LILLO, FABRIZIO
LILLO, FABRIZIO
DIPARTIMENTO DI MATEMATICA
Docenti di ruolo di Ia fascia
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
2023 Lillo, F; Livieri, G; Marmi, S; Solomko, A; Vaienti, S
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
2023 Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo
Order flow and price formation
2023 Fabrizio Lillo
Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game
2023 Cordoni, F; Lillo, F
Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems
2023 Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
2022 Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino
Instabilities in multi-asset and multi-agent market impact games
2022 Cordoni, F; Lillo, F
Liquidity fluctuations and the latent dynamics of price impact
2022 Mertens L.P.; Ciacci A.; Lillo F.; Livieri G.
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
2022 Campajola, Carlo; Gangi, Domenico Di; Lillo, Fabrizio; Tantari, Daniele
Non-Markovian temporal networks with auto- and cross-correlated link dynamics
2022 Williams O.E.; Mazzarisi P.; Lillo F.; Latora V.
Score-driven generalized fitness model for sparse and weighted temporal networks
2022 Gangi D.D.; Bormetti G.; Lillo F.
Simulation-driven experimental hypotheses and design: a study of price impact and bubbles
2022 Cordoni, F; Giannetti, C; Lillo, F; Bottazzi, G
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
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.
Comment on: Price Discovery in High Resolution
2021 Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo
Estimating the Total Volume of Queries to a Search Engine
2021 Lillo F.; Ruggieri S.
Network-wide assessment of ATM mechanisms using an agent-based model
2021 Luis Delgado; Gérald Gurtner; Piero Mazzarisi; Silvia Zaoli; Damir Valput; Andrew Cook; Fabrizio Lillo
On the equivalence between the kinetic Ising model and discrete autoregressive processes
2021 Campajola, Carlo; Lillo, Fabrizio; Mazzarisi, Piero; Tantari, Daniele