Rosario Nunzio Mantegna : Citation Profile

26

H index

44

i10 index

3518

Citations

RESEARCH PRODUCTION:

57

Articles

61

Papers

2

Books

RESEARCH ACTIVITY:

   32 years (1994 - 2026). See details.
   Cites by year: 109
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 30 (0.85 %)

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   Permalink: http://citec.repec.org/pma1890
   Updated: 2026-05-02    RAS profile: 2026-04-12    
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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 (61)

Wang, Gang-Jin (58)

SANDOVAL JUNIOR, LEONIDAS (53)

Tabak, Benjamin (44)

Výrost, Tomáš (39)

Challet, Damien (38)

Lyócsa, Štefan (35)

Brida, Juan (33)

Baumohl, Eduard (33)

Araújo, Tanya (31)

Sensoy, Ahmet (28)

Cites to:

Farmer, J. (11)

Challet, Damien (11)

Bottazzi, Giulio (10)

Grinblatt, Mark (8)

Secchi, Angelo (8)

Schinckus, Christophe (7)

Potters, Marc (7)

Keloharju, Matti (6)

Zhou, Wei-Xing (5)

Gallegati, Mauro (5)

ausloos, marcel (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 ONE9
The European Physical Journal B: Condensed Matter and Complex Systems7
Journal of Economic Dynamics and Control3
Journal of Air Transport Management2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org54

Recent works citing Rosario Nunzio Mantegna (2026 and 2025)

YearTitle of citing document
2024A Bayesian theory of market impact. (2024). Marsili, Matteo ; Saddier, Louis. In: Papers. RePEc:arx:papers:2303.08867.

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

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2025Measuring risk contagion in financial networks with CoVaR. (2024). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2025Antinetwork among China A-shares. (2024). Liu, Peng. In: Papers. RePEc:arx:papers:2404.00028.

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2024Temporal distribution of clusters of investors and their application in prediction with expert advice. (2024). Kalnishkan, Yuri ; Wisniewski, Wojciech ; Lindsay, Sian. In: Papers. RePEc:arx:papers:2406.19403.

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2024Modelling shock propagation and resilience in financial temporal networks. (2024). Rizzini, Giorgio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.09340.

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2025Information Flow in the FTX Bankruptcy: A Network Approach. (2024). Galati, Luca ; Grassi, Rosanna ; de Blasis, Riccardo ; Rizzini, Giorgio. In: Papers. RePEc:arx:papers:2407.12683.

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2025Global Balance and Systemic Risk in Financial Correlation Networks. (2024). Grassi, Rosanna ; Uberti, Pierpaolo ; Bartesaghi, Paolo ; Diaz-Diaz, Fernando. In: Papers. RePEc:arx:papers:2407.14272.

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2025Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks. (2025). Korangi, Kamesh ; Bravo, Cristi'An ; Mues, Christophe. In: Papers. RePEc:arx:papers:2407.15532.

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2025Network-based diversification of stock and cryptocurrency portfolios. (2025). Stojkoski, Viktor ; Mirchev, Miroslav ; Mishkovski, Igor ; Kitanovski, Dimitar. In: Papers. RePEc:arx:papers:2408.11739.

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2025MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model. (2025). Liu, Yang ; Fang, Shikai ; Wang, Lewen ; Bian, Jiang ; Xu, Chang. In: Papers. RePEc:arx:papers:2409.07486.

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2024Modeling News Interactions and Influence for Financial Market Prediction. (2024). Ma, Tiejun ; Cohen, Shay B ; Wang, Mengyu. In: Papers. RePEc:arx:papers:2410.10614.

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2025Interpretable Company Similarity with Sparse Autoencoders. (2024). Ryder, Sebastian Kuznetsov ; Mikolajczak, Mateusz ; Pandey, Abhimanyu ; Tregubiak, Vladimir ; Shao, Victor ; Molinari, Marco. In: Papers. RePEc:arx:papers:2412.02605.

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2024A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani. In: Papers. RePEc:arx:papers:2412.07461.

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2024Reciprocity in Interbank Markets. (2024). Honvehlmann, Lutz. In: Papers. RePEc:arx:papers:2412.10329.

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2025High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads. (2025). Li, Guanlin ; Chen, Xiyan ; Liu, Yingzheng. In: Papers. RePEc:arx:papers:2501.03171.

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2025A mixture transition distribution approach to portfolio optimization. (2025). Petroni, Filippo ; Galati, Luca ; de Blasis, Riccardo. In: Papers. RePEc:arx:papers:2501.04646.

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2025Stock Price Prediction Using a Hybrid LSTM-GNN Model: Integrating Time-Series and Graph-Based Analysis. (2025). Sonani, Meet Satishbhai ; Badii, Atta ; Moin, Armin. In: Papers. RePEc:arx:papers:2502.15813.

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2025To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496.

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2025Hierarchical Minimum Variance Portfolios: A Theoretical and Algorithmic Approach. (2025). Mograby, Gamal. In: Papers. RePEc:arx:papers:2503.12328.

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2025Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation. (2025). Lamrani, Lamia ; Bongiorno, Christian ; Potters, Marc. In: Papers. RePEc:arx:papers:2503.15186.

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2025Generating realistic metaorders from public data. (2025). Bouchaud, Jean-Philippe ; Loeper, Gr'Egoire ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2503.18199.

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2025Systemic Risk and Default Cascades in Global Equity Markets: Extending the Gai-Kapadia Framework with Stochastic Simulations and Network Analysis. (2025). , Ana. In: Papers. RePEc:arx:papers:2504.01969.

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2025Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement. (2025). Zhang, Zhanhao ; Sun, Qiang ; Shi, Xiaofei ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2504.04300.

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2025Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks. (2025). Fabre, Timoth'Ee ; Challet, Damien. In: Papers. RePEc:arx:papers:2504.15908.

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2025Why is the volatility of single stocks so much rougher than that of the S&P500?. (2025). Muzy, Jean-Franccois ; Bouchaud, Jean-Philippe ; Bacry, Emmanuel ; Aubrun, Cecilia ; Zarhali, Othmane. In: Papers. RePEc:arx:papers:2505.02678.

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2025Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe). (2025). Cornell, Cameron ; Roughan, Matthew ; Mitchell, Lewis. In: Papers. RePEc:arx:papers:2505.12806.

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2025Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions. (2025). Bartolucci, Silvia ; Aste, Tomaso ; Caccioli, Fabio ; Salarin, Tesfaye ; Briola, Antonio ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2505.14655.

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2026The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework. (2025). Bouchaud, Jean-Philippe ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2506.07711.

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2025Quantum Stochastic Walks for Portfolio Optimization: Theory and Implementation on Financial Networks. (2025). Chang, Yen Jui ; Wang, Yun-Yuan ; Chen, Kuan-Cheng ; Liu, Chen-Yu. In: Papers. RePEc:arx:papers:2507.03963.

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2025Mapping Crisis-Driven Market Dynamics: A Transfer Entropy and Kramers-Moyal Approach to Financial Networks. (2025). Firouzjaee, Javad T ; Golestani, Amirhossein N ; Khalilian, Pouriya ; Eslamifar, Mohammad. In: Papers. RePEc:arx:papers:2507.09554.

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2026Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2025Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints. (2025). Rojas, Randall R ; Liu, Haojie ; Lin, Zihan. In: Papers. RePEc:arx:papers:2507.20039.

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2026The Financial Connectome: A Brain-Inspired Framework for Modeling Latent Market Dynamics. (2025). Calhoun, Vince D ; Bi, Yuda. In: Papers. RePEc:arx:papers:2508.02012.

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2026Finding Core Balanced Modules in Statistically Validated Stock Networks. (2025). Qing, Huan ; Xu, Xiaofei. In: Papers. RePEc:arx:papers:2508.04970.

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2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

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2025Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model. (2025). Kanazawa, Kiyoshi ; Wakatsuki, Taiki. In: Papers. RePEc:arx:papers:2510.01814.

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2025Signed network models for portfolio optimization. (2025). Adhikari, Bibhas. In: Papers. RePEc:arx:papers:2510.05377.

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2025Nonparametric Estimation of Self- and Cross-Impact. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; Hey, Natascha. In: Papers. RePEc:arx:papers:2510.06879.

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2025Systemic Risk Radar: A Multi-Layer Graph Framework for Early Market Crash Warning. (2025). Neela, Sandeep. In: Papers. RePEc:arx:papers:2512.17185.

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2026Core-Periphery Dynamics in Market-Conditioned Financial Networks: A Conditional P-Threshold Mutual Information Approach. (2026). Luwang, S R ; Nurujjaman, MD ; Mukhia, Kundan ; Ansari, Imran. In: Papers. RePEc:arx:papers:2601.00395.

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2026Trading with market resistance and concave price impact. (2026). Chahdi, Youssef Ouazzani ; de Carvalho, Nathan ; Szymanski, Gr'Egoire. In: Papers. RePEc:arx:papers:2601.03215.

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2026Forecasting Equity Correlations with Hybrid Transformer Graph Neural Network. (2026). Masih, Rumi ; Fanshawe, Jack ; Cameron, Alexander. In: Papers. RePEc:arx:papers:2601.04602.

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2026A Three--Dimensional Efficient Surface for Portfolio Optimization. (2026). Qiu, Yimeng. In: Papers. RePEc:arx:papers:2601.06271.

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2026Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics. (2026). Wang, Zining ; Zhang, Shiyu ; Cartlidge, John ; Zheng, Jin. In: Papers. RePEc:arx:papers:2601.08540.

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2026Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets. (2026). , Luis ; Mukhia, Kundan ; Petroni, Filippo ; Sharma, Buddha Nath ; Rai, Anish ; Luwang, Salam Rabindrajit ; Nurujjaman, MD. In: Papers. RePEc:arx:papers:2601.08571.

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2026Multiscaling in the Rough Bergomi Model: A Tale of Tails. (2026). di Matteo, Tiziana ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2601.11305.

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2026A Novel approach to portfolio construction. (2026). Zoia, M G ; Riso, L ; di Matteo, T. In: Papers. RePEc:arx:papers:2602.03325.

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2026Detecting Network Instability via Multiscale Detrended Cross-Correlations and MST Topology. (2026). Leonida, Leone ; Kapetanios, George ; Dolfin, Marina ; de Leon, Jose. In: Papers. RePEc:arx:papers:2602.10174.

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2026Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2603.20271.

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2026Asset allocation using a Markov process of clustered efficient frontier coefficients states. (2026). Thompson, Jamey ; Scherer, William ; Alexander, Nolan. In: Papers. RePEc:arx:papers:2604.03946.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2025Trade Uncertainty, Economic Policy Uncertainty and Shipping Costs. (2025). Kyriaki, Louca ; Nektarios, Michail ; Konstantinos, Melas. In: German Economic Review. RePEc:bpj:germec:v:26:y:2025:i:1:p:15-33:n:1001.

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2025On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points. (2025). Westerhoff, Frank ; Gardini, Laura ; Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:29:y:2025:i::p:-_35.

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2025Higher-order exposures. (2025). Wetzer, Thom ; Kemp, Esti ; Kleinnijenhuis, Alissa M ; Wiersema, Garbrand. In: Working Paper Series. RePEc:ecb:ecbwps:20253091.

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2026Liquidity spirals. (2026). Wiersema, Garbrand ; Kemp, Esti ; Farmer, Doyne J. In: Working Paper Series. RePEc:ecb:ecbwps:20263169.

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2025Lévy-noise-induced wavefront propagation for bistable systems. (2025). Semenov, Vladimir V. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:198:y:2025:i:c:s0960077925005466.

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2025Chaos-induced hindrance of connectivity detection and topological unpredictability. (2025). Iuppa, Roberto ; Perinelli, Alessio ; Cescato, Matteo ; Ricci, Leonardo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:198:y:2025:i:c:s0960077925006502.

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2026Beyond volatility: Using differential entropy to detect financial market regimes. (2026). Matsushita, Raul ; Da Silva, Sergio ; Nobre, Iuri. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:202:y:2026:i:p2:s0960077925015668.

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2025Network centrality, diversification, and portfolio returns: Economic insights from blockchain industry. (2025). Li, Yuqing ; Wang, Liukai ; Lan, Hairong ; Xiong, YU. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002421.

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2025A multifaceted graph-wise network analysis of sector-based financial instruments’ price-based discrepancies with diverse statistical interdependencies. (2025). Kim, Woo Chang ; Choi, Insu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002419.

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2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

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2025Greater fragility, greater exposure: A network-based analysis of climate policy uncertainty shocks and G20 stock markets stability. (2025). Wan, Yu-Fan ; Wu, Feng-Lin ; Wang, Ming-Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002687.

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2025Imported risk in global financial markets: Evidence from cross-market connectedness. (2025). Ouyang, Zisheng ; Chen, Zhen ; Zhou, Xuewei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000142.

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2024Bipartite network influence analysis of a two-mode network. (2024). Wu, Yujia ; Fan, Xinyan ; Lan, Wei ; Fang, Kuangnan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623002786.

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2025Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000933.

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2025A partial correlation-based connectedness approach: Extreme dependence among commodities and portfolio implications. (2025). Karim, Sitara ; Bouri, Elie ; Hussain, Syed Jawad ; Sadorsky, Perry. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325002452.

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2025Dynamics of co-bubble networks across commodity futures prices and portfolio performance. (2025). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:150:y:2025:i:c:s0140988325006668.

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2024Detecting the horizontal/vertical price relationship patterns in the global oil industry chain through network analysis. (2024). Feng, Sida ; Sun, Qingru ; Ma, Ning ; Li, Huajiao ; An, Haizhong ; Liu, Yanxin ; Guo, Sui. In: Energy. RePEc:eee:energy:v:296:y:2024:i:c:s0360544224008260.

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2025On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model. (2025). Westerhoff, Frank ; Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s105752192500523x.

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2024Understanding co-movements based on heterogeneous information associations. (2024). Chen, Huayi ; Shi, Huai-Long. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400245x.

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2024Portfolio optimization with transfer entropy constraints. (2024). Ardakani, Omid M. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005763.

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2024On sectoral market efficiency. (2024). Villena, Marcelo J ; Araneda, Axel A. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013211.

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2025Are brown stocks valuable to green stocks? Evidence from China. (2025). Shang, Yue ; Wei, YU ; Chen, Xiaodan ; Fu, Hai ; Zhu, Sha. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002478.

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2025Copula-based dynamic networks for forecasting stock market volatility. (2025). Hu, Xiaolu ; Nankali, Shahab ; Jalili, Mahdi ; Tafakori, Laleh. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325011766.

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2025Adaptive market anomaly detection (AMAD): Enhancing minimum spanning tree stability in financial networks. (2025). Ciciretti, Vito ; Pallotta, Alberto. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325012553.

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2025Quantile return connectedness of theme factors and portfolio implications: Evidence from the US and China. (2025). Shi, Huai-Long ; Chen, Huayi. In: Global Finance Journal. RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000067.

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2025Detecting cross-firm momentum effects via shared analyst coverage: The role of leaders. (2025). Wan, Yu-Lei ; Mao, Yang-Rong ; Chen, Huayi ; Shi, Huai-Long. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:105:y:2025:i:c:s1042443125001271.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2024The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021.

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2025Directs in European air traffic management: When and why are they actually granted?. (2025). Esteve, Pau ; Zanin, Massimiliano. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:125:y:2025:i:c:s0969699725000286.

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2025Route expansion trends, performances and driving factors of Chinese low-cost carriers. (2025). Xue, Wenjing ; He, Xiaohe ; Wu, Chuntao. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:129:y:2025:i:c:s0969699725001243.

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2024Carbon volatility connectedness and the role of external uncertainties: Evidence from China. (2024). Zhou, Wei-Xing ; Chen, Huayi ; Shi, Huai-Long. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000023.

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2025Exploring global financial interdependencies among ASEAN-5, major developed and developing markets. (2025). Kumar, Pankaj ; Yadav, Mahender ; Saini, Mohit ; Dhingra, Barkha. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494924000471.

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2025Price contagion and risk spillover in the global commodities market: COVID-19 pandemic vs. global financial crisis. (2025). Kamal, Md Mostafa ; Roca, Eduardo ; Lin, Chen ; Reza, Rajibur. In: Resources Policy. RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000959.

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2025High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants. (2025). Zhang, Ruixun ; Dai, Yuehao ; Zhao, Chaoyi ; Wu, Lan ; Chen, Ermo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000186.

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2025Risk contagion network and characteristic measurement among international financial markets. (2025). Jiang, Yuanying ; Zhou, Donghai ; Chen, Binxia. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001039.

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2024Bridge successive states for a complex system with evolutionary matrix. (2024). Yan, Shuang ; Yang, Huijie ; Gu, Changgui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000426.

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2024Congestions and spectral transitions in time-lagged correlations of motorway traffic. (2024). Guhr, Thomas ; Wang, Shanshan ; Pilarczyk, Rene ; Schreckenberg, Michael ; Hollbeck, Gabor B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:649:y:2024:i:c:s0378437124004618.

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2025Quantifying the information lost in optimal covariance matrix cleaning. (2025). Bongiorno, Christian ; Lamrani, Lamia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:657:y:2025:i:c:s0378437124007349.

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2025Unsupervised learning modeling of the impact of Black Swan events on financial network reconfiguration: New insights from the COVID-19 outbreak and the Russia-Ukraine war. (2025). Wietlik, Agata ; Siudak, Dariusz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:658:y:2025:i:c:s0378437124007878.

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2025Exploring the core–periphery and community structure in the financial networks through random matrix theory. (2025). Sahni, Niteesh ; Ansari, Imran ; Pawanesh, Pawanesh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:661:y:2025:i:c:s037843712500055x.

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2025Dynamics of network structure in cryptocurrency markets during abrupt changes in Bitcoin price. (2025). Jaroonchokanan, Nawee ; Suwanna, Sujin ; Sinha, Amit. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:661:y:2025:i:c:s0378437125000561.

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2025Integrating ESG criteria in portfolio optimization: A Moroccan case study using Markowitz’s theory and correlation network analysis. (2025). el Afia, Abdellatif ; Fihri, Mohamed ; Lmakri, Aziz ; Belkhoutout, Khalid ; Guerbaz, Raby ; Oukhouya, Hassan ; el Rhiouane, Afaf. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:667:y:2025:i:c:s0378437125001736.

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2025Towards a unified approach to industry recovery: Insights from intraday stock data and advanced community detection methods. (2025). McMullin, Jeff ; Brunner, Robert ; Bracht, Eamon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:669:y:2025:i:c:s0378437125001530.

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2025Global balance and systemic risk in financial correlation networks. (2025). Uberti, Pierpaolo ; Grassi, Rosanna ; Diaz-Diaz, Fernando ; Bartesaghi, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:674:y:2025:i:c:s0378437125003504.

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2025Network transitions in the cryptocurrency market: The impact of regional conflicts. (2025). Zhang, Yuanyuan ; Liao, Xin ; Chan, Stephen ; Lord, Nicholas ; Chu, Jeffrey ; Yang, Hanfang ; Chandrashekhar, Durga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:680:y:2025:i:c:s037843712500665x.

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2026Modeling metaorder impact with a Non-Markovian Zero Intelligence model. (2026). Lillo, Fabrizio ; Ravagnani, Adele. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:681:y:2026:i:c:s0378437125007083.

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2026Exploring crypto-stock risk contagion via directed complex network analytics. (2026). Qiu, LU ; Dong, Gege ; Huang, Yueyi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:681:y:2026:i:c:s0378437125007630.

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2026Spin glass models and market volatility: A multiple threshold nonlinear autoregressive distributed lag approach. (2026). Georgescu, Irina ; Kinnunen, Jani. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:682:y:2026:i:c:s0378437125008118.

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2024Quantile volatility connectedness among themes and sectors: Novel evidence from China. (2024). Shi, Huai-Long ; Zhou, Bin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001431.

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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]		paper18
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]		paper7
2008Correlation, hierarchies, and networks in financial markets In: Papers.
[Full Text][Citation analysis]		paper143
2010Correlation, hierarchies, and networks in financial markets.(2010) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 143		article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
[Full Text][Citation analysis]		paper66
2010Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers.
[Full Text][Citation analysis]		paper5
2010When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers.
[Full Text][Citation analysis]		paper36
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 nother version. Agregated cites: 36		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 nother 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]		paper130
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]		paper31
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 nother version. Agregated cites: 31		article
2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
[Full Text][Citation analysis]		paper31
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
[Full Text][Citation analysis]		paper53
2015Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		article
2014Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers.
[Full Text][Citation analysis]		paper59
2015Networked relationships in the e-MID interbank market: A trading model with memory.(2015) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		article
2014Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers.
[Full Text][Citation analysis]		paper16
2015Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network.(2015) In: PLOS ONE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2014Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo In: Papers.
[Full Text][Citation analysis]		paper0
2015Backbone of credit relationships in the Japanese credit market In: Papers.
[Full Text][Citation analysis]		paper2
2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers.
[Full Text][Citation analysis]		paper4
2016Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach..(2016) In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2019On the interplay between multiscaling and stocks dependence In: Papers.
[Full Text][Citation analysis]		paper15
2020On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2020Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry In: Papers.
[Full Text][Citation analysis]		paper0
2025Heterogeneity of household stock portfolios in a national market In: Papers.
[Full Text][Citation analysis]		paper0
2025End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning In: Papers.
[Full Text][Citation analysis]		paper0
2026Physics-Informed Singular-Value Learning for Cross-Covariances Forecasting in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper0
2026Was Benoit Mandelbrot a hedgehog or a fox? In: Papers.
[Full Text][Citation analysis]		paper0
2000Taxonomy of Stock Market Indices In: Papers.
[Full Text][Citation analysis]		paper59
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
[Full Text][Citation analysis]		paper13
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper28
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper111
2001High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		article
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.
[Full Text][Citation analysis]
This paper has nother 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]		paper34
2001Levels of complexity in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2001Introducing Variety in Risk Management In: Papers.
[Full Text][Citation analysis]		paper0
2001Introducing Variety in Risk Management.(2001) In: Science & Finance (CFM) working paper archive.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2003Power law relaxation in a complex system: Omori law after a financial market crash In: Papers.
[Full Text][Citation analysis]		paper39
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper36
2002Volatility in financial markets: stochastic models and empirical results.(2002) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
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]		paper17
2004Dynamics of a financial market index after a crash.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2002Degree stability of a minimum spanning tree of price return and volatility In: Papers.
[Full Text][Citation analysis]		paper55
2003Degree stability of a minimum spanning tree of price return and volatility.(2003) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2004Networks of equities in financial markets In: Papers.
[Full Text][Citation analysis]		paper155
2004Networks of equities in financial markets.(2004) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		article
2004An interest rates cluster analysis In: Papers.
[Full Text][Citation analysis]		paper23
2004An interest rates cluster analysis.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2005Sector identification in a set of stock return time series traded at the London Stock Exchange In: Papers.
[Full Text][Citation analysis]		paper25
1998Hierarchical Structure in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper774
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 774		article
1999Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 774		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]		paper17
1998Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes.(1998) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		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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This paper has nother version. Agregated cites: 1		article
1999Dynamics of the Number of Trades of Financial Securities In: Papers.
[Full Text][Citation analysis]		paper13
2000Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2005Cluster analysis for portfolio optimization In: Papers.
[Full Text][Citation analysis]		paper103
2008Cluster analysis for portfolio optimization.(2008) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 103		article
2005Scaling and data collapse for the mean exit time of asset prices In: Papers.
[Full Text][Citation analysis]		paper3
2007Correlation based networks of equity returns sampled at different time horizons In: Papers.
[Full Text][Citation analysis]		paper120
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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This paper has nother version. Agregated cites: 120		article
2006Market reaction to temporary liquidity crises and the permanent market impact In: Papers.
[Full Text][Citation analysis]		paper0
2006Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis In: Papers.
[Full Text][Citation analysis]		paper0
2008Diffusive behavior and the modeling of characteristic times in limit order executions In: Papers.
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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.
[Full Text][Citation analysis]		paper35
2015Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 35		article
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.
[Full Text][Citation analysis]		article21
1995Statistical properties of DNA sequences In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article14
1996Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article51
1999Empirical investigation of stock price dynamics in an emerging market In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article4
1999Applications of statistical mechanics to finance In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article20
2000Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article18
2018Bootstrap validation of links of a minimum spanning tree In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article4
2022Statistically validated hierarchical clustering: Nested partitions in hierarchical trees In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2022Statistically validated hierarchical clustering: Nested partitions in hierarchical trees.(2022) In: Post-Print.
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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.
[Full Text][Citation analysis]		article163
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: Humanities and Social Sciences Communications.
[Full Text][Citation analysis]		article22
2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market In: PLOS ONE.
[Full Text][Citation analysis]		article129
2011Statistically Validated Networks in Bipartite Complex Systems In: PLOS ONE.
[Full Text][Citation analysis]		article69
2011Happy Aged People Are All Alike, While Every Unhappy Aged Person Is Unhappy in Its Own Way 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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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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CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated March, 14 2026. Contact: CitEc Team