The paper econometrically analyzes financial market manipulation. The method (following Minenna, 2005; Comerton-Forde and Putŋinš, 2011) estimates, through ARIMA(1,1,q) models, expected values of key variables (e.g. returns, volume, static and dynamic market concentration), verifying whether they lay between estimated confidence intervals, prompting “alert” in the opposite case. We consider FIAT stock manipulation as case study, in which Consob has verified (ex post) abnormal return on April 6, 2001.
LA MANIPOLAZIONE DEI MERCATI FINANZIARI: TECNICA DI ANALISI E IL CASO FIAT
Busato Francesco
;CARRATU', MARIA
2017-01-01
Abstract
The paper econometrically analyzes financial market manipulation. The method (following Minenna, 2005; Comerton-Forde and Putŋinš, 2011) estimates, through ARIMA(1,1,q) models, expected values of key variables (e.g. returns, volume, static and dynamic market concentration), verifying whether they lay between estimated confidence intervals, prompting “alert” in the opposite case. We consider FIAT stock manipulation as case study, in which Consob has verified (ex post) abnormal return on April 6, 2001.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
