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/

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 35,320

SSRN RANKINGS

Top 35,320

in Total Papers Downloads

1,331

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (7)

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 759 (33,847)
Citation 2

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 215 (149,193)
Citation 1

Abstract:

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

3.

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 103 (272,746)
Citation 3

Abstract:

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

4.

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
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 90 (297,823)

Abstract:

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

5.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 67 Posted: 30 May 2019
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 74 (334,922)

Abstract:

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

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 62 (368,193)
Citation 1

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 28 (500,553)

Abstract:

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

Other Papers (1)

Total Downloads: 1
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 1

Abstract:

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cryptocurrencies, liquidity, trading activity, bitcoin