The paper analyses the interactions between the ‘cash' market (MTS Cash) and the futures market (Eurex) of Italian government bonds in terms of liquidity, price correlation and volatility. Based on daily data, the growth of the Eurex market seems to support the tightening of the bid-ask spread...

Nel seguente lavoro si propone un'analisi dei sistemi di trading ad alta frequenza (Hft); il fenomeno ha avuto origine e si è sviluppato sul mercato azionario statunitense, ma, nel corso degli ultimi anni si sta progressivamente espandendo alla maggioranza delle asset class sui principali...

Many central banks adopt an active investment style for reserve management. This paper discusses various possible enhancements to active management tools and processes to generate extra returns in an increasingly challenging environment. The proposed framework is based on an affine model, which...