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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

Damian Eduardo Taranto; Giacomo Bormetti; Jean-Philippe Bouchaud; Fabrizio Lillo; Bence Toth, Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model, «QUANTITATIVE FINANCE», 2018, 18, pp. 917 - 931 [articolo]

Corsi, Fulvio; Lillo, Fabrizio; Pirino, Davide*; Trapin, Luca, Measuring the propagation of financial distress with Granger-causality tail risk networks, «JOURNAL OF FINANCIAL STABILITY», 2018, 38, pp. 18 - 36 [articolo]Open Access

Schneider, M.; Lillo, F.; Pelizzon, L., Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market, «QUANTITATIVE FINANCE», 2018, 18, pp. 283 - 293 [articolo]

Letizia, Elisa*; Barucca, Paolo; Lillo, Fabrizio, Resolution of ranking hierarchies in directed networks, «PLOS ONE», 2018, 13, Article number: e0191604, pp. e0191604 - e0191604-25 [articolo]Open Access

Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; Bouchaud, Jean-Philippe, Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database, «MARKET MICROSTRUCTURE AND LIQUIDITY», 2018, 04, pp. 1950006 - 1950013 [articolo]

Gurtner, Gérald; Lillo, Fabrizio, Strategic Allocation of Flight Plans in Air Traffic Management: An Evolutionary Point of View, «DYNAMIC GAMES AND APPLICATIONS», 2018, 8, pp. 799 - 821 [articolo]

Barucca, Paolo; Lillo, Fabrizio, The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market, «COMPUTATIONAL MANAGEMENT SCIENCE», 2018, 15, pp. 33 - 53 [articolo]Open Access

Piero Mazzarisi, Silvia Zaoli, Fabrizio Lillo, Luis Delgado, Gerald Gurtner, Toward new metrics assessing air traffic interaction, in: Proceedings of the SESAR Innovation Days Conference, 2018, pp. 1 - 8 (atti di: SESAR Innovation Days, Salisburgo (Austria), 3-7 Dicembre 2018) [Contributo in Atti di convegno]

Barucca, Paolo; Lillo, Fabrizio, Behind the price: on the role of agent’s reflexivity in financial market microstructure, in: Studies in Applied Philosophy, Epistemology and Rational Ethics, New York, Springer International Publishing, 2017, pp. 51 - 61 [capitolo di libro]

Mazzarisi, Piero; Lillo, Fabrizio, Methods for Reconstructing Interbank Networks from Limited Information: A Comparison, in: Econophysics and Sociophysics: Recent Progress and Future Directions, Milano, Springer, 2017, pp. 201 - 215 (NEW ECONOMIC WINDOWS) [capitolo di libro]

Curato Gianbiagio; Gatheral Jim; Lillo Fabrizio, Optimal execution with non-linear transient market impact, «QUANTITATIVE FINANCE», 2017, 17, pp. 41 - 54 [articolo]

Gigli, Andrea; Lillo, Fabrizio; Regoli, Daniele, Recommender systems for banking and financial services, in: Gigli, Andrea, CEUR Workshop Proceedings, CEUR-WS, 2017, 1905, pp. 1 - 2 (atti di: 2017 Poster Track of the 11th ACM Conference on Recommender Systems, Poster-Recsys 2017, ita, 2017) [Contributo in Atti di convegno]

Bongiorno C.; Gurtner G.; Lillo F.; Mantegna R.N.; Miccichè S., Statistical characterization of deviations from planned flight trajectories in air traffic management, «JOURNAL OF AIR TRANSPORT MANAGEMENT», 2017, 58, pp. 152 - 163 [articolo]

Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio, The role of volume in order book dynamics: a multivariate Hawkes process analysis, «QUANTITATIVE FINANCE», 2017, 17, pp. 999 - 1020 [articolo]

Cazzoli Lorenzo; Sharma Rajesh; Treccani Michele; Lillo Fabrizio, A Large Scale Study to Understand the Relation between Twitter and Financial Market, in: 2016 Third European Network Intelligence Conference (ENIC), 345 E 47TH ST, NEW YORK, NY 10017 USA, Institute of Electrical and Electronics Engineers Inc., 2016, pp. 98 - 105 (atti di: 2016 Third European Network Intelligence Conference (ENIC), Wroclaw (Polonia), 5-7 Sept. 2016) [Contributo in Atti di convegno]

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