11. 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) ↗
12. 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) ↗
13. From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution. Issue 3 (4th March 2023) Authors: Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo Journal: Quantitative finance Issue: Volume 23:Issue 3(2023) Page Start: 367 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
14. Linear models for the impact of order flow on prices. I. History dependent impact models. Issue 6 (3rd June 2018) Authors: Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence Journal: Quantitative finance Issue: Volume 18:Issue 6(2018) Page Start: 903 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
15. Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model. Issue 6 (3rd June 2018) Authors: Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence Journal: Quantitative finance Issue: Volume 18:Issue 6(2018) Page Start: 917 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
16. 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) ↗
17. Modeling the coupled return-spread high frequency dynamics of large tick assets. (21st January 2015) Authors: Curato, Gianbiagio; Lillo, Fabrizio Journal: Journal of statistical mechanics Issue: (2015:Jan.) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
18. 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) ↗
19. 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) ↗
20. On the equivalence between the kinetic Ising model and discrete autoregressive processes. Issue 3 (25th March 2021) Authors: Campajola, Carlo; Lillo, Fabrizio; Mazzarisi, Piero; Tantari, Daniele Journal: Journal of statistical mechanics Issue: Issue 3(2021) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗