Events

Cecilia Mancini, “Spot Volatility Estimation Using Delta Sequences”, May 7, 2012
Monday May 7 2012 13:00 Scuola Normale Superiore Aula Bianchi Cecilia Mancini Università di Firenze Abstract Work done in collaboration with V.Mattiussi and R.Renò. Download Flyer
Robert Almgren, “Quantitative Problems in Optimal Execution”, April 13, 2012
Friday April 13 2012 13:00 Scuola Normale Superiore Aula Bianchi Robert Almgren New York University and Quantitative Brokers Abstract Execution of large transactions so as to minimize market impact and…
Maria Elvira Mancino, “Fourier Volatility Estimation Method: Theory and Applications with High Frequency Data”, March 14, 2012
Wednesday March 14 2012 13.00 - 14.00 Scuola Normale Superiore Aula Bianchi Maria Elvira Mancino Università di Firenze Download Flyer Download Slides
Roberto Renò, “Price and Volatility Co-Jumps”, February 15, 2012
Wednesday February 15 2012 13:00 Scuola Normale Superiore Aula Bianchi Roberto Renò Università degli Studi di Siena Abstract A sizeable proportion of large, discontinuous, changes in asset prices are found…
Emmanuel Bacry, “Modelling Microstructure using Multivariate Hawkes Processes”, December 14, 2011
Wednesday December 14 2011 13:00 Scuola Normale Superiore Aula Bianchi Emmanuel Bacry Ecole Polytechnique Abstract Hawkes processes are used for modelling tick-by-tick variations of a single or of a pair of…

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