922 citations · 1.5k across the 12 of their papers we have counts for
4 papers · 1 filter
Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
M. Tumminello, F. Lillo, R. N. Mantegna
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance…
Kullback-Leibler distance as a measure of the information filtered from multivariate data
Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrice…
Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
Gabriella Vaglica, Fabrizio Lillo, Esteban Moro +1
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, ris…
Diffusive behavior and the modeling of characteristic times in limit order executions
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo +1
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orde…