Financial Economics Research Group
The group's research covers a number of areas in Financial Economics including Financial Econometrics, Asset Pricing, Corporate Finance, Financial Macroeconomics, Financial Stability, Market Microstructure, Real Options Analysis, Financial Mathematics and Computational Finance (Agent Based Modelling). The group has produced over 30 outputs in leading international journals and attracted over £500,000 in research funding since 2008. The group is also involved in the running of the MSc in Financial Economics.
- Dr Alev Atak
- Dr Albert Banal-Estañol
- Professor Bruno Biais
- Dr Fulvio Corsi
- Dr Laura Delaney
- Professor Giulia Iori
- Professor Saqib Jafarey
- Professor Neelam Jain
- Dr James Porter (Post-Doctoral Fellow)
Asena Temizsoy (Supervisors: G. Iori, G. Montes-Rojas)
February 2014 - Polina Kovaleva (Mainsupervisor: G. Iori Co-supervisor: L. Delaney). Thesis: ‘Trading in electronic markets: The challenges of imperfect liquidity andreduced pre-trade transparency'.
July 2013 - Burcu Kaspar (Main supervisor: J. Olmo Co-supervisor: G. Iori). Thesis: 'The Effects of 2007/2008 Crisis on the CDS and Interbank Markets: Empirical Investigations'.
February 2011 - Vanessa Mattiussi (Supervisor: G. Iori). Thesis: 'Nonparametric Estimation of High-Frequency Volatility and Correlation Dynamics'.
2012-14 - Modelling Volatility with High-Frequency Financial Data: A New Approach. Awarded to Yang Zu. City University Pump-Priming Fund, £6,700.
2011-14 - Complexity based Research Initiative on Systematic Instabilities (CRISIS). Awarded to G. Iori (PI), S. Jafarey, A. Banal-Estañol. EU FP7-ICT €283,197.
2010-13 - Forecasting Financial Crises (FOC-II). Awarded to G. Iori (PI), S. Jafarey, A. Banal-Estañol. EU FP7-ICT €304,500.
2008 - Large Scale Correlation Analysis of Financial Data: Anomalous Diffusion and Continuous Time Random Walks. Awarded to G. Iori (PI). British Council, £3,940.
B. Biais, J. Hombert, P.O. Weill (2013) "Equilibrium Pricing and Trading Volume under Preference Uncertainty", Review of Economic Studies, forthcoming.
B. Biais, C. Bisiere, S. Pouget (2013) "Equilibrium Discovery and Preopening Mechanisms in an Experimental Market", Management Science, forthcoming.
F. Corsi, S. Peluso, F. Audrino (2013) "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation", Journal of Applied Econometrics, forthcoming.
F. Audrino, F. Corsi, K. Filipova (2013) "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators", Econometric Reviews, forthcoming.
A. Saichev, D. Sornette, V. Filimonov, F. Corsi (2013) "Homogenous Volatility Bridge Estimators", Quantitative Finance, forthcoming.
F. Corsi, N. Fusari, D. La Vecchia (2013) "Realizing Smiles: Pricing Options with Realized Volatility", Journal of Financial Economics, Volume 107, Issue 2, February 2013, pp. 284-304.
F. Corsi, R. Reno (2012) "Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling", Journal of Business and Economic Statistics, Volume 30, Issue 3, 2012, pp. 368-80.
F. Corsi, F. Audrino (2012) "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects", Journal of Financial Econometrics, Volume 10, Issue 4, April 2012, pp. 591-616.
G. Tedeschi, G. Iori, M. Gallegati (2012) "Herding Effects in Order Driven Markets: The Rise and Fall of the Gurus", Journal of Economic Behaviour and Organisation, Volume 81, pp. 82-96.
F. Corsi, F. Audrino, R. Reno (2011) "HAR Modeling for Realized Volatility Forecasting", Chapter in Handbook in Financial Engineering and Econometrics: Volatility Models and their Applications, by L. Bauwens, C. Hafner, S. Laurent.
B. Biais, T. Mariotti, J.C. Rochet, S. Villeneuve (2010) "Large Risks, Limited Liability and Dynamic Moral Hazard", Econometrics, Volume 78, Issue 1, January 2010, pp. 73-118.
B. Biais, P. Bossaerts, C. Spatt (2010) "Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information", The Review of Financial Studies, Volume 23, Issue 4, pp. 1503-43.
F. Corsi, D. Pirino, R. Reno (2010) "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting", Journal of Econometrics, Volume 159, Issue 2, December 2010, pp. 276-88.
F. Audrino, F. Corsi (2010) "Modelling Tick-by-Tick Realized Correlations", Computational Statistics and Data Analysis, Volume 54, Issue 11, 1 November 2010, pp. 2372-82.
F. Corsi (2009) "A Simple Approximate Long Memory Model of Realized Volatility", Journal of Financial Econometrics, Volume 7, Issue 2, February 2009, pp. 174-96.
B. Biais, T. Mariotti (2009) "Credit, Wages and Bankruptcy Laws", Journal of the European Economic Association, Volume 7, Issue 5, September 2009, pp. 939-73.
B. Biais, M. Weber (2009) "Hindsight Bias, Risk Perception and Investment Performance", Management Science, Volume 55, Issue 6, June 2009, pp. 1018-29.
S. Bianco, F. Corsi, R. Reno (2009) "Intraday LeBaron effects", Proceedings of National Academy of Sciences of United States of America (PNAS), Volume 106, Issue 28, 29 June 2009, pp.11439-43.
C. Chiarella, G. Iori, J. Perello (2009) "The Impact of Hetergenous Trading Rules on the Limit Order Book and Order Flows", Journal of Economic Dynamics and Control, Volume 33, Issue 3, March 2009, pp. 525-37.
G. Tedeschi, G. Iori, M. Gallegati (2009) "The Role of Communication and Imitation in Limit Order Markets", Eur. Phys. J. B, 1, pp.489-97.
B. Biais, E. Perotti (2008) "Entrepreneurs and New Ideas", RAND Journal of Economics, Volume 39, Issue 4, Winter 2008, pp.1105-25.
F. Corsi, S. Mittnik, C. Pigorsch, U. Pigorsch (2008) "The Volatility of Realized Volatility", Econometric Reviews, Volume 27, Issue 1, January 2008, pp.46-78.
R. Carvalho, G. Iori (2008) "Socio-Economic Networks with Long-Range Interactions", Phys. Rev., E 78, 016110.
G. Iori, G. de Masi, O. Precup, G. Gabbi, G. Caldarelli (2008) "A Network Analysis of the Italian Overnight Money Market", Journal of Economic Dynamics and Control, 32, pp.259-78.
G. Iori, C. Deissenberg, " An analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures" in E.J. Konotghiorghes, B. Rustem & P. Winker (Eds.) Computational Methods in Financial Engineering, Springer, Heidelberg, 2008.
M. Jeannin, G. Iori, D. Samuel (2008) "The Pinning Effect: Theory and a Simulated Microstructure Model", Quantitative Finance, Volume 8, Issue 8, December 2008, pp.823-31.
V. Mattiussi, G. Ioro, "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis" in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008).
L. Delaney, Valuing Voluntary Disclosure with Competitive Interactions using a Real Options Approach.
L. Delaney, T. Gabrielli, Valuing a Real Estate Project with Uncertain Costs and Market Incompleteness.
L. Delaney, J.J.J Thiijssen, The Impact of Voluntary Disclosure on a Firm's Investment Policy.
G. Gabbi, G. Germano, V. Hatzopoulos, G. Iori, M. Politi, Market microstructure, banks' behaviour and interbank spreads.
V. Hatzopoulos, G. Iori, Information theoretic description of the e-Mid interbank market: implications for systemic risk.
V. Hatzopoulos, G. Iori, The topology of the e-Mid interbank market during the sub-prime crisis: implications for financial stability.
G. Iori, S. Lillywhite, M.O. Souza, J. Zubelli, Pricing Optionalities in Rig Lease Contracts.
G. Iori, J. Porter, Agent Based Modelling for Financial Markets, Chapter prepared for the Handbook on Computational Economics and Finance. Eds. S. Chen, M. Kaboudan, OUP, forthcoming.
P. Kovaleva, L. Delaney, The Effect of Opacity in a Double Auction Market.
P. Kovaleva, G. Iori, Optimal Trading Strategy in a Limit Order Market with Imperfect Liquidity.
V. Mattiussi, M. Tumminello, G. Iori, R. Mantegna, A comparison of volatility estimators via the Kullback-Leibler distance (submitted to Quantitative Finance).
N. Stamboglis, G. Iori, Modelling Relationship Lending in the Overnight Interbank Market.
A. Temisov, G. Iori, G. Montes-Rojas, The role of relationship lending on credit spreads in the e-Mid market.
Y. Zu, Nonparametric Specification Tests for Stochastic Volatility Models based on Volatility Density.
Y. Zu, P. Bowijk, Testing for Cointegration with Nonstationary Volatility.
Y. Zu, P. Bowijk, Estimating Spot Volatility with High Frequency Financial Data.
Y. Zu, P. Bowijk, Nonparametric Specification Tests for Stochastic Volatility Models based on Return Distributions.