Dear colleagues,

LTI@UniTO (www.carloalberto.org/lti) and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars in Mathematical Finance:

March 1, 2021 | 17:00-18:00

“Do jumps matter in Realized Volatility modeling and forecasting? Empirical evidence and a new model”

Massimiliano Caporin, University of Padova

Abstract: Building on an extensive empirical analysis I investigate the relevance of jumps and signed variations in predicting Realized Volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the identified jumps. Realized Variance decompositions based on intra-day return size and sign improve the in-sample fit of the models commonly adopted in empirical studies. I also introduce a novel specification based on a more informative decomposition of Realized Volatility, which offers improvements over standard models. From a forecasting perspective, the empirical evidence I report shows that most models, irrespective of their flexibility, are statistically equivalent in many cases. This result is confirmed with different samples, liquidity levels, forecast horizons and possible transformations of the dependent and explanatory variables.

Zoom Link: https://us02web.zoom.us/j/82672618584?pwd=VWdNeWhEc1pyVjJCQ3pucEhtb1BxUT09

Meeting ID: 826 7261 8584 Passcode: 599584

------

March 2, 2021 | 12:00-13:15 

“V-shapes”

Roberto Renò, University of Verona

Abstract: An insidious form of market inefficiency, by which prices lose their informativeness and wealth is distributed arbitrarily, translates into V-shapes, that is sudden changes of the sign of the price drift. We use this insight to develop a new tool for the detection of reverting drift, the V-statistic. We apply this tool to (i) quantify the extent of this kind of market inefficiency in the U.S. stock market during the Covid-19 pandemic; and (ii) show the harmful consequences of V-shapes on financial stability by estimating the huge loss suffered by Italian taxpayers (0.45B euros) in May 2018, when a transient crash hit the secondary bond market during a Treasury auction.

Joint with Maria Flora.

Zoom link https://us02web.zoom.us/j/82590058916?pwd=VEowc2NUcm5rNmtFdWQ0MlMxUEVLQT09

Meeting ID: 825 9005 8916 Passcode: 055411

We look forward to your participation!


-- 
Luca Regis
Associate Professor
Department of Economics and Statistics (ESOMAS)
University of Torino
sites.google.com/view/lucaregis
Office: +39 011 670 6065
www.carloalberto.org/lti