Details about Rosario Nunzio Mantegna

Homepage:	https://www.unipa.it/persone/docenti/m/rosario.mantegna
Postal address:	Dipartimento di Fisica e Chimica - Emilio Segrè Università degli Studi di Palermo Viale delle Scienze, Ed. 18 I-90128 Palermo, Italy
Workplace:	Dipartimento di Fisica e Chimica Emilio Segrè

Access statistics for papers by Rosario Nunzio Mantegna.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pma1890

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Working Papers

2022

1. Statistically validated hierarchical clustering: Nested partitions in hierarchical trees
   Post-Print, HAL View citations (1)
   See also Journal Article Statistically validated hierarchical clustering: Nested partitions in hierarchical trees, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) View citations (1) (2022)

2020

2. Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry
   Papers, arXiv.org

2019

3. On the interplay between multiscaling and stocks dependence
   Papers, arXiv.org View citations (3)
   See also Journal Article On the interplay between multiscaling and stock dependence, Quantitative Finance, Taylor & Francis Journals (2020) View citations (9) (2020)

2015

4. Backbone of credit relationships in the Japanese credit market
   Papers, arXiv.org View citations (2)
5. How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics
   Working Papers, Office of Financial Research, US Department of the Treasury View citations (2)
6. Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
   Papers, arXiv.org
   See also Journal Article Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach, Chaos, Solitons & Fractals, Elsevier (2016) View citations (5) (2016)

2014

7. Bank-firm credit network in Japan. An analysis of a bipartite network
   Papers, arXiv.org View citations (2)
   See also Journal Article Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network, PLOS ONE, Public Library of Science (2015) View citations (14) (2015)
8. Emergence of statistically validated financial intraday lead-lag relationships
   Papers, arXiv.org View citations (8)
   See also Journal Article Emergence of statistically validated financial intraday lead-lag relationships, Quantitative Finance, Taylor & Francis Journals (2015) View citations (41) (2015)
9. Networked relationships in the e-MID Interbank market: A trading model with memory
   Papers, arXiv.org View citations (6)
   See also Journal Article Networked relationships in the e-MID interbank market: A trading model with memory, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (53) (2015)
10. Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo
    Papers, arXiv.org

2013

11. Evolution of correlation structure of industrial indices of US equity markets
    Papers, arXiv.org View citations (30)
12. Quantifying preferential trading in the e-MID interbank market
    Working Papers, Department of Economics, City University London View citations (6)
    See also Journal Article Quantifying preferential trading in the e-MID interbank market, Quantitative Finance, Taylor & Francis Journals (2015) View citations (29) (2015)

2012

13. How news affect the trading behavior of different categories of investors in a financial market
    Papers, arXiv.org View citations (2)
    See also Journal Article How news affects the trading behaviour of different categories of investors in a financial market, Quantitative Finance, Taylor & Francis Journals (2015) View citations (30) (2015)

2011

14. Do firms share the same functional form of their growth rate distribution? A new statistical test
    Papers, arXiv.org View citations (1)
15. Evolution of worldwide stock markets, correlation structure and correlation based graphs
    Papers, arXiv.org View citations (129)
16. Identification of clusters of investors from their real trading activity in a financial market
    Papers, arXiv.org
17. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
    Papers, arXiv.org View citations (1)
    See also Journal Article Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange, Quantitative Finance, Taylor & Francis Journals (2012) View citations (4) (2012)

2010

18. Statistical identification with hidden Markov models of large order splitting strategies in an equity market
    Papers, arXiv.org View citations (6)
19. When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
    Papers, arXiv.org View citations (4)
    See also Journal Article When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators, Quantitative Finance, Taylor & Francis Journals (2011) View citations (28) (2011)

2009

20. Market impact and trading profile of large trading orders in stock markets
    Papers, arXiv.org View citations (63)

2008

21. Correlation, hierarchies, and networks in financial markets
    Papers, arXiv.org
    See also Journal Article Correlation, hierarchies, and networks in financial markets, Journal of Economic Behavior & Organization, Elsevier (2010) View citations (133) (2010)
22. Diffusive behavior and the modeling of characteristic times in limit order executions
    Papers, arXiv.org
    See also Journal Article Diffusive behavior and the modeling of characteristic times in limit order executions, Quantitative Finance, Taylor & Francis Journals (2009) View citations (1) (2009)

2007

23. Correlation based networks of equity returns sampled at different time horizons
    Papers, arXiv.org View citations (111)
    See also Journal Article Correlation based networks of equity returns sampled at different time horizons, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2007) View citations (104) (2007)
24. Kullback-Leibler distance as a measure of the information filtered from multivariate data
    Papers, arXiv.org View citations (19)
25. Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
    Papers, arXiv.org
26. Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
    Papers, arXiv.org View citations (7)
27. Specialization of strategies and herding behavior of trading firms in a financial market
    Papers, arXiv.org View citations (1)

2006

28. Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
    Papers, arXiv.org
29. Market reaction to temporary liquidity crises and the permanent market impact
    Papers, arXiv.org View citations (1)

2005

30. Cluster analysis for portfolio optimization
    Papers, arXiv.org View citations (3)
    See also Journal Article Cluster analysis for portfolio optimization, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (95) (2008)
31. Scaling and data collapse for the mean exit time of asset prices
    Papers, arXiv.org View citations (4)
32. Sector identification in a set of stock return time series traded at the London Stock Exchange
    Papers, arXiv.org View citations (26)

2004

33. An interest rates cluster analysis
    Papers, arXiv.org View citations (22)
    See also Journal Article An interest rates cluster analysis, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (20) (2004)
34. Networks of equities in financial markets
    Papers, arXiv.org View citations (149)
    See also Journal Article Networks of equities in financial markets, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2004) View citations (149) (2004)
35. Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
    Papers, arXiv.org View citations (6)
    See also Journal Article Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (6) (2004)

2003

36. Power law relaxation in a complex system: Omori law after a financial market crash
    Papers, arXiv.org View citations (37)

2002

37. Degree stability of a minimum spanning tree of price return and volatility
    Papers, arXiv.org View citations (2)
    See also Journal Article Degree stability of a minimum spanning tree of price return and volatility, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (54) (2003)
38. Dynamics of a financial market index after a crash
    Papers, arXiv.org View citations (3)
    See also Journal Article Dynamics of a financial market index after a crash, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (13) (2004)
39. Empirical investigation and modeling of a financial market after a crash
    Computing in Economics and Finance 2002, Society for Computational Economics
40. Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
    Papers, arXiv.org View citations (10)
41. Volatility in Financial Markets: Stochastic Models and Empirical Results
    Papers, arXiv.org View citations (35)
    See also Journal Article Volatility in financial markets: stochastic models and empirical results, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) View citations (32) (2002)

2001

42. Ensemble properties of securities traded in the NASDAQ market
    Papers, arXiv.org View citations (5)
    See also Journal Article Ensemble properties of securities traded in the NASDAQ market, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (5) (2001)
43. Introducing Variety in Risk Management
    Papers, arXiv.org
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2001)
44. Levels of complexity in financial markets
    Papers, arXiv.org View citations (29)
    See also Journal Article Levels of complexity in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (32) (2001)
45. VARIETY OF BEHAVIOR OF EQUITY RETURNS IN FINANCIAL MARKETS
    Computing in Economics and Finance 2001, Society for Computational Economics
46. Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis
    Papers, arXiv.org View citations (3)

2000

47. Empirical properties of the variety of a financial portfolio and the single-index model
    Papers, arXiv.org
    See also Journal Article Empirical properties of the variety of a financial portfolio and the single-index model, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2001) View citations (4) (2001)
48. High-frequency Cross-correlation in a Set of Stocks
    Papers, arXiv.org View citations (1)
    See also Journal Article High-frequency cross-correlation in a set of stocks, Quantitative Finance, Taylor & Francis Journals (2001) View citations (107) (2001)
49. Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
    Papers, arXiv.org View citations (13)
50. Taxonomy of Stock Market Indices
    Papers, arXiv.org View citations (57)
51. Variety and Volatility in Financial Markets
    Papers, arXiv.org View citations (28)

1999

52. Dynamics of the Number of Trades of Financial Securities
    Papers, arXiv.org
    See also Journal Article Dynamics of the number of trades of financial securities, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (12) (2000)
53. Statistical Properties of Statistical Ensembles of Stock Returns
    Papers, arXiv.org
    See also Journal Article STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2000) View citations (1) (2000)

1998

54. Hierarchical Structure in Financial Markets
    Papers, arXiv.org View citations (8)
    See also Journal Article Hierarchical structure in financial markets, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (1999) View citations (701) (1999)
55. Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes
    Papers, arXiv.org View citations (8)
    See also Journal Article Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes, Physica A: Statistical Mechanics and its Applications, Elsevier (1998) View citations (12) (1998)

Journal Articles

2022

1. Statistically validated hierarchical clustering: Nested partitions in hierarchical trees
   Physica A: Statistical Mechanics and its Applications, 2022, 593, (C) View citations (1)
   See also Working Paper Statistically validated hierarchical clustering: Nested partitions in hierarchical trees, Post-Print (2022) View citations (1) (2022)

2021

2. High-frequency trading and networked markets
   Proceedings of the National Academy of Sciences, 2021, 118, (26), e2015573118 View citations (6)
3. The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative
   Quantitative Finance, 2021, 21, (11), 1807-1808

2020

4. On the interplay between multiscaling and stock dependence
   Quantitative Finance, 2020, 20, (1), 133-145 View citations (9)
   See also Working Paper On the interplay between multiscaling and stocks dependence, Papers (2019) View citations (3) (2019)

2019

5. When financial economics influences physics: The role of Econophysics
   International Review of Financial Analysis, 2019, 65, (C) View citations (1)

2018

6. A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates
   PLOS ONE, 2018, 13, (3), 1-40 View citations (10)
7. Bootstrap validation of links of a minimum spanning tree
   Physica A: Statistical Mechanics and its Applications, 2018, 512, (C), 1032-1043 View citations (4)
8. Long-term ecology of investors in a financial market
   Palgrave Communications, 2018, 4, (1), 1-12 View citations (22)

2017

9. An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management
   PLOS ONE, 2017, 12, (4), 1-23
10. Statistical characterization of deviations from planned flight trajectories in air traffic management
    Journal of Air Transport Management, 2017, 58, (C), 152-163 View citations (4)

2016

11. Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
    Chaos, Solitons & Fractals, 2016, 88, (C), 267-278 View citations (5)
    See also Working Paper Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach, Papers (2015) (2015)

2015

12. Applying complexity science to air traffic management
    Journal of Air Transport Management, 2015, 42, (C), 149-158 View citations (22)
13. Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network
    PLOS ONE, 2015, 10, (5), 1-18 View citations (14)
    See also Working Paper Bank-firm credit network in Japan. An analysis of a bipartite network, Papers (2014) View citations (2) (2014)
14. Emergence of statistically validated financial intraday lead-lag relationships
    Quantitative Finance, 2015, 15, (8), 1375-1386 View citations (41)
    See also Working Paper Emergence of statistically validated financial intraday lead-lag relationships, Papers (2014) View citations (8) (2014)
15. How news affects the trading behaviour of different categories of investors in a financial market
    Quantitative Finance, 2015, 15, (2), 213-229 View citations (30)
    See also Working Paper How news affect the trading behavior of different categories of investors in a financial market, Papers (2012) View citations (2) (2012)
16. Networked relationships in the e-MID interbank market: A trading model with memory
    Journal of Economic Dynamics and Control, 2015, 50, (C), 98-116 View citations (53)
    See also Working Paper Networked relationships in the e-MID Interbank market: A trading model with memory, Papers (2014) View citations (6) (2014)
17. Quantifying preferential trading in the e-MID interbank market
    Quantitative Finance, 2015, 15, (4), 693-710 View citations (29)
    See also Working Paper Quantifying preferential trading in the e-MID interbank market, Working Papers (2013) View citations (6) (2013)
18. Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk'
    Quantitative Finance, 2015, 15, (4), 587-588

2014

19. Do firms share the same functional form of their growth rate distribution? A statistical test
    Journal of Economic Dynamics and Control, 2014, 39, (C), 140-164 View citations (6)
20. Multi-Scale Analysis of the European Airspace Using Network Community Detection
    PLOS ONE, 2014, 9, (5), 1-17 View citations (12)

2013

21. Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election
    PLOS ONE, 2013, 8, (3), 1-10 View citations (1)
22. The Phenomenology of Specialization of Criminal Suspects
    PLOS ONE, 2013, 8, (5), 1-8 View citations (4)

2012

23. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
    Quantitative Finance, 2012, 12, (4), 517-530 View citations (4)
    See also Working Paper Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange, Papers (2011) View citations (1) (2011)

2011

24. Happy Aged People Are All Alike, While Every Unhappy Aged Person Is Unhappy in Its Own Way
    PLOS ONE, 2011, 6, (9), 1-10
25. Statistically Validated Networks in Bipartite Complex Systems
    PLOS ONE, 2011, 6, (3), 1-11 View citations (78)
26. When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
    Quantitative Finance, 2011, 11, (7), 1067-1080 View citations (28)
    See also Working Paper When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators, Papers (2010) View citations (4) (2010)

2010

27. Correlation, hierarchies, and networks in financial markets
    Journal of Economic Behavior & Organization, 2010, 75, (1), 40-58 View citations (133)
    See also Working Paper Correlation, hierarchies, and networks in financial markets, Papers (2008) (2008)
28. Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market
    PLOS ONE, 2010, 5, (12), 1-14 View citations (121)

2009

29. Diffusive behavior and the modeling of characteristic times in limit order executions
    Quantitative Finance, 2009, 9, (5), 547-563 View citations (1)
    See also Working Paper Diffusive behavior and the modeling of characteristic times in limit order executions, Papers (2008) (2008)

2008

30. Cluster analysis for portfolio optimization
    Journal of Economic Dynamics and Control, 2008, 32, (1), 235-258 View citations (95)
    See also Working Paper Cluster analysis for portfolio optimization, Papers (2005) View citations (3) (2005)
31. Generation of hierarchically correlated multivariate symbolic sequences
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 65, (3), 333-340
32. Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 65, (3), 323-331

2007

33. Correlation based networks of equity returns sampled at different time horizons
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 209-217 View citations (104)
    See also Working Paper Correlation based networks of equity returns sampled at different time horizons, Papers (2007) View citations (111) (2007)

2005

34. Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences
    Quantitative Finance, 2005, 5, (2), 133-140 View citations (4)

2004

35. An interest rates cluster analysis
    Physica A: Statistical Mechanics and its Applications, 2004, 339, (1), 181-188 View citations (20)
    See also Working Paper An interest rates cluster analysis, Papers (2004) View citations (22) (2004)
36. Dynamics of a financial market index after a crash
    Physica A: Statistical Mechanics and its Applications, 2004, 338, (1), 125-134 View citations (13)
    See also Working Paper Dynamics of a financial market index after a crash, Papers (2002) View citations (3) (2002)
37. Networks of equities in financial markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2004, 38, (2), 363-371 View citations (149)
    See also Working Paper Networks of equities in financial markets, Papers (2004) View citations (149) (2004)
38. Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (3), 554-561 View citations (6)
    See also Working Paper Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector, Papers (2004) View citations (6) (2004)

2003

39. Degree stability of a minimum spanning tree of price return and volatility
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 66-73 View citations (54)
    See also Working Paper Degree stability of a minimum spanning tree of price return and volatility, Papers (2002) View citations (2) (2002)
40. Master curve for price-impact function
    Nature, 2003, 421, (6919), 129-130 View citations (156)

2002

41. Volatility in financial markets: stochastic models and empirical results
    Physica A: Statistical Mechanics and its Applications, 2002, 314, (1), 756-761 View citations (32)
    See also Working Paper Volatility in Financial Markets: Stochastic Models and Empirical Results, Papers (2002) View citations (35) (2002)

2001

42. Empirical properties of the variety of a financial portfolio and the single-index model
    The European Physical Journal B: Condensed Matter and Complex Systems, 2001, 20, (4), 503-509 View citations (4)
    See also Working Paper Empirical properties of the variety of a financial portfolio and the single-index model, Papers (2000) (2000)
43. Ensemble properties of securities traded in the NASDAQ market
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 161-167 View citations (5)
    See also Working Paper Ensemble properties of securities traded in the NASDAQ market, Papers (2001) View citations (5) (2001)
44. High-frequency cross-correlation in a set of stocks
    Quantitative Finance, 2001, 1, (1), 96-104 View citations (107)
    See also Working Paper High-frequency Cross-correlation in a Set of Stocks, Papers (2000) View citations (1) (2000)
45. Levels of complexity in financial markets
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 16-27 View citations (32)
    See also Working Paper Levels of complexity in financial markets, Papers (2001) View citations (29) (2001)

2000

46. Dynamics of the number of trades of financial securities
    Physica A: Statistical Mechanics and its Applications, 2000, 280, (1), 136-141 View citations (12)
    See also Working Paper Dynamics of the Number of Trades of Financial Securities, Papers (1999) (1999)
47. Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (3), 412-419 View citations (19)
48. STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 405-408 View citations (1)
    See also Working Paper Statistical Properties of Statistical Ensembles of Stock Returns, Papers (1999) (1999)

1999

49. Applications of statistical mechanics to finance
    Physica A: Statistical Mechanics and its Applications, 1999, 274, (1), 216-221 View citations (20)
50. Empirical investigation of stock price dynamics in an emerging market
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 132-139 View citations (4)
51. Hierarchical structure in financial markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 1999, 11, (1), 193-197 View citations (701)
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 1999, 11, (1), 193-197 (1999) View citations (699)
    See also Working Paper Hierarchical Structure in Financial Markets, Papers (1998) View citations (8) (1998)

1998

52. Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes
    Physica A: Statistical Mechanics and its Applications, 1998, 254, (1), 77-84 View citations (12)
    See also Working Paper Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes, Papers (1998) View citations (8) (1998)

1996

53. Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics
    Physica A: Statistical Mechanics and its Applications, 1996, 224, (1), 302-321 View citations (51)

1995

54. Statistical properties of DNA sequences
    Physica A: Statistical Mechanics and its Applications, 1995, 221, (1), 180-192 View citations (13)
55. Zipf plots and the size distribution of firms
    Economics Letters, 1995, 49, (4), 453-457 View citations (129)

1994

56. Statistical mechanics in biology: how ubiquitous are long-range correlations?
    Physica A: Statistical Mechanics and its Applications, 1994, 205, (1), 214-253 View citations (22)

Books

2007

1. Introduction to Econophysics
   Cambridge Books, Cambridge University Press View citations (48)
   Also in Cambridge Books, Cambridge University Press (1999) View citations (441)