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Publications (5)
Computational finance is one of the fields where machine learning and data mining have found in recent years a large application. Neverthless, there are still many open issues regarding the predictability of the stock market, and the possibility to build an automatic intelligent trader able to make forecasts on stock prices, and to develop a profit...
The paper analyses a case study of time lag in processing market-sensitive information with intraday data. On February 2011, the Italian Parliament approved the so called Milleproroghe decree issued by the Government which included, among others, a new important rule for banks transforming the deferred tax assets into tax credits. Although informat...
The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and stock indexes extends to this specific cross-country cas...
