Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large orders. Consequently, distinct order flow regimes...

Italian Abstract: L’identificazione di potenziali casi di abuso di mercato è un’attività complessa e impegnativa a causa dell’enorme volume di dati da trattare e della molteplicità di fattori da prendere in considerazione nella valutazione della condotta operativa di ciascun...

English abstract: This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market.The research is the result of a collaboration between Consob and the Scuola Normale Superiore di Pisa. The analysis tracks the trading activity of individual...

Given a sequence of random graphs generated by an exponential family distribution, known as exponential random graphs (ERG), we define a realized ERG (RERG) as a single snapshot maximum-likelihood estimate of the ERG parameters. RERG's are noisy measurements of the latent state variables driving...

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future extreme events of another time series. The topology and...

We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk capital requirements and investing in a portfolio of...