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Rosario Nunzio Mantegna

This is information that was supplied by Rosario Mantegna in registering through RePEc. If you are Rosario Nunzio Mantegna, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Rosario
Middle Name:Nunzio
Last Name:Mantegna
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RePEc Short-ID:pma1890
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http://people.ceu.hu/rosario-n_mantegna
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  1. Luca Marotta & Salvatore Miccich\`e & Yoshi Fujiwara & Hiroshi Iyetomi & Hideaki Aoyama & Mauro Gallegati & Rosario N. Mantegna, 2015. "Backbone of credit relationships in the Japanese credit market," Papers 1511.06870, arXiv.org.
  2. Federico Musciotto & Luca Marotta & Salvatore Miccich\`e & Jyrki Piilo & Rosario N. Mantegna, 2015. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Papers 1511.06873, arXiv.org.
  3. Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello, 2014. "Networked relationships in the e-MID Interbank market: A trading model with memory," Papers 1403.3638, arXiv.org.
  4. Rosario N. Mantegna, 2014. "Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo," Papers 1409.0789, arXiv.org.
  5. Luca Marotta & Salvatore Miccich\`e & Yoshi Fujiwara & Hiroshi Iyetomi & Hideaki Aoyama & Mauro Gallegati & Rosario N. Mantegna, 2014. "Bank-firm credit network in Japan. An analysis of a bipartite network," Papers 1407.5429, arXiv.org.
  6. Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2014. "Emergence of statistically validated financial intraday lead-lag relationships," Papers 1401.0462, arXiv.org.
  7. Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna, 2013. "Evolution of correlation structure of industrial indices of US equity markets," Papers 1306.4769, arXiv.org.
  8. Fabrizio Lillo & Salvatore Miccich\`e & Michele Tumminello & Jyrki Piilo & Rosario Nunzio Mantegna, 2012. "How news affect the trading behavior of different categories of investors in a financial market," Papers 1207.3300, arXiv.org.
  9. Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.
  10. Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna, 2011. "Evolution of worldwide stock markets, correlation structure and correlation based graphs," Papers 1103.5555, arXiv.org.
  11. Jos\`e T. Lunardi & Salvatore Miccich\`e & Fabrizio Lillo & Rosario N. Mantegna & Mauro Gallegati, 2011. "Do firms share the same functional form of their growth rate distribution? A new statistical test," Papers 1103.2234, arXiv.org.
  12. Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2011. "Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange," Papers 1102.0687, arXiv.org.
  13. Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario N. Mantegna, 2010. "When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators," Papers 1004.4272, arXiv.org.
  14. Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2010. "Statistical identification with hidden Markov models of large order splitting strategies in an equity market," Papers 1003.2981, arXiv.org.
  15. Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.
  16. M. Tumminello & F. Lillo & R. N. Mantegna, 2008. "Correlation, hierarchies, and networks in financial markets," Papers 0809.4615, arXiv.org.
  17. Gabriella Vaglica & Fabrizio Lillo & Esteban Moro & Rosario N. Mantegna, 2007. "Scaling laws of strategic behaviour and size heterogeneity in agent dynamics," Papers 0704.2003, arXiv.org.
  18. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007. "Diffusive behavior and the modeling of characteristic times in limit order executions," Papers physics/0701335, arXiv.org, revised Dec 2008.
  19. Michele Tumminello & Fabrizio Lillo & Rosario Nunzio Mantegna, 2007. "Kullback-Leibler distance as a measure of the information filtered from multivariate data," Papers 0706.0168, arXiv.org.
  20. Fabrizio Lillo & Esteban Moro & Gabriella Vaglica & Rosario N. Mantegna, 2007. "Specialization of strategies and herding behavior of trading firms in a financial market," Papers 0707.0385, arXiv.org.
  21. M. Tumminello & F. Lillo & R. N. Mantegna, 2007. "Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance," Papers 0710.0576, arXiv.org.
  22. Adam Ponzi & Fabrizio Lillo & Rosario N. Mantegna, 2006. "Market reaction to temporary liquidity crises and the permanent market impact," Papers physics/0608032, arXiv.org.
  23. M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2006. "Correlation based networks of equity returns sampled at different time horizons," Papers physics/0605251, arXiv.org, revised Apr 2007.
  24. C. Coronnello & M. Tumminello & F. Lillo & S. Micciche` & R. N. Mantegna, 2006. "Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis," Papers physics/0609036, arXiv.org.
  25. C. Coronnello & M. Tumminello & F. Lillo & S. Miccich\`e & R. N. Mantegna, 2005. "Sector identification in a set of stock return time series traded at the London Stock Exchange," Papers cond-mat/0508122, arXiv.org.
  26. Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005. "Scaling and data collapse for the mean exit time of asset prices," Papers physics/0507054, arXiv.org.
  27. Vincenzo Tola & Fabrizio Lillo & Mauro Gallegati & Rosario N. Mantegna, 2005. "Cluster analysis for portfolio optimization," Papers physics/0507006, arXiv.org.
  28. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciche` & N. Vandewalle & R. N. Mantegna, 2004. "Networks of equities in financial markets," Papers cond-mat/0401300, arXiv.org.
  29. T. Di Matteo & T. Aste & R. N. Mantegna, 2004. "An interest rates cluster analysis," Papers cond-mat/0401443, arXiv.org.
  30. Adriana P. Mattedi & Fernando M. Ramos & Reinaldo R. Rosa & Rosario N. Mantegna, 2004. "Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector," Papers cond-mat/0402654, arXiv.org, revised Mar 2004.
  31. Salvatore Miccich\`e & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2002. "Degree stability of a minimum spanning tree of price return and volatility," Papers cond-mat/0212338, arXiv.org.
  32. Fabrizio Lillo & Rosario N. Mantegna, 2002. "Dynamics of a financial market index after a crash," Papers cond-mat/0209685, arXiv.org.
  33. Salvatore Micciche` & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2002. "Volatility in Financial Markets: Stochastic Models and Empirical Results," Papers cond-mat/0202527, arXiv.org.
  34. Fabrizio Lillo & J. Doyne Farmer & Rosario N. Mantegna, 2002. "Single Curve Collapse of the Price Impact Function for the New York Stock Exchange," Papers cond-mat/0207428, arXiv.org.
  35. Fabrizio Lillo & Rosario N. Mantegna, 2002. "Empirical investigation and modeling of a financial market after a crash," Computing in Economics and Finance 2002 339, Society for Computational Economics.
  36. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2001. "Levels of complexity in financial markets," Papers cond-mat/0104369, arXiv.org.
  37. Fabrizio Lillo & Giovanni Bonanno & Rosario N. Mantegna, 2001. "Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis," Papers cond-mat/0104362, arXiv.org.
  38. Fabrizio Lillo & Rosario N. Mantegna, 2001. "Ensemble properties of securities traded in the NASDAQ market," Papers cond-mat/0107256, arXiv.org.
  39. Fabrizio Lillo and Rosario N. Mantegna, 2001. "Variety Of Behavior Of Equity Returns In Financial Markets," Computing in Economics and Finance 2001 156, Society for Computational Economics.
  40. Fabrizio Lillo & Rosario N. Mantegna, 2001. "Power law relaxation in a complex system: Omori law after a financial market crash," Papers cond-mat/0111257, arXiv.org, revised Jun 2003.
  41. Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters, 2001. "Introducing Variety in Risk Management," Papers cond-mat/0107208, arXiv.org.
  42. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
  43. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Empirical properties of the variety of a financial portfolio and the single-index model," Papers cond-mat/0009401, arXiv.org.
  44. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2000. "High-frequency Cross-correlation in a Set of Stocks," Papers cond-mat/0009350, arXiv.org, revised Nov 2000.
  45. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Symmetry alteration of ensemble return distribution in crash and rally days of financial markets," Papers cond-mat/0002438, arXiv.org.
  46. Giovanni Bonanno & Nicolas Vandewalle & Rosario N. Mantegna, 2000. "Taxonomy of Stock Market Indices," Papers cond-mat/0001268, arXiv.org, revised Aug 2000.
  47. Fabrizio Lillo & Rosario N. Mantegna, 1999. "Statistical Properties of Statistical Ensembles of Stock Returns," Papers cond-mat/9909302, arXiv.org.
  48. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 1999. "Dynamics of the Number of Trades of Financial Securities," Papers cond-mat/9912006, arXiv.org.
  49. Rosario N. Mantegna, 1998. "Hierarchical Structure in Financial Markets," Papers cond-mat/9802256, arXiv.org.
  50. Rosario N. Mantegna & H. Eugene Stanley, 1998. "Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes," Papers cond-mat/9804126, arXiv.org.
  1. Bongiorno, C. & Gurtner, G. & Lillo, F. & Mantegna, R.N. & Miccichè, S., 2017. "Statistical characterization of deviations from planned flight trajectories in air traffic management," Journal of Air Transport Management, Elsevier, vol. 58(C), pages 152-163.
  2. Vasilis Hatzopoulos & Giulia Iori & Rosario N. Mantegna & Salvatore Miccichè & Michele Tumminello, 2015. "Quantifying preferential trading in the e-MID interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 693-710, April.
  3. Cook, Andrew & Blom, Henk A.P. & Lillo, Fabrizio & Mantegna, Rosario Nunzio & Miccichè, Salvatore & Rivas, Damián & Vázquez, Rafael & Zanin, Massimiliano, 2015. "Applying complexity science to air traffic management," Journal of Air Transport Management, Elsevier, vol. 42(C), pages 149-158.
  4. Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2015. "Emergence of statistically validated financial intraday lead-lag relationships," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1375-1386, August.
  5. Iori, Giulia & Mantegna, Rosario N. & Marotta, Luca & Miccichè, Salvatore & Porter, James & Tumminello, Michele, 2015. "Networked relationships in the e-MID interbank market: A trading model with memory," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 98-116.
  6. Giovanni di Iasio & Mauro Gallegati & Fabrizio Lillo & Rosario N. Mantegna, 2015. "Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk'," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 587-588, April.
  7. Fabrizio Lillo & Salvatore Miccichè & Michele Tumminello & Jyrki Piilo & Rosario N. Mantegna, 2015. "How news affects the trading behaviour of different categories of investors in a financial market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 213-229, February.
  8. Lunardi, José T. & Miccichè, Salvatore & Lillo, Fabrizio & Mantegna, Rosario N. & Gallegati, Mauro, 2014. "Do firms share the same functional form of their growth rate distribution? A statistical test," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 140-164.
  9. Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2012. "Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 517-530, November.
  10. Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario Mantegna, 2011. "When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1067-1080.
  11. Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010. "Correlation, hierarchies, and networks in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 40-58, July.
  12. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
  13. M. Spanò & F. Lillo & S. Miccichè & R. Mantegna, 2008. "Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(3), pages 323-331, October.
  14. M. Tumminello & F. Lillo & R. Mantegna, 2008. "Generation of hierarchically correlated multivariate symbolic sequences," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(3), pages 333-340, October.
  15. Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008. "Cluster analysis for portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 235-258, January.
  16. M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2007. "Correlation based networks of equity returns sampled at different time horizons," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 209-217, 01.
  17. Rosario Nunzio Mantegna, 2005. "Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 133-140.
  18. Lillo, Fabrizio & Mantegna, Rosario N, 2004. "Dynamics of a financial market index after a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 125-134.
  19. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 38(2), pages 363-371, 03.
  20. Di Matteo, T. & Aste, T. & Mantegna, R.N., 2004. "An interest rates cluster analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(1), pages 181-188.
  21. P. Mattedi, Adriana & M. Ramos, Fernando & Rosa, Reinaldo R. & Mantegna, Rosario N., 2004. "Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(3), pages 554-561.
  22. Miccichè, Salvatore & Bonanno, Giovanni & Lillo, Fabrizio & N. Mantegna, Rosario, 2003. "Degree stability of a minimum spanning tree of price return and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 66-73.
  23. Miccichè, Salvatore & Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N, 2002. "Volatility in financial markets: stochastic models and empirical results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 756-761.
  24. Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Ensemble properties of securities traded in the NASDAQ market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 161-167.
  25. Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Levels of complexity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 16-27.
  26. G. Bonanno & F. Lillo & R. N. Mantegna, 2001. "High-frequency cross-correlation in a set of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 96-104.
  27. Kullmann, L & Kertész, J & Mantegna, R.N, 2000. "Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 412-419.
  28. Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N, 2000. "Dynamics of the number of trades of financial securities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(1), pages 136-141.
  29. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
  30. Mantegna, Rosario N & Palágyi, Zoltán & Stanley, H.Eugene, 1999. "Applications of statistical mechanics to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 216-221.
  31. Palágyi, Zoltán & Mantegna, Rosario N., 1999. "Empirical investigation of stock price dynamics in an emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 132-139.
  32. Mantegna, Rosario N. & Stanley, H.Eugene, 1998. "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, vol. 254(1), pages 77-84.
  33. Stanley, H.E. & Afanasyev, V. & Amaral, L.A.N. & Buldyrev, S.V. & Goldberger, A.L. & Havlin, S. & Leschhorn, H. & Maass, P. & Mantegna, R.N. & Peng, C.-K. & Prince, P.A. & Salinger, M.A. & Stanley, M., 1996. "Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 224(1), pages 302-321.
  34. Stanley, Michael H. R. & Buldyrev, Sergey V. & Havlin, Shlomo & Mantegna, Rosario N. & Salinger, Michael A. & Eugene Stanley, H., 1995. "Zipf plots and the size distribution of firms," Economics Letters, Elsevier, vol. 49(4), pages 453-457, October.
  35. Peng, C.-K. & Buldyrev, S.V. & Goldberger, A.L. & Havlin, S. & Mantegna, R.N. & Simons, M. & Stanley, H.E., 1995. "Statistical properties of DNA sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 221(1), pages 180-192.
  36. Stanley, H.E. & Buldyrev, S.V. & Goldberger, A.L. & Goldberger, Z.D. & Havlin, S. & Mantegna, R.N. & Ossadnik, S.M. & Peng, C.-K. & Simons, M., 1994. "Statistical mechanics in biology: how ubiquitous are long-range correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 205(1), pages 214-253.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (6) 2009-09-26 2010-03-28 2011-02-12 2011-07-27 2014-01-10 2014-03-22. Author is listed
  2. NEP-BAN: Banking (2) 2014-03-22 2014-07-28
  3. NEP-BEC: Business Economics (2) 2011-03-19 2014-07-28
  4. NEP-FMK: Financial Markets (2) 2009-09-26 2010-03-28
  5. NEP-NET: Network Economics (2) 2014-07-28 2015-12-01
  6. NEP-ECM: Econometrics (1) 2010-05-02
  7. NEP-HIS: Business, Economic & Financial History (1) 2014-09-25
  8. NEP-HME: Heterodox Microeconomics (1) 2014-07-28
  9. NEP-HPE: History & Philosophy of Economics (1) 2014-09-25
  10. NEP-RMG: Risk Management (1) 2011-03-19
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