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Quantitative finance
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A tale of two sentiment scales : disentangling short-run and long-run components in multivariate sentiment dynamics
Vassallo, Danilo
;
Bormetti, Giacomo
;
Lillo, Fabrizio
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2237-2255
Persistent link: https://www.econbiz.de/10013490941
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2
Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria
;
Bormetti, Giacomo
;
Treccani, …
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 237-247
Persistent link: https://www.econbiz.de/10011905911
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3
Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael
;
Lillo, Fabrizio
;
Pelizzon, Loriana
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
Saved in:
4
From zero-intelligence to queue-reactive : limit-order-book modeling for high-frequency volatility estimation and optimal execution
Mariotti, Tommaso
;
Lillo, Fabrizio
;
Toscano, Giacomo
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 367-388
Persistent link: https://www.econbiz.de/10014232657
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5
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
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6
Unveiling the relation between herding and liquidity with trader lead-lag networks
Campajola, Carlo
;
Lillo, Fabrizio
;
Tantari, Daniele
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1765-1778
Persistent link: https://www.econbiz.de/10012313511
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7
Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
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8
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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9
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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