Sfoglia per Autore
Why is equity order flow so persistent?
2015 Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
2015 Rambaldi, Marcello; Pennesi, Paris; Lillo, Fabrizio
Applying complexity science to air traffic management
2015 Cook, Andrew; Blom, Henk A. P.; Lillo, Fabrizio; Mantegna, Rosario Nunzio; Miccichè, Salvatore; Rivas, Damián; Vázquez, Rafael; Zanin, Massimiliano
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
2015 Curato, Gianbiagio; Lillo, Fabrizio
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
2015 Zarinelli, Elia; Treccani, Michele; Farmer, J. Doyne; Lillo, Fabrizio
Modelling systemic price cojumps with Hawkes factor models
2015 Bormetti, Giacomo; Calcagnile, LUCIO MARIA; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Complex Networks in Air Transport
2016 Lillo, Fabrizio; Mantegna, ROSARIO NUNZIO; Micciche', Salvatore
Disentangling bipartite and core-periphery structure in financial networks
2016 Barucca, Paolo; Lillo, Fabrizio
Centrality metrics and localization in core-periphery networks
2016 Barucca, Paolo; Tantari, Daniele; Lillo, Fabrizio
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
2016 Curato, Gianbiagio; Gatheral, Jim; Lillo, Fabrizio
Optimal information diffusion in stochastic block models
2016 Curato, Gianbiagio; Lillo, Fabrizio
Interbank markets and multiplex networks: centrality measures and statistical null models
2016 Bargigli, Leonardo; Iasio, Giovanni di; Infante, Luigi; Lillo, Fabrizio; Pierobon, Federico
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
2016 Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Optimal execution with non-linear transient market impact
2016 Curato, Gianbiagio; Gatheral, Jim; Lillo, Fabrizio
Coupling news sentiment with web browsing data predicts intra-day stock prices
2016 Gabriele, Ranco; Ilaria, Bordino; Bormetti, Giacomo; Guido, Caldarelli; Lillo, Fabrizio; Michele, Treccani
A Large Scale Study to Understand the Relation between Twitter and Financial Market
2016 Cazzoli, Lorenzo; Sharma, Rajesh; Treccani, Michele; Lillo, Fabrizio
Recommender systems for banking and financial services
2017 Gigli, Andrea; Lillo, Fabrizio; Regoli, Daniele
Statistical characterization of deviations from planned flight trajectories in air traffic management
2017 Bongiorno, C.; Gurtner, Gerald; Lillo, Fabrizio; Mantegna, ROSARIO NUNZIO; Micciche', Salvatore
The role of volume in order book dynamics: a multivariate Hawkes process analysis
2017 Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio
Behind the price: on the role of agent’s reflexivity in financial market microstructure
2017 Barucca, Paolo; Lillo, Fabrizio
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