{"id":16,"date":"2015-07-02T10:40:09","date_gmt":"2015-07-02T09:40:09","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/?page_id=16"},"modified":"2015-07-05T13:40:39","modified_gmt":"2015-07-05T12:40:39","slug":"publications","status":"publish","type":"page","link":"http:\/\/mathfinance.sns.it\/index.php\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"<div class=\"sya_container\" id=\"sya_container\"><h1><a id=\"year2021\"><\/a>2021<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/p-mazzarisi-s-zaoli-c-campajola-f-lillo-tail-granger-causalities-and-where-to-find-them-extreme-risk-spillovers-vs-spurious-linkages-journal-of-economic-dynamics-and-control-121-104022\/\" class=\"sya_postlink post-1405\" rel=\"bookmark\">P. Mazzarisi, S. Zaoli, C. Campajola, F. Lillo (2020). Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages, <em> Journal of Economic Dynamics and Control <\/em> 121, 104022<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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\/\" class=\"sya_postlink post-1400\" rel=\"bookmark\">P. Mazzarisi, F.Lillo, S. Marmi (2019). When panic makes you blind: A chaotic route to systemic risk, <em> Journal of Economic Dynamics and Control <\/em>, 100, 176-199<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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-journ\/\" class=\"sya_postlink post-1370\" rel=\"bookmark\">P. Mazzarisi, P. Barucca, F. Lillo, D. Tantari (2020), <em> A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market <\/em> ,  European Journal of Operational Research, 281, 1, 50-65<\/a><\/div><\/li><\/ul><h1><a id=\"year2018\"><\/a>2018<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/d-di-gangi-f-lillo-d-pirino-assessing-systemic-risk-due-to-fire-sales-spillover-through-maximum-entropy-network-reconstruction-journal-of-economic-dynamics-and-control-94-2018\/\" class=\"sya_postlink post-1175\" rel=\"bookmark\">D. Di Gangi,  F. Lillo, D. Pirino (2018) , <em> Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction <\/em> ,  Journal of Economic Dynamics and Control, 94, 117-141<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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\/\" class=\"sya_postlink post-1135\" rel=\"bookmark\">A. Barra, G. Genovese, P. Sollich, D. Tantari, <em> Phase diagram of restricted Boltzmann machines and generalized Hopfield networks with arbitrary priors <\/em>,  Physical Review E 97 (2), 022310, 2018<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/l-m-calcagnile-g-bormetti-m-treccani-s-marmi-f-lillocollective-synchronization-and-high-frequency-systemic-instabilities-in-financial-markets-quantitative-finance-18-2-237-247\/\" class=\"sya_postlink post-1110\" rel=\"bookmark\">L.M. Calcagnile, G. Bormetti, M. Treccani, S. Marmi, F. Lillo, <em>Collective synchronization and high frequency systemic instabilities in financial markets<\/em>, Quantitative Finance 18 (2), 237-247<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/letizia-e-barucca-p-lillo-f-2018-resolution-of-ranking-hierarchies-in-directed-networks\/\" class=\"sya_postlink post-1092\" rel=\"bookmark\">Letizia E., Barucca P., Lillo F. (2018). <em>Resolution of ranking hierarchies in directed networks<\/a><\/div><\/li><\/ul><h1><a id=\"year2017\"><\/a>2017<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/a-barra-g-genovese-p-sollich-d-tantari-2017phase-transitions-in-restricted-boltzmann-machines-with-generic-priors\/\" class=\"sya_postlink post-1012\" rel=\"bookmark\">A.Barra, G.Genovese, P.Sollich, D.Tantari (2017), <em>Phase transitions in Restricted Boltzmann Machines with generic priors<\/em><\/a><\/div><\/li><\/ul><h1><a id=\"year2016\"><\/a>2016<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/p-barucca-d-tantari-f-lillo-2016-centrality-metrics-and-localization-in-core-periphery-networks\/\" class=\"sya_postlink post-1017\" rel=\"bookmark\">P.Barucca, D.Tantari, F.Lillo (2016), <em>Centrality metrics and localization in core-periphery networks<\/em><\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/agliari-elena-et-al-two-particle-problem-in-comblike-structures-physical-review-e-93-5-2016-052111\/\" class=\"sya_postlink post-980\" rel=\"bookmark\">Agliari, Elena, et al. &#8220;Two-particle problem in comblike structures.&#8221; Physical Review E 93.5 (2016): 052111.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/n-angelini-g-bormetti-s-marmi-f-nardini-a-stylized-model-for-long-run-index-return-dynamics-essays-in-economic-dynamics-111-122\/\" class=\"sya_postlink post-1126\" rel=\"bookmark\">N. Angelini, G. Bormetti, S. Marmi, F. Nardini, <em>A Stylized Model for Long-Run Index Return Dynamics <\/em>,  Essays in Economic Dynamics, 111-122<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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\/\" class=\"sya_postlink post-1123\" rel=\"bookmark\">F. Corsi, S. Marmi, F. Lillo,  <em>When micro prudence increases macro risk: The destabilizing effects of financial innovation, leverage, and diversification<\/em>,  Operations Research 64 (5), 1073-1088<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/clemente-de-rosa-elisa-luciano-luca-regis-2016-basis-risk-in-static-versus-dynamic-longevity-risk-hedging-scandinavian-actuarial-journal\/\" class=\"sya_postlink post-916\" rel=\"bookmark\">Clemente De Rosa, Elisa Luciano, Luca Regis (2016). Basis risk in static versus dynamic longevity-risk hedging. Scandinavian Actuarial Journal<\/a><\/div><\/li><\/ul><h1><a id=\"year2015\"><\/a>2015<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/levy-flights-with-power-law-absorption\/\" class=\"sya_postlink post-886\" rel=\"bookmark\">Luca Cattivelli, Elena Agliari, Fabio Sartori, and Davide Cassi. 2015 L\u00e9vy flights with power-law absorption. Phys. Rev. E 92, 042156<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/agliari-e-sartori-f-cattivelli-l-and-cassi-d-2015-hitting-and-trapping-times-on-branched-structures-physical-review-e-915-p-052132\/\" class=\"sya_postlink post-884\" rel=\"bookmark\">Agliari, E., Sartori, F., Cattivelli, L. and Cassi, D., 2015. Hitting and trapping times on branched structures. Physical Review E, 91(5), p.052132.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/g-bormetti-l-m-calcagnile-m-treccani-f-corsi-s-marmi-f-lillomodelling-systemic-price-cojumps-with-hawkes-factor-models-quantitative-finance-15-7-1137-1156\/\" class=\"sya_postlink post-1120\" rel=\"bookmark\">G. Bormetti, L. M.  Calcagnile, M. Treccani, F. Corsi, S. Marmi,  F. Lillo, <em>Modelling systemic price cojumps with Hawkes factor models <\/em>,  Quantitative Finance 15 (7), 1137-1156<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/d-h-kim-s-marmidistribution-of-asset-price-movement-and-market-potential-journal-of-statistical-mechanics-theory-and-experiment-2015-7-p07001\/\" class=\"sya_postlink post-1117\" rel=\"bookmark\">D.H. Kim, S. Marmi, <em>Distribution of asset price movement and market potential<\/em>,  Journal of Statistical Mechanics: Theory and Experiment 2015 (7), P07001<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/amendola-g-marengo-l-pirino-d-settepanella-s-and-takemura-a-2015-decidability-in-complex-social-choices-evolutionary-and-institutional-economics-review-121-141-168\/\" class=\"sya_postlink post-768\" rel=\"bookmark\">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.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/bottazzi-g-tamagni-pirino-d-2015-zipf-law-and-the-firm-size-distribution-a-critical-discussion-of-popular-estimators\/\" class=\"sya_postlink post-743\" rel=\"bookmark\">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.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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\/\" class=\"sya_postlink post-736\" rel=\"bookmark\">Lillo, F., &#038; Pirino, D.  (2015). The impact of systemic and illiquidity risk on financing with risky collateral. Journal of Economic Dynamics and Control, 50, 180\u2013202.<\/a><\/div><\/li><\/ul><h1><a id=\"year2014\"><\/a>2014<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/the-adaptive-nature-of-liquidity-taking-in-limit-order-books\/\" class=\"sya_postlink post-134\" rel=\"bookmark\">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<\/a><\/div><\/li><\/ul><h1><a id=\"year2013\"><\/a>2013<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/s-marmi-c-pacati-r-reno-w-a-risso-a-quantitative-approach-to-fabers-tactical-asset-allocation-international-journal-of-computational-economics-and-econometrics-3-1-2-91-101\/\" class=\"sya_postlink post-1115\" rel=\"bookmark\">S. Marmi, C. Pacati, R. Ren\u00f2, W.A. Risso, <em>A quantitative approach to Faber&#8217;s tactical asset allocation<\/em>,  International Journal of Computational Economics and Econometrics 3 (1-2),  91-101<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/g-buccheri-s-marmi-r-n-mantegna-evolution-of-correlation-structure-of-industrial-indices-of-us-equity-markets-physical-review-e-88-1-012806\/\" class=\"sya_postlink post-1113\" rel=\"bookmark\">G. Buccheri, S. Marmi, R.N. Mantegna, <em>Evolution of correlation structure of industrial indices of US equity markets<\/em>,  Physical Review E 88 (1), 012806<\/a><\/div><\/li><\/ul><h1><a id=\"year2012\"><\/a>2012<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/pirino-d-rigosa-j-ledda-a-and-ferretti-l-2012-detecting-correlations-among-functional-sequence-motifs-physical-review-e-85-066124\/\" class=\"sya_postlink post-764\" rel=\"bookmark\">Pirino D., Rigosa J., Ledda A. and Ferretti, L. (2012). Detecting correlations among functional-sequence motifs. Physical Review E, 85, 066124.<\/a><\/div><\/li><\/ul><h1><a id=\"year2010\"><\/a>2010<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/pirino-d-and-reno-r-2010-electricity-prices-a-non-parametric-approach-international-journal-of-theoretical-and-applied-finance-132-285-299\/\" class=\"sya_postlink post-760\" rel=\"bookmark\">Pirino D. and Ren\u00f2 R. (2010). Electricity prices: a non-parametric approach. International Journal of Theoretical and Applied Finance, 13(2), 285-299.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/corsi-f-pirino-d-reno-r-2010-threshold-bipower-variation-and-the-impact-of-jumps-on-volatility-forecasting-journal-of-econometrics-1592-276-288\/\" class=\"sya_postlink post-177\" rel=\"bookmark\">Corsi, F., Pirino, D., and Ren\u00f2, R. (2010). Threshold bipower variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), 276-288<\/a><\/div><\/li><\/ul><h1><a id=\"year2009\"><\/a>2009<\/h1><ul><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/roma-a-and-pirino-d-2009-the-extraction-of-natural-resources-the-role-of-thermodynamic-efficiency-ecological-economics-6810-2594-2606\/\" class=\"sya_postlink post-755\" rel=\"bookmark\">Roma A. and Pirino D.  (2009). The extraction of natural resources: the role of thermodynamic efficiency. Ecological Economics, 68(10),  2594\u20132606.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/pirino-d-2009-jump-detection-and-long-range-dependence-physica-a-3887-1150-1156\/\" class=\"sya_postlink post-757\" rel=\"bookmark\">Pirino D. (2009). Jump detection and long range dependence. Physica A, 388(7), 1150-1156.<\/a><\/div><\/li><li class=\"\"><div class=\"sya_postcontent\"><span class=\"sya_date\"> <span class=\"sya_sep\"> <\/span><\/span><a href=\"http:\/\/mathfinance.sns.it\/index.php\/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\/\" class=\"sya_postlink post-766\" rel=\"bookmark\">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.<\/a><\/div><\/li><\/ul><\/div>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":7,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/pages\/16"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=16"}],"version-history":[{"count":5,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/pages\/16\/revisions"}],"predecessor-version":[{"id":130,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/pages\/16\/revisions\/130"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=16"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}