Tsaknaki, Ioanna-Yvonni; Lillo, Fabrizio; Mazzarisi, Piero, Bayesian autoregressive online change-point detection with time-varying parameters, «COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION», 2025, 142, pp. 108500 - 108527 [articolo]
Lillo, Fabrizio; Rizzini, Giorgio, Modeling shock propagation and resilience in financial temporal networks, «CHAOS», 2025, 35, Article number: 013134, pp. 1 - 18 [articolo]
Tsaknaki, Ioanna-Yvonni; Lillo, Fabrizio; Mazzarisi, Piero, Online learning of order flow and market impact with Bayesian change-point detection methods, «QUANTITATIVE FINANCE», 2025, 25, pp. 307 - 322 [articolo]Open Access
Mazzarisi, Piero; Ravagnani, Adele; Deriu, Paola; Lillo, Fabrizio; Medda, Francesca; Russo, Antonio, A machine learning approach to support decision in insider trading detection, «EPJ DATA SCIENCE», 2024, 13, Article number: 66, pp. 1 - 44 [articolo]
Cordoni, F; Lillo, F, Instabilities in multi-asset and multi-agent market impact games, «ANNALS OF OPERATIONS RESEARCH», 2024, 336, pp. 505 - 539 [articolo]Open Access
Di Gangi, D.; Bormetti, G.; Lillo, F., Score-driven exponential random graphs: A new class of time-varying parameter models for temporal networks, «CHAOS», 2024, 34, pp. 113101 - 113115 [articolo]
Tripodi, Giorgio; Lillo, Fabrizio; Mavilia, Roberto; Mina, Andrea; Chiaromonte, Francesca; Lamperti, Francesco, The public use of early-stage scientific advances in carbon dioxide removal: a science-technology-policy-media perspective, «ENVIRONMENTAL RESEARCH LETTERS», 2024, 19, Article number: 114009, pp. 1 - 14 [articolo]Open Access
Cordoni, F; Lillo, F, Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game, «DYNAMIC GAMES AND APPLICATIONS», 2024, 14, pp. 333 - 361 [articolo]Open Access
Lillo, F; Livieri, G; Marmi, S; Solomko, A; Vaienti, S, Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks, «SIAM JOURNAL ON FINANCIAL MATHEMATICS», 2023, 14, pp. 598 - 643 [articolo]Open Access
Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo, From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution, «QUANTITATIVE FINANCE», 2023, 23, pp. 367 - 388 [articolo]Open Access
Fabrizio Lillo, Order flow and price formation, in: Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices, Cambridge, Cambridge University Press, 2023, pp. 107 - 129 [capitolo di libro]Open Access
Cordoni, F; Giannetti, C; Lillo, F; Bottazzi, G, Simulation-driven experimental hypotheses and design: a study of price impact and bubbles, «SIMULATION», 2023, 99, pp. 599 - 620 [articolo]Open Access
Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro, Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems, «JOURNAL OF STATISTICAL PHYSICS», 2023, 190, Article number: 156, pp. 1 - 34 [articolo]Open Access
Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo, A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics, «QUANTITATIVE FINANCE», 2022, 22, pp. 2237 - 2255 [articolo]Open Access
Lillo F.; Ruggieri S., Estimating the Total Volume of Queries to a Search Engine, «IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING», 2022, 34, pp. 5351 - 5363 [articolo]Open Access
