Fabrizio Lillo

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

36

DOWNLOADS
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Top 6,008

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5,982

CITATIONS
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SSRN RANKINGS

Top 7,800

in Total Papers Citations

60

Scholarly Papers (36)

1.

How Markets Slowly Digest Changes in Supply and Demand

Number of pages: 111 Posted: 15 Sep 2008
Capital Fund Management, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 1,039 (11,875)
Citation 36

Abstract:

Financial markets, Market microstructure, Market impact, Order flow

2.

Correlation, Hierarchies, and Networks in Financial Markets

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 38 Posted: 29 May 2010
University of Palermo, Scuola Normale Superiore and University of Palermo
Downloads 269 (82,641)
Citation 2

Abstract:

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

3.

The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes

Number of pages: 9 Posted: 29 Nov 2007 Last Revised: 16 Jun 2008
Gabriele La Spada, J. Doyne Farmer and Fabrizio Lillo
Federal Reserve Banks - Federal Reserve Bank of New York, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 267 (92,909)

Abstract:

Econophysics, Brownian motion, Stochastic processes

4.

There's More to Volatility than Volume

Number of pages: 26 Posted: 18 Oct 2005
Laszlo Gillemot, J. Doyne Farmer and Fabrizio Lillo
Santa Fe Institute, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 259 (92,161)
Citation 5

Abstract:

Volatility clustering, transaction frequency, alternative time clocks

5.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Santa Fe Institute, Capital Fund Management, Scuola Normale Superiore, Capital Fund Management, Capital Fund Management and Institute for New Economic Thinking
Downloads 240 (92,909)

Abstract:

Financial markets, market microstructure, limit order book, order flow, behavioural economics

6.

How Efficiency Shapes Market Impact

Number of pages: 34 Posted: 20 Mar 2013 Last Revised: 27 Sep 2013
Institute for New Economic Thinking, U.S. Securities and Exchange Commission, Scuola Normale Superiore and Portware LLC
Downloads 166 (126,097)
Citation 2

Abstract:

market impact, metaorder

7.

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

Number of pages: 18 Posted: 01 Feb 2007
Capital Fund Management, Budapest University of Technology and Economics - Department of Theoretical Physics, Scuola Normale Superiore and University of Palermo
Downloads 162 (150,827)

Abstract:

order books, double auction, random walk, econophysics

8.

When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification

Number of pages: 36 Posted: 13 Jun 2013
Fulvio Corsi, Stefano Marmi and Fabrizio Lillo
Ca' Foscari University of Venice, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 156 (91,077)

Abstract:

financial innovation, leverage, diversification, endogenous risk, financial crises

9.

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 University of Palermo
Downloads 145 (154,846)

Abstract:

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

10.

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 University of Palermo
Downloads 136 (163,639)
Citation 1

Abstract:

portfolio optimization, covariance matrix estimator

11.

A Theory for Long-Memory in Supply and Demand

Santa Fe Institute Working Paper No. 04-12-041
Number of pages: 12 Posted: 30 Apr 2005
Fabrizio Lillo, Szabolcs Mike and J. Doyne Farmer
Scuola Normale Superiore, Santa Fe Institute - Economics and Institute for New Economic Thinking
Downloads 136 (174,157)
Citation 8

Abstract:

Long memory processes, Financial markets, Order flow, Market efficiency

12.

Optimal Execution with Nonlinear Transient Market Impact

Quantitative Finance, Vol. 17, No. 1, 41-54, 2017
Number of pages: 29 Posted: 17 Dec 2014 Last Revised: 25 Feb 2017
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 125 (59,253)

Abstract:

Transient price impact, market impact model, optimal order execution, transaction‐triggered price manipulation, homotopy analysis, SQP algorithm, GSS algorithm

13.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, Ca' Foscari University of Venice, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 117 (178,270)

Abstract:

price cojumps, Hawkes processes, systemic shocks, high frequency data

14.

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
University of Palermo, Scuola Normale Superiore, University of Turku and University of Palermo
Downloads 103 (150,827)
Citation 1

Abstract:

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

15.

Why Is Equity Order Flow so Persistent?

Number of pages: 42 Posted: 01 Jul 2014
Bence Toth, Imon Palit, Fabrizio Lillo and J. Doyne Farmer
Santa Fe Institute, Monash University, Scuola Normale Superiore and University of Oxford
Downloads 99 (189,374)

Abstract:

Market microstructure, Order flow, Herding, Order splitting, Price impact, Behavioral finance

16.

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 University of Palermo
Downloads 90 (237,143)

Abstract:

Continuous time random walk, mean exit time, Markov process

17.

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 University of Palermo
Downloads 69 (266,965)
Citation 2

Abstract:

Networks, Complex Systems

18.

The Impact of Systemic and Illiquidity Risk on Financing with Risky Collateral.

Number of pages: 34 Posted: 29 Mar 2014
Fabrizio Lillo and Davide Pirino
Scuola Normale Superiore and Dipartimento di Economia e Finanza, Università degli Studi di Roma "Tor Vergata"
Downloads 66 (230,653)

Abstract:

systemic risk; illiquidity; portfolio overlap; repo; haircut; liquidation

19.

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
University of Palermo, University of Palermo, Scuola Normale Superiore and University of Palermo
Downloads 63 (281,921)
Citation 1

Abstract:

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

20.

Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks

Number of pages: 39 Posted: 10 Mar 2015
Fulvio Corsi, Fabrizio Lillo and Davide Pirino
Ca' Foscari University of Venice, Scuola Normale Superiore and Dipartimento di Economia e Finanza, Università degli Studi di Roma "Tor Vergata"
Downloads 56 (157,407)

Abstract:

flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks

21.

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
University of Palermo, Scuola Normale Superiore and University of Palermo
Downloads 47 (316,385)

Abstract:

22.

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, University of Palermo and Università Politecnica delle Marche - Faculty of Economics
Downloads 42 (339,748)
Citation 1

Abstract:

23.

The Multiplex Structure of Interbank Networks

Number of pages: 41 Posted: 12 Nov 2013 Last Revised: 16 Jan 2014
University of Florence - Department of Economics and Management, Bank of Italy, Bank of Italy, Scuola Normale Superiore and Bank of Italy - Banking and Finance Supervision Department
Downloads 40 (313,697)

Abstract:

interbank market, network theory, systemic risk

24.

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

Number of pages: 36 Posted: 04 Aug 2015 Last Revised: 06 Mar 2017
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
Scuola Normale Superiore, Scuola Normale Superiore and Dipartimento di Economia e Finanza, Università degli Studi di Roma "Tor Vergata"
Downloads 38 (195,438)

Abstract:

systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness

25.

The Adaptive Nature of Liquidity Taking in Limit Order Books

Number of pages: 40 Posted: 05 Mar 2014 Last Revised: 26 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Scuola Normale Superiore
Downloads 29 (380,270)

Abstract:

Financial markets, market microstructure, limit order book, liquidity

26.

The Effect of Round-off Error on Long Memory Processes

Number of pages: 44 Posted: 23 Jul 2011 Last Revised: 17 Mar 2013
Gabriele La Spada and Fabrizio Lillo
Federal Reserve Banks - Federal Reserve Bank of New York and Scuola Normale Superiore
Downloads 25 (418,272)
Citation 1

Abstract:

long-memory processes, round-off error, measurement error, log-periodogram regression, detrended fluctuation analysis, hermite polynomials

27.

Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves

Number of pages: 34 Posted: 11 May 2017
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Institute for New Economic Thinking, Scuola Normale Superiore and UNSW Business School, Economics, University of New South Wales
Downloads 0 (413,485)

Abstract:

Technological Progress, Experience Curves, Portfolio Optimization

28.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics

Number of pages: 52 Posted: 08 Feb 2017 Last Revised: 15 Jul 2017
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Ca' Foscari University of Venice and Scuola Normale Superiore
Downloads 0 (114,057)

Abstract:

asynchronous data, microstructure noise, conditional correlation, score-driven models, Kalman filter, dynamic dependence

29.

Cross-Impact and No-Dynamic-Arbitrage

Number of pages: 33 Posted: 23 Dec 2016 Last Revised: 26 Aug 2017
Michael Schneider and Fabrizio Lillo
Scuola Normale Superiore and Scuola Normale Superiore
Downloads 0 (365,810)

Abstract:

Market Impact, Dynamic Arbitrage, Cross-Impact, MOT, Sovereign Bonds

30.

A Continuous and Efficient Fundamental Price on the Discrete Order Book Grid

Number of pages: 24 Posted: 16 Nov 2016
Julius Bonart and Fabrizio Lillo
Imperial College London, CFM-Imperial Institute of Quantitative Finance and Scuola Normale Superiore
Downloads 0 (362,266)

Abstract:

price formation, liquidity provision, tick size, market microstructure

31.

How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis

SAFE Working Paper No. 151
Number of pages: 44 Posted: 19 Oct 2016
Michael Schneider, Fabrizio Lillo and Loriana Pelizzon
Scuola Normale Superiore, Scuola Normale Superiore and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (188,244)

Abstract:

liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing

32.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Scuola Normale Superiore and Santa Fe Institute
Downloads 0 (258,954)

Abstract:

Financial markets, market microstructure, market impact, liquidity

33.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Scuola Normale Superiore and Santa Fe Institute
Downloads 0 (284,227)

Abstract:

Financial markets, market microstructure, market impact, liquidity, markov chain

34.

Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact

Communications in Nonlinear Science and Numerical Simulation, 39:332-342, 2016.
Number of pages: 21 Posted: 19 Mar 2016 Last Revised: 25 Apr 2016
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 0 (150,827)

Abstract:

Optimal execution, Market impact, Homotopy analysis method, Nonlinear integral equations

35.

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

Number of pages: 24 Posted: 06 Dec 2015 Last Revised: 16 Dec 2015
IMT Institute for Advanced Studies, Yahoo! Research Labs - Yahoo Labs, University of Bologna - Department of Mathematics, IMT Alti Studi Lucca, Scuola Normale Superiore and List Group
Downloads 0 (345,947)

Abstract:

financial markets, complex systems, data science, computational social science

36.

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 University of Palermo

Abstract:

financial markets, market impact, large trading orders