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Introduction to QuantLib training with Luigi Ballabio

19-21 October, London

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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: 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...
(21 days ago)

Rosario Mantegna wrote a new blog post titled New: Bank-Firm Credit Network in Japan. An Analysis of a Bipartite Network

We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection algorithm which is identifying communities composed by both banks and firms. We show that the clusters obtained by directly working on the bipartite network carry information about the networked nature of the Japanese credit market. Our analysis is performed for each calendar year...
(440 days ago)

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)...
(571 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