5 citations · 8 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
A machine learning approach to support decision in insider trading detection
Piero Mazzarisi, Adele Ravagnani, Paola Deriu +3
Identifying market abuse activity from data on investors' trading activity is very challenging both for the data volume and for the low signal to noise ratio. Here we propose two c…
How Covid mobility restrictions modified the population of investors in Italian stock markets
Paola Deriu, Fabrizio Lillo, Piero Mazzarisi +3
This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual inv…