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Marco Corazza

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021. "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series 322, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Sakthivel SANTHOSHKUMAR & Murugesan SELVAM, 2024. "Twitter sentiments and stock indices returns with reference to nifty energy indices of India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(638), S), pages 125-136, Spring.

  2. Diana Barro & Marco Corazza & Martina Nardon, 2020. "Cumulative Prospect Theory portfolio selection," Working Papers 2020:26, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Francesco Cesarone & Massimiliano Corradini & Lorenzo Lampariello & Jessica Riccioni, 2023. "A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach," Papers 2312.10749, arXiv.org.
    2. Fortin, Ines & Hlouskova, Jaroslava, 2024. "Prospect theory and asset allocation," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 214-240.

  3. Marco Corazza & Giovanni Fasano & Riccardo Gusso & Raffaele Pesenti, 2019. "A comparison among Reinforcement Learning algorithms in financial trading systems," Working Papers 2019:33, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Yuling Huang & Kai Cui & Yunlin Song & Zongren Chen, 2023. "A Multi-Scaling Reinforcement Learning Trading System Based on Multi-Scaling Convolutional Neural Networks," Mathematics, MDPI, vol. 11(11), pages 1-19, May.

  4. Marco Corazza & Florence Legros & Cira Perna & Marilena Sibillo, 2017. "Mathematical and Statistical Methods for Actuarial Sciences and Finance," Post-Print hal-01776135, HAL.

    Cited by:

    1. Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    2. Marco Marozzi, 2014. "Construction, dimension reduction and uncertainty analysis of an index of trust in public institutions," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(2), pages 939-953, March.
    3. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    4. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
    5. Catalina Bolance & Montserrat Guillen & David Pitt, 2014. "Non-parametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers 2014-01, Universitat de Barcelona, UB Riskcenter.
    6. V. Pozdnyakov & L. M. Elbroch & C. Hu & T. Meyer & J. Yan, 2020. "On Estimation for Brownian Motion Governed by Telegraph Process with Multiple Off States," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1275-1291, September.
    7. Luković Stevan & Marinković Srđan, 2019. "Comparative Analysis of Retirement Benefits in Private Pension Funds and Public Pension System," Economic Themes, Sciendo, vol. 57(2), pages 145-164, June.
    8. Roman G. Smirnov & Kunpeng Wang, 2019. "The Hamiltonian approach to the problem of derivation of production functions in economic growth theory," Papers 1906.11224, arXiv.org.
    9. Domenico Piccolo & Rosaria Simone, 2019. "The class of cub models: statistical foundations, inferential issues and empirical evidence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 389-435, September.
    10. Devolder, Pierre & Melis, Roberta, 2015. "Optimal Mix Between Pay As You Go And Funding For Pension Liabilities In A Stochastic Framework," ASTIN Bulletin, Cambridge University Press, vol. 45(3), pages 551-575, September.
    11. Vladimir Pozdnyakov & L. Mark Elbroch & Anthony Labarga & Thomas Meyer & Jun Yan, 2019. "Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 907-920, September.
    12. Turcas Florin & Dumiter Florin & Brezeanu Petre & Jimon Stefania, 2016. "Theoretical and Practical Issues in Business Valuation," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 26(4), pages 1-23, November.
    13. Jing Shi & Marcel Ausloos & Tingting Zhu, 2017. "Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries," Papers 1712.00131, arXiv.org.
    14. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
    15. Haruhiko Ogasawara, 2019. "The multiple Cantelli inequalities," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 495-506, September.
    16. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.
    17. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
    18. Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
    19. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
    20. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
    21. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    22. Gianna Figà-Talamanca & Marco Patacca, 2020. "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 71-91, March.
    23. Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," MPRA Paper 75726, University Library of Munich, Germany, revised Dec 2013.
    24. Catania, Leopoldo & Grassi, Stefano & Ravazzolo, Francesco, 2019. "Forecasting cryptocurrencies under model and parameter instability," International Journal of Forecasting, Elsevier, vol. 35(2), pages 485-501.
    25. Juchem Neto, J.P. & Claeyssen, J.C.R. & Pôrto Júnior, S.S., 2018. "Economic agglomerations and spatio-temporal cycles in a spatial growth model with capital transport cost," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 76-86.
    26. Stefania Corsaro & Valentina De Simone & Zelda Marino, 2021. "Fused Lasso approach in portfolio selection," Annals of Operations Research, Springer, vol. 299(1), pages 47-59, April.
    27. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "Edgeworth expansions for multivariate random sums," Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
    28. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    29. Marco Marozzi, 2015. "Measuring Trust in European Public Institutions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 123(3), pages 879-895, September.
    30. David Pitt & Montserrat Guillen & Catalina Bolancé, 2011. "Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers XREAP2011-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2011.
    31. Edoardo Otranto & Romana Gargano, 2015. "Financial clustering in presence of dominant markets," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(3), pages 315-339, September.
    32. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org, revised Mar 2020.
    33. Paola Ferretti & Antonella Campana, 2011. "XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis," Working Papers 2011_14, Department of Economics, University of Venice "Ca' Foscari".
    34. Nikita Ratanov, 2021. "Ornstein-Uhlenbeck Processes of Bounded Variation," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 925-946, September.
    35. Bijsterbosch, Martin & Falagiarda, Matteo & Pasricha, Gurnain & Aizenman, Joshua, 2015. "Domestic and multilateral effects of capital controls in emerging markets," Working Paper Series 1844, European Central Bank.
    36. Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
    37. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    38. Maria Iannario, 2012. "Modelling shelter choices in a class of mixture models for ordinal responses," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 1-22, March.
    39. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
    40. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
    41. Luca GRILLI & Massimo Alfonso RUSSO & Roberto GISMONDI, 2012. "Methodological Proposals For A Qualitative Evaluation Of Italian Durum Wheat Varieties," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 103-122.
    42. Martina Nardon & Paolo Pianca, 2014. "European option pricing with constant relative sensitivity probability weighting function," Working Papers 2014:25, Department of Economics, University of Venice "Ca' Foscari".
    43. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
    44. Stefania Capecchi & Maria Iannario & Rosaria Simone, 2018. "Well-Being and Relational Goods: A Model-Based Approach to Detect Significant Relationships," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(2), pages 729-750, January.
    45. Francesco Battaglia & Domenico Cucina & Manuel Rizzo, 2020. "Detection and estimation of additive outliers in seasonal time series," Computational Statistics, Springer, vol. 35(3), pages 1393-1409, September.
    46. Alonso González, Pablo J., 2017. "Estimating life expectancy free of dependency : group characterization through the proximity to the deepest dependency path," DES - Working Papers. Statistics and Econometrics. WS 24672, Universidad Carlos III de Madrid. Departamento de Estadística.
    47. Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Choosing the Right Skew Normal Distribution: the Macroeconomist’ Dilemma," Discussion Papers in Economics 15/08, Division of Economics, School of Business, University of Leicester.
    48. Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 5-19, June.
    49. Roman G. Smirnov & Kunpeng Wang, 2017. "In search of a new economic model determined by logistic growth," Papers 1711.02625, arXiv.org, revised Oct 2018.
    50. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
    51. Antonella Basso & Stefania Funari, 2017. "The role of fund size in the performance of mutual funds assessed with DEA models," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 457-473, May.
    52. Ekaterina Bulinskaya & Boris Shigida, 2021. "Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 103-121, March.
    53. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    54. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
    55. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
    56. Arianna Agosto & Enrico Moretto, 2010. "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods qf1005, Department of Economics, University of Insubria.
    57. Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
    58. Nikita Ratanov, 2016. "Option Pricing Under Jump-Diffusion Processes with Regime Switching," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 829-845, September.
    59. Fabio Baione & Davide Biancalana & Paolo Angelis, 2021. "An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 5-22, June.
    60. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    61. Nadine Gatzert & Katrin Osterrieder, 2020. "The future of mobility and its impact on the automobile insurance industry," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 31-51, March.
    62. Martina Nardon & Paolo Pianca, 2016. "Covered call writing in a cumulative prospect theory framework," Working Papers 2016:35, Department of Economics, University of Venice "Ca' Foscari".
    63. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
    64. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
    65. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    66. Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
    67. Flavia Barsotti & Simona Sanfelici, 2016. "Market Microstructure Effects on Firm Default Risk Evaluation," Econometrics, MDPI, vol. 4(3), pages 1-31, July.
    68. Giovanni De Luca & Paola Zuccolotto, 2017. "Dynamic tail dependence clustering of financial time series," Statistical Papers, Springer, vol. 58(3), pages 641-657, September.
    69. Martina Nardon & Paolo Pianca, 2019. "European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions," Computational Management Science, Springer, vol. 16(1), pages 249-274, February.

  5. Marco Corazza & Giacomo Di Tollo & Giovanni Fasano & Raffaele Pesenti, 2015. "A novel initialization of PSO for costly portfolio selection problems," Working Papers 4, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.

    Cited by:

    1. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2021. "MURAME parameter setting for creditworthiness evaluation: data-driven optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 295-339, June.
    2. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2017. "PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs," Working Papers 04, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.

  6. Marco Corazza & Andrea Sangalli, 2015. "Q-Learning and SARSA: a comparison between two intelligent stochastic control approaches for financial trading," Working Papers 2015:15, Department of Economics, University of Venice "Ca' Foscari", revised 2015.

    Cited by:

    1. Marco Corazza & Giovanni Fasano & Riccardo Gusso & Raffaele Pesenti, 2019. "A comparison among Reinforcement Learning algorithms in financial trading systems," Working Papers 2019:33, Department of Economics, University of Venice "Ca' Foscari".
    2. Terry Lingze Meng & Matloob Khushi, 2019. "Reinforcement Learning in Financial Markets," Data, MDPI, vol. 4(3), pages 1-17, July.
    3. Yuling Huang & Kai Cui & Yunlin Song & Zongren Chen, 2023. "A Multi-Scaling Reinforcement Learning Trading System Based on Multi-Scaling Convolutional Neural Networks," Mathematics, MDPI, vol. 11(11), pages 1-19, May.

  7. Marco Corazza & Francesco Bertoluzzo, 2014. "Q-Learning-based financial trading systems with applications," Working Papers 2014:15, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Xiao-Yang Liu & Hongyang Yang & Qian Chen & Runjia Zhang & Liuqing Yang & Bowen Xiao & Christina Dan Wang, 2020. "FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance," Papers 2011.09607, arXiv.org, revised Mar 2022.
    2. Taylan Kabbani & Ekrem Duman, 2022. "Deep Reinforcement Learning Approach for Trading Automation in The Stock Market," Papers 2208.07165, arXiv.org.
    3. Fischer, Thomas G., 2018. "Reinforcement learning in financial markets - a survey," FAU Discussion Papers in Economics 12/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

  8. Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.

    Cited by:

    1. Corazza, Marco & Funari, Stefania & Gusso, Riccardo, 2016. "Creditworthiness evaluation of Italian SMEs at the beginning of the 2007–2008 crisis: An MCDA approach," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 1-26.
    2. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2021. "MURAME parameter setting for creditworthiness evaluation: data-driven optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 295-339, June.
    3. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2017. "PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs," Working Papers 04, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.

  9. Francesco Bertoluzzo & Marco Corazza, 2012. "Reinforcement Learning for automatic financial trading: Introduction and some applications," Working Papers 2012:33, Department of Economics, University of Venice "Ca' Foscari", revised 2012.

    Cited by:

    1. Hyungjun Park & Min Kyu Sim & Dong Gu Choi, 2019. "An intelligent financial portfolio trading strategy using deep Q-learning," Papers 1907.03665, arXiv.org, revised Nov 2019.
    2. Caiyu Jiang & Jianhua Wang, 2022. "A Portfolio Model with Risk Control Policy Based on Deep Reinforcement Learning," Mathematics, MDPI, vol. 11(1), pages 1-16, December.
    3. Haoqian Li & Thomas Lau, 2019. "Reinforcement Learning: Prediction, Control and Value Function Approximation," Papers 1908.10771, arXiv.org.
    4. Petrus Strydom, 2017. "Funding optimization for a bank integrating credit and liquidity risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-1.
    5. Fischer, Thomas G., 2018. "Reinforcement learning in financial markets - a survey," FAU Discussion Papers in Economics 12/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    6. Ariel Neufeld & Julian Sester & Mario v{S}iki'c, 2022. "Markov Decision Processes under Model Uncertainty," Papers 2206.06109, arXiv.org, revised Jan 2023.
    7. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
    8. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
    9. Marco Corazza & Andrea Sangalli, 2015. "Q-Learning and SARSA: a comparison between two intelligent stochastic control approaches for financial trading," Working Papers 2015:15, Department of Economics, University of Venice "Ca' Foscari", revised 2015.
    10. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019. "Deep Reinforcement Learning for Trading," Papers 1911.10107, arXiv.org.
    11. Xiao-Yang Liu & Zhuoran Xiong & Shan Zhong & Hongyang Yang & Anwar Walid, 2018. "Practical Deep Reinforcement Learning Approach for Stock Trading," Papers 1811.07522, arXiv.org, revised Jul 2022.

  10. Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2011. "Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem," Working Papers 2011_10, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Honghao Zhang & Yong Peng & Guangdong Tian & Danqi Wang & Pengpeng Xie, 2017. "Green material selection for sustainability: A hybrid MCDM approach," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-26, May.
    2. Ren‐Raw Chen & Wiliam Kaihua Huang & Shih‐Kuo Yeh, 2021. "Particle swarm optimization approach to portfolio construction," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(3), pages 182-194, July.
    3. K. Liagkouras & K. Metaxiotis, 2018. "A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem," Annals of Operations Research, Springer, vol. 267(1), pages 281-319, August.
    4. Alejandro Estrada-Moreno & Albert Ferrer & Angel A. Juan & Javier Panadero & Adil Bagirov, 2020. "The Non-Smooth and Bi-Objective Team Orienteering Problem with Soft Constraints," Mathematics, MDPI, vol. 8(9), pages 1-16, September.
    5. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2021. "MURAME parameter setting for creditworthiness evaluation: data-driven optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 295-339, June.
    6. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2017. "PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs," Working Papers 04, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    7. Marco Corazza & Giacomo Di Tollo & Giovanni Fasano & Raffaele Pesenti, 2015. "A novel initialization of PSO for costly portfolio selection problems," Working Papers 4, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    8. Marco Corazza & Giacomo di Tollo & Giovanni Fasano & Raffaele Pesenti, 2021. "A novel hybrid PSO-based metaheuristic for costly portfolio selection problems," Annals of Operations Research, Springer, vol. 304(1), pages 109-137, September.
    9. Keshvari, Abolfazl, 2017. "A penalized method for multivariate concave least squares with application to productivity analysis," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1016-1029.

  11. Marta Cardin & Marco Corazza & Stefania Funari & Silvio Giove, 2011. "A fuzzy-based scoring rule for author ranking," Working Papers 2011_11, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

  12. Marco Corazza & Stefania Funari & Federico Siviero, 2008. "An MCDA-based Approach for Creditworthiness Assessment," Working Papers 177, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.

  13. Francesco Bertoluzzo & Marco Corazza, 2006. "Financial trading systems: Is recurrent reinforcement the via?," Working Papers 141, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Jin Zhang & Dietmar Maringer, 2016. "Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 551-567, April.
    2. Marco Corazza & Francesco Bertoluzzo, 2014. "Q-Learning-based financial trading systems with applications," Working Papers 2014:15, Department of Economics, University of Venice "Ca' Foscari".

Articles

  1. Gianluca Anese & Marco Corazza & Michele Costola & Loriana Pelizzon, 2023. "Impact of public news sentiment on stock market index return and volatility," Computational Management Science, Springer, vol. 20(1), pages 1-36, December.
    See citations under working paper version above.
  2. Marco Corazza & Davide De March & Giacomo di Tollo, 2021. "Design of adaptive Elman networks for credit risk assessment," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 323-340, February.

    Cited by:

    1. Pegah Eslamieh & Mehdi Shajari & Ahmad Nickabadi, 2023. "User2Vec: A Novel Representation for the Information of the Social Networks for Stock Market Prediction Using Convolutional and Recurrent Neural Networks," Mathematics, MDPI, vol. 11(13), pages 1-26, July.
    2. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
    3. Nicola Camatti & Giacomo Tollo & Gianni Filograsso & Sara Ghilardi, 2024. "Predicting Airbnb pricing: a comparative analysis of artificial intelligence and traditional approaches," Computational Management Science, Springer, vol. 21(1), pages 1-25, June.
    4. Giacomo Tollo & Joseph Andria & Stoyan Tanev & Sara Ghilardi, 2024. "Integrating the gender dimension to disclose the degree of businesses’ articulation of innovation," Journal of Computational Social Science, Springer, vol. 7(1), pages 87-123, April.

  3. Marco Corazza & Giacomo di Tollo & Giovanni Fasano & Raffaele Pesenti, 2021. "A novel hybrid PSO-based metaheuristic for costly portfolio selection problems," Annals of Operations Research, Springer, vol. 304(1), pages 109-137, September.

    Cited by:

    1. Jaydip Sen & Subhasis Dasgupta, 2023. "Portfolio Optimization: A Comparative Study," Papers 2307.05048, arXiv.org.
    2. Jaydip Sen & Abhishek Dutta, 2022. "Design and Analysis of Optimized Portfolios for Selected Sectors of the Indian Stock Market," Papers 2210.03943, arXiv.org.
    3. Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz, 2024. "A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures," Computational Management Science, Springer, vol. 21(1), pages 1-29, June.
    4. Jaydip Sen & Abhishek Dutta, 2022. "A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks," Papers 2210.00984, arXiv.org.
    5. Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
    6. Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022. "Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks," Papers 2202.02728, arXiv.org.
    7. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Stock Portfolio Optimization Using a Deep Learning LSTM Model," Papers 2111.04709, arXiv.org.

  4. Elio Canestrelli & Marco Corazza & Giuseppe Nadai & Raffaele Pesenti, 2017. "Managing the Ship Movements in the Port of Venice," Networks and Spatial Economics, Springer, vol. 17(3), pages 861-887, September.

    Cited by:

    1. Rodrigo Mesa-Arango & Badri Narayanan & Satish V. Ukkusuri, 2019. "The Impact of International Crises on Maritime Transportation Based Global Value Chains," Networks and Spatial Economics, Springer, vol. 19(2), pages 381-408, June.
    2. Xiaoqian Sun & Sebastian Wandelt & Mark Hansen, 2020. "Airport Road Access at Planet Scale using Population Grid and Openstreetmap," Networks and Spatial Economics, Springer, vol. 20(1), pages 273-299, March.
    3. Shangyao Yan & Chung-Cheng Lu & Jun-Hsiao Hsieh & Han-Chun Lin, 2019. "A Dynamic and Flexible Berth Allocation Model with Stochastic Vessel Arrival Times," Networks and Spatial Economics, Springer, vol. 19(3), pages 903-927, September.
    4. T. Edward Yu & Bijay P. Sharma & Burton C. English, 2019. "Investigating Lock Delay on the Upper Mississippi River: a Spatial Panel Analysis," Networks and Spatial Economics, Springer, vol. 19(1), pages 275-291, March.

  5. Corazza, Marco & Funari, Stefania & Gusso, Riccardo, 2016. "Creditworthiness evaluation of Italian SMEs at the beginning of the 2007–2008 crisis: An MCDA approach," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 1-26.

    Cited by:

    1. Francesco Ciampi & Alessandro Giannozzi & Giacomo Marzi & Edward I. Altman, 2021. "Rethinking SME default prediction: a systematic literature review and future perspectives," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(3), pages 2141-2188, March.
    2. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2021. "MURAME parameter setting for creditworthiness evaluation: data-driven optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 295-339, June.
    3. Maria A. S. Xavier & Fernando A. F. Ferreira & José P. Esperança, 2021. "An intuition-based evaluation framework for social credit applications," Annals of Operations Research, Springer, vol. 296(1), pages 571-590, January.
    4. Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2017. "PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs," Working Papers 04, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    5. Bitetto, Alessandro & Cerchiello, Paola & Filomeni, Stefano & Tanda, Alessandra & Tarantino, Barbara, 2023. "Machine learning and credit risk: Empirical evidence from small- and mid-sized businesses," Socio-Economic Planning Sciences, Elsevier, vol. 90(C).
    6. Eggers, Fabian, 2020. "Masters of disasters? Challenges and opportunities for SMEs in times of crisis," Journal of Business Research, Elsevier, vol. 116(C), pages 199-208.

  6. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 1-23, January.

    Cited by:

    1. Rui Menezes & Andreia Dionísio & Hossein Hassanic, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
    2. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
    3. Marco Corazza & Elisa Scalco, 2015. "Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index," Working Papers 2015:11, Department of Economics, University of Venice "Ca' Foscari".
    4. Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
    5. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).

  7. Corazza, Marco & Favaretto, Daniela, 2007. "On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem," European Journal of Operational Research, Elsevier, vol. 176(3), pages 1947-1960, February.

    Cited by:

    1. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
    2. Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
    3. Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado, 2015. "Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer," Papers 1508.06182, arXiv.org, revised Aug 2016.
    4. Castro, F. & Gago, J. & Hartillo, I. & Puerto, J. & Ucha, J.M., 2011. "An algebraic approach to integer portfolio problems," European Journal of Operational Research, Elsevier, vol. 210(3), pages 647-659, May.
    5. Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
    6. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
    7. Kyle Steinhauer & Takahisa Fukadai & Sho Yoshida, 2020. "Solving the Optimal Trading Trajectory Problem Using Simulated Bifurcation," Papers 2009.08412, arXiv.org.
    8. Liu, Yong-Jun & Zhang, Wei-Guo, 2013. "Fuzzy portfolio optimization model under real constraints," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 704-711.
    9. P. Bonami & M. A. Lejeune, 2009. "An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints," Operations Research, INFORMS, vol. 57(3), pages 650-670, June.
    10. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
    11. Jongbin Jung & Seongmoon Kim, 2017. "Developing a dynamic portfolio selection model with a self-adjusted rebalancing method," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 766-779, July.
    12. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    13. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    14. Fereshteh Vaezi & Seyed Jafar Sadjadi & Ahmad Makui, 2019. "A portfolio selection model based on the knapsack problem under uncertainty," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.
    15. Akhter Mohiuddin Rather, 2012. "Portfolio selection using mean-risk model and mean-risk diversification model," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(3), pages 324-342.

  8. Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.

    Cited by:

    1. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
    2. Luigi Buzzacchi & Luca Ghezzi, 2023. "Mean Reversion Lessens Mean Blur: Evidence from the S&P Composite Index," IJFS, MDPI, vol. 11(1), pages 1-13, January.
    3. Sutthisit Jamdee & Cornelis A. Los, 2005. "Long Memory Options: LM Evidence and Simulations," Finance 0505003, University Library of Munich, Germany.
    4. Mitra, S.K. & Bawa, Jaslene, 2017. "Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 124-135.
    5. Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.
    6. Rossitsa Yalamova, 2012. "Fractal Measures in Market Microstructure Research," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 137-154, March - J.
    7. Cerqueti, Roy & Fanelli, Viviana & Rotundo, Giulia, 2019. "Long run analysis of crude oil portfolios," Energy Economics, Elsevier, vol. 79(C), pages 183-205.
    8. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis And The Global Financial Crisis: Scaling, Investment Horizons And Liquidity," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-13.
    9. Truong Ngoc Cuong & Hwan-Seong Kim & Le Ngoc Bao Long & Sam-Sang You, 2024. "Seaport profit analysis and efficient management strategies under stochastic disruptions," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 26(2), pages 212-240, June.
    10. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
    11. Truong Ngoc Cuong & Le Ngoc Bao Long & Hwan-Seong Kim & Sam-Sang You, 2023. "Data analytics and throughput forecasting in port management systems against disruptions: a case study of Busan Port," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 25(1), pages 61-89, March.
    12. Bo Qian & Khaled Rasheed, 2010. "Foreign exchange market prediction with multiple classifiers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(3), pages 271-284.
    13. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    14. Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, University Library of Munich, Germany.
    15. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    16. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    17. Katarzyna Czech & Łukasz Pietrych, 2021. "The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches," Risks, MDPI, vol. 9(8), pages 1-17, August.
    18. Truong Ngoc Cuong & Sam-Sang You & Le Ngoc Bao Long & Hwan-Seong Kim, 2022. "Seaport Resilience Analysis and Throughput Forecast Using a Deep Learning Approach: A Case Study of Busan Port," Sustainability, MDPI, vol. 14(21), pages 1-25, October.
    19. Roy Cerqueti & Viviana Fanelli, 2021. "Long memory and crude oil’s price predictability," Annals of Operations Research, Springer, vol. 299(1), pages 895-906, April.
    20. Samit Paul, 2020. "Time Varying Efficiency in Indian Sectors: An Event Study on Demonetization," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 103-127, March.
    21. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  9. Marco Corazza & A.G. Malliaris & Carla Nardelli, 1997. "Searching for fractal structure in agricultural futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 433-473, June.

    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
    3. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
    4. Hyun Jin & Darren Frechette, 2004. "A new t-test for the R/S analysis and long memory in agricultural commodity prices," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 661-667.
    5. Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.
    6. Turvey, Calum G. & Power, Gabriel J., 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Jean-Christophe Statnik & David Verstraete, 2015. "Price dynamics in agricultural commodity markets: a comparison of European and US markets," Empirical Economics, Springer, vol. 48(3), pages 1103-1117, May.
    8. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary University of London, School of Economics and Finance.
    9. He, Ling-Yun & Chen, Shu-Peng, 2011. "Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets," Chaos, Solitons & Fractals, Elsevier, vol. 44(6), pages 355-361.
    10. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
    11. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
    12. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.).
    13. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
    14. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
    15. Liesivaara, Petri & Myyrä, Sami, 2016. "Income stabilisation tool and the pig gross margin index for the Finnish pig sector," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236360, Agricultural Economics Society.
    16. Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
    17. Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.
    18. He, Ling-Yun & Chen, Shu-Peng, 2011. "Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 297-308.
    19. Liu, Qiang & Xiang, Yun & Zhao, Yonghong, 2019. "An outperforming investment strategy under fractional Brownian motion," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 505-515.
    20. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
    21. Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
    22. Robert J. Elliott & Tak Kuen Siu, 2014. "Strategic Asset Allocation Under a Fractional Hidden Markov Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 609-626, September.
    23. Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    24. Batten, Jonathan A. & Ellis, Craig & Fetherston, Thomas A., 2005. "Return anomalies on the Nikkei: Are they statistical illusions?," Chaos, Solitons & Fractals, Elsevier, vol. 23(4), pages 1125-1136.
    25. Power, Gabriel J. & Turvey, Calum G., 2010. "Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 79-90.
    26. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    27. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
    28. Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.
    29. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    30. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
    31. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
    32. Turvey, Calum G., 2007. "A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 155-165.
    33. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    34. Ji, Qiangbiao & Zhang, Xin & Zhu, Yingming, 2020. "Multifractal analysis of the impact of US–China trade friction on US and China soy futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).

Chapters

  1. Francesco Lisi & Marco Corazza, 2008. "Clustering Financial Data for Mutual Fund Management," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 157-164, Springer.

    Cited by:

    1. Jochen Papenbrock & Peter Schwendner, 2015. "Handling risk-on/risk-off dynamics with correlation regimes and correlation networks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 125-147, May.
    2. Jin Zhang & Dietmar Maringer, 2010. "Asset Allocation under Hierarchical Clustering," Working Papers 036, COMISEF.

  2. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.

Books

    Sorry, no citations of books recorded.
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