922 citations · 1.5k across the 13 of their papers we have counts for
9 papers · 1 filter
Scale-free relaxation of a wave packet in a quantum well with power-law tails
Salvatore Miccichè, Andreas Buchleitner, Fabrizio Lillo +3
We propose a setup for which a power-law decay is predicted to be observable for generic and realistic conditions. The system we study is very simple: A quantum wave packet initial…
Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
Adriana P. Mattedi, Fernando M. Ramos, Reinaldo R. Rosa +1
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a…
An interest rates cluster analysis
T. Di Matteo, T. Aste, R. N. Mantegna
An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16…
Networks of equities in financial markets
G. Bonanno, G. Caldarelli, F. Lillo +3
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility t…
Noise dressing of the correlation matrix of factor models
Fabrizio Lillo, Rosario N. Mantegna
We study the spectral density of factor models of multivariate time series. By making use of the Random Matrix Theory we analytically quantify the effect of noise dressing on the s…
Degree stability of a minimum spanning tree of price return and volatility
Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) v…