Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...

By exploiting basic common practice accounting and risk management rules, we propose a simple analytical dynamical model to investigate the effects of micro-prudential changes on macro-prudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that...

The analysis of the intraday dynamics of covariances among high-frequency returns is challenging due to asynchronous trading and market microstructure noise. Both effects lead to significant data reduction and may severely affect the estimation of the covariances if traditional methods for...

We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which...

For the past two decades, derivatives provided the core financial innovation for risk- management and risk-sharing activities. However, in the aftermath of the 2007-2008 crisis, derivatives have started received, partly for good reason, an increasingly bad press. The main purpose of this paper...

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency...