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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

Mazzarisi P.; Barucca P.; Lillo F.; Tantari D., A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market, «EUROPEAN JOURNAL OF OPERATIONAL RESEARCH», 2020, 281, pp. 50 - 65 [articolo]Open Access

Bucci F.; Lillo F.; Bouchaud J.-P.; Benzaquen M., Are trading invariants really invariant? Trading costs matter, «QUANTITATIVE FINANCE», 2020, 20, pp. 1059 - 1068 [articolo]

Bucci, F.; Mastromatteo, I.; Eisler, Z.; Lillo, F.; Bouchaud, J.-P.; Lehalle, C.-A., Co-impact: crowding effects in institutional trading activity, «QUANTITATIVE FINANCE», 2020, 20, pp. 193 - 205 [articolo]Open Access

Tripodi G.; Chiaromonte F.; Lillo F., Knowledge and social relatedness shape research portfolio diversification, «SCIENTIFIC REPORTS», 2020, 10, Article number: 14232, pp. 1 - 12 [articolo]Open Access

Mazzarisi P.; Zaoli S.; Lillo F.; Delgado L.; Gurtner G., New centrality and causality metrics assessing air traffic network interactions, «JOURNAL OF AIR TRANSPORT MANAGEMENT», 2020, 85, Article number: 101801, pp. 1 - 9 [articolo]Open Access

Mazzarisi P.; Zaoli S.; Campajola C.; Lillo F., Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2020, 121, Article number: 104022, pp. 1 - 20 [articolo]Open Access

Campajola C.; Lillo F.; Tantari D., Unveiling the relation between herding and liquidity with trader lead-lag networks, «QUANTITATIVE FINANCE», 2020, 20, pp. 1765 - 1778 [articolo]Open Access

Paolo Ferragina, Fabrizio Lillo, Giorgio Vinciguerra, Why Are Learned Indexes So Effective?, in: International Conference on Machine Learning, 2020, pp. 3123 - 3132 (atti di: International Conference on Machine Learning, Virtuale (originariamente Vienna), 12-18 Luglio 2020) [Contributo in Atti di convegno]

Cresci, Stefano; Lillo, Fabrizio; Regoli, Daniele; Tardelli, Serena; Tesconi, Maurizio, Cashtag Piggybacking: Uncovering Spam and Bot Activity in Stock Microblogs on Twitter, «ACM TRANSACTIONS ON THE WEB», 2019, 13, Article number: 11, pp. 1 - 27 [articolo]

Baltakienė, Margarita; Baltakys, Kęstutis; Kanniainen, Juho; Pedreschi, Dino; Lillo, Fabrizio, Clusters of investors around initial public offering, «PALGRAVE COMMUNICATIONS», 2019, 5, pp. 129 - 142 [articolo]Open Access

Letizia, Elisa; Lillo, Fabrizio, Corporate payments networks and credit risk rating, «EPJ DATA SCIENCE», 2019, 8, pp. 21 - 49 [articolo]Open Access

Schneider, M.; Lillo, F., Cross-impact and no-dynamic-arbitrage, «QUANTITATIVE FINANCE», 2019, 19, pp. 137 - 154 [articolo]

Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; Bouchaud, Jean-Philippe, Crossover from Linear to Square-Root Market Impact, «PHYSICAL REVIEW LETTERS», 2019, 122, Article number: 108302, pp. 108302 - 108306 [articolo]

Wilinski, Mateusz; Mazzarisi, Piero; Tantari, Daniele; Lillo, Fabrizio, Detectability of macroscopic structures in directed asymmetric stochastic block model, «PHYSICAL REVIEW. E», 2019, 99, pp. 1 - 9 [articolo]

Williams, Oliver E; Lillo, Fabrizio; Latora, Vito, Effects of memory on spreading processes in non-Markovian temporal networks, «NEW JOURNAL OF PHYSICS», 2019, 21, pp. 043028 - 043038 [articolo]Open Access

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