Fabio Caccioli

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External Fellow

I am a lecturer in the Department of Computer Science at University College London. I was previously a research associate at 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). 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.

Papers

Caccioli, F., Kondor, I., & Papp, G. (2017). Portfolio Optimization under Expected Shortfall: Contour Maps of  Estimation Error. Accepted for publication in Quantitative Finance.

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