← All authors Fabrizio Lillo Scuola Normale Superiore (from arXiv:2307.02375, 2023) · ORCID · OpenAlex
118 papers in scope · 116 published · 4 on the econ.EM arXiv · 6,490 citations · h-index 40 (over the papers listed here)
Papers (5 of 118)
Filtering and statistical properties of unimodal maps perturbed by heteroscedastic noise
published 2026 · Stochastics and Dynamics
Price manipulation schemes of new crypto-tokens in decentralized exchanges
published 2025 · EPJ Data Science
with Manuel Naviglio, Francesco Tarantelli
Modeling metaorder impact with a Non-Markovian Zero Intelligence model
published 2025 · Physica A Statistical Mechanics and its Applications
with Adele Ravagnani
Cross − impact and price bubbles in hybrid financial markets
published 2025 · Journal of Behavioral and Experimental Economics · 1 citations
with Philipp Chapkovski, Francesco Cordoni, Caterina Giannetti
working paper 2025 · arXiv
Bayesian autoregressive online change-point detection with time-varying parameters
published 2024 · Communications in Nonlinear Science and Numerical Simulation · 9 citations
published 2024 · Chaos An Interdisciplinary Journal of Nonlinear Science · 3 citations · first circulated 2019
A machine learning approach to support decision in insider trading detection
published 2024 · EPJ Data Science · 6 citations · first circulated 2022
Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
published 2024 · Applied Mathematical Finance · 5 citations
with Andrea Macrì
published 2024 · Quantitative Finance · 5 citations · first circulated 2023
Decoding the Dynamics of Supply and Demand
published 2023 · Physics
Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems
published 2023 · Journal of Statistical Physics · 1 citations
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
published 2023 · SIAM Journal on Financial Mathematics · 2 citations · first circulated 2021
Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game
published 2023 · Dynamic Games and Applications · 2 citations · first circulated 2022
with Francesco Cordoni
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
published 2023 · Quantitative Finance · 4 citations · first circulated 2022
Simulation-driven experimental hypotheses and design: a study of price impact and bubbles
published 2022 · SIMULATION · 4 citations · first circulated 2021
with Francesco Cordoni, Caterina Giannetti, Giulio Bottazzi
Instabilities in multi-asset and multi-agent market impact games
published 2022 · Annals of Operations Research · 13 citations · first circulated 2020
with Francesco Cordoni
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
published 2022 · Scientific Reports · 6 citations · first circulated 2020
published 2022 · Information Sciences · 2 citations
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
published 2022 · Chaos An Interdisciplinary Journal of Nonlinear Science · 5 citations · first circulated 2021
with Vaiva Vasiliauskaitė, Nino Antulov-Fantulin
Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
published 2021 · Decisions in Economics and Finance · 14 citations · first circulated 2020
with Nino Antulov-Fantulin, Tian Guo
Liquidity fluctuations and the latent dynamics of price impact
published 2021 · Quantitative Finance · 15 citations · first circulated 2018
Network-wide assessment of ATM mechanisms using an agent-based model
published 2021 · Journal of Air Transport Management · 9 citations
Betweenness centrality for temporal multiplexes
published 2021 · Scientific Reports · 35 citations
working paper 2021 · arXiv · 9 citations
Unveiling the relation between herding and liquidity with trader lead-lag networks
published 2020 · Quantitative Finance · 16 citations
with Carlo Campajola, Daniele Tantari
New centrality and causality metrics assessing air traffic network interactions
published 2020 · Journal of Air Transport Management · 31 citations
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
published 2020 · Journal of Business and Economic Statistics · 50 citations · first circulated 2018
Tail Granger Causalities and Where to Find Them: Extreme Risk Spillovers vs Spurious Linkages
published 2020 · Journal of Economic Dynamics and Control · 27 citations
Trip Centrality: walking on a temporal multiplex with non-instantaneous link travel time
published 2019 · Scientific Reports · 1 citations
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
published 2019 · European Journal of Operational Research · 53 citations · first circulated 2017
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
published 2019 · Annals of Operations Research · 10 citations · first circulated 2018
Crossover from Linear to Square-Root Market Impact
published 2019 · Physical Review Letters · 32 citations · first circulated 2018
with Frédéric Bucci, Michael Benzaquen, Jean-Philippe Bouchaud
Comment on: Price Discovery in High Resolution
published 2019 · Journal of Financial Econometrics · 15 citations
Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
published 2019 · Journal of Economic Dynamics and Control · 13 citations · first circulated 2017
A Tale of Two Sentiment Scales: Disentangling Short-Run and Long-Run Components in Multivariate Sentiment Dynamics
published 2019 · Quantitative Finance · 1 citations
Are Trading Invariants Really Invariant? Trading Costs Matter
published 2019 · Quantitative Finance · 11 citations
with Frédéric Bucci, Jean-Philippe Bouchaud, Michael Benzaquen
Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database
published 2018 · Market Microstructure and Liquidity · 10 citations
with Frédéric Bucci, Michael Benzaquen, Jean-Philippe Bouchaud
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
published 2018 · Journal of Economic Dynamics and Control · 48 citations · first circulated 2015
Measuring the propagation of financial distress with Granger-causality tail risk networks
published 2018 · Journal of Financial Stability · 95 citations
Cross-impact and no-dynamic-arbitrage
published 2018 · Quantitative Finance · 44 citations · first circulated 2016
with Michael Schneider
Linear models for the impact of order flow on prices. I. History dependent impact models
published 2018 · Quantitative Finance · 21 citations · first circulated 2016
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
published 2018 · Quantitative Finance · 5 citations · first circulated 2016
A continuous and efficient fundamental price on the discrete order book grid
published 2018 · Physica A Statistical Mechanics and its Applications · 2 citations · first circulated 2016
with Julius Bonart
Resolution of ranking hierarchies in directed networks
published 2018 · PLoS ONE
with Elisa Letizia, Paolo Barucca
Co-Impact: Crowding Effects in Institutional Trading Activity
published 2018 · Quantitative Finance · 5 citations
with Frédéric Bucci, Iacopo Mastromatteo, Zoltán Eisler, Jean-Philippe Bouchaud, Charles-Albert Lehalle
Corporate Payments Networks and Credit Risk Rating
published 2018 · EPJ Data Science · 6 citations
with Elisa Letizia
When Panic Makes You Blind: A Chaotic Route to Systemic Risk
published 2018 · Journal of Economic Dynamics and Control
Collective synchronization and high frequency systemic instabilities in financial markets
published 2017 · Quantitative Finance · 35 citations · first circulated 2015
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
published 2017 · Quantitative Finance · 14 citations
Statistical characterization of deviations from planned flight trajectories in air traffic management
published 2016 · Journal of Air Transport Management · 26 citations
with Christian Bongiorno, G. Gurtner, Rosario N. Mantegna, Salvatore Miccichè
Optimal execution with non-linear transient market impact
published 2016 · Quantitative Finance · 47 citations
with Gianbiagio Curato, Jim Gatheral
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
published 2016 · Communications in Nonlinear Science and Numerical Simulation · 16 citations · first circulated 2014
with Gianbiagio Curato, Jim Gatheral
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
published 2016 · Operations Research · 68 citations · first circulated 2013
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
published 2016 · PLoS ONE · 29 citations · first circulated 2014
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
published 2015 · Market Microstructure and Liquidity · 92 citations · first circulated 2014
Competitive allocation of resources on a network: an agent-based model of air companies competing for the best routes
published 2015 · Journal of Statistical Mechanics Theory and Experiment · 4 citations
with G. Gurtner, Luca Valori
Modelling systemic price cojumps with Hawkes factor models
published 2015 · Quantitative Finance · 73 citations · first circulated 2013
Special issue of Quantitative Finance on ‘Interlinkages and Systemic Risk’
published 2015 · Quantitative Finance · 3 citations
with Giovanni di Iasio, Mauro Gallegati, Rosario N. Mantegna
Modeling the coupled return-spread high frequency dynamics of large tick assets
published 2015 · Journal of Statistical Mechanics Theory and Experiment · 11 citations · first circulated 2013
with Gianbiagio Curato
Why is equity order flow so persistent?
published 2014 · Journal of Economic Dynamics and Control · 97 citations · first circulated 2011
The multiplex structure of interbank networks
published 2014 · Quantitative Finance · 60 citations · first circulated 2013
with Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Federico Pierobon
Applying complexity science to air traffic management
published 2014 · Journal of Air Transport Management · 113 citations
with A.J. Cook, H.A.P. Blom, Rosario N. Mantegna, Salvatore Miccichè, Damiân Rivas, Rafael Vázquez, Massimiliano Zanin
The impact of systemic and illiquidity risk on financing with risky collateral
published 2014 · Journal of Economic Dynamics and Control · 13 citations
with Davide Pirino
The adaptive nature of liquidity taking in limit order books
published 2014 · Journal of Statistical Mechanics Theory and Experiment · 28 citations
Multi-Scale Analysis of the European Airspace Using Network Community Detection
published 2014 · PLoS ONE · 56 citations
with G. Gurtner, Stefania Vitali, Marco Cipolla, Rosario N. Mantegna, Salvatore Miccichè, Simone Pozzi
Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric
published 2014 · Entropy · 1 citations
with Gianbiagio Curato
Do firms share the same functional form of their growth rate distribution? A statistical test
published 2013 · Journal of Economic Dynamics and Control · 20 citations · first circulated 2011
with José T. Lunardi, Salvatore Miccichè, Rosario N. Mantegna, Mauro Gallegati
How efficiency shapes market impact
published 2013 · Quantitative Finance · 31 citations
The effect of round-off error on long memory processes
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 3 citations · first circulated 2011
with Gabriele La Spada, La Spada Gabriele
THE ROLE OF UNBOUNDED TIME-SCALES IN GENERATING LONG-RANGE MEMORY IN ADDITIVE MARKOVIAN PROCESSES
published 2013 · Fluctuation and Noise Letters · 4 citations
with Salvatore Miccichè, Rosario N. Mantegna
How does the market react to your order flow?
published 2012 · Quantitative Finance · 12 citations · first circulated 2011
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
published 2012 · Quantitative Finance · 4 citations · first circulated 2011
with Angelo Carollo, Gabriella Vaglica, Rosario N. Mantegna
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
published 2011 · Quantitative Finance · 63 citations · first circulated 2010
with Ester Pantaleo, Michele Tumminello, Rosario N. Mantegna
Statistically Validated Networks in Bipartite Complex Systems
published 2011 · PLoS ONE · 246 citations · first circulated 2010
with Michele Tumminello, Salvatore Miccichè, Jyrki Piilo, Rosario N. Mantegna
Segmentation algorithm for non-stationary compound Poisson processes
published 2010 · The European Physical Journal B · 24 citations
with Bence Tóth, J. Doyne Farmer
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
published 2010 · New Journal of Physics · 16 citations
with Gabriella Vaglica, Rosario N. Mantegna
Correlation, hierarchies, and networks in financial markets
published 2010 · 372 citations
with Michele Tumminello, Rosario N. Mantegna, Mantegna RN
The Structure of Financial Networks
published 2010 · Network Science · 58 citations
Market impact and trading profile of hidden orders in stock markets
published 2009 · Physical Review E · 218 citations
Market reaction to a bid-ask spread change: A power-law relaxation dynamics
published 2009 · Physical Review E · 40 citations
with Adam Ponzi, Rosario N. Mantegna
Diffusive behavior and the modeling of characteristic times in limit order executions
published 2009 · Quantitative Finance · 20 citations · first circulated 2007
with Zoltán Eisler, János Kertész, Rosario N. Mantegna
Econophysics and the challenge of efficiency
published 2008 · Complexity · 2 citations
Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes
published 2008 · The European Physical Journal B · 1 citations
with M. Spanò, Salvatore Miccichè, Rosario N. Mantegna
The non-random walk of stock prices: the long-term correlation between signs and sizes
published 2008 · The European Physical Journal B · 18 citations · first circulated 2007
Generation of hierarchically correlated multivariate symbolic sequences
published 2008 · The European Physical Journal B · 2 citations
with Michele Tumminello, Rosario N. Mantegna
Scaling laws of strategic behavior and size heterogeneity in agent dynamics
published 2008 · Physical Review E · 77 citations · first circulated 2007
with Gabriella Vaglica, Esteban Moro, Rosario N. Mantegna
Kullback-Leibler distance as a measure of the information filtered from multivariate data
published 2007 · Physical Review E · 73 citations
with Michele Tumminello, Rosario N. Mantegna
Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
published 2007 · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 15 citations
with Claudia Coronnello, Michele Tumminello, Salvatore Miccichè, Rosario N. Mantegna
The limit order book on different time scales
published 2007 · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 11 citations
with Zoltán Eisler, János Kertész
Cluster analysis for portfolio optimization
published 2007 · Journal of Economic Dynamics and Control · 284 citations · first circulated 2005
with Vincenzo Tola, Mauro Gallegati, Rosario N. Mantegna
Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
published 2007 · The European Physical Journal B · 35 citations · first circulated 2006
There's more to volatility than volume
published 2006 · Quantitative Finance · 82 citations · first circulated 2005
with László Gillemot, J. Doyne Farmer
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
published 2006 · Quantitative Finance · 96 citations
Scaling and data collapse for the mean exit time of asset prices
published 2005 · Physical Review E · 41 citations
with Miquel Montero, Josep Perelló, Jaume Masoliver, Salvatore Miccichè, Rosario N. Mantegna
Spectral density of the correlation matrix of factor models: A random matrix theory approach
published 2005 · Physical Review E · 34 citations
with Rosario N. Mantegna
Theory for long memory in supply and demand
published 2005 · Physical Review E · 135 citations · first circulated 2004
THE KEY ROLE OF LIQUIDITY FLUCTUATIONS IN DETERMINING LARGE PRICE CHANGES
published 2005 · Fluctuation and Noise Letters · 35 citations
The Long Memory of the Efficient Market
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 357 citations · first circulated 2003
What really causes large price changes?
published 2004 · Quantitative Finance · 286 citations · first circulated 2003
Dynamics of a financial market index after a crash
published 2004 · Physica A Statistical Mechanics and its Applications · 40 citations · first circulated 2002
with Rosario N. Mantegna
Networks of equities in financial markets
published 2004 · The European Physical Journal B · 408 citations
with G. Bonanno, Guido Caldarelli, S. Miccich�, Nicolas Vandewalle, Rosario N. Mantegna, Salvatore Miccichè
On the origin of power-law tails in price fluctuations
published 2004 · Quantitative Finance · 154 citations · first circulated 2003
Topology of correlation-based minimal spanning trees in real and model markets
published 2003 · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 464 citations
with G. Bonanno, Guido Caldarelli, Rosario N. Mantegna
Power-law relaxation in a complex system: Omori law after a financial market crash
published 2003 · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 147 citations · first circulated 2001
with Rosario N. Mantegna
Master curve for price-impact function
published 2003 · Nature · 467 citations
Introducing variety in risk management
published 2002 · Wilmott · 1 citations · first circulated 2001
with Rosario N. Mantegna, Jean-Philippe Bouchaud, Marc Potters
Volatility in financial markets: stochastic models and empirical results
published 2002 · Physica A Statistical Mechanics and its Applications · 95 citations
with Salvatore Miccichè, G. Bonanno, Rosario N. Mantegna
Modelatge econofísic de mercats financers
published 2002 · Mètode: Revista de difusió de la investigació de la Universitat de Valencia
with Rosario N. Mantegna, G. Bonanno
no link
Modelado econofísico de mercados financieros
published 2002 · Mètode: Anuario
with Rosario N. Mantegna, G. Bonanno
Levels of complexity in financial markets
published 2001 · Physica A Statistical Mechanics and its Applications · 95 citations
with G. Bonanno, Rosario N. Mantegna
Ensemble properties of securities traded in the NASDAQ market
published 2001 · Physica A Statistical Mechanics and its Applications · 19 citations
with Rosario N. Mantegna
Variety of Behavior of Equity Returns in Financial Markets
published 2001 · APS
with G. Bonanno, Rosario N. Mantegna
no link
High-frequency cross-correlation in a set of stocks
published 2001 · Quantitative Finance · 243 citations · first circulated 2000
with G. Bonanno, Rosario N. Mantegna
Variety and volatility in financial markets
published 2000 · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 94 citations
with Rosario N. Mantegna
STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS
published 2000 · International Journal of Theoretical and Applied Finance · 17 citations · first circulated 1999
with Rosario N. Mantegna
Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
published 2000 · The European Physical Journal B · 56 citations
with Rosario N. Mantegna
Dynamics of the number of trades of financial securities
published 2000 · Physica A Statistical Mechanics and its Applications · 43 citations · first circulated 1999
with G. Bonanno, Rosario N. Mantegna
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