Piazza dei Cavalieri, 7
Pisa, 56126
Italy
Scuola Normale Superiore
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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
Market microstructure, Order flow, Herding, Order splitting, Price impact, Behavioral finance
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
price formation, liquidity provision, tick size, market microstructure
Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance
Nonlinear filtering, time-varying parameters, stochastic volatility, dynamic correlations
financial innovation, leverage, diversification, endogenous risk, financial crises
market impact, metaorder
Financial markets, market microstructure, limit order book, order flow, behavioural economics
liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing
Optimal execution, Market impact, Homotopy analysis method, Nonlinear integral equations
Volatility clustering, transaction frequency, alternative time clocks
Insider trading, Market abuse, Unsupervised learning, Statistically validated networks
systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model
Econophysics, Brownian motion, Stochastic processes
Optimal execution, Volume Weighted Average Price (VWAP), Transient price impact, Transaction costs, Market microstructure
flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks
Price Impact, Information Content of Trades, Transaction Cost Analysis, Score Driven Model
Firm-specific news, News sentiment, Trading, Single investors
Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks
Long memory processes, Financial markets, Order flow, Market efficiency
systemic risk; illiquidity; portfolio overlap; repo; haircut; liquidation
Financial markets, market microstructure, market impact, liquidity
portfolio optimization, covariance matrix estimator
order books, double auction, random walk, econophysics
price cojumps, Hawkes processes, systemic shocks, high frequency data
Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio
Market-impact, Cross-impact, Hybrid-Experimental Market, Bubbles, Artificial traders.
insider trading, market abuse, unsupervised learning, statistically validated networks
Financial markets, market microstructure, market impact, liquidity, markov chain
Networks, Complex Systems
Market Impact, Dynamic Arbitrage, Cross-Impact, MOT, Sovereign Bonds
Dimensionality reduction, Principal component analysis, Autoencoder, Insider trading, Market abuse, Unsupervised learning
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
interbank market, network theory, systemic risk
temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction
Limit order book, volatility estimation, optimal execution, microstructure noise
Continuous time random walk, mean exit time, Markov process
Financial markets, market segments, high frequency trading, upstair market, price impact
Market Microstructure, Economics, Game Theory, Machine Learning, Computational Finance
Financial markets, market microstructure, limit order book, liquidity
Covid; Stock Market, Household finance
Complex Networks, Corporate Networks, Credit Risk Rating, Data Science
financial markets, complex systems, data science, computational social science
Optimal execution; reinforcement learning; double deep q-learning; time varying liquidity
derivative margin calls, financial stability, liquidity risk, network analysis, non-bank financial institutions
Deep Reinforcement Learning for Optimal Trading with Partial Information
Optimal Trading, Reinforcement Learning, Statistical Arbitrage, Deep Deterministic Policy Gradient
Limit Order Book, Market Microstructure, Price impact, Market simulators
Market impact, Optimal execution, Price manipulation
Autoregressive Models, Conditional Value at Risk, Expected Shortfall, Risk Management
Optimal Execution game, Impact game, Collusion, Reinforcement Learning, Nash equilibrium
long-memory processes, round-off error, measurement error, log-periodogram regression, detrended fluctuation analysis, hermite polynomials
Value at Risk, Expected Shortfall, Latent variables, Subordinated Processes
Blockchain, Decentralized Exchanges, Maximal Extractable Value, Market Microstructure, Uniswap v3, Cryptocurrency
Temporal Networks, Weighted Networks, Score Driven Models, Interbank Market
token, bonding-curve, pump.fun, graduation, success, solana
Non-bank Financial Institutions, Derivative margin calls, Liquidity risk, financial stability, Network analysis
financial markets, market impact, large trading orders
