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Fabrizio Lillo

Full Professor

Department of Mathematics

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


Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio, The role of volume in order book dynamics: a multivariate Hawkes process analysis, «QUANTITATIVE FINANCE», 2017, 17, pp. 999 - 1020 [Scientific article]

Cazzoli Lorenzo; Sharma Rajesh; Treccani Michele; Lillo Fabrizio, A Large Scale Study to Understand the Relation between Twitter and Financial Market, in: 2016 Third European Network Intelligence Conference (ENIC), 345 E 47TH ST, NEW YORK, NY 10017 USA, Institute of Electrical and Electronics Engineers Inc., 2016, pp. 98 - 105 (atti di: 2016 Third European Network Intelligence Conference (ENIC), Wroclaw (Polonia), 5-7 Sept. 2016) [Contribution to conference proceedings]

Barucca Paolo; Tantari Daniele; Lillo Fabrizio, Centrality metrics and localization in core-periphery networks, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2016, 2016, pp. 023401 - 023418 [Scientific article]

Lillo F; Mantegna R.N.; Micciché S., Complex Networks in Air Transport, in: Complexity Science in Air Traffic Management, Abingdon, Routledge, 2016, pp. 23 - 39 [Chapter or essay]

Ranco, Gabriele; Bordino, Ilaria; Bormetti, Giacomo; Caldarelli, Guido; Lillo, Fabrizio; Treccani, Michele, Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics, «PLOS ONE», 2016, 11, pp. 1 - 14 [Scientific article]Open Access

Curato, Gianbiagio; Gatheral, Jim; Lillo, Fabrizio, Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact, «COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION», 2016, 39, pp. 332 - 342 [Scientific article]

Barucca, Paolo; Lillo, Fabrizio, Disentangling bipartite and core-periphery structure in financial networks, «CHAOS, SOLITONS AND FRACTALS», 2016, 88, pp. 244 - 253 [Scientific article]

Bargigli Leonardo; Iasio Giovanni di; Infante Luigi; Lillo Fabrizio; Pierobon Federico, Interbank markets and multiplex networks: centrality measures and statistical null models, in: Leonardo Bargigli Giovanni di Iasio Luigi Infante Fabrizio Lillo Federico Pierobon, Interconnected Networks, New York, Springer, 2016, pp. 179 - 194 [Chapter or essay]

Curato, Gianbiagio; Lillo, Fabrizio, Optimal information diffusion in stochastic block models, «PHYSICAL REVIEW. E», 2016, 94, pp. 032310 - 032317 [Scientific article]

Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio, When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification, «OPERATIONS RESEARCH», 2016, 64, pp. 1073 - 1088 [Scientific article]Open Access

Cook Andrew; Blom Henk A.P.; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè Salvatore; Rivas Damián; Vázquez Rafael; Zanin Massimiliano, Applying complexity science to air traffic management, «JOURNAL OF AIR TRANSPORT MANAGEMENT», 2015, 42, pp. 149 - 158 [Scientific article]

Zarinelli, Elia; Treccani, Michele; Farmer, J. Doyne; Lillo, Fabrizio, Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate, «MARKET MICROSTRUCTURE AND LIQUIDITY», 2015, 01, Article number: 1550004 , pp. 1 - 32 [Scientific article]

Gurtner, Gérald; Valori, Luca; Lillo, Fabrizio, Competitive allocation of resources on a network: an agent-based model of air companies competing for the best routes, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2015, 2015, pp. 05028 - 05046 [Scientific article]

Lillo Fabrizio; Miccichè Salvatore; Tumminello Michele; Piilo Jyrki; Mantegna Rosario N., How news affects the trading behaviour of different categories of investors in a financial market, «QUANTITATIVE FINANCE», 2015, 15, pp. 213 - 229 [Scientific article]

Curato Gianbiagio; Lillo Fabrizio, How Tick Size Affects the High Frequency Scaling of Stock Return Distributions, in: Anil K. Bera Sergey Ivliev Fabrizio Lillo, Financial Econometrics and Empirical Market Microstructure, New Youk, Springer, 2015, pp. 55 - 76 [Chapter or essay]

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