Tomaso Aste

Head, Financial Computing & Analytics Group

Director, MSc Financial Risk Management



Visist my Google Scholar Page


Selected publications

Information Filtering
  • 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
  • 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).
  • 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, S. T. Hyde a and S. Ramsden, “Interest rates hierarchical structure”, Physica A, 335 (2005) 21-33.
  • 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).

Scaling Laws
  • Raffaello Morales, T. Di Matteo, Tomaso Aste, Non stationary multifractality in stock returns, Physica A  392 (2013) 6470–6483.
  • Ruipeng Liu, “Understanding the source of multifractality in financial markets”, Physica A, 391 (2012) 4234–4251.
  • 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.
  • 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.
  • 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 M. M. Dacorogna, "Scaling behaviors in differently developed markets", Physica A 324 (2003) 183-188.

Market Dependency Structure
  • F. Pozzi, T. Di Matteo and T. Aste, “Exponential Smoothing Weighted Correlations”, Eur. Phys. J. B, 85 (2012) 175 (21 pages).
  • 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.
  • 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.
  • T. Di Matteo , T. Aste, S. T. Hyde a and S. Ramsden, “Interest rates hierarchical structure”, Physica A, 335 (2005) 21-33.

Networks
  • Tomaso Aste, Ruggero Gramatica and T. Di Matteo, “Exploring complex networks via topological embedding on surfaces” Phys. Rev. E., 86 (2012) 036109. (11 pages)
  • W.M. Song, T. Di Matteo and T. Aste, “Building Complex Networks with Platonic Solids” Phys. Rev. E 85 ( 2012) 046115.
  • Tomaso Aste, Ruggero Gramatica and T. Di Matteo, “Random and frozen states in complex triangulations”, Philosophical Magazine B, 92 (2012) 246-254.
  • Won-Min Song, T. Di Matteo, Tomaso Aste, “Nested hierarchies in planar graphs” Discrete Applied Mathematics 159 (2011) 2135-2146.
  • 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.
  • 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. Aste, T. Di Matteo and S. T. Hyde, “Complex Networks on Hyperbolic Surfaces”, Physica A 346 (2005) 20-26. (arXiv:cond-mat/0408443, 2004).

Complex Systems
  • T. Aste and T. Di Matteo, “Introduction to complex and Econophysics systems: a navigation map” Lecture Notes in Complex Systems Vol.9 (World Scientific, Singapore 2010) 1-35.
  • 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).

Complex Matter
  • T. Aste, P. Butler and T. Di Matteo, Self-referential order, Philosophical Magazine (2013) Doi: 10.1080/14786435.2013.835495.
  • Fabian M. Schaller, Sebastian C. Kapfer, Myfanwy E. Evans, Matthias J.F. Hoffmann, Tomaso Aste, Mohammad Saadatfar, Klaus Mecke, Gary W. Delaney AND Gerd E. Schröder-Turk, Set Voronoi diagrams of 3D assemblies of aspherical particles, Philosophical Magazine (2013) Doi: 10.1080/14786435.2013.834389.
  • G. E. Schröder-Turk, W. Mickel, M. Schröter, G. W. Delaney, M. Saadatfar, T. J. Senden, K. Mecke and T. Aste, “Disordered spherical bead packs are anisotropic”, Eur. Phys. Lett. 90 (2010) 34001-6.
  • Iwan Schenker, Frank T. Filser, Ludwig J. Gauckler, Tomaso Aste, Hans J. Herrmann “Characterization of the Heterogeneity of Particle Packings”, Phys. Rev. E 80 (2009) 021302.
  • A. Elsner, A. Wagner, T. Aste, H. Hermann, D. Stoyan, “Specific Surface Area and Volume Fraction of the Cherry-Pit Model with Packed Pits”, Journal of Physical Chemistry B 113 (2009) 7780-7784.
  • Gary W. Delaney, Stefan Hutzler and Tomaso Aste “Relation Between Grain Shape and Fractal Properties in Random Apollonian Packing with Grain Rotation” Phys. Rev. Lett. 101 (2008) 120602. (4 pages)
  • Melissa Jerkins, Matthias Schroter, Harry L. Swinney,Tim J. Senden, Mohammad Saadatfar and Tomaso Aste, “Onset of mechanical stability in random packings of frictional spheres”, Phys. Rev. Lett. 101 (2008) 018301. (4 pages)
  • T. Aste, T. Di Matteo, “Structural transitions in granular packs: statistical mechanics and statistical geometry investigations”, Eur. Phys. J. B 64 (2008) 511-517.
  • Iwan Schenker, Frank T. Filser, Tomaso Aste and Ludwig J. Gauckler, “Microstructures and Mechanical Properties of Dense Particle Gels: Microstructural Characterization”, J. Eur. Ceram. Soc., 28/7 (2008) 1443-1449.
  • T. Aste, T. Di Matteo “Emergence of Gamma distributions in granular materials and packing models”, Phys. Rev. E 77 (2008) 021309 (8 pages).
  • A.V. Anikeenko and N.N. Medvedev and T. Aste, “Structural and entropic insights into the nature of random close packing limit”, Phys. Rev E  77 (2008) 031101 (9 pages).
  • T. Aste, T. Di Matteo, M. Saadatfar, T. J. Senden, Matthias Schröter and Harry L. Swinney, “An invariant distribution in static granular media”, Euro Phys. Lett. 79 (2007) 24003 (5 pages). (arXiv: cond-mat/0612063, 2006).
  • T. Aste and T. Di Matteo “Correlations and aggregate statistics in granular packs” Eur. Phys. J. E 22 (2007), 235–240.
  • T. Aste, M. Saadatfar, T.J. Senden, “Local and Global relations between the number of contacts and density in monodisperse sphere packs”, J. Stat. Mech. (2006) P07010 (10 pages).
  • T. Aste, “Volume fluctuations and geometrical constraints in granular packs”, Phys. Rev. Lett. 96 (2006) 018002 (4 pages).
  • T. Aste, M. Saadatfar ,T.J. Senden, “Geometrical structure  of disordered sphere packings”, Phys. Rev. E. 71 (2005) 061302 (15 pages). (arXiv:cond-mat/0502016, 2005).
  • T. Aste, “Variations around disordered close packings”, Journal of Physics Condensed Matter 17 (2005) S2361--S2390.
  • T. Aste and U. Valbusa, “Ripples and Ripples: from Sandy Deserts to Ion-Sputtered Surfaces” New J. Phys. 7 (2005) 122-145. (arXiv:cond-mat/0408452, 2004).





  • My activity concerns data-driven studies of financial systems and complex systems using statistical methods and computational tools