Fabrizio Lillo

Economics and Econometrics · 2000–2016

A researcher in the Science corpus: 12 papers; trusts 30 researchers and is trusted by 37 researchers here, as inferred from the citation graph.

Subfields

Whom Fabrizio Lillo trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Jean-Philippe Bouchaud
  2. Shijun Liao
  3. Jan Beran
  4. Marc Potters
  5. J. D. Farmer
  6. Emmanuel Bacry
  7. Xavier Gabaix
  8. Philippe Jorion
  9. Jim Gatheral
  10. Robert Tibshirani

Who trusts Fabrizio Lillo overall

  1. Jim Gatheral
  2. Jean-Philippe Bouchaud
  3. Emmanuel Bacry
  4. M. Gould
  5. Rama Cont
  6. Justin A. Sirignano
  7. Zoltán Eisler
  8. J. D. Farmer
  9. Szabolcs Mike
  10. D. Taranto

Papers from Fabrizio Lillo's perspective

Ordered by how strongly the researchers Fabrizio Lillo trusts endorse each paper. Same corpus, a different order for every researcher.

  1. The Long Memory of the Efficient Market
  2. Statistical properties of stock order books: empirical results and models
  3. More Statistical Properties of Order Books and Price Impact
  4. A theory of power-law distributions in financial market fluctuations (Nature)
  5. The power of patience: a behavioural regularity in limit-order placement
  6. A Dynamic Model of the Limit Order Book
  7. A well-conditioned estimator for large-dimensional covariance matrices
  8. RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
  9. Random matrix approach to cross correlations in financial data. (Physical review. E, Statistical, nonlinear, and soft matter physics)
  10. The Behavior of Stock-Market Prices

Their papers