Foto del docente

Fabrizio Lillo

Full Professor

Department of Mathematics

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


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]

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]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 [Scientific article]

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

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 [Scientific article]

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 [Scientific article]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) [Contribution to conference proceedings]

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 [Chapter or essay]

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) [Chapter or essay]

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

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

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 [Scientific article]

Latest news

At the moment no news are available.