XVII Workshop on Quantitative Finance -- Session on LIQUIDITY, VOLATILITY AND TRADING I (Sala Azzurra)
Parallel Sessions
28 January 2016 - 28 January 2016Current List of Participants (See Documents)
Emmanuel Bacry
Communication: The role of volume in order book dynamics: a multivariate Hawkes process analysis
Kim Christensen
Communication: The Drift Burst Hypothesis
Peter Gruber
Communication: The Price of the Smile and Variance Risk Premia
Fabrizio Lillo
Scuola Normale Superiore, PisaCommunication: The role of volume in order book dynamics: a multivariate Hawkes process analysis
Marcello Rambaldi
Scuola Normale Superiore, PisaCommunication: The role of volume in order book dynamics: a multivariate Hawkes process analysis
Roberto Renò
Communication: The Drift Burst Hypothesis
Matthias Saerens
Communication: Commonality in High-Frequency Trading
Claudio Tebaldi
Politecnico di TorinoCommunication: The Price of the Smile and Variance Risk Premia
Fabio Trojani
Communication: The Price of the Smile and Variance Risk Premia
Cynthia van Hulle
Communication: Commonality in High-Frequency Trading