1. Financial econometrics and empirical market microstructure. ([2015]) Editors: Bera, Anil K; Ivliev, Sergey; Lillo, Fabrizio Record Type: Book Extent: 1 online resource View Content: Available online (eLD content is only available in our Reading Rooms) ↗
2. New centrality and causality metrics assessing air traffic network interactions. (June 2020) Authors: Mazzarisi, Piero; Zaoli, Silvia; Lillo, Fabrizio; Delgado, Luis; Gurtner, Gérald Journal: Journal of air transport management Issue: Volume 85(2020) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
3. Effects of memory on spreading processes in non-Markovian temporal networks. (15th April 2019) Authors: Williams, Oliver E; Lillo, Fabrizio; Latora, Vito Journal: New journal of physics Issue: Volume 21:Number 4(2019:Apr.) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
4. Comment on: Price Discovery in High Resolution. (15th March 2019) Authors: Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio Journal: Journal of financial econometrics Issue: Volume 19:Number 3(2021) Page Start: 439 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
5. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics. Issue 4 (2nd October 2021) Authors: Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio Journal: Journal of business & economic statistics Issue: Volume 39:Issue 4(2021) Page Start: 920 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
6. Optimal execution with non-linear transient market impact. Issue 1 (2nd January 2017) Authors: Curato, Gianbiagio; Gatheral, Jim; Lillo, Fabrizio Journal: Quantitative finance Issue: Volume 17:Issue 1(2017) Page Start: 41 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
7. Network-wide assessment of ATM mechanisms using an agent-based model. (August 2021) Authors: Delgado, Luis; Gurtner, Gérald; Mazzarisi, Piero; Zaoli, Silvia; Valput, Damir; Cook, Andrew; Lillo, Fabrizio Journal: Journal of air transport management Issue: Volume 95(2021) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
8. Liquidity fluctuations and the latent dynamics of price impact. Issue 1 (2nd January 2022) Authors: Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia Journal: Quantitative finance Issue: Volume 22:Issue 1(2022) Page Start: 149 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
9. The role of volume in order book dynamics: a multivariate Hawkes process analysis. Issue 7 (3rd July 2017) Authors: Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio Journal: Quantitative finance Issue: Volume 17:Issue 7(2017) Page Start: 999 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
10. A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics. Issue 12 (2nd December 2022) Authors: Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio Journal: Quantitative finance Issue: Volume 22:Issue 12(2022) Page Start: 2237 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗