LSE creators

Number of items: 14.
2025
  • Koukorinis, Andreas, Peters, Gareth W., Germano, Guido (2025). Generative-discriminative machine learning models for high-frequency financial regime classification. Methodology and Computing in Applied Probability, 27, https://doi.org/10.1007/s11009-025-10148-8 picture_as_pdf
    • 2024
  • Kirtac, Kemal, Germano, Guido (2024). Enhanced financial sentiment analysis and trading strategy development using large language models. In De Clercq, Orphée, Barriere, Valentin, Barnes, Jeremy, Klinger, Roman, Sedoc, João, Tafreshi, Shabnam (Eds.), Proceedings of the 14th Workshop on Computational Approaches to Subjectivity, Sentiment, & Social Media Analysis (pp. 1-10). Association for Computational Linguistics. https://doi.org/10.18653/v1/2024.wassa-1.1 picture_as_pdf
  • Kirtac, Kemal, Germano, Guido (2024). Sentiment trading with large language models. Finance Research Letters, 62(Part B), p. 105227. https://doi.org/10.1016/j.frl.2024.105227 picture_as_pdf
    • 2020
  • Phelan, C. E., Marazzina, D., Germano, G. (2020). Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Quantitative Finance, 20(6), 899 - 918. https://doi.org/10.1080/14697688.2020.1718192 picture_as_pdf
  • Sariev, Eduard, Germano, Guido (2020). Bayesian regularized artificial neural networks for the estimation of the probability of default. Quantitative Finance, 20(2), 311-328. https://doi.org/10.1080/14697688.2019.1633014 picture_as_pdf
  • Kapar, Burcu, Iori, Giulia, Gabbi, Giampaolo, Germano, Guido (2020). Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis. Journal of Economic Interaction and Coordination, 15(1), 283 - 331. https://doi.org/10.1007/s11403-019-00248-3 picture_as_pdf
    • 2018
  • Sariev, Eduard, Germano, Guido (2018). An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default. Annual Review of Financial Economics, 0(0). https://doi.org/10.1002/rfe.1049 picture_as_pdf
  • Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido (2018). Fluctuation identities with continuous monitoring and their application to price barrier options. European Journal of Operational Research, 271(1), 210-223. https://doi.org/10.1016/j.ejor.2018.04.016
  • Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido (2018). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, 1-26. https://doi.org/10.1007/s10479-018-2881-4
    • 2017
  • Cui, Yiran, del Baño Rollin, Sebastian, Germano, Guido (2017). Full and fast calibration of the Heston stochastic volatility model. European Journal of Operational Research, 263(2), 625-638. https://doi.org/10.1016/j.ejor.2017.05.018
    • 2016
  • Fusai, Gianluca, Germano, Guido, Marazzina, Daniele (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), 124-134. https://doi.org/10.1016/j.ejor.2015.11.027
    • 2015
  • Scalas, Enrico, Gabriel, Adrian T., Martin, Edgar, Germano, Guido (2015). Velocity and energy distributions in microcanonical ensembles of hard spheres. Physical Review E, 92, https://doi.org/10.1103/PhysRevE.92.022140
  • Iori, Giulia, Politi, Mauro, Germano, Guido, Gabbi, Giampaolo (2015). Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market. Journal of Financial Management, Markets and Institutions, 2, 179-202. https://doi.org/10.12831/82212
  • Gerardo-Giorda, Luca, Germano, Guido, Scalas, Enrico (2015). Large scale simulation of synthetic markets. Communications in Applied and Industrial Mathematics, 6(2). https://doi.org/10.1685/journal.caim.535