Rosario Mantegna's profile

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We ﬁnd that (i) the volume distribution of off-book transactions has a signiﬁcantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classiﬁed in categories according to their trading proﬁle

(164 days ago)

Rosario Mantegna wrote a new blog post titled New: Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

We use a self-averaging measure called Kullback-Leibler divergence to evaluate the performance of four different correlation estimators: Fourier, Pearson, Maximum Likelihood and Hayashi-Yoshida estimator. The study uses simulated transaction prices for a large number of stocks and different data generating mechanisms, including synchronous and non-synchronous transactions, homogeneous and heterogeneous inter-transaction time. Different distributions of stock returns, i.e. multivariate Normal an

(164 days ago)

Rosario Mantegna wrote a new blog post titled New: Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence th

(164 days ago)

About me:

Rosario N. Mantegna is, today, recognized as one of the leading pioneer in the field of econophysics. He started to work in the area of the analysis and modeling of social and economic systems with tools and concepts of statistical physics as early as in 1990. He published the first econophysics paper in a physics journal in 1991. He also co-authored the first econophysics paper in Nature, in 1995. In 1999 he published the first book on econophysics. Just after Mantegna earned his tenured position in 1999, he founded the Observatory of Complex Systems (http://ocs.unipa.it ), a research group of the Dipartimento di Fisica of Palermo University. Within econophysics he has investigated a wide range of topics. Examples are the following: (i) the statistical regularities of univariate time dynamics of high frequency price returns, (ii) the hierarchical structure and correlation based networks of a portfolio of stocks, (iii) the cross sectional analysis of price returns, (iv) the presence of an Omori law during the periods of time just after a financial crash, (v) the microstructure aspect of the price impact and of the order book dynamics and (vi) the empirical detection of resulting strategies in the trading activity of market members and individual investors acting in a financial market.

Mantegna has participated in several international research projects contributing to the management and coordination of them (examples are the COST P10 action "Physics of Risk" and the GIACS (General Integration of the Applications of Complexity in Science) coordination action of the European Union). Within the GIACS coordination action he has promoted the "Jerusalem Declaration on Data Access, Use and Dissemination for Scientific Research". http://portale.unipa.it/ocs/jerusalemSubscription.html

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