Fabrizio Lillo

Università di Bologna

Via Zamboni, 33

Bologna, 40126

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

869

SSRN CITATIONS
Rank 35,218

SSRN RANKINGS

Top 35,218

in Total Papers Citations

14

CROSSREF CITATIONS

9

Scholarly Papers (11)

1.

Liquidity Fluctuations and the Latent Dynamics of Price Impact

Number of pages: 40 Posted: 14 Aug 2018 Last Revised: 22 Dec 2020
Bloomberg LP, Imperial College London - Department of Physics, Università di Bologna and Scuola Normale Superiore
Downloads 312 (120,000)

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market impact, market liquidity, Kalman filter, dynamic linear models, order book depth

2.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 104 (313,778)
Citation 7

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3.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 95 (332,825)
Citation 7

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4.

Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Number of pages: 12 Posted: 28 Jan 2019
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 94 (335,078)
Citation 4

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5.

A Tale of Two Sentiment Scales: Disentangling Short-Run and Long-Run Components in Multivariate Sentiment Dynamics

Number of pages: 37 Posted: 04 Oct 2019 Last Revised: 08 Sep 2020
Danilo Vassallo, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 59 (435,161)
Citation 1

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Sentiment Analysis; Dynamic Factor Models; Kalman FIlter; Expectation Maximization; Quantile Regression

6.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 55 (449,685)
Citation 3

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7.

Instabilities in Multi-Asset and Multi-Agent Market Impact Games

Number of pages: 37 Posted: 04 May 2020 Last Revised: 22 Dec 2020
Francesco Cordoni and Fabrizio Lillo
University of Pisa - Department of Economics and Management and Università di Bologna
Downloads 44 (494,100)
Citation 1

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Market Impact, Game Theory and Nash Equilibria, Transaction Costs, Market Microstructure, High Frequency Trading

8.

Clusters of Investors Around Initial Public Offering

PALGRAVE COMMUNICATIONS | (2019) 5:129
Number of pages: 14 Posted: 14 Jun 2019 Last Revised: 31 Oct 2019
Tampere University, Tampere University, Tampere University, University of Pisa and Università di Bologna
Downloads 34 (541,960)

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investor networks, IPO, investor clusters, SVN, network dynamics, institutional herding

9.

When Panic Makes You Blind: A Chaotic Route to Systemic Risk

Number of pages: 24 Posted: 11 May 2018
Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi
Scuola Normale Superiore, Università di Bologna and Scuola Normale Superiore
Downloads 27 (581,583)

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systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems

10.

Tail Granger Causalities and Where to Find Them: Extreme Risk Spillovers vs Spurious Linkages

Number of pages: 22 Posted: 01 Jun 2020
Scuola Normale Superiore, Abdus Salam International Centre for Theoretical Physics (ICTP), Scuola Normale Superiore and Università di Bologna
Downloads 25 (594,404)
Citation 2

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Granger causality in risk, Spillover effects, Financial contagion, Autoregressive processes, Likelihood-Ratio test

11.

Better to Stay Apart: Asset Commonality, Bipartite Network Centrality, and Investment Strategies

Number of pages: 37 Posted: 15 Nov 2018
Politecnico di Milano, Università di Bologna, Polytechnic University of Milan - Department of Management, Economics and Industrial Engineering and Human Technopole Foundation - Center for Analysis, Decisions, and Society
Downloads 20 (628,272)
Citation 1

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