Cordoni, F; Lillo, F, Instabilities in multi-asset and multi-agent market impact games, «ANNALS OF OPERATIONS RESEARCH», 2024, 336, pp. 505 - 539 [Scientific article]Open Access
Tsaknaki, Ioanna-Yvonni; Lillo, Fabrizio; Mazzarisi, Piero, Online learning of order flow and market impact with Bayesian change-point detection methods, «QUANTITATIVE FINANCE», 2024, in press, pp. 1 - 16 [Scientific article]
Cordoni, F; Lillo, F, Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game, «DYNAMIC GAMES AND APPLICATIONS», 2024, 14, pp. 333 - 361 [Scientific article]Open Access
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]Open Access
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; Giannetti, C; Lillo, F; Bottazzi, G, Simulation-driven experimental hypotheses and design: a study of price impact and bubbles, «SIMULATION», 2023, 99, pp. 599 - 620 [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, 22, pp. 2237 - 2255 [Scientific article]Open Access
Lillo F.; Ruggieri S., Estimating the Total Volume of Queries to a Search Engine, «IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING», 2022, 34, pp. 5351 - 5363 [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
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]Open Access
