On this page I summarize the research I am working on and published papers.

Network modeling:

1. Epidemics of liquidity shortages in interbank markets, Physisca A (2018). [DOI]
2. Systemic contagion in the European interbank market (Working paper).

Econometrics and Data analysis:

1. Tensor Autoregression in Economics and Finance (Working paper).
2. Unveil stock correlation via a new tensor-based decomposition method (Submitted).
3. Inference for stochastic volatility models: the Block-ABC approach (Working paper).

Applied mathematics in Finance:

1. On the interplay between multiscaling and stock dependence, Quantitative Finance (2019). [DOI]
2. On the statistics of Hurst (Working paper).
3. Dynamic composition of multifractal spectra in financial time series (Working paper).