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.
 
 
 
Price discovery and market liquidity at NASDAQ Nordic OMX exchanges
 
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.

 

 

News

SigmaPhi Prize

The SigmaPhi Prize for 2017 will be awarded during SigmaPhi2017 Conference to Ralf Metzler, David Mukamel and Stefano Ruffo.

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EPS Young Researcher Grants

The Organizing Committee of the SigmaPhi 2017 International Conference is very please to inform that the EPS Young Researcher Grants have been assigned

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Elsevier lectures

The publishing company Elsevier sponsors two lectures

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Springer Nature Lectures

The publishing company Springer Nature sponsors three lectures

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School of Statistical Physics

New Trends in StatPhys: Organized by G. Caldarelli and G. Kaniadakis

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EPS-SNP Meeting

The summer board meeting of the European Physical Society - Statistical and Nonlinear Physics Division (EPS-SNP) will be held during the SigmaPhi2017 Conference

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SigmaPhi2017 Europhysics Conference

The European Physical Society (EPS) has recognized the SigmaPhi2017 as Europhysics Conference.

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Workshops

1. Kappa Distributions and Statistical Mechanics

Workshop organized by: G. Livadiotis, P. Yoon and K. Dialynas

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2. Statistical Physics for the Digital Economy

Workshop organized by: T. Aste, G. Caldarelli, T. Di Matteo and G. Livan

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3. Quantum Matter

Workshop organized by: S. Kourtis, D. Ellinas and J. Pachos

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4. Statistical Physics of Environment, Climate and Ecosystems

Workshop organized by: P. Ditlevsen, D. Hristopulos and D. Valenti

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5. Complexity and self-organization in biology and physiology

Workshop organized by: P. Paradisi and R. Metzler

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6. Sociophysics and Econophysics

Workshop organized by: M.L. Bertotti and V. Constantoudis

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Special Sessions

A1. Stochastic Processes in Complex Environments

Special Session organized by: J. Talbot and C. Mejia-Monasterio

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A2. Kinetic Theory and its applications

Special Session organized by: G. Palasanzas and A. Rossani

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A3. Information Geometry

Special Session organized by: D. Johnston, H. Matsuzoe, G. Ruppeiner and T. Wada

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Scientific Sponsors 2017

 Statistical and Nonlinear

Physics Division 

Politecnico di Torino

Italy

 

 

 Department of Applied

Science and Technology

 

 ISC - CNR

Roma, Italy

 Technical University of

Crete Chania, Greece

 Aristotele University of

Thessaloniki, Greece

N.C.S.R. Demokritos

Athens, Greece

Italian National Institute

for Nuclear Physics

 

University of Cagliari

Italy

 

 

University of Leuven

Belgium

 

 

 

 

 Springer

 

 

 

 Entropy

 

 

 

 Elsevier

 

Chaos, Solitons

& Fractals

 

Modern Physics

Letters B

 

International Journal

of Modern Physics B