Sergio Focardi | Pôle Universitaire Léonard de Vinci (original) (raw)

Papers by Sergio Focardi

La ricerca di insiemi di serie storiche caratterizzate da pattern comuniè un importante problema ... more La ricerca di insiemi di serie storiche caratterizzate da pattern comuniè un importante problema statistico che si presenta in molti campi applicativi che vanno dall'economia e la finanza alle comunicazioni ed alla biomatematica. Facendo appello ad una nozione intuitiva di clustering di serie storiche, vengono presentate evidenze di clustering in problemi quali clustering di serie economiche per la definizione delle regioni economiche degli USA, clustering di comportamenti legati al credito per la creazioni di rating, clustering di serie di prezzi di azioni per la definizione di strategie d'investimento. La determinazione di cluster richiede la definizione di un criterio di similarità, o distanza, fra serie. Viene discussa la problematica della definizione di una metrica fra serie e vengono presentati alcuni criteri di distanza fra serie storiche utilizzati in pratica e proposti nella letteratura, collocando il clustering in un insieme coerente di metodologie statistiche per l'analisi delle serie storiche. Vengono poi discussi i problemi computazionali associati al clustering delle serie storiche. Vengono illustrati dati comparativi relativi al carico computazionale del clustering di vari insiemi di serie storiche, mostrando che la ricerca di cluster di serie finanziarie lunghe porta a problemi computazionalmente molto onerosi.

John Wiley & Sons, Inc. eBooks, Dec 6, 2011

Elsevier eBooks, 2017

We consider the integral of fractional Brownian motion (IFBM) and its functionals ξT on the inter... more We consider the integral of fractional Brownian motion (IFBM) and its functionals ξT on the intervals (0, T) and (−T, T) of the following types: the maximum MT , the position of the maximum, the occupation time above zero etc. We show how the asymptotics of P (ξT < 1) = pT , T → ∞, is related to the Hausdorff dimension of Lagrangian regular points for the inviscid Burgers equation with FBM initial velocity. We produce computational evidence in favor of a power asymptotics for pT. The data do not reject the hypothesis that the exponent θ of the power law is related to the similarity parameter H of fractional Brownian motion as follows: θ = −(1 − H) for the interval (-T,T) and θ = −H(1 − H) for (0, T). The point 0 is special in that IFBM and its derivative both vanish there.

Transformations in banking, finance and regulation, Mar 1, 2023

Frontiers in Applied Mathematics and Statistics, Oct 8, 2015

We introduce an original application of Suprathreshold Stochastic Resonance (SSR). Given a noise-... more We introduce an original application of Suprathreshold Stochastic Resonance (SSR). Given a noise-corrupted signal, we induce SSR in effort to filter the effect of the corrupting noise. This will yield a clearer version of the signal we desire to detect. We propose a financial application that can help forecast returns generated by big orders. We assume there exist return signals that correspond to big orders, which are hidden by noise from small scale traders. We induce SSR in an attempt to reveal these return signals.

SSRN Electronic Journal, 2018

CFA Institute Research Foundation is a not-for-profit organization established to promote the dev... more CFA Institute Research Foundation is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither CFA Institute Research Foundation, CFA Institute, nor the publication's editorial staff is responsible for facts and opinions presented in this publication. This publication reflects the views of the author(s) and does not represent the official views of CFA Institute Research Foundation. CFA®, Chartered Financial Analyst®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and the Guide for the Use of CFA Institute Marks, please visit our website at www.cfainstitute.org.

Frontiers in Applied Mathematics and Statistics, Jul 21, 2015

Today's mainstream economics, embodied in Dynamic Stochastic General Equilibrium (DSGE) models, c... more Today's mainstream economics, embodied in Dynamic Stochastic General Equilibrium (DSGE) models, cannot be considered an empirical science in the modern sense of the term: it is not based on empirical data, is not descriptive of the real-world economy, and has little forecasting power. In this paper, I begin with a review of the weaknesses of neoclassical economic theory and argue for a truly scientific theory based on data, the sine qua non of bringing economics into the realm of an empirical science. But I suggest that, before embarking on this endeavor, we first need to analyze the epistemological problems of economics to understand what research questions we can reasonably ask our theory to address. I then discuss new approaches which hold the promise of bringing economics closer to being an empirical science. Among the approaches discussed are the study of economies as complex systems, econometrics and econophysics, artificial economics made up of multiple interacting agents as well as attempts being made inside present main stream theory to more closely align the theory with the real world.

Lecture Notes in Economics and Mathematical Systems, 2003

Lecture Notes in Economics and Mathematical Systems, 2000

This paper proposes an extension of the inventory production model developed in Bak, Chen, Schein... more This paper proposes an extension of the inventory production model developed in Bak, Chen, Scheinkman, and Woodford (BCSW, 1993). We show how the Pareto-Levy type of aggregate distributions emerge in global models as well as in local models. We extend the BCSW model by allowing random connections between firms. The distribution of production in the economy follows a power law probability distribution. In addition, the long-run frequency distribution follows the same law.

In this paper, we study the long-run wealth distribution of agents with different trading strateg... more In this paper, we study the long-run wealth distribution of agents with different trading strategies in the framework of the Genoa Artificial Stock Market. The Genoa market is an agent-based simulated market able to reproduce the main stylised facts observed in financial markets, ie, fat-tailed distribution of returns and volatility clustering. Various populations of traders have been introduced in athermal bath&amp;amp;amp;amp;amp;#x27;made by random traders who make random buy and sell decisions constrained by the available limited resources and ...

The Journal of Risk Finance, 2005

Purpose – This paper seeks to discuss a modeling tool for explaining credit-risk contagion in cre... more Purpose – This paper seeks to discuss a modeling tool for explaining credit-risk contagion in credit portfolios. Design/methodology/approach – Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics. Findings – ACD models are self-exciting point processes that offer a good representation of cascading phenomena due to bankruptcies. In other words, they model how a credit event might trigger other credit events. The model herein discussed is proposed as a robust global model of the aggregate loss of a credit portfolio; only a small number of parameters are required to estimate aggregate loss. Originality/value – Discusses a modeling tool for explaining credit-risk contagion in credit portfolios.

The Journal of Risk Finance, 2003

Fat‐tailed distributions have been found in many financial and economic variables ranging from fo... more Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

Quantitative Finance, 2008

Journal of Post Keynesian Economics, 2007

There are many conflicting interpretations of security prices and price determination in financia... more There are many conflicting interpretations of security prices and price determination in financial markets. They range from academic theories based on efficient markets and rational expectations hypotheses, to more traditional methods of fundamental analysis, to theories of &amp;quot;value&amp;quot; and &amp;quot;growth&amp;quot; investing, to chart-reading and technical analysis, to notions such as &amp;quot;reflexivity.&amp;quot; These interpretations are logically inconsistent with each other, but

Journal of Pension Economics and Finance, 2005

This paper takes a look at the modeling side of pension fund management. It is based on interview... more This paper takes a look at the modeling side of pension fund management. It is based on interviews with pension fund managers, regulators, consultants, and academics in four countries – the Netherlands, Switzerland, the United Kingdom, and the United States. The objective was to understand, through the experience of market participants, the role of modeling in managing defined-benefit pension funds. The 28 defined-benefit pension funds participating in the study have a total of €334 billion ($436 billion) assets under management. The findings of our study show that modeling is now considered an indispensable tool by many market participants. The need to manage the risk inherent in defined-benefit pension plans is the key motivation behind the growing use of modeling. In the Netherlands, for example, where private-sector plans did not experience serious underfunding problems after the 2000 market crash, the use of modeling is widespread and well-integrated in the decision-making proc...

Accounting and Finance Research

In this paper we analyze the existence of cointegrating relationships between Bitcoin, S&P 500, a... more In this paper we analyze the existence of cointegrating relationships between Bitcoin, S&P 500, and the quantity of money M2. We perform our analysis with and without applying time warping pre-processing. In all cases we find strong evidence that, in the period 2016-2021 the three time series show two cointegrating relationships and therefore share a common stochastic trend. In addition, a low correlation between Bitcoin and S&P 500 is detected. These finding justify the increased interest of investors in Bitcoin as an alternative asset class. The economic interpretation is that the stock valuation is primarily determined by financial phenomena, in particular the availability of large quantity of money. Money supporting investment is due both to the actions of Quantitative Easing and to the exchange of creditor/debtor role that took place between households and firms. The price of both Bitcoin and stocks is increasingly influenced by the amount of money in circulation and follows th...

The Basics of Financial Econometrics, 2014

There are various characterizations of fat tails in the literature. In finance, typically the tai... more There are various characterizations of fat tails in the literature. In finance, typically the tails that are heavier than those of the exponential distribution are considered "heavy."

The Journal of Portfolio Management, 2021

Environmental issues including mitigating climate change, reducing pollution, and halting exhaust... more Environmental issues including mitigating climate change, reducing pollution, and halting exhaustion of natural resources are no longer marginal cultural issues but have become parts of serious government plans with substantial funding in both the United States and Europe. Government plans explicitly call for sustainable growth with no (or minimal) use of resources. In this article, the authors argue that sustainable growth requires shifting to qualitative growth. This is more than a change in technology because it implies changes in products and services and therefore a change in demand. It also implies developing an economic theory able to understand and eventually model qualitative growth. Practical and theoretical changes will affect asset management. Investors will have to cope with new types of risk, both exogenous and endogenous, and will need to understand the cultural changes implied by sustainable growth. Although environmental issues, per se, will not affect returns, financial sustainability might imply a reduction of inequalities and therefore affect returns. TOPICS: ESG investing, developed markets, tail risks, performance measurement Key Findings ▪ Government plans for sustainable growth will require more than a change in technology; they will also require a shift to qualitative growth. ▪ An economic theory to understand and eventually model qualitative growth is needed. ▪ Investors will have to cope with new types of risk and need to understand the cultural changes implied by sustainable growth.