Publications in International Journals


  • 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)
  • T. Aste, T. Di Matteo, M.Tumminello, R.N. Mantegna, Correlation filtering in financial time series, Proceedings of Spie: Noise and Fluctuations in Econophysics and Finance, Austin, Texas, USA. 24-26 May 2005. (vol. 5848, pp. 100-109)
  • Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna, Econofisica: il contributo dei fisici allo studio dei sistemi economici.
    Il Nuovo Saggiatore  21 (1-2), 68-81.
  • Rosario N. Mantegna Editor, Proceedings of the International Workshop on Econophysics and Statistical Finance held at University of Palermo, Italy 28-30 September 1998, Special Issue of Physica A 269, 1-187.
  • Fabio Principato, Gaetano Ferrante, Rosario N. Mantegna, A Method for the Analytical Calculation of Noise Parameters of Linear Two-ports with Cross-correlated Noise Sources, IEEE Transactions on Circuits and Systems  Part I 46, 1019-1022.
  • Rosario N. Mantegna, H. Eugene Stanley, Limit Theorems and Price Changes in Financial Markets , Philosophical Magazine B 77, 1353-1356.
  • Andreas Buchleitner, Rosario N. Mantegna, Quantum Stochastic Resonance in a Micromaser, Physical Review Letters 80, 3932-3935.
  • Rosario N. Mantegna, Bernardo Spagnolo, Numerical Simulation of Resonant Activation in a Fluctuating Metastable Model System,  Journal de Physique IV  8, Pr6-247 -- Pr6-251.
  • Rosario N. Mantegna, Bernardo Spagnolo, Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems, International Journal of Bifurcation and Chaos  8, 783-790.
  • Rosario N. Mantegna, H. Eugene Stanley, Econophysics: Scaling and Its Breakdown in Finance, Journal of Statistical Physics 89, 469-479.
  • Aharon Cohen, Rosario N. Mantegna, Shlomo Havlin, Numerical Analysis of Word Frequencies in Artificial and Natural Language Texts, Fractals 5, 95-104.
  • Elisa Lanzara, Rosario N. Mantegna, Bernardo Spagnolo, Rosalia Zangara, Experimental Study of a Nonlinear System in the Presence of Noise: The Stochastic Resonance, American Journal of Physics 65, 341-349.

last updated 31/07/2009