14 citations · 25 across the 5 of their papers we have counts for
5 papers
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…
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
Carlo Campajola, Domenico Di Gangi, Fabrizio Lillo +1
A common issue when analyzing real-world complex systems is that the interactions between the elements often change over time: this makes it difficult to find optimal models that d…
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
Piero Mazzarisi, Silvia Zaoli, Carlo Campajola +1
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether p…
Unveiling the relation between herding and liquidity with trader lead-lag networks
Carlo Campajola, Fabrizio Lillo, Daniele Tantari
We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not tra…
Inference of the Kinetic Ising Model with Heterogeneous Missing Data
Carlo Campajola, Fabrizio Lillo, Daniele Tantari
We consider the problem of inferring a causality structure from multiple binary time series by using the Kinetic Ising Model in datasets where a fraction of observations is missing…