Rosario Nunzio Mantegna : Citation Profile

26

H index

44

i10 index

3345

Citations

RESEARCH PRODUCTION:

57

Articles

57

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 119
   Journals where Rosario Nunzio Mantegna has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 28 (0.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1890
   Updated: 2025-04-19    RAS profile: 2024-10-08    
   Missing citations? Add them    Incorrect content? Let us know

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)

Tabak, Benjamin (44)

Výrost, Tomáš (39)

SANDOVAL JUNIOR, LEONIDAS (38)

Lyócsa, Štefan (35)

Challet, Damien (35)

Baumohl, Eduard (33)

Brida, Juan (32)

Araújo, Tanya (30)

Sensoy, Ahmet (28)

Cites to:

Farmer, J. (10)

Bottazzi, Giulio (10)

Secchi, Angelo (8)

Potters, Marc (7)

Coad, Alex (5)

Challet, Damien (5)

Zhou, Wei-Xing (5)

Grinblatt, Mark (5)

ausloos, marcel (5)

Keloharju, Matti (4)

Iori, Giulia (4)

Main data

Production by document typepaperbookarticle19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202205001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 26Most cited documents1234567891011121314151617181920212223242526272805001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

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.org50

Recent works citing Rosario Nunzio Mantegna (2025 and 2024)

Year  ↓Title of citing document  ↓
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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Tackling 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Heterogeneity of household stock portfolios in a national market. (2025). Mantegna, Rosario N ; Piilo, Jyrki ; Musciotto, Federico ; Milazzo, Matteo. In: Papers. RePEc:arx:papers:2503.17778.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis. (2024). Squartini, Tiziano ; Cimini, Giulio ; Zaccaria, Andrea ; Fessina, Massimiliano. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924001814.

Full description at Econpapers || Download paper

2024Interbank network reconstruction enforcing density and reciprocity. (2024). Macchiati, Valentina ; Mazzarisi, Piero ; Garlaschelli, Diego. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:186:y:2024:i:c:s0960077924008312.

Full description at Econpapers || Download paper

2024Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain. (2024). Zhang, Yilan ; Ye, Rendao ; Xiao, Jian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:1061-1079.

Full description at Econpapers || Download paper

2024Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

Full description at Econpapers || Download paper

2024A crisis like no other? Financial market analogies of the COVID-19-cum-Ukraine war crisis. (2024). Sosvilla-Rivero, Simon ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001190.

Full description at Econpapers || Download paper

2024Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network. (2024). Liu, Zhenchun ; Guo, Xiaoping ; Fan, Ningyuan ; Wang, Jianwei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001591.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Extreme risk contagions among fossil energy companies in China: Insights from a multilayer dynamic network analysis. (2024). Xu, Zihan ; Xing, Xiaoyun ; Deng, Jing. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224021194.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Financial fusion: Bridging Islamic and Green investments in the European stock market. (2024). Sensoy, Ahmet ; Karim, Sitara ; Husain, Afzol. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002734.

Full description at Econpapers || Download paper

2024Technological revolution and regulatory innovation: How governmental artificial intelligence adoption matters for financial regulation intensity. (2024). Lei, Pengfei ; Wu, Hanrui ; Li, Daozheng ; Pan, Martin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924004678.

Full description at Econpapers || Download paper

2024Market responses to spillovers in the energy commodity markets: Evaluating short-term vs. long-term effects and business-as-usual vs. distressed phases. (2024). Chiappari, Mattia ; Flori, Andrea ; Scotti, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005970.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024The topological structure of panel variance decomposition networks. (2024). Pagnottoni, Paolo ; Cerchiello, Paola ; Celani, Alessandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s157230892400007x.

Full description at Econpapers || Download paper

2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

Full description at Econpapers || Download paper

2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Pham, Thach N ; Bannigidadmath, Deepa. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Democratic participatory networks and governance processes in Sicily. (2024). Provenzano, Vincenzo ; Seminara, Maria Rosaria. In: Land Use Policy. RePEc:eee:lauspo:v:144:y:2024:i:c:s0264837724001935.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Complex network analysis of cryptocurrency market during crashes. (2024). Hens, Chittaranjan ; Majhi, Sushovan ; Nurujjaman, MD ; Luwang, S R ; Rai, Anish ; Mukhia, Kundan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124006046.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025HLOB–Information persistence and structure in limit order books. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126623.

Full description at Econpapers || Download paper

2025The Relationship between Market Depth and Liquidity Fragility in the Treasury Market. (2025). Meldrum, Andrew ; Sokolinskiy, Oleg. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-14.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

2024Price impact in equity auctions: zero, then linear. (2024). Toke, Ioane Muni ; Challet, Damien ; Salek, Mohammed. In: Post-Print. RePEc:hal:journl:hal-03938660.

Full description at Econpapers || Download paper

2024Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic. (2024). Zhang, Wenfeng ; Li, Shuliang ; Liang, Kaihao ; Wang, Yuling ; He, Jiaying ; Wu, Zhuokui. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10418-y.

Full description at Econpapers || Download paper

2024Market Ecology: Trading Strategies and Market Volatility. (2024). Li, Honggang ; Xing, Kun. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10562-z.

Full description at Econpapers || Download paper

2025Monitoring the Dynamic Networks of Stock Returns with an Application to the Swedish Stock Market. (2025). Bodnar, Olha ; Nguyen, Hoang ; Touli, Elena Farahbakhsh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10616-2.

Full description at Econpapers || Download paper

2024BRIDGING TRADITION AND INNOVATION: A LITERATURE REVIEW ON PORTFOLIO OPTIMIZATION. (2024). Bolo, Marcel ; Rusu, Tefan. In: Annals of Faculty of Economics. RePEc:ora:journl:v:33:y:2024:i:1:p:337-344.

Full description at Econpapers || Download paper

2024Network Risk Parity: graph theory-based portfolio construction. (2024). Pallotta, Alberto ; Ciciretti, Vito. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:2:d:10.1057_s41260-023-00347-8.

Full description at Econpapers || Download paper

2024Seismic shocks and financial systems: a topological perspective on Borsa Istanbul after the earthquake. (2024). Balci, Mehmet Ali ; Batrancea, Larissa M ; Rus, Mircea-Iosif ; Nichita, Anca ; Akgller, Mer. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04115-w.

Full description at Econpapers || Download paper

2024Cliometrics of world stock markets evolving networks. (2024). PARENT, Antoine ; BASTIDON, Cécile. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-022-04564-z.

Full description at Econpapers || Download paper

2024Tail risk connectedness in clean energy and oil financial market. (2024). Foglia, Matteo ; Angelini, Eliana ; Duc, Toan Luu. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04745-w.

Full description at Econpapers || Download paper

2024An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk. (2024). Patacca, Marco ; Fig-Talamanca, Gianna. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-05129-w.

Full description at Econpapers || Download paper

2024Testing benford and universal laws on gambling and betting data in Romania. (2024). Cristescu, Marian Pompiliu ; Isaic-Maniu, Alexandru ; Jianu, Ionel ; Brandas, Claudiu ; Herteliu, Claudiu ; Bente, Corneliu. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-023-05739-y.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Rosario Nunzio Mantegna:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		paper17
2007Specialization of strategies and herding behavior of trading firms in a financial market In: Papers.
[Full Text][Citation analysis]		paper1
2007Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance In: Papers.
[Full Text][Citation analysis]		paper6
2008Correlation, hierarchies, and networks in financial markets In: Papers.
[Full Text][Citation analysis]		paper130
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: 130		article
2009Market impact and trading profile of large trading orders in stock markets In: Papers.
[Full Text][Citation analysis]		paper63
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]		paper33
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: 33		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]		paper127
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]		paper30
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: 30		article
2013Evolution of correlation structure of industrial indices of US equity markets In: Papers.
[Full Text][Citation analysis]		paper29
2014Emergence of statistically validated financial intraday lead-lag relationships In: Papers.
[Full Text][Citation analysis]		paper50
2015Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		article
2014Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers.
[Full Text][Citation analysis]		paper58
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: 58		article
2014Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers.
[Full Text][Citation analysis]		paper15
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: 15		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]		paper5
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: 5		article
2019On the interplay between multiscaling and stocks dependence In: Papers.
[Full Text][Citation analysis]		paper12
2020On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2020Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry In: Papers.
[Full Text][Citation analysis]		paper0
2000Taxonomy of Stock Market Indices In: Papers.
[Full Text][Citation analysis]		paper57
2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers.
[Full Text][Citation analysis]		paper12
2000Variety and Volatility in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper27
2000High-frequency Cross-correlation in a Set of Stocks In: Papers.
[Full Text][Citation analysis]		paper106
2001High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 106		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]		paper32
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: 32		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]		paper38
2002Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers.
[Full Text][Citation analysis]		paper35
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: 35		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]		paper16
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: 16		article
2002Degree stability of a minimum spanning tree of price return and volatility In: Papers.
[Full Text][Citation analysis]		paper54
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: 54		article
2004Networks of equities in financial markets In: Papers.
[Full Text][Citation analysis]		paper149
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: 149		article
2004An interest rates cluster analysis In: Papers.
[Full Text][Citation analysis]		paper22
2004An interest rates cluster analysis.(2004) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		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]		paper24
1998Hierarchical Structure in Financial Markets In: Papers.
[Full Text][Citation analysis]		paper708
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: 708		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: 708		article
1998Modeling of Financial Data: Comparison of the Truncated L\evy Flight and the ARCH(1) and GARCH(1,1) processes In: Papers.
[Full Text][Citation analysis]		paper13
1998Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes.(1998) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
1999Statistical Properties of Statistical Ensembles of Stock Returns In: Papers.
[Full Text][Citation analysis]		paper1
2000STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1999Dynamics of the Number of Trades of Financial Securities In: Papers.
[Full Text][Citation analysis]		paper12
2000Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2005Cluster analysis for portfolio optimization In: Papers.
[Full Text][Citation analysis]		paper96
2008Cluster analysis for portfolio optimization.(2008) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		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]		paper111
2007Correlation based networks of equity returns sampled at different time horizons.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		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.
[Full Text][Citation analysis]		paper1
2009Diffusive behavior and the modeling of characteristic times in limit order executions.(2009) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2013Quantifying preferential trading in the e-MID interbank market In: Working Papers.
[Full Text][Citation analysis]		paper33
2015Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2007Introduction to Econophysics In: Cambridge Books.
[Citation analysis]		book486
1999Introduction to Econophysics.(1999) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 486		book
2014Do firms share the same functional form of their growth rate distribution? A statistical test In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
1995Zipf plots and the size distribution of firms In: Economics Letters.
[Full Text][Citation analysis]		article129
2019When financial economics influences physics: The role of Econophysics In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2015Applying complexity science to air traffic management In: Journal of Air Transport Management.
[Full Text][Citation analysis]		article21
2017Statistical characterization of deviations from planned flight trajectories in air traffic management In: Journal of Air Transport Management.
[Full Text][Citation analysis]		article4
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]		article13
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]		article50
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Nested partitions from hierarchical clustering statistical validation In: Working Papers.
[Full Text][Citation analysis]		paper0
2021High-frequency trading and networked markets In: Proceedings of the National Academy of Sciences.
[Full Text][Citation analysis]		article6
2003Master curve for price-impact function In: Nature.
[Full Text][Citation analysis]		article155
2015How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper2
2018Long-term ecology of investors in a financial market In: Palgrave Communications.
[Full Text][Citation analysis]		article23
2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market In: PLOS ONE.
[Full Text][Citation analysis]		article120
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.
[Full Text][Citation analysis]		article0
2013Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election In: PLOS ONE.
[Full Text][Citation analysis]		article1
2013The Phenomenology of Specialization of Criminal Suspects In: PLOS ONE.
[Full Text][Citation analysis]		article4
2014Multi-Scale Analysis of the European Airspace Using Network Community Detection In: PLOS ONE.
[Full Text][Citation analysis]		article10
2017An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management In: PLOS ONE.
[Full Text][Citation analysis]		article0
2018A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates In: PLOS ONE.
[Full Text][Citation analysis]		article11
2001VARIETY OF BEHAVIOR OF EQUITY RETURNS IN FINANCIAL MARKETS In: Computing in Economics and Finance 2001.
[Citation analysis]		paper0
2002Empirical investigation and modeling of a financial market after a crash In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
2008Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0
2008Generation of hierarchically correlated multivariate symbolic sequences In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0
2015Special issue of Quantitative Finance on Interlinkages and Systemic Risk In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2021The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2005Presentation of the English translation of Ettore Majoranas paper: The value of statistical laws in physics and social sciences In: Quantitative Finance.
[Full Text][Citation analysis]		article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team