3 papers
q-fin.TR2026
Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model
Yadh Hafsi, Fabrizio Lillo, Grégoire Szymanski
We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming ma…
q-fin.TR2025
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution
Tomas Espana, Yadh Hafsi, Fabrizio Lillo +1
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementat…
econ.GN2024
Modelling shock propagation and resilience in financial temporal networks
Fabrizio Lillo, Giorgio Rizzini
Modelling how a shock propagates in a temporal network and how the system relaxes back to equilibrium is challenging but important in many applications, such as financial systemic…