Fabrizio Lillo

Università di Bologna

Via Zamboni, 33

Bologna, 40126

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

366

CITATIONS
Rank 40,529

SSRN RANKINGS

Top 40,529

in Total Papers Citations

8

Scholarly Papers (8)

1.

Liquidity Fluctuations and the Latent Dynamics of Price Impact

Number of pages: 39 Posted: 14 Aug 2018 Last Revised: 05 Feb 2019
Bloomberg LP, Imperial College London - Department of Physics, Università di Bologna and Scuola Normale Superiore
Downloads 169 (176,181)

Abstract:

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market impact, market liquidity, Kalman filter, dynamic linear models, order book depth

2.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 57 (360,813)
Citation 3

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3.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 44 (403,784)
Citation 4

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4.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 34 (442,978)

Abstract:

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5.

Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Number of pages: 12 Posted: 28 Jan 2019
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 25 (486,411)
Citation 1

Abstract:

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6.

When Panic Makes You Blind: A Chaotic Route to Systemic Risk

Number of pages: 24 Posted: 11 May 2018
Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi
Scuola Normale Superiore, Università di Bologna and Scuola Normale Superiore
Downloads 19 (520,320)

Abstract:

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systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems

7.

Better to Stay Apart: Asset Commonality, Bipartite Network Centrality, and Investment Strategies

Number of pages: 37 Posted: 15 Nov 2018
IMT Institute for Advanced Studies, Università di Bologna, Polytechnic University of Milan - Department of Management, Economics and Industrial Engineering and Human Technopole Foundation - Center for Analysis, Decisions, and Society
Downloads 10 (573,621)

Abstract:

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8.

Clusters of Investors Around Initial Public Offering

Number of pages: 23 Posted: 14 Jun 2019
Tampere University, Tampere University, Tampere University, affiliation not provided to SSRN and Università di Bologna
Downloads 8 (585,988)

Abstract:

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investor networks, IPO, investor clusters, SVN, network dynamics, institutional herding