Tag

risk management

RP8: Order Books Dynamics and Announcement Effects during Financial Crisis (WP3)

Information arrivals are of particular interest in finance. This project studies how announcements are related to the fundamental order book process. The objective is to provide empirical evidence and to model the determinants of order book dynamics and information asymmetry around information shocks and during a financial crisis. Secondly, given that there are investors who […]

03.11.2016 Read more

RP13: Machine Learning Algorithms for Risk Management in Trading Activities (WP4)

The main objective is to develop a prototype framework for pricing and risk management using machine learning  algorithms and a large variety of heterogeneous and high-volume data, including tick-by-tick quotes of bond prices, market data underlying economic indicators (such as interest rates, foreign exchange rates, inflation rates, and commodity prices) and news feeds. This predictive analytics […]

03.11.2016 Read more