Agostino Capponi

68 papers B 2C 4Journal 57Unranked 4

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	An end-to-end agentic pipeline for smart contract translation and quality evaluation. CoRR Abhinav Goel, Chaitya Shah, Agostino Capponi, Alfio Gliozzo
2026	J	`jnl`	Designing Agentic AI-Based Screening for Portfolio Investment. CoRR Mehmet Caner, Agostino Capponi, Nathan Sun, Jonathan Y. Tan
2025	J	`jnl`	CapOptix: An Options-Framework for Capacity Market Pricing. CoRR Millend Roy, Agostino Capponi, Vladimir Pyltsov, Yinbo Hu, Vijay Modi
2025	J	`jnl`	DAO-AI: Evaluating Collective Decision-Making through Agentic AI in Decentralized Governance. CoRR Agostino Capponi, Alfio Gliozzo, Chunghyun Han, Junkyu Lee
2025	J	`jnl`	Data-Driven Dynamic Factor Modeling via Manifold Learning. CoRR Graeme Baker, Agostino Capponi, J. Antonio Sidaoui
2025	J	`jnl`	Does Timeboost Reduce MEV-Related Spam? Theory and Evidence from Layer-2 Transactions. CoRR Agostino Capponi, Brian Zhu
2025	J	`jnl`	Semantic Trading: Agentic AI for Clustering and Relationship Discovery in Prediction Markets. CoRR Agostino Capponi, Alfio Gliozzo, Brian Zhu
2025	J	`jnl`	Stress Testing Spillover Risk in Mutual Funds. Manag. Sci. Agostino Capponi, Paul Glasserman, Marko H. Weber
2025	J	`jnl`	The Nonstationarity-Complexity Tradeoff in Return Prediction. CoRR Agostino Capponi, Chengpiao Huang, J. Antonio Sidaoui, Kaizheng Wang, Jiacheng Zou
2025	J	`jnl`	Virtual Trading in Multi-Settlement Electricity Markets. CoRR Agostino Capponi, Garud Iyengar, Bo Yang, Daniel Bienstock
2024	J	`jnl`	A Continuous Time Framework for Sequential Goal-Based Wealth Management. Manag. Sci. Agostino Capponi, Yuchong Zhang
2024	J	`jnl`	Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks. CoRR Agostino Capponi, Mihailo Stojnic
2024	J	`jnl`	Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate. CoRR Fengpei Li, Haoxian Chen, Jiahe Lin, Arkin Gupta, Xiaowei Tan, Gang Xu, Yuriy Nevmyvaka, Agostino Capponi, Henry Lam
2024	J	`jnl`	Sparse Vector and Low Rank Recovery Phase Transitions: Uncovering the Explicit Relations. IEEE Trans. Inf. Theory Agostino Capponi, Mihailo Stojnic
2024	J	`jnl`	Systemic Portfolio Diversification. Oper. Res. Agostino Capponi, Marko H. Weber
2023	J	`jnl`	Advances in Blockchain and Crypto Economics. Manag. Sci. Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
2023	J	`jnl`	Causal Inference (C-inf) - asymmetric scenario of typical phase transitions. CoRR Agostino Capponi, Mihailo Stojnic
2023	J	`jnl`	Causal Inference (C-inf) - closed form worst case typical phase transitions. CoRR Agostino Capponi, Mihailo Stojnic
2023	B	`conf`	Causal Inference - closed form expressions for worst case typical phase transitions. ISIT Agostino Capponi, Mihailo Stojnic
2023	J	`jnl`	Decentralized Finance: Protocols, Risks, and Governance. CoRR Agostino Capponi, Garud Iyengar, Jay Sethuraman
2023	J	`jnl`	Decentralized Finance: Protocols, Risks, and Governance. Found. Trends Priv. Secur. Agostino Capponi, Garud Iyengar, Jay Sethuraman
2023	J	`jnl`	Disruption and Rerouting in Supply Chain Networks. Oper. Res. John R. Birge, Agostino Capponi, Peng-Chu Chen
2023	J	`jnl`	Do Private Transaction Pools Mitigate Frontrunning Risk? IACR Cryptol. ePrint Arch. Agostino Capponi, Ruizhe Jia, Ye Wang
2023	B	`conf`	Phase Transitions: Explicit relations for sparse vector and low rank recovery. ISIT Agostino Capponi, Mihailo Stojnic
2023	J	`jnl`	Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Math. Oper. Res. Lijun Bo, Agostino Capponi, Chao Zhou
2023	J	`jnl`	Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization? Manag. Sci. Agostino Capponi, Sveinn Ólafsson, Humoud Alsabah
2023	J	`jnl`	The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity. CoRR Agostino Capponi, Ruizhe Jia, Brian Zhu
2022	J	`jnl`	A Theory of Collateral Requirements for Central Counterparties. Manag. Sci. Jessie Jiaxu Wang, Agostino Capponi, Hongzhong Zhang
2022	J	`jnl`	Large Sample Mean-Field Stochastic Optimization. SIAM J. Control. Optim. Lijun Bo, Agostino Capponi, Huafu Liao
2022	J	`jnl`	Market Efficient Portfolios in a Systemic Economy. Oper. Res. Kerstin Awiszus, Agostino Capponi, Stefan Weber
2022	J	`jnl`	Personalized Robo-Advising: Enhancing Investment Through Client Interaction. Manag. Sci. Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou
2022	J	`jnl`	Systemic Risk-Driven Portfolio Selection. Oper. Res. Agostino Capponi, Alexey Rubtsov
2021	J	`jnl`	Call for Papers - Manag. Sci. Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
2021	J	`jnl`	Multiregional Oligopoly with Capacity Constraints. Manag. Sci. Humoud Alsabah, Benjamin Bernard, Agostino Capponi, Garud Iyengar, Jay Sethuraman
2020	J	`jnl`	A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning. Math. Oper. Res. Agostino Capponi, Xu Sun, David D. Yao
2020	J	`jnl`	Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions. Manag. Sci. Agostino Capponi, Paul Glasserman, Marko H. Weber
2019	J	`jnl`	Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices. CoRR Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli, Matt Stern
2018	J	`jnl`	Clearinghouse Margin Requirements. Oper. Res. Agostino Capponi, W. Allen Cheng
2018	J	`jnl`	Portfolio Choice with Market-Credit-Risk Dependencies. SIAM J. Control. Optim. Lijun Bo, Agostino Capponi
2018	J	`jnl`	Risk-Sensitive Asset Management and Cascading Defaults. Math. Oper. Res. John R. Birge, Lijun Bo, Agostino Capponi
2017	J	`jnl`	Optimal Credit Investment with Borrowing Costs. Math. Oper. Res. Lijun Bo, Agostino Capponi
2017	J	`jnl`	Optimal Investment Under Information Driven Contagious Distress. SIAM J. Control. Optim. Lijun Bo, Agostino Capponi
2017	J	`jnl`	Risk-Sensitive Cooperative Games for Human-Machine Systems. CoRR Agostino Capponi, Reza Ghanadan, Matt Stern
2017	J	`jnl`	Robust Optimization of Credit Portfolios. Math. Oper. Res. Lijun Bo, Agostino Capponi
2017	J	`jnl`	Systemic Influences on Optimal Equity-Credit Investment. Manag. Sci. Agostino Capponi, Christoph Frei
2016	J	`jnl`	Liability Concentration and Systemic Losses in Financial Networks. Oper. Res. Agostino Capponi, Peng-Chu Chen, David D. Yao
2015	J	`jnl`	Dynamic Contracting: Accidents Lead to Nonlinear Contracts. SIAM J. Financial Math. Agostino Capponi, Christoph Frei
2015	J	`jnl`	Dynamic credit investment in partially observed markets. Finance Stochastics Agostino Capponi, José E. Figueroa-López, Andrea Pascucci
2015	J	`jnl`	Systemic Risk in Interbanking Networks. SIAM J. Financial Math. Lijun Bo, Agostino Capponi
2014	J	`jnl`	Bilateral credit valuation adjustment for large credit derivatives portfolios. Finance Stochastics Lijun Bo, Agostino Capponi
2014	J	`jnl`	Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
2012	J	`jnl`	A Variational Approach to Contracting under Imperfect Observations. SIAM J. Financial Math. Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu
2011	J	`jnl`	Stochastic Filtering for Diffusion Processes With Level Crossings. IEEE Trans. Autom. Control. Agostino Capponi, Ibrahim Fatkullin, Ling Shi
2010	J	`jnl`	A convex optimization approach to filtering in jump linear systems with state dependent transitions. Autom. Agostino Capponi
2010	J	`jnl`	Expressing stochastic filters via number sequences. Signal Process. Agostino Capponi, Alfonso Farina, Concetta Pilotto
2009	—	`conf`	A Copula Function Approach to Infer Correlation in Prediction Markets. AMMA Agostino Capponi, Umberto Cherubini
2009	—	`conf`	A calibration method for structural models of credit risk with reporting bias. CIFEr Agostino Capponi
2009	—	`—`	Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence. Agostino Capponi
2009	C	`conf`	Stochastic filtering in jump systems with state dependent mode transitions. ACC Agostino Capponi, Concetta Pilotto
2009	—	`conf`	Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk. CIFEr Agostino Capponi
2008	J	`jnl`	A New Algorithm for On-line Coloring Bipartite Graphs. SIAM J. Discret. Math. Hajo Broersma, Agostino Capponi, Daniël Paulusma
2007	—	`conf`	Towards a theory of events. DEBS K. Mani Chandy, Michel Charpentier, Agostino Capponi
2006	C	`conf`	Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods. FUSION Agostino Capponi, Concetta Pilotto, Giovanni Golino, Alfonso Farina, Lance M. Kaplan
2006	C	`conf`	Connectivity for the Frisbee Architecture. FUSION Agostino Capponi, Concetta Pilotto, Alfonso Farina, Giovanni Golino, Lance M. Kaplan
2006	C	`conf`	On-Line Coloring of H-Free Bipartite Graphs. CIAC Hajo Broersma, Agostino Capponi, Daniël Paulusma
2005	J	`jnl`	Accuracy of fused track for radar systems. Signal Process. Alfonso Farina, Annarita Di Lallo, Tiziano Volpi, Agostino Capponi
2005	J	`jnl`	Bounded families for the on-line Inf. Process. Lett. Agostino Capponi, Concetta Pilotto
2003	J	`jnl`	A tutorial on the Deterministic two-party Communication Complexity Electron. Colloquium Comput. Complex. Agostino Capponi