Fabrizio Lillo

Master curve for price-impact function

Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna · Nature · 2003 · 463 citations

Economics, Dynamic Pricing, Derivative Pricing +6

Topology of correlation-based minimal spanning trees in real and model markets

G. Bonanno, Guido Caldarelli, Fabrizio Lillo et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 2003 · 456 citations · Full text

Mathematical Programming, Topological Properties, Engineering +21

Networks of equities in financial markets

G. Bonanno, Guido Caldarelli, Fabrizio Lillo et al. · The European Physical Journal B · 2004 · 404 citations · Full text

Market Microstructure, Financial Economics, Financial Network +5

The Long Memory of the Efficient Market

Fabrizio Lillo, J. Doyne Farmer · Studies in Nonlinear Dynamics and Econometrics · 2004 · 349 citations

Market Microstructure, Empirical Finance, Economics +15

What really causes large price changes?

J. Doyne Farmer, László Gillemot, Fabrizio Lillo et al. · Quantitative Finance · 2004 · 284 citations

Market Microstructure, Large Fluctuations, Economics +15