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Lillo, Fabrizio's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,728 |
Total
Citations
51 |
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1.
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Bouchaud , Jean-Philippe
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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865
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34
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Financial markets, Market microstructure, Market impact, Order flow
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2.
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Gillemot, Laszlo
Santa Fe Institute Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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249
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5
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Volatility clustering, transaction frequency, alternative time clocks
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3.
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La Spada, Gabriele
Princeton University - Department of Economics Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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29 Nov 07
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Last Revised:
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16 Jun 08
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239
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Econophysics, Brownian motion, Stochastic processes
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4.
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Tumminello, Michele
Carnegie Mellon University - Department of Social and Decision Sciences Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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227
(65,610)
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Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance
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5.
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Toth, Bence
Santa Fe Institute Eisler, Zoltan
Capital Fund Management Lillo, Fabrizio
University of Palermo Bouchaud , Jean-Philippe
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) Kockelkoren, Julien
affiliation not provided to SSRN Farmer, J. Doyne
Santa Fe Institute
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193
(77,416)
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Financial markets, market microstructure, limit order book, order flow, behavioural economics
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6.
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Eisler, Zoltan
Capital Fund Management Kertesz, Janos
Budapest University of Technology and Economics - Department of Theoretical Physics Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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155
(95,039)
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order books, double auction, random walk, econophysics
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7.
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Lillo, Fabrizio
University of Palermo Mike, Szabolcs
Santa Fe Institute - Economics Farmer, J. Doyne
Santa Fe Institute
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133
(108,470)
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6
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Long memory processes, Financial markets, Order flow, Market efficiency
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8.
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Pantaleo, Ester
Università degli Studi di Bari “Aldo Moro” Tumminello, Michele
Carnegie Mellon University - Department of Social and Decision Sciences Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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129
(111,253)
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portfolio optimization, covariance matrix estimator
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9.
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Lillo, Fabrizio
University of Palermo Miccichè, Salvatore
University of Palermo - Department of Physics Tumminello, Michele
Carnegie Mellon University - Department of Social and Decision Sciences Piilo, Jyrki
University of Turku Mantegna, Rosario N.
Central European University
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95
(139,883)
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Firm-specific news, News sentiment, Trading, Single investors
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10.
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Montero, Miquel
University of Barcelona - Department de Física Fonamental Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics Lillo, Fabrizio
University of Palermo Miccichè, Salvatore
University of Palermo - Department of Physics Mantegna, Rosario N.
Central European University
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88
(147,208)
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Continuous time random walk, mean exit time, Markov process
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11.
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Tumminello, Michele
Carnegie Mellon University - Department of Social and Decision Sciences Lillo, Fabrizio
University of Palermo Piilo, Jyrki
University of Turku Mantegna, Rosario N.
Central European University
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| Posted: |
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20 Jul 11
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Last Revised:
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25 Jul 11
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77
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1
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Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks
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12.
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Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University Miccichè, Salvatore
University of Palermo - Department of Physics Piilo, Jyrki
University of Turku Tumminello, Michele
Carnegie Mellon University - Department of Social and Decision Sciences
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55
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3
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Networks, Complex Systems
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13.
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Farmer, J. Doyne
Santa Fe Institute Gerig, Austin
University of Oxford - Said Business School Lillo, Fabrizio
University of Palermo Waelbroeck, Henri
Portware LLC
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50
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1
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market impact, metaorder
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14.
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Carollo, Angelo
University of Palermo Vaglica, Gabriella
University of Palermo Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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| Posted: |
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26 Feb 11
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Last Revised:
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11 Dec 11
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49
(202,114)
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1
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Financial markets, market segments, high frequency trading, upstair market, price impact
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15.
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Vaglica, Gabriella
University of Palermo Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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41
(217,652)
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16.
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Lunardi, José T.
Universidade Estadual de Ponta Grossa - Departamento de Matematica e Estatistica Miccichè, Salvatore
University of Palermo - Department of Physics Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University Gallegati, Mauro
Università Politecnica delle Marche - Faculty of Economics
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31
(240,458)
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17.
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Bormetti, Giacomo
Scuola Normale Superiore Calcagnile, Lucio Maria
Scuola Normale Superiore Treccani, Michele
List Group Corsi, Fulvio
List Group Marmi, Stefano
Scuola Normale Superiore Lillo, Fabrizio
University of Palermo
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31 Jan 13
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Last Revised:
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12 Mar 13
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30
(243,127)
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price cojumps, Hawkes processes, systemic shocks, high frequency data
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18.
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La Spada, Gabriele
Princeton University - Department of Economics Lillo, Fabrizio
University of Palermo
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| Posted: |
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23 Jul 11
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Last Revised:
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17 Mar 13
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22
(268,123)
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long-memory processes, round-off error, measurement error, log-periodogram regression, detrended fluctuation analysis, hermite polynomials
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19.
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Moro, Esteban
Universidad Carlos III de Madrid Vicente, Javier
Santa Fe Institute Moyano, Luis G.
Universidad Carlos III de Madrid Gerig, Austin
University of Oxford - Said Business School Farmer, J. Doyne
Santa Fe Institute Vaglica, Gabriella
University of Palermo Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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financial markets, market impact, large trading orders
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