463 citations · 3.2k across the 92 of their papers we have counts for
4 papers · 1 filter
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
Vaiva Vasiliauskaite, Fabrizio Lillo, Nino Antulov-Fantulin
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with di…
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…
Analysis of bank leverage via dynamical systems and deep neural networks
Fabrizio Lillo, Giulia Livieri, Stefano Marmi +2
We consider a model of a simple financial system consisting of a leveraged investor that invests in a risky asset and manages risk by using Value-at-Risk (VaR). The VaR is estimate…
Estimating the Total Volume of Queries to a Search Engine
Fabrizio Lillo, Salvatore Ruggieri
We study the problem of estimating the total number of searches (volume) of queries in a specific domain, which were submitted to a search engine in a given time period. Our statis…