Rosario Nunzio Mantegna : Citation Profile

Are you Rosario Nunzio Mantegna?

25

H index

41

i10 index

3037

Citations

RESEARCH PRODUCTION:

56

Articles

55

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 108
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 311.    Total self citations: 28 (0.91 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2023-03-02    RAS profile: 2022-05-07    
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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:

Zhou, Wei-Xing (52)

Wang, Gang-Jin (51)

Tabak, Benjamin (44)

Výrost, Tomáš (39)

Lyócsa, Štefan (35)

Baumohl, Eduard (33)

Challet, Damien (30)

Brida, Juan (30)

Araújo, Tanya (28)

Sensoy, Ahmet (27)

Gómez, David (24)

Cites to:

Farmer, J. (10)

Bottazzi, Giulio (9)

Granger, Clive (8)

Hoerova, Marie (8)

Heider, Florian (8)

Secchi, Angelo (7)

Potters, Marc (7)

Tedeschi, Gabriele (6)

Gallegati, Mauro (6)

Zhou, Wei-Xing (5)

Craig, Ben (5)

Main data

Where Rosario Nunzio Mantegna has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications17
Quantitative Finance11
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 (2022 and 2021)

YearTitle of citing document
2022Market 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.

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2022Market 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.

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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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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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2021On the statistics of scaling exponents and the Multiscaling Value at Risk. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2002.04164.

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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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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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2021Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014.

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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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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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2021Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes. (2020). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:2011.08275.

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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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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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2022Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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

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2022Clustering 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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2021Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806.

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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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2021Income inequality and mobility in geometric Brownian motion with stochastic resetting: theoretical results and empirical evidence of non-ergodicity. (2021). Stojkoski, Viktor ; Metzler, Ralf ; Kocarev, Ljupco ; Sandev, Trifce ; Pal, Arnab ; Jolakoski, Petar. In: Papers. RePEc:arx:papers:2109.01822.

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2022Systemic risk in interbank networks: disentangling balance sheets and network effects. (2021). Cimini, Giulio ; Ferracci, Alessandro. In: Papers. RePEc:arx:papers:2109.14360.

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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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2022Physics-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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2022Ordinal 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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2022Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931.

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2021A Universal End-to-End Approach to Portfolio Optimization via Deep Learning. (2021). Zohren, Stefan ; Cucuringu, Mihai ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2111.09170.

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2021Portfolio optimization with idiosyncratic and systemic risks for financial networks. (2021). Han, Jihui ; Wang, Chao ; Chen, Lin ; Zhao, Longfeng ; Yang, Yajie. In: Papers. RePEc:arx:papers:2111.11286.

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2021RPS: Portfolio Asset Selection using Graph based Representation Learning. (2021). Loghmani, Erfan ; Owfi, Ali ; Alian, Parsa ; Fazli, Mohammadamin. In: Papers. RePEc:arx:papers:2111.15634.

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2021Cross-ownership as a structural explanation for rising correlations in crisis times. (2021). Araneda, Axel A ; Bertschinger, Nils. In: Papers. RePEc:arx:papers:2112.04824.

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2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544.

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2022The Oracle estimator is suboptimal for global minimum variance portfolio optimisation. (2021). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2112.07521.

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2021Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market. (2021). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: Papers. RePEc:arx:papers:2112.13127.

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2022Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2021Community detection and portfolio optimization. (2021). Wang, Gang-Jin ; Zhao, Longfeng ; Chen, Lin ; Stanley, Eugene H. In: Papers. RePEc:arx:papers:2112.13383.

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2022Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix. (2022). Sen, Rituparna ; Chakrabarti, Arnab. In: Papers. RePEc:arx:papers:2201.00119.

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2022New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213.

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2022Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635.

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2022COVID-19 impact on the international trade. (2022). Ermann, Leonardo ; Jos'e Lages, ; Coquid, C'Elestin ; Shepelyansky, Dima L. In: Papers. RePEc:arx:papers:2201.07737.

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2022Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. (2022). Reinert, Gesine ; Cucuringu, Mihai ; Bennett, Stefanos. In: Papers. RePEc:arx:papers:2201.08283.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466.

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2022The effect of the pandemic on complex socio-economic systems: community detection induced by communicability. (2022). Rizzini, Giorgio ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2201.12618.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Financial Crisis in the Framework of Non-zero Temperature Balance Theory. (2022). Zahedian, Mohammadreza ; Jafari, Reza G ; Trufanov, Andrey ; Bagherikalhor, Mahsa. In: Papers. RePEc:arx:papers:2202.03198.

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2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

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2022Stability of Chinas Stock Market: Measure and Forecast by Ricci Curvature on Network. (2022). Lin, Haibo ; Feng, Liu ; Zhang, Ning ; zhao, liang ; Wang, Xinyu. In: Papers. RePEc:arx:papers:2204.06692.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio. In: Papers. RePEc:arx:papers:2205.07385.

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2022Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory. (2022). Takayasu, Misako ; Kanazawa, Kiyoshi. In: Papers. RePEc:arx:papers:2205.15558.

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2022Dependency structures in cryptocurrency market from high to low frequency. (2022). Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2206.03386.

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2022Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents. (2022). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Papers. RePEc:arx:papers:2206.06764.

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2022Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy. (2022). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2206.10173.

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2022Clustering of Excursion Sets in Financial Market. (2022). S. M. S. Movahed, ; Shadmangohar, M. In: Papers. RePEc:arx:papers:2207.03221.

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2022Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning. (2022). Pasquali, Stefano ; Mehta, Dhagash ; Nair, Nayana ; Sarmah, Bhaskarjit. In: Papers. RePEc:arx:papers:2207.07183.

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2022Anatomy of a Stablecoins failure: the Terra-Luna case. (2022). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tom, David ; Briola, Antonio. In: Papers. RePEc:arx:papers:2207.13914.

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2022How Covid mobility restrictions modified the population of investors in Italian stock markets. (2022). Russo, Antonio ; Ravagnani, Adele ; Medda, Francesca ; Mazzarisi, Piero ; Lillo, Fabrizio ; Deriu, Paola. In: Papers. RePEc:arx:papers:2208.00181.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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2022Monitoring the Dynamic Networks of Stock Returns. (2022). Bodnar, Olha ; Nguyen, Hoang ; Touli, Elena Farahbakhsh. In: Papers. RePEc:arx:papers:2210.16679.

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2022Early Warning Signals for Cryptocurrency Market States. (2022). Kukreti, Vishwas. In: Papers. RePEc:arx:papers:2211.12356.

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2022Understanding stock market instability via graph auto-encoders. (2022). Zohren, Stefan ; Dong, Xiaowen ; Gorduza, Dragos. In: Papers. RePEc:arx:papers:2212.04974.

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2022A machine learning approach to support decision in insider trading detection. (2022). Russo, Antonio ; Medda, Francesca ; Lillo, Fabrizio ; Deriu, Paola ; Ravagnani, Adele ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2212.05912.

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2022Variable Clustering via Distributionally Robust Nodewise Regression. (2022). Yu, Xun ; Xu, Xiao ; Wang, Kaizheng. In: Papers. RePEc:arx:papers:2212.07944.

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2023Price impact in equity auctions: zero, then linear. (2023). Challet, Damien ; Toke, Ioane Muni ; Salek, Mohammed. In: Papers. RePEc:arx:papers:2301.05677.

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2023Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II. (2023). Farmer, Doyne J ; Vie, Aymeric. In: Papers. RePEc:arx:papers:2302.01216.

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2021.

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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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2021Bargaining power and outside options in the interbank lending market. (2021). Bräuning, Falk ; Brauning, Falk ; Abbassi, Puriya ; Schulze, Niels. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:553-586.

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2022STATISTICAL EQUILIBRIUM METHODS IN ANALYTICAL POLITICAL ECONOMY. (2022). Scharfenaker, Ellis. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:276-309.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2022Power law in COVID?19 cases in China. (2022). Akhundjanov, Sherzod ; Okhunjanov, Botir B ; Ahundjanov, Behzod B. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:2:p:699-719.

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2021Growth and inequality in the Mexican states: Regimes, thresholds, and traps. (2021). Sánchez Carrera, Edgar ; Brida, Juan ; Segarra, Veronica ; Risso, Adrian W. In: Papers in Regional Science. RePEc:bla:presci:v:100:y:2021:i:5:p:1295-1322.

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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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2022Contagion from market price impact: a price-at-risk perspective. (2022). Mingarelli, Luca ; Sydow, Matthias ; Kaijser, Michiel ; Fukker, Gabor. In: Working Paper Series. RePEc:ecb:ecbwps:20222692.

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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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2021Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series. (2021). Shang, Pengjian ; Wang, Zhuo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308651.

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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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2021A novel and effective method to characterize complex systems. (2021). Zhang, Sheng ; Shang, Pengjian ; Xu, Meng. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:153:y:2021:i:p1:s096007792100792x.

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2022New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

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2022Identification of the most influential stocks in financial networks. (2022). Guan, Shuguang ; Tang, Ming ; Liu, Ying ; Qu, Junyi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922001497.

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2022The predictive power of power-laws: An empirical time-arrow based investigation. (2022). Kalda, Jaan ; di Tollo, Giacomo ; Andria, Joseph. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200635x.

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2022Generalized correlation dimension and heterogeneity of network spaces. (2022). Nie, Chun-Xiao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200710x.

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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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2021Identification of information networks in stock markets. (2021). Baltakys, Kstutis ; Kanniainen, Juho ; Baltakien, Margarita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001524.

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2022Forecasting in a complex environment: Machine learning sales expectations in a stock flow consistent agent-based simulation model. (2022). Russo, Alberto ; Catullo, Ermanno ; Gallegati, Mauro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001117.

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2022The impacts of interest rates on banks’ loan portfolio risk-taking. (2022). Cajueiro, Daniel O ; Ely, Regis A ; Silveira, Douglas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002251.

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2021Measuring and explaining firm-level exchange rate exposure: The role of foreign market destinations and international trade. (2021). Vandemaele, Sigrid ; Braekers, Roel ; Vancauteren, Mark ; van Cauwenberge, Annelies. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s026499932100256x.

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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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2021Identifying states of global financial market based on information flow network motifs. (2021). Yue, Peng ; Wei, NA ; Yong, Yang ; Xie, Wen-Jie ; Zhou, Wei-Xing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s106294082100084x.

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2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

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2022Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data. (2022). Kamada, Koichiro ; Yamada, Tetsuya ; Miura, KO ; Kurosaki, Tetsuo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001753.

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2022Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055.

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2022Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012.

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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]		paper15
2007Specialization of strategies and herding behavior of trading firms in a financial market In: Papers.
[Full Text][Citation analysis]		paper1
2007Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance In: Papers.
[Full Text][Citation analysis]		paper6
2008Correlation, hierarchies, and networks in financial markets In: Papers.
[Full Text][Citation analysis]		paper122
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: 122		article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
[Full Text][Citation analysis]		paper55
2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
[Full Text][Citation analysis]		paper3
2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
[Full Text][Citation analysis]		paper28
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: 28		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]		paper123
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]		paper24
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: 24		article
2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
[Full Text][Citation analysis]		paper28
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
[Full Text][Citation analysis]		paper43
2015Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		article
2014Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers.
[Full Text][Citation analysis]		paper51
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]		paper12
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]		paper2
2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers.
[Full Text][Citation analysis]		paper3
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]		paper8
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]		paper53
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
[Full Text][Citation analysis]		paper12
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper25
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper90
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]		paper2
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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This paper has another version. Agregated cites: 2		article
2001Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis In: Papers.
[Full Text][Citation analysis]		paper3
2001Levels of complexity in financial markets In: Papers.
[Full Text][Citation analysis]		paper32
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.
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2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
[Full Text][Citation analysis]		paper31
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper33
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]		paper10
2002Dynamics of a financial market index after a crash In: Papers.
[Full Text][Citation analysis]		paper16
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]		paper50
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]		paper139
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]		paper22
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]		paper6
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]		paper24
1998Hierarchical Structure in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper608
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: 608		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: 608		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.
[Full Text][Citation analysis]		paper12
2000Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 12		article
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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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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2022Statistically validated hierarchical clustering: Nested partitions in hierarchical trees 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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2003Master curve for price-impact function In: Nature.
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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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2015Quantifying preferential trading in the e-MID interbank market In: Quantitative Finance.
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2021The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative 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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