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Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, … - In: Quantitative finance 18 (2018) 2, pp. 237-247
Persistent link: https://www.econbiz.de/10011905911
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Entropy and efficiency of the ETF market
Calcagnile, Lucio Maria; Corsi, Fulvio; Marmi, Stefano - In: Computational economics 55 (2020) 1, pp. 143-184
Persistent link: https://www.econbiz.de/10012222595
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When micro prudence increases macro risk : the destabilizung effects of financial innovation, leverage, and diversification
Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio - In: Operations research 64 (2016) 5, pp. 1073-1088
Persistent link: https://www.econbiz.de/10011594641
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Comment on: price discovery in high resolution
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 19 (2021) 3, pp. 439-451
Persistent link: https://www.econbiz.de/10012654941
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Rejoinder on: price discovery in high resolution
Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 465-471
Persistent link: https://www.econbiz.de/10012654950
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Beyond the square root : evidence for logarithmic dependence of market impact on size and participation rate
Zarinelli, Elia; Treccani, Michele; Farmer, J. Doyne; … - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011588201
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When panic makes you blind : a chaotic route to systemic risk
Mazzarisi, Piero; Lillo, Fabrizio; Marmi, Stefano - In: Journal of economic dynamics & control 100 (2019), pp. 176-199
Persistent link: https://www.econbiz.de/10012130963
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Smile from the past : a general option pricing framework with multiple volatility and leverage components
Majewski, Adam A.; Bormetti, Giacomo; Corsi, Fulvio - In: Journal of econometrics 187 (2015) 2, pp. 521-531
Persistent link: https://www.econbiz.de/10011499754
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A realized volatility approach to option pricing with continuous and jump variance components
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 639-664
Persistent link: https://www.econbiz.de/10012127296