Lillo, Fabrizio
- Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
2017/05/09 by Rupert Way, Way, Rupert, François Lafond +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 · 10 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 · 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
- 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
- Optimal execution with nonlinear transient market impact
2014/12/16 by Curato, Gianbiagio, Gatheral, Jim, Lillo, Fabrizio · 5 citations
#45E10 #45G05 #49M25 #90C26 #90C30 #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- How efficiency shapes market impact
2011/02/26 by Farmer, J. Doyne, Gerig, Austin, Lillo, Fabrizio +1 · 4 citations
#FOS: Economics and business #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
- What really causes large price changes?
2003/12/30 by J. Doyne Farmer, László Gillemot, Farmer, J. Doyne +7 · 3 citations
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Complex Systems and Time Series Analysis #Market Dynamics and Volatility
- When do improved covariance matrix estimators enhance portfolio\n optimization? An empirical comparative study of nine estimators
2010/04/24 by Ester Pantaleo, Pantaleo, Ester, Michele Tumminello +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)
- Beyond the square root: Evidence for logarithmic dependence of market\n impact on size and participation rate
2014/12/05 by Elia Zarinelli, Michele Treccani, Zarinelli, Elia +6 · 2 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Corporate Finance and Governance #FOS: Economics and business #Financial Markets and Investment Strategies #Trading and Market Microstructure (q-fin.TR)
- 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
- On the origin of power law tails in price fluctuations
2003/09/17 by Farmer, J. Doyne, Lillo, Fabrizio · 1 citation
#FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)
- 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)
- The multiplex structure of interbank networks
2013/11/19 by Bargigli, Leonardo, di Iasio, Giovanni, Infante, Luigi +2 · 1 citation
#FOS: Economics and business #General Finance (q-fin.GN)
- Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
2016/02/08 by Taranto, Damian Eduardo, Bormetti, Giacomo, Bouchaud, Jean-Philippe +2 · 1 citation
#FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- A continuous and efficient fundamental price on the discrete order book\n grid
2016/08/02 by Julius Bonart, Bonart, Julius, Fabrizio Lillo +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
- Cross-impact and no-dynamic-arbitrage
2016/12/22 by Schneider, Michael, Lillo, Fabrizio · 1 citation
#FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- Corporate payments networks and credit risk rating
2017/11/21 by Letizia, Elisa, Lillo, Fabrizio · 1 citation
#05C82 #68T05 91D30 #91D30 #91G40 #FOS: Computer and information sciences #FOS: Economics and business #Risk Management (q-fin.RM) #Social and Information Networks (cs.SI)
- A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
2017/12/30 by Mazzarisi, Piero, Barucca, Paolo, Lillo, Fabrizio +1 · 1 citation
#FOS: Computer and information sciences #FOS: Economics and business #FOS: Physical sciences #Machine Learning (stat.ML) #Physics and Society (physics.soc-ph) #Social and Information Networks (cs.SI) #Statistical Finance (q-fin.ST)
- Slow decay of impact in equity markets: insights from the ANcerno database
2019/01/16 by Bucci, Frédéric, Benzaquen, Michael, Lillo, Fabrizio +1 · 1 citation
#FOS: Economics and business #FOS: Physical sciences #Statistical Mechanics (cond-mat.stat-mech) #Trading and Market Microstructure (q-fin.TR)
- Non-Markovian temporal networks with auto- and cross-correlated link dynamics
2019/09/17 by Williams, Oliver E., Mazzarisi, Piero, Lillo, Fabrizio +1 · 1 citation
#FOS: Mathematics #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Probability (math.PR) #Statistical Mechanics (cond-mat.stat-mech)
- 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
- Bayesian Autoregressive Online Change-Point Detection with Time-Varying Parameters
2024/07/23 by Tsaknaki, Ioanna-Yvonni, Lillo, Fabrizio, Mazzarisi, Piero · 1 citation
#FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Methodology (stat.ME)
- Why is the estimation of metaorder impact with public market data so challenging?
2025/01/28 by Manuel Naviglio, Naviglio, Manuel, Giacomo Bormetti +7 · 1 citation
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Climate Change Policy and Economics #Economics of Agriculture and Food Markets
- Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying
2024/02/19 by Macrì, Andrea, Lillo, Fabrizio · 1 citation
#FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)