28 citations · 95 across the 25 of their papers we have counts for
4 papers · 1 filter
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…
Multi-curve HJM modelling for risk management
Chiara Sabelli, Michele Pioppi, Luca Sitzia +1
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since w…
Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski, Giacomo Bormetti, Fulvio Corsi
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose…
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…