CURRICULUM VITAE
LORENZO BRACCINI
lorenzo.braccini.econ@gmail.com
+393473385134
Personal Information: Date of Birth: August 14 1984, Gender: Male, Citizenship: Italian
Undergraduate Studies:
Laurea, Economics, University of Bologna, Summa cum Laude, 2009
M.A., Economics, Collegio Carlo Alberto, 2010
Graduate Studies:
University of Pennsylvania, 2015
Thesis Title: “Essays in Dynamic Duration and Count Modeling”
Thesis Committee and References:
Professor Francis X. Diebold (Advisor)
Professor Frank Schorfheide
519 McNeil Building
3718 Locust Walk
Philadelphia, PA, 19104
525 McNeil Building
3718 Locust Walk
Philadelphia, PA, 19104
+1 (215) 898-1507, fdiebold@sas.upenn.edu
+1 (215) 898-8486, schorf@ssc.upenn.edu
Professor Francis J. DiTraglia
535 McNeil Building
3718 Locust Walk
Philadelphia, PA, 19104
+1 (215) 898-1506, fditra@sas.upenn.edu
Teaching and Research Fields:
Primary fields: Time Series Econometrics, Financial Econometrics
Secondary fields: Econometric Theory, Probability Theory
Teaching Experience:
2011-2013
Introduction to Econometrics (undergraduate), University of Pennsylvania, TA for Professor Francis X. Diebold
2011-2013
Introduction to Econometrics (undergraduate), University of Pennsylvania, TA for Professor Xu Cheng
Spring, 2014
Advanced Time Series Econometrics (Ph.D.), University of Pennsylvania, TA for Professor Frank Schorfheide and Professor Francis J. DiTraglia
Research Experience and Other Employment:
2010
Collegio Carlo Alberto, RA for Professor Mathis Wagner
Professional Activities:
Fall, 2014
University of Pennsylvania Econometrics Seminar
2013-2014
University of Pennsylvania Econometrics Lunch Seminar
2013-2014
University of Pennsylvania Econometrics Lunch Seminar Support Team
Honors, Scholarships, and Fellowships:
2014
University of Pennsylvania Hiram Haney Fellowship Award in Economics (best third-year research paper)
Research Papers:
“Financial Trading Over The Years: A Multifractal Intensity Perspective” (Job Market Paper)
With an eye toward measurement and monitoring of financial market liquidity, I study the evolution over
the last two decades of the dynamic probabilistic structure of inter-trade durations, that is, the times
between consecutive trades. I consider twenty-five U.S. equities during February for the years 1993,
1998, 2003, 2008 and 2013. Transaction times are recorded on a one-second scale for 1993, 1998 and
2003, and on a millisecond scale for 2008 and 2013. I construct a censoring model that generalizes the
MSMD model of Chen, Diebold and Schorfheide (2013). My model allows for simultaneous transaction
clustering and features over-dispersion and long memory. For each of the 25 firms and 5 years studied, I
estimate the model, interpret estimated parameter values, assess goodness of fit, and perform forecasting
competitions. I compare my censoring model to the standard model, which fails to address censoring and
instead simply "thins" the sample by discarding recorded inter-trade durations of zero. I find that
accounting for censoring has a major impact on estimated parameters, fit and forecasting ability, even
after the move in 2008 to a millisecond recording scale. I relate my results to several aspects of market
liquidity, including return volatility, immediacy, bid-ask spreads, market depth, and price-adjustment
speed.
“A Markov Switching Multifractal Conditional Poisson Model”
I construct a new dynamic model for time series of financial market trade counts per unit time. The new
model features long memory, multifractal scaling, and over-dispersion. I use it to study 25 U.S. equities
traded on NASDAQ OMX during February 2010. I compare my new model to the benchmark
autoregressive conditional Poisson model of Rydberg and Shephard (2003) in terms of in-sample fit and
out-of-sample forecasting. It dominates the benchmark in terms of in-sample fit, and it is at least as good
as the benchmark in terms of out-of-sample forecasting.
Computing Skills
C++, Fortran, Matlab, R, Stata, Excel, MySQL, HTML5
Language
English (fluent), Italian (native), French (basic)