11 citations · 11 across the 5 of their papers we have counts for
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q-fin.TR2026
Mitigating Adverse Selection in Concentrated Liquidity AMMs with Dynamic Fees: An Agent-Based Model Approach
Daniele Maria Di Nosse, Fabrizio Lillo
Automated Market Makers based on concentrated liquidity, such as Uniswap v3, significantly improve capital efficiency but expose Liquidity Providers (LPs) to adverse selection cost…
q-fin.TR2026
Trading in the Sunshine or in the Shade: Market Impact and Adverse Selection on Hyperliquid
Davide Barone, Fabrizio Lillo
Sunshine trading theory predicts that publicly disclosing trading intentions can reduce adverse selection and attract liquidity provision, lowering execution costs. Evidence is sca…
q-fin.TR2007★ 11 cited
The limit order book on different time scales
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microst…