4 citations · 4 across the 3 of their papers we have counts for
5 papers
Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil
Caterina Liberati, Massimiliano Marzo, Paolo Zagaglia +1
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use…
Effective Trade Execution
Riccardo Cesari, Massimiliano Marzo, Paolo Zagaglia
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are describ…
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
A. Gabrielsen, P. Zagaglia, A. Kirchner +1
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model th…
Measuring market liquidity: An introductory survey
Alexandros Gabrielsen, Massimiliano Marzo, Paolo Zagaglia
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and se…
Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
Massimiliano Marzo, Daniele Ritelli, Paolo Zagaglia
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on av…