Rosario N. Mantegna

Central European University

Prof.

Nador utca 9

Budapest, H-1051

Hungary

University of Palermo

Prof.

Dipartimento di Fisica

Viale delle Scienze, Edificio 18

Palermo, PA I-90128

Italy

http://ocs.unipa.it/Site/Rosario_Nunzio_Mantegna.html

SCHOLARLY PAPERS

23

DOWNLOADS
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2,258

CITATIONS
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Top 25,492

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10

Scholarly Papers (23)

1.

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, Scuola Normale Superiore and Central European University
Downloads 269 (82,097)
Citation 2

Abstract:

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

2.

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 Central European University
Downloads 246 (76,404)

Abstract:

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

3.

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, Scuola Normale Superiore and Central European University
Downloads 162 (147,807)

Abstract:

order books, double auction, random walk, econophysics

4.

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

Number of pages: 30 Posted: 16 Jul 2012
Scuola Normale Superiore, University of Palermo - Department of Physics and Chemistry, University of Palermo, University of Turku and Central European University
Downloads 145 (151,759)

Abstract:

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

5.

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

Number of pages: 30 Posted: 27 Apr 2010
University of Bari, University of Palermo, Scuola Normale Superiore and Central European University
Downloads 136 (160,418)
Citation 1

Abstract:

portfolio optimization, covariance matrix estimator

6.

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, Scuola Normale Superiore, University of Turku and Central European University
Downloads 103 (150,184)
Citation 1

Abstract:

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

7.

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

Number of pages: 11 Posted: 18 Jul 2005
University of Barcelona - Department de Física Fonamental, University of Barcelona - Department of Physics, University of Barcelona - Department of Physics, Scuola Normale Superiore, University of Palermo - Department of Physics and Chemistry and Central European University
Downloads 90 (234,265)

Abstract:

Continuous time random walk, mean exit time, Markov process

8.

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, Central European University, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 72 (229,317)

Abstract:

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

9.

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 Central European University
Downloads 70 (248,289)
Citation 2

Abstract:

financial markets, globalization, correlation-based networks

10.

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, Scuola Normale Superiore, University of Turku and Central European University
Downloads 69 (261,751)
Citation 2

Abstract:

Networks, Complex Systems

11.

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, Scuola Normale Superiore and Central European University
Downloads 63 (276,568)
Citation 1

Abstract:

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

12.

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, Kyoto University, Università Politecnica delle Marche - Faculty of Economics and Central European University
Downloads 61 (263,860)

Abstract:

Credit market, Networked market, Financial networks, Bipartite networks

13.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Boston University, University of Palermo, Central European University, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 52 (283,281)

Abstract:

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

14.

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

Office of Financial Research Working Paper No. 15-15
Number of pages: 28 Posted: 22 Aug 2015
Boston University, University of Palermo, Central European University, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 48 (179,022)

Abstract:

Financial markets, Correlation analysis, Complex systems, Lagged correlations

15.

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, Scuola Normale Superiore and Central European University
Downloads 47 (313,167)

Abstract:

16.

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, Central European University and affiliation not provided to SSRN
Downloads 44 (321,590)

Abstract:

complex systems, social systems, crime, networks

17.

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, Scuola Normale Superiore, Central European University and Università Politecnica delle Marche - Faculty of Economics
Downloads 42 (333,408)
Citation 1

Abstract:

18.

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 Central European University
Downloads 37 (358,891)

Abstract:

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

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, Central European University, University of Palermo, University of Palermo - Department of Physics and Chemistry, City University London and University of Palermo
Downloads 30 (358,891)

Abstract:

20.

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
Scuola Normale Superiore, Scuola Normale Superiore and Central European University
Downloads 23 (425,446)

Abstract:

21.

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, Kyoto University, Università Politecnica delle Marche - Faculty of Economics and Central European University
Downloads 0 (420,365)

Abstract:

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

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 Central European University
Downloads 0 (373,016)

Abstract:

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

23.

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, Institute for New Economic Thinking, University of Palermo, Scuola Normale Superiore and Central European University

Abstract:

financial markets, market impact, large trading orders