13 citations · 36 across the 17 of their papers we have counts for
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q-fin.ST2008
Coherence-based multivariate analysis of high frequency stock market values
Donatello Materassi, Giacomo Innocenti
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already pr…
q-fin.ST2008
Econometrics as Sorcery
G. Innocenti, D. Materassi
The paper deals with the problem of identifying the internal dependencies and similarities among a large number of random processes. Linear models are considered to describe the re…