LILLO, FABRIZIO
LILLO, FABRIZIO
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022-01-01 Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
2021-01-01 Flori, A.; Lillo, F.; Pammolli, F.; Spelta, A.
Collective synchronization and high frequency systemic instabilities in financial markets
2018-01-01 Calcagnile, L. M.; Bormetti, G.; Treccani, M.; Marmi, S.; Lillo, F.
Comment on: Price Discovery in High Resolution
2021-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
2016-01-01 Ranco, G.; Bordino, I.; Bormetti, G.; Caldarelli, G.; Lillo, F.; Treccani, M.
Linear models for the impact of order flow on prices. I. History dependent impact models
2018-01-01 Taranto, D. E.; Bormetti, G.; Bouchaud, J. -P.; Lillo, F.; Toth, B.
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
2018-01-01 Taranto, D. E.; Bormetti, G.; Bouchaud, J. -P.; Lillo, F.; Toth, B.
Modelling systemic price cojumps with Hawkes factor models
2015-01-01 Bormetti, G.; Calcagnile, L. M.; Treccani, M.; Corsi, F.; Marmi, S.; Lillo, F.
Score-driven exponential random graphs: A new class of time-varying parameter models for temporal networks
2024-01-01 Di Gangi, D.; Bormetti, G.; Lillo, F.
Score-driven generalized fitness model for sparse and weighted temporal networks
2022-01-01 Di Gangi, Domenico; Bormetti, Giacomo; Lillo, Fabrizio
The adaptive nature of liquidity taking in limit order books
2014-01-01 Taranto, D. E.; Bormetti, G.; Lillo, F.
Why is the estimation of metaorder impact with public market data so challenging?
2026-01-01 Naviglio, Manuel; Bormetti, Giacomo; Campigli, Francesco; Rodikov, German; Lillo, Fabrizio