Rosario Nunzio Mantegna : Citation Profile

Are you Rosario Nunzio Mantegna?

21

H index

38

i10 index

1994

Citations

RESEARCH PRODUCTION:

53

Articles

56

Papers

2

Books

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 73
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 213.    Total self citations: 21 (1.04 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2021-11-28    RAS profile: 2021-11-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Rosario Nunzio Mantegna.

Is cited by:

Tabak, Benjamin (38)

Wang, Gang-Jin (36)

Zhou, Wei-Xing (33)

Výrost, Tomᚠ(32)

Lyócsa, Štefan (31)

Baumohl, Eduard (29)

Sensoy, Ahmet (27)

Brida, Juan (26)

Araújo, Tanya (23)

Åžensoy, Ahmet (21)

Gómez, David (20)

Cites to:

Farmer, J. (8)

Bottazzi, Giulio (7)

Granger, Clive (6)

Potters, Marc (5)

Coad, Alex (5)

Grinblatt, Mark (5)

Challet, Damien (5)

Secchi, Angelo (5)

Iori, Giulia (4)

Gallegati, Mauro (4)

Keloharju, Matti (4)

Main data

Where Rosario Nunzio Mantegna has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications16
Quantitative Finance10
PLOS ONE8
The European Physical Journal B: Condensed Matter and Complex Systems7
Journal of Economic Dynamics and Control3
Journal of Air Transport Management2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org50

Recent works citing Rosario Nunzio Mantegna (2021 and 2020)

YearTitle of citing document
2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020The market nanostructure origin of asset price time reversal asymmetry. (2019). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus. In: Papers. RePEc:arx:papers:1901.00834.

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2020Risk-dependent centrality in economic and financial networks. (2019). Estrada, Ernesto ; Grassi, Rosanna ; Clemente, Gian Paolo ; Benzi, Michele ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:1907.07908.

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2020Growth Dynamics of Value and Cost Trade-off in Competitive Temporal Networks. (2019). Jafari, Hamid ; Sedighi, Mohammadbashir ; Ardalankia, Jamshid ; Masoomi, Razieh ; Hasani, Sheida. In: Papers. RePEc:arx:papers:1908.11433.

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2021Deep Prediction of Investor Interest: a Supervised Clustering Approach. (2019). Challet, Damien ; Carlier, Laurent ; Barreau, Baptiste. In: Papers. RePEc:arx:papers:1909.05289.

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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2020A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2021Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics. (2019). Aste, Tomaso ; Turiel, Jeremy. In: Papers. RePEc:arx:papers:1910.08628.

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2020Unveil stock correlation via a new tensor-based decomposition method. (2019). di Matteo, Tiziana ; Gramatica, Ruggero ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:1911.06126.

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2020A new set of cluster driven composite development indicators. (2019). di Matteo, Tiziana ; Angelini, Orazio ; Verma, Anshul. In: Papers. RePEc:arx:papers:1911.11226.

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2020Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518.

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2020Nonparametric sign prediction of high-dimensional correlation matrix coefficients. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2001.11214.

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2021The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917.

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2020The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevino . In: Papers. RePEc:arx:papers:2004.06676.

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2020From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura ; Lucchini, Lorenzo. In: Papers. RePEc:arx:papers:2004.07290.

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2020Information flow networks of Chinese stock market sectors. (2020). Zhou, Wei-Xing ; Yan, Wanfeng ; Cai, Qing ; Yue, Peng. In: Papers. RePEc:arx:papers:2004.08759.

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2020A perspective on correlation-based financial networks and entropy measures. (2020). Kumar, Sunil ; Gupta, Priya ; Pharasi, Hirdesh K ; Kukreti, Vishwas. In: Papers. RePEc:arx:papers:2004.09448.

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2020Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds. (2020). Chatterjee, Niladri ; Gupta, Kartikay. In: Papers. RePEc:arx:papers:2004.10560.

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2020Mapping Coupled Time-series Onto Complex Network. (2020). Jafari, Reza G ; Haven, Emmanuel ; Sheykhali, Somaye ; Askari, Jafar ; Ardalankia, Jamshid. In: Papers. RePEc:arx:papers:2004.13536.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Construction of Minimum Spanning Trees from Financial Returns using Rank Correlation. (2020). Niranjan, Mahesan ; Millington, Tristan. In: Papers. RePEc:arx:papers:2005.03963.

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2020Analysis of the Global Banking Network by Random Matrix Theory. (2020). Jafari, Reza G ; Haven, Emmanuel ; Hosseiny, Ali ; Hedayatifar, Leila ; Raei, Reza ; Ardalankia, Jamshid ; Namaki, Ali. In: Papers. RePEc:arx:papers:2007.14447.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2021How Market Ecology Explains Market Malfunction. (2021). Farmer, Doyne J ; Calinescu, Anisoara ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2009.09454.

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2021An analysis of network filtering methods to sovereign bond yields during COVID-19. (2020). Legara, Erika Fille ; Chhajer, Harsh ; Granados, Oscar ; Pang, Raymond Ka-Kay. In: Papers. RePEc:arx:papers:2009.13390.

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2020Sparse network asymptotics for logistic regression. (2020). Graham, Bryan S. In: Papers. RePEc:arx:papers:2010.04703.

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2020The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890.

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2020Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance. (2020). Zhong, Chen-Yang ; Xu, Wen-Juan ; He, Yun-Xin ; Chen, Rong-Da ; Qiu, Tian ; Ren, Fei. In: Papers. RePEc:arx:papers:2010.08962.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2021Sentiment Diffusion in Financial News Networks and Associated Market Movements. (2020). Yang, Jie ; Wan, Xingchen ; Dong, Xiaowen ; Zohren, Stefan ; Calliess, Jan-Peter ; Marinov, Slavi. In: Papers. RePEc:arx:papers:2011.06430.

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2020Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations. (2020). Schell, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2011.07570.

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2021Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents. (2020). Karakatsanis, Leonidas P ; Antoniades, Ioannis P ; Pavlos, Evgenios G. In: Papers. RePEc:arx:papers:2012.06856.

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2020Algorithms for Learning Graphs in Financial Markets. (2020). Palomar, Daniel Perez ; Ying, Jiaxi ; Jos'e Vin'icius de Miranda Cardoso, . In: Papers. RePEc:arx:papers:2012.15410.

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2021A combinatorial optimization approach to scenario filtering in portfolio selection. (2021). Scozzari, Andrea ; Rodr, Mois'Es ; Ricca, Federica ; Puerto, Justo. In: Papers. RePEc:arx:papers:2103.01123.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. (2021). Pelletier, Guillaume ; Bongiorno, Christian ; Challet, Damien. In: Papers. RePEc:arx:papers:2103.05921.

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2021Risk-dependent centrality in the Brazilian stock market. (2021). Rodrigues, Francisco Aparecido ; de Moraes, Kaue Lopes ; Alexandre, Michel. In: Papers. RePEc:arx:papers:2103.09059.

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2021Asset Selection via Correlation Blockmodel Clustering. (2021). Yu, Xun ; Xu, Xiao ; Tang, Wenpin. In: Papers. RePEc:arx:papers:2103.14506.

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2021Portfolio Optimization with Sparse Multivariate Modelling. (2021). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:2103.15232.

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2021Limit Theorems for Default Contagion and Systemic Risk. (2021). Sulem, Agnes ; Cao, Zhongyuan ; Amini, Hamed. In: Papers. RePEc:arx:papers:2104.00248.

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2021Order flow and price formation. (2021). Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2105.00521.

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2021Clustering Coefficients in Weighted Undirected Multilayer Networks. (2021). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:2105.14325.

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2021Community Detection in Cryptocurrencies with Potential Applications to Portfolio Diversification. (2021). Crane, M ; Gavin, J. In: Papers. RePEc:arx:papers:2108.09763.

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2021Deep Hawkes Process for High-Frequency Market Making. (2021). Kumar, Pankaj. In: Papers. RePEc:arx:papers:2109.15110.

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2021Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018. (2021). Yakovenko, Victor M ; Ludwig, Danial. In: Papers. RePEc:arx:papers:2110.03140.

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2021Ordinal Synchronization and Typical States in High-Frequency Digital Markets. (2021). Mansilla, Ricardo ; L'Opez, Mario. In: Papers. RePEc:arx:papers:2110.07047.

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2021Forecasting Financial Market Structure from Network Features using Machine Learning. (2021). Kang, Soong Moon ; Castilho, Douglas ; Andr'e C. P. L. F. de Carvalho, ; Gama, Joao . In: Papers. RePEc:arx:papers:2110.11751.

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2020Robust Mean–Variance Portfolio Selection Using Cluster Analysis: A Comparison between Kamila and Weighted K-Mean Clustering. (2020). Rosadi, Dedi ; Gubu, LA. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:1169-1186.

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2020Interbank relationship lending in Colombia. (2020). León, Carlos ; Miguelez, Javier ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1118.

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2021Interbank relationship lending revisited: Are the funds available at a similar price?. (2021). León, Carlos ; Miguelez, Javier. In: Borradores de Economia. RePEc:bdr:borrec:1151.

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2020Longitudinal networks of dyadic relationships using latent trajectories: evidence from the European interbank market. (2020). Bartolucci, Francesco ; Bianchi, Federica ; Mira, Antonietta ; Peluso, Stefano. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:4:p:711-739.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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2021Clustering of time series for the analysis of the COVID-19 pandemic evolution. (2021). Limas, Erick ; Alvarez, Emiliano ; Brida, Juan Gabriel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00907.

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2021Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach. (2021). Tahir, Rabia ; Memon, Bilal Ahmed. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-40.

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2020A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

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2020Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme. (2020). Alves, P. R. L., . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:134:y:2020:i:c:s0960077920300941.

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2020The origin of collective phenomena in firm sizes. (2020). Ahn, Kwangwon ; Park, Sung-Pil ; Dai, Bingcun ; Ji, Guseon. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:136:y:2020:i:c:s0960077920302186.

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2020Fractal structure in the S&P500: A correlation-based threshold network approach. (2020). Song, Jae Wook ; Chang, Woojin ; Lee, Changju ; Ku, Seungmo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302484.

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2021Multiscale Rényi cumulative residual distribution entropy: Reliability analysis of financial time series. (2021). Zhang, Sheng ; Shang, Pengjian ; Xu, Meng. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920308031.

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2021Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359.

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2020Reconstructing and stress testing credit networks. (2020). Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930212x.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2020Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks. (2020). Zhang, Weiping ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300826.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2021Financialization, idiosyncratic information and commodity co-movements. (2021). Pan, Jiaofeng ; Wu, Fei ; Ji, Qiang ; Ma, Yan-Ran. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304230.

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2020Machine learning as an early warning system to predict financial crisis. (2020). Kampouris, Elias ; Samitas, Aristeidis ; Kenourgios, Dimitris. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301514.

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2021A network perspective of comovement and structural change: Evidence from the Chinese stock market. (2021). Deng, Yunke ; Huang, Chuangxia ; Yang, Xin ; Cao, Jinde. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001125.

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2020The desertion of rich countries and the mutual support of the poor ones: Preferential lending agreements among the PIGS. (2020). Ripollés, Jordi ; Ripolles, Jordi ; Tedeschi, Gabriele ; Vidal-Tomas, David. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318307682.

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2021An empirical evaluation of the influential nodes for stock market network: Chinese A-shares case. (2021). Wen, Shigang ; Huang, Chuangxia ; Yang, Xin ; Li, Mengge. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319313492.

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2021One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925.

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2021A global economic policy uncertainty index from principal component analysis. (2021). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319310542.

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2021Quantification of systemic risk from overlapping portfolios in the financial system. (2021). Thurner, Stefan ; Caccioli, Fabio ; Martinez-Jaramillo, Serafin ; Poledna, Sebastian. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301108.

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2021COVID-19 and time-frequency connectedness between green and conventional financial markets. (2021). Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Alawi, Suha M. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100048x.

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2020Predicting scientific research trends based on link prediction in keyword networks. (2020). Kavousi, Kaveh ; Hajsadeghi, Khosrow ; Sarmoor, Zahra Shafaeipour ; Behrouzi, Saman. In: Journal of Informetrics. RePEc:eee:infome:v:14:y:2020:i:4:s1751157720300456.

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2021Quantile connectedness in the cryptocurrency market. (2021). Vo, Xuan Vinh ; Roubaud, David ; Saeed, Tareq ; Bouri, Elie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000214.

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2020New centrality and causality metrics assessing air traffic network interactions. (2020). Gurtner, Grald ; Delgado, Luis ; Lillo, Fabrizio ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:85:y:2020:i:c:s0969699719305307.

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2020Cost savings from trajectory deviations in the European air space. (2020). Sallan, Jose M ; Lordan, Oriol ; Carreras-Maide, Jaume. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:88:y:2020:i:c:s0969699720304713.

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2020A multi-layer model for long-term KPI alignment forecasts for the air transportation system. (2020). Cristbal, Samuel ; Martn, Jorge ; Cook, Andrew ; Gurtner, Grald ; Delgado, Luis. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:89:y:2020:i:c:s0969699720304889.

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2021Network-wide assessment of ATM mechanisms using an agent-based model. (2021). Lillo, Fabrizio ; Cook, Andrew ; Valput, Damir ; Zaoli, Silvia ; Mazzarisi, Piero ; Gurtner, Grald ; Delgado, Luis. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:95:y:2021:i:c:s0969699721000910.

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2021Herding in mutual funds: A complex network approach. (2021). Rotundo, Giulia ; D'Arcangelis, Anna Maria. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:679-686.

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2021Artificial intelligence to design collaborative strategy: An application to urban destinations. (2021). Buscema, Massimo ; D'Angella, Francesca ; Ferilli, Guido ; De Carlo, Manuela . In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:936-948.

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2020An analytical solution for network models with heterogeneous and interacting agents. (2020). Stiglitz, Joseph ; Gallegati, Mauro ; Di Guilmi, Corrado ; Landini, S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:189-220.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2020Measuring the dynamics of COMESA output connectedness with the global economy. (2020). Orji, Anthony ; Manasseh, Charles ; Anthony-Orji, Onyinye ; Ogbuabor, Jonathan E. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300775.

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2021The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market. (2021). du Toit, Elda ; Hall, John H ; Pradhan, Rudra P. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309648.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2021The contribution of the intra-firm exposures network to systemic risk. (2021). Lluberas, Rodrigo ; Martinez-Jaramillo, Serafin ; Baron, Andrea ; Rodriguez-Martinez, Anahi ; Caccioli, Fabio ; Landaberry, Victoria. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:2:s2666143821000120.

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2021Commercial and banking credit network in Uruguay. (2021). PONCE, Jorge ; Lluberas, Rodrigo ; Landaberry, Maria Victoria ; Baron, Andrea. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:3:s2666143821000144.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2021Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network. (2021). Jiang, Yongmu ; Luo, Jingqiu ; Li, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000615.

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2020Critical node detection problem for complex network in undirected weighted networks. (2020). Chen, Wei ; Zhang, Jun ; Jiang, Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119316279.

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2020Dynamical behavior of combined detrended cross-correlation analysis methods in random walks and Lévy flights. (2020). You, Cheol-Hwan ; Kim, Kyungsik ; Baek, Woonhak ; Shin, Ki-Hong ; Min, Seungsik ; Chang, Ki-Ho ; Yum, Seong Soo ; Lee, Dong-In. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316322.

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2020Graph-based era segmentation of international financial integration. (2020). Borgnat, Pierre ; Abry, Patrice ; Jensen, Pablo ; Parent, Antoine ; Bastidon, Cecile. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316346.

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2020Lead–lag relationships in foreign exchange markets. (2020). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316887.

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2020Complex network construction of Internet finance risk. (2020). Xu, Runjie ; Meng, Runyu ; Mierzwiak, Rafa. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119316619.

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More than 100 citations found, this list is not complete...

Works by Rosario Nunzio Mantegna:

YearTitleTypeCited
2007Scaling laws of strategic behaviour and size heterogeneity in agent dynamics In: Papers.
[Full Text][Citation analysis]		paper0
2007Kullback-Leibler distance as a measure of the information filtered from multivariate data In: Papers.
[Full Text][Citation analysis]		paper13
2007Specialization of strategies and herding behavior of trading firms in a financial market In: Papers.
[Full Text][Citation analysis]		paper0
2007Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance In: Papers.
[Full Text][Citation analysis]		paper3
2008Correlation, hierarchies, and networks in financial markets In: Papers.
[Full Text][Citation analysis]		paper96
2010Correlation, hierarchies, and networks in financial markets.(2010) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96		article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
[Full Text][Citation analysis]		paper54
2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
[Full Text][Citation analysis]		paper2
2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
[Full Text][Citation analysis]		paper16
2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
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2011Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper2
2012Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange.(2012) In: Quantitative Finance.
[Full Text][Citation analysis]
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2011Do firms share the same functional form of their growth rate distribution? A new statistical test In: Papers.
[Full Text][Citation analysis]		paper1
2011Evolution of worldwide stock markets, correlation structure and correlation based graphs In: Papers.
[Full Text][Citation analysis]		paper105
2011Identification of clusters of investors from their real trading activity in a financial market In: Papers.
[Full Text][Citation analysis]		paper0
2012How news affect the trading behavior of different categories of investors in a financial market In: Papers.
[Full Text][Citation analysis]		paper20
2015How news affects the trading behaviour of different categories of investors in a financial market.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
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2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
[Full Text][Citation analysis]		paper25
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
[Full Text][Citation analysis]		paper33
2015Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance.
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2014Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers.
[Full Text][Citation analysis]		paper44
2015Networked relationships in the e-MID interbank market: A trading model with memory.(2015) In: Journal of Economic Dynamics and Control.
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2014Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers.
[Full Text][Citation analysis]		paper5
2015Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network.(2015) In: PLOS ONE.
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2014Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo In: Papers.
[Full Text][Citation analysis]		paper0
2015Backbone of credit relationships in the Japanese credit market In: Papers.
[Full Text][Citation analysis]		paper0
2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers.
[Full Text][Citation analysis]		paper1
2016Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach..(2016) In: Chaos, Solitons & Fractals.
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2019On the interplay between multiscaling and stocks dependence In: Papers.
[Full Text][Citation analysis]		paper5
2020On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance.
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2020Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry In: Papers.
[Full Text][Citation analysis]		paper0
2000Taxonomy of Stock Market Indices In: Papers.
[Full Text][Citation analysis]		paper49
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
[Full Text][Citation analysis]		paper10
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper21
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper77
2001High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance.
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2000Empirical properties of the variety of a financial portfolio and the single-index model In: Papers.
[Full Text][Citation analysis]		paper0
2001Empirical properties of the variety of a financial portfolio and the single-index model.(2001) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2001Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis In: Papers.
[Full Text][Citation analysis]		paper1
2001Levels of complexity in financial markets In: Papers.
[Full Text][Citation analysis]		paper27
2001Levels of complexity in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
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2001Introducing Variety in Risk Management In: Papers.
[Full Text][Citation analysis]		paper0
2001Introducing Variety in Risk Management.(2001) In: Science & Finance (CFM) working paper archive.
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2001Ensemble properties of securities traded in the NASDAQ market In: Papers.
[Full Text][Citation analysis]		paper5
2001Ensemble properties of securities traded in the NASDAQ market.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
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2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
[Full Text][Citation analysis]		paper23
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper21
2002Volatility in financial markets: stochastic models and empirical results.(2002) In: Physica A: Statistical Mechanics and its Applications.
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2002Single Curve Collapse of the Price Impact Function for the New York Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper7
2002Dynamics of a financial market index after a crash In: Papers.
[Full Text][Citation analysis]		paper13
2004Dynamics of a financial market index after a crash.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2002Degree stability of a minimum spanning tree of price return and volatility In: Papers.
[Full Text][Citation analysis]		paper37
2003Degree stability of a minimum spanning tree of price return and volatility.(2003) In: Physica A: Statistical Mechanics and its Applications.
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2004Networks of equities in financial markets In: Papers.
[Full Text][Citation analysis]		paper110
2004Networks of equities in financial markets.(2004) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2004An interest rates cluster analysis In: Papers.
[Full Text][Citation analysis]		paper17
2004An interest rates cluster analysis.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2004Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector In: Papers.
[Full Text][Citation analysis]		paper5
2004Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2005Sector identification in a set of stock return time series traded at the London Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper18
1998Hierarchical Structure in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper480
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 480		article
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 480		article
1998Modeling of Financial Data: Comparison of the Truncated L\evy Flight and the ARCH(1) and GARCH(1,1) processes In: Papers.
[Full Text][Citation analysis]		paper13
1998Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes.(1998) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 13		article
1999Statistical Properties of Statistical Ensembles of Stock Returns In: Papers.
[Full Text][Citation analysis]		paper1
2000STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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1999Dynamics of the Number of Trades of Financial Securities In: Papers.
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2000Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2005Cluster analysis for portfolio optimization In: Papers.
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2008Cluster analysis for portfolio optimization.(2008) In: Journal of Economic Dynamics and Control.
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2005Scaling and data collapse for the mean exit time of asset prices In: Papers.
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2007Correlation based networks of equity returns sampled at different time horizons In: Papers.
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2007Correlation based networks of equity returns sampled at different time horizons.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2006Market reaction to temporary liquidity crises and the permanent market impact In: Papers.
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2006Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis In: Papers.
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2008Diffusive behavior and the modeling of characteristic times in limit order executions In: Papers.
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2009Diffusive behavior and the modeling of characteristic times in limit order executions.(2009) In: Quantitative Finance.
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2013Quantifying preferential trading in the e-MID interbank market In: Working Papers.
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2015Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance.
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2007Introduction to Econophysics In: Cambridge Books.
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1999Introduction to Econophysics.(1999) In: Cambridge Books.
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2014Do firms share the same functional form of their growth rate distribution? A statistical test In: Journal of Economic Dynamics and Control.
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1995Zipf plots and the size distribution of firms In: Economics Letters.
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2019When financial economics influences physics: The role of Econophysics In: International Review of Financial Analysis.
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2015Applying complexity science to air traffic management In: Journal of Air Transport Management.
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2017Statistical characterization of deviations from planned flight trajectories in air traffic management In: Journal of Air Transport Management.
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1994Statistical mechanics in biology: how ubiquitous are long-range correlations? In: Physica A: Statistical Mechanics and its Applications.
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1995Statistical properties of DNA sequences In: Physica A: Statistical Mechanics and its Applications.
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1996Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics In: Physica A: Statistical Mechanics and its Applications.
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1999Empirical investigation of stock price dynamics in an emerging market In: Physica A: Statistical Mechanics and its Applications.
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1999Applications of statistical mechanics to finance In: Physica A: Statistical Mechanics and its Applications.
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2000Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions In: Physica A: Statistical Mechanics and its Applications.
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2018Bootstrap validation of links of a minimum spanning tree In: Physica A: Statistical Mechanics and its Applications.
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2019Nested partitions from hierarchical clustering statistical validation In: Working Papers.
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2021High-frequency trading and networked markets In: Proceedings of the National Academy of Sciences.
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2015How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics In: Working Papers.
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2018Long-term ecology of investors in a financial market In: Palgrave Communications.
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2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market In: PLOS ONE.
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2011Statistically Validated Networks in Bipartite Complex Systems In: PLOS ONE.
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2013Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election In: PLOS ONE.
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2013The Phenomenology of Specialization of Criminal Suspects In: PLOS ONE.
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2014Multi-Scale Analysis of the European Airspace Using Network Community Detection In: PLOS ONE.
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2017An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management In: PLOS ONE.
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2018A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates In: PLOS ONE.
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2001VARIETY OF BEHAVIOR OF EQUITY RETURNS IN FINANCIAL MARKETS In: Computing in Economics and Finance 2001.
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2002Empirical investigation and modeling of a financial market after a crash In: Computing in Economics and Finance 2002.
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2008Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2008Generation of hierarchically correlated multivariate symbolic sequences In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2015Special issue of Quantitative Finance on Interlinkages and Systemic Risk In: Quantitative Finance.
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2005Presentation of the English translation of Ettore Majoranas paper: The value of statistical laws in physics and social sciences In: Quantitative Finance.
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