Young Scientist Award 2008On behalf of the AKSOE, the
Young-Scientist Award for Socio- and Econophysics 2008
is awarded to
Dr. Fabrizio Lillo (Palermo, Italy)
for his outstanding original contributions to a better understanding of open problems in socio-economic systems by means of physical methods.
Dr. Lillo uses concepts and methods of statistical and theoretical physics to obtain a deep understanding of financial markets in terms of their microstructure. He has empirically investigated the price impact of transactions down to each single transaction event. He is well known for the discovery that order flow is a long-memory process, including solid statisical tests and a theoretical proposal that this implies that price responses must be asymmetric between buying and selling, and a demonstration that this indeed occurs. He further provided a theory explaining the long-memory of order flow based on the heavy tailed hidden trading order volume and uniform rate of order execution.
Beyond the area of market microstructure, Dr. Lillo made numerous contributions to econophysics. Among those are the investigation of the variety of stock return (a cross sectional investigation) observed in the assets composing a portfolio traded in a financial market, as well as the significant observation that the aftershocks of financial crashes obey the analogous of the Omori Law for aftershocks of earthquakes.
Dr. Fabrizio Lillo, through his outstanding, deep, and influential contributions towards a better understanding of market dynamics, fosters innovative bridges between physical methods and their application to social and economic problems.
Berlin, February 26th, 2008
Prof. Dr. Stefan Bornholdt
Visit Fabrizion Lillo's homepage at SNS Italy