463 citations · 3.2k across the 92 of their papers we have counts for
5 papers · 1 filter
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…