Stochastic Phenomenological Modelling for High-Frequency Financial Data: A Survey of Results
Seminario online Stochastic Phenomenological Modelling for High-Frequency Financial Data: A Survey of Results Il Seminario, in modalità online, sarà fruibile al seguente link Zoom: https://uniroma1.zoom.us/j86128803817pwdQStzMzB0ZGJLWFc5Z3FWaUJ0L1Q1QT09 Abstract: Since 1998, I have been working on phenomenological stochastic models for high-frequency data in finance. I focused my attention on so-called tick-by-tick data. Prices of trades fluctuate randomly and trades are separated by random time intervals. Among all possible models, I shall present some simple stylised models related to the non-local operators of fractional calculus and I shall discuss their properties.
Prof. Enrico Scalas (University of Susse
15/06/2021 - 14:00