1 citations · 1 across the 4 of their papers we have counts for
4 papers
When large trades are not (automatically) news: liquidity tail risk and price discovery
Umut Çetin, Mingwei Lin, Giulia Livieri
We examine how heavy-tailed liquidity demand changes price discovery in a sequential limit order book with asymmetric information. In our setting, liquidity suppliers observe aggre…
The Yoccoz-Birkeland livestock population model coupled with random price dynamics
Riccardo Ceccon, Giulia Livieri, Stefano Marmi
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equa…
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino +1
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation…
Analysis of bank leverage via dynamical systems and deep neural networks
Fabrizio Lillo, Giulia Livieri, Stefano Marmi +2
We consider a model of a simple financial system consisting of a leveraged investor that invests in a risky asset and manages risk by using Value-at-Risk (VaR). The VaR is estimate…