Rosario Mantegna
Rosario N. Mantegna is professor at Palermo University, visiting professor at the Central European University, and honorary professor at University College London. Since 2017 he is also member of the External Faculty of the Complexity Science Hub Vienna. He was postdoc at the MPI for Quantum Optics in Munich, and at Boston University. His research covers interdisciplinary applications of statistical physics. He is one of the pioneers in the fields of econophysics and economic and financial networks. Rosario has been principal investigator of several international and national research projects.
We investigate the process of price discovery of several financial assets traded at the Nasdaq Nordic OMX exchange. Specifically, we empirically investigate the dynamics of the order book of financial assets belonging to the categories of stocks, warrants, equity warrants, and index fund units. By investigating the mean cancelation time of the limit orders submitted to the market we infer about the presence of high frequency trading for a specific financial asset traded in the market. We verify that the presence of high frequency order submission is not always associated with high frequency of transactions. We perform a cross sectional analysis of the order submission and cancellation procedure to detect characteristics of the multivariate nature of high frequency order submission. A discussion of the relationship between high frequency order submission activity and asset liquidity is provided for different categories of financial assets.
We perform a statistical test of the repeated market transactions occurring between different pairs of market members. With this approach we are able to detect over-expression and under-expression of high-frequency market transactions for different pairs of market members. These over-expressions and under-expressions are used to set up a statistically validated network [Tumminello et al 2011, Hatzopoulos et al 2015] describing the networked structure of the market with respect to high-frequency transactions. This investigation is done monthly for the time period covering the 2010 and 2011 calendar years. During this period, for each month we are able to obtain a network describing the high-frequency networked relationships observed in the market. The networked relationships are presenting both regularities and a dynamics that can be interpreted in terms of specialization of some market members allowing them to be active (and/or to sell services) in the field of high-frequency trading. The topological properties of the networks obtained are therefore informative with respect to the ability and infrastructures of different market members.
The statistical robustness of our empirical results shows that the introduction of heterogeneity with respect to the ability to perform high-frequency algorithmic trading are making an anonymous market a networked market.
ΣΦ Conference
ΣΦ 2014
News
Prizes in SigmaPhi 2014
During the conference, three works selected out of all the oral and poster presentations by scientists under 40 years, have been awarded.The prizes have been respectively offered for...
Accepted Abstracts
10 May 2014 The list of accepted abstracts submitted for presentation in the conference is available on the page "Abstracts Lists"
Workshops
3. Econophysics
Workshop organized by: L. Pietronero "Economic Complexity" and T. Aste "Finance, Risk"
4. Sociophysics
Workshop organized by: B. Szymansk; I) G. Korniss, C. Lim "Human behavior, Social networks"; II) V. Constantoudis "Linguistics"
5. Complex Networks
Workshop organized by: A. Scala "Interacting networks" and B. Kahng "Phase transitions in networks"
8. Quantum Computation and Quantum Information
Workshop organized by: D. Ellinas and J. Pachos
