Fabrizio Lillo
- Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
2017/05/09 by Rupert Way, François Lafond, Way, Rupert +7 · 1 voice · 1 citation
#econ.GN
- How markets slowly digest changes in supply and demand
2008/09/04 by Jean‐Philippe Bouchaud, J. Doyne Farmer, Bouchaud, Jean-Philippe +3 · 7 citations
Economics, Econometrics and Finance · #Economic Theory and Policy
- Cluster analysis for portfolio optimization
2005/07/01 by Vincenzo Tola, Tola, Vincenzo, Fabrizio Lillo +5 · 4 citations
Business, Management and Accounting · Mathematics · Social Sciences · #Economic and Technological Developments in Russia #Economic and Technological Systems Analysis #FOS: Economics and business #FOS: Physical sciences #Other Condensed Matter (cond-mat.other) #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistical and numerical algorithms
- The long memory of the efficient market
2003/11/04 by Fabrizio Lillo, Lillo, Fabrizio, J. Doyne Farmer +1 · 4 citations
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Other Condensed Matter (cond-mat.other) #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods
- What really causes large price changes?
2003/12/30 by J. Doyne Farmer, Farmer, J. Doyne, László Gillemot +7 · 2 citations
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Complex Systems and Time Series Analysis #Market Dynamics and Volatility
- Power law relaxation in a complex system: Omori law after a financial market crash
2001/11/14 by Fabrizio Lillo, Lillo, Fabrizio, Rosario N. Mantegna +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)
- Long-range correlated stationary Markovian processes
2002/03/21 by Fabrizio Lillo, Lillo, Fabrizio, Salvatore Micciche' +4 · 1 citation
Decision Sciences · Physics and Astronomy · #FOS: Physical sciences #Probabilistic and Robust Engineering Design #Scientific Research and Discoveries #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech #stochastic dynamics and bifurcation
- When do improved covariance matrix estimators enhance portfolio\n optimization? An empirical comparative study of nine estimators
2010/04/24 by Ester Pantaleo, Michele Tumminello, Pantaleo, Ester +5 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management #Monetary Policy and Economic Impact #Physics and Society (physics.soc-ph) #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM)
- Modelling systemic price cojumps with Hawkes factor models
2013/01/25 by Giacomo Bormetti, Bormetti, Giacomo, Lucio Maria Calcagnile +9 · 1 citation
Economics, Econometrics and Finance · Environmental Science · Mathematics · #Ecosystem dynamics and resilience #FOS: Economics and business #Financial Risk and Volatility Modeling #Point processes and geometric inequalities #Statistical Finance (q-fin.ST)
- Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
2020/07/30 by Carlo Campajola, Domenico Di Gangi, Campajola, Carlo +5 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · Decision Sciences · #Complex Systems and Time Series Analysis #Opinion Dynamics and Social Influence #Stock Market Forecasting Methods
- Estimating the Total Volume of Queries to a Search Engine
2021/01/24 by Fabrizio Lillo, Lillo, Fabrizio, Salvatore Ruggieri +1 · 1 citation
Computer Science · Physics and Astronomy · #Complex Network Analysis Techniques #Data Management and Algorithms #FOS: Computer and information sciences #Information Retrieval (cs.IR) #Web Data Mining and Analysis
- Why is the estimation of metaorder impact with public market data so challenging?
2025/01/28 by Manuel Naviglio, Giacomo Bormetti, Naviglio, Manuel +7 · 1 citation
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Climate Change Policy and Economics #Economics of Agriculture and Food Markets