Contemporaneous Transmission Networks and Systemic Risk in European Banking
1 version
FL
Fabrizio Lillo
q-fin.TRq-fin.STphysics.soc-phcond-mat.stat-mechphysics.data-ancs.SIq-fin.RMq-fin.GNstat.MLstat.ME
On Valency
published · living versionsPreprints & journals
157 papers in the corpus · 1999–2026Filtering and Smoothing with Score-Driven Models
5 citations
Explainable Deep Learning for Price-Trade Dynamics: From Black-Box Forecasts to Effective Parametric Models
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Online Learning of Scale Parameters in Score-Driven Filters
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Can Reinforcement Learning Efficiently Discover Price Manipulation?
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Mitigating Adverse Selection in Concentrated Liquidity AMMs with Dynamic Fees: An Agent-Based Model Approach
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Trading in the Sunshine or in the Shade: Market Impact and Adverse Selection on Hyperliquid
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GravityGraphSAGE: Link Prediction in Directed Attributed Graphs
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Predicting the success of new crypto-tokens: the Pump.fun case
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Deep reinforcement learning for optimal trading with partial information
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Deviations from Tradition: Stylized Facts in the Era of DeFi
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A high-frequency approach to Realized Risk Measures
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Tackling estimation risk in Kelly investing using options
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Modeling metaorder impact with a Non-Markovian Zero Intelligence model
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Price manipulation schemes of new crypto-tokens in decentralized exchanges
1 citation
Why is the estimation of metaorder impact with public market data so challenging?
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Modeling shock propagation and resilience in financial temporal networks.
3 citations
Filtering and Statistical Properties of Unimodal Maps Perturbed by Heteroscedastic Noises
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Score-driven exponential random graphs: A new class of time-varying parameter models for temporal networks.
3 citations
Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
2 citations
Deviations from the Nash equilibrium in a two-player optimal execution game with reinforcement learning
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Bayesian Autoregressive Online Change-Point Detection with Time-Varying Parameters
11 citations
Modelling shock propagation and resilience in financial temporal networks
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CAESar: Conditional Autoregressive Expected Shortfall
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Dimensionality reduction techniques to support insider trading detection
3 citations
Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying
11 citations
Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods
6 citations
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems
1 citation
Measuring price impact and information content of trades in a time-varying setting
3 citations
A machine learning approach to support decision in insider trading detection
16 citations
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model.
7 citations
Network-wide assessment of ATM mechanisms using an agent-based model
10 citations
How Covid mobility restrictions modified the population of investors in Italian stock markets
1 citation
Transient impact from the Nash equilibrium of a permanent market impact game
3 citations
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash.
5 citations
From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution
4 citations
Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks
4 citations
Order flow and price formation
4 citations
Analysis of bank leverage via dynamical systems and deep neural networks
2 citations
Betweenness centrality for temporal multiplexes.
32 citations
Estimating the Total Volume of Queries to a Search Engine
2 citations
On the equivalence between the Kinetic Ising Model and discrete autoregressive processes
11 citations
Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets
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Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
35 citations
Instabilities in Multi-Asset and Multi-Agent Market Impact Games
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New centrality and causality metrics assessing air traffic network interactions
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A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
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Unveiling the relation between herding and liquidity with trader lead-lag networks
18 citations
Non-Markovian temporal networks with auto- and cross-correlated link dynamics
15 citations
Trip Centrality: walking on a temporal multiplex with non-instantaneous link travel time.
9 citations
Inference of the kinetic Ising model with heterogeneous missing data.
14 citations
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