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LILLO, FABRIZIO

LILLO, FABRIZIO  

MAT - DIPARTIMENTO DI MATEMATICA  

Docenti di ruolo di Ia fascia  

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Risultati 1 - 20 di 109 (tempo di esecuzione: 0.039 secondi).
Titolo Autore(i) Anno Periodico Editore Tipo File
Bayesian autoregressive online change-point detection with time-varying parameters Tsaknaki, Ioanna-Yvonni; Lillo, Fabrizio; Mazzarisi, Piero 2025-01-01 COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION - 1.01 Articolo in rivista -
Modeling shock propagation and resilience in financial temporal networks Lillo, Fabrizio; Rizzini, Giorgio 2025-01-01 CHAOS - 1.01 Articolo in rivista -
Online learning of order flow and market impact with Bayesian change-point detection methods Tsaknaki, Ioanna-Yvonni; Lillo, Fabrizio; Mazzarisi, Piero 2025-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista QF_Yvonni.pdf
A machine learning approach to support decision in insider trading detection Mazzarisi, Piero; Ravagnani, Adele; Deriu, Paola; Lillo, Fabrizio; Medda, Francesca; Russo, Antonio 2024-01-01 EPJ DATA SCIENCE - 1.01 Articolo in rivista -
Instabilities in multi-asset and multi-agent market impact games Cordoni, F; Lillo, F 2024-01-01 ANNALS OF OPERATIONS RESEARCH - 1.01 Articolo in rivista s10479-022-05066-8.pdf
Score-driven exponential random graphs: A new class of time-varying parameter models for temporal networks Di Gangi, D.; Bormetti, G.; Lillo, F. 2024-01-01 CHAOS - 1.01 Articolo in rivista -
The public use of early-stage scientific advances in carbon dioxide removal: a science-technology-policy-media perspective Tripodi, Giorgio; Lillo, Fabrizio; Mavilia, Roberto; Mina, Andrea; Chiaromonte, Francesca; Lamper... espanditi, Francesco 2024-01-01 ENVIRONMENTAL RESEARCH LETTERS - 1.01 Articolo in rivista Tripodi_2024_Environ._Res._Lett._19_114009 (5).pdf
Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game Cordoni, F; Lillo, F 2024-01-01 DYNAMIC GAMES AND APPLICATIONS - 1.01 Articolo in rivista 2205.00494.pdf
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks Lillo, F; Livieri, G; Marmi, S; Solomko, A; Vaienti, S 2023-01-01 SIAM JOURNAL ON FINANCIAL MATHEMATICS - 1.01 Articolo in rivista lillo-et-al-2023-analysis-of-bank-leverage-via-dynamical-systems-and-deep-neural-networks.pdf
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo 2023-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista From Zero-Intelligence to Queue-Reactive_ Limit-Order-Book modeling for high-frequency volatility estimation and optimal execution_final.pdf
Order flow and price formation Fabrizio Lillo 2023-01-01 - Cambridge University Press 2.01 Capitolo / saggio in libro 2105.00521.pdf
Simulation-driven experimental hypotheses and design: a study of price impact and bubbles Cordoni, F; Giannetti, C; Lillo, F; Bottazzi, G 2023-01-01 SIMULATION - 1.01 Articolo in rivista main_submission_final (002).pdf
Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro 2023-01-01 JOURNAL OF STATISTICAL PHYSICS - 1.01 Articolo in rivista s10955-023-03160-0.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
Estimating the Total Volume of Queries to a Search Engine Lillo F.; Ruggieri S. 2022-01-01 IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING - 1.01 Articolo in rivista 2101.09807.pdf
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino 2022-01-01 CHAOS - 1.01 Articolo in rivista 5.0080462.pdf
Liquidity fluctuations and the latent dynamics of price impact Mertens L.P.; Ciacci A.; Lillo F.; Livieri G. 2022-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista Liquidity fluctuations and the latent dynamics of price impact.pdf
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model Campajola, Carlo; Gangi, Domenico Di; Lillo, Fabrizio; Tantari, Daniele 2022-01-01 SCIENTIFIC REPORTS - 1.01 Articolo in rivista SciRep_Campajola.pdf
Non-Markovian temporal networks with auto- and cross-correlated link dynamics Williams O.E.; Mazzarisi P.; Lillo F.; Latora V. 2022-01-01 PHYSICAL REVIEW. E - 1.01 Articolo in rivista PhysRevE.105.034301.pdf
Score-driven generalized fitness model for sparse and weighted temporal networks Gangi D.D.; Bormetti G.; Lillo F. 2022-01-01 INFORMATION SCIENCES - 1.01 Articolo in rivista Score_Driven_Generalized_Fitness_Model_for_Sparse_Weighted_Temporal_Networks.pdf