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%3aU6a57NlVFWbcy9kcfM4uzZIySQNcUE3SdZ8grDIIpu41%40thread.tacv2/1636695419001?context=%7b%22Tid%22%3a%2260240b54-f639-46a1-bf85-a1aba95550fe%22%2c%22Oid%22%3a%220d83cdb7-b6d2-4d46-b51c-cdbb70c3d0a6%22%7d