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Rosario N. Mantegna

received his PhD in physics from Palermo University in 1990. He is professor at Central European University in a joint appointment of the Department of Economics and the Center of Network Science and at Palermo University, where he founded the Observatory of Complex Systems. His research concerns interdisciplinary applications of statistical physics with major emphasis on topics of finance and social sciences. 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 1990 and he is one of the pioneers in the field of econophysics. He published the first paper and coauthored the first book on econophysics.

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Patterns of high-frequency trading networks at NASDAQ OMX Helsinki (with Luca Marotta, Jyrki Piilo)

We investigate trade networks and high-frequency sub-networks of market members trading at NASDAQ OMX Helsinki. We consider a trade as a high-frequency trade if the trade belongs to a group of trades that are occurring with inter-trade time intervals shorter or equal to one millisecond. We monthly analyze the networks of market members for assets of different ISIN codes and we investigated their stability over time. We also statistically validate [1] the links of the networks of high-frequency trades with respect to a null hypothesis taking into account the heterogeneity of market members with respect to the number of performed transactions. For several assets we detect both over-expression and under-expression of the high-frequency transactions observed between pairs of market members. We also investigate about the use of high-frequency trading among different legal entities trading [2] at the NASDAQ OMX Helsinki.

[1] Tumminello M, Miccichè S, Lillo F, Piilo J, Mantegna RN (2011) Statistically Validated Networks in Bipartite Complex Systems. PLoS ONE 6(3): e17994. doi:10.1371/journal.pone.0017994
[2] Tumminello M. et al 2012 New J. Phys. 14 013041 doi:10.1088/1367-2630/14/1/013041

Last modified: 2018.11.30.