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Linear Models for the Impact o...
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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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2
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
Saved in:
3
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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4
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
Saved in:
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
Saved in:
6
Deep calibration with random grids
Baschetti, Fabio
;
Bormetti, Giacomo
;
Rossi, Pietro
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1263-1285
Persistent link: https://www.econbiz.de/10015196885
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7
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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8
Multi-curve HJM modelling for risk management
Sabelli, Chiara
;
Pioppi, Michele
;
Sitzia, Luca
; …
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 563-590
Persistent link: https://www.econbiz.de/10011906436
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9
The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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10
The inelastic market hypothesis : a microstructural interpretation
Bouchaud, Jean-Philippe
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1785-1795
Persistent link: https://www.econbiz.de/10013367946
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