Adrien Treccani

University of Zurich

Postdoc

Schönberggasse 1

Zürich, 8001

Switzerland

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Scholarly Papers (4)

1.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
O. Scaillet, Adrien Treccani and Christopher Trevisan
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,142 (17,744)
Citation 5

Abstract:

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Jumps, Liquidity, High-frequency data, Bitcoin

2.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
Pierre Bajgrowicz, O. Scaillet and Adrien Treccani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 653 (39,189)
Citation 16

Abstract:

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jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps

3.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 49 Posted: 11 Nov 2016 Last Revised: 30 Aug 2018
Simon Scheidegger and Adrien Treccani
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Zurich
Downloads 135 (213,048)
Citation 3

Abstract:

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American Options, Derivatives, Pricing, High-dimension, Adaptive sparse grids

4.

A 9-Dimension Grid for the Evaluation of Central Bank Digital Currencies

Number of pages: 48 Posted: 06 Oct 2018 Last Revised: 21 Dec 2018
José Parra-Moyano, Arthur Macherel and Adrien Treccani
University of Zurich - Department of Business Administration, University of Zurich and University of Zurich
Downloads 51 (385,228)

Abstract:

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Blockchain, Bitcoin, Central Bank Digital Currencies, CBDC