LILLO, FABRIZIO
LILLO, FABRIZIO
DIPARTIMENTO DI MATEMATICA
Docenti di ruolo di Ia fascia
$FAKE: Evidence of Spam and Bot Activity in Stock Microblogs on Twitter
2018 S Cresci, F Lillo, D Regoli, S Tardelli, M Tesconi
A continuous and efficient fundamental price on the discrete order book grid
2018 Bonart, Julius; Lillo, Fabrizio*
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
2020 Mazzarisi P.; Barucca P.; Lillo F.; Tantari D.
A Large Scale Study to Understand the Relation between Twitter and Financial Market
2016 Cazzoli Lorenzo; Sharma Rajesh; Treccani Michele; Lillo Fabrizio
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo
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.
Applying complexity science to air traffic management
2015 Cook Andrew; Blom Henk A.P.; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè Salvatore; Rivas Damián; Vázquez Rafael; Zanin Massimiliano
Are trading invariants really invariant? Trading costs matter
2020 Bucci F.; Lillo F.; Bouchaud J.-P.; Benzaquen M.
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
2018 Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide*
Behind the price: on the role of agent’s reflexivity in financial market microstructure
2017 Barucca, Paolo; Lillo, Fabrizio
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
2021 Flori, Andrea; Lillo, Fabrizio; Pammolli, Fabio; Spelta, Alessandro
Betweenness centrality for temporal multiplexes
2021 Zaoli S.; Mazzarisi P.; Lillo F.
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
2015 Zarinelli, Elia; Treccani, Michele; Farmer, J. Doyne; Lillo, Fabrizio
Calibration and optimal execution of financial transactions in the presence of transient market impact
2012 Busseti E; Lillo F
Cashtag Piggybacking: Uncovering Spam and Bot Activity in Stock Microblogs on Twitter
2019 Cresci, Stefano; Lillo, Fabrizio; Regoli, Daniele; Tardelli, Serena; Tesconi, Maurizio
Centrality metrics and localization in core-periphery networks
2016 Barucca Paolo; Tantari Daniele; Lillo Fabrizio
Clusters of investors around initial public offering
2019 Baltakienė, Margarita; Baltakys, Kęstutis; Kanniainen, Juho; Pedreschi, Dino; Lillo, Fabrizio
Co-impact: crowding effects in institutional trading activity
2020 Bucci, F.; Mastromatteo, I.; Eisler, Z.; Lillo, F.; Bouchaud, J.-P.; Lehalle, C.-A.
Collective synchronization and high frequency systemic instabilities in financial markets
2018 Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| $FAKE: Evidence of Spam and Bot Activity in Stock Microblogs on Twitter | S Cresci, F Lillo, D Regoli, S Tardelli, M Tesconi | 2018-01-01 | - | - | 4.01 Contributo in Atti di convegno | - |
| A continuous and efficient fundamental price on the discrete order book grid | Bonart, Julius; Lillo, Fabrizio* | 2018-01-01 | PHYSICA. A | - | 1.01 Articolo in rivista | - |
| A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market | Mazzarisi P.; Barucca P.; Lillo F.; Tantari D. | 2020-01-01 | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | - | 1.01 Articolo in rivista | DNM_EJOR.pdf |
| A Large Scale Study to Understand the Relation between Twitter and Financial Market | Cazzoli Lorenzo; Sharma Rajesh; Treccani Michele; Lillo Fabrizio | 2016-01-01 | - | Institute of Electrical and Electronics Engineers Inc. | 4.01 Contributo in Atti di convegno | - |
| A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics | Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio | 2021-01-01 | JOURNAL OF BUSINESS & ECONOMIC STATISTICS | - | 1.01 Articolo in rivista | SSRN-id2912438.pdf |
| A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics | Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo | 2022-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | QF_Vassallo.pdf |
| 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 | - |
| Applying complexity science to air traffic management | Cook Andrew; Blom Henk A.P.; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè Salvatore; Rivas D...amián; Vázquez Rafael; Zanin Massimiliano | 2015-01-01 | JOURNAL OF AIR TRANSPORT MANAGEMENT | - | 1.01 Articolo in rivista | - |
| Are trading invariants really invariant? Trading costs matter | Bucci F.; Lillo F.; Bouchaud J.-P.; Benzaquen M. | 2020-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | 1902.03457.pdf |
| Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction | Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide* | 2018-01-01 | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - | 1.01 Articolo in rivista | jedc_Lillo_2018.pdf |
| Behind the price: on the role of agent’s reflexivity in financial market microstructure | Barucca, Paolo; Lillo, Fabrizio | 2017-01-01 | - | Springer International Publishing | 2.01 Capitolo / saggio in libro | - |
| Better to stay apart: asset commonality, bipartite network centrality, and investment strategies | Flori, Andrea; Lillo, Fabrizio; Pammolli, Fabio; Spelta, Alessandro | 2021-01-01 | ANNALS OF OPERATIONS RESEARCH | - | 1.01 Articolo in rivista | 1811.01624.pdf |
| Betweenness centrality for temporal multiplexes | Zaoli S.; Mazzarisi P.; Lillo F. | 2021-01-01 | SCIENTIFIC REPORTS | - | 1.01 Articolo in rivista | SREP_betweenness.pdf |
| Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate | Zarinelli, Elia; Treccani, Michele; Farmer, J. Doyne; Lillo, Fabrizio | 2015-01-01 | MARKET MICROSTRUCTURE AND LIQUIDITY | - | 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 | - |
| Cashtag Piggybacking: Uncovering Spam and Bot Activity in Stock Microblogs on Twitter | Cresci, Stefano; Lillo, Fabrizio; Regoli, Daniele; Tardelli, Serena; Tesconi, Maurizio | 2019-01-01 | ACM TRANSACTIONS ON THE WEB | - | 1.01 Articolo in rivista | - |
| Centrality metrics and localization in core-periphery networks | Barucca Paolo; Tantari Daniele; Lillo Fabrizio | 2016-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| Clusters of investors around initial public offering | Baltakienė, Margarita; Baltakys, Kęstutis; Kanniainen, Juho; Pedreschi, Dino; Lillo, Fabrizio | 2019-01-01 | PALGRAVE COMMUNICATIONS | - | 1.01 Articolo in rivista | s41599-019-0342-6.pdf |
| Co-impact: crowding effects in institutional trading activity | Bucci, F.; Mastromatteo, I.; Eisler, Z.; Lillo, F.; Bouchaud, J.-P.; Lehalle, C.-A. | 2020-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | qf_coimpact.pdf |
| Collective synchronization and high frequency systemic instabilities in financial markets | Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio | 2018-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | Calcagnile_etal_2017.pdf |