Preprints

• A. Carollo, G. Vaglica F. Lillo, and R.N. Mantegna, Trading Activity and Price Impact in Parallel Markets: SETS vs. Off-Book Market at the London Stock Exchange, Available at SSRN , (February 1, 2011),

• J.T. Lunardi, S. Miccichè, F. Lillo, R.N. Mantegna, and M. Gallegati, Do Firms Share the Same Functional Form of Their Growth Rate Distribution? A New Statistical Test, Available at SSRN , (March 11, 2011),

• E. Pantaleo, M. Tumminello, F. Lillo, and R.N. Mantegna, When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators, Available at SSRN , (April 23, 2010),

• M. Tumminello, F. Lillo, J. Piilo, R.N. Mantegna, Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market, Available at SSRN , (July 20, 2011),

• M. Tumminello, S. Miccichè, L.J. Dominguez, G. Lamura, M.G. Melchiorre, M. Barbagallo, R.N. Mantegna, Happy Aged People Are All Alike, While Every Unhappy Aged Person Is Unhappy in Its Own Way, PLoS ONE, 5, e23377 (2011)

• D.-M. Song, M. Tumminello, W.-X. Zhou, R.N. Mantegna, Evolution of worldwide stock markets, correlation structure, and correlation-based graphs, Physical Review E, 84, 026108 (2011)

• M. Tumminello, S. Miccichè, F. Lillo, J. Piilo, R.N. Mantegna, Statistically Validated Networks in Bipartite Complex Systems, PLoS ONE, 6, e17994 (2011)

• R.N. Mantegna, J. Kertesz, Focus on statistical physics modeling in economics and finance, New Journal of Physics, 13, 025011 (2011)

• M. Tumminello, S. Miccichè, F. Lillo, J. Varho, J. Piilo, R.N. Mantegna, Community characterization of heterogeneous complex systems, Journal of Statistical Mechanics-Theory and Experiment, , P01019 (2011)

• D.Y. Kenett, M. Tumminello, A. Madi, G. Gur-Gershgoren, R.N. Mantegna, E. Ben-Jacob, Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market, PLoS ONE, 5, e15032 (2010)

• M. Tumminello, F. Lillo, R.N. Mantegna, Correlation, hierarchies, and networks in financial markets, Journal of Economic Behavior & Organization, 75, 40-58 (2010)

• G. Vaglica, F. Lillo, R.N. Mantegna, Statistical identification with hidden Markov models of large order splitting strategies in an equity market, New Journal of Physics, 12, 075031 (2010)

• S. Miccichè, First Passage Time Distribution of multi-scale stationary Markovian processes, EPL, 92, 50011 (2010)

• S. Miccichè, Role of conditional probability in multi-scale stationary Markovian processes, Physical Review E, 82, 011104 (2010)

• F. Calì, G. Ruggeri, M. Vinci, C. Meli, C. Carducci, V. Leuzzi, S. Pozzessere, P. Schinocca, A. Ragalmuto, V. Chiavetta, S. Miccichè, V. Romano, Exon deletions of the PAH gene in Italian hyperphenylalaninemics, EMM, 42, 81-86 (2010)

• Z. Eisler, J. Kertesz, F. Lillo, R.N. Mantegna, Diffusive behavior and the modeling of characteristic times in limit order executions, Quantitative Finance, 9, 547-563 (2009)

• E. Moro, J. Vicente, L.G. Moyano, A. Gerig, J.D. Farmer, G. Vaglica, F. Lillo, R.N. Mantegna, Market impact and trading profile of hidden orders in stock markets, Physical Review E, 80, 066102 (2009)

• C. Coronnello, M. Tumminello, S. Miccichè, R.N. Mantegna, Networks in biological systems: An investigation of the Gene Ontology as an evolving network, Nuovo Cimento C-Colloquia on Physics, 32, 157-160 (2009)

• Fabrizio Lillo, Econophysics and the challenge of efficiency, Complexity, 14, 39-54 (2009)

• Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N. Mantegna, Diffusive behavior and the modeling of characteristic times in limit order executions, Quantitative Finance, 9, 547-563 (2009)

• Adam Ponzi, Fabrizio Lillo, Rosario N. Mantegna, Market reaction to a bid-ask spread change: A power-law relaxation dynamics, Physical Review E, 80, 016112 (2009)

• Salvatore Miccichè, Modeling long-range memory with stationary Markovian processes, Physical Review E, 79, 031116 (2009)

• Adriana Prest Mattedi, Rosario N. Mantegna, Fernando Manuel Ramos, Reinaldo Roberto Rosa, The comprehensive aerospace index (CASI): Tracking the economic performance of the aerospace industry, Acta Astronautica, 63, 1318-1325 (2008)

• Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Generation of hierarchically correlated multivariate symbolic sequences With an application to the assessment of bootstrap confidence in phylogenetic analysis, EPJB, 65, 333-340 (2008)

• Marco Spano, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes, EPJB, 65, 323-331 (2008)

• Fabrizio Lillo, Esteban Moro, Gabriella Vaglica, Rosario N. Mantegna, Specialization and herding behavior of trading firms in a financial market, New Journal of Physics, 10, 043019 (2008)

• Gabriella Vaglica, Fabrizio Lillo, Esteban Moro, Rosario N. Mantegna, Scaling laws of strategic behavior and size heterogeneity in agent dynamics, Phys. Rev. E, 77, 036110 (2008)

• G. La Spada, J.D. Farmer, F. Lillo, The non-random walk of stock prices: the long-term correlation between signs and sizes, EPJB, 64, 607-614 (2008)

• Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati, Rosario N. Mantegna, Cluster analysis for portfolio optimization, Journal of Economic Dynamics & Control, 32, 235-258 (2008)

• L. Tranchina, S. Basile, M. Brai, A. Caruso, C. Cosentino, S. Miccichè, Distribution of Heavy metals in marine Sediments of Palermo Gulf (Sicily, Italy) , Water Air Soil Pollut, 191, 245-256 (2008)

• F. Lillo and D.C. Krakauer, A statistical analysis of the three-fold evolution of genomic compression through frame overlaps in prokaryotes, Biology Direct, 2, 22 (2007)

• Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance, Acta Physica Polonica, B 38, 4079-4088 (2007)

• Claudia Coronnello, Michele Tumminello, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis, Proceedings of SPIE: Noise and Stochastics in Complex Systems and Finance, Florence, Italy. 21-24 May 2007. (vol. 6601, pp. 66010T-1/66010T-12)

• Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Kullback-Leibler distance as a measure of the information filtered from multivariate data, Physical Review E 76, 031123 (2007).

• F. Lillo and M. Spanò, Inverted and mirror repeats in model nucleotide sequences, Physical Review E, 76, 041914 (2007)

• Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Hierarchically nested time series models from dendrograms, EPL 78, 30006 (2007).

• Fabrizio Lillo, Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices European Physical Journal B 55, 453-459 (2007).

• Michele Tumminello, T. Di Matteo, T. Aste, Rosario N. Mantegna,  Correlation based networks of equity returns sampled at different time horizons European Physical Journal B 55, 209-217 (2007).

• Michele Tumminello, Claudia Coronnello, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Spanning Trees and bootstrap reliability estimation in correlation based networks International Journal of Bifurcation and Chaos 17 (7), 2319-2329 (2007).