389 citations · 767 across the 15 of their papers we have counts for
13 papers
Segmentation algorithm for non-stationary compound Poisson processes
Bence Toth, Fabrizio Lillo, J. Doyne Farmer
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regi…
Correlation, hierarchies, and networks in financial markets
M. Tumminello, F. Lillo, R. N. Mantegna
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several o…
Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes
Marco Spanò, Fabrizio Lillo, Salvatore Miccichè +1
By performing a comprehensive study on 1832 segments of 1212 complete genomes of viruses, we show that in viral genomes the hairpin structures of thermodynamically predicted RNA se…
Generation of hierarchically correlated multivariate symbolic sequences
Mi. Tumminello, F. Lillo, R. N. Mantegna
We introduce an algorithm to generate multivariate series of symbols from a finite alphabet with a given hierarchical structure of similarities. The target hierarchical structure o…
Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
C. Coronnello, M. Tumminello, F. Lillo +2
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specif…
Hierarchically nested factor model from multivariate data
M. Tumminello, F. Lillo, R. N. Mantegna
We show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarch…