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Fabrizio Lillo


Department of Mathematics

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


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]

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo, Comment on: Price Discovery in High Resolution, «JOURNAL OF FINANCIAL ECONOMETRICS», 2019, 0, pp. 00 - 00 [Scientific article]

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

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

Mazzarisi, Piero; Lillo, Fabrizio; Marmi, Stefano, When panic makes you blind: A chaotic route to systemic risk, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2019, 100, pp. 176 - 199 [Scientific article]

Way, Rupert; Lafond, François; Lillo, Fabrizio; Panchenko, Valentyn; Farmer, J. Doyne, Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2019, 101, pp. 211 - 238 [Scientific article]

S Cresci, F Lillo, D Regoli, S Tardelli, M Tesconi, $FAKE: Evidence of Spam and Bot Activity in Stock Microblogs on Twitter, in: Proceedings of the Twelfth International AAAI Conference on Web and Social Media (ICWSM 2018), 2018, pp. 580 - 583 (atti di: The International Conference on Weblogs and Social Media, Stanford, California (USA), 25-28 Giugno 2018) [Contribution to conference proceedings]

Bonart, Julius; Lillo, Fabrizio*, A continuous and efficient fundamental price on the discrete order book grid, «PHYSICA. A», 2018, 503, pp. 698 - 713 [Scientific article]

Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide*, Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2018, 94, pp. 117 - 141 [Scientific article]

Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio, Collective synchronization and high frequency systemic instabilities in financial markets, «QUANTITATIVE FINANCE», 2018, 18, pp. 237 - 247 [Scientific article]

Rambaldi, Marcello; Filimonov, Vladimir; Lillo, Fabrizio, Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data, «PHYSICAL REVIEW. E», 2018, 97, pp. 032318 - 032331 [Scientific article]

Barucca, P.; Lillo, F.; Mazzarisi, P.; Tantari, D., Disentangling group and link persistence in dynamic stochastic block models, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2018, 2018, pp. 123407 - 123424 [Scientific article]

Damian Eduardo, Taranto; Giacomo, Bormetti; Jean-Philippe, Bouchaud; Fabrizio, Lillo; Bence, Toth, Linear models for the impact of order flow on prices. I. History dependent impact models, «QUANTITATIVE FINANCE», 2018, 18, pp. 903 - 915 [Scientific article]

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 [Scientific article]

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 [Scientific article]

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