Professore su convenzione
METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE (SSD: SECS-S/06)
Fabrizio Lillo is a full professor of Mathematical Methods for Actuarial and Financial Economics and Sciences at the Faculty of Sciences of the Scuola Normale Superiore, with a chair in ”Financial Mathematics on the Microstructure of the Financial Markets – Networks and Systemic Risk" in agreement with the Department of Mathematics of the University of Bologna. He teaches courses on Quantitative Finance and Market Microstructure and Systemic Risk, and on Statistical Methods and Machine Learning for Time Series. He is a member of the scientific committee of AMASES (Associazione per la Matematica Applicata alle Scienze Economiche e Sociali) (Association for Mathematics Applied to the Economic and Social Sciences) and of the editorial board of several international journals.
Professor Lillo's research topics include the microstructure of financial markets and price formation mechanisms, financial systemic risk, complex network theory and their application in economic, financial, social and transport fields, and the statistical, econometric and machine learning methods for economics and finance. He has published 140 articles in international journals on the above mentioned topics and has supervised fifteen PhD theses. He has been unit manager for several European Union projects.
Fabrizio Lillo has previously been an associate professor of Financial Mathematics at the Scuola Normale Superiore in Pisa, where he directed the Quantitative Finance group. He has also been a Professor and member of the External Faculty of the Santa Fe Institute (USA). He attained a PhD in Physics at the University of Palermo, where he was also a researcher. He has been a postdoc and third-level researcher at the Istituto Nazionale per la Fisica della Materia (the National Institute for Materials Physics) and subsequently of the Santa Fe Institute. In 2007 he received the Young Scientist Award for Socio- and Econophysics of the German Physical Society. He has been a visiting professor at the Max Planck Institute of Dresden, the École Centrale Paris and Imperial College London. He has carried out research activities in collaboration with Banca d'Italia, Consob, and several national and international firms and banks.
Special issues of journals
- Guest editor with Emanuele Strano, Massimiliano Zanini and Ernesto Estrada of a special issue of the European Journal of Physics - Special Topics on “Spatially Embedded Complex Networks” (2013)
- Guest editor with Giovanni di Iasio, Mauro Gallegati and Rosario N. Mantegna of the Special issue of Quantitative Finance on "Interlinkages and Systemic Risk" (2015)
- Co-editor with Sergey Ivliev and Anil Bera of a Springer volume on “Financial Econometrics and Empirical Market Microstructure” (2015)