Essec\Faculty\Model\Profile {#2190
#_id: "B00798674"
#_source: array:39 [
"bid" => "B00798674"
"academId" => "31545"
"slug" => "reno-roberto"
"fullName" => "Roberto RENO"
"lastName" => "RENO"
"firstName" => "Roberto"
"title" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"email" => "reno@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => ""
"sites" => []
"facNumber" => "31545"
"externalCvUrl" => "https://drive.google.com/file/d/1vKcfStKX0nDePEo7tlgk4ddOHLAeEemw/view"
"googleScholarUrl" => "https://scholar.google.it/citations?user=7YKv5-IAAAAJ&hl=it"
"facOrcId" => "https://orcid.org/0000-0002-1470-2420"
"career" => array:2 [
0 => Essec\Faculty\Model\CareerItem {#2195
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2023-01-02"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\CareerItem {#2189
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2023-09-01"
"endDate" => "2024-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "CO-Responsable DU MASTER IN DATA SCIENCES AND BUSINESS ANALYTICS"
"en" => "Academic co-director of ESSEC-CentraleSupélec Master in Data Sciences & Business Analytics"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"diplomes" => array:1 [
0 => Essec\Faculty\Model\Diplome {#2192
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2005"
"label" => array:2 [
"en" => "Doctor of Philosophy, Other, Finance"
"fr" => "Doctor of Philosophy, Autre, Finance"
]
"institution" => array:2 [
"fr" => "Scuola Normale Superiore"
"en" => "Scuola Normale Superiore"
]
"country" => array:2 [
"fr" => "Italie"
"en" => "Italy"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"bio" => array:2 [
"fr" => null
"en" => """
<p>Roberto Renò holds a PhD in Financial Mathematics at Scuola Normale Superiore in Pisa, Italy, and a Degree in Physics at the University of Pisa.</p>\n
\n
<p>He has been Visiting Professor at the Carey Business School at the Johns Hopkins University of Baltimore; Senior Fellow at Collegio Carlo Alberto, Turin; Fernand Braudel Fellow at the European University Institute in Florence; Visiting Professor at LUISS, Rome and IMT, Lucca; Professor at the University of Verona; Associate and Assistant Professor of Quantitative Finance at the University of Siena.</p>\n
\n
<p>His professional activity includes consultancy in the fields of interest rate modelling, time series forecasting, portfolio allocation and hedge fund strategies.</p>\n
\n
<p>His research focuses on various aspects of finance, with specific contributions in asset pricing, volatility modeling and forecasting, nonparametric statistics. He published more than 40 research papers on leading finance, economics, econometrics, mathematics and physics journals.</p>\n
"""
]
"department" => array:2 [
"fr" => "Systèmes d’information, sciences de la décision et statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"site" => array:2 [
"fr" => "https://sites.google.com/essec.edu/reno"
"en" => "https://sites.google.com/essec.edu/reno"
]
"industrrySectors" => array:2 [
"fr" => "Banques - Education"
"en" => "Banks - Education"
]
"researchFields" => array:2 [
"fr" => "Econométrie - Marchés financiers et institutions financières"
"en" => "Econometrics - Financial Markets & Institutions"
]
"teachingFields" => array:2 [
"fr" => "Econométrie - Marchés financiers et institutions financières - Mathématiques - Analyse des données statistiques"
"en" => "Econometrics - Financial Markets & Institutions - Mathematics - Statistical Data Analysis"
]
"distinctions" => []
"teaching" => []
"otherActivities" => array:2 [
0 => Essec\Faculty\Model\ExtraActivity {#2194
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2023-01-01"
"endDate" => null
"year" => null
"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Co-rédacteur en chef - Mathematical Finance"
"en" => "Associate Editor - Mathematical Finance"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\ExtraActivity {#2191
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2023-01-01"
"endDate" => null
"year" => null
"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Co-rédacteur en chef - Journal of Financial Econometrics"
"en" => "Associate Editor - Journal of Financial Econometrics"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"theses" => []
"indexedAt" => "2024-02-29T04:21:22.000Z"
"contributions" => array:17 [
0 => Essec\Faculty\Model\Contribution {#2193
#_index: "academ_contributions"
#_id: "13706"
#_source: array:18 [
"id" => "13706"
"slug" => "the-drift-burst-hypothesis"
"yearMonth" => "2022-04"
"year" => "2022"
"title" => "The drift burst hypothesis"
"description" => "CHRISTENSEN, K., OOMEN, R. et RENO, R. (2022). The drift burst hypothesis. <i>Journal of Econometrics</i>, 227(2), pp. 461-497."
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "CHRISTENSEN Kim"
]
2 => array:1 [
"name" => "OOMEN Roel"
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Flash crashes"
1 => "Gradual jumps"
2 => "Volatility bursts"
3 => "Liquidity"
4 => "Nonparametric statistics"
5 => "Microstructure noise"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1016/j.jeconom.2020.11.004"
"publicationInfo" => array:3 [
"pages" => "461-497"
"volume" => "227"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, elaborate on the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test and demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as “flash crashes.” The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes."
"en" => "The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, elaborate on the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test and demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as “flash crashes.” The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2197
#_index: "academ_contributions"
#_id: "13707"
#_source: array:18 [
"id" => "13707"
"slug" => "s-in-the-tails"
"yearMonth" => "2022-03"
"year" => "2022"
"title" => "ß in the tails"
"description" => "BANDI, F.M. et RENO, R. (2022). ß in the tails. <i>Journal of Econometrics</i>, 227(1), pp. 134-150."
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Hedge funds"
1 => "Diffusive risk -Jump risk"
2 => "Beta"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1016/j.jeconom.2020.06.006"
"publicationInfo" => array:3 [
"pages" => "134-150"
"volume" => "227"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and large market jump betas: when moving to the left tail of the market return distribution jump dynamics dominate continuous dynamics and the overall systematic risk of the fund is driven by the higher systematic risk associated with return discontinuities. Methodologically, the separation of continuous and discontinuous dynamics is conducted by exploiting the informational content of the high-order infinitesimal cross-moments of hedge-fund and market returns."
"en" => "Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and large market jump betas: when moving to the left tail of the market return distribution jump dynamics dominate continuous dynamics and the overall systematic risk of the fund is driven by the higher systematic risk associated with return discontinuities. Methodologically, the separation of continuous and discontinuous dynamics is conducted by exploiting the informational content of the high-order infinitesimal cross-moments of hedge-fund and market returns."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2199
#_index: "academ_contributions"
#_id: "13708"
#_source: array:18 [
"id" => "13708"
"slug" => "zeros"
"yearMonth" => "2020-08"
"year" => "2020"
"title" => "Zeros"
"description" => "BANDI, F.M., KOLOKOLOV, A., PIRINO, D. et RENO, R. (2020). Zeros. <i>Management Science</i>, 66(8), pp. 3466-3479."
"authors" => array:4 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
2 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
3 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "volume"
1 => "liquidity"
2 => "short-term options"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://pubsonline.informs.org/doi/10.1287/mnsc.2019.3527"
"publicationInfo" => array:3 [
"pages" => "3466-3479"
"volume" => "66"
"number" => "8"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Asset prices can be stale. We define price staleness as a lack of price adjustments yielding zero returns (i.e., zeros). The term idleness (respectively, near idleness) is, instead, used to define staleness when trading activity is absent (respectively, close to absent). Using statistical and pricing metrics, we show that zeros are a genuine economic phenomenon linked to the dynamics of trading volume and, therefore, liquidity. Zeros are, in general, not the result of institutional features, like price discreteness. In essence, spells of idleness or near idleness are stylized facts suggestive of a key, omitted market friction in the modeling of asset prices. We illustrate how accounting for this friction may generate sizable risk compensations in short-dated option returns."
"en" => "Asset prices can be stale. We define price staleness as a lack of price adjustments yielding zero returns (i.e., zeros). The term idleness (respectively, near idleness) is, instead, used to define staleness when trading activity is absent (respectively, close to absent). Using statistical and pricing metrics, we show that zeros are a genuine economic phenomenon linked to the dynamics of trading volume and, therefore, liquidity. Zeros are, in general, not the result of institutional features, like price discreteness. In essence, spells of idleness or near idleness are stylized facts suggestive of a key, omitted market friction in the modeling of asset prices. We illustrate how accounting for this friction may generate sizable risk compensations in short-dated option returns."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2196
#_index: "academ_contributions"
#_id: "13709"
#_source: array:18 [
"id" => "13709"
"slug" => "nonparametric-stochastic-volatility"
"yearMonth" => "2018-12"
"year" => "2018"
"title" => "Nonparametric Stochastic Volatility"
"description" => "BANDI, F.M. et RENO, R. (2018). Nonparametric Stochastic Volatility. <i>Econometric Theory</i>, 34(6), pp. 1207-1255."
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://www.cambridge.org/core/journals/econometric-theory/article/abs/nonparametric-stochastic-volatility/39ED05F9A99E2B731F9C663EE05B0750"
"publicationInfo" => array:3 [
"pages" => "1207-1255"
"volume" => "34"
"number" => "6"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and volatility with possibly state-dependent jump intensities, among other features. In the first stage, we identify spot volatility by virtue of jump-robust nonparametric estimates. Using observed prices and estimated spot volatilities, the second stage extracts the functions and parameters driving price and volatility dynamics from nonparametric estimates of the bivariate process’ infinitesimal moments. For these infinitesimal moment estimates, we report an asymptotic theory relying on joint in-fill and long-span arguments which yields consistency and weak convergence under mild assumptions."
"en" => "We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and volatility with possibly state-dependent jump intensities, among other features. In the first stage, we identify spot volatility by virtue of jump-robust nonparametric estimates. Using observed prices and estimated spot volatilities, the second stage extracts the functions and parameters driving price and volatility dynamics from nonparametric estimates of the bivariate process’ infinitesimal moments. For these infinitesimal moment estimates, we report an asymptotic theory relying on joint in-fill and long-span arguments which yields consistency and weak convergence under mild assumptions."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2200
#_index: "academ_contributions"
#_id: "13710"
#_source: array:18 [
"id" => "13710"
"slug" => "smiling-twice-the-heston-model"
"yearMonth" => "2018-11"
"year" => "2018"
"title" => "Smiling twice: The Heston++ model"
"description" => "PACATI, C., POMPA, G. et RENO, R. (2018). Smiling twice: The Heston++ model. <i>Journal of Banking & Finance</i>, 96, pp. 185-206."
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "PACATI Claudio"
]
2 => array:1 [
"name" => "POMPA Gabriele"
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "VIX options"
1 => "VIX futures"
2 => "Heston model"
3 => "Stochastic volatility"
4 => "Jump-diffusion"
5 => "Displacement"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1016/j.jbankfin.2018.08.010"
"publicationInfo" => array:3 [
"pages" => "185-206"
"volume" => "96"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled Heston++, calibrates both markets with an average relative error (on quoted implied volatilities over two years of data) of 2%, and a maximum relative error of 4%, without additional computational costs with respect to traditional affine benchmarks. Hedging performance on both markets is also drastically improved. The displacement can be interpreted as a volatility push-up reflecting expectations about a (risk-neutral) lower bound on forward VIX dynamics. Our empirical results document substantial correlation between the dynamics of the displacement and the variance risk premium, and still provide strong support for the presence of both price/volatility negatively correlated co-jumps and idiosyncratic jumps in the volatility dynamics, even when the displacement is added."
"en" => "We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled Heston++, calibrates both markets with an average relative error (on quoted implied volatilities over two years of data) of 2%, and a maximum relative error of 4%, without additional computational costs with respect to traditional affine benchmarks. Hedging performance on both markets is also drastically improved. The displacement can be interpreted as a volatility push-up reflecting expectations about a (risk-neutral) lower bound on forward VIX dynamics. Our empirical results document substantial correlation between the dynamics of the displacement and the variance risk premium, and still provide strong support for the presence of both price/volatility negatively correlated co-jumps and idiosyncratic jumps in the volatility dynamics, even when the displacement is added."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#1845
#_index: "academ_contributions"
#_id: "13711"
#_source: array:18 [
"id" => "13711"
"slug" => "optimal-portfolio-allocation-with-volatility-and-co-jump-risk-that-markowitz-would-like"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like"
"description" => "OLIVA, I. et RENO, R. (2018). Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. <i>Journal of Economic Dynamics and Control</i>, 94, pp. 242-256."
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "OLIVA I."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Asset allocation"
1 => "Stochastic volatility"
2 => "Co-jumps"
3 => "Wishart process"
4 => "Dynamic programming"
5 => "Hedge funds"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1016/j.jedc.2018.05.004"
"publicationInfo" => array:3 [
"pages" => "242-256"
"volume" => "94"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix). The optimal portfolio weights that solve the dynamic programming problem are genuinely dynamic and proportional to the instantaneous co-precision, reconciling optimal dynamic allocation with the static Markowitz-type economic intuition. An application to the optimal allocation problem across hedge fund investment styles illustrates the importance of having jumps in volatility associated with jumps in price."
"en" => "We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix). The optimal portfolio weights that solve the dynamic programming problem are genuinely dynamic and proportional to the instantaneous co-precision, reconciling optimal dynamic allocation with the static Markowitz-type economic intuition. An application to the optimal allocation problem across hedge fund investment styles illustrates the importance of having jumps in volatility associated with jumps in price."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2198
#_index: "academ_contributions"
#_id: "13712"
#_source: array:18 [
"id" => "13712"
"slug" => "efficient-multipowers"
"yearMonth" => "2018-06"
"year" => "2018"
"title" => "Efficient Multipowers"
"description" => "KOLOKOLOV, A. et RENO, R. (2018). Efficient Multipowers. <i>Journal of Financial Econometrics</i>, 16(4), pp. 629-659."
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Financial markets"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1093/jjfinec/nbx018"
"publicationInfo" => array:3 [
"pages" => "629-659"
"volume" => "16"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to traditional estimators. In the case of quarticity, we also prove that the optimal combination is a nearly efficient estimator, being arbitrarily close to the nonparametric efficiency bound as the number of consecutive returns employed diverges. We provide guidance on how to select the optimal number of consecutive returns to minimize mean square error. The implementation on U.S. stock prices corroborates our theoretical findings and further shows that our proposed quarticity estimator noticeably reduces the number of detected jumps, and improves the quality of volatility forecasts."
"en" => "Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to traditional estimators. In the case of quarticity, we also prove that the optimal combination is a nearly efficient estimator, being arbitrarily close to the nonparametric efficiency bound as the number of consecutive returns employed diverges. We provide guidance on how to select the optimal number of consecutive returns to minimize mean square error. The implementation on U.S. stock prices corroborates our theoretical findings and further shows that our proposed quarticity estimator noticeably reduces the number of detected jumps, and improves the quality of volatility forecasts."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2201
#_index: "academ_contributions"
#_id: "13817"
#_source: array:18 [
"id" => "13817"
"slug" => "excess-idle-time"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "EXcess Idle Time"
"description" => "BANDI, F.M., PIRINO, D. et RENO, R. (2017). EXcess Idle Time. <i>Econometrica</i>, 85(6), pp. 1793-1846."
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
2 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-03-29 12:08:09"
"publicationUrl" => "https://doi.org/10.3982/ECTA13595"
"publicationInfo" => array:3 [
"pages" => "1793-1846"
"volume" => "85"
"number" => "6"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous-time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information."
"en" => "We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous-time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2202
#_index: "academ_contributions"
#_id: "13935"
#_source: array:18 [
"id" => "13935"
"slug" => "keynote-discontinuous-trading-in-continuous-time-econometrics"
"yearMonth" => "2023-03"
"year" => "2023"
"title" => "[Keynote] Discontinuous trading in continuous-time econometrics"
"description" => "BANDI, F.M., KOLOKOLOV, A., PIRINO, D. et RENO, R. (2023). [Keynote] Discontinuous trading in continuous-time econometrics. Dans: SH3 Conference on Econometrics 2023. Singapore (online)."
"authors" => array:4 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
2 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
3 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => "SH3 Conference on Econometrics 2023"
"keywords" => array:5 [
0 => "Trade intermittency"
1 => "random durations"
2 => "liquidity"
3 => "skewness"
4 => "kurtosis"
]
"updatedAt" => "2023-03-30 01:00:39"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Invité dans une conférence académique (Keynote speaker)"
"en" => "Invited speaker at an academic conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized moments, and the inflated asymptotic variances of even and odd realized moments, as a function of a single easily-estimable quantity capturing trade inaction. Under explicit random sampling and on continuous trajectories, we further show how all moments are, instead, asymptotically-unbiased with asymptotic variances which continue to be closed-form functions of the degree of trade inaction. We also document how a combination of thresholding and explicit random sampling leads, on discontinuous trajectories, to asymptotically-unbiased separation of continuous and discontinuous variation of all orders. Using the valuation of a vast cross section of individual stocks as an economic metric, we show that accounting for the theoretical interplay between trade intermittency and the statistical properties of realized moments is revealing about the pricing of illiquidity, skewness and kurtosis, the subjects of extensive literatures."
"en" => "Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized moments, and the inflated asymptotic variances of even and odd realized moments, as a function of a single easily-estimable quantity capturing trade inaction. Under explicit random sampling and on continuous trajectories, we further show how all moments are, instead, asymptotically-unbiased with asymptotic variances which continue to be closed-form functions of the degree of trade inaction. We also document how a combination of thresholding and explicit random sampling leads, on discontinuous trajectories, to asymptotically-unbiased separation of continuous and discontinuous variation of all orders. Using the valuation of a vast cross section of individual stocks as an economic metric, we show that accounting for the theoretical interplay between trade intermittency and the statistical properties of realized moments is revealing about the pricing of illiquidity, skewness and kurtosis, the subjects of extensive literatures."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2203
#_index: "academ_contributions"
#_id: "13955"
#_source: array:18 [
"id" => "13955"
"slug" => "bumvu-estimators"
"yearMonth" => "2023-03"
"year" => "2023"
"title" => "BUMVU Estimators"
"description" => "RENO, R. (2023). BUMVU Estimators. Dans: Bolzano - Waseda Workshop in Statistics and Time Series Analysis. Selva di Val Gardena."
"authors" => array:1 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
]
"ouvrage" => "Bolzano - Waseda Workshop in Statistics and Time Series Analysis"
"keywords" => []
"updatedAt" => "2023-04-17 10:11:50"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Invité dans une conférence académique (Keynote speaker)"
"en" => "Invited speaker at an academic conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2204
#_index: "academ_contributions"
#_id: "13999"
#_source: array:18 [
"id" => "13999"
"slug" => "bumvu-estimators"
"yearMonth" => "2023-05"
"year" => "2023"
"title" => "BUMVU Estimators"
"description" => "RENO, R. (2023). BUMVU Estimators. Dans: Barcelona Workshop in Financial Econometrics. Barcelona."
"authors" => array:1 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
]
"ouvrage" => "Barcelona Workshop in Financial Econometrics"
"keywords" => []
"updatedAt" => "2023-05-26 01:00:39"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Invité dans une conférence académique (Keynote speaker)"
"en" => "Invited speaker at an academic conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2205
#_index: "academ_contributions"
#_id: "14052"
#_source: array:18 [
"id" => "14052"
"slug" => "jumps-or-staleness"
"yearMonth" => "2023-06"
"year" => "2023"
"title" => "Jumps or Staleness?"
"description" => "KOLOKOLOV, A. et RENO, R. (2023). Jumps or Staleness? <i>Journal of Business and Economic Statistics</i>, In press."
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Jump activity index"
1 => "Jump testing"
2 => "Multipower variation"
3 => "Staleness"
]
"updatedAt" => "2023-06-23 10:18:47"
"publicationUrl" => "https://doi.org/10.1080/07350015.2023.2203207"
"publicationInfo" => array:3 [
"pages" => ""
"volume" => "In press"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to reappraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is actually shown to be an artifact due to staleness."
"en" => "Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to reappraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is actually shown to be an artifact due to staleness."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2206
#_index: "academ_contributions"
#_id: "14072"
#_source: array:18 [
"id" => "14072"
"slug" => "realized-drift"
"yearMonth" => "2023-06"
"year" => "2023"
"title" => "Realized Drift"
"description" => "RENO, R. (2023). Realized Drift. Dans: Volatility Conference 2023 - School of Economics at Singapore Management University. Singapore."
"authors" => array:1 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
]
"ouvrage" => "Volatility Conference 2023 - School of Economics at Singapore Management University"
"keywords" => []
"updatedAt" => "2023-06-27 11:38:31"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2207
#_index: "academ_contributions"
#_id: "14359"
#_source: array:18 [
"id" => "14359"
"slug" => "taking-advantage-of-biased-proxies-for-forecast-evaluation"
"yearMonth" => "2023-09"
"year" => "2023"
"title" => "Taking Advantage of Biased Proxies for Forecast Evaluation"
"description" => """
RENO, R., BUCCHERI, G. et VOCALELLI, G. (2023). Taking Advantage of Biased Proxies for Forecast Evaluation. Dans: XLVII Annual Meeting of the Italian Association for Mathematics Applied to\r\n
Social and Economic Sciences. Milan.
"""
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BUCCHERI G"
]
2 => array:1 [
"name" => "VOCALELLI G"
]
]
"ouvrage" => """
XLVII Annual Meeting of the Italian Association for Mathematics Applied to\r\n
Social and Economic Sciences
"""
"keywords" => []
"updatedAt" => "2023-09-27 01:00:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2208
#_index: "academ_contributions"
#_id: "14422"
#_source: array:18 [
"id" => "14422"
"slug" => "taking-advantage-of-biased-proxies-for-forecast-evaluation"
"yearMonth" => "2023-04"
"year" => "2023"
"title" => "Taking Advantage of Biased Proxies for Forecast Evaluation"
"description" => "RENO, R., BUCCHERI, G. et VOCALELLI, G. (2023). Taking Advantage of Biased Proxies for Forecast Evaluation. Dans: 10th Days of Econometrics for Finance (JEF) 2023. Rabat."
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BUCCHERI G"
]
2 => array:1 [
"name" => "VOCALELLI G"
]
]
"ouvrage" => "10th Days of Econometrics for Finance (JEF) 2023"
"keywords" => []
"updatedAt" => "2023-09-27 01:00:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2209
#_index: "academ_contributions"
#_id: "14423"
#_source: array:18 [
"id" => "14423"
"slug" => "discontinuous-trading-in-continuous-time-econometrics"
"yearMonth" => "2023-04"
"year" => "2023"
"title" => "Discontinuous trading in continuous-time econometrics"
"description" => "RENO, R., BANDI, F.M., KOLOKOLOV, A. et PIRINO, D. (2023). Discontinuous trading in continuous-time econometrics. Dans: 2023 Bolzano - Waseda Workshop on Statistics and Time Series Analysis. Selva di Val Gardena."
"authors" => array:4 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M"
]
2 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
3 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => "2023 Bolzano - Waseda Workshop on Statistics and Time Series Analysis"
"keywords" => []
"updatedAt" => "2023-09-27 01:00:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2210
#_index: "academ_contributions"
#_id: "14479"
#_source: array:18 [
"id" => "14479"
"slug" => "systematic-staleness"
"yearMonth" => "2024-01"
"year" => "2024"
"title" => "Systematic Staleness"
"description" => "BANDI, F.M., PIRINO, D. et RENO, R. (2024). Systematic Staleness. <i>Journal of Econometrics</i>, 288(1), pp. 105522."
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
2 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Systematic staleness"
1 => "Idiosyncratic staleness"
2 => "Liquidity"
3 => "Joint asymptotics"
]
"updatedAt" => "2024-01-12 13:41:56"
"publicationUrl" => "https://doi.org/10.1016/j.jeconom.2023.105522"
"publicationInfo" => array:3 [
"pages" => "105522"
"volume" => "288"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics."
"en" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-29T04:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 6.3142724
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}
]
"avatar" => "https://faculty.essec.edu/wp-content/uploads/avatars/B00798674.jpg"
"contributionCounts" => 17
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0 => "<a href="https://orcid.org/0000-0002-1470-2420" target="_blank">ORCID</a>"
1 => "<a href="https://scholar.google.it/citations?user=7YKv5-IAAAAJ&hl=it" target="_blank">Google scholar</a>"
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"docTitle" => "Roberto RENO"
"docSubtitle" => "Professor"
"docDescription" => "Department: Information Systems, Decision Sciences and Statistics<br>Campus de Cergy"
"docType" => "cv"
"docPreview" => "<img src="https://faculty.essec.edu/wp-content/uploads/avatars/B00798674.jpg"><span><span>Roberto RENO</span><span>B00798674</span></span>"
]
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}