Sfoglia per Autore
Statistical Regularities in ATM: network properties, trajectory deviations and delays
2012 Vitali S.; Cipolla M.; Mantegna S. Miccichè R. N.; Gurtner G.; Lillo F.; Beato V.; Pozzi S.
How does the market react to your order flow?
2012 Toth B; Eisler Z; Lillo F; Kockelkoren J; Bouchaud JP; Farmer JD
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
2012 Carollo A; Vaglica G; Lillo F; Mantegna RN
Identification of clusters of investors from their real trading activity in a financial market
2012 Tumminello M; Lillo F; Piilo J; Mantegna RN
Calibration and optimal execution of financial transactions in the presence of transient market impact
2012 Busseti E; Lillo F
THE ROLE OF UNBOUNDED TIME-SCALES IN GENERATING LONG-RANGE MEMORY IN ADDITIVE MARKOVIAN PROCESSES
2013 SALVATORE MICCICHÈ; FABRIZIO LILLO; ROSARIO N. MANTEGNA
An Agent Based Model of Air Traffic Management
2013 Bongiorno C.; Mantegna R.N.; Miccichè S.; Gurtner G.; Lillo F.; Valori L.; Ducci M.; Monechi B.; Pozzi S.
Modelling the Air Transport with Complex Networks: a short review
2013 Zanin M; Lillo F
How efficiency shapes market impact
2013 J. Doyne Farmer; Austin Gerig; Fabrizio Lillo; Henri Waelbroeck
Editorial: Spatially Embedded Complex Networks
2013 Strano E; Zanin M; Estrada E; Lillo F
Scale-free relaxation of a wave packet in a quantum well with power-law tails
2013 Salvatore Miccichè; Andreas Buchleitner; Fabrizio Lillo; Rosario N Mantegna; Tobias Paul; Sandro Wimberger
The adaptive nature of liquidity taking in limit order books
2014 Taranto, D.E.; Bormetti, G.; Lillo, F.
The effect of round-off error on long memory processes
2014 Gabriele La Spada; Fabrizio Lillo
Multi-scale analysis of the European airspace using network community detection
2014 Gurtner Gérald; Vitali Stefania; Cipolla Marco; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè Salvatore; Pozzi Simone
Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric
2014 Curato Gianbiagio; Lillo Fabrizio
Do firms share the same functional form of their growth rate distribution? A statistical test
2014 Lunardi José T.; Miccichè Salvatore; Lillo Fabrizio; Mantegna Rosario N.; Gallegati Mauro
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
2015 Rambaldi, Marcello; Pennesi, Paris; Lillo, Fabrizio
How news affects the trading behaviour of different categories of investors in a financial market
2015 Lillo Fabrizio; Miccichè Salvatore; Tumminello Michele; Piilo Jyrki; Mantegna Rosario N.
Special issue of Quantitative Finance on ‘Interlinkages and Systemic Risk’
2015 di Iasio Giovanni; Gallegati Mauro; Lillo Fabrizio; Mantegna Rosario N.
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015 Curato, Gianbiagio; Lillo, Fabrizio
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| Statistical Regularities in ATM: network properties, trajectory deviations and delays | Vitali S.; Cipolla M.; Mantegna S. Miccichè R. N.; Gurtner G.; Lillo F.; Beato V.; Pozzi S. | 2012-01-01 | - | - | 4.01 Contributo in Atti di convegno | - |
| How does the market react to your order flow? | Toth B; Eisler Z; Lillo F; Kockelkoren J; Bouchaud JP; Farmer JD | 2012-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange | Carollo A; Vaglica G; Lillo F; Mantegna RN | 2012-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Identification of clusters of investors from their real trading activity in a financial market | Tumminello M; Lillo F; Piilo J; Mantegna RN | 2012-01-01 | NEW JOURNAL OF PHYSICS | - | 1.01 Articolo in rivista | - |
| Calibration and optimal execution of financial transactions in the presence of transient market impact | Busseti E; Lillo F | 2012-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| THE ROLE OF UNBOUNDED TIME-SCALES IN GENERATING LONG-RANGE MEMORY IN ADDITIVE MARKOVIAN PROCESSES | SALVATORE MICCICHÈ; FABRIZIO LILLO; ROSARIO N. MANTEGNA | 2013-01-01 | FLUCTUATION AND NOISE LETTERS | - | 1.01 Articolo in rivista | - |
| An Agent Based Model of Air Traffic Management | Bongiorno C.; Mantegna R.N.; Miccichè S.; Gurtner G.; Lillo F.; Valori L.; Ducci M.; Monechi B.; ...Pozzi S. | 2013-01-01 | - | - | 4.01 Contributo in Atti di convegno | - |
| Modelling the Air Transport with Complex Networks: a short review | Zanin M; Lillo F | 2013-01-01 | THE EUROPEAN PHYSICAL JOURNAL. SPECIAL TOPICS | - | 1.01 Articolo in rivista | - |
| How efficiency shapes market impact | J. Doyne Farmer; Austin Gerig; Fabrizio Lillo; Henri Waelbroeck | 2013-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Editorial: Spatially Embedded Complex Networks | Strano E; Zanin M; Estrada E; Lillo F | 2013-01-01 | THE EUROPEAN PHYSICAL JOURNAL. SPECIAL TOPICS | - | 1.01 Articolo in rivista | - |
| Scale-free relaxation of a wave packet in a quantum well with power-law tails | Salvatore Miccichè; Andreas Buchleitner; Fabrizio Lillo; Rosario N Mantegna; Tobias Paul; Sa...ndro Wimberger | 2013-01-01 | NEW JOURNAL OF PHYSICS | - | 1.01 Articolo in rivista | - |
| The adaptive nature of liquidity taking in limit order books | Taranto, D.E.; Bormetti, G.; Lillo, F. | 2014-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| The effect of round-off error on long memory processes | Gabriele La Spada; Fabrizio Lillo | 2014-01-01 | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | - | 1.01 Articolo in rivista | - |
| Multi-scale analysis of the European airspace using network community detection | Gurtner Gérald; Vitali Stefania; Cipolla Marco; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè... Salvatore; Pozzi Simone | 2014-01-01 | PLOS ONE | - | 1.01 Articolo in rivista | - |
| Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric | Curato Gianbiagio; Lillo Fabrizio | 2014-01-01 | ENTROPY | - | 1.01 Articolo in rivista | - |
| Do firms share the same functional form of their growth rate distribution? A statistical test | Lunardi José T.; Miccichè Salvatore; Lillo Fabrizio; Mantegna Rosario N.; Gallegati Mauro | 2014-01-01 | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - | 1.01 Articolo in rivista | - |
| Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach | Rambaldi, Marcello; Pennesi, Paris; Lillo, Fabrizio | 2015-01-01 | PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS | - | 1.01 Articolo in rivista | - |
| How news affects the trading behaviour of different categories of investors in a financial market | Lillo Fabrizio; Miccichè Salvatore; Tumminello Michele; Piilo Jyrki; Mantegna Rosario N. | 2015-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Special issue of Quantitative Finance on ‘Interlinkages and Systemic Risk’ | di Iasio Giovanni; Gallegati Mauro; Lillo Fabrizio; Mantegna Rosario N. | 2015-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Modeling the coupled return-spread high frequency dynamics of large tick assets | Curato, Gianbiagio; Lillo, Fabrizio | 2015-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
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