Gabriella Vaglica

University of Palermo

Viale delle Scienza

Palermo, Palermo 90128

Italy

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SCHOLARLY PAPERS

3

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144

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Scholarly Papers (3)

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1.

Trading Activity and Price Impact in Parallel Markets: SETS vs. Off-Book Market at the London Stock Exchange

Number of pages: 16 Posted: 26 Feb 2011 Last Revised: 11 Dec 2011

Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna

University of Palermo, University of Palermo, Università di Bologna and University of Palermo

Downloads 76 (422,853)

Citation 1

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2.

Statistical Identification with Hidden Markov Models of Large Order Splitting Strategies in an Equity Market

New Journal of Physics, Vol. 12, July 2010

Number of pages: 26 Posted: 03 Feb 2011

Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna

University of Palermo, Università di Bologna and University of Palermo

Downloads 68 (448,927)

Citation 1

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3.

Market Impact and Trading Proﬁle of Large Trading Orders in Stock Markets

Posted: 03 Aug 2009

Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna

Universidad Carlos III de Madrid, Santa Fe Institute, Universidad Carlos III de Madrid, U.S. Securities and Exchange Commission, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Palermo, Università di Bologna and University of Palermo

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