Michele Treccani

List Group

Quantitative Analyst

Via Pietrasantina 123

pisa, 56122

Italy

http://www.quantlab.it

QUANT Lab

Via Pietrasantina 123

Pisa, Pisa 56122

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

215

SSRN CITATIONS

5

CROSSREF CITATIONS

6

Scholarly Papers (2)

1.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 159 (203,277)
Citation 13

Abstract:

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price cojumps, Hawkes processes, systemic shocks, high frequency data

2.

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

Number of pages: 24 Posted: 06 Dec 2015 Last Revised: 16 Dec 2015
IMT Institute for Advanced Studies, Yahoo! - Yahoo! Research Labs, University of Bologna - Department of Mathematics, IMT Alti Studi Lucca, Università di Bologna and List Group
Downloads 56 (401,121)
Citation 1

Abstract:

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financial markets, complex systems, data science, computational social science