Browse by UCL people
Group by: Type | Date
Number of items: 46.
Article
Al-thani, Khalifa;
Mignacca, Domenico;
Fusai, Gianluca;
Caccioli, Fabio;
Germano, Guido;
(2025)
Inconsistency of the Capital Asset Pricing Model in a Multi-Currency Environment.
International Journal of Finance & Economics
pp. 1-8.
10.1002/ijfe.70118.
(In press).
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Aufiero, S;
Forer, P;
Vivo, P;
Caccioli, F;
Bartolucci, S;
(2025)
Phase transitions in debt recycling.
Journal of Economic Dynamics and Control
, 171
, Article 105044. 10.1016/j.jedc.2025.105044.
(In press).
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Aymanns, C;
Caccioli, F;
Farmer, JD;
Tan, VWC;
(2016)
Taming the Basel leverage cycle.
Journal of Financial Stability
, 27
pp. 263-277.
10.1016/j.jfs.2016.02.004.
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Banwo, O;
Caccioli, F;
Harrald, P;
Medda, F;
(2017)
The Effect of Heterogeneity on Financial Contagion Due to Overlapping Portfolios.
Advances in Complex Systems
, 19
, Article 1650016. 10.1142/S0219525916500168.
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Bardoscia, M;
Barucca, P;
Battiston, S;
Caccioli, F;
Cimini, G;
Garlaschelli, D;
Saracco, F;
... Caldarelli, G; + view all
(2021)
The physics of financial networks.
Nature Reviews Physics
, 3
pp. 490-507.
10.1038/s42254-021-00322-5.
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Bardoscia, M;
Battiston, S;
Caccioli, F;
Caldarelli, G;
(2017)
Pathways towards instability in financial networks.
Nature Communications
, 8
, Article 14416. 10.1038/ncomms14416.
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Bardoscia, M;
Battiston, S;
Caccioli, F;
Caldarelli, G;
(2015)
DebtRank: A microscopic foundation for shock propagation.
PLoS ONE
, 10
(6)
, Article e0130406. 10.1371/journal.pone.0130406.
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Bardoscia, M;
Caccioli, F;
Perotti, JI;
Vivaldo, G;
Caldarelli, G;
(2016)
Distress propagation in complex networks: the case of non-linear DebtRank.
PLoS ONE
, 11
(10)
, Article e0163825. 10.1371/journal.pone.0163825.
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Bartolucci, S;
Caccioli, F;
Caravelli, F;
Vivo, P;
(2021)
"Spectrally gapped" random walks on networks: a Mean First Passage Time formula.
SciPost Physics
, 11
(5)
, Article 088. 10.21468/SciPostPhys.11.5.088.
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Bartolucci, Silvia;
Caccioli, Fabio;
Caravelli, Francesco;
Vivo, Pierpaolo;
(2025)
Correlation between upstreamness and downstreamness in random global value chains.
Journal of Economic Behavior & Organization
, 233
, Article 106945. 10.1016/j.jebo.2025.106945.
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Bartolucci, Silvia;
Caccioli, Fabio;
Caravelli, Francesco;
Vivo, Pierpaolo;
(2024)
Distribution of centrality measures on undirected random networks via the cavity method.
Proceedings of the National Academy of Sciences
, 121
(40)
, Article e2403682121. 10.1073/pnas.2403682121.
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Bartolucci, Silvia;
Caccioli, Fabio;
Caravelli, Francesco;
Vivo, Pierpaolo;
(2023)
Ranking influential nodes in networks from aggregate local information.
Physical Review Research
, 5
(3)
, Article 033123. 10.1103/PhysRevResearch.5.033123.
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Bartolucci, S;
Caccioli, F;
Vivo, P;
(2020)
A percolation model for the emergence of the Bitcoin Lightning Network.
Scientific Reports
, 10
(1)
, Article 4488. 10.1038/s41598-020-61137-5.
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Barucca, P;
Bardoscia, M;
Caccioli, F;
D'Errico, M;
Visentin, G;
Caldarelli, G;
Battiston, S;
(2020)
Network valuation in financial systems.
Mathematical Finance
10.1111/mafi.12272.
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Brown, BJ;
Manescu, P;
Przybylski, AA;
Caccioli, F;
Oyinloye, G;
Elmi, M;
Shaw, MJ;
... Fernandez-Reyes, D; + view all
(2020)
Data-driven malaria prevalence prediction in large densely populated urban holoendemic sub-Saharan West Africa.
Scientific Reports
, 10
(1)
, Article 15918. 10.1038/s41598-020-72575-6.
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Caccioli, F;
Ferrara, G;
Ramadiah, A;
(2024)
Modelling fire sale contagion across banks and non-banks.
Journal of Financial Stability
, 71
, Article 101231. 10.1016/j.jfs.2024.101231.
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Caccioli, Fabio;
De Martino, Daniele;
(2022)
Epidemic oscillations induced by social network control.
Journal of Statistical Mechanics: Theory and Experiment
, 2022
(1)
, Article 013404. 10.1088/1742-5468/ac4804.
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Caccioli, F;
Barucca, P;
Kobayashi, T;
Network models of financial systemic risk: A review.
Journal of Computational Social Science
, 1
(1)
pp. 81-114.
10.1007/s42001-017-0008-3.
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Caccioli, F;
Kondor, I;
Marsili, M;
Still, S;
(2016)
Liquidity risk and instabilities in portfolio optimization.
International Journal of Theoretical and Applied Finance
, 19
(5)
, Article 1650035. 10.1142/S0219024916500357.
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Caccioli, F;
Kondor, I;
Papp, G;
(2018)
Portfolio optimization under Expected Shortfall: contour maps of estimation error.
Quantitative Finance
, 18
(8)
pp. 1295-1313.
10.1080/14697688.2017.1390245.
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Caravelli, F;
Bardoscia, M;
Caccioli, F;
(2016)
Emergence of giant strongly connected components in continuum disk-spin percolation.
Journal of Statistical Mechanics: Theory and Experiment
, 2016
, Article 053211. 10.1088/1742-5468/2016/05/053211.
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Caravelli, F;
Sindoni, L;
Caccioli, F;
Ududec, C;
(2016)
Optimal growth trajectories with finite carrying capacity.
Physical Review E
, 94
, Article 022315. 10.1103/PhysRevE.94.022315.
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Cuba, W;
Rodriguez-Martinez, A;
Chavez, DA;
Caccioli, F;
Martinez-Jaramillo, S;
(2021)
A network characterization of the interbank exposures in Peru.
Latin American Journal of Central Banking
, 2
(3)
, Article 100035. 10.1016/j.latcb.2021.100035.
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Grigat, D;
Caccioli, F;
(2017)
Reverse stress testing interbank networks.
Scientific Reports
, 7
, Article 15616. 10.1038/s41598-017-14470-1.
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Kondor, I;
Papp, G;
Caccioli, F;
(2019)
Analytic approach to variance optimization under an (1) constraint.
The European Physical Journal B
, 92
, Article 8. 10.1140/epjb/e2018-90456-2.
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Kondor, I;
Papp, G;
Caccioli, F;
(2017)
Analytic solution to variance optimization with no short positions.
Journal of Statistical Mechanics: Theory and Experiment
, Article 123402. 10.1088/1742-5468/aa9684.
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Landaberry, V;
Caccioli, F;
Rodriguez-Martinez, A;
Baron, A;
Martinez-Jaramillo, S;
Lluberas, R;
(2021)
The contribution of the intra-firm exposures network to systemic risk.
Latin American Journal of Central Banking
, 2
(2)
, Article 100032. 10.1016/j.latcb.2021.100032.
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Li, W;
Aste, T;
Caccioli, F;
Livan, G;
(2019)
Early coauthorship with top scientists predicts success in academic careers.
Nature Communications
, 10
(1)
, Article 5170. 10.1038/s41467-019-13130-4.
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Li, W;
Aste, T;
Caccioli, F;
Livan, G;
(2019)
Reciprocity and impact in academic careers.
EPJ Data Science
, 8
, Article 20. 10.1140/epjds/s13688-019-0199-3.
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Livan, G;
Caccioli, F;
Aste, T;
(2017)
Excess reciprocity distorts reputation in online social networks.
Science Reports
, 7
(1)
, Article 3551. 10.1038/s41598-017-03481-7.
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Nicolas, Maxime LD;
Desroziers, Adrien;
Caccioli, Fabio;
Aste, Tomaso;
(2024)
ESG reputation risk matters: An event study based on social media data.
Finance Research Letters
, 59
, Article 104712. 10.1016/j.frl.2023.104712.
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Onaga, T;
Caccioli, F;
Kobayashi, T;
(2023)
Financial fire sales as continuous-state complex contagion.
Physical Review Research
, 5
(4)
, Article 043123. 10.1103/PhysRevResearch.5.043123.
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Papp, G;
Caccioli, F;
Kondor, I;
(2019)
Bias-variance trade-off in portfolio optimization under expected shortfall with l(2) regularization.
Journal of Statistical Mechanics: Theory and Experiment
, 2019
, Article 013402. 10.1088/1742-5468/aaf108.
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Papp, G;
Kondor, I;
Caccioli, F;
(2021)
Optimizing Expected Shortfall under an l(1) Constraint-An Analytic Approach.
Entropy
, 23
(5)
, Article 523. 10.3390/e23050523.
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Poledna, S;
Martínez-Jaramillo, S;
Caccioli, F;
Thurner, S;
(2020)
Quantification of systemic risk from overlapping portfolios in the financial system.
Journal of Financial Stability
10.1016/j.jfs.2020.100808.
(In press).
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Ramadiah, A;
Caccioli, F;
Fricke, D;
(2020)
Reconstructing and stress testing credit networks.
Journal of Economic Dynamics and Control
, 111
, Article 103817. 10.1016/j.jedc.2019.103817.
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Ramadiah, A;
Fricke, D;
Caccioli, F;
(2022)
Backtesting macroprudential stress tests.
Journal of Economic Dynamics and Control
, 137
, Article 104333. 10.1016/j.jedc.2022.104333.
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Seabrook, I;
Barucca, P;
Caccioli, F;
(2022)
Structural importance and evolution: An application to financial transaction networks.
Physica A: Statistical Mechanics and its Applications
, 607
, Article 128203. 10.1016/j.physa.2022.128203.
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Seabrook, IE;
Barucca, P;
Caccioli, F;
(2021)
Evaluating structural edge importance in temporal networks.
EPJ Data Science
, 10
, Article 23. 10.1140/epjds/s13688-021-00279-6.
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Squartini, T;
Gabrielli, A;
Garlaschelli, D;
Gili, T;
Bifone, A;
Caccioli, F;
(2018)
Complexity in Neural and Financial Systems: From Time-Series to Networks.
[Editorial comment].
Complexity
, 2018
, Article 3132940. 10.1155/2018/3132940.
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Tedeschi, G;
Caccioli, F;
Recchioni, MC;
(2020)
Taming financial systemic risk: models, instruments and early warning indicators.
Journal of Economic Interaction and Coordination
, 15
(1)
pp. 1-7.
10.1007/s11403-019-00278-x.
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Tungsong, S;
Caccioli, F;
Aste, T;
(2018)
Relation between regional uncertainty spillovers in the global banking system.
Journal of Network Theory in Finance
, 4
(2)
pp. 1-23.
10.21314/JNTF.2018.040.
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Varga-Haszonits, I;
Caccioli, F;
Kondor, I;
(2016)
Replica approach to mean-variance portfolio optimization.
Journal of Statistical Mechanics: Theory and Experiment
, 2016
, Article 123. 10.1088/1742-5468/aa4f9c.
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Book chapter
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Caccioli, F;
Livan, G;
Aste, T;
(2016)
Scalability and egalitarianism in peer-to-peer networks.
In:
Banking Beyond Banks and Money.
(pp. 197-212).
Springer: Cham, Switzerland.
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Working / discussion paper
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Seabrook, Isobel;
Barucca, Paolo;
Caccioli, Fabio;
(2022)
Modelling Equity Transaction Networks as Bursty Processes.
ArXiv: Ithaca, NY, USA.
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Seabrook, Isobel;
Caccioli, Fabio;
Aste, Tomaso;
(2021)
An Information Filtering approach to stress testing: an application to FTSE markets.
ArXiv
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