Aste, Tomaso

Number of items: 32.
Financial Markets Group
  • Morales, Raffaello, Di Matteo, T., Aste, Tomaso (2014). Dependency structure and scaling properties of financial time series are related. Scientific Reports, 4(4589). https://doi.org/10.1038/srep04589
    • LSE
  • Briola, Antonio, Aste, Tomaso (2022). Dependency structures in cryptocurrency market from high to low frequency. Entropy, 24(11). https://doi.org/10.3390/e24111548 picture_as_pdf
  • Musmeci, Nicoló, Aste, Tomaso, Di Matteo, T. (2015). Relation between financial market structure and the real economy: comparison between clustering methods. PLOS ONE, 10(4). https://doi.org/10.1371/journal.pone.0126998.s002
  • Birch, Annika, Aste, Tomaso (2014). Systemic losses due to counterparty risk in a stylized banking system. Journal of Statistical Physics, 156(5), 998-1024. https://doi.org/10.1007/s10955-014-1040-9
  • Zheludev, Ilya, Smith, Robert, Aste, Tomaso (2014). When can social media lead financial markets? Scientific Reports, 4(4213). https://doi.org/10.1038/srep04213
    • Management
  • Gozman, Daniel, Liebenau, Jonathan, Aste, Tomaso (2020). A case study of using blockchain technology in regulatory technology. MIS Quarterly Executive, 19(1), 19 - 37. https://doi.org/10.17705/2msqe.00023 picture_as_pdf
    • Systemic Risk Centre
  • Briola, Antonio, Bartolucci, Silvia, Aste, Tomaso (2025). Deep limit order book forecasting: a microstructural guide. Quantitative Finance, 25(7), 1101 - 1131. https://doi.org/10.1080/14697688.2025.2522911 picture_as_pdf
  • Briola, Antonio, Bartolucci, Silvia, Aste, Tomaso (2025). HLOB–Information persistence and structure in limit order books. Expert Systems With Applications, 266, https://doi.org/10.1016/j.eswa.2024.126078 picture_as_pdf
  • Nicolas, Maxime L.D., Desroziers, Adrien, Caccioli, Fabio, Aste, Tomaso (2024). ESG reputation risk matters: an event study based on social media data. Finance Research Letters, 59, https://doi.org/10.1016/j.frl.2023.104712
  • Wang, Yuanrong, Briola, Antonio, Aste, Tomaso (2023). Homological neural networks: a sparse architecture for multivariate complexity. Proceedings of Machine Learning Research, 221, 228 - 241.
  • Briola, Antonio, Aste, Tomaso (2023). Topological feature selection. Proceedings of Machine Learning Research, 221, 534 - 556. picture_as_pdf
  • Vidal-Tomás, David, Briola, Antonio, Aste, Tomaso (2023). FTX's downfall and Binance's consolidation: the fragility of centralised digital finance. Physica A, 625, https://doi.org/10.1016/j.physa.2023.129044 picture_as_pdf
  • Wang, Yuanrong, Aste, Tomaso (2023). Dynamic portfolio optimization with inverse covariance clustering. Expert Systems With Applications, 213, https://doi.org/10.1016/j.eswa.2022.118739 picture_as_pdf
  • Briola, Antonio, Vidal-Tomás, David, Wang, Yuanrong, Aste, Tomaso (2023). Anatomy of a stablecoin's failure: the Terra-Luna case. Finance Research Letters, 51, https://doi.org/10.1016/j.frl.2022.103358
  • Briola, Antonio, Aste, Tomaso (2022). Dependency structures in cryptocurrency market from high to low frequency. Entropy, 24(11). https://doi.org/10.3390/e24111548 picture_as_pdf
  • Procacci, Pier Francesco, Aste, Tomaso (2022). Portfolio optimization with sparse multivariate modeling. Journal of Asset Management, 23(6), 445 - 465. https://doi.org/10.1057/s41260-022-00280-2
  • Aste, Tomaso (2022). Topological regularization with information filtering networks. Information Sciences, 608, 655 - 669. https://doi.org/10.1016/j.ins.2022.06.007 picture_as_pdf
  • Seabrook, Isobel, Caccioli, Fabio, Aste, Tomaso (2022). Quantifying impact and response in markets using information filtering networks. Journal of Physics: Complexity, 3(2). https://doi.org/10.1088/2632-072X/ac6721 picture_as_pdf
  • Volta, Vittoria, Aste, Tomaso (2022). Causal coupling between European and UK markets triggered by announcements of monetary policy decisions. Royal Society Open Science, 9(3). https://doi.org/10.1098/rsos.211342 picture_as_pdf
  • Turiel, Jeremy D., Aste, Tomaso (2022). Heterogeneous criticality in high frequency finance: a phase transition in flash crashes. Entropy, 24(2). https://doi.org/10.3390/e24020257 picture_as_pdf
  • Scaramozzino, Roberta, Cerchiello, Paola, Aste, Tomaso (2021). Information theoretic causality detection between financial and sentiment data. Entropy, 23(5). https://doi.org/10.3390/e23050621 picture_as_pdf
  • Nicola, Giancarlo, Cerchiello, Paola, Aste, Tomaso (2020). Information network modeling for U.S. banking systemic risk. Entropy, 22(11). https://doi.org/10.3390/e22111331 picture_as_pdf
  • Turiel, Jeremy, Fernandez-Reyes, Delmiro, Aste, Tomaso (2020). Wisdom of crowds detects COVID-19 severity ahead of officially available data. (Financial Markets Group Discussion Papers 808). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Turiel, J. D., Aste, T. (2020). Peer-to-peer loan acceptance and default prediction with artificial intelligence: P2P Default Prediction with AI. Royal Society Open Science, 7(6). https://doi.org/10.1098/rsos.191649rsos191649 picture_as_pdf
  • Gozman, Daniel, Liebenau, Jonathan, Aste, Tomaso (2020). A case study of using blockchain technology in regulatory technology. MIS Quarterly Executive, 19(1), 19 - 37. https://doi.org/10.17705/2msqe.00023 picture_as_pdf
  • Nava, Noemi, Di Matteo, T., Aste, Tomaso (2018). Dynamic correlations at different time-scales with empirical mode decomposition. Physica A: Statistical Mechanics and Its Applications, 502, 534-544. https://doi.org/10.1016/j.physa.2018.02.108
  • 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), 1-23. https://doi.org/10.21314/JNTF.2018.040
  • Nava, Noemi, Di Matteo, Tiziana, Aste, Tomaso (2018). Financial time series forecasting using empirical mode decomposition and support vector regression. Risks, 6(1). https://doi.org/10.3390/risks6010007 picture_as_pdf
  • Aste, Tomaso, Di Matteo, T. (2017). Sparse causality network retrieval from short time series. Complexity, 2017(4518429). https://doi.org/10.1155/2017/4518429
  • Musmeci, Nicoló, Nicosia, Vincenzo, Aste, Tomaso, Di Matteo, Tiziana, Latora, Vito (2017). The multiplex dependency structure of financial markets. Complexity, 2017, 1-13. https://doi.org/10.1155/2017/9586064
  • Livan, Giacomo, Caccioli, Fabio, Aste, Tomaso (2017). Excess reciprocity distorts reputation in online social networks. Scientific Reports, 7(1). https://doi.org/10.1038/s41598-017-03481-7
  • Barfuss, Wolfram, Massara, Guido Previde, Di Matteo, T., Aste, Tomaso (2016). Parsimonious modeling with information filtering networks. Physical Review E, 94(6). https://doi.org/10.1103/PhysRevE.94.062306
  • Nava, Noemi, Di Matteo, Tiziana, Aste, Tomaso (2016). Time-dependent scaling patterns in high frequency financial data. European Physical Journal Special Topics, 225(10), 1997-2016. https://doi.org/10.1140/epjst/e2015-50328-y
  • Zaremba, Anna, Aste, Tomaso (2014). Measures of causality in complex datasets with application to financial data. Entropy, 16(4), 2309-2349. https://doi.org/10.3390/e16042309