463 citations · 3.2k across the 92 of their papers we have counts for
31 papers · 1 filter
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…
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…
Order flow and price formation
Fabrizio Lillo
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arr…
Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets
Nino Antulov-Fantulin, Tian Guo, Fabrizio Lillo
We study the problem of the intraday short-term volume forecasting in cryptocurrency exchange markets. The predictions are built by using transaction and order book data from diffe…
Instabilities in Multi-Asset and Multi-Agent Market Impact Games
Francesco Cordoni, Fabrizio Lillo
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study,…