Concepedia

Michele Treccani

MT

6

Publications

282

Citations

6

H-Index

2004

Active since

Affiliations

Scuola Normale Superiore(Current)

University of Bologna

Santa Fe Institute

Michele Treccani is an author at Scuola Normale Superiore specializing in finance, business, and economics.

Top concepts

FinanceBusinessEconomicsAsset PricingFinancial EconomicsFinancial CrisisEconomic AnalysisQuantitative FinanceFinancial EngineeringMarket Microstructure

Publications per year

2004–2017

6

Publications

6

Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate

Elia Zarinelli, Michele Treccani, J. Doyne Farmer et al. · Market Microstructure and Liquidity · 2015 · 91 citations · Full text

Empirical Finance, Economic Inquiry, Us Equity Market +20

Modelling systemic price cojumps with Hawkes factor models

Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani et al. · Quantitative Finance · 2015 · 72 citations

Systemic Price Cojumps, High-frequency Cojumps, Financial Mathematics +16

Pricing financial derivatives with neural networks

Marco J. Morelli, G. Montagna, O. Nicrosini et al. · Physica A Statistical Mechanics and its Applications · 2004 · 36 citations · Full text

Computational Finance, Asset Pricing, Derivative Pricing +5

Collective synchronization and high frequency systemic instabilities in financial markets

Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani et al. · Quantitative Finance · 2017 · 34 citations · Full text

Large Price Movements, Financial Network Analysis, Time Series Econometrics +18

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti et al. · PLoS ONE · 2016 · 29 citations · Full text

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