisions in Economics and Finance	2024-08-01	Paper
Measuring market efficiency: the Shannon entropy of high-frequency financial time series Chaos, Solitons and Fractals	2023-01-13	Paper
Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages Journal of Economic Dynamics and Control	2021-11-16	Paper
On the equivalence between the kinetic Ising model and discrete autoregressive processes Journal of Statistical Mechanics: Theory and Experiment	2021-06-08	Paper
Disentangling group and link persistence in dynamic stochastic block models Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market European Journal of Operational Research	2019-10-17	Paper
Non-Markovian temporal networks with auto- and cross-correlated link dynamics	2019-09-17	Paper
When panic makes you blind: a chaotic route to systemic risk Journal of Economic Dynamics and Control	2019-03-27	Paper
Non-Markovian temporal networks with auto- and cross-correlated link dynamics (available as arXiv preprint)	2019-01-01	Paper

Research outcomes over time

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