52 citations · 53 across the 3 of their papers we have counts for
3 papers
q-fin.ST2008★ 1 cited
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…
physics.soc-ph2006★ 52 cited
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…
physics.soc-ph2006
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…