Rosario N. Mantegna

University of Palermo

Prof.

Dipartimento di Fisica e Chimica

Viale delle Scienze, Edificio 18

Palermo, PA I-90128

Italy

http://www.unipa.it/persone/docenti/m/rosario.mantegna

SCHOLARLY PAPERS

26

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SSRN CITATIONS
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40

CROSSREF CITATIONS

40

Ideas:
“  I am currently working on the heterogeneity of investors acting in a financial market. I primarily perform empirical investigations of trading decisions of single investors by using non conventional data mining techniques based on concepts and tools of network science.  ”

Scholarly Papers (26)

1.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 425 (73,991)
Citation 1

Abstract:

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Correlation estimation, Pearson estimator, Fourier estimator, Hayashi-Yoshida estimator, Kullback-Leibler divergence

2.

Correlation, Hierarchies, and Networks in Financial Markets

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 38 Posted: 29 May 2010
Michele Tumminello, Fabrizio Lillo and Rosario N. Mantegna
University of Palermo, Università di Bologna and University of Palermo
Downloads 342 (95,171)
Citation 8

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Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance

3.

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 23 Jun 2019
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 236 (140,866)

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Financial markets, Market structure, Correlation analysis, Epps effect, Lead-lag

4.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 214 (154,737)

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Correlation; Cointegration; ECM-based long-run Granger causality; Crises; Exchange Rates; Uncertainty

5.

Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Number of pages: 25 Posted: 20 Jul 2011 Last Revised: 25 Jul 2011
Michele Tumminello, Fabrizio Lillo, Jyrki Piilo and Rosario N. Mantegna
University of Palermo, Università di Bologna, University of Turku and University of Palermo
Downloads 176 (185,016)
Citation 9

Abstract:

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Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks

6.

Diffusive Behavior and the Modeling of Characteristic Times in Limit Order Executions

Number of pages: 18 Posted: 01 Feb 2007
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario N. Mantegna
Capital Fund Management, Budapest University of Technology and Economics - Department of Theoretical Physics, Università di Bologna and University of Palermo
Downloads 172 (188,797)
Citation 4

Abstract:

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order books, double auction, random walk, econophysics

7.

How News Affect the Trading Behavior of Different Categories of Investors in a Financial Market

Number of pages: 30 Posted: 16 Jul 2012
Università di Bologna, University of Palermo - Department of Physics and Chemistry, University of Palermo, University of Turku and University of Palermo
Downloads 169 (191,636)
Citation 8

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Firm-specific news, News sentiment, Trading, Single investors

8.

When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators

Number of pages: 30 Posted: 27 Apr 2010
Università degli Studi di Bari “Aldo Moro” (UNIBA), University of Palermo, Università di Bologna and University of Palermo
Downloads 168 (192,593)
Citation 3

Abstract:

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portfolio optimization, covariance matrix estimator

9.

Quantifying Preferential Trading in the e-MID Interbank Market

Number of pages: 25 Posted: 25 Oct 2013 Last Revised: 05 Nov 2013
City University London - Department of Economics, City University London - Department of Economics, University of Palermo, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 110 (268,577)
Citation 5

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Interbank markets, interbank rates, preferential links, statistically validated networks

10.

Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs

Number of pages: 21 Posted: 01 Aug 2011
Dong-Ming Song, Michele Tumminello, Wei-Xing Zhou and Rosario N. Mantegna
East China University of Science and Technology (ECUST), University of Palermo, East China University of Science and Technology - School of Business and University of Palermo
Downloads 96 (294,520)

Abstract:

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financial markets, globalization, correlation-based networks

11.

Scaling and Data Collapse for the Mean Exit Time of Asset Prices

Number of pages: 11 Posted: 18 Jul 2005
University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, University of Barcelona - Department of Physics, Università di Bologna, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 94 (298,437)

Abstract:

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Continuous time random walk, mean exit time, Markov process

12.

Statistically Validated Networks in Bipartite Complex Systems

Number of pages: 34 Posted: 03 Oct 2010 Last Revised: 30 Oct 2013
University of Palermo, University of Palermo - Department of Physics and Chemistry, Università di Bologna, University of Turku and University of Palermo
Downloads 88 (311,200)
Citation 1

Abstract:

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Networks, Complex Systems

13.

Bank-Firm Credit Network in Japan. An Analysis of a Bipartite Network

Number of pages: 9 Posted: 22 Jul 2014
University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Hyogo - Graduate School of Simulation Studies, Niigata University, GSAIS, Kyoto University, Università Politecnica delle Marche - Faculty of Economics and University of Palermo
Downloads 87 (313,438)
Citation 6

Abstract:

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Credit market, Networked market, Financial networks, Bipartite networks

14.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 79 (332,125)
Citation 4

Abstract:

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Multivariate Analysis, Correlation Based Networks, Bootstrap Validation, Lagged Correlations

15.

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 (339,770)
Citation 1

Abstract:

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Financial markets, market segments, high frequency trading, upstair market, price impact

16.

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 64 (372,811)
Citation 1

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17.

The Phenomenology of Specialization of Criminal Suspects

Number of pages: 22 Posted: 17 Aug 2012
University of Palermo, affiliation not provided to SSRN, Stockholm University - Department of Sociology, University of Palermo and affiliation not provided to SSRN
Downloads 53 (408,350)
Citation 1

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complex systems, social systems, crime, networks

18.

Do Firms Share the Same Functional Form of Their Growth Rate Distribution? A Statistical Test

Number of pages: 51 Posted: 18 Mar 2011 Last Revised: 23 Nov 2013
Universidade Estadual de Ponta Grossa - Departamento de Matematica e Estatistica, University of Palermo - Department of Physics and Chemistry, Università di Bologna, University of Palermo and Università Politecnica delle Marche - Faculty of Economics
Downloads 49 (422,561)
Citation 1

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19.

Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

Number of pages: 37 Posted: 14 Mar 2014
City University London - Department of Economics, University of Palermo, University of Palermo, University of Palermo - Department of Physics and Chemistry, City University London and University of Palermo
Downloads 46 (433,871)
Citation 4

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20.

Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election

Number of pages: 9 Posted: 11 Nov 2012
University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Turku, University of Turku and University of Palermo
Downloads 42 (449,697)

Abstract:

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candidate gender, information aggregation in voting, quantitative analysis of political profile

21.

When Financial Economics Influences Physics: The Role of Econophysics

Number of pages: 20 Posted: 20 Dec 2018
Franck Jovanovic, Rosario N. Mantegna and Christophe Schinckus
TELUQ University, University of Palermo and University of Leicester
Downloads 39 (462,297)
Citation 2

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Econophysics, out of equilibrium processes, information, random matrix, El Farol bar, Minority game, analogies, Physics, Finance

22.

Patterns of Trading Profiles at the Nordic Stock Exchange. A Correlation-Based Approach.

Number of pages: 25 Posted: 22 Nov 2015
University of Palermo, University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Turku and University of Palermo
Downloads 37 (470,911)
Citation 1

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Econophysics, Correlation-based networks, Statistically validated networks, Individual investors

23.

Evolution of Correlation Structure of Industrial Indices of US Equity Markets

Number of pages: 8 Posted: 22 Jun 2013
Giuseppe Buccheri, Stefano Marmi and Rosario N. Mantegna
University of Rome Tor Vergata, Scuola Normale Superiore and University of Palermo
Downloads 32 (494,227)
Citation 1

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24.

Backbone of Credit Relationships in the Japanese Credit Market

Number of pages: 14 Posted: 22 Nov 2015
University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Hyogo - Graduate School of Simulation Studies, Niigata University, GSAIS, Kyoto University, Università Politecnica delle Marche - Faculty of Economics and University of Palermo
Downloads 26 (526,191)
Citation 1

Abstract:

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Complex networks, Information filtering, Statistically validated networks, Credit market

25.

Long-Term Ecology of Investors in a Financial Market

Palgrave Communications, Vol. 4, Issue 1, pp. 92-92, 2018
Number of pages: 12 Posted: 01 Aug 2018
Federico Musciotto, Luca Marotta, Jyrki Piilo and Rosario N. Mantegna
University of Palermo, University of Palermo, University of Turku and University of Palermo
Downloads 16 (588,436)
Citation 1

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26.

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

Posted: 03 Aug 2009
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

Abstract:

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financial markets, market impact, large trading orders