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Fabrizio Lillo

Full Professor

Department of Mathematics

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences


Keywords: Quantitative finance, High frequency finance Market microstructure Financial networks Systemic risk Financial econometrics Data science for economics and finance

1) Price formation mechanisms, market impact models, optimal execution, mathematical and statistical models of limit order book.

2) Financial networks and risk, systemic risk in the interbank market and due to liquidity crises, inference of static and dynamical models of networks.

3) High frequency dynamics of financial markets, high frequency trading, high frequency financial econometrics, Hawkes processes.

4) Data science for finance, unsupervised clustering methods and their statistical validation

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