Fabrizio Lillo
Fabrizio Lillo
Università di Bologna
Verified email at sns.it - Homepage
TitleCited byYear
Topology of correlation-based minimal spanning trees in real and model markets
G Bonanno, G Caldarelli, F Lillo, RN Mantegna
Physical Review E 68 (4), 046130, 2003
4542003
How markets slowly digest changes in supply and demand
JP Bouchaud, JD Farmer, F Lillo
Handbook of financial markets: dynamics and evolution, 57-160, 2009
4082009
Econophysics: Master curve for price-impact function
F Lillo, JD Farmer, RN Mantegna
Nature 421 (6919), 129, 2003
3992003
The long memory of the efficient market
F Lillo, JD Farmer
Studies in nonlinear dynamics & econometrics 8 (3), 2004
3972004
Networks of equities in financial markets
G Bonanno, G Caldarelli, F Lillo, S Micciche, N Vandewalle, ...
The European Physical Journal B 38 (2), 363-371, 2004
3872004
What really causes large price changes?
J Doyne Farmer 5, L Gillemot, F Lillo, S Mike, A Sen
Quantitative finance 4 (4), 383-397, 2004
3462004
High-frequency cross-correlation in a set of stocks
G Bonanno, F Lillo, RN Mantegna
Taylor & Francis Group 1 (1), 96-104, 2001
2822001
Correlation, hierarchies, and networks in financial markets
M Tumminello, F Lillo, RN Mantegna
Journal of Economic Behavior & Organization 75 (1), 40-58, 2010
2802010
Cluster analysis for portfolio optimization
V Tola, F Lillo, M Gallegati, RN Mantegna
Journal of Economic Dynamics and Control 32 (1), 235-258, 2008
2062008
Market impact and trading profile of hidden orders in stock markets
E Moro, J Vicente, LG Moyano, A Gerig, JD Farmer, G Vaglica, F Lillo, ...
Physical Review E 80 (6), 066102, 2009
1702009
On the origin of power-law tails in price fluctuations
JD Farmer, F Lillo
Quantitative Finance 4 (1), 7-11, 2004
1642004
Power-law relaxation in a complex system: Omori law after a financial market crash
F Lillo, RN Mantegna
Physical Review E 68 (1), 016119, 2003
1642003
The multiplex structure of interbank networks
L Bargigli, G Di Iasio, L Infante, F Lillo, F Pierobon
Quantitative Finance 15 (4), 673-691, 2015
1572015
Modelling the air transport with complex networks: A short review
M Zanin, F Lillo
The European Physical Journal Special Topics 215 (1), 5-21, 2013
1572013
Degree stability of a minimum spanning tree of price return and volatility
S Miccichè, G Bonanno, F Lillo, RN Mantegna
Physica A: Statistical Mechanics and its Applications 324 (1-2), 66-73, 2003
1532003
Statistically validated networks in bipartite complex systems
M Tumminello, S Micciche, F Lillo, J Piilo, RN Mantegna
PloS one 6 (3), e17994, 2011
1522011
Spanning trees and bootstrap reliability estimation in correlation-based networks
M Tumminello, C Coronnello, F Lillo, S Micciche, RN Mantegna
International Journal of Bifurcation and Chaos 17 (07), 2319-2329, 2007
1442007
Levels of complexity in financial markets
G Bonanno, F Lillo, RN Mantegna
Physica A: Statistical Mechanics and its Applications 299 (1-2), 16-27, 2001
1382001
Theory for long memory in supply and demand
F Lillo, S Mike, JD Farmer
Physical review e 71 (6), 066122, 2005
1252005
Variety and volatility in financial markets
F Lillo, RN Mantegna
Physical Review E 62 (5), 6126, 2000
1132000
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