Via Zamboni, 33
Bologna, 40126
Italy
Università di Bologna
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Financial markets, Market microstructure, Market impact, Order flow
Transient price impact, market impact model, optimal order execution, transaction‐triggered price manipulation, homotopy analysis, SQP algorithm, GSS algorithm
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance
financial innovation, leverage, diversification, endogenous risk, financial crises
Financial markets, market microstructure, limit order book, order flow, behavioural economics
market impact, metaorder
Volatility clustering, transaction frequency, alternative time clocks
Nonlinear filtering, Time-varying parameters, State-Space models, Stochastic volatility
price formation, liquidity provision, tick size, market microstructure
Econophysics, Brownian motion, Stochastic processes
liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing
systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model
Optimal execution, Market impact, Homotopy analysis method, Nonlinear integral equations
Market microstructure, Order flow, Herding, Order splitting, Price impact, Behavioral finance
flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks
Firm-specific news, News sentiment, Trading, Single investors
Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks
Optimal execution, Volume Weighted Average Price (VWAP), Transient price impact, Transaction costs, Market microstructure
portfolio optimization, covariance matrix estimator
Long memory processes, Financial markets, Order flow, Market efficiency
order books, double auction, random walk, econophysics
price cojumps, Hawkes processes, systemic shocks, high frequency data
Financial markets, market microstructure, market impact, liquidity
Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio
systemic risk; illiquidity; portfolio overlap; repo; haircut; liquidation
Financial markets, market microstructure, market impact, liquidity, markov chain
Networks, Complex Systems
Market Impact, Dynamic Arbitrage, Cross-Impact, MOT, Sovereign Bonds
Continuous time random walk, mean exit time, Markov process
interbank market, network theory, systemic risk
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
Financial markets, market segments, high frequency trading, upstair market, price impact
Insider trading, Market abuse, Unsupervised learning, Statistically validated networks
financial markets, complex systems, data science, computational social science
Price Impact, Information Content of Trades, Transaction Cost Analysis, Score Driven Model
Financial markets, market microstructure, limit order book, liquidity
Complex Networks, Corporate Networks, Credit Risk Rating, Data Science
Limit order book, volatility estimation, optimal execution, microstructure noise
temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction
Covid; Stock Market, Household finance
long-memory processes, round-off error, measurement error, log-periodogram regression, detrended fluctuation analysis, hermite polynomials
insider trading, market abuse, unsupervised learning, statistically validated networks
Market-impact, Cross-impact, Hybrid-Experimental Market, Bubbles, Artificial traders.
Temporal Networks, Weighted Networks, Score Driven Models, Interbank Market
financial markets, market impact, large trading orders
