Fabrizio Lillo

Università di Bologna

Via Zamboni, 33

Bologna, 40126

Italy

SCHOLARLY PAPERS

41

DOWNLOADS
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Top 5,726

in Total Papers Downloads

7,395

CITATIONS
Rank 5,321

SSRN RANKINGS

Top 5,321

in Total Papers Citations

153

Scholarly Papers (41)

1.

How Markets Slowly Digest Changes in Supply and Demand

Number of pages: 111 Posted: 15 Sep 2008
Capital Fund Management, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 1,364 (13,395)
Citation 47

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Financial markets, Market microstructure, Market impact, Order flow

2.

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 Università di Bologna
Downloads 593 (44,257)

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

3.

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

Number of pages: 30 Posted: 08 Feb 2017 Last Revised: 24 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 404 (71,463)
Citation 1

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

4.

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
University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 330 (90,228)
Citation 9

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

5.

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, Università di Bologna and University of Palermo
Downloads 325 (91,713)
Citation 4

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

6.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Santa Fe Institute, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 292 (103,100)
Citation 7

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

7.

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, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 286 (105,473)
Citation 5

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Volatility clustering, transaction frequency, alternative time clocks

8.

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, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 283 (106,632)

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Econophysics, Brownian motion, Stochastic processes

9.

How Efficiency Shapes Market Impact

Number of pages: 34 Posted: 20 Mar 2013 Last Revised: 27 Sep 2013
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, U.S. Securities and Exchange Commission, Università di Bologna and Portware LLC
Downloads 244 (124,442)
Citation 5

Abstract:

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market impact, metaorder

10.

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

Number of pages: 41 Posted: 04 Aug 2015 Last Revised: 23 Jun 2018
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
Scuola Normale Superiore, Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 238 (127,628)
Citation 3

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systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model

11.

Measuring the Propagation of Financial Distress with Granger-Causality Tail Risk Networks

Number of pages: 34 Posted: 10 Mar 2015 Last Revised: 02 Mar 2018
Fulvio Corsi, Fabrizio Lillo, Davide Pirino and Luca Trapin
University of Pisa - Department of Economics, Università di Bologna, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 216 (140,328)
Citation 4

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

12.

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 Università di Bologna
Downloads 212 (142,794)

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

13.

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
Deutsche Bundesbank, Università di Bologna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 198 (152,234)
Citation 2

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

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, Università di Bologna, University of Turku and University of Palermo
Downloads 172 (172,914)
Citation 4

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

15.

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, Università di Bologna and University of Palermo
Downloads 170 (174,748)
Citation 2

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order books, double auction, random walk, econophysics

16.

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 168 (176,536)
Citation 2

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

17.

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, Università di Bologna and University of Palermo
Downloads 165 (179,233)
Citation 1

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portfolio optimization, covariance matrix estimator

18.

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, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 151 (193,230)
Citation 7

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

19.

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
Università di Bologna, Santa Fe Institute - Economics and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 145 (199,725)
Citation 1

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

20.

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, Università di Bologna and University of Oxford
Downloads 135 (211,618)
Citation 4

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

21.

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

Number of pages: 43 Posted: 11 May 2017 Last Revised: 29 Aug 2018
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, Università di Bologna, UNSW Business School, Economics, University of New South Wales and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 114 (241,962)
Citation 1

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Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio

22.

A General Class of Score-Driven Smoothers

Number of pages: 37 Posted: 14 Mar 2018 Last Revised: 26 Sep 2018
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 110 (246,642)
Citation 1

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Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty

23.

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
Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 107 (251,483)

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

24.

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, Università di Bologna and Santa Fe Institute
Downloads 96 (270,549)
Citation 6

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Financial markets, market microstructure, market impact, liquidity

25.

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 Università di Bologna
Downloads 94 (274,324)

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price formation, liquidity provision, tick size, market microstructure

26.

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 93 (276,263)

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Continuous time random walk, mean exit time, Markov process

27.

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 86 (290,283)
Citation 1

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Networks, Complex Systems

28.

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, Università di Bologna and Santa Fe Institute
Downloads 81 (301,025)
Citation 1

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

29.

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, Università di Bologna and University of Palermo
Downloads 74 (317,342)
Citation 1

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

30.

Cross-Impact and No-Dynamic-Arbitrage

Number of pages: 33 Posted: 23 Dec 2016 Last Revised: 26 Aug 2017
Michael Schneider and Fabrizio Lillo
Deutsche Bundesbank and Università di Bologna
Downloads 70 (327,316)
Citation 3

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

31.

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, Università di Bologna and European Central Bank
Downloads 62 (348,813)
Citation 7

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interbank market, network theory, systemic risk

32.

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, Università di Bologna and University of Palermo
Downloads 61 (351,654)

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33.

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! - Yahoo! Research Labs, University of Bologna - Department of Mathematics, IMT Alti Studi Lucca, Università di Bologna and List Group
Downloads 55 (369,813)

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

34.

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 48 (392,851)
Citation 1

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35.

The Adaptive Nature of Liquidity Taking in Limit Order Books

Number of pages: 40 Posted: 05 Mar 2014 Last Revised: 26 Apr 2016
Damian Taranto, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 39 (425,830)
Citation 2

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Financial markets, market microstructure, limit order book, liquidity

36.

Corporate Payments Networks and Credit Risk Rating

Number of pages: 39 Posted: 30 Jan 2018
Elisa Letizia and Fabrizio Lillo
Scuola Normale Superiore and Università di Bologna
Downloads 36 (438,077)
Citation 3

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Complex Networks, Corporate Networks, Credit Risk Rating, Data Science

37.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 29 (469,379)
Citation 1

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High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment

38.

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 Università di Bologna
Downloads 29 (469,379)

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

39.

Optimal VWAP Execution Under Transient Price Impact

Number of pages: 20 Posted: 28 May 2019
Alexander Barzykin and Fabrizio Lillo
HSBC FX eRisk, Global Markets, HSBC Bank Plc., UK and Università di Bologna
Downloads 16 (541,988)

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Optimal execution, Volume Weighted Average Price (VWAP), Transient price impact, Transaction costs, Market microstructure

40.

Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks

Number of pages: 34 Posted: 12 Jun 2019
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 4 (617,692)

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temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction

41.

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

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financial markets, market impact, large trading orders