Lecture
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18 Jan 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Introduction to the course, market structures (dealer markets, limit order book, fragmentation, Trading costs
23 Jan 2024 (2h 00m)
Giorgio Rizzini - Supplementary teaching - Face to face
Didattica integrativa
25 Jan 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
High frequency data, Efficient market hypothesis, Roll model, Rcode-Roll model e Lobster data
29 Jan 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Asymmetric information models: Glosten-Milgrom and Kyle model and empirics of market impact
01 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Introduzione a optimal execution. Almgren-Chriss a tempo discreto. Bertsimas and Lo model and dynamic programming
05 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Modello di Almgren-Chriss a tempo continuo Portfolio optimal execution. POV execution.
08 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Stochastic optimal control and reinforcement learning for optimal execution. Market impact and order flow
14 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Transient impact model: definition, calibration, optimal execution
21 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Optimal execution with Transient Impact Model in continuous time. Optimal execution and price manipulations
22 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Market making
28 Feb 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Limit order book models: Zero Intelligence, Queue reactive model
01 Mar 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
LLOB model, Random walk models for finance
05 Mar 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
ARCH family, High frequency financial econometrics
08 Mar 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Introduction to point processes, Point processes for finance: ACD, ACI, Hawkes processes
13 Mar 2024 (2h 00m)
Giorgio Rizzini - Course (teaching activity) - Face to face
Lezione
14 Mar 2024 (2h 00m)
Giorgio Rizzini - Course (teaching activity) - Face to face
Lezione
20 Mar 2024 (2h 00m)
Giorgio Rizzini - Course (teaching activity) - Face to face
Lezione
21 Mar 2024 (2h 00m)
Giorgio Rizzini - Course (teaching activity) - Face to face
Lezione
27 Mar 2024 (2h 00m)
Giorgio Rizzini - Course (teaching activity) - Face to face
Lezione
08 Apr 2024 (2h 00m)
Giorgio Rizzini - Supplementary teaching - Face to face
didattica integrativa
09 Apr 2024 (2h 00m)
Giorgio Rizzini - Supplementary teaching - Face to face
Didattica integrativa
15 Apr 2024 (2h 00m)
Giorgio Rizzini - Supplementary teaching - Face to face
Didattica integrativa
17 Apr 2024 (2h 00m)
Giorgio Rizzini - Supplementary teaching - Face to face
Didattica integrativa.
24 Apr 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
Granger causality networks and systemic risk
30 Apr 2024 (2h 00m)
Fabrizio Lillo - Course (teaching activity) - Face to face
SRISK and MES
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