Tomaso Aste

  Head Financial Computing & Analytics Group
I graduated in Physics at the University of Genoa and I was awarded a PhD by the Politecnico di Milano... more


    ★ big data analytics                                                                                                                 

    ★ quantification of risk

    ★ network theory                                              

    ★ complex systems

    ★ statistics

    ★ statistical physics

    ★ financial mathematics



I apply methods from statistical physics and network theory to the study of financial markets, banking systems and complex systems in general... more

    ★ systemic risk modeling

    ★ portfolio risk diversification

    ★ dependency/causality structure of complex datasets

    ★ financial networks

    ★ scaling properties of financial signals

    ★ information filtering

    ★ disordered structures

    ★ packing problems

    ★ granular materials


    ★ director MSc in Financial Risk management programme

    ★ courses: COMPG001 Financial data and Statistics


    ★ research gate

    ★ researcher ID

    ★ google +

    ★ linkedin


    ★ Some selected publications
•F. Pozzi, T. Di Matteo & T. Aste, "Spread of risk across financial markets: better to invest in the peripheries", Scientific Reports 3 (2013) 1665. •Jozef Barunik, Tomaso Aste, Tiziana Di Matteo and Ruipeng Liu, “Understanding the source of multifractality in financial markets”, Physica A, 391 (2012) 4234–4251
•F. Pozzi, T. Di Matteo and T. Aste, “Exponential Smoothing Weighted Correlations”, Eur. Phys. J. B, 85 (2012) 175 (21 pages).
•W.M. Song, T. Di Matteo and T. Aste, “Hierarchical information clustering by means of topologically embedded graphs”, PLoS ONE, 7 (2012) e31929 (14 pages).
•Raffaello Morales, T. Di Matteo, Ruggero Gramatica, Tomaso Aste, “Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series”, Physica A, 391 (2012) 3180-3189.
•T. Aste, W. Shaw and T. Di Matteo “Correlation structure and dynamics in volatile markets”, New Journal of Physics 12 (2010) 085009 1-21.
•T. Di Matteo, F. Pozzi, T. Aste, "The use of dynamical networks to detect the hierarchical organization of financial market sectors", Eur. Phys. J. B 73 (2010) 3–11.
•F. Pozzi, T. Di Matteo, T. Aste, “Centrality and peripherality in filtered graphs from dynamical financial correlations” Advances in Complex Systems (ACS) 11 (2008) 927-950.
•M. Bartolozzi, C. Mellen, T. Di Matteo, and T. Aste, Multi-scale correlations in different futures markets, Eur. Phys. J. B 58 (2007) 207-220.
•Michele Tumminello, Tomaso Aste, T. Di Matteo, and Rosario N. Mantegna, "Correlation based networks of equity returns sampled at different time horizons", Eur. Phys. J. B 55 (2007) 209-217.
•D. Garlaschelli, T. Di Matteo, T. Aste, G. Caldarelli and M. I. Loffredo, “Interplay between topology and dynamics in the World Trade Web” Eur. Phys. J. B 57, (2007) 159–164.
•M. Tumminello, T. Aste, T. Di Matteo, R.N. Mantegna, “A tool for filtering information in complex systems”, Proceedings of the National Academy of Sciences of the United States of America (PNAS) 102 (2005) 10421-10426. (arXiv:cond-mat/0501335, 2005).
•T. Di Matteo ,T. Aste ,M. Gallegati “Innovation flow through social networks: Productivity distribution in France and Italy”, Eur. Phys. J. B 47 (2005) 459-466. (arXiv:physics/0406091, 2004).
•T. Di Matteo , T. Aste, S. T. Hyde a and S. Ramsden, “Interest rates hierarchical structure”, Physica A, 335 (2005) 21-33.
•T. Aste, T. Di Matteo and S. T. Hyde, “Complex Networks on Hyperbolic Surfaces”, Physica A 346 (2005) 20-26. (arXiv:cond-mat/0408443, 2004).
•T. Di Matteo, T. Aste and M. M. Dacorogna, "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development", Journal of Banking & Finance 29/4 (2005) 827-851. (arXiv: cond-mat/0403681, 2004).
•T. Di Matteo, T. Aste and R. N. Mantegna, "An interest rates cluster analysis", Physica A 339 (2004) 181-188. (arXiv:cond-mat/0401443, 2004).
•T. Di Matteo, T. Aste and M. M. Dacorogna, "Scaling behaviors in differently developed markets", Physica A 324 (2003) 183-188.
•T. Di Matteo and T. Aste, "How does the Eurodollar Interest Rate behave?", Journal of Theoretical and Applied Finance, 5 (2002) 122-127. (arXiv:cond-mat/0101009, 2001).

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