9 citations · 13 across the 2 of their papers we have counts for
3 papers
physics.soc-ph2016★ 9 cited
Optimal information diffusion in stochastic block models
Gianbiagio Curato, Fabrizio Lillo
We use the linear threshold model to study the diffusion of information on a network generated by the stochastic block model. We focus our analysis on a two community structure whe…
q-fin.TR2014★ 4 cited
Optimal execution with nonlinear transient market impact
Gianbiagio Curato, Jim Gatheral, Fabrizio Lillo
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well beha…
q-fin.TR2013
Modeling the coupled return-spread high frequency dynamics of large tick assets
Gianbiagio Curato, Fabrizio Lillo
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which pri…