Prof. Roberto Renò
ESSEC Business School
ESSEC Business School
VITA
Roberto Renò is Professor at the IDS Department (Information Systems, Decision Sciences and Statistics) at ESSEC Business School.
Formerly, he was Visiting Professor at Carey Business School, Johns Hopkins University, Baltimore; Senior Fellow at Collegio Carlo Alberto, Turin; Fernand Braudel Fellow at the European University Institute, Florence; Full Professor at the University of Verona; Associate and Assistant Professor at the University of Siena, Visiting Professor at LUISS, Rome and Visiting Professor IMT, Lucca.
He holds a PhD in Financial Mathematics at Scuola Normale Superiore in Pisa, and a Master in Physics at the University of Pisa.
His research focuses on various aspects of econometrics and finance, with specific contributions to asset pricing, high frequency financial econometrics, nonparametric statistics.
He published research papers on leading finance, economics, econometrics, mathematics and physics journals.
NEWS
September 5, 2024
Presentation at Amases 2024, Ischia, Italy: "0DTE Option Pricing".July 1, 2024
The new data repository CAPIRE is now online! Check it out.June 16, 2024
Happy to announce that the 17th SoFie Meeting will take place in ESSEC Business School from 9 to 12 June 2025!June 13-16, 2024
Presentation at 16th SoFiE Meeting, Rio de Janeiro, Brazil: "Local Edgeworth Expansion".
Also discussing the paper of Caio Almeida, Maria Grith, Ratmir Miftachov and Zijin Wang: "Risk Premia in the Bitcoin Market"June 8, 2024
Presentation at IAAE 2024, Xiamen, China: "Taking advantage of biased proxies for volatility forecasting"May 31, 2024
Invited speaker at the Financial Econometrics Conference at the Janeway Institute, Trinity College Cambridge
Talk: "0DTE Option Pricing"May 16, 2024
Invited speaker at the Toulouse Financial Econometrics Conference
Talk: "Taking advantage of biased proxies for forecast evaluation"
Also discussing the paper of Carsten Chong and Viktor Todorov: "The fine structure of volatility dynamics"May 9, 2024
Seminar at University of Siena, "0DTE Option Pricing"April 22, 2024
Invited speaker at the Machine Learning and High-Dimensional Analysis workshop, LAMBDA research cluster, University of Liverpool.
Talk: "How to detect trend in high frequency data"April 5, 2024
Presentation at MAF2024, Le Havre: "0DTE Option Pricing"March 21, 2024
Presentation at the 31st SNDE Annual Symposium, Padova (Italy): "Do Designated Market Makers Provide Liquidity During Extreme Price Movements?"March 18, 2024
Seminar at SKEMA, Paris, "0DTE Option Pricing"February 8, 2024: ESSEC Research day
December 12-13, 2023
Invited speaker at the OMI Machine Learning in Financial Econometrics, The Oxford Man Institute, UK
Talk: "How to detect trend in high frequency data"
Conference picturesDecember 7, 2023
Seminar at Econometric Institute, Erasmus University Rotterdam, "0DTE Option Pricing"November 30, 2023
Seminar at Capital Fund Management, Paris, "Detecting Trends"November 29, 2023
Seminar at LUISS, Rome, "0DTE Option Pricing"November 8, 2023
Seminar at the University of Lancaster, "0DTE Option Pricing"October 17, 2023
Conference at ESSEC, Cergy Campus
ESSEC-CYU-Warwick Econometrics WorkshopSeptember 27, 2023
Seminar at the University of Urbino: "0DTE Option Pricing"September 22, 2023
Presentation at XLVII Amases Conference in Milano Bicocca: "Taking advantage of biased proxies for forecast evaluation"January 2, 2023
New job started at ESSEC Business School!