Rosario Nunzio Mantegna : Citation Profile

Are you Rosario Nunzio Mantegna?

19

H index

32

i10 index

1593

Citations

RESEARCH PRODUCTION:

52

Articles

55

Papers

2

Books

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 63
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 192.    Total self citations: 16 (0.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1890
   Updated: 2020-05-16    RAS profile: 2020-01-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Gallegati, Mauro (4)

Iori, Giulia (3)

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 (35)

Výrost, Tomᚠ(32)

Lyócsa, Štefan (30)

Baumohl, Eduard (29)

Zhou, Wei-Xing (26)

Sensoy, Ahmet (25)

Brida, Juan (25)

Araújo, Tanya (23)

Şensoy, Ahmet (21)

Gómez, David (20)

Cites to:

Farmer, J. (8)

Bottazzi, Giulio (7)

Grinblatt, Mark (5)

Potters, Marc (5)

Coad, Alex (5)

Secchi, Angelo (5)

Challet, Damien (5)

Keloharju, Matti (4)

Gallegati, Mauro (4)

Tedeschi, Gabriele (3)

Campbell, John (3)

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 ONE9
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.org49

Recent works citing Rosario Nunzio Mantegna (2020 and 2019)

YearTitle of citing document
2017The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1511.08068.

Full description at Econpapers || Download paper

2018Statistically validated lead-lag networks and inventory prediction in the foreign exchange market. (2018). Challet, Damien ; Kassibrakis, Serge ; Lallouache, Mehdi ; Chicheportiche, R'emy . In: Papers. RePEc:arx:papers:1609.04640.

Full description at Econpapers || Download paper

2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

Full description at Econpapers || Download paper

2017The amazing power of dimensional analysis: Quantifying market impact. (2017). Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander ; Pohl, Mathias. In: Papers. RePEc:arx:papers:1702.05434.

Full description at Econpapers || Download paper

2019A 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.

Full description at Econpapers || Download paper

2017New approaches in agent-based modeling of complex financial systems. (2017). Chen, T T ; Jiang, X F ; Zheng, B ; Li, Y. In: Papers. RePEc:arx:papers:1703.06840.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017The q-dependent detrended cross-correlation analysis of stock market. (2017). Stanley, Eugene H ; Wang, Yougui ; Podobnik, Boris ; Fenu, Andrea ; Li, Wei ; Zhao, Longfeng. In: Papers. RePEc:arx:papers:1705.01406.

Full description at Econpapers || Download paper

2017Extreme portfolio loss correlations in credit risk. (2017). Guhr, Thomas ; Muhlbacher, Andreas. In: Papers. RePEc:arx:papers:1706.09809.

Full description at Econpapers || Download paper

2017Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (2017). Kanniainen, Juho ; Kivela, Mikko ; Ranganathan, Sindhuja . In: Papers. RePEc:arx:papers:1708.04430.

Full description at Econpapers || Download paper

2018Facebook drives behavior of passive households in stock markets. (2018). Kanniainen, Juho ; Hussain, Abid ; Mukkamala, Raghava ; Vatrapu, Ravi ; Jussila, Jari ; Karkkainen, Hannu ; Baltakys, Kestutis ; Siikanen, Milla. In: Papers. RePEc:arx:papers:1709.07300.

Full description at Econpapers || Download paper

2017Correlations and Clustering in Wholesale Electricity Markets. (2017). Ududec, Cozmin ; Caravelli, Francesco ; Cui, Tianyu. In: Papers. RePEc:arx:papers:1710.11184.

Full description at Econpapers || Download paper

2019Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees. (2019). Prataviera, G A ; Barbi, A Q. In: Papers. RePEc:arx:papers:1711.06185.

Full description at Econpapers || Download paper

2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Papers. RePEc:arx:papers:1712.04863.

Full description at Econpapers || Download paper

2017A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (2017). Tantari, Daniele ; Lillo, Fabrizio ; Barucca, Paolo ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:1801.00185.

Full description at Econpapers || Download paper

2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Thurner, Stefan ; Hinteregger, Abraham ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1801.10487.

Full description at Econpapers || Download paper

2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1802.00311.

Full description at Econpapers || Download paper

2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

Full description at Econpapers || Download paper

2019Market Impact: A Systematic Study of Limit Orders. (2019). Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel ; Said, Emilio . In: Papers. RePEc:arx:papers:1802.08502.

Full description at Econpapers || Download paper

2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas. In: Papers. RePEc:arx:papers:1803.00261.

Full description at Econpapers || Download paper

2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1803.11467.

Full description at Econpapers || Download paper

2018Co-impact: Crowding effects in institutional trading activity. (2018). Lehalle, Charles-Albert ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Eisler, Zolt'an ; Mastromatteo, Iacopo ; Fr'ed'eric Bucci, . In: Papers. RePEc:arx:papers:1804.09565.

Full description at Econpapers || Download paper

2018State and Network Structures of Stock Markets around the Global Financial Crisis. (2018). Nobi, Ashadun ; Lee, Jae Woo. In: Papers. RePEc:arx:papers:1806.04363.

Full description at Econpapers || Download paper

2018Emergence of correlations between securities at short time scales. (2018). Aboura, S ; Grebenkov, D S ; Valeyre, S. In: Papers. RePEc:arx:papers:1807.05015.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:1901.02327.

Full description at Econpapers || Download paper

2019Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market. (2019). Ribeiro, Haroldo V ; Perc, Matjaz. In: Papers. RePEc:arx:papers:1901.04967.

Full description at Econpapers || Download paper

2019Market Impact: A Systematic Study of the High Frequency Options Market. (2019). Fr'ed'eric Abergel, ; Rabeyrin, Jean-Jacques ; Thillou, Damien ; Ayed, Hadj ; Bel, Ahmed ; Said, Emilio ; Hadj, Ahmed Bel. In: Papers. RePEc:arx:papers:1902.05418.

Full description at Econpapers || Download paper

2019Correlation Patterns in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1902.06483.

Full description at Econpapers || Download paper

2019Uncovering networks amongst stocks returns by studying nonlinear interactions in high frequency data of the Indian Stock Market using mutual information. (2019). Habib, Amber ; Sharma, Charu. In: Papers. RePEc:arx:papers:1903.03407.

Full description at Econpapers || Download paper

2019A Weight-based Information Filtration Algorithm for Stock-Correlation Networks. (2019). Tian, Tianhai ; Wormald, Nick ; Hosseini, Seyed Soheil. In: Papers. RePEc:arx:papers:1904.06007.

Full description at Econpapers || Download paper

2019Complex Network Construction of Internet Financial risk. (2019). Mi, Chuanmin ; Mierzwiak, Rafal ; Xu, Runjie. In: Papers. RePEc:arx:papers:1904.06640.

Full description at Econpapers || Download paper

2019Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data. (2019). Tian, Tianhai ; Zhang, HU ; Guo, Xue. In: Papers. RePEc:arx:papers:1906.08088.

Full description at Econpapers || Download paper

2019Lead-lag Relationships in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1906.10388.

Full description at Econpapers || Download paper

2019Comparative analysis of layered structures in empirical investor networks and cellphone communication networks. (2019). Zhou, Wei-Xing ; Sornette, Didier ; Jiang, Zhi-Qiang ; Ma, Jun-Chao ; Wang, Peng. In: Papers. RePEc:arx:papers:1907.01119.

Full description at Econpapers || Download paper

2019Smart network based portfolios. (2019). Hitaj, Asmerilda ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1907.01274.

Full description at Econpapers || Download paper

2019P2P Loan acceptance and default prediction with Artificial Intelligence. (2019). Aste, Tomaso ; Turiel, Jeremy D. In: Papers. RePEc:arx:papers:1907.01800.

Full description at Econpapers || Download paper

2019A global economic policy uncertainty index from principal component analysis. (2019). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:1907.05049.

Full description at Econpapers || Download paper

2019Location and portfolio selection problems: A unified framework. (2019). Scozzari, Andrea ; Rodr, Moises ; Puerto, Justo. In: Papers. RePEc:arx:papers:1907.07101.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees. (2019). Wanat, Stanislaw ; Denkowska, Anna. In: Papers. RePEc:arx:papers:1908.01142.

Full description at Econpapers || Download paper

2019A multi-scale symmetry analysis of uninterrupted trends returns of daily financial indices. (2019). Hern, A R ; Coronel-Brizio, H F ; Rodr, C M. In: Papers. RePEc:arx:papers:1908.11204.

Full description at Econpapers || Download paper

2019Growth 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019A 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Change-point Analysis in Financial Networks. (2019). Guhathakurta, Kousik ; Banerjee, Sayantan. In: Papers. RePEc:arx:papers:1911.05952.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector. (2019). Wanat, Stanisław ; Denkowska, Anna. In: Papers. RePEc:arx:papers:1912.05641.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Impact of US-China Trade War on the Network Topology Structure of Chinese Stock Market. (2019). Memon, Bilal Ahmed ; Lu, Yanyu ; Yao, Hongxing. In: Journal of Asian Business Strategy. RePEc:asi:joabsj:2019:p:235-250.

Full description at Econpapers || Download paper

2019Firm size and concentration inequality: A flexible extension of Gibrat’s law. (2019). Perote, Javier ; Lozada, Juan M ; Cortes, Lina . In: Documentos de Trabajo CIEF. RePEc:col:000122:017205.

Full description at Econpapers || Download paper

2017The systemic implications of bail-in: a multi-layered network approach. (2017). Kok, Christoffer ; Hüser, Anne-Caroline ; Halaj, Grzegorz ; van der Kraaij, Anton ; Perales, Cristian ; Huser, Anne-Caroline ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20172010.

Full description at Econpapers || Download paper

2019Firm growth and Laplace distribution: The importance of large jumps. (2019). Arata, Yoshiyuki. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:63-82.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

Full description at Econpapers || Download paper

2019Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method. (2019). Wu, Junjie ; Tang, Wenjin ; Bu, Hui . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:181-204.

Full description at Econpapers || Download paper

2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

Full description at Econpapers || Download paper

2019Connectedness and risk spillovers in China’s stock market: A sectoral analysis. (2019). Zhang, Dayong ; Wu, Fei. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302590.

Full description at Econpapers || Download paper

2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1. (2019). Tiwari, Aviral ; Albulescu, Claudiu ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930338x.

Full description at Econpapers || Download paper

2019Shock transmission in the cryptocurrency market. Is Bitcoin the most influential?. (2019). Kokoszczyński, Ryszard ; Ziba, Damian ; Ledziewska, Katarzyna ; Kokoszczyski, Ryszard. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:102-125.

Full description at Econpapers || Download paper

2018Facebook drives behavior of passive households in stock markets. (2018). Siikanen, Milla ; Hussain, Abid ; Mukkamala, Raghava ; Vatrapu, Ravi ; Kanniainen, Juho ; Baltakys, Kstutis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:208-213.

Full description at Econpapers || Download paper

2019Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market. (2019). Wu, Yue ; Li, Sai-Ping ; Yang, Ming-Yuan ; Ren, Fei ; Tang, Jingtai. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:117-124.

Full description at Econpapers || Download paper

2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

Full description at Econpapers || Download paper

2017Not all emerging markets are the same: A classification approach with correlation based networks. (2017). Tabak, Benjamin ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Ozturk, Kevser . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:163-186.

Full description at Econpapers || Download paper

2019Forecasting of density functions with an application to cross-sectional and intraday returns. (2019). Shang, Han Lin ; Petersen, Alexander ; Miao, Hong ; Kokoszka, Piotr. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1304-1317.

Full description at Econpapers || Download paper

2019Reviewing the DATAS of aviation research data: Diversity, availability, tractability, applicability, and sources. (2019). Ryerson, Megan S ; Li, Max Z. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:111-130.

Full description at Econpapers || Download paper

2019Network structures and credit risk in cross-shareholdings among listed Japanese companies. (2019). Kanno, Masayasu. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:17-31.

Full description at Econpapers || Download paper

2019What drives interbank loans? Evidence from Canada. (2019). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:427-444.

Full description at Econpapers || Download paper

2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

Full description at Econpapers || Download paper

2018Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:20-36.

Full description at Econpapers || Download paper

2019The effects of alternative wage regimes in a monetary union: A multi-country agent based-stock flow consistent model. (2019). Gallegati, Mauro ; Catullo, Ermanno ; Caiani, Alessandro . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:389-416.

Full description at Econpapers || Download paper

2019Interconnectedness in the interbank market. (2019). Harris, Jeffrey ; Mankad, Shawn ; Brunetti, Celso ; Michailidis, George. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:520-538.

Full description at Econpapers || Download paper

2019Quantization and clustering on Riemannian manifolds with an application to air traffic analysis. (2019). Puechmorel, Stephane ; le Brigant, Alice. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:685-703.

Full description at Econpapers || Download paper

2017The predictive power of local properties of financial networks. (2017). Caraiani, Petre. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:79-90.

Full description at Econpapers || Download paper

2017The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets. (2017). Zhang, Xingwei ; Zheng, Xiaolong ; Zeng, Daniel Dajun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:32-42.

Full description at Econpapers || Download paper

2017Network topology analysis approach on China’s QFII stock investment behavior. (2017). He, Feng ; Cao, Xing ; Zhang, Yongjie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:77-88.

Full description at Econpapers || Download paper

2017Dynamic of consumer groups and response of commodity markets by principal component analysis. (2017). Nobi, Ashadun ; Lee, Jaewoo ; Alam, Shafiqul . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:337-344.

Full description at Econpapers || Download paper

2018Predicting economic growth with stock networks. (2018). Heiberger, Raphael H. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:489:y:2018:i:c:p:102-111.

Full description at Econpapers || Download paper

2018Constructing financial network based on PMFG and threshold method. (2018). Nie, Chun-Xiao ; Song, Fu-Tie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:104-113.

Full description at Econpapers || Download paper

2018Network features of sector indexes spillover effects in China: A multi-scale view. (2018). Feng, Sida ; Wen, Shaobo ; Sun, Qingru ; Liu, Xueyong ; Qi, Yabin ; Huang, Shupei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:461-473.

Full description at Econpapers || Download paper

2018Information driving force and its application in agent-based modeling. (2018). Chen, Ting-Ting ; Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:593-601.

Full description at Econpapers || Download paper

2018Time series analysis of S&P 500 index: A horizontal visibility graph approach. (2018). Vamvakaris, Michail D ; Zuev, Konstantin M ; Pantelous, Athanasios A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:41-51.

Full description at Econpapers || Download paper

2018Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544.

Full description at Econpapers || Download paper

2018Generalized AIC method based on higher-order moments and entropy of financial time series. (2018). Xu, Shiyun ; Shang, Pengjian ; Qiao, Wenxuan ; Shao, Menglin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1127-1138.

Full description at Econpapers || Download paper

2018Distribution of individual status in the invisibility similarity network of new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:426-434.

Full description at Econpapers || Download paper

2018Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market. (2018). Wang, Gang-Jin ; Ma, Chaoqun ; Wen, Danyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:903-918.

Full description at Econpapers || Download paper

2018Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112.

Full description at Econpapers || Download paper

2018On the applicability of the Lead/Lag Ratio in causality assessment. (2018). Zanin, Massimiliano ; Belkoura, Seddik. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:186-196.

Full description at Econpapers || Download paper

2018Collective behavior of cryptocurrency price changes. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:499-509.

Full description at Econpapers || Download paper

2019Dynamic topology and allometric scaling behavior on the Vietnamese stock market. (2019). Nguyen, Q ; Nguyen, L. H. N., ; Nguyen, N. K. K., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:235-243.

Full description at Econpapers || Download paper

2019Global Rényi index of the distance matrix. (2019). Nie, Chun-Xiao ; Song, Fu-Tie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:902-915.

Full description at Econpapers || Download paper

2019The quantum dark side of the optimal control theory. (2019). Contreras, Mauricio ; Pea, Juan Pablo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:450-473.

Full description at Econpapers || Download paper

2019Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681.

Full description at Econpapers || Download paper

2019The stability of Chinese stock network and its mechanism. (2019). Zhang, Weiping ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:748-761.

Full description at Econpapers || Download paper

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]		paper12
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]		paper78
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: 78		article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
[Full Text][Citation analysis]		paper50
2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
[Full Text][Citation analysis]		paper1
2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
[Full Text][Citation analysis]		paper13
2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
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]
This paper has another version. Agregated cites: 2		article
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]		paper77
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]		paper12
2015How news affects the trading behaviour of different categories of investors in a financial market.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
[Full Text][Citation analysis]		paper17
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
[Full Text][Citation analysis]		paper23
2015Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
2014Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers.
[Full Text][Citation analysis]		paper29
2015Networked relationships in the e-MID interbank market: A trading model with memory.(2015) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2014Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers.
[Full Text][Citation analysis]		paper2
2015Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network.(2015) In: PLOS ONE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
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]		paper0
2019On the interplay between multiscaling and stocks dependence In: Papers.
[Full Text][Citation analysis]		paper0
2020On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2000Taxonomy of Stock Market Indices In: Papers.
[Full Text][Citation analysis]		paper45
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
[Full Text][Citation analysis]		paper8
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper17
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper72
2001High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
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]		paper26
2001Levels of complexity in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		article
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.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2001Ensemble properties of securities traded in the NASDAQ market In: Papers.
[Full Text][Citation analysis]		paper4
2001Ensemble properties of securities traded in the NASDAQ market.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
[Full Text][Citation analysis]		paper21
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper20
2002Volatility in financial markets: stochastic models and empirical results.(2002) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
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]		paper12
2004Dynamics of a financial market index after a crash.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2002Degree stability of a minimum spanning tree of price return and volatility In: Papers.
[Full Text][Citation analysis]		paper30
2003Degree stability of a minimum spanning tree of price return and volatility.(2003) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
2004Networks of equities in financial markets In: Papers.
[Full Text][Citation analysis]		paper90
2004Networks of equities in financial markets.(2004) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		article
2004An interest rates cluster analysis In: Papers.
[Full Text][Citation analysis]		paper15
2004An interest rates cluster analysis.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2004Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector In: Papers.
[Full Text][Citation analysis]		paper4
2004Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2005Sector identification in a set of stock return time series traded at the London Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper16
1998Hierarchical Structure in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper384
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 384		article
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 384		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]		paper11
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
1999Dynamics of the Number of Trades of Financial Securities In: Papers.
[Full Text][Citation analysis]		paper8
2000Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2005Cluster analysis for portfolio optimization In: Papers.
[Full Text][Citation analysis]		paper60
2008Cluster analysis for portfolio optimization.(2008) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2005Scaling and data collapse for the mean exit time of asset prices In: Papers.
[Full Text][Citation analysis]		paper1
2007Correlation based networks of equity returns sampled at different time horizons In: Papers.
[Full Text][Citation analysis]		paper57
2007Correlation based networks of equity returns sampled at different time horizons.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
2006Market reaction to temporary liquidity crises and the permanent market impact In: Papers.
[Full Text][Citation analysis]		paper0
2006Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis In: Papers.
[Full Text][Citation analysis]		paper0
2008Diffusive behavior and the modeling of characteristic times in limit order executions In: Papers.
[Full Text][Citation analysis]		paper0
2009Diffusive behavior and the modeling of characteristic times in limit order executions.(2009) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2013Quantifying preferential trading in the e-MID interbank market In: Working Papers.
[Full Text][Citation analysis]		paper23
2015Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
2007Introduction to Econophysics In: Cambridge Books.
[Citation analysis]		book97
1999Introduction to Econophysics.(1999) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 97		book
2014Do firms share the same functional form of their growth rate distribution? A statistical test In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
1995Zipf plots and the size distribution of firms In: Economics Letters.
[Full Text][Citation analysis]		article114
2019When financial economics influences physics: The role of Econophysics In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2015Applying complexity science to air traffic management In: Journal of Air Transport Management.
[Full Text][Citation analysis]		article11
2017Statistical characterization of deviations from planned flight trajectories in air traffic management In: Journal of Air Transport Management.
[Full Text][Citation analysis]		article0
1994Statistical mechanics in biology: how ubiquitous are long-range correlations? In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article17
1995Statistical properties of DNA sequences In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article8
1996Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article34
1999Empirical investigation of stock price dynamics in an emerging market In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article2
1999Applications of statistical mechanics to finance In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article13
2000Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article9
2018Bootstrap validation of links of a minimum spanning tree In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2019Nested partitions from hierarchical clustering statistical validation In: Working Papers.
[Full Text][Citation analysis]		paper0
2015How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Long-term ecology of investors in a financial market In: Palgrave Communications.
[Full Text][Citation analysis]		article8
2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market In: PLOS ONE.
[Full Text][Citation analysis]		article8
2011Statistically Validated Networks in Bipartite Complex Systems In: PLOS ONE.
[Full Text][Citation analysis]		article12
2011Happy Aged People Are All Alike, While Every Unhappy Aged Person Is Unhappy in Its Own Way In: PLOS ONE.
[Full Text][Citation analysis]		article0
2013Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election In: PLOS ONE.
[Full Text][Citation analysis]		article0
2013The Phenomenology of Specialization of Criminal Suspects In: PLOS ONE.
[Full Text][Citation analysis]		article0
2014Multi-Scale Analysis of the European Airspace Using Network Community Detection In: PLOS ONE.
[Full Text][Citation analysis]		article1
2017An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management In: PLOS ONE.
[Full Text][Citation analysis]		article0
2018A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates In: PLOS ONE.
[Full Text][Citation analysis]		article0
2001VARIETY OF BEHAVIOR OF EQUITY RETURNS IN FINANCIAL MARKETS In: Computing in Economics and Finance 2001.
[Citation analysis]		paper0
2002Empirical investigation and modeling of a financial market after a crash In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
2008Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0
2008Generation of hierarchically correlated multivariate symbolic sequences In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0
2015Special issue of Quantitative Finance on Interlinkages and Systemic Risk In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2005Presentation of the English translation of Ettore Majoranas paper: The value of statistical laws in physics and social sciences In: Quantitative Finance.
[Full Text][Citation analysis]		article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team