463 citations · 3.2k across the 92 of their papers we have counts for
110 papers
Filtering and Smoothing with Score-Driven Models
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Score-driven models are, by construction, purely predictive filters. When such models are read as filters for an underlying latent process, rather than as data generating processes…
Network-wide assessment of ATM mechanisms using an agent-based model
Luis Delgado, Gérald Gurtner, Piero Mazzarisi +4
This paper presents results from the SESAR ER3 Domino project. Three mechanisms are assessed at the ECAC-wide level: 4D trajectory adjustments (a combination of actively waiting fo…
How Covid mobility restrictions modified the population of investors in Italian stock markets
Paola Deriu, Fabrizio Lillo, Piero Mazzarisi +3
This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual inv…
Transient impact from the Nash equilibrium of a permanent market impact game
Francesco Cordoni, Fabrizio Lillo
A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is s…
Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks
Domenico Di Gangi, Giacomo Bormetti, Fabrizio Lillo
While the vast majority of the literature on models for temporal networks focuses on binary graphs, often one can associate a weight to each link. In such cases the data are better…
From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution
Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano
The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which leads to biased measures. Alternative estimators have been devel…