Items where Author is "Lillo, Fabrizio"

Lillo, Fabrizio, Livieri, Giulia ORCID: 0000-0002-3777-7329, Marmi, Stefano, Solomko, Anton and Vaienti, Sandro (2023) Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems. Journal of Statistical Physics, 190 (10). ISSN 0022-4715

Lillo, Fabrizio, Livieri, Giulia ORCID: 0000-0002-3777-7329, Marmi, Stefano, Solomko, Anton and Vaienti, Sandro (2023) Analysis of bank leverage via dynamical systems and deep neural networks. SIAM Journal on Financial Mathematics, 14 (2). 598 - 643. ISSN 1945-497X

Mertens, Luca Philippe, Ciacci, Alberto, Lillo, Fabrizio and Livieri, Giulia ORCID: 0000-0002-3777-7329 (2021) Liquidity fluctuations and the latent dynamics of price impact. Quantitative Finance, 22 (1). pp. 149-169. ISSN 1469-7688