- Curriculum Vitae:
- Fabrizio Lillo CV
- Research interests:
- Market microstructure and high frequency finance, Systemic risk, Financial Networks, Statistical Mechanics, Air traffic management, Complex systems
P.Mazzarisi, P.Barucca, F.Lillo, D.Tantari (2018), A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
P.Barucca, P.Mazzarisi, F.Lillo, D.Tantari (2017), Disentangling group and link persistence in dynamic stochastic block models
Letizia E., Lillo F. (2017). Corporate payments networks and credit risk rating
Taranto, D. E., Bormetti, G., Bouchaud, J.-P., Toth, B., and Lillo, F. (2016). Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Taranto, D. E., Bormetti, G., Bouchaud, J.-P., Toth, B., and Lillo, F. (2016). Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
Corsi, F., Lillo, F. and Pirino, D. (2015). Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks.
P.Barucca, D.Tantari, F.Lillo (2016), Centrality metrics and localization in core-periphery networks
Lillo, F., & Pirino, D. (2015). The impact of systemic and illiquidity risk on financing with risky collateral. Journal of Economic Dynamics and Control, 50, 180–202.
Taranto, D. E., Bormetti, G., and Lillo, F. (2014) The adaptive nature of liquidity taking in limit order books. Journal of Statistical Mechanics: Theory and Experiment 2014.6: P06002