3 papers
q-fin.RM2025
A high-frequency approach to Realized Risk Measures
Federico Gatta, Fabrizio Lillo, Piero Mazzarisi
We propose a new approach, termed Realized Risk Measures (RRM), to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using high-frequency financial data. It extends the Real…
q-fin.MF2025
Tackling estimation risk in Kelly investing using options
Fabrizio Lillo, Piero Mazzarisi, Ioanna-Yvonni Tsaknaki
The Kelly criterion provides a general framework for optimizing the growth rate of an investment portfolio over time by maximizing the expected logarithmic utility of wealth. Howev…
q-fin.TR2025
Modeling metaorder impact with a Non-Markovian Zero Intelligence model
Adele Ravagnani, Fabrizio Lillo
Devising models of the limit order book that realistically reproduce the market response to exogenous trades is extremely challenging and fundamental in order to test trading strat…