Publications

   My Google Scholar page is here


Preprints


Publications in ISI indexed journals

2018

2017 

2016

2015

2014

2013

2012

  • 56. Enzo Busseti and Fabrizio Lillo, Calibration of optimal execution of financial transactions in the presence of transient market impact, Journal of Statistical Mechanics P09010 doi:10.1088/1742-5468/2012/09/P09010, (2012).
  • 55. Bence Toth, Zoltan Eisler, Fabrizio Lillo, Julien Kockelkoren, Jean-Philippe Bouchaud, J. Doyne Farmer, How does the market react to your order flow? Quantitative Finance  12, 1015–1024 (2012)
  • 54. Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange. Quantitative Finance 12, 517–530 (2012).
  • 53. Michele Tumminello, Fabrizio Lillo, Jyrki Piilo, Rosario N. Mantegna. Identification of clusters of investors from their real trading activity in a financial market. New Journal of Physics 14 013041 (2012).

2011

  • 52. Michele Tumminello, Salvatore Miccichè, Fabrizio Lillo, Jyrki Piilo, Rosario N. Mantegna, Statistically validated networks in bipartite complex systems, PLoS ONE 6(3): e17994. doi:10.1371/journal.pone.0017994 (2011)
  • 51. Ester Pantaleo, Michele Tumminello, Fabrizio Lillo, and R. N. Mantegna, When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimatorsQuantitative Finance 11, 1067-1080 (2011)
  • 50. Michele Tumminello, Salvatore Miccichè, Fabrizio Lillo, Jan Varho, Jurki Piilo, and Rosario N Mantegna, Community characterization of heterogeneous complex systemsJournal of Statistical Mechanics 2011/P01019 (2011).

2010

  • 49. Bence Tòth, Fabrizio Lillo, J. Doyne Farmer, Segmentation algorithm for non-stationary compound Poisson processes. With an application to inventory time series of market members in a financial market. European Physical Journal B 78, 235-243 (2010)
  • 48. Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna, Statistical identification with hidden Markov models of large order splitting strategies in an equity marketNew Journal of  Physics  12 075031 (2010)
  • 47. Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Correlation, hierarchies, and networks in financial marketsJournal of Economic Behavior and Organization 75, 40-58. (2010).

2009

  • 46. Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna, Market impact and trading profile of hidden orders in stock markets. Physical Review E 80, 066102 (2009).
  • 45. Adam Ponzi, Fabrizio Lillo, Rosario N. Mantegna, Market reaction to a bid-ask spread change: A power-law relaxation dynamicsPhysical Review E 80, 016112 (2009).
  • 44. Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N. Mantegna, Diffusive behavior and the modeling of characteristic times in limit order executions. Quantitative Finance 9, 547-563 (2009).
  • 43. Fabrizio Lillo, Econophysics and the challenge of efficiencyComplexity 14, 39-54 (2009).

2008

  • 42. Marco Spanò, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Statistical properties of thermodynamically predicted RNA secondary structures in viral genomesEuropean Physical Journal B 65, 323-331 (2008).
  • 41. Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Generation of hierarchically correlated multivariate symbolic sequences: With an application to the assessment of bootstrap confidence in phylogenetic analysisEuropean Physical Journal B 65, 333-340 (2008).
  • 40. Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo, The non-random walk of stock prices: the long-term correlation between signs and sizesEuropean Physical Journal B 64, 607-614 (2008).
  • 39. Gabriella Vaglica, Fabrizio Lillo, Esteban Moro, Rosario N. Mantegna, Scaling laws of strategic behavior and size heterogeneity in agent dynamicsPhysical Review E 77 036110 (2008).
  • 38. Fabrizio Lillo, Esteban Moro, Gabriella Vaglica, and Rosario N. Mantegna, Specialization and herding behavior of trading firms in a financial market. New Journal of Physics 10, 043019 (2008).
  • 37. Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati, Rosario N. Mantegna, Cluster analysis for portfolio optimizationJournal of Economic Dynamics and Control 32, 235–258 (2008).

2007

  • 36. Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance. Acta Physica Polonica B 38, 4079-4088 (2007).
  • 35. Fabrizio Lillo and David C. Krakauer, A statistical analysis of the three-fold evolution of genomic compression through frame overlaps in prokaryotesBiology Direct 2, 22 (2007).
  • 34. Michele Tumminello, Fabrizio Lillo, and Rosario N. Mantegna, Kullback-Leibler distance as a measure of the information filtered from multivariate data. Physical Review E 76, 031123 (2007).
  • 33. Fabrizio Lillo and Marco Spanò, Inverted and mirror repeats in model nucleotide sequences. Physical Review E 76, 041914 (2007).
  • 32. Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Hierarchically nested factor model from multivariate data, Europhysics Letters 78, 30006 (2007).
  • 31. Fabrizio Lillo, Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices, European Physical Journal B 55, 453-459 (2007).
  • 30. Michele Tumminello, Claudia Coronnello, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna. Spanning Trees and bootstrap reliability estimation in correlation based networks,  International Journal of Bifurcation and Chaos 17, 2319-2329 (2007)

2006

  • 29. Laszlo Gillemot, J. Doyne Farmer, Fabrizio Lillo, There’s more to volatility than volumeQuantitative Finance 6, 371-384 (2006).
  • 28. J. Doyne Farmer, Austin Gerig, Fabrizio Lillo, Szabolcs Mike, Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? Quantitative Finance 6, 107-112 (2006).

2005

  • 27. Miquel Montero, Josep Perellò, Jaume Masoliver, Fabrizio Lillo, Salvatore Miccichè,  Rosario N. Mantegna, Scaling and data collapse for the mean exit time of asset prices. Physical Review E 72, 056101 (2005).
  • 26. Claudia Coronnello, Michele Tumminello, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Sector Identification in a Set of Stock Return Time Series Traded at the London Stock ExchangeActa Physica Polonica 36 2653-2680 (2005).
  • 25. Fabrizio Lillo and Rosario N. Mantegna, Spectral density of the correlation matrix of factor models: A random matrix theory approachPhysical Review E 72, 016219 (2005).
  • 24. Fabrizio Lillo, Szabolcs Mike, J. Doyne Farmer, Theory for long memory in supply and demandPhysical Review E  71, 066122 (2005).
  • 23. Fabrizio Lillo and J. Doyne Farmer, The key role of liquidity fluctuations in determining large price fluctuations. Fluctuations and Noise Letters 5, L209 (2005).
  • 22. Marco Spanò, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Inverted Repeats in Viral GenomesFluctuations and Noise Letters 5, L193 (2005).

2004

  • 21. Fabrizio Lillo and J. Doyne Farmer, The long memory of efficient market.  Studies in Nonlinear Dynamics and Econometrics 8, 1 (2004).
  • 20. J. Doyne Farmer, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike, Anindya Sen, What really causes large price changes? Quantitative Finance 4 383-397 (2004).
  • 19. Fabrizio Lillo and Rosario N. Mantegna, Dynamics of a financial market index after a crash, Physica A  338 125-134 (2004).
  • 18. Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo, Salvatore Miccichè, Nicolas Vandewalle, Rosario N. Mantegna, Networks of equities in financial markets, European Journal Physical B  38, 363-371 (2004).
  • 17. J. Doyne Farmer and Fabrizio Lillo, On the origin of power law tails in price fluctuationsQuantitative Finance 4, C7-C11 (2004).

2003

  • 16. Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo and Rosario N. Mantegna, Topology of correlation based minimal spanning trees in real and model markets, Physical Review E 68, 046130 (2003).
  • 15. Fabrizio Lillo and Rosario N. Mantegna, Power law relaxation in a complex system: Omori Law After a Financial Market CrashPhysical Review E 68, 016119 (2003).
  • 14. Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo and Rosario N. Mantegna, Degree stability of a minimum spanning tree of price return and volatility, Physica A 324 66-73 (2003).
  • 13. Fabrizio Lillo J. Doyne Farmer e Rosario N. Mantegna, Master curve for the price-impact functionNature 421,129-130 (2003).

2002

  • 12. Fabrizio Lillo, Salvatore Basile e Rosario N. Mantegna, Comparative genomic study of inverted repeats in bacteria, Bioinformatics 18 971-979 (2002).
  • 11. Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo and Rosario N. Mantegna, Volatility in Financial Markets: Stochastic Models and Empirical ResultsPhysica A 314, 756-761 (2002).

2001

  • 10. Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna, High-frequency Cross-correlation in a Set of StocksQuantitative Finance  1, 96-104 (2001).
  • 9. Fabrizio Lillo and Rosario N. Mantegna, Ensemble properties of securities traded in the NASDAQ marketPhysica A 299, 161-167 (2001).
  • 8. Giovanni Bonanno, Fabrizio Lillo and Rosario N. Mantegna, Levels of complexity in financial marketsPhysica A 299, 16-27 (2001).
  • 7. Fabrizio Lillo and Rosario N. Mantegna, Empirical properties of the variety of a financial portfolio and the single-index model, European Physical Journal B 20, 503-509 (2001).

2000

  • 6. Fabrizio Lillo and Rosario N. Mantegna, Variety and Volatility in Financial Markets, Physical Review E 62, 6126-6134 (2000).
  • 5. Fabrizio Lillo and Rosario N. Mantegna, Symmetry alteration of ensemble return distribution in crash and rally days of financial market, European Physical Journal B 15, 603-606 (2000).
  • 4. Fabrizio Lillo and Rosario N. Mantegna, Drift-Controlled Anomalous Diffusion: A Solvable Gaussian Model, Physical Review E 61, R4675-R4678 (2000).
  • 3. Giovanni Bonanno, Fabrizio Lillo and Rosario N. Mantegna, Dynamics of the number of trades of financial securitiesPhysica A 280, 136-141 (2000).
  • 2. Fabrizio Lillo and Rosario N. Mantegna, Anomalous Spreading of Power-Law Quantum Wave Packets, Physical Review Letters 84, 1061-1065 (2000).

XX Century

  • 1. G Gennaro, Corrado Leonardi, Fabrizio Lillo, Aloisio Vaglica, Giuseppina Vetri, Internal coherence and quantum phase-difference between two e.m. fieldsOptics Communications 112, 67 (1994).

Publications in international journals with referee

  • 1. Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud, Marc Potters, Introducing Variety in Risk ManagementWilmott magazine, John Wiley & Sons, Ltd, December 2002, 98-102.
  • 2. Fabrizio Lillo and Rosario N. Mantegna, Statistical Properties of Statistical Ensembles of Stock Returns, International Journal of Theoretical and Applied Finance 3, 405-408 (2000).
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s