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Fabrizio Lillo

Selected publications

Selected publications

Luca Mertens,  Alberto Ciacci, Fabrizio Lillo and  Giulia Livieri 2018

Liquidity Fluctuations and the Latent Dynamics of Price Impact 


Frederic Bucci, Iacopo Mastromatteo, Zoltan Eisler, Fabrizio Lillo,  Jean-Philippe Bouchaud  and Charles‐Albert Lehalle 2018

Co-Impact: Crowding Effects in Institutional Trading Activity


Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi 2018

When Panic Makes You Blind: A Chaotic Route to Systemic Risk

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Fabrizio Lillo

CADS External Collaborator


Present position


  • Full Professor in Mathematical Methods for Economics, Finance, and Actuarial Sciences (SECS-S/06) at the University of Bologna, Italy (from June 1, 2017)
  • From 1 June 2017 contract professor at the Scuola Normale Superiore di Pisa
  • From November 1, 2017 External Collaborator of the Italian Institute of Technology for the organization of the Center for Analysis, Decisions, and Society at the Human Technopole, Milano



  • National scienti c quali cation to function as Associate professor in Italian Universities in the sector 02/B3 Fisica Applicata (Applied Physics), December 27, 2013
  • PhD in Physics at Palermo University (1999). PhD thesis on \Fundamental aspects of interferometry with one and two photons"
  • Degree in Physics (110/110 Cum Laude) at Palermo University (1994). Thesis: \Internal coherence and quantum visibility"


Past occupations

  • From 1 Nov 1998 to 31 Jan 1999 research fellowship from the Comitato Regionale di Ricerche Nucleari e di Struttura della Materia (CRRNSM) for a reasearch project about "Sum rules in interferometry and Majorana representation"
  • From 1 Apr 1999 to 4 Feb 2001 INFM two-year Post-Doc fellowship for research on the project: "Modeling of financial dynamics with advanced techniques of statistical mechanics". Tutor: Prof. R. N. Mantegna
  • From 5 Feb 2001 to 4 Feb 2003 INFM Research Associate for research on the project: \Statistical modeling of non-coding DNA" at the INFM unit of Palermo
  • From 17 Feb 2003 to 17 Dec 2003 Postdoctoral Fellow at the Santa Fe Institute, Santa Fe NM, USA
  • From 5 Jan 2004 to 31 October 2014, Assistant Professor of Physics (Ricercatore) at the Palermo University
  • From 1 Jul 2005 to 16 March 2009, External Faculty Member at the Santa Fe Institute (USA)
  • From 17 March 2009 to 16 March 2012, Professor at the Santa Fe Institute (USA)
  • From 1 January 2011 to 31 December 2013 full time Junior Research Professor in Mathematical Finance at the Scuola Normale Superiore di Pisa, Italy
  • From 1 Nov 2014 to 31 May 2017 Associate Professor in Mathematical Finance (SECS-S/06) at the Scuola Normale Superiore, Pisa (Italy) and Leader of the group in Quantitative Finance at the Scuola Normale Superiore di Pisa

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