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The Tenth Article of Ettore Majorana
Rosario Nunzio Mantegna
This year is the centenary of the birth of Ettore Majorana, one of the major Italian physicists of all times. In this note we briefly sketch a few biographical details about Ettore…
Market reaction to temporary liquidity crises and the permanent market impact
Adam Ponzi, Fabrizio Lillo, Rosario N. Mantegna
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a doub…
Spanning Trees and bootstrap reliability estimation in correlation based networks
M. Tumminello, C. Coronnello, F. Lillo +2
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce…
Correlation based networks of equity returns sampled at different time horizons
M. Tumminello, T. Di Matteo, T. Aste +1
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topo…