2 papers
q-fin.TR2016
Cross-impact and no-dynamic-arbitrage
Michael Schneider, Fabrizio Lillo
We extend the "No-dynamic-arbitrage and market impact"-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multi-dimensional case where trading in one as…
q-fin.ST2014
Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti +3
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, in…