28 citations · 95 across the 25 of their papers we have counts for
6 papers · 1 filter
Collective synchronization and high frequency systemic instabilities in financial markets
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani +2
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets t…
Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti +3
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, in…
The adaptive nature of liquidity taking in limit order books
Damian Eduardo Taranto, Giacomo Bormetti, Fabrizio Lillo
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorr…
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…
Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini, Giacomo Bormetti
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed thi…
Minimal model of financial stylized facts
Danilo Delpini, Giacomo Bormetti
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We…