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Fabrizio Lillo

Fabrizio Lillo

D-Index & Metrics

Economics and Finance

D-Index
56
Citations
11418
World Ranking
1017
National Ranking
22

Overview

Fabrizio Lillo is affiliated with the University of Bologna in Italy and has a research focus within the broad domain of Economics, Econometrics and Finance. Their academic contributions span 106 publications, reflecting a multifaceted approach to the analysis of financial markets and complex systems.

Their primary fields of study include Economics and Econometrics, Finance, and Management Science and Operations Research. Subfields also encompass Statistical and Nonlinear Physics as well as General Economics, Econometrics and Finance, illustrating an interdisciplinary research profile.

The scientist's work addresses key topics such as:

  • Complex Systems and Time Series Analysis
  • Financial Markets and Investment Strategies
  • Stock Market Forecasting Methods
  • Financial Risk and Volatility Modeling
  • Stochastic processes and financial applications
  • Complex Network Analysis Techniques
  • Economic theories and models

Their publication record includes research in a variety of venues, with frequent contributions to:

  • arXiv (Cornell University)
  • SSRN Electronic Journal
  • Quantitative Finance
  • Chaos An Interdisciplinary Journal of Nonlinear Science
  • Journal of Business and Economic Statistics

Selected recent papers exemplify their research orientation toward financial systems, market dynamics, and computational methods:

  • "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics," 2020, Journal of Business and Economic Statistics
  • "On the performance of learned data structures," 2021, Theoretical Computer Science
  • "Liquidity fluctuations and the latent dynamics of price impact," 2021, Quantitative Finance
  • "Instabilities in multi-asset and multi-agent market impact games," 2022, Annals of Operations Research
  • "Network-wide assessment of ATM mechanisms using an agent-based model," 2021, Journal of Air Transport Management

Frequent collaborators include the following researchers, reflecting ongoing partnerships within their network:

  • Piero Mazzarisi
  • Adele Ravagnani
  • Giacomo Bormetti
  • Francesco Cordoni
  • Paola Deriu

Best Publications

  • Topology of correlation-based minimal spanning trees in real and model markets.

    Giovanni Bonanno;Guido Caldarelli;Fabrizio Lillo;Rosario Nunzio Mantegna

  • How markets slowly digest changes in supply and demand

    Jean-Philippe Bouchaud;J. Doyne Farmer;Fabrizio Lillo

  • Networks of equities in financial markets

    G. Bonanno;G. Caldarelli;F. Lillo;S. Micciche

  • The Long Memory of the Efficient Market

    Fabrizio Lillo;J. Doyne Farmer

  • Correlation, hierarchies, and networks in financial markets

    Michele Tumminello;Fabrizio Lillo;Fabrizio Lillo;Rosario N. Mantegna

  • Econophysics: Master curve for price-impact function.

    Fabrizio Lillo;J. Doyne Farmer;Rosario N. Mantegna

  • What really causes large price changes

    J. Doyne Farmer;László Gillemot;Fabrizio Lillo;Szabolcs Mike

  • Cluster analysis for portfolio optimization

    Vincenzo Tola;Vincenzo Tola;Fabrizio Lillo;Fabrizio Lillo;Mauro Gallegati;Rosario N. Mantegna

  • High-frequency cross-correlation in a set of stocks

    Giovanni Bonanno;Fabrizio Lillo;Rosario N Mantegna

  • The multiplex structure of interbank networks

    L. Bargigli;G. di Iasio;L. Infante;F. Lillo

  • Market Impact and Trading Profile of Hidden Orders in Stock Markets

    Esteban Moro;Esteban Moro;Javier Vicente;Luis G. Moyano;Aurig Gerig;Aurig Gerig

  • What really causes large price changes

    J. Farmer;Laszlo Gillemot;Fabrizio Lillo;Szabolcs Mike

  • Degree stability of a minimum spanning tree of price return and volatility

    Salvatore Miccichè;Giovanni Bonanno;Fabrizio Lillo;Rosario N. Mantegna

  • Power law relaxation in a complex system: Omori law after a financial market crash

    Fabrizio Lillo;Rosario N. Mantegna

  • On the origin of power law tails in price fluctuations

    J. Farmer;Fabrizio Lillo

  • Levels of complexity in financial markets

    Giovanni Bonanno;Fabrizio Lillo;Rosario N. Mantegna

  • On the origin of power-law tails in price fluctuations

    J Doyne Farmer;Fabrizio Lillo

  • Theory for long memory in supply and demand

    Fabrizio Lillo;Szabolcs Mike;Szabolcs Mike;J. Doyne Farmer

  • Variety and Volatility in Financial Markets

    Fabrizio Lillo;Rosario N. Mantegna

  • Identification of clusters of investors from their real trading activity in a financial market

    Michele Tumminello;Michele Tumminello;Fabrizio Lillo;Fabrizio Lillo;Fabrizio Lillo;Jyrki Piilo;Rosario N Mantegna

Frequent Co-Authors

Rosario N. Mantegna
Rosario N. Mantegna University of Palermo
J. Doyne Farmer
J. Doyne Farmer University of Oxford
Jack D. Farmer
Jack D. Farmer Arizona State University
János Kertész
János Kertész Central European University
Guido Caldarelli
Guido Caldarelli Ca Foscari University of Venice
Mauro Gallegati
Mauro Gallegati Marche Polytechnic University
Massimiliano Zanin
Massimiliano Zanin University of the Balearic Islands
Michael Schneider
Michael Schneider RWTH Aachen University
Vito Latora
Vito Latora Queen Mary University of London
Loriana Pelizzon
Loriana Pelizzon Ca Foscari University of Venice

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