Essec Business School

With Roberto Renò

Congratulations to Roberto Renò, Professor of Data Analytics (Econometrics) in the Information Systems, Data Analytics and Operations Department, who recently received an FIS (Fondo Italiano per la Scienza, Italian Fund for Science) Grant from the Italian Ministry of Higher Education!

The FIS (Italian Fund for Science) Grant is awarded from the Italian Ministry of Higher Education to fund aims to support fundamental research projects, in line with the ERC - European Research Council.

The first edition in 2021 financed 50 million divided into advanced (30 million) and early-career (20 million) grants. Out of 1912 projects presented, only 47 were granted, selected with an evaluation process that included three distinct phases: assessment of the proposal in terms of curriculum and track records (the trajectory of results), evaluation of the project as a whole, and an interview. The evaluation of the complete project proposal involved around 650 external reviewers.

His project was selected for an Advanced Grant (first in the overall ranking in the Social Sciences and Humanities sector) and received 562.429,54 EUR in funding. The project, titled “A New Paradigm for High-Frequency Finance,” started in January 2024 and will last five years. It aims to introduce a transformative approach to analyzing high-frequency financial data. A critical feature overlooked by the current modeling framework is the presence of staleness in financial data. This project seeks to drive a paradigm shift, emphasizing the role of staleness as a fundamental aspect of the data-generating process for financial asset prices at high frequencies. Preliminary research demonstrates that ignoring price staleness significantly impacts statistical inference based on high-frequency data, leading to distorted economic conclusions.

The project encompasses advancements in theoretical statistics, econometrics, and finance. Funding has been utilized to recruit two PhD students, who joined the University of Verona in October 2024, and a three-year postdoctoral researcher, Dr. Guido Gazzani, who was hired in May 2024.

The project also has a broader impact on the general public. One line of research focuses on pricing 0DTE (0 Days To Expiration) options, which require advanced high-frequency methodologies like those developed in the project. These options demand minimal capital and are therefore highly appealing to small investors, who may, however, underestimate the hidden risks associated with such investments. By providing accurate pricing and risk assessment methods, the project aims to help small investors gain a clearer understanding of these instruments, enabling them to better evaluate the benefits and risks for their portfolios.

About Roberto Renò 

Roberto Renò is Professor at the IDO Department (Information Systems, Data Science and Operations) at ESSEC Business School. Formerly, he was Visiting Professor at the Carey Business School at the Johns Hopkins University of Baltimore; Senior Fellow at Collegio Carlo Alberto, Turin; Fernand Braudel Fellow at the European University Institute in Florence; Full Professor at the University of Verona; Associate and Assistant Professor of Quantitative Finance at the University of Siena.Visiting Professor at LUISS, Rome and IMT, Lucca. He holds a PhD in Financial Mathematics at Scuola Normale Superiore in Pisa, and a Degree in Physics at the University of Pisa. His research focuses on various aspects of econometrics and finance, with specific contributions in asset pricing, high frequency financial econometrics, and nonparametric statistics.