Follows a list of selected published articles, books and working papers authored by researchers
collaborating with CINEF.
1. Articles in peer-reviewed journals
2. Chapters in books and proceedings
3. Working papers
4. Lectures/talks
Articles in peer-reviewed journals:
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M. Raberto, A. Teglio, S. Cincotti.
Integrating real and ¯nancial markets in an agent-based economic model: an application to monetary policy design.
Forthcoming Computational Economics No. , 2008, pp. .
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E. Guerci, S. Ivaldi, S. Cincotti.
Learning agents in an artificial power exchange: Tacit collusion, Market power and efficiency of two double-auction mechanisms..
Forthcoming Computational Economics No. , 2008, pp. .
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Eric Guerci, Stefano Ivaldi, Marco Raberto, Silvano Cincotti.
Learning oligopolisitc competition in electricity auctions.
Computational Intelligence 23 No. 2, May 2007, pp. 197–220.
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M. Raberto, A. Teglio, S. Cincotti.
A dynamic general disequilibrium model of a sequential monetary production economy.
Chaos, Solitons & Fractals 29 No. 3, August 2006, pp. 566-577.
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M. Raberto, S. Cincotti.
Analysis and simulation of a double auction artificial financial market.
Physica A 355 No. 1, September 2005, pp. 34-45.
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E. Guerci, S. Ivaldi, S. Pastore, S. Cincotti.
Modeling and implementation of an artificial electricity
market using agent-based technology.
Physica A 355 No. 1, September 2005, pp. 69-76.
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C. Dose, S. Cincotti.
Application to index and enhanced-index tracking portfolio.
Physica A 355 No. 1, September 2005, pp. 145-151.
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M. Raberto, S. Cincotti, S.M. Focardi, M. Marchesi.
Traders' Long-Run Wealth in an Artificial Financial Market.
Computational Economics 22 No. 2-3, October-December 2003, pp. 255-272.
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S. Cincotti, S.M. Focardi, M. Marchesi, M. Raberto.
Who wins? Study of long-run trader survival in an artificial stock market.
Physica A 324 No. 1-2, June 2003, pp. 227-233.
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E. Scalas, R. Gorenflo, F. Mainardi, M. Raberto.
Revisiting the derivation of the fractional diffusion equation.
Fractals 11 No. Suppl. S, February 2003, pp. 281-289.
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M. Raberto, E. Scalas, F. Mainardi.
Waiting-times and returns in high-frequency financial data: an empirical study.
Physica A 314 No. 1-4, November 2002, pp. 749-755.
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S.M. Focardi, S. Cincotti, M. Marchesi.
Self-organization and market crashes.
J Econ Behav Organ 49 No. 2, October 2002, pp. 241-267.
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S.-H. Chen, T. Lux, M. Marchesi.
Testing for non-linear structure in an artificial market.
J Econ Behav Organ 46 No. 3, November 2001, pp. 327-342.
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M. Raberto, S. Cincotti, S.M. Focardi, M. Marchesi.
Agent-based simulation of a financial market.
Physica A 299 No. 1-2, October 2001, pp. 320-328.
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T. Lux, M. Marchesi.
Volatility clustering in financial markets: a micro-simulation of interacting
agents.
Int J Theor Appl Finance 3 No. 4, 2000, pp. 675-702.
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M Raberto, G. Cuniberti, M. Riani, E. Scalas, F. Mainardi, G. Servizi.
Learning short-option valuation in the presence of rare events.
Int J Theor Appl Finance 3 No. 3, 2000, pp. 563-564.
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F. Mainardi, M. Raberto, E. Scalas, R. Gorenflo.
Fractional calculus and continuous-time finance II: the waiting-time distribution.
Physica A 287 No. 3-4, December 2000, pp. 468-481.
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M. Raberto, E. Scalas, G. Cuniberti, M. Riani.
Volatility in the Italian stock market: an empirical study.
Physica A 269 No. 1, July 1999, pp. 148-155.
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G. Cuniberti, M. Raberto, E. Scalas.
Correlations in the bond-future market.
Physica A 269 No. 1, July 1999, pp. 90-97.
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T. Lux, M. Marchesi.
Scaling and criticality in a stochastich multi-agent model of a financial market.
Nature 397 No. 11, 1999, pp. 498-500.
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S. Focardi.
Business as usual and rare events.
J Portfolio Manage No. Special Issue, May 1999, pp. 47-54.
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S. Focardi.
>From equilibrium to non-linear dynamics in investment management.
J Portfolio Manage 22 No. 4, Summer 1996, pp. 19-30.
Chapters in books and proceedings:
- S. Cincotti, L. Ponta, M. Raberto, E. Scalas.
Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism.
Proceedings of the International Conference on Noise and Fluctuations in
Econophysics and Finance,
, (forthcomimg)
The International Society for Optical Engineering, Austin, USA, 2005.
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S. Cincotti, E. Guerci, M. Raberto.
Price dynamics and market power in an agent-based power exchange.
Proceedings of the International Conference on Noise and Fluctuations in
Econophysics and Finance,
, (forthcomimg)
The International Society for Optical Engineering, Austin, USA, 2005.
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S. Cincotti, S.M. Focardi, L. Ponta, M. Raberto, G. Scalas.
The waiting-time distribution of trading activity in a double auction
artificial financial market.
Economics and Heterogeneous Interacting Agents,
A. Namatame, T. Kaizouji, Y. Aruka (Eds), (fortcomimg)
Springer-Verlag, Berlin, 2005.
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M. Raberto, S. Cincotti, C. Dose, S.M. Focardi, M. Marchesi.
Price formation in an artificial market: limit order book versus matching of
supply and demand.
Nonlinear Dynamics and Heterogenous Interacting Agents,
T. Lux, S. Reitz, E. Samanidou (Eds), (fortcomimg)
Springer-Verlag, Berlin, 2005.
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E. Scalas, S. Cincotti, C. Dose, M. Raberto.
Fraudulent agents in an artificial financial market.
Nonlinear Dynamics and Heterogenous Interacting Agents,
T. Lux, S. Reitz, E. Samanidou (Eds), (fortcomimg)
Springer-Verlag, Berlin, 2005.
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M. Marchesi, S. Cincotti, S.M. Focardi, M. Raberto.
The Genoa artificial stock market: microstructure and simulations.
Heterogenous Agents, Interactions and Economic Performance,
R. Cowan and N. Jonard (Eds), pp. 277-289.
Springer-Verlag, Berlin, 2003.
Working papers:
Lectures/talks:
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