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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…