Lillo Fabrizio, Introduction to market microstructure and heterogeneity of investors, in: International School of Physics “Enrico Fermi”, Bologna, IOS Press, 2019, pp. 73 - 89 [capitolo di libro]
Luigi Ambrosio, Michele Benzi, Pierluigi Contucci, Fabrizio Lillo, Mathematical and Computational Aspects of Machine Learning, 2019. [mostra o esposizione]
Piero Mazzarisi,
Silvia Zaoli,
Fabrizio Lillo,
Luis Delgado,
Gerald Gurtner,
Andrew Cook,
Damir Valput,, Network-wide assessment of 4D trajectory adjustments using an agent-based model, in: Proceedings of SESAR Innovation Days 2019, SESAR Joint Undertaking, 2019, pp. 1 - 8 (atti di: SESAR Innovation Days 2019, Atene (Grecia), 02 - 06 Dicembre 2019) [Contributo in Atti di convegno]Open Access
Zaoli, Silvia; Mazzarisi, Piero; Lillo, Fabrizio, Trip Centrality: walking on a temporal multiplex with non-instantaneous link travel time, «SCIENTIFIC REPORTS», 2019, 9, pp. 10570 - 10580 [articolo]Open Access
Mazzarisi, Piero; Lillo, Fabrizio; Marmi, Stefano, When panic makes you blind: A chaotic route to systemic risk, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2019, 100, pp. 176 - 199 [articolo]
Way, Rupert; Lafond, François; Lillo, Fabrizio; Panchenko, Valentyn; Farmer, J. Doyne, Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2019, 101, pp. 211 - 238 [articolo]Open Access
Bonart, Julius; Lillo, Fabrizio*, A continuous and efficient fundamental price on the discrete order book grid, «PHYSICA. A», 2018, 503, pp. 698 - 713 [articolo]
Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide*, Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction, «JOURNAL OF ECONOMIC DYNAMICS & CONTROL», 2018, 94, pp. 117 - 141 [articolo]Open Access
Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio, Collective synchronization and high frequency systemic instabilities in financial markets, «QUANTITATIVE FINANCE», 2018, 18, pp. 237 - 247 [articolo]Open Access
Rambaldi, Marcello; Filimonov, Vladimir; Lillo, Fabrizio, Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data, «PHYSICAL REVIEW. E», 2018, 97, Article number: 032318, pp. 032318 - 032331 [articolo]
Barucca, P.; Lillo, F.; Mazzarisi, P.; Tantari, D., Disentangling group and link persistence in dynamic stochastic block models, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2018, 2018, Article number: 123407, pp. 123407 - 123424 [articolo]
S Cresci, F Lillo, D Regoli, S Tardelli, M Tesconi, $FAKE: Evidence of Spam and Bot Activity in Stock Microblogs on Twitter, in: Proceedings of the Twelfth International AAAI Conference on Web and Social Media (ICWSM 2018), 2018, pp. 580 - 583 (atti di: The International Conference on Weblogs and Social Media, Stanford, California (USA), 25-28 Giugno 2018) [Contributo in Atti di convegno]
Damian Eduardo, Taranto; Giacomo, Bormetti; Jean-Philippe, Bouchaud; Fabrizio, Lillo; Bence, Toth, Linear models for the impact of order flow on prices. I. History dependent impact models, «QUANTITATIVE FINANCE», 2018, 18, pp. 903 - 915 [articolo]
Damian Eduardo Taranto; Giacomo Bormetti; Jean-Philippe Bouchaud; Fabrizio Lillo; Bence Toth, Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model, «QUANTITATIVE FINANCE», 2018, 18, pp. 917 - 931 [articolo]
Corsi, Fulvio; Lillo, Fabrizio; Pirino, Davide*; Trapin, Luca, Measuring the propagation of financial distress with Granger-causality tail risk networks, «JOURNAL OF FINANCIAL STABILITY», 2018, 38, pp. 18 - 36 [articolo]Open Access
