Mantegna, Rosario N.
- Cluster analysis for portfolio optimization
2005/07/01 by Vincenzo Tola, Tola, Vincenzo, Fabrizio Lillo +5 · 5 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
- 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 · 2 citations
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)
- Detecting informative higher-order interactions in statistically validated hypergraphs
2021/03/30 by Musciotto, Federico, Battiston, Federico, Mantegna, Rosario N. · 2 citations
#FOS: Computer and information sciences #FOS: Physical sciences #Methodology (stat.ME) #Physics and Society (physics.soc-ph) #Social and Information Networks (cs.SI)
- 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
- Emergence of statistically validated financial intraday lead-lag\n relationships
2014/01/02 by Chester Curme, Michele Tumminello, Curme, Chester +7 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #Statistical Finance (q-fin.ST)
- Identifying maximal sets of significantly interacting nodes in higher-order networks
2022/09/26 by Federico Musciotto, Federico Battiston, Musciotto, Federico +3 · 1 citation
Computer Science · Physics and Astronomy · #Complex Network Analysis Techniques #Data Visualization and Analytics #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Topological and Geometric Data Analysis