Via Zamboni, 33
Bologna, 40126
Italy
Università di Bologna
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market impact, market liquidity, Kalman filter, dynamic linear models, order book depth
Regimes, Bayesian methods, Order flow, Market impact
Market-impact, Cross-impact, Hybrid-Experimental Market, Bubbles, Artificial traders
Market-impact, Cross-impact, Synthetic experimental asset markets, Multi-assets, Bubbles, Trader heterogeneity.
Sentiment Analysis; Dynamic Factor Models; Kalman FIlter; Expectation Maximization; Quantile Regression
Time series analysis, Change point detection, Long memory, Time-varying parameters, Bayesian inference
Time series analysis, Change-point detection, Time-varying parameters, Bayesian inference
Market Impact, Game Theory and Nash Equilibria, Transaction Costs, Market Microstructure, High Frequency Trading
Optimal Execution, Market Impact, Transient Impact Model, Market microstructure, Game theory
systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems
investor networks, IPO, investor clusters, SVN, network dynamics, institutional herding
Granger causality in risk, Spillover effects, Financial contagion, Autoregressive processes, Likelihood-Ratio test
Kelly Criterion, Log-Optimal Portfolios, Estimation Risk
