52 citations · 55 across the 4 of their papers we have counts for
4 papers
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashe…
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…
Trading strategies in the Italian interbank market
Giulia Iori, Roberto Reno', Giulia De Masi +1
Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method…
Unexpected volatility and intraday serial correlation
Simone Bianco, Roberto Renó
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to…