Rosario Nunzio Mantegna : Citation Profile

Are you Rosario Nunzio Mantegna?

18

H index

29

i10 index

1460

Citations

RESEARCH PRODUCTION:

41

Articles

55

Papers

2

Books

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 58
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 176.    Total self citations: 15 (1.02 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2019-10-15    RAS profile: 2019-07-19    
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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)

Baumohl, Eduard (29)

Brida, Juan (25)

Lyócsa, Štefan (25)

Výrost, Tomᚠ(24)

Araújo, Tanya (23)

Sensoy, Ahmet (23)

Şensoy, Ahmet (21)

Gómez, David (17)

Caiado, Jorge (17)

Cites to:

Farmer, J. (8)

Bottazzi, Giulio (7)

Grinblatt, Mark (5)

Secchi, Angelo (5)

Keloharju, Matti (4)

Challet, Damien (4)

Coad, Alex (4)

Gallegati, Mauro (3)

Huberman, Gur (3)

Tedeschi, Gabriele (3)

Calvet, Laurent (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 (2019 and 2018)

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.

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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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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.

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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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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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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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2019Nonlinear 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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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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

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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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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.

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

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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.

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

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

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

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

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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.

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

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

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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.

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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.

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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.

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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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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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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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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.

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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.

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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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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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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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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.

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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.

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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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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.

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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.

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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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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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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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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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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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2018The price momentum of stock in distribution. (2018). Liu, Haijun ; Wang, Longfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2336-2344.

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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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2018The mutual information based minimum spanning tree to detect and evaluate dependencies between aero-engine gas path system variables. (2018). Dong, Keqiang ; Gao, You ; Zhang, Hong ; Long, Linan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:248-253.

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2018The time delay restraining the herd behavior with Bayesian approach. (2018). Zhong, Guang-Yan ; Tao, Hui-Ming ; Li, Hai-Feng ; Jiang, George J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:335-346.

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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.
[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]		paper67
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.
[Full Text][Citation analysis]		paper49
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.
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2011Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper1
2011Evolution of worldwide stock markets, correlation structure and correlation based graphs In: Papers.
[Full Text][Citation analysis]		paper72
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]		paper9
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.
[Full Text][Citation analysis]		paper15
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.
[Full Text][Citation analysis]		paper2
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.
[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.
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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.
[Full Text][Citation analysis]		paper8
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper16
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper69
2001High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance.
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2000Empirical properties of the variety of a financial portfolio and the single-index model In: Papers.
[Full Text][Citation analysis]		paper0
2001Empirical properties of the variety of a financial portfolio and the single-index model.(2001) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2001Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis In: Papers.
[Full Text][Citation analysis]		paper1
2001Levels of complexity in financial markets In: Papers.
[Full Text][Citation analysis]		paper26
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.
[Full Text][Citation analysis]		paper4
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]		paper20
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper19
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]		paper6
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.
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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.
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2004Networks of equities in financial markets In: Papers.
[Full Text][Citation analysis]		paper85
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.
[Full Text][Citation analysis]		paper14
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.
[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.
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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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2015Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance.
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2007Introduction to Econophysics In: Cambridge Books.
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1999Introduction to Econophysics.(1999) In: Cambridge Books.
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2014Do firms share the same functional form of their growth rate distribution? A statistical test In: Journal of Economic Dynamics and Control.
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1995Zipf plots and the size distribution of firms In: Economics Letters.
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2015Applying complexity science to air traffic management In: Journal of Air Transport Management.
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2017Statistical characterization of deviations from planned flight trajectories in air traffic management In: Journal of Air Transport Management.
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1994Statistical mechanics in biology: how ubiquitous are long-range correlations? In: Physica A: Statistical Mechanics and its Applications.
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1995Statistical properties of DNA sequences In: Physica A: Statistical Mechanics and its Applications.
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1996Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics In: Physica A: Statistical Mechanics and its Applications.
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1999Empirical investigation of stock price dynamics in an emerging market In: Physica A: Statistical Mechanics and its Applications.
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1999Applications of statistical mechanics to finance In: Physica A: Statistical Mechanics and its Applications.
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2000Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions In: Physica A: Statistical Mechanics and its Applications.
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2018Bootstrap validation of links of a minimum spanning tree In: Physica A: Statistical Mechanics and its Applications.
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2019Nested partitions from hierarchical clustering statistical validation In: Working Papers.
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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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