Events

Marko Weber, “Dynamic Trading Volume”, November 6, 2012
Tuesday November 6 2012 13:00 Scuola Normale Superiore Aula Bianchi Marko Weber Dublin City University and Scuola Normale Superiore Pisa Abstract We derive the process followed by trading volume, in…
Bence Toth, “Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets”, July 24, 2012
Tuesday July 24 2012 12:00 Scuola Normale Superiore Aula Bianchi Bence Toth Capital Fund Management, Paris, France Abstract We propose a dynamical theory of market liquidity that predicts that the…
James G. M. Gatheral, “Arbitrage-free SVI volatility surfaces”, July 18, 2012
Wednesday July 18 2012 13:00 Scuola Normale Superiore Aula 2 James G. M. Gatheral Baruch College, The City University of New York Abstract In this talk we motivate the widely-used…
James G. M. Gatheral, “Optimal Order Execution”, July 13, 2012
Friday July 13 2012 11:30 Scuola Normale Superiore Aula Bianchi James G. M. Gatheral Baruch College, The City University of New York Abstract We review various models of market impact.…
Enrico Scalas, “Intraday Option Pricing”, June 19, 2012
Tuesday June 19 2012 11:00 Scuola Normale Superiore Aula Bianchi Enrico Scalas DISIT, Università del Piemonte Orientale and Basque Center for Applied Mathematics, Bilbao Abstract A stochastic model for pure-jump diffusion…

Frontiers in High-Frequency Financial Econometrics 2018, March 23, 2018
https://www.hffe2018sns.com/
XVII Workshop on Quantitative Finance, June 22, 2015
The quantitative finance group of the Scuola Normale Superiore will host the XVII Workshop on Quantitative Finance. The workshop will take place on January, 28-29, 2016 in Pisa at Scuola…
Symposium on return predictability in stock and real estate markets, June 6, 2014
Program:
Quantitative Approaches to Risk Assessment and Investment Transparency, December 12, 2011
Monday December 12 2011 10.45 - 17.00 Sala Stemmi Scuola Normale Superiore - Pisa 10:45 Registration 11:00 Opening address Book Presentation: A Quantitative Framework to Assess the Risk- Reward Profile of…
L’instabilità dei mercati finanziari: il flash crash un anno dopo., May 11, 2011
Wednesday May 11 2011 13:00 Scuola Normale Superiore Aula Bianchi Stefano Marmi Scuola Normale Superiore, Pisa 6 maggio 2010: l'effetto farfalla si abbatte sul ping pong del trading ad alta…

Jean-Philippe Bouchaud, “An introduction to Statistical Phy-nance”, April 13, 2011
Wednesday April 13 2011, 14.00 - 16.00 Aula Dini Thursday April 14 2011, 14.00 - 16.00 Aula Dini Friday April 15 2011, 11.00 - 13.00 Aula Fermi Scuola Normale Superiore Jean-Philippe Bouchaud Science…
Sylvain Arlot, “Advanced Course on Statistics”, February 14, 2011
Monday February 14 2011, 14.00 - 16.00 Aula Bianchi Tuesday February 15 2011, 9.00 - 11.00 Aula Fermi Thursday February 17 2011, 14.00 - 16.00 Aula Fermi Tuesday February 22 2011, 14.00 - 16.00…

Quantitative Finance Research Group