| Modelling systemic price cojumps with Hawkes factor models G Bormetti, LM Calcagnile, M Treccani, F Corsi, S Marmi, F Lillo Quantitative Finance 15 (7), 1137-1156, 2015 | 90 | 2015 |
| Smile from the past: A general option pricing framework with multiple volatility and leverage components AA Majewski, G Bormetti, F Corsi Journal of Econometrics 187 (2), 521-531, 2015 | 66 | 2015 |
| A score-driven conditional correlation model for noisy and asynchronous data: An application to high-frequency covariance dynamics G Buccheri, G Bormetti, F Corsi, F Lillo Journal of Business & Economic Statistics 39 (4), 920-936, 2021 | 41 | 2021 |
| Collective synchronization and high frequency systemic instabilities in financial markets LM Calcagnile, G Bormetti, M Treccani, S Marmi, F Lillo Quantitative Finance 18 (2), 237-247, 2018 | 40 | 2018 |
| Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics G Ranco, I Bordino, G Bormetti, G Caldarelli, F Lillo, M Treccani PLoS one 11 (1), e0146576, 2016 | 38 | 2016 |
| Pricing exotic options in a path integral approach G Bormetti, G Montagna, N Moreni, O Nicrosini Quantitative Finance 6 (1), 55-66, 2006 | 38 | 2006 |
| A non-Gaussian approach to risk measures G Bormetti, E Cisana, G Montagna, O Nicrosini Physica A: Statistical Mechanics and its Applications 376, 532-542, 2007 | 36 | 2007 |
| A backward Monte Carlo approach to exotic option pricing G Bormetti, G Callegaro, G Livieri, A Pallavicini European Journal of Applied Mathematics 29 (1), 146-187, 2018 | 32 | 2018 |
| The adaptive nature of liquidity taking in limit order books DE Taranto, G Bormetti, F Lillo Journal of Statistical Mechanics: Theory and Experiment 2014 (6), P06002, 2014 | 31 | 2014 |
| A generalized Fourier transform approach to risk measures G Bormetti, V Cazzola, G Livan, G Montagna, O Nicrosini Journal of Statistical Mechanics: Theory and Experiment 2010 (01), P01005, 2010 | 24 | 2010 |
| Linear models for the impact of order flow on prices. I. History dependent impact models DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth Quantitative Finance 18 (6), 903-915, 2018 | 23 | 2018 |
| The probability distribution of returns in the exponential Ornstein–Uhlenbeck model G Bormetti, V Cazzola, G Montagna, O Nicrosini Journal of Statistical Mechanics: Theory and Experiment 2008 (11), P11013, 2008 | 22 | 2008 |
| Comment on: Price discovery in high resolution G Buccheri, G Bormetti, F Corsi, F Lillo Journal of Financial Econometrics 19 (3), 439-451, 2021 | 17 | 2021 |
| A stochastic volatility model with realized measures for option pricing G Bormetti, R Casarin, F Corsi, G Livieri Journal of Business & Economic Statistics 38 (4), 856-871, 2020 | 15 | 2020 |
| Minimal model of financial stylized facts D Delpini, G Bormetti Physical Review E 83 (4), 041111, 2011 | 14 | 2011 |
| Filtering and smoothing with score-driven models G Buccheri, G Bormetti, F Corsi, F Lillo Available at SSRN 3139666, 2021 | 13 | 2021 |
| Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth Quantitative Finance 18 (6), 917-931, 2018 | 13 | 2018 |
| Bayesian value-at-risk with product partition models G Bormetti, ME De Giuli, D Delpini, C Tarantola Quantitative Finance 12 (5), 769-780, 2012 | 13 | 2012 |
| Linear models for the impact of order flow on prices i. propagators: Transient vs. history dependent impact DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth arXiv preprint arXiv:1602.02735, 2016 | 12 | 2016 |
| Stochastic volatility with heterogeneous time scales D Delpini, G Bormetti Quantitative Finance 15 (10), 1597-1608, 2015 | 12 | 2015 |
