Market liquidity is a latent and dynamic variable. Building on Cont et al. (2014), we propose a dynamical price impact model at high-frequency, in which price impact is a product of daily, diurnal, and autoregressive stochastic intraday com- ponents. The model is estimated using a Kalman filter...

In this study we provide an analytical characterization of the impact of zero returns on the popular realized covariance estimator of Barndorff-Nielsen and Shephard (2004). In our framework, efficient price processes evolve as a semimartingale with some likelihood of repeated prices. We show...

Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It hinges on the existence of a latent...

Portfolio recommendations should include, beyond an estimate of the expected return on the investment, also an assessment of the associated level of risk. This paper introduces a simple methodology to assign stock recommendations based on a firm valuation procedure that replaces the conventional...

In all investment decisions it is important to determine the degree of uncertainty associated with the valuation of a company. We propose an original and robust methodology to company valuation which replaces the traditional point estimate of the conventional Discounted Cash Flow (DCF) with a...

In all investment decisions it is important to determine the degree of uncertainty associated with the valuation of a company. We propose an original and robust methodology to company valuation which replaces the traditional point estimate of the conventional Discounted Cash Flow (DCF) with a...

This paper presents two stocks recommendation systems based on a stochastic characterization of firm present value that extends the conventional discounted cash flow analysis. In the Single-Stock Quantile recommendation system, the market price of a company's stocks is compared with the...