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Company:Imperial College London
Location:London
Home Page:lorenzolucchese.com
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The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.
Signature-based multi-modal (image, video and audio) classifier.
Multivariate Continuous-time AutoRegressive (MCAR) processes: Estimation and Inference.
Tail Risk Management: an Extreme Value Theory Framework with High Frequency Data.