411 citations · 416 across the 4 of their papers we have counts for
4 papers
Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistenc…
A machine learning approach to support decision in insider trading detection
Piero Mazzarisi, Adele Ravagnani, Paola Deriu +3
Identifying market abuse activity from data on investors' trading activity is very challenging both for the data volume and for the low signal to noise ratio. Here we propose two c…
Robust filtering and smoothing via perturbation methods
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filter…
Networks of equities in financial markets
G. Bonanno, G. Caldarelli, F. Lillo +3
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility t…