3 citations · 5 across the 2 of their papers we have counts for
7 papers
Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
Elia Zarinelli, Michele Treccani, J. Doyne Farmer +1
We make an extensive empirical study of the market impact of large orders (metaorders) executed in the U.S. equity market between 2007 and 2009. We show that the square root market…
Condensation phenomena in fat-tailed distributions: a characterization by means of an order parameter
Mario Filiasi, Elia Zarinelli, Erik Vesselli +1
Condensation phenomena are ubiquitous in nature and are found in condensed matter, disordered systems, networks, finance, etc. In the present work we investigate one of the best fr…
On the concentration of large deviations for fat tailed distributions, with application to financial data
Mario Filiasi, Giacomo Livan, Matteo Marsili +3
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a f…
Reconstruction of financial network for robust estimation of systemic risk
Iacopo Mastromatteo, Elia Zarinelli, Matteo Marsili
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniq…
Extreme Value Statistics Distributions in Spin Glasses
Michele Castellana, Aurelien Decelle, Elia Zarinelli
We study the probability distribution of the pseudo-critical temperature in a mean-field and in a short-range spin-glass model: the Sherrington-Kirkpatrick (SK) and the Edwards-And…
Role of the Tracy-Widom distribution in the finite-size fluctuations of the critical temperature of the Sherrington-Kirkpatrick spin glass
Michele Castellana, Elia Zarinelli
We investigate the finite-size fluctuations due to quenched disorder of the critical temperature of the Sherrington-Kirkpatrick spin glass. In order to accomplish this task, we per…