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<p class="" style="text-align:center"><span style="font-size:16pt;font-family:'Times New Roman',serif">seminari di finanza quantitativa</span></p>
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<h2 style="text-align:center"><span style="font-family:'Times New Roman',serif">Venerdì
20 marzo 2015</span></h2>
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<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><u><span style="font-size:16pt;font-family:'Times New Roman',serif">Scuola Normale Superiore</span></u></p>
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(Scienze)</span></p>
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<p class="MsoNormal" align="center" style="text-align:center"><b><span style="font-size:22pt;font-family:'Times New Roman',serif">Roberto Renò</span></b></p>
<pre style="text-align:center"><i><span style="font-size:12pt;font-family:'Times New Roman',serif;background-image:initial;background-repeat:initial">Dipartimento di Economia Politica e Statistica, Università di Siena</span></i><i><span style="font-size:12pt;font-family:'Times New Roman',serif"></span></i></pre>
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<p class="MsoNormal" align="center" style="text-align:center"><span style="font-size:16pt;font-family:'Times New Roman',serif">Terrà un
seminario dal titolo:</span></p>
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<pre style="text-align:center"><b><i><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif">“</span></i></b><b><span style="font-size:22pt;font-family:'Times New Roman',serif;background-image:initial;background-repeat:initial">Multi-jumps</span></b><b><i><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif">”</span></i></b></pre><pre style="text-align:center"><b><span lang="EN-US" style="font-family:'Times New Roman',serif"> </span></b></pre>
<p class="MsoNormal" style="text-align:justify"><b><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif">Abstract:</span></i></b></p>
<p class="MsoNormal" style="text-align:justify;background-image:initial;background-repeat:initial"><i><span lang="EN-US"><font face="arial, helvetica, sans-serif">The simultaneous occurrence of jumps in
several stocks (multi-jumps) can be associated to major nancial news, is
correlated with sudden spikes of the variance risk premium, and determines
an increase in the stock variances and correlations which signicantly deteriorates
the diversication potential of asset allocation. The latter evidence
implies a reduction in the demand of stocks by an aware risk-averse
investor. These facts can be easily overlooked by the usage of standard
univariate jump statistics, which just lack sucient power. They are instead
revealed in a clearly cut way by using a novel test based on smoothed
estimators of the integrated variance ofindividual stocks.</font></span></i></p>
<p class="MsoNormal" style="text-align:justify;background-image:initial;background-repeat:initial"><i><span lang="EN-US"><font face="arial, helvetica, sans-serif"> </font></span></i></p>
<p class="MsoNormal" style="text-align:justify;background-image:initial;background-repeat:initial"><span lang="EN-US"><font face="arial, helvetica, sans-serif"><b>Joint work with Massimiliano Caporin and Aleksey
Kolokolov.</b></font></span></p>
<p class="MsoNormal" style="text-align:justify"><span lang="EN-US" style="font-size:16pt"><font face="arial, helvetica, sans-serif"><b> </b></font></span></p>
<p class="MsoNormal" style="text-align:justify"><span lang="EN-US" style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>
<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:'Times New Roman',serif">Tutti gli interessati sono invitati a
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<p class=""><span style="font-size:16pt;font-family:'Times New Roman',serif">Classe di Scienze
Matematiche e Naturali</span></p>
<p class=""><span style="font-size:18pt;font-family:'Times New Roman',serif"> </span></p><div><div class="gmail_signature"><div dir="ltr"><div>Valeria Giuliani</div><div>Scuola Normale Superiore</div><div>Servizio alla Didattica e Allievi</div><div>tel. 050 509260</div><div>Piazza dei Cavalieri, 7</div><div>56126 Pisa</div><div>E-mail: <a href="mailto:valeria.giuliani@sns.it" target="_blank">valeria.giuliani@sns.it</a></div><div>E-mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a></div></div></div></div>
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