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The equilibrium effects of mortality risk
This paper investigates how mortality risk affects agents’ optimal decisions and asset prices within a general equilibrium framework. A risk-averse households facing a... -
Private Online learning of order flow and market impact with Bayesian change-point de...
The paper proposes the use of Bayesian online change-point detection (BOCPD) methods to identify regime shifts in real-time and enable online predictions of order flow and... -
Private Bayesian autoregressive online change-point detection with time-varying param...
The paper proposes a new methodology on Change-Point Detection in a probabilistic framework that allows for real time updates and uncertainty estimation. It allows to... -
Private CAESar: Conditional Autoregressive Expected Shortfall
The paper proposes a new methodology named Conditional Autoregressive Expected Shortfall (CAESar) which is able to handle dynamic patterns flexibly and includes... -
Private Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
The paper investigates the application of Double Deep Q-Learning, a neural network-based Reinforcement Learning approach, to derive optimal trading policies in the presence of... -
Private Information flow in the FTX bankruptcy: A network approach
The paper investigates the cryptocurrency network of the FTX exchange during the collapse of its native token. A filtered correlation matrix is constructed by using... -
Private Modeling shock propagation and resilience in financial temporal networks
The paper proposes a vector autoregressive framework to analytically compute the Impulse Response Function of a network metric conditional to a shock on a node. Moreover, the... -
Low Carbon Technologies Comparative Advantage Dataset
The Green Comparative Advantage dataset (GreenCA)contains information about the comparative advantage in exporting low carbon technologies, that is to say, technologies having... -
Private FMNews
To access the Data, an NDA is needed: please contact the Authors. FMNews is a dataset of articles reporting femicides, extracted from Italian newspapers using the femicide... -
Italian Common Procurement Vocabulary (CPV)
This dataset contains 5M pairs of Italian tender descriptions and the corresponding Common Procurement Vocabulary (CPV) code. The data are downloaded from the ANAC website...-
ZIP
The resource: '10007545' is not accessible as guest user. You must login to access it!
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ZIP
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Online Learning of Order Flow and Market Impact (OLOFMI)
This library performs regime detection in the aggregated order flow time-series and market impact analysis. The required input file is in the format of the message file of the... -
Score-Driven Bayesian Online Change Point Detection (SD-BOCPD)
This code deals with Bayesian online detection in univariate time-series of changepoints, i.e. abrupt variations in the generative parameters of a data, and regimes, i.e.... -
Common Crawl Financial News Dataset
This dataset contains financial articles related to companies in the S&P500 index for the period from September 2016 to February 2020. The articles were extracted from the...-
CSV
The resource: 'Common_Crawl_Financial_News' is not accessible as guest user. You must login to access it!
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CSV
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Private Synthetic interfirm network
The dataset contains a synthetic version of an interfirm network -
Private Simulated limit order book dynamics
The dataset contains detailed simulations of the limit order book dynamics of financial assets. The data are calibrated on stocks of Nasdaq and contains all the events... -
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CSV
The resource: 'World Trade Web_2000' is not accessible as guest user. You must login to access it!
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CSV
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Physical activity, quality of sleep, and quality of life in Italy: the long t...
From March 2020 to May 2021, several lockdown periods caused by COVID-19 pandemic have limited, with varying degrees of severity, the people’s usual activities and mobility in...-
ZIP
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ZIP
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e-MID dataset
e-MID is the Italian Electronic Market for Interbank Deposits. Data consist of transactions between banks participating to the market. For each transaction, the following... -
Retail market dataset
The dataset contains purchases of Unicoop Tirreno customers, description and information of the shops (both small shops and supermarkets) and the customers. -
Global Peace Index data
A dataset of the Global Peace Index (GPI), which ranks 163 independent states and territories according to their level of peacefulness. The GPI covers 99.7 per cent of the...
