Luca Bagato

Author's titles

A Reflexivity-Volatility Based Risk Assessment Tool digital

by Luca Bagato, Alessio Gioia, Enrico Mandelli

Year: 2022

This study introduces a new automated approach we have called the “volaxivity algorithm” to detect risk-on and risk-off signals across several asset classes, starting from observing the relevant volatility indices. The algorithm is based on the definition and construction of a new set of risk sentiment indices discussed in this paper, including the “volaxivity index”...

€ 6.00

Reflexivity and Interactions in Modern Financial Markets: the Case of Volatility Indices digital

by Luca Bagato, Alessio Gioia, Enrico Mandelli

Year: 2018

Reflexivity Theory rejects the basic assumption of the classical theory that financial markets totally and instantaneously absorb the information flow expressing an equilibrium price for each asset class. In this study we empirically investigate the presence of Reflexivity among Volatility Indices, Equity Indices and other economic and financial indicators, such as the US Economic Policy Uncertainty Index...

€ 6.00