Proceedings

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Proceedings of International Conferences

Proceedings

2005
  • T. Aste, T. Di Matteo, M.Tumminello, R. N. Mantegna, Correlation filtering in financial time series Published in Noise and Fluctuations in Econophysics and Finance, Edited by D. Abbott, J. - P. Bouchaud, X. Gabaix, J. L. McCauley, Proc. of SPIE, Vol. 5848 (SPIE, Bellingham, WA, 2005) 100-109. (Invited Paper)
  • Salvatore Miccichè, Fabrizio Lillo, Rosario N. Mantegna, Correlation based hierarchical clustering in financial time series. in E. Maiorana Conferences special series (Word Scientific, in press), Proceedings of: 31st Workshop of the international School of Solid State Physics "Complexity, metastability and nonextensivity", 20-26 July 2004, Erice, Sicily, Italy edited by C. Beck, A. Rapisarda, C. Tsallis
2004
  • Salvatore Miccichè, Fabrizio Lillo, Giovanni Bonanno, Rosario N. Mantegna, Univariate and multivariate statistical aspects of equity volatility. in Application of Econophysics (Springer Verlag, Tokio), Proceedings of: "The Second Nikkey Econophysics Research Workshop and Symposium", 12-14 November 2002, Tokio, Japan edited by H. Takayasu
  • Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna, Price Impact function of a single transaction. in The complex dynamics of economic interaction. Essays in Economics and Econophysics Series: Lecture Notes in Economics and Mathematical Systems, vol 531. edited by M. Gallegati, A.P. Kirman, M. Marsili
  • Fabrizio Lillo, Rosario N. Mantegna, Modeling the dynamics of a financial  index after a crash. in The complex dynamics of economic interaction. Essays in Economics and Econophysics Series: Lecture Notes in Economics and Mathematical Systems, vol 531. edited by M. Gallegati, A.P. Kirman, M. Marsili
  • Zoltán Palágyi, Gábor Kórösi and Rosario N. Mantegna, High Frequency Data Analisys in an Emerging and Developed Market, in Empirical Science of  Financial Fluctuations, The Advent of Econophysics, ed. by H. Takayasu, (Springer-Verlag, Tokyo, 2002) pp. 102-109.
2002
  • Giovanni Bonanno, Fabrizio Lillo, Salvatore Miccichè and Rosario N. Mantegna, Hierarchical Structures in Complex Systems: from DNA to Financial Markets, in Attractors, signals and Synergetics, ed. by W.Klonowski (Pabst, Science Publisher, 2002) pp. 62-79.
2001
  • Giovanni Bonanno, Fabrizio Lillo and Rosario N. Mantegna, 1/f and 1/f2 Noise in Financial Time Series, Proc. of the 16th International Conference on Noise in Physical Systems and 1/f Fluctuations ICNF 2001 (World Scientific, 2001) pp. 791-796.
2000
  • Rosario N. Mantegna and Bernardo Spagnolo, Experimental Studies of Noise Induced Phenomena in a tunnel Diode, in Stochastic Processes in Physics, Chemistry, and Biology, Edited by Jan Freund and Thorsten Poeschel, (Lecture notes in physics 557, Springer-Verlag, Berlin, 2000) pp. 327-337.
  • Fabrizio Lillo and Rosario N. Mantegna,  A Study of a Class of Power-Law Tail Quantum Wave  Packets, Proc. of the VI CRRNSM Conference, Palermo,  Italy, 2000, Edited by A. Messina et al., (American  Institute of Physics, Melville, New York, 2000) pp. 134-137.
  • Rosario N. Mantegna and Bernardo Spagnolo, Resonant Activation in a Tunnel Diode: An Experimental Study, Proc. of the Conference Stochastic and Chaotic Dynamics in The Lakes, Ambleside,  UK, 1999, Edited by D.S. Broomhead, E.A. Luchinskaya, P.V.E. McClintock and T. Mullin (American Institute of  Physics, Melville, New York 2000) pp. 301-306.