Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...

Market liquidity is a latent and dynamic variable. Building on Cont et al. (2014), we propose a dynamical price impact model at high-frequency, in which price impact is a product of daily, diurnal, and autoregressive stochastic intraday com- ponents. The model is estimated using a Kalman filter...

Monitoring and assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other...