Lecture
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19 Jan 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Introduction to the course, market structures (dealer markets, limit order book, fragmentation, etc), Trading costs, High frequency data
24 Jan 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Time series models, ARMA, ARIMA, Box-Jenkins, Efficient market hypothesis, Roll model
26 Jan 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Simulazioni Roll model e Lobster data, Asymmetric information models: Glosten-Milgrom and Kyle
31 Jan 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Market impact and order flow, MRR model, Transient impact model
02 Feb 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Introduzione a optimal execution. Almgren-Chriss a tempo discreto e continuo Portfolio optimal execution. POV execution.
07 Feb 2022 (3h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Optimal execution with transient impact (VWAP, TC, IS). Optimal execution and price manipulations.
14 Feb 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Limit order book models
16 Feb 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
High frequency financial econometrics
22 Feb 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Financial point processes (ACD and Hawkes)
28 Feb 2022 (2h 00m)
Piero Mazzarisi - Course (teaching activity) - Face to face
Introduzione a network theory
02 Mar 2022 (2h 00m)
Piero Mazzarisi - Course (teaching activity) - Face to face
Metriche di networks
07 Mar 2022 (2h 00m)
Piero Mazzarisi - Course (teaching activity) - Face to face
Modelli statistici di networks
14 Mar 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Maximum Entropy Ensembles for networks
17 Mar 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Maximum entropy for networks in Finance, Fire sales spillovers
21 Mar 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Exponential Random Graph Model. Introduction to temporal networks
23 Mar 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
SDERGM. Granger causality networks and systemic risk
24 Mar 2022 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Both face to face and online
Granger causality in tail and flight to quality. SRISK and MES
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