Research

My research interests are on three main themes:

• Volatility and Price Jumps Modelling Using High-Frequency Intra-day Data

• The Role of Information Asymmetry in Financial Markets and How to Deal with It

• Linear Hawkes Model and Related Models/Issues

Key words: Financial Markets, High-frequency Data, Stochastic Volatility, Price Jumps, Hawkes Process, Financial Statistics, Information Asymmetry