3 citations · 8 across the 8 of their papers we have counts for
4 papers · 1 filter
Entropy and efficiency of the ETF market
Lucio Maria Calcagnile, Fulvio Corsi, Stefano Marmi
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Sh…
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…
Homogeneous Volatility Bridge Estimators
Alexander Saichev, Didier Sornette, Vladimir Filimonov +1
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information cont…
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
Simone Bianco, Fulvio Corsi, Roberto Reno'
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and…