Rosario Nunzio Mantegna : Citation Profile


Are you Rosario Nunzio Mantegna?

25

H index

43

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3229

Citations

RESEARCH PRODUCTION:

56

Articles

55

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 115
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 28 (0.86 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2024-07-05    RAS profile: 2023-02-11    
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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 (60)

Wang, Gang-Jin (51)

Tabak, Benjamin (44)

Výrost, Tomáš (39)

Lyócsa, Štefan (35)

Challet, Damien (34)

Baumohl, Eduard (33)

Brida, Juan (31)

Araújo, Tanya (30)

Sensoy, Ahmet (27)

Gómez, David (24)

Cites to:

Bottazzi, Giulio (10)

Farmer, J. (10)

Secchi, Angelo (8)

Hoerova, Marie (8)

Heider, Florian (8)

Potters, Marc (7)

Tedeschi, Gabriele (6)

Gallegati, Mauro (6)

Grinblatt, Mark (5)

von Peter, Goetz (5)

Coad, Alex (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 (2024 and 2023)


YearTitle of citing document
2023Análisis de la Topología de las relaciones entre Bancos y Firmas mediante Redes Complejas: comparación del caso de Argentina e Italia. (2023). de la Fuente, Diaz. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4647.

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2023Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703.

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2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2023Price 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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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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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023FTXs downfall and Binances consolidation: the fragility of Centralized Digital Finance. (2023). Aste, Tomaso ; Briola, Antonio ; Vidal-Tom, David. In: Papers. RePEc:arx:papers:2302.11371.

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2023Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology. (2023). Cartlidge, John ; Shi, Zijian. In: Papers. RePEc:arx:papers:2303.00080.

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2024A Bayesian derivation of the square root law of market impact. (2023). Marsili, Matteo ; Saddier, Louis. In: Papers. RePEc:arx:papers:2303.08867.

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2023Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, Juli'An Fernando ; Ramirez, Hugo E. In: Papers. RePEc:arx:papers:2303.10043.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323.

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2023A network-based strategy of price correlations for optimal cryptocurrency portfolios. (2023). Correa, Luis Enrique ; Jing, Ruixue. In: Papers. RePEc:arx:papers:2304.02362.

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2023Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory. (2023). Berritta, Marco ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2304.14098.

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2023Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies. (2023). Kanazawa, Kiyoshi ; Sato, Yuki. In: Papers. RePEc:arx:papers:2306.13378.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2023Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

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2023Methods for Acquiring and Incorporating Knowledge into Stock Price Prediction: A Survey. (2023). Zhu, Xinyi ; Wang, Xiaohan ; Kou, Zhizhuo ; Zhao, Lifan ; Li, Jiawei ; Chen, Lei ; Shen, Yanyan. In: Papers. RePEc:arx:papers:2308.04947.

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2023Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944.

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2023Detecting Financial Market Manipulation with Statistical Physics Tools. (2023). Ventre, Carmine ; Polukarova, Maria ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.08683.

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2023Analysis of Optimal Portfolio Management Using Hierarchical Clustering. (2023). Panda, Kapil. In: Papers. RePEc:arx:papers:2308.11202.

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2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

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2023Epps Effect and the Signature of Short-Term Momentum Traders. (2023). Thomir, L'Eon ; Busca, J'Erome. In: Papers. RePEc:arx:papers:2309.06711.

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2023Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks. (2023). Crupi, Riccardo ; Cagliero, Emanuele ; Caprioli, Sergio. In: Papers. RePEc:arx:papers:2309.08652.

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2023A detection analysis for temporal memory patterns at different time-scales. (2023). Lambert, David ; Vanni, Fabio. In: Papers. RePEc:arx:papers:2309.12034.

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2024Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2023An Introduction to Complex Networks in Climate Finance. (2023). Ameli, Nadia ; Kartun-Giles, Alexander P. In: Papers. RePEc:arx:papers:2309.15890.

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2023Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations. (2023). Petrov, Constantin ; Miori, Deborah. In: Papers. RePEc:arx:papers:2311.14419.

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2023The two square root laws of market impact and the role of sophisticated market participants. (2023). Rosenbaum, Mathieu ; Durin, Bruno ; Szymanski, Gr'Egoire. In: Papers. RePEc:arx:papers:2311.18283.

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2024Dimensionality reduction techniques to support insider trading detection. (2024). Russo, Antonio ; Medda, Francesca ; Mazzarisi, Piero ; Deriu, Paola ; Lillo, Fabrizio ; Ravagnani, Adele. In: Papers. RePEc:arx:papers:2403.00707.

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2024Antinetwork among China A-shares. (2024). Liu, Peng. In: Papers. RePEc:arx:papers:2404.00028.

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2024Portfolio management using graph centralities: Review and comparison. (2024). Vrontos, Spyridon ; Noferini, Vanni ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187.

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2024Complex network analysis of cryptocurrency market during crashes. (2024). Hens, Chittaranjan ; Majhi, Sushovan ; Nurujjaman, MD ; Luwang, SR ; Rai, Anish ; Mukhia, Kundan. In: Papers. RePEc:arx:papers:2405.05642.

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2023Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654.

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2023Insurance fraud detection: A statistically validated network approach. (2023). Farabullini, Fabio ; Cesari, Riccardo ; Vassallo, Pietro ; Consiglio, Andrea ; Tumminello, Michele. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:381-419.

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2023Deep learning model fragility and implications for financial stability and regulation. (2023). Roy, Arunita ; Kazim, Emre ; Tewarrie, Marvin ; Kingsman, Nigel ; da Costa, Kleyton ; Koshiyama, Adriano ; Kumar, Rishabh ; Lovell, Zac ; Treleaven, Philip. In: Bank of England working papers. RePEc:boe:boeewp:1038.

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2023Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, J F ; Ramirez, H. In: Documentos de Trabajo. RePEc:col:000092:020669.

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2023Are the European Union stock markets vulnerable to the Russia–Ukraine war?. (2023). Pandey, Dharen ; Kumar, Gaurav ; Kumari, Vineeta. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000072.

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2023Stable versus fragile community structures in the correlation dynamics of Chinese industry indices. (2023). Song, Fu-Tie ; Nie, Chun-Xiao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:167:y:2023:i:c:s0960077922012231.

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2023A numerical recipe for the computation of stationary stochastic processes’ autocorrelation function. (2023). Micciche, S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:171:y:2023:i:c:s0960077923003594.

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2024The Russia–Ukraine conflict and the amplitude of chaos in the prices of Natural Gas commodities. (2024). Alves, P. R. L., . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:179:y:2024:i:c:s0960077924000031.

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2023Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069.

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2023Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173.

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2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

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2023Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2024Distributed mean reversion online portfolio strategy with stock network. (2024). Li, Hongyi ; Xu, Weijun ; Zhong, Yannan. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1143-1158.

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2023The environmental pillar of ESG and financial performance: A portfolio analysis. (2023). Karvelas, Kleanthis ; Alexopoulos, Thomas ; Agliardi, Elettra. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000968.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

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2023Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746.

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2023A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806.

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2023A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets. (2023). Lu, Xin ; Luan, Xin ; Zheng, Yanting ; Liu, Jiaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004362.

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2024Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach. (2024). Gabauer, David ; Chatziantoniou, Ioannis ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005021.

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2024Social media information diffusion and excess stock returns co-movement. (2024). Li, Sai-Ping ; Wu, Wang-Long ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525.

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2023Anatomy of a Stablecoin’s failure: The Terra-Luna case. (2023). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tomas, David ; Briola, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005359.

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2023Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization. (2023). Challet, Damien ; Bongiorno, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005608.

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2023Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees. (2023). Song, Jae Wook ; Cho, Younghwan. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200784x.

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2023The impact of the Russia–Ukraine conflict on the energy subsector stocks in China: A network-based approach. (2023). Pan, Huanxue ; Deng, Jing ; Ouyang, Wenpei ; Chen, Ying ; Xu, Zihan ; Xing, Xiaoyun. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000193.

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2023Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network. (2023). Wang, Chengjin ; Yang, Ming-Yuan ; Zheng, Chengsi ; Wu, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005974.

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2023Co-jump dynamicity in the cryptocurrency market: A network modelling perspective. (2023). Chen, Yan ; Bouri, Elie ; Zhang, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444.

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2023A network-based strategy of price correlations for optimal cryptocurrency portfolios. (2023). Rocha, Luis ; Jing, Ruixue. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008759.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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2023Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China. (2023). Uddin, Gazi ; Wang, Gang-Jin ; Chen, Yan ; Xie, Chi ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323001011.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2023Predicting aircraft trajectory uncertainties for terminal airspace design evaluation. (2023). He, Fang ; Hong, Ning ; Zhu, Xinting ; Fu, Xiaowen ; Li, Lishuai ; Lin, YU. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:113:y:2023:i:c:s0969699723001163.

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2023Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

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2023Research on price transmission in Chinese mining stock market: Based on industry. (2023). Sun, Haoyu ; Wang, LU ; Zhou, Xuanru ; Xing, Wanli ; Zhang, Hua ; Zhu, Mingxue. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004385.

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2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

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2023Scaling invariance in domestic passenger flight delays in the United States. (2023). Zhu, Chenping ; Sun, Long Long. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437122010032.

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2023Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach. (2023). Wang, Qing Yun ; Ye, Tanglin ; Sun, Qian ; Jiang, Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000018.

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2023Does machine learning help private sectors to alarm crises? Evidence from China’s currency market. (2023). Zong, LU ; Wang, Peiwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000250.

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2023A local fitting based multifractal detrend fluctuation analysis method. (2023). Kim, Junseok ; Wu, Xinpei ; Huang, Menghao ; Wang, Jian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000316.

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2023Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis. (2023). Chen, Jiayi ; Shen, NA. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s0378437123001140.

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2023Modeling and simulation of financial returns under non-Gaussian distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004417.

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2023Deep reinforcement trading with predictable returns. (2023). Tantari, Daniele ; Brini, Alessio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004569.

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2023DNA visibility graphs. (2023). Hutt, Marc-Thorsten ; Kosmidis, Kosmas. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:626:y:2023:i:c:s0378437123005988.

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2023Bitcoin market networks and cyberattacks. (2023). Sousa, Ricardo ; Costantini, Mauro ; Mishra, Tapas ; Maaitah, Ahmad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007203.

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2023An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). Menzies, Max ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008117.

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2023Dimensional reduction of solvency contagion dynamics on financial networks. (2023). Montagna, Guido ; Ricciardi, Gianmarco ; Cimini, Giulio ; Caldarelli, Guido. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008427.

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2023The Mixture Transition Distribution approach to networks: Evidence from stock markets. (2023). Petroni, Filippo ; de Blasis, Riccardo ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123008907.

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2023Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods. (2023). Bezbradica, Marija ; Mai, Tai Tan ; Ngoc, An Pham ; Crane, Martin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123009044.

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2024A simple learning agent interacting with an agent-based market model. (2024). Gebbie, Tim ; Paskaramoorthy, Andrew ; Dicks, Matthew. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009184.

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2024If GPU(time) == money: Sustainable crypto-asset market? Analysis of similarity among crypto-asset financial time series. (2024). Ziba, Damian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:863-912.

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2024The optimal strategies of competitive high-frequency traders and effects on market liquidity. (2024). Doukas, John A ; Yang, Haijun ; Ge, Hengshun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:653-679.

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2023Revisiting asset co-movement: Does network topology really matter?. (2023). Chen, Huayi ; Shi, Huai-Long. In: Research in International Business and Finance. RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001903.

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2023Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate-Adjusted Dependence Graphs. (2023). Kim, Woo Chang ; Choi, Insu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923002039.

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2023FTXs downfall and Binances consolidation: the fragility of centralised digital finance. (2023). Vidal-Tomás, David ; Aste, Tomaso ; Briola, Antonio ; Vidal-Tomas, David. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119902.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2023Analogue and Physical Reservoir Computing Using Water Waves: Applications in Power Engineering and Beyond. (2023). Maksymov, Ivan S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5366-:d:1193950.

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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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paper0
2007Kullback-Leibler distance as a measure of the information filtered from multivariate data In: Papers.
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paper17
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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paper6
2008Correlation, hierarchies, and networks in financial markets In: Papers.
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paper128
2010Correlation, hierarchies, and networks in financial markets.(2010) In: Journal of Economic Behavior & Organization.
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This paper has nother version. Agregated cites: 128
article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
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paper58
2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
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paper5
2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
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paper31
2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators.(2011) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 31
article
2011Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange In: Papers.
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paper2
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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This paper has nother version. Agregated cites: 2
article
2011Do firms share the same functional form of their growth rate distribution? A new statistical test In: Papers.
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paper1
2011Evolution of worldwide stock markets, correlation structure and correlation based graphs In: Papers.
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paper124
2011Identification of clusters of investors from their real trading activity in a financial market In: Papers.
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paper0
2012How news affect the trading behavior of different categories of investors in a financial market In: Papers.
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paper25
2015How news affects the trading behaviour of different categories of investors in a financial market.(2015) In: Quantitative Finance.
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article
2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
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paper29
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
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paper46
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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paper56
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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article
2014Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers.
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paper14
2015Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network.(2015) In: PLOS ONE.
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article
2014Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo In: Papers.
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paper0
2015Backbone of credit relationships in the Japanese credit market In: Papers.
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paper2
2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers.
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paper3
2016Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach..(2016) In: Chaos, Solitons & Fractals.
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article
2019On the interplay between multiscaling and stocks dependence In: Papers.
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paper11
2020On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance.
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article
2020Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry In: Papers.
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paper0
2000Taxonomy of Stock Market Indices In: Papers.
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paper54
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
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paper12
2000Variety and Volatility in Financial Markets In: Papers.
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paper27
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
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paper102
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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paper32
2001Levels of complexity in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
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article
2001Introducing Variety in Risk Management In: Papers.
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paper0
2001Introducing Variety in Risk Management.(2001) In: Science & Finance (CFM) working paper archive.
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paper
2001Ensemble properties of securities traded in the NASDAQ market In: Papers.
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paper5
2001Ensemble properties of securities traded in the NASDAQ market.(2001) In: Physica A: Statistical Mechanics and its Applications.
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article
2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
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paper33
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
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paper35
2002Volatility in financial markets: stochastic models and empirical results.(2002) In: Physica A: Statistical Mechanics and its Applications.
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article
2002Single Curve Collapse of the Price Impact Function for the New York Stock Exchange In: Papers.
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paper10
2002Dynamics of a financial market index after a crash In: Papers.
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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.
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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.
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paper143
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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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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article
2005Sector identification in a set of stock return time series traded at the London Stock Exchange In: Papers.
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paper24
1998Hierarchical Structure in Financial Markets In: Papers.
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paper671
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has nother version. Agregated cites: 671
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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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This paper has nother version. Agregated cites: 671
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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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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 nother version. Agregated cites: 13
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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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paper12
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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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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article13
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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