Publications 2021 P. Mazzarisi, S. Zaoli, C. Campajola, F. Lillo (2020). Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages, Journal of Economic Dynamics and Control 121, 104022 P. Mazzarisi, F.Lillo, S. Marmi (2019). When panic makes you blind: A chaotic route to systemic risk, Journal of Economic Dynamics and Control , 100, 176-199 P. Mazzarisi, P. Barucca, F. Lillo, D. Tantari (2020), A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market , European Journal of Operational Research, 281, 1, 50-652018 D. Di Gangi, F. Lillo, D. Pirino (2018) , Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction , Journal of Economic Dynamics and Control, 94, 117-141 A. Barra, G. Genovese, P. Sollich, D. Tantari, Phase diagram of restricted Boltzmann machines and generalized Hopfield networks with arbitrary priors , Physical Review E 97 (2), 022310, 2018 L.M. Calcagnile, G. Bormetti, M. Treccani, S. Marmi, F. Lillo, Collective synchronization and high frequency systemic instabilities in financial markets, Quantitative Finance 18 (2), 237-247 Letizia E., Barucca P., Lillo F. (2018). Resolution of ranking hierarchies in directed networks2017 A.Barra, G.Genovese, P.Sollich, D.Tantari (2017), Phase transitions in Restricted Boltzmann Machines with generic priors2016 P.Barucca, D.Tantari, F.Lillo (2016), Centrality metrics and localization in core-periphery networks Agliari, Elena, et al. “Two-particle problem in comblike structures.” Physical Review E 93.5 (2016): 052111. N. Angelini, G. Bormetti, S. Marmi, F. Nardini, A Stylized Model for Long-Run Index Return Dynamics , Essays in Economic Dynamics, 111-122 F. Corsi, S. Marmi, F. Lillo, When micro prudence increases macro risk: The destabilizing effects of financial innovation, leverage, and diversification, Operations Research 64 (5), 1073-1088 Clemente De Rosa, Elisa Luciano, Luca Regis (2016). Basis risk in static versus dynamic longevity-risk hedging. Scandinavian Actuarial Journal2015 Luca Cattivelli, Elena Agliari, Fabio Sartori, and Davide Cassi. 2015 Lévy flights with power-law absorption. Phys. Rev. E 92, 042156 Agliari, E., Sartori, F., Cattivelli, L. and Cassi, D., 2015. Hitting and trapping times on branched structures. Physical Review E, 91(5), p.052132. G. Bormetti, L. M. Calcagnile, M. Treccani, F. Corsi, S. Marmi, F. Lillo, Modelling systemic price cojumps with Hawkes factor models , Quantitative Finance 15 (7), 1137-1156 D.H. Kim, S. Marmi, Distribution of asset price movement and market potential, Journal of Statistical Mechanics: Theory and Experiment 2015 (7), P07001 Amendola, G., Marengo, L., Pirino, D., Settepanella, S. and Takemura, A. (2015). Decidability in complex social choices. Evolutionary and Institutional Economics Review, 12(1), 141-168. Bottazzi, G., Tamagni F., and Pirino, D. (2015). Zipf law and the firm size distribution: a critical discussion of popular estimators. Journal of Evolutionary Economics, 25(3), 585-610. Lillo, F., & Pirino, D. (2015). The impact of systemic and illiquidity risk on financing with risky collateral. Journal of Economic Dynamics and Control, 50, 180–202.2014 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: P060022013 S. Marmi, C. Pacati, R. Renò, W.A. Risso, A quantitative approach to Faber’s tactical asset allocation, International Journal of Computational Economics and Econometrics 3 (1-2), 91-101 G. Buccheri, S. Marmi, R.N. Mantegna, Evolution of correlation structure of industrial indices of US equity markets, Physical Review E 88 (1), 0128062012 Pirino D., Rigosa J., Ledda A. and Ferretti, L. (2012). Detecting correlations among functional-sequence motifs. Physical Review E, 85, 066124.2010 Pirino D. and Renò R. (2010). Electricity prices: a non-parametric approach. International Journal of Theoretical and Applied Finance, 13(2), 285-299. Corsi, F., Pirino, D., and Renò, R. (2010). Threshold bipower variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), 276-2882009 Roma A. and Pirino D. (2009). The extraction of natural resources: the role of thermodynamic efficiency. Ecological Economics, 68(10), 2594–2606. Pirino D. (2009). Jump detection and long range dependence. Physica A, 388(7), 1150-1156. Allegrini P., Fronzoni L. and Pirino, D. (2009). The influence of the astrocyte field on neuronal dynamics and synchronization. Journal of Biological Physics, 35 (4), 413-423.
