1k citations · 2k across the 13 of their papers we have counts for
14 papers
Collective synchronization and high frequency systemic instabilities in financial markets
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani +2
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets t…
Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
Elia Zarinelli, Michele Treccani, J. Doyne Farmer +1
We make an extensive empirical study of the market impact of large orders (metaorders) executed in the U.S. equity market between 2007 and 2009. We show that the square root market…
Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti +3
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, in…
Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani +3
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 St…
Combined analysis of Z' -> t tbar and Z' -> t tbar j production for vector resonance searches at LHC
F. del Aguila, J. A. Aguilar-Saavedra, M. Moretti +3
We have implemented a code for Z' + n jets production in ALPGEN, with Z' decays into several final states, including l+ l- and t tbar. The MLM prescription is used for matching the…
Combination of electroweak and QCD corrections to single W production at the Fermilab Tevatron and the CERN LHC
G. Balossini, C. M. Carloni Calame, G. Montagna +5
Precision studies of the production of a high-transverse momentum lepton in association with missing energy at hadron colliders require that electroweak and QCD higher-order contri…