Rosario Nunzio Mantegna : Citation Profile


Are you Rosario Nunzio Mantegna?

17

H index

27

i10 index

1297

Citations

RESEARCH PRODUCTION:

41

Articles

54

Papers

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 54
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 184.    Total self citations: 14 (1.07 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2019-04-13    RAS profile: 2019-01-08    
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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 (34)

Brida, Juan (25)

Araújo, Tanya (23)

Sensoy, Ahmet (23)

Lyócsa, Štefan (21)

Şensoy, Ahmet (21)

Výrost, Tomᚠ(20)

Baumohl, Eduard (20)

Gómez, David (19)

Caiado, Jorge (17)

Cites to:

Farmer, J. (8)

Bottazzi, Giulio (7)

Grinblatt, Mark (5)

Secchi, Angelo (5)

Coad, Alex (4)

Challet, Damien (4)

Keloharju, Matti (4)

Calvet, Laurent (3)

Kyle, Albert (3)

Iori, Giulia (3)

Potters, Marc (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 Finance9
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 (2018 and 2017)


YearTitle of citing document
2017Community detection in temporal multilayer networks, with an application to correlation networks. (2017). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Bazzi, Marya ; McDonald, Mark . In: Papers. RePEc:arx:papers:1501.00040.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900.

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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.

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2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

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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.

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2017Dynamic 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.

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

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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

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

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

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2017Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210.

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

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

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2017Dynamic correlations at different time-scales with Empirical Mode Decomposition. (2017). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Papers. RePEc:arx:papers:1708.06586.

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2018Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Papers. RePEc:arx:papers:1708.08594.

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2018Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions. (2018). Hu, Guosheng ; Miemie, Qiangwei ; Hospedales, Timothy ; Robertson, Neil ; Liu, Jianguo ; Xie, Fei ; Zhang, Zhihong ; Sung, Flood ; Yu, Zehao ; Yang, Kai. In: Papers. RePEc:arx:papers:1709.03803.

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

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

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2018Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees. (2018). Barbi, A Q ; Prataviera, G A. In: Papers. RePEc:arx:papers:1711.06185.

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

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

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2018Ranking Causal Influence of Financial Markets via Directed Information Graphs. (2018). Diamandis, Theo ; Goldsmith, Andrea ; Murin, Yonathan. In: Papers. RePEc:arx:papers:1801.06896.

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

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

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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.

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2019Market Impact: A systematic study of limit orders. (2018). Said, Emilio ; Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel. In: Papers. RePEc:arx:papers:1802.08502.

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

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

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

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

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

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2018Asset allocation: new evidence through network approaches. (2018). Clemente, Gian Paolo ; Hitaj, Asmerilda ; Grassi, Rosanna. In: Papers. RePEc:arx:papers:1810.09825.

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2018Predicting future stock market structure by combining social and financial network information. (2018). , Th'Arsis ; Aste, Tomaso. In: Papers. RePEc:arx:papers:1812.01103.

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

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

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

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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.

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2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

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2018Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44.

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2018Portfolio Diversification Strategy Via Tail‐Dependence Clustering and ARMA‐GARCH Vine Copula Approach. (2018). Ji, Hao ; Liseo, Brunero ; Wang, Hao. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:3:p:265-283.

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2017Investigating the Disparities of China’s Insurance Market Based on Minimum Spanning Tree from the Viewpoint of Geography and Enterprise. (2017). Chi, Xie ; Xinguo, Yan ; Gangjin, Wang ; Yingying, Zhou. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:216-228:n:2.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

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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.

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2017A Hierarchical View of a National Stock Market as a Complex Network. (2017). Baydll, Yusuf Yargi ; Turker, lker ; Bayir, Afak . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:1:p:205-222.

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

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2017Extracting clusters from aggregate panel data: A market segmentation study. (2017). Trindade, Graa ; Ambrosio, Jorge ; Dias, Jose G. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:296:y:2017:i:c:p:277-288.

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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.

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2017Size distribution of national CO2 emissions. (2017). Luckstead, Jeff ; Akhundjanov, Sherzod ; Devadoss, Stephen . In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:182-193.

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2017Effects of common factors on stock correlation networks and portfolio diversification. (2017). Eom, Cheoljun ; Park, Jongwon. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:1-11.

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2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Roubaud, David ; Ji, Qiang ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

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2018Network topology and systemic risk: Evidence from the Euro Stoxx market. (2018). Li, Wenwei ; Paterlini, Sandra ; Hommel, Ulrich. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:105-112.

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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.

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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.

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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.

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2017Network centrality and funding rates in the e-MID interbank market. (2017). Montes-Rojas, Gabriel ; Iori, Giulia ; Temizsoy, Asena . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:346-365.

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2018Characterizing air traffic networks via large-scale aircraft tracking data: A comparison between China and the US networks. (2018). Ren, Pan ; Li, Lishuai. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:67:y:2018:i:c:p:181-196.

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2018Characterization and prediction of the airport operational saturation. (2018). Rodrguez-Sanz, Lvaro ; Prez-Castn, Javier A ; Valds, Rosa Arnaldo ; Comendador, Fernando Gmez. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:69:y:2018:i:c:p:147-172.

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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.

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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.

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2018A new method for better portfolio investment: A case of the Korean stock market. (2018). Eom, Cheoljun ; Park, Jongwon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:213-231.

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2017Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis. (2017). Zhang, Hong ; Dong, Keqiang ; Gao, You. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:363-369.

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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.

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2017Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data. (2017). Gallegati, Mauro ; Hosseiny, Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:51-59.

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2017Two-faced property of a market factor in asset pricing and diversification effect. (2017). Eom, Cheoljun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:190-199.

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2017Wealth of the world’s richest publicly traded companies per industry and per employee: Gamma, Log-normal and Pareto power-law as universal distributions?. (2017). Montemayor-Aldrete, J A ; Soriano-Hernandez, P ; del Castillo-Mussot, M ; Campiran-Chavez, I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:733-749.

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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.

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2017Detecting anomalous traders using multi-slice network analysis. (2017). Sun, Xiao-Qian ; Zhang, Yuqing ; Cheng, Xue-Qi ; Shen, Hua-Wei . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:1-9.

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2017Econophysics: Past and present. (2017). de Area, Eder Johnson ; da Silva, Marcus Fernandes. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:251-261.

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2017Correlation dimension of financial market. (2017). Nie, Chun-Xiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:632-639.

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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.

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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.

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2017Financial networks based on Granger causality: A case study. (2017). Papana, Angeliki ; Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:65-73.

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2017A complex network for studying the transmission mechanisms in stock market. (2017). Long, Wen ; Cui, Lingxiao ; Song, Linqiu ; Shen, Jiangjian ; Guan, Lijing . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:345-357.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47.

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2017Debt and growth: A non-parametric approach. (2017). Gómez, David ; Brida, Juan ; Seijas, Maria Nela ; Gomez, David Matesanz . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:883-894.

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2017Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain. (2017). Uddin, Gazi ; Bekiros, Stelios ; Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:947-955.

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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.

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2018Early warning model based on correlated networks in global crude oil markets. (2018). Xie, Wen-Jie ; Yu, Jia-Wei ; Jiang, Zhi-Qiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1335-1343.

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2018The measurement of China’s consumer market development based on CPI data. (2018). Tian, Lixin ; Zhen, Zaili ; Xiao, Jiang ; Wang, Minggang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:664-680.

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2018Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns. (2018). Racca, P ; Squazzoni, F ; Dondio, P ; Casarin, R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:458-466.

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2018Complexity analysis based on generalized deviation for financial markets. (2018). Li, Chao ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:118-128.

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2018ρDCCA applied between air temperature and relative humidity: An hour/hour view. (2018). Zebende, G F ; Castro, A P ; Silva, A M ; Brito, A A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:17-26.

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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.

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2018Statistical analysis of Brazilian electoral campaigns via Benford’s law. (2018). Gamermann, Daniel ; Antunes, Felipe Leite. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:171-188.

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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.

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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.

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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.

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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.

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2018Spectral analysis of time-dependent market-adjusted return correlation matrix. (2018). Bommarito, Michael J ; Duran, Ahmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:273-282.

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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.

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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.

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2018Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470.

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2018Geodetic convex boundary curvatures of the communities in stock market networks. (2018). Akguller, Omer ; Balci, Mehmet Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:569-581.

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2018Non-linear dependencies in African stock markets: Was subprime crisis an important factor?. (2018). Ferreira, Paulo ; Correia, Jose ; Dionisio, Andreia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:680-687.

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2018Assessing information content and interactive relationships of subgenomic DNA sequences of the MHC using complexity theory approaches based on the non-extensive statistical mechanics. (2018). Karakatsanis, L P ; Monos, D S ; Duke, J L ; Clark, P M ; Pavlos, E G ; Iliopoulos, A C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:77-93.

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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.

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2018Herding boosts too-connected-to-fail risk in stock market of China. (2018). Lu, Shan ; Ren, Ruoen ; Wang, Huiwen ; Zhao, Jichang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:945-964.

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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.

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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.

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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.
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2007Kullback-Leibler distance as a measure of the information filtered from multivariate data In: Papers.
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2007Specialization of strategies and herding behavior of trading firms in a financial market In: Papers.
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2007Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance In: Papers.
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2008Correlation, hierarchies, and networks in financial markets In: Papers.
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2010Correlation, hierarchies, and networks in financial markets.(2010) In: Journal of Economic Behavior & Organization.
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2009Market impact and trading profile of large trading orders in stock markets In: Papers.
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2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
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2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
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2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators.(2011) In: Quantitative Finance.
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2011Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange In: Papers.
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2012Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange.(2012) In: Quantitative Finance.
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2011Do firms share the same functional form of their growth rate distribution? A new statistical test In: Papers.
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2011Evolution of worldwide stock markets, correlation structure and correlation based graphs In: Papers.
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2011Identification of clusters of investors from their real trading activity in a financial market In: Papers.
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2012How news affect the trading behavior of different categories of investors in a financial market In: Papers.
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2015How news affects the trading behaviour of different categories of investors in a financial market.(2015) In: Quantitative Finance.
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2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
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2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
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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.
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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.
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2014Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo In: Papers.
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2015Backbone of credit relationships in the Japanese credit market In: Papers.
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2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers.
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2018On the interplay between multiscaling and average cross-correlation In: Papers.
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2000Taxonomy of Stock Market Indices In: Papers.
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2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
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2000Variety and Volatility in Financial Markets In: Papers.
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2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
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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.
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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.
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2001Levels of complexity in financial markets In: Papers.
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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.
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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.
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2001Ensemble properties of securities traded in the NASDAQ market.(2001) In: Physica A: Statistical Mechanics and its Applications.
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2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
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2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
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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.
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2002Dynamics of a financial market index after a crash In: Papers.
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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.
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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.
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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.
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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.
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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.
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1998Hierarchical Structure in Financial Markets In: Papers.
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1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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1998Modeling of Financial Data: Comparison of the Truncated L\evy Flight and the ARCH(1) and GARCH(1,1) processes In: Papers.
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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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1999Statistical Properties of Statistical Ensembles of Stock Returns In: Papers.
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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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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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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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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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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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