Michele Tumminello

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Rosario Nunzio MantegnaProfessor of Applied Physics. Department of Physics and Chemistry, Università degli Studi PalermoVerified email at unipa.it
Fabrizio LilloUniversità di Bologna and Scuola Normale Superiore, PisaVerified email at sns.it
Salvatore Micciche'University of Palermo, Department of Physics and ChemistryVerified email at unipa.it
claudia coronnelloFondazione Ri.MEDVerified email at fondazionerimed.com
Tiziana Di MatteoProfessor of Econophysics - King's College LondonVerified email at kcl.ac.uk
Jyrki PiiloUniv. of Turku, FinlandVerified email at utu.fi
Tomaso AsteProfessor of Complexity Science - University College LondonVerified email at ucl.ac.uk
Wei-Xing ZhouProfessor of Finance, East China University of Science and TechnologyVerified email at ecust.edu.cn
Dror Y. KenettFinancial Industry Regulatory Authority (FINRA), Office of the Chief EconomistVerified email at finra.org
Giulia IoriProfessor of Economics, City University LondonVerified email at city.ac.uk
Ming-Xia LiEast China University of Science and TechnologyVerified email at ecust.edu.cn
Eshel Ben-JacobProfessor of Physics, Tel Aviv universityVerified email at rice.edu
Andrea ConsiglioProfessor of Mathematical Finance, University of PalermoVerified email at unipa.it
Chester CurmeGraduate Student, Boston UniversityVerified email at bu.edu
H. Eugene StanleyProfessor of Physics, Boston UniversityVerified email at bu.edu
Janos KerteszDepartment of Network and Data Science, Central European University, ViennaVerified email at ceu.edu
Kimmo KaskiProfessor of Computational Science, Aalto University School of ScienceVerified email at aalto.fi
Stavros A. ZeniosUniversity of Cyprus, Wharton Financial Institutions Center (USA), Bruegel (Brussels)Verified email at ucy.ac.cy
Luca MarottaUniversity of PalermoVerified email at unipa.it
Vasyl Palchykovresearcher, Institute for Condensed Matter PhysicsVerified email at lorentz.leidenuniv.nl

Michele Tumminello

Department of Economics, Management, and Statistics, University of Palermo, Italy

Verified email at unipa.it - Homepage

Complex Systems Quantitative finance Social Sciences


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A tool for filtering information in complex systems M Tumminello, T Aste, T Di Matteo, RN Mantegna Proceedings of the National Academy of Sciences of the United States of …, 2005	866	2005
Correlation, hierarchies, and networks in financial markets M Tumminello, F Lillo, RN Mantegna Journal of economic behavior & organization 75 (1), 40-58, 2010	414	2010
Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market DY Kenett, M Tumminello, A Madi, G Gur-Gershgoren, RN Mantegna, ... PloS one 5 (12), e15032, 2010	360	2010
Correlation based networks of equity returns sampled at different time horizons M Tumminello, T Di Matteo, T Aste, RN Mantegna The European Physical Journal B 55, 209-217, 2007	259	2007
Statistically validated networks in bipartite complex systems M Tumminello, S Micciche, F Lillo, J Piilo, RN Mantegna PloS one 6 (3), e17994, 2011	258	2011
Evolution of worldwide stock markets, correlation structure, and correlation-based graphs DM Song, M Tumminello, WX Zhou, RN Mantegna Physical Review E 84 (2), 026108, 2011	253	2011
Spanning trees and bootstrap reliability estimation in correlation-based networks M Tumminello, C Coronnello, F Lillo, S Micciche, RN Mantegna International Journal of Bifurcation and Chaos 17 (07), 2319-2329, 2007	179	2007
Identification of clusters of investors from their real trading activity in a financial market M Tumminello, F Lillo, J Piilo, RN Mantegna New Journal of Physics 14 (1), 013041, 2012	116	2012
Sector identification in a set of stock return time series traded at the London Stock Exchange C Coronnello, M Tumminello, F Lillo, S Micciche, RN Mantegna arXiv preprint cond-mat/0508122, 2005	104	2005
How news affects the trading behaviour of different categories of investors in a financial market F Lillo, S Miccichè, M Tumminello, J Piilo, RN Mantegna Quantitative Finance 15 (2), 213-229, 2015	95	2015
Networked relationships in the e-MID Interbank market: A trading model with memory G Iori, RN Mantegna, L Marotta, S Micciche, J Porter, M Tumminello Journal of Economic Dynamics and Control 50, 98-116, 2015	92	2015
Emergence of statistically validated financial intraday lead-lag relationships C Curme, M Tumminello, RN Mantegna, HE Stanley, DY Kenett Quantitative Finance 15 (8), 1375-1386, 2015	91	2015
Kullback-Leibler distance as a measure of the information filtered from multivariate data M Tumminello, F Lillo, RN Mantegna Physical Review E 76 (3), 031123, 2007	77	2007
Hierarchically nested factor model from multivariate data M Tumminello, F Lillo, RN Mantegna Europhysics Letters 78 (3), 30006, 2007	77	2007
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators E Pantaleo, M Tumminello, F Lillo, RN Mantegna Quantitative Finance 11 (7), 1067-1080, 2011	75	2011
Quantifying preferential trading in the e-MID interbank market V Hatzopoulos, G Iori, RN Mantegna, S Micciche, M Tumminello Quantitative Finance 15 (4), 693-710, 2015	72	2015
Community characterization of heterogeneous complex systems M Tumminello, S Micciche, F Lillo, J Varho, J Piilo, RN Mantegna Journal of Statistical Mechanics: Theory and Experiment 2011 (01), P01019, 2011	66	2011
Statistically validated mobile communication networks: the evolution of motifs in European and Chinese data MX Li, V Palchykov, ZQ Jiang, K Kaski, J Kertész, S Micciche, ... New Journal of Physics 16 (8), 083038, 2014	59	2014
Analysis of pipeline accidents in the United States from 1968 to 2009 K Siler-Evans, A Hanson, C Sunday, N Leonard, M Tumminello International journal of critical infrastructure protection 7 (4), 257-269, 2014	58	2014
A comparative analysis of the statistical properties of large mobile phone calling networks MX Li, ZQ Jiang, WJ Xie, S Miccichè, M Tumminello, WX Zhou, ... Scientific reports 4 (1), 1-12, 2014	40	2014

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