3 papers
q-fin.TR2024
Can market volumes reveal traders' rationality and a new risk premium?
Francesca Mariani, Maria Cristina Recchioni, Tai-Ho Wang +1
An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders' belief and risk aversion. T…
stat.ME2022
A new class of composite indicators: the penalized power means
Francesca Mariani, Mariateresa Ciommi, Maria Cristina Recchioni
In this paper we propose a new aggregation method for constructing composite indicators that is based on a penalization of the power means. The idea underlying this approach consis…
econ.EM2020
Bias optimal vol-of-vol estimation: the role of window overlapping
Giacomo Toscano, Maria Cristina Recchioni
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realiz…