Paolo Mazza

IESEG School of Management

Assistant Professor of Finance

3 Rue de la Digue

Office: A321

Lille, 59 59000

France

http://https://sites.google.com/site/paolomazzaphd/

LEM CNRS 9221

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 34,865

SSRN RANKINGS

Top 34,865

in Total Papers Downloads

1,639

SSRN CITATIONS
Rank 47,055

SSRN RANKINGS

Top 47,055

in Total Papers Citations

11

CROSSREF CITATIONS

3

Scholarly Papers (10)

1.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 850 (33,885)
Citation 4

Abstract:

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Technical analysis, trading systems, market timing, bootstrap, SSPA, Japanese candlesticks

2.

Price Dynamics and Market Liquidity: An Intraday Event Study on Euronext

Number of pages: 44 Posted: 17 Aug 2012 Last Revised: 06 Dec 2013
Paolo Mazza
IESEG School of Management
Downloads 219 (167,520)
Citation 2

Abstract:

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Liquidity, Limit order market, Informed trading, Market microstructure, HLOC dynamics

3.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 61 Posted: 30 May 2019 Last Revised: 30 Sep 2020
Cass Business School, City University London - Sir John Cass Business School, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 170 (210,622)
Citation 1

Abstract:

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

4.

Rethinking Zero Returns in the Liquidity Puzzle of a Limit Order Market

Number of pages: 42 Posted: 07 Feb 2013 Last Revised: 30 Apr 2015
Paolo Mazza
IESEG School of Management
Downloads 118 (281,442)
Citation 3

Abstract:

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Zero return, liquidity, informed trading, limit order book, market microstructure

5.

Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis

Bankers, Markets, and Investors, Vol. 133, 2014
Number of pages: 17 Posted: 22 Jan 2016 Last Revised: 28 Apr 2021
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 99 (317,488)
Citation 1

Abstract:

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Return predictability, high market variation, overreaction, behaviorial bias, SSPA

6.

On the Usefulness of Intraday Price Ranges to Gauge Liquidity in Cap-Based Portfolios

Economic Modelling, Vol. 54, 2016
Number of pages: 37 Posted: 17 Jul 2013 Last Revised: 23 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 65 (406,076)
Citation 2

Abstract:

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Liquidity, Price Dynamics, Intraday, Panel

7.

How Integrated is the European Carbon Derivatives Market?

Finance Research Letters, Vol. 15, 2015
Number of pages: 24 Posted: 22 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 45 (479,959)

Abstract:

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Carbon, derivatives, EU ETS, cointegration, volatility, futures

8.

Lead Arrangers in Syndicated Loans

Number of pages: 29 Posted: 09 Mar 2021
Aurore Burietz and Paolo Mazza
Catholic University of Lille - IÉSEG School of Management, Lille Campus and IESEG School of Management
Downloads 44 (484,285)

Abstract:

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Lead arranger, Syndicated loans, Contract bidding theory, Pre-mandate phase

9.

Testing the Effect of Technical Analysis on Market Quality and Order Book Dynamics

Applied Economics, Volume 51, 2019 - Issue 18, 1947-1976.
Number of pages: 36 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 15 (650,147)

Abstract:

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Agent-based model, Liquidity, Technical Analysis, Limit Order Market

10.

Implicit Transaction Cost Management Using Intraday Price Dynamics

Applied Economics, vol. 50 (39), 4264-4274, 2018
Number of pages: 24 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 14 (657,375)
Citation 1

Abstract:

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XLM, Transaction costs, Liquidity, Execution

Other Papers (1)

Total Downloads: 2
1.

Intraday Liquidity and Trading Dynamics Around Extreme Price Movements in Cryptocurrencies

Number of pages: 34 Posted: 04 Mar 2020
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 2

Abstract:

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cryptocurrencies, liquidity, trading activity, bitcoin