1 code implementation • ICML 2020 • Paolo Ferragina, Fabrizio Lillo, Giorgio Vinciguerra
A recent trend in algorithm design consists of augmenting classic data structures with machine learning models, which are better suited to reveal and exploit patterns and trends in the input data so to achieve outstanding practical improvements in space occupancy and time efficiency.
no code implementations • 1 Mar 2024 • Adele Ravagnani, Fabrizio Lillo, Paola Deriu, Piero Mazzarisi, Francesca Medda, Antonio Russo
Identification of market abuse is an extremely complicated activity that requires the analysis of large and complex datasets.
no code implementations • 19 Feb 2024 • Andrea Macrì, Fabrizio Lillo
Optimal execution is an important problem faced by any trader.
no code implementations • 5 Jul 2023 • Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
behavior within each regime; (ii) When examining the residuals, our model demonstrates good specification in terms of both distributional assumptions and temporal correlations; (iii) Within a given regime, the price dynamics exhibit a concave relationship with respect to time and volume, mirroring the characteristics of actual large orders; (iv) By incorporating regime information, our model produces more accurate online predictions of order flow and market impact compared to models that do not consider regimes.
no code implementations • 6 Dec 2022 • Piero Mazzarisi, Adele Ravagnani, Paola Deriu, Fabrizio Lillo, Francesca Medda, Antonio Russo
The first one uses clustering to identify, in the vicinity of a price sensitive event such as a takeover bid, discontinuities in the trading activity of an investor with respect to his/her own past trading history and on the present trading activity of his/her peers.
no code implementations • 30 Jul 2022 • Paola Deriu, Fabrizio Lillo, Piero Mazzarisi, Francesca Medda, Adele Ravagnani, Antonio Russo
There are thus indications that the lockdown, and more generally the Covid pandemic, created a sort of regime change in the population of financial investors.
no code implementations • 1 May 2022 • Francesco Cordoni, Fabrizio Lillo
We show that an implied transient impact arises from the Nash equilibrium between a directional trader and one arbitrageur in a market impact game with fixed and permanent impact.
no code implementations • 24 Feb 2022 • Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano
Building on this approach, in this paper we introduce three main innovations: (i) we use as data-generating process the Queue-Reactive model of the limit order book (Huang et al. (2015)), which - compared to the Zero-Intelligence model - generates more realistic microstructure dynamics, as shown here by using an Hausman test; (ii) we consider not only estimators of the integrated volatility but also of the spot volatility; (iii) we show the relevance of the estimator in the prediction of the variance of the cost of a simulated VWAP execution.
no code implementations • 17 Nov 2021 • Vaiva Vasiliauskaite, Fabrizio Lillo, Nino Antulov-Fantulin
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018.
no code implementations • 2 May 2021 • Fabrizio Lillo
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange.
no code implementations • 11 Apr 2021 • Fabrizio Lillo, Giulia Livieri, Stefano Marmi, Anton Solomko, Sandro Vaienti
We find that the parameters of a substantial fraction of banks lie in the dynamical core, and their leverage time series are consistent with a chaotic behavior.
1 code implementation • 24 Jan 2021 • Fabrizio Lillo, Salvatore Ruggieri
The observed volumes of sample queries are collected from Google Trends (continuous data) and SearchVolume (binned data).
no code implementations • 24 Aug 2020 • Carlo Campajola, Fabrizio Lillo, Piero Mazzarisi, Daniele Tantari
Binary random variables are the building blocks used to describe a large variety of systems, from magnetic spins to financial time series and neuron activity.
Statistical Mechanics Econometrics Data Analysis, Statistics and Probability
1 code implementation • 30 Jul 2020 • Carlo Campajola, Domenico Di Gangi, Fabrizio Lillo, Daniele Tantari
A common issue when analyzing real-world complex systems is that the interactions between the elements often change over time: this makes it difficult to find optimal models that describe this evolution and that can be estimated from data, particularly when the driving mechanisms are not known.
no code implementations • 19 May 2020 • Nino Antulov-Fantulin, Tian Guo, Fabrizio Lillo
We study the problem of the intraday short-term volume forecasting in cryptocurrency exchange markets.
no code implementations • 3 May 2020 • Piero Mazzarisi, Silvia Zaoli, Carlo Campajola, Fabrizio Lillo
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management.
no code implementations • 7 Apr 2020 • Francesco Cordoni, Fabrizio Lillo
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash equilibria.
no code implementations • 3 Oct 2019 • Danilo Vassallo, Giacomo Bormetti, Fabrizio Lillo
We propose a novel approach to sentiment data filtering for a portfolio of assets.
no code implementations • 24 Sep 2019 • Carlo Campajola, Fabrizio Lillo, Daniele Tantari
We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not trade.
no code implementations • 31 May 2019 • Margarita Baltakienė, Kęstutis Baltakys, Juho Kanniainen, Dino Pedreschi, Fabrizio Lillo
The complex networks approach has been gaining popularity in analysing investor behaviour and stock markets, but within this approach, initial public offerings (IPO) have barely been explored.
2 code implementations • 13 Nov 2018 • Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo, Jean-Philippe Bouchaud
Using a large database of 8 million institutional trades executed in the U. S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order.
Trading and Market Microstructure Statistical Mechanics
no code implementations • 30 Dec 2017 • Piero Mazzarisi, Paolo Barucca, Fabrizio Lillo, Daniele Tantari
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the propensity of each node to create links.
no code implementations • 21 Nov 2017 • Elisa Letizia, Fabrizio Lillo
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them.
Social and Information Networks Risk Management 91D30, 05C82, 91G40, 68T05 91D30
no code implementations • 20 Jan 2017 • Paolo Barucca, Fabrizio Lillo, Piero Mazzarisi, Daniele Tantari
We analytically and numerically characterize the detectability transitions of such algorithm as a function of the memory parameters of the model and we make a comparison with a full dynamic inference.
no code implementations • 23 May 2014 • Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news.
Trading and Market Microstructure
no code implementations • 4 Sep 2008 • Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices.
Trading and Market Microstructure Statistical Mechanics Physics and Society
no code implementations • 1 Jul 2005 • Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati, Rosario N. Mantegna
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio.
Physics and Society Other Condensed Matter Statistical Finance
no code implementations • 25 Nov 2002 • Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo, and Rosario N. Mantegna
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market.
Statistical Mechanics