922 citations · 2.7k across the 30 of their papers we have counts for
5 papers · 1 filter
Networked relationships in the e-MID Interbank market: A trading model with memory
Giulia Iori, Rosario N. Mantegna, Luca Marotta +3
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential…
Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme, Michele Tumminello, Rosario N. Mantegna +2
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of…
How news affect the trading behavior of different categories of investors in a financial market
Fabrizio Lillo, Salvatore Miccichè, Michele Tumminello +2
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role…
Evolution of worldwide stock markets, correlation structure and correlation based graphs
Dong-Ming Song, Michele Tumminello, Wei-Xing Zhou +1
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correla…
Correlation, hierarchies, and networks in financial markets
M. Tumminello, F. Lillo, R. N. Mantegna
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several o…