3 papers
q-fin.RM2026
Hedging market risk and uncertainty via a robust portfolio approach
Adele Ravagnani, Mattia Chiappari, Andrea Flori +2
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a ro…
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…
q-fin.ST2024
Dimensionality reduction techniques to support insider trading detection
Adele Ravagnani, Fabrizio Lillo, Paola Deriu +3
Identification of market abuse is an extremely complicated activity that requires the analysis of large and complex datasets. We propose an unsupervised machine learning method for…