Sfoglia per Autore
Economic sector identification in a set of stocks traded at the New York Stock Exchange
2007 Coronnello, C; Tumminello, M; Lillo, Fabrizio; Micciche, S; Mantegna, R. N.
Market reaction to a bid-ask spread change: A power-law relaxation dynamics
2009 Ponzi, A; Lillo, Fabrizio; Mantegna, Rn
Econophysics and the challenge of efficiency
2009 Lillo, Fabrizio
Market impact and trading profile of hidden orders in stock markets
2009 Moro, E; Vicente, J; Moyano, Lg; Gerig, A; Farmer, Jd; Vaglica, G; Lillo, Fabrizio; Mantegna, Rn
How markets slowly digest changes in supply and demand
2009 Bouchaud, Jp; Farmer, Jd; Lillo, Fabrizio
Diffusive behavior and the modeling of characteristic times in limit order executions
2009 Eisler, Z; Kertesz, J; Lillo, Fabrizio; Mantegna, Rn
Networks in Finance
2010 Lillo, Fabrizio
Statistics of order flow
2010 Lillo, Fabrizio
The Structure of Financial Networks
2010 Battiston, S; Glattfelder, Jb; Garlaschelli, D; Lillo, Fabrizio; Caldarelli, G; IN E., Editors; SPRINGER IN, Press
Segmentation algorithm for non-stationary compound Poisson processes. With an application to inventory time series of market members in a financial market
2010 Toth, B; Lillo, Fabrizio; Farmer, Jd
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
2010 Vaglica, G; Lillo, Fabrizio; Mantegna, Rn
Correlation, hierarchies, and networks in financial markets
2010 Tumminello, M; Lillo, Fabrizio; Mantegna, Rn
Complexity in Air Traffic Management
2011 Zanin, M; Balbas, R; Herranz, R; Rivas, D; Vasquez, R; Blom, H; Helmke, H; Lillo, Fabrizio; Mantegna, Rn; Micciche, S; Cook, A; Tanner, G.
ELSA Project: Toward a complex network approach to ATM delays analysis
2011 Lillo, Fabrizio; Miccichè, S.; Mantegna, R. N.; Beato, V.; Pozzi, S.
Tick size and price diffusion
2011 La Spada, G; Farmer, Jd; Lillo, Fabrizio
Statistically validated networks in bipartite complex systems
2011 Tumminello, M; Micciche', S; Lillo, Fabrizio; Piilo, J; Mantegna, Rn
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
2011 Pantaleo, E; Tumminello, M; Lillo, Fabrizio; Mantegna, Rn
Community characterization of heterogeneous complex systems
2011 Tumminello, M; Micciche', S; Lillo, Fabrizio; Piilo, J; Varho, J; Mantegna, Rn
Identification of clusters of investors from their real trading activity in a financial market
2012 Tumminello, M; Lillo, Fabrizio; Piilo, J; Mantegna, Rn
Calibration and optimal execution of financial transactions in the presence of transient market impact
2012 Busseti, E; Lillo, Fabrizio
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