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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

Activity

Rosario Mantegna wrote a new blog post titled New: Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to other borrowers, with which the lender has never (or has in- frequently)...
(40 days ago)

Rosario Mantegna wrote a new blog post titled New: Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved market efficiency, we investigate whether statistically significant lagged correlation relationships exist in financial markets. We introduce a numerical method to statistically validate links in correlation-based networks, and employ our method to study lagged correlation networks of equity returns in...
(111 days ago)

Rosario Mantegna wrote a new blog post titled REVISION: Do Firms Share the Same Functional Form of Their Growth Rate Distribution? A Statistical Test

We propose a hypothesis testing procedure to investigate whether the same growth rate distribution is shared by all the firms in a balanced panel or, more generally, whether they share the same functional form for this distribution, without necessarily sharing the same parameters. We apply the test to panels of US and European Union publicly quoted manufacturing firms, both at the sectoral and at the subsectoral NAICS levels. We consider the following null hypotheses about the growth rate distribution of the individual firms: i) an unknown shape common to all firms, with all the firms sharing...
(151 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