Monday 15th November 2021 (aula Dini) *
10.00 - 10.50 Lucio Maria Calcagnile Title - Efficiency and
instabilities of financial markets Abstract - In the first part I will show how market informational efficiency can be successfully studied on high frequency financial data, finding analytical results on ARMA processes and using a more empirical approach. In the second part I will show the main self- and cross-exciting features of market instabilities and how they can be effectively described with original models based on Hawkes processes. *
ll seminario si terrà in modalità mista. Tutti gli interessati a partecipare in presenza devono contattare per email il dr. Gioacchino Antonelli (gioacchino.antonelli@sns.it). link per collegarsi all'evento:
https://teams.microsoft.com/l/meetup-join/19%3aU6a57NlVFWbcy9kcfM4uzZIySQNcU...