Fabio Caccioli


External Fellow

I am an associate professor in the Department of Computer Science at University College London. Prior to joining UCL, I have been a research associate in the Centre for Risk Studies, University of Cambridge, and a postdoctoral fellow at the Santa Fe Institute (Santa Fe, US). I hold a PhD in Statistical Physics from the International School for Advanced Studies (Trieste, Italy), and I obtained an MSc in Theoretical Physics and BSc in Physics from Università degli Studi di Parma (Parma, Italy). My research focuses on the application of statistical mechanics to the study of economic and financial systems, in particular on systemic risk and financial stability. Other interests include complex networks and non-equilibrium statistical mechanics.


Kondor, I., Papp, G., & Caccioli, F. (2019). Analytic approach to variance optimization under an (1) constraintEUROPEAN PHYSICAL JOURNAL B, 92 (1), ARTN 8. doi:10.1140/epjb/e2018-90456-2

Papp, G., Caccioli, F., & Kondor, I. (2019). Bias-variance trade-off in portfolio optimization under expected shortfall with l(2) regularizationJOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, ARTN 013402. doi:10.1088/1742-5468/aaf108

Li, W., Aste, T., Caccioli, F., & Livan, G. (2019). Early coauthorship with top scientists predicts success in academic careersNature Communications, 10 (1), 5170. doi:10.1038/s41467-019-13130-4

Li, W., Aste, T., Caccioli, F., & Livan, G. (2019). Reciprocity and impact in academic careersEPJ Data Science, 8 (1). doi:10.1140/epjds/s13688-019-0199-3

Caccioli, F., Barucca, P., & Kobayashi, T. (2018). Network models of financial systemic risk: A reviewJournal of Computational Social Science (2018) 1: 81-114. doi:10.1007/s42001-017-0008-3

Caccioli, F., Kondor, I., & Papp, G. (2018). Portfolio optimization under Expected Shortfall: contour maps of estimation errorQuantitative Finance, 1-19. doi:10.1080/14697688.2017.1390245

Tungsong, S., Caccioli, F., & Aste, T. (2018). Relation between regional uncertainty spillovers in the global banking systemJournal of Network Theory in Finance, 4 (2), 1-23. doi:10.21314/JNTF.2018.040

Kondor, I., Papp, G., & Caccioli, F. (2017). Analytic solution to variance optimization with no short positionsJOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, ARTN 123402. doi:10.1088/1742-5468/aa9684

Livan, G., Caccioli, F., & Aste, T. (2017). Excess reciprocity distorts reputation in online social networks.. Sci Rep7(1), 3551. doi:10.1038/s41598-017-03481-7

Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2017). Pathways towards instability in financial networks. Nature Communications8. doi:10.1038/ncomms14416

Banwo, O., Caccioli, F., Harrald, P., & Medda, F. (2017). The Effect of Heterogeneity on Financial Contagion Due to Overlapping Portfolios. Advances in Complex Systems. doi:10.1142/S0219525916500168

Varga-Haszonits, I., Caccioli, F., & Kondor, I. (2016). Replica approach to mean-variance portfolio optimization. JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 24 pages. doi:10.1088/1742-5468/aa4f9c

Aymanns, C., Caccioli, F., Farmer, J. D., & Tan, V. W. C. (2016). Taming the Basel leverage cycle. JOURNAL OF FINANCIAL STABILITY27, 263-277. doi:10.1016/j.jfs.2016.02.004

Bardoscia, M., Caccioli, F., Perotti, J. I., Vivaldo, G., & Caldarelli, G. (2016). Distress propagation in complex networks: the case of non-linear
DebtRank. PLoS ONE 11(10): e0163825 (2016). doi:10.1371/journal.pone.0163825

Caravelli, F., Sindoni, L., Caccioli, F., & Ududec, C. (2016). Optimal growth trajectories with finite carrying capacity. PHYSICAL REVIEW E94(2), 9 pages. doi:10.1103/PhysRevE.94.022315

Caccioli, F., Kondor, I., Marsili, M., & Still, S. (2016). Liquidity risk and instabilities in portfolio optimization. International Journal of Theoretical and Applied Finance19(5). doi:10.1142/S0219024916500357

Caravelli, F., Bardoscia, M., & Caccioli, F. (2016). Emergence of giant strongly connected components in continuum disk-spin percolation. JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 13 pages. doi:10.1088/1742-5468/2016/05/053211

Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2015). DebtRank: A Microscopic Foundation for Shock Propagation. PLOS ONE10(6), 13 pages. doi:10.1371/journal.pone.0130406

Caccioli, F., Farmer, J. D., Foti, N., & Rockmore, D. (2015). Overlapping portfolios, contagion, and financial stability. Journal of Economic Dynamics and Control, 51 (50).

Caccioli, F., Shrestha, M., Moore, C., & Farmer, J. D. (2014). Stability analysis of financial contagion due to overlapping portfolios. Journal of Banking and Finance46(1), 233-245. doi:10.1016/j.jbankfin.2014.05.021

Caccioli, F., Still, S., Marsili, M., & Kondor, I. (2013). Optimal liquidation strategies regularize portfolio selection. European Journal of Finance19(6), 554-571. doi:10.1080/1351847X.2011.601661

Caccioli, F., Dall’Asta, L., Galla, T., & Rogers, T. (2013). Voter models with conserved dynamics. Physical Review E – Statistical, Nonlinear, and Soft Matter Physics87(5). doi:10.1103/PhysRevE.87.052114

Dall’Asta, L., Caccioli, F., & Beghè, D. (2013). Fixation-coexistence transition in spatial populations. EPL101(1). doi:10.1209/0295-5075/101/18003

Caccioli, F., Catanach, T. A., & Farmer, J. D. (2012). Heterogeneity, correlations and financial contagion. Advances in Complex Systems15(SUPPL.2). doi:10.1142/S0219525912500580

Caccioli, F., Bouchaud, J. -P., & Farmer, J. D. (2012). Impact-adjusted valuation and the criticalty of leverage. Risk2012(December), 74.

Sellitto, M., De Martino, D., Caccioli, F., & Arenzon, J. J. (2010). Dynamic facilitation picture of a higher-order glass singularity. Physical Review Letters105(26). doi:10.1103/PhysRevLett.105.265704

Bradde, S., Caccioli, F., Dall’Asta, L., & Bianconi, G. (2010). Critical fluctuations in spatial complex networks. Physical Review Letters104(21). doi:10.1103/PhysRevLett.104.218701

Caccioli, F., & Marsili M. (2010). Information efficiency and financial stability. Economics(2010:20). doi:10.1142/S0219525912500580

Potestio, R., Caccioli, F., & Vivo, P. (2009). Random matrix approach to collective behavior and bulk universality in protein dynamics. Physical Review Letters103(26). doi:10.1103/PhysRevLett.103.268101

Caccioli, F., & Dall’Asta, L. (2009). Non-equilibrium mean-field theories on scale-free networks. Journal of Statistical Mechanics: Theory and Experiment2009(10). doi:10.1088/1742-5468/2009/10/P10004

Caccioli, F., Marsili, M., & Vivo, P. (2009). Eroding market stability by proliferation of financial instruments. European Physical Journal B71(4), 467-479. doi:10.1140/epjb/e2009-00316-y

Caccioli, F., Franz, S., & Marsili, M. (2008). Ising model with memory: Coarsening and persistence properties. Journal of Statistical Mechanics: Theory and Experiment2008(7). doi:10.1088/1742-5468/2008/07/P07006