Luca Cattivelli
7 Papers
Luca Cattivelli is an academic researcher. The author has contributed to research in topics: Brownian motion & Consistency (statistics). The author has an hindex of 3, co-authored 6 publications.
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Papers
Two-particle problem in comblike structures.
TL;DR: The outcome of a reaction involving two reactants on a comblike architecture can strongly differ according to whether both reactants are moving (no matter their relative diffusivities) or only one is moving and according to the density of shortcuts among the branches.
Adaptive Lasso for vector Multiplicative Error Models
TL;DR: In this article, Adaptive Lasso techniques were adopted in vector multiplicative error models (vMEM) and they provided asymptotic consistency in variable selection and the same efficiency as adaptive lasso.
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A SHARP model of bid–ask spread forecasts
Luca Cattivelli,Davide Pirino +1 more
TL;DR: In this paper, an autoregressive Poisson process with a predictable stochastic intensity was used to forecast the bid-ask spread of the stock market for a given amount of an equity stock.
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When cointegration is interrupted: Price transmission analysis in the Italian dairy‐feed industry
TL;DR: In this paper , the authors analyzed price transmission dynamics in the under-investigated feed supply chain, applying a special case of the threshold vector error correction model where the cointegrating relationship is interrupted, finding evidence of asymmetric price transmission when the feed industry's margins are squeezed and highly volatile.
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L\'evy flights with power-law absorption
TL;DR: In this paper, the authors consider a particle performing a stochastic motion on a one-dimensional lattice with jump widths distributed according to a power-law with exponent σ + 1.