11 citations · 11 across the 5 of their papers we have counts for
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cs.LG2026
Online Learning of Scale Parameters in Score-Driven Filters
Fabrizio Lillo, Giulia Livieri, Gianluca Palmari
A score-driven filter multiplies its scaled log-likelihood score by a scale parameter. We call this coefficient the gain and learn it online. Given the current state and realised s…
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…