Details about Marco Patacca

Access statistics for papers by Marco Patacca.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: ppa1523

Working Papers

2024

1. A deep solver for BSDEs with jumps
   Papers, arXiv.org View citations (4)

2022

2. A change of measure formula for recursive conditional expectations
   Papers, arXiv.org

2017

3. A sentiment-based model for the BitCoin: theory, estimation and option pricing
   Papers, arXiv.org View citations (5)

Journal Articles

2022

1. Calibrating FBSDEs Driven Models in Finance via NNs
   Risks, 2022, 10, (12), 1-19

2021

2. Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
   Decisions in Economics and Finance, 2021, 44, (2), 863-882 View citations (5)
3. Regime switches and commonalities of the cryptocurrencies asset class
   The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)
4. The Quantitative Easing Bursts Bitcoin Price
   Accounting and Finance Research, 2021, 10, (3), 65 View citations (1)

2020

5. Disentangling the relationship between Bitcoin and market attention measures
   Economia e Politica Industriale: Journal of Industrial and Business Economics, 2020, 47, (1), 71-91 View citations (10)
6. Market attention and Bitcoin price modeling: theory, estimation and option pricing
   Decisions in Economics and Finance, 2020, 43, (1), 187-228 View citations (6)

2019

7. Does market attention affect Bitcoin returns and volatility?
   Decisions in Economics and Finance, 2019, 42, (1), 135-155 View citations (18)
8. Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
   Digital Finance, 2019, 1, (1), 23-46 View citations (10)