Rosario Nunzio Mantegna


Rosario Nunzio Mantegna is professor of applied physics at the Department of Physics of Palermo University. Rosario Mantegna is recognized as one of the leading pioneers in the field of econophysics. He started to work on the analysis and modeling of social and economic systems with tools and concepts of statistical physics as early as in 1990. He published the first econophysics paper in a physics journal in 1991. He also co-authored the first econophysics paper in Nature in 1995, and in 1999 published the first book on econophysics. Shortly after Rosario Mantegna earned his tenured position in 1999, he founded the Observatory of Complex Systems within the Dipartimento di Fisica of Palermo University. Rosario Mantegna has investigated a wide range of topics including (i) the statistical regularities of univariate time dynamics of high frequency price returns and the hierarchical structure and correlation based networks of a portfolio of stocks, (iii) the cross sectional analysis of price returns, (iv) the presence of an Omori law during the periods of time just after a financial crash, (v) the microstructure aspect of the price impact and of the order book dynamics, and (vi) the empirical detection of resulting strategies in the trading activity of market members and individual investors acting in a financial market.

Rosario Mantegna has participated in several international research projects contributing to the management and coordination of them (examples are the COST P10 action “Physics of Risk” and the GIACS (General Integration of the Applications of Complexity in Science) coordination action of the European Union). Within the GIACS coordination action he has promoted the “Jerusalem Declaration on Data Access, Use and Dissemination for Scientific Research”.