Research
Publications in peer-reviewed journals
Zema, S., M. (2023). Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data . Empirical Economics 65, 1799-1822 . A previous version is available as ECB Working Paper Series No. 2721.
Zema, S., M. (2022). Directed acyclic graph based information shares for price discovery. Journal of Economic Dynamics and Control, 139: 104434.
Working papers
Zema, S.M. (2023). A non-Normal framework for price discovery: The independent component based information shares measure. LEM Working Paper Series, No. 2023/03
Zema, S.M., Fagiolo, G., Squartini, T. and Garlaschelli, D. (2021). Mesoscopic Structure of the Stock Market and Portfolio Optimization. LEM Working Paper Series, No. 2021/45. Also available as arXiv preprint.
Policy publications
Mosk, B., Pangallo, L., Zema, S.M. (2022). Cross-asset correlations in a more inflationary environment and challenges for diversification strategies. Financial Stability Review Issue 2, 2022.
Ianiro, A., Weistroffer, C., Zema, S.M. (2022). Synthetic leverage and margining in non-bank financial institutions. Financial Stability Review Issue 1, 2022.
Carraro, T., Furtuna. O., Ghio, M., Kallage, K., O' Donnel, C., Rousová, L., Vacirca, F., Zema, S.M. (2021). Lessons learned from initial margin calls during the March 2020 market turmoil. Financial Stability Review Issue 2, 2021.
Review of margining practices (2022). Technical Report, Bank of International Settlements (BIS).
Ongoing research projects
Price discovery in stablecoins and currency exchange rates. Ongoing with F. Cordoni.
On the evolution of global value chain positioning and economic growth: A long-run perspective from world input-output tables. Ongoing with D. Luzzati and G. Fagiolo.
Exploring Statistically Inferred Financial Networks: Micro-Macro channels of volatility spillovers. Ongoing with G. Fagiolo, M. Orlandini and M. Napoletano.