Fabrizio Lillo

Università di Bologna

Via Zamboni, 33

Bologna, 40126

Italy

SCHOLARLY PAPERS

53

DOWNLOADS
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12,589

SSRN CITATIONS
Rank 5,005

SSRN RANKINGS

Top 5,005

in Total Papers Citations

249

CROSSREF CITATIONS

128

Scholarly Papers (53)

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 1,659 (21,671)
Citation 90

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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 1,007 (44,957)
Citation 2

Abstract:

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

3.

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
Capital Fund Management, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, Università di Bologna and University of Oxford
Downloads 635 (83,152)
Citation 15

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

4.

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

Number of pages: 31 Posted: 08 Feb 2017 Last Revised: 04 Mar 2020
University of Verona - Department of Economics, University of Pavia - Department of Economics and Management, University of Pisa - Department of Economics and Università di Bologna
Downloads 590 (91,114)
Citation 5

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

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 433 (132,682)
Citation 21

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

6.

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

Number of pages: 24 Posted: 16 Nov 2016
Julius Bonart, Julius Bonart and Fabrizio Lillo
Imperial College London, CFM-Imperial Institute of Quantitative FinanceUniversity College London - Financial Computing and Analytics Group, Department of Computer Science and Università di Bologna
Downloads 432 (133,015)

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price formation, liquidity provision, tick size, market microstructure

7.

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 424 (135,959)
Citation 14

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

8.

Beyond the normal approximation: robust filtering and smoothing via perturbation methods

Number of pages: 45 Posted: 14 Mar 2018 Last Revised: 23 Jul 2024
University of Verona - Department of Economics, University of Pavia - Department of Economics and Management, University of Pisa - Department of Economics and Università di Bologna
Downloads 391 (149,234)
Citation 1

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Nonlinear filtering, time-varying parameters, stochastic volatility, dynamic correlations

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 381 (153,595)
Citation 20

Abstract:

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market impact, metaorder

10.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 379 (154,534)
Citation 8

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

11.

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 334 (177,321)
Citation 16

Abstract:

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Volatility clustering, transaction frequency, alternative time clocks

12.

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 326 (181,962)
Citation 3

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

13.

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 319 (186,160)
Citation 3

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Econophysics, Brownian motion, Stochastic processes

14.

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
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 314 (189,307)
Citation 10

Abstract:

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

15.

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 312 (190,570)

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

16.

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 University of Bologna
Downloads 275 (217,562)
Citation 16

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

17.

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 247 (241,884)

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

18.

A Machine Learning Approach to Support Decision in Insider Trading Detection

Number of pages: 42 Posted: 13 Dec 2022 Last Revised: 15 Dec 2022
DEPS, University of Siena, Scuola Normale Superiore, CONSOB (Commissione Nazionale per le Società e la Borsa), Università di Bologna, UCL Institute of Finance and Technology and CONSOB (Commissione Nazionale per le Società e la Borsa)
Downloads 243 (245,958)

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Insider trading, Market abuse, Unsupervised learning, Statistically validated networks

19.

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 232 (257,213)
Citation 11

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

20.

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 229 (260,452)
Citation 9

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

21.

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 209 (283,790)
Citation 9

Abstract:

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

22.

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 Pavia - Department of Economics and Management, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 206 (287,593)
Citation 12

Abstract:

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Financial markets, market microstructure, market impact, liquidity

23.

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 205 (288,933)
Citation 4

Abstract:

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portfolio optimization, covariance matrix estimator

24.

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

Number of pages: 18 Posted: 01 Feb 2007
Imperial College London - Department of Mathematics, Budapest University of Technology and Economics - Department of Theoretical Physics, Università di Bologna and University of Palermo
Downloads 203 (292,794)
Citation 4

Abstract:

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order books, double auction, random walk, econophysics

25.

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 200 (295,479)
Citation 1

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

26.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Pavia - Department of Economics and Management, Scuola Normale Superiore, Algorand Foundation, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 199 (296,762)
Citation 19

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

27.

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 172 (338,274)
Citation 6

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

28.

Measuring Price Impact and Information Content of Trades in a Time-Varying Setting

Number of pages: 63 Posted: 27 Dec 2022 Last Revised: 11 Apr 2024
Francesco Campigli, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Pavia - Department of Economics and Management and Università di Bologna
Downloads 152 (375,589)
Citation 1

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Price Impact, Information Content of Trades, Transaction Cost Analysis, Score Driven Model

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
Deutsche Bundesbank and Università di Bologna
Downloads 133 (417,744)
Citation 14

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

30.

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 Pavia - Department of Economics and Management, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 133 (417,744)
Citation 4

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

31.

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 132 (420,113)
Citation 10

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Networks, Complex Systems

32.

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 118 (457,379)
Citation 24

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interbank market, network theory, systemic risk

33.

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 Polytechnic University of Marche - Faculty of Economics
Downloads 115 (469,536)
Citation 2

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34.

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 112 (475,704)

Abstract:

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Continuous time random walk, mean exit time, Markov process

35.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
University of Verona - Department of Economics, University of Pavia - Department of Economics and Management, University of Pisa - Department of Economics and Università di Bologna
Downloads 108 (488,332)
Citation 2

Abstract:

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

Cross-Impact and Price Bubbles: A Two-Asset Lab-Experiment

Number of pages: 33 Posted: 22 Sep 2023
Friedrich-Schiller-Universität Jena, University of London, Royal Holloway College - Department of Economics, Università di Bologna and University of Duisburg-Essen - Institute of Political Science
Downloads 34 (886,729)

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Market-impact, Cross-impact, Hybrid-Experimental Market, Bubbles, Artificial traders.

37.

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 Pavia - Department of Economics and Management, IMT Alti Studi Lucca, Università di Bologna and Algorand Foundation
Downloads 100 (515,824)
Citation 4

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

38.

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 98 (522,866)
Citation 1

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

39.

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

Number of pages: 16 Posted: 12 Jun 2019 Last Revised: 14 Oct 2024
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), University of Pavia - Department of Economics and Management and Università di Bologna
Downloads 97 (529,973)

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

40.

A machine learning approach to support decision in insider trading detection (Metodi sperimentali di machine learning per supportare le decisioni nella detection degli abusi di mercato) CONSOB - Scuola Normale Superiore di Pisa

CONSOB Fintech Series No. 11, 2022
Number of pages: 49 Posted: 27 Dec 2022
DEPS, University of Siena, Scuola Normale Superiore, CONSOB (Commissione Nazionale per le Società e la Borsa), Università di Bologna, UCL Institute of Finance and Technology and CONSOB (Commissione Nazionale per le Società e la Borsa)
Downloads 93 (540,770)

Abstract:

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insider trading, market abuse, unsupervised learning, statistically validated networks

41.

Corporate Payments Networks and Credit Risk Rating

Number of pages: 39 Posted: 30 Jan 2018
Elisa Letizia and Fabrizio Lillo
International Monetary Fund (IMF) and Università di Bologna
Downloads 93 (540,770)
Citation 6

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

42.

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 92 (544,565)
Citation 2

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43.

From Zero-Intelligence to Queue-Reactive: Limit Order Book Modeling for High-Frequency Volatility Estimation and Optimal Execution

Number of pages: 42 Posted: 28 Mar 2022 Last Revised: 19 Sep 2022
Tommaso Mariotti, Fabrizio Lillo and Giacomo Toscano
Scuola Normale Superiore, Università di Bologna and University of Florence
Downloads 84 (575,526)

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Limit order book, volatility estimation, optimal execution, microstructure noise

44.

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 Pavia - Department of Economics and Management and Università di Bologna
Downloads 82 (583,724)
Citation 4

Abstract:

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Financial markets, market microstructure, limit order book, liquidity

45.

How Covid mobility restrictions modified the population of investors in Italian stock markets
(L’evoluzione della composizione del retail trading sul mercato azionario italiano a seguito delle restrizioni imposte dalla pandemia da Covid)
CONSOB - Scuola Normale Superiore di Pisa

CONSOB Fintech Series No. 10, 2022
Number of pages: 31 Posted: 03 Aug 2022
CONSOB (Commissione Nazionale per le Società e la Borsa), Università di Bologna, DEPS, University of Siena, UCL Institute of Finance and Technology, Scuola Normale Superiore and CONSOB (Commissione Nazionale per le Società e la Borsa)
Downloads 70 (637,159)
Citation 1

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Covid; Stock Market, Household finance

46.

Dimensionality reduction techniques to support insider trading detection (Tecniche per la riduzione dimensionale dei dati a supporto del rilevamento dei casi di insider trading) Consob - Scuola Normale Superiore di Pisa

CONSOB Fintech Series No. 12, 2024
Number of pages: 18 Posted: 01 Mar 2024 Last Revised: 08 May 2024
Scuola Normale Superiore, Università di Bologna, CONSOB (Commissione Nazionale per le Società e la Borsa), DEPS, University of Siena, UCL Institute of Finance and Technology and CONSOB (Commissione Nazionale per le Società e la Borsa)
Downloads 48 (758,918)

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Dimensionality reduction, Principal component analysis, Autoencoder, Insider trading, Market abuse, Unsupervised learning

47.

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 48 (758,918)

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

48.

Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying

Number of pages: 22 Posted: 06 Mar 2024 Last Revised: 08 Mar 2024
Andrea Macrì and Fabrizio Lillo
Scuola Normale Superiore and Università di Bologna
Downloads 30 (896,863)

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Optimal execution; reinforcement learning; double deep q-learning; time varying liquidity

49.

Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks

Number of pages: 43 Posted: 17 Mar 2022
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), University of Pavia - Department of Economics and Management and Università di Bologna
Downloads 26 (933,990)

Abstract:

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Temporal Networks, Weighted Networks, Score Driven Models, Interbank Market

50.

CAESar: Conditional Autoregressive Expected Shortfall

Number of pages: 49 Posted: 11 Jul 2024
Federico Gatta, Fabrizio Lillo and Piero Mazzarisi
Scuola Normale Superiore, Università di Bologna and DEPS, University of Siena
Downloads 19 (1,005,964)

Abstract:

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Autoregressive Models, Conditional Value at Risk, Expected Shortfall, Risk Management

51.

Deviations From the Nash Equilibrium and Emergence of Tacit Collusion in a Two-player Optimal Execution Game With Reinforcement Learning

Number of pages: 23 Posted: 20 Sep 2024
Andrea Macrì and Fabrizio Lillo
Scuola Normale Superiore and Università di Bologna
Downloads 15 (1,050,232)

Abstract:

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Optimal Execution game, Impact game, Collusion, Reinforcement Learning, Nash equilibrium

52.

Optimal execution with deterministically time varying liquidity: well posedness and price manipulation *

Not for the moment
Number of pages: 33
Gianluca Palmari, Fabrizio Lillo and Zoltan Eisler
Scuola Normale Superiore, Università di Bologna and Imperial College London - Department of Mathematics
Downloads 1

Abstract:

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Market impact, Optimal execution, Price manipulation

53.

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

Posted: 03 Aug 2009
Universidad Carlos III de Madrid, Santa Fe Institute, Charles III University of 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