463 citations · 3.2k across the 92 of their papers we have counts for
19 papers · 1 filter
On the equivalence between the Kinetic Ising Model and discrete autoregressive processes
Carlo Campajola, Fabrizio Lillo, Piero Mazzarisi +1
Binary random variables are the building blocks used to describe a large variety of systems, from magnetic spins to financial time series and neuron activity. In Statistical Physic…
Non-Markovian temporal networks with auto- and cross-correlated link dynamics
Oliver E. Williams, Piero Mazzarisi, Fabrizio Lillo +1
Many of the biological, social and man-made networks around us are inherently dynamic, with their links switching on and off over time. The evolution of these networks is often non…
Scale-free relaxation of a wave packet in a quantum well with power-law tails
Salvatore Miccichè, Andreas Buchleitner, Fabrizio Lillo +3
We propose a setup for which a power-law decay is predicted to be observable for generic and realistic conditions. The system we study is very simple: A quantum wave packet initial…
On the origin of power law tails in price fluctuations
J. Doyne Farmer, Fabrizio Lillo
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluc…
Noise dressing of the correlation matrix of factor models
Fabrizio Lillo, Rosario N. Mantegna
We study the spectral density of factor models of multivariate time series. By making use of the Random Matrix Theory we analytically quantify the effect of noise dressing on the s…
Degree stability of a minimum spanning tree of price return and volatility
Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) v…
Topology of correlation based minimal spanning trees in real and model markets
Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo +1
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market…
Dynamics of a financial market index after a crash
Fabrizio Lillo, Rosario N. Mantegna
We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized…
Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse o…
Long-range correlated stationary Markovian processes
Fabrizio Lillo, Salvatore Micciche', Rosario N. Mantegna
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation o…
Volatility in Financial Markets: Stochastic Models and Empirical Results
Salvatore Micciche`, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained a…
Ensemble properties of securities traded in the NASDAQ market
Fabrizio Lillo, Rosario N. Mantegna
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of…
Introducing Variety in Risk Management
Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud +1
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlatio…
Comparative genomics study of inverted repeats in bacteria
Fabrizio Lillo, Salvatore Basile, Rosario N. Mantegna
We investigate the number of inverted repeats observed in 37 complete genomes of bacteria. The number of inverted repeats observed is much higher than expected using Markovian mode…
Levels of complexity in financial markets
Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that…
Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis
Fabrizio Lillo, Giovanni Bonanno, Rosario N. Mantegna
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in…
High-frequency Cross-correlation in a Set of Stocks
Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchic…
Dynamics of the Number of Trades of Financial Securities
Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. T…
Statistical Properties of Statistical Ensembles of Stock Returns
Fabrizio Lillo, Rosario N. Mantegna
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock pri…