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Fabrizio Lillo

Identifiers

  • name variant Fabrizio Lillo 0.60 · backfill

Papers (99)

  1. GravityGraphSAGE: Link Prediction in Directed Attributed Graphs cs.LG · 2026 · author #3
  2. Filtering and Statistical Properties of Unimodal Maps Perturbed by Heteroscedastic Noises math.ST · 2024 · author #1
  3. Trip Centrality: walking on a temporal multiplex with non-instantaneous link travel time physics.soc-ph · 2019 · author #3
  4. Are trading invariants really invariant? Trading costs matter q-fin.TR · 2019 · author #2
  5. Slow decay of impact in equity markets: insights from the ANcerno database q-fin.TR · 2019 · author #3
  6. Optimal VWAP execution under transient price impact q-fin.TR · 2019 · author #2
  7. Crossover from linear to square-Root market impact q-fin.TR · 2018 · author #3
  8. Detectability of Macroscopic Structures in Directed Asymmetric Stochastic Block Model physics.soc-ph · 2018 · author #4
  9. Better to stay apart: asset commonality, bipartite network centrality, and investment strategies q-fin.PM · 2018 · author #2
  10. Effects of memory on spreading processes in non-Markovian temporal networks physics.soc-ph · 2018 · author #2
  11. Inference of the Kinetic Ising Model with Heterogeneous Missing Data physics.data-an · 2018 · author #2
  12. When panic makes you blind: a chaotic route to systemic risk econ.GN · 2018 · author #2
  13. Co-impact: Crowding effects in institutional trading activity q-fin.TR · 2018 · author #4
  14. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics q-fin.TR · 2018 · author #4
  15. A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market cs.SI · 2017 · author #3
  16. Corporate payments networks and credit risk rating cs.SI · 2017 · author #2
  17. Behind the price: on the role of agent's reflexivity in financial market microstructure q-fin.TR · 2017 · author #2
  18. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves q-fin.EC · 2017 · author #3
  19. Disentangling group and link persistence in Dynamic Stochastic Block models cs.SI · 2017 · author #2
  20. Cross-impact and no-dynamic-arbitrage q-fin.TR · 2016 · author #2
  21. Detection of intensity bursts using Hawkes processes: an application to high frequency financial data q-fin.TR · 2016 · author #3
  22. Strategic allocation of flight plans: an evolutionary point of view physics.soc-ph · 2016 · author #2
  23. Resolution of ranking hierarchies in directed networks cs.SI · 2016 · author #3
  24. A continuous and efficient fundamental price on the discrete order book grid q-fin.TR · 2016 · author #2
  25. Optimal information diffusion in stochastic block models physics.soc-ph · 2016 · author #2
  26. Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model q-fin.TR · 2016 · author #4
  27. The role of volume in order book dynamics: a multivariate Hawkes process analysis q-fin.TR · 2016 · author #3
  28. Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact q-fin.TR · 2016 · author #4
  29. Disentangling bipartite and core-periphery structure in financial networks q-fin.GN · 2015 · author #2
  30. The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market q-fin.RM · 2015 · author #2
  31. Centrality metrics and localization in core-periphery networks cs.SI · 2015 · author #3
  32. Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction q-fin.RM · 2015 · author #2
  33. Collective synchronization and high frequency systemic instabilities in financial markets q-fin.ST · 2015 · author #5
  34. Interbank markets and multiplex networks: centrality measures and statistical null models q-fin.GN · 2015 · author #4
  35. Optimal execution with nonlinear transient market impact q-fin.TR · 2014 · author #3
  36. Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics q-fin.ST · 2014 · author #5
  37. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate q-fin.TR · 2014 · author #4
  38. Competitive allocation of resources on a network: an agent-based model of air companies competing for the best routes physics.soc-ph · 2014 · author #3
  39. Modeling FX market activity around macroeconomic news: a Hawkes process approach q-fin.TR · 2014 · author #3
  40. The adaptive nature of liquidity taking in limit order books q-fin.ST · 2014 · author #3
  41. The multiplex structure of interbank networks q-fin.GN · 2013 · author #4
  42. Modeling the coupled return-spread high frequency dynamics of large tick assets q-fin.TR · 2013 · author #2
  43. Multi-scale analysis of the European airspace using network community detection physics.soc-ph · 2013 · author #4
  44. Modelling the Air Transport with Complex Networks: a short review physics.soc-ph · 2013 · author #2
  45. Modelling systemic price cojumps with Hawkes factor models q-fin.ST · 2013 · author #6
  46. Scale-free relaxation of a wave packet in a quantum well with power-law tails cond-mat.stat-mech · 2012 · author #3
  47. Calibration of optimal execution of financial transactions in the presence of transient market impact q-fin.TR · 2012 · author #2
  48. Why is order flow so persistent? q-fin.TR · 2011 · author #3
  49. The effect of round-off error on long memory processes q-fin.ST · 2011 · author #2
  50. Identification of clusters of investors from their real trading activity in a financial market q-fin.TR · 2011 · author #2
  51. How does the market react to your order flow? q-fin.TR · 2011 · author #3
  52. Do firms share the same functional form of their growth rate distribution? A new statistical test physics.data-an · 2011 · author #3
  53. How efficiency shapes market impact q-fin.TR · 2011 · author #3
  54. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange q-fin.TR · 2011 · author #3
  55. Community characterization of heterogeneous complex systems physics.soc-ph · 2010 · author #3
  56. Tick size and price diffusion q-fin.ST · 2010 · author #3
  57. Statistically validated networks in bipartite complex systems physics.soc-ph · 2010 · author #3
  58. When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators q-fin.PM · 2010 · author #3
  59. Statistical identification with hidden Markov models of large order splitting strategies in an equity market q-fin.TR · 2010 · author #2
  60. Segmentation algorithm for non-stationary compound Poisson processes physics.data-an · 2010 · author #2
  61. Market impact and trading profile of large trading orders in stock markets q-fin.TR · 2009 · author #7
  62. How markets slowly digest changes in supply and demand q-fin.TR · 2008 · author #3
  63. Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes q-bio.QM · 2008 · author #2
  64. The non-random walk of stock prices: The long-term correlation between signs and sizes q-fin.ST · 2007 · author #3
  65. Specialization of strategies and herding behavior of trading firms in a financial market q-fin.ST · 2007 · author #1
  66. Kullback-Leibler distance as a measure of the information filtered from multivariate data physics.data-an · 2007 · author #2
  67. The limit order book on different time scales q-fin.TR · 2007 · author #3
  68. Inverted and mirror repeats in model nucleotide sequences q-bio.GN · 2007 · author #1
  69. Scaling laws of strategic behaviour and size heterogeneity in agent dynamics q-fin.ST · 2007 · author #2
  70. Diffusive behavior and the modeling of characteristic times in limit order executions physics.soc-ph · 2007 · author #3
  71. Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices physics.soc-ph · 2006 · author #1
  72. Market reaction to temporary liquidity crises and the permanent market impact physics.soc-ph · 2006 · author #2
  73. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? physics.soc-ph · 2006 · author #3
  74. There's more to volatility than volume physics.soc-ph · 2005 · author #3
  75. Scaling and data collapse for the mean exit time of asset prices physics.soc-ph · 2005 · author #4
  76. Cluster analysis for portfolio optimization physics.soc-ph · 2005 · author #2
  77. What really causes large price changes? cond-mat.other · 2003 · author #3
  78. The long memory of the efficient market cond-mat.other · 2003 · author #1
  79. On the origin of power law tails in price fluctuations cond-mat.stat-mech · 2003 · author #2
  80. Noise dressing of the correlation matrix of factor models cond-mat.stat-mech · 2003 · author #1
  81. Degree stability of a minimum spanning tree of price return and volatility cond-mat.stat-mech · 2002 · author #3
  82. Dynamics of a financial market index after a crash cond-mat.stat-mech · 2002 · author #1
  83. Single Curve Collapse of the Price Impact Function for the New York Stock Exchange cond-mat.stat-mech · 2002 · author #1
  84. Long-range correlated stationary Markovian processes cond-mat.stat-mech · 2002 · author #1
  85. Volatility in Financial Markets: Stochastic Models and Empirical Results cond-mat.stat-mech · 2002 · author #3
  86. Power law relaxation in a complex system: Omori law after a financial market crash cond-mat.stat-mech · 2001 · author #1
  87. Ensemble properties of securities traded in the NASDAQ market cond-mat.stat-mech · 2001 · author #1
  88. Introducing Variety in Risk Management cond-mat.stat-mech · 2001 · author #1
  89. Comparative genomics study of inverted repeats in bacteria cond-mat.stat-mech · 2001 · author #1
  90. Levels of complexity in financial markets cond-mat.stat-mech · 2001 · author #2
  91. Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis cond-mat.stat-mech · 2001 · author #1
  92. Empirical properties of the variety of a financial portfolio and the single-index model cond-mat.stat-mech · 2000 · author #1
  93. High-frequency Cross-correlation in a Set of Stocks cond-mat.stat-mech · 2000 · author #2
  94. Variety and Volatility in Financial Markets cond-mat.stat-mech · 2000 · author #1
  95. Symmetry alteration of ensemble return distribution in crash and rally days of financial markets cond-mat.stat-mech · 2000 · author #1
  96. Drift-Controlled Anomalous Diffusion: A Solvable Gaussian Model cond-mat.stat-mech · 2000 · author #1
  97. Anomalous Spreading of Power-Law Quantum Wave Packets cond-mat.stat-mech · 1999 · author #1
  98. Dynamics of the Number of Trades of Financial Securities cond-mat.stat-mech · 1999 · author #2
  99. Statistical Properties of Statistical Ensembles of Stock Returns cond-mat.stat-mech · 1999 · author #1

Mentions

  • 1510.01116 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1509.00607 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1705.03423 #3 · arxiv_oai · confidence 0.70 Fabrizio Lillo
  • 2411.13939 #1 · arxiv_oai · confidence 0.70 Fabrizio Lillo
  • 1505.00704 #5 · backfill · confidence 0.70 Fabrizio Lillo
  • 1501.05751 #4 · backfill · confidence 0.70 Fabrizio Lillo
  • 1412.4839 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1412.3948 #5 · backfill · confidence 0.70 Fabrizio Lillo
  • 1412.2152 #4 · backfill · confidence 0.70 Fabrizio Lillo
  • 1411.5504 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1405.6047 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1403.0842 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1311.4798 #4 · backfill · confidence 0.70 Fabrizio Lillo
  • 1310.4539 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1306.3769 #4 · backfill · confidence 0.70 Fabrizio Lillo
  • 1302.7017 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1301.6141 #6 · backfill · confidence 0.70 Fabrizio Lillo
  • 1211.6356 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1206.0682 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1108.1632 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1107.4476 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1107.3942 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1104.0587 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1103.2234 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1102.5457 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1102.0687 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1011.4161 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1009.2329 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1008.1414 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1004.4272 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 1003.2981 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 1001.2549 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 0908.0202 #7 · backfill · confidence 0.70 Fabrizio Lillo
  • 0809.0822 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 0803.2608 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 0711.4596 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 0707.0385 #1 · backfill · confidence 0.70 Fabrizio Lillo
  • 0706.0168 #2 · backfill · confidence 0.70 Fabrizio Lillo
  • 0705.4023 #3 · backfill · confidence 0.70 Fabrizio Lillo
  • 0705.2143 #1 · backfill · confidence 0.70 Fabrizio Lillo
  • 0704.2003 #2 · backfill · confidence 0.70 Fabrizio Lillo

Frequent Coauthors