Foto del docente

Fabrizio Lillo

Full Professor

Department of Mathematics

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

Publications

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]

Rambaldi, Marcello; Pennesi, Paris; Lillo, Fabrizio, Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach, «PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS», 2015, 91, pp. 012819 - 012833 [Scientific article]

Curato, Gianbiagio; Lillo, Fabrizio, Modeling the coupled return-spread high frequency dynamics of large tick assets, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2015, 2015, pp. 01028 - 01056 [Scientific article]

Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio, Modelling systemic price cojumps with Hawkes factor models, «QUANTITATIVE FINANCE», 2015, 15, pp. 1137 - 1156 [Scientific article]

di Iasio Giovanni; Gallegati Mauro; Lillo Fabrizio; Mantegna Rosario N., Special issue of Quantitative Finance on ‘Interlinkages and Systemic Risk’, «QUANTITATIVE FINANCE», 2015, 15, pp. 587 - 588 [Scientific article]

Lillo Fabrizio; Pirino Davide, The impact of systemic and illiquidity risk on financing with risky collateral, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2015, 50, pp. 180 - 202 [Scientific article]

Bargigli L.; di Iasio G.; Infante L.; Lillo F.; Pierobon F., The multiplex structure of interbank networks, «QUANTITATIVE FINANCE», 2015, 15, pp. 673 - 691 [Scientific article]

Tóth Bence; Palit Imon; Lillo Fabrizio; Farmer J. Doyne, Why is equity order flow so persistent?, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2015, 51, pp. 218 - 239 [Scientific article]

Lunardi José T.; Miccichè Salvatore; Lillo Fabrizio; Mantegna Rosario N.; Gallegati Mauro, Do firms share the same functional form of their growth rate distribution? A statistical test, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2014, 39, pp. 140 - 164 [Scientific article]

Gurtner Gérald; Vitali Stefania; Cipolla Marco; Lillo Fabrizio; Mantegna Rosario Nunzio; Miccichè Salvatore; Pozzi Simone, Multi-scale analysis of the European airspace using network community detection, «PLOS ONE», 2014, 9, pp. 94414 - 94430 [Scientific article]

Curato Gianbiagio; Lillo Fabrizio, Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric, «ENTROPY», 2014, 16, pp. 567 - 581 [Scientific article]

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