Giacomo Bormetti

616 total citations
46 papers, 344 citations indexed

About

Giacomo Bormetti is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Giacomo Bormetti has authored 46 papers receiving a total of 344 indexed citations (citations by other indexed papers that have themselves been cited), including 37 papers in Finance, 30 papers in Economics and Econometrics and 6 papers in Demography. Recurrent topics in Giacomo Bormetti's work include Financial Risk and Volatility Modeling (27 papers), Complex Systems and Time Series Analysis (26 papers) and Stochastic processes and financial applications (22 papers). Giacomo Bormetti is often cited by papers focused on Financial Risk and Volatility Modeling (27 papers), Complex Systems and Time Series Analysis (26 papers) and Stochastic processes and financial applications (22 papers). Giacomo Bormetti collaborates with scholars based in Italy, France and United Kingdom. Giacomo Bormetti's co-authors include Fulvio Corsi, Fabrizio Lillo, G. Montagna, O. Nicrosini, Stefano Marmi, Giuseppe Buccheri, Giacomo Livan, Bence Tóth, Jean‐Philippe Bouchaud and Guido Caldarelli and has published in prestigious journals such as PLoS ONE, Journal of Econometrics and Information Sciences.

In The Last Decade

Giacomo Bormetti

42 papers receiving 336 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Giacomo Bormetti Italy	10	270	198	57	48	19	46	344
Christa Cuchiero Austria	11	263 1.0×	75 0.4×	52 0.9×	20 0.4×	19 1.0×	25	315
Baeho Kim South Korea	12	297 1.1×	116 0.6×	43 0.8×	17 0.4×	32 1.7×	25	357
Gilles Zumbach Switzerland	15	536 2.0×	483 2.4×	62 1.1×	82 1.7×	8 0.4×	43	643
Martin Larsson United States	9	362 1.3×	171 0.9×	45 0.8×	39 0.8×	13 0.7×	39	437
Masaaki Fukasawa Japan	13	477 1.8×	247 1.2×	52 0.9×	44 0.9×	10 0.5×	40	523
Julio Cacho-Diaz Netherlands	2	245 0.9×	155 0.8×	22 0.4×	44 0.9×	80 4.2×	2	341
András Fülöp France	10	234 0.9×	110 0.6×	33 0.6×	43 0.9×	10 0.5×	32	335
Ann De Schepper Belgium	14	279 1.0×	116 0.6×	121 2.1×	29 0.6×	15 0.8×	44	397
Maria Elvira Mancino Italy	12	424 1.6×	279 1.4×	32 0.6×	49 1.0×	25 1.3×	46	485
Mathieu Rosenbaum France	10	428 1.6×	216 1.1×	27 0.5×	39 0.8×	10 0.5×	22	462

Countries citing papers authored by Giacomo Bormetti

Since Specialization

Citations

This map shows the geographic impact of Giacomo Bormetti's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Giacomo Bormetti with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Giacomo Bormetti more than expected).

Fields of papers citing papers by Giacomo Bormetti

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Giacomo Bormetti. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Giacomo Bormetti. The network helps show where Giacomo Bormetti may publish in the future.

Co-authorship network of co-authors of Giacomo Bormetti

This figure shows the co-authorship network connecting the top 25 collaborators of Giacomo Bormetti. A scholar is included among the top collaborators of Giacomo Bormetti based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Giacomo Bormetti. Giacomo Bormetti is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Bormetti, Giacomo, et al.. (2023). Deep Calibration With Random Grids. SSRN Electronic Journal. 1 indexed citations

Bormetti, Giacomo, et al.. (2022). The SINC way: a fast and accurate approach to Fourier pricing. Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna). 7 indexed citations

Bormetti, Giacomo, et al.. (2022). Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. SSRN Electronic Journal. 1 indexed citations

Buccheri, Giuseppe, Giacomo Bormetti, Fulvio Corsi, & Fabrizio Lillo. (2020). A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics. Journal of Business and Economic Statistics. 39(4). 920–936. 30 indexed citations

Bormetti, Giacomo, et al.. (2019). A Stochastic Volatility Model With Realized Measures for Option Pricing. Journal of Business and Economic Statistics. 38(4). 856–871. 8 indexed citations

Buccheri, Giuseppe, Giacomo Bormetti, Fulvio Corsi, & Fabrizio Lillo. (2019). Comment on: Price Discovery in High Resolution. SSRN Electronic Journal. 2 indexed citations

Bormetti, Giacomo, et al.. (2018). Value Matters: The Long-run Behavior of Stock Index Returns. Review of Economics and Finance. 12(2). 16–28.

Bormetti, Giacomo, et al.. (2018). Linear models for the impact of order flow on prices. I. History dependent impact models. Quantitative Finance. 18(6). 903–915. 9 indexed citations

Ranco, Gabriele, et al.. (2016). Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics. PLoS ONE. 11(1). e0146576–e0146576. 18 indexed citations

10.

Bormetti, Giacomo, et al.. (2015). Interest-Rate Modeling in Collateralized Markets: Multiple Curves and Credit-Liquidity Effects. SSRN Electronic Journal. 1 indexed citations

11.

Bormetti, Giacomo, et al.. (2015). Term Structure of Variance Risk Premium in Multi-Component GARCH Models. SSRN Electronic Journal. 3 indexed citations

12.

Bormetti, Giacomo, et al.. (2015). A Jump and Smile Ride: Continuous and Jump Variance Risk Premia in Option Pricing. SSRN Electronic Journal.

13.

Bormetti, Giacomo, et al.. (2014). Smile from the Past: A general option pricing framework with multiple volatility and leverage components. 3 indexed citations

14.

Bormetti, Giacomo, et al.. (2014). The adaptive nature of liquidity taking in limit order books. Journal of Statistical Mechanics Theory and Experiment. 2014(6). P06002–P06002. 15 indexed citations

15.

Bormetti, Giacomo, et al.. (2012). Multiplicative noise, fast convolution, and pricing. 3 indexed citations

16.

Bormetti, Giacomo, et al.. (2012). Value Matters: Predictability of Stock Index Returns. SSRN Electronic Journal. 3 indexed citations

17.

Bormetti, Giacomo, et al.. (2011). Minimal model of financial stylized facts. Physical Review E. 83(4). 9 indexed citations

18.

Bormetti, Giacomo, et al.. (2010). Exact moment scaling from multiplicative noise. Physical Review E. 81(3). 32102–32102. 3 indexed citations

19.

Bormetti, Giacomo, et al.. (2010). Accounting for risk of non linear portfolios. The European Physical Journal B. 76(1). 157–165. 3 indexed citations

20.

Bormetti, Giacomo, et al.. (2009). Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility. arXiv (Cornell University). 2 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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