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Title: Professor

Short Description: Rosario N. Mantegna is recognized as one of the leading pioneers in the field of econophysics.

Institution: Palermo University

Department: Department of Physics

Special Academic Interests:

Dept Homepage: link

Is this Member on the AGENDA team?: No

Joined: June 29th, 2011


Rosario Mantegna wrote a new blog post titled New: Backbone of Credit Relationships in the Japanese Credit Market

We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that is statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our findings with economic events that have characterized the Japanese credit market during the last years....
(6 days ago)

Rosario Mantegna wrote a new blog post titled New: Patterns of Trading Profiles at the Nordic Stock Exchange. A Correlation-Based Approach.

We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an...
(6 days ago)

Rosario Mantegna wrote a new blog post titled New: How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

The degree of correlation among stock returns affects the possibility to diversify the risk of investment, and it plays a major role in financial spillover. During the last decade, the increasing level of correlation observed in financial markets has become a threat to market stability. Here, we analyze high frequency data of stock returns traded at the New York Stock Exchange in the periods 2001-03 and 2011-13. In each period we uncouple the factors contributing to the intraday pattern of synchronous correlations, including volatility, autocorrelations and lagged cross-correlations among...
(74 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 ( ), 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".