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We empirically study the market impact of trading orders. We are speci cally interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed ba...
We propose and discuss some toy models of stock markets using the same operatorial approach adopted in quantum mechanics. Our models are suggested by the discrete nature of the number of shares and of...
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movem...
We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multi...
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Ge...
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...
In this paper we continue our systematic analysis of the operatorial approach previously proposed in an economical context and we discuss a mixed toy model of a simplified stock market, i.e. a model ...
In this paper we continue our descriptions of stock markets in terms of some non abelian operators which are used to describe the portfolio of the various traders and other observable quantities. Afte...
In this paper the contributions of economic and Önancial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the facto...

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