Salvatore Miccichè
University of Palermo
103 Papers
301 Citations
Salvatore Miccichè is an academic researcher from University of Palermo. The author has contributed to research in topics: Volatility (finance) & Financial market. The author has an hindex of 23, co-authored 97 publications. Previous affiliations of Salvatore Miccichè include Loughborough University & Istituto Nazionale di Fisica Nucleare.
Chat about Author
Papers
Networks of equities in financial markets
Giovanni Bonanno,Giovanni Bonanno,Guido Caldarelli,Fabrizio Lillo,Salvatore Miccichè,Nicolas Vandewalle,Rosario N. Mantegna +6 more
TL;DR: In this paper, the authors review the recent approach of correlation based networks of financial equities and investigate portfolio of stocks at different time horizons, financial indices and volatility time series and show that meaningful economic information can be extracted from noise dressed correlation matrices.
467
Spanning Trees and bootstrap reliability estimation in correlation based networks
Michele Tumminello,Claudia Coronnello,Fabrizio Lillo,Fabrizio Lillo,Fabrizio Lillo,Salvatore Miccichè,Salvatore Miccichè,Rosario N. Mantegna,Rosario N. Mantegna +8 more
TL;DR: It is shown that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimumspanning Tree and the average reliability of links is slightly greater than the average unreliable links in the average linkage minimum Spanning tree.
178
Degree stability of a minimum spanning tree of price return and volatility
TL;DR: In this paper, the authors investigated the time series of the degree of minimum spanning trees obtained by using a correlation-based clustering procedure which starts from (i) asset return and (ii) volatility time series.
159
Applying complexity science to air traffic management
Andrew J. Cook,Henk A. P. Blom,Fabrizio Lillo,Rosario N. Mantegna,Rosario N. Mantegna,Salvatore Miccichè,Damián Rivas,Rafael Vazquez,Massimiliano Zanin +8 more
TL;DR: Complexity science is the multidisciplinary study of complex systems as discussed by the authors, with a specific focus on the application to air traffic management, and it is starting to make important contributions to performance assessment and system design.
124
Volatility in financial markets: stochastic models and empirical results
TL;DR: In this article, the authors investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets and obtain an empirical probability density function (pdf) of volatility, compared with the theoretical predictions of a lognormal model and of the Hull and White model.
116