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Fabrizio Lillo

Professore ordinario

Dipartimento di Matematica

Settore scientifico disciplinare: SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE

Pubblicazioni

Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo, A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics, «QUANTITATIVE FINANCE», 2022, in press, pp. 1 - 36 [articolo]Open Access

Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino, Information dynamics of price and liquidity around the 2017 Bitcoin markets crash, «CHAOS», 2022, 32, Article number: 043123, pp. 1 - 20 [articolo]Open Access

Mertens L.P.; Ciacci A.; Lillo F.; Livieri G., Liquidity fluctuations and the latent dynamics of price impact, «QUANTITATIVE FINANCE», 2022, 22, pp. 149 - 169 [articolo]

Campajola, Carlo; Gangi, Domenico Di; Lillo, Fabrizio; Tantari, Daniele, Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model, «SCIENTIFIC REPORTS», 2022, 12, pp. 19339 - 19349 [articolo]

Williams O.E.; Mazzarisi P.; Lillo F.; Latora V., Non-Markovian temporal networks with auto- and cross-correlated link dynamics, «PHYSICAL REVIEW. E», 2022, 105, Article number: 034301, pp. 034301 - 034330 [articolo]

Gangi D.D.; Bormetti G.; Lillo F., Score-driven generalized fitness model for sparse and weighted temporal networks, «INFORMATION SCIENCES», 2022, 612, pp. 1226 - 1245 [articolo]

Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio, A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2021, 39, pp. 920 - 936 [articolo]

Flori, Andrea; Lillo, Fabrizio; Pammolli, Fabio; Spelta, Alessandro, Better to stay apart: asset commonality, bipartite network centrality, and investment strategies, «ANNALS OF OPERATIONS RESEARCH», 2021, 299, pp. 177 - 213 [articolo]

Zaoli S.; Mazzarisi P.; Lillo F., Betweenness centrality for temporal multiplexes, «SCIENTIFIC REPORTS», 2021, 11, Article number: 4919, pp. 1 - 9 [articolo]Open Access

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo, Comment on: Price Discovery in High Resolution, «JOURNAL OF FINANCIAL ECONOMETRICS», 2021, 19, pp. 439 - 451 [articolo]

Lillo F.; Ruggieri S., Estimating the Total Volume of Queries to a Search Engine, «IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING», 2021, non assegnato, pp. 1 - 1 [articolo]

Luis Delgado; Gérald Gurtner; Piero Mazzarisi; Silvia Zaoli; Damir Valput; Andrew Cook; Fabrizio Lillo, Network-wide assessment of ATM mechanisms using an agent-based model, «JOURNAL OF AIR TRANSPORT MANAGEMENT», 2021, 95, Article number: 102108, pp. 1 - 13 [articolo]

Campajola, Carlo; Lillo, Fabrizio; Mazzarisi, Piero; Tantari, Daniele, On the equivalence between the kinetic Ising model and discrete autoregressive processes, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2021, 2021, Article number: 033412, pp. 1 - 13 [articolo]

Ferragina P.; Lillo F.; Vinciguerra G., On the performance of learned data structures, «THEORETICAL COMPUTER SCIENCE», 2021, 871, pp. 107 - 120 [articolo]Open Access

Antulov-Fantulin N.; Guo T.; Lillo F., Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume, «DECISIONS IN ECONOMICS AND FINANCE», 2021, 44, pp. 905 - 940 [articolo]Open Access

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