Fabrizio Lillo
Scuola Normale Superiore di Pisa
H-index: 53
Europe-Italy
Top articles of Fabrizio Lillo
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Dimensionality reduction techniques to support insider trading detection | arXiv preprint arXiv:2403.00707 | Adele Ravagnani Fabrizio Lillo Paola Deriu Piero Mazzarisi Francesca Medda | 2024/3/1 |
Dimensionally reduction techniques to support insider trading detection (Tecniche per la riduzione dimensionale dei dati a supporto del rilevamento dei casi di insider trading … | CONSOB Fintech Series | Adele Ravagnani Fabrizio Lillo Paola Deriu Piero Mazzarisi Francesca Medda | 2024/2/29 |
Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying | arXiv preprint arXiv:2402.12049 | Andrea Macrì Fabrizio Lillo | 2024/2/19 |
Transient impact from the Nash equilibrium of a permanent market impact game | Dynamic Games and Applications | Francesco Cordoni Fabrizio Lillo | 2023/3/21 |
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution | Quantitative Finance | Tommaso Mariotti Fabrizio Lillo Giacomo Toscano | 2023/3/4 |
Cross-Impact and Price Bubbles: A Two-Asset Lab-Experiment | Available at SSRN | Philipp Chapkovski Francesco Cordoni Caterina Giannetti Fabrizio Lillo | 2023/8/1 |
Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods | arXiv preprint arXiv:2307.02375 | Ioanna-Yvonni Tsaknaki Fabrizio Lillo Piero Mazzarisi | 2023/7/5 |
Analysis of bank leverage via dynamical systems and deep neural networks | SIAM Journal on Financial Mathematics | Fabrizio Lillo Giulia Livieri Stefano Marmi Anton Solomko Sandro Vaienti | 2023/6/30 |
Simulation-driven experimental hypotheses and design: a study of price impact and bubbles | Simulation | Francesco Cordoni Caterina Giannetti Fabrizio Lillo Giulio Bottazzi | 2023/6 |
Decoding the Dynamics of Supply and Demand | Physics | Fabrizio Lillo | 2023/11/8 |
Order flow and price formation | arXiv preprint arXiv:2105.00521 | Fabrizio Lillo | 2021/5/2 |
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems | Journal of Statistical Physics | Fabrizio Lillo Giulia Livieri Stefano Marmi Anton Solomko Sandro Vaienti | 2023/10/4 |
Models of dynamical networks with applications to finance | Domenico Di Gangi | 2022/1/26 | |
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model | Scientific Reports | Carlo Campajola Domenico Di Gangi Fabrizio Lillo Daniele Tantari | 2022/11/11 |
Liquidity fluctuations and the latent dynamics of price impact | Quantitative Finance | Luca Philippe Mertens Alberto Ciacci Fabrizio Lillo Giulia Livieri | 2022/1/2 |
Score-driven generalized fitness model for sparse and weighted temporal networks | Information Sciences | Domenico Di Gangi Giacomo Bormetti Fabrizio Lillo | 2022/10/1 |
Measuring price impact and information content of trades in a time-varying setting | arXiv preprint arXiv:2212.12687 | Francesco Campigli Giacomo Bormetti Fabrizio Lillo | 2022/12/24 |
Quantifying knowledge spillovers from advances in negative emissions technologies | Giorgio Tripodi Francesco Lamperti Roberto Mavilia Andrea Mina Francesca Chiaromonte | 2022 | |
How Covid mobility restrictions modified the population of investors in Italian stock markets | arXiv preprint arXiv:2208.00181 | Paola Deriu Fabrizio Lillo Piero Mazzarisi Francesca Medda Adele Ravagnani | 2022/7/30 |
A machine learning approach to support decision in insider trading detection | arXiv preprint arXiv:2212.05912 | Piero Mazzarisi Adele Ravagnani Paola Deriu Fabrizio Lillo Francesca Medda | 2022/12/6 |
