papers
Publications (8)
physics.data-an2007
Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
M. Tumminello, F. Lillo, R. N. Mantegna
cond-mat.stat-mech2004
Networks of equities in financial markets
G. Bonanno, G. Caldarelli, F. Lillo +3
cond-mat.dis-nn2007
Hierarchically nested factor model from multivariate data
M. Tumminello, F. Lillo, R. N. Mantegna
physics.soc-ph2006
Spanning Trees and bootstrap reliability estimation in correlation based networks
M. Tumminello, C. Coronnello, F. Lillo +2
q-fin.ST2008
Correlation, hierarchies, and networks in financial markets
M. Tumminello, F. Lillo, R. N. Mantegna
physics.comp-ph2008
Generation of hierarchically correlated multivariate symbolic sequences
Mi. Tumminello, F. Lillo, R. N. Mantegna
cond-mat.other2005
A theory for long-memory in supply and demand
F. Lillo, Szabolcs Mike, J. Doyne Farmer
cond-mat.dis-nn2005
Sector identification in a set of stock return time series traded at the London Stock Exchange
C. Coronnello, M. Tumminello, F. Lillo +2