Foto del docente

Fabrizio Lillo

Full Professor

Department of Mathematics

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Publications

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 [Scientific article]

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 [Scientific article]

Zaoli S.; Mazzarisi P.; Lillo F., Betweenness centrality for temporal multiplexes, «SCIENTIFIC REPORTS», 2021, 11, pp. 1 - 9 [Scientific article]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 [Scientific article]

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 [Scientific article]

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, pp. 1 - 13 [Scientific article]

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 [Scientific article]

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

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 [Scientific article]

Tripodi G.; Chiaromonte F.; Lillo F., Knowledge and social relatedness shape research portfolio diversification, «SCIENTIFIC REPORTS», 2020, 10, pp. 1 - 12 [Scientific article]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, pp. 1 - 9 [Scientific article]

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, pp. 1 - 20 [Scientific article]

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 [Scientific article]

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) [Contribution to conference proceedings]

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, pp. 1 - 27 [Scientific article]

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