2 papers
q-fin.RM2026
Do Short Exposure and Systematic Risk Exposure Drive Asymmetries in the Disposition Effect?
Lorenzo Mazzucchelli, Marco Zanotti, Luca Vincenzo Ballestra +1
This study examines the disposition effect in both long and short exposure positions in FTSE MIB tracking ETFs using a unique dataset of almost 9 million individual transactions. B…
q-fin.ST2025
A multi-factor model for improved commodity pricing: Calibration and an application to the oil market
Luca Vincenzo Ballestra, Christian Tezza
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic…