output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2011 · math.PRShow all

2 papers · 2 filters

math.PR2011

Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes

Cristina Di Girolami, Francesco Russo

This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of Métivier and Pellaumail w…

math.PR2011

On stochastic calculus related to financial assets without semimartingales

Rosanna Coviello, Cristina Di Girolami, Francesco Russo

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous p…