We review applications, published in three separate papers, of a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to less noisy estimates than the traditional methodologies proposed so far.
We use the theory of complex networks in order to quantitatively characterize the structure of reciprocal expositions
of Italian banks in the interbank money market market. We observe two main different strategies of
banks: small banks tend to be the lender of the system, while large banks are borrowers. We propose a model
to reproduce the main statistical features of this market. Moreover the network analysis allows us to investigate
properties of robustness of this system.
Conference Committee Involvement (1)
Noise and Stochastics in Complex Systems and Finance