2 citations · 3 across the 6 of their papers we have counts for
3 papers · 1 filter
Entropy and efficiency of the ETF market
Lucio Maria Calcagnile, Fulvio Corsi, Stefano Marmi
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Sh…
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…
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…