[Excerpt from the abstract]: In this thesis, we consider two topics in the field of high frequency financial econometrics. The first one is the measurement of market efficiency from high frequency data, within an information theory framework. The study of this topic is performed with an analytical and empirical combined approach. The second topic is that of financial market systemic instabilities at high frequency level and is analysed mainly with an empirical and modelling approach. [...]

Efficiency and instabilities of financial markets / Calcagnile, Lucio Maria; relatore: Marmi, Stefano; Scuola Normale Superiore, 06-Apr-2017.

Efficiency and instabilities of financial markets

Calcagnile, Lucio Maria
2017

Abstract

[Excerpt from the abstract]: In this thesis, we consider two topics in the field of high frequency financial econometrics. The first one is the measurement of market efficiency from high frequency data, within an information theory framework. The study of this topic is performed with an analytical and empirical combined approach. The second topic is that of financial market systemic instabilities at high frequency level and is analysed mainly with an empirical and modelling approach. [...]
6-apr-2017
SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI EFINANZIARIE
Matematica
financial market systemic instabilities
high frequency financial econometrics
Mathematics
mathematics for industrial technologies
measurement of market efficiency
quantitative finance
Scuola Normale Superiore
Marmi, Stefano
Corsi, Fulvio
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Descrizione: doctoral thesis full text
Tipologia: Tesi PhD
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/85719
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