Unit I - Stylized facts in financial markets

Italian version

Lecturer: Rosario Nunzio Mantegna

We present a few basic stochastic models of log returns of price of a financial asset. Specifically, we discuss the Geometric Brownian motion, Lévy processes, Truncated Lévy processes and Multifractal models. The statistical properties of a few representative financial assets will be numerically estimated at different time horizons, including intraday time horizons. We also discuss the technological innovations that have characterized financial markets in the last twenty years with a special focus on high-frequency trading and algorithmic trading. We also present and discuss the ecology of market participants acting in a financial market by considering stylized facts observed for high frequency traders, institutional investors and individual investors. Some specializations of market members will also be presented. For these different classes of investors, some statistically recurring behavioral aspects will be investigated empirically.