Treccani, Michele
- Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
2014/12/05 by Zarinelli, Elia, Treccani, Michele, Farmer, J. Doyne +1 · 2 citations
#FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- Modelling systemic price cojumps with Hawkes factor models
2013/01/25 by Giacomo Bormetti, Lucio Maria Calcagnile, Bormetti, Giacomo +9 · 1 citation
Economics, Econometrics and Finance · Environmental Science · Mathematics · #Ecosystem dynamics and resilience #FOS: Economics and business #Financial Risk and Volatility Modeling #Point processes and geometric inequalities #Statistical Finance (q-fin.ST)