463 citations · 3.2k across the 92 of their papers we have counts for
3 papers · 1 filter
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…
How news affect the trading behavior of different categories of investors in a financial market
Fabrizio Lillo, Salvatore Miccichè, Michele Tumminello +2
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role…
Calibration of optimal execution of financial transactions in the presence of transient market impact
Enzo Busseti, Fabrizio Lillo
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due…