Foto del docente

Fabrizio Lillo

Full Professor

Department of Mathematics

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


Lillo, F; Livieri, G; Marmi, S; Solomko, A; Vaienti, S, Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks, «SIAM JOURNAL ON FINANCIAL MATHEMATICS», 2023, 14, pp. 598 - 643 [Scientific article]Open Access

Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo, From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution, «QUANTITATIVE FINANCE», 2023, 23, pp. 367 - 388 [Scientific article]

Fabrizio Lillo, Order flow and price formation, in: Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices, Cambridge, Cambridge University Press, 2023, pp. 107 - 129 [Chapter or essay]Open Access

Cordoni, F; Lillo, F, Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game, «DYNAMIC GAMES AND APPLICATIONS», 2023, Early Access, pp. 1 - 29 [Scientific article]Open Access

Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro, Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems, «JOURNAL OF STATISTICAL PHYSICS», 2023, 190, Article number: 156 , pp. 1 - 34 [Scientific article]Open Access

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 [Scientific article]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 [Scientific article]Open Access

Cordoni, F; Lillo, F, Instabilities in multi-asset and multi-agent market impact games, «ANNALS OF OPERATIONS RESEARCH», 2022, Early Access, pp. 1 - 35 [Scientific article]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 [Scientific article]Open Access

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, Article number: 19339 , pp. 1 - 11 [Scientific article]Open Access

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. 1 - 30 [Scientific article]Open Access

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 [Scientific article]

Cordoni, F; Giannetti, C; Lillo, F; Bottazzi, G, Simulation-driven experimental hypotheses and design: a study of price impact and bubbles, «SIMULATION», 2022, 9, pp. 599 - 620 [Scientific article]Open Access

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]Open Access

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]Open Access

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