Paolo Pellizzari | Università Ca' Foscari Venezia (original) (raw)
Papers by Paolo Pellizzari
Advances in Complex Systems, 2015
We describe in this paper a variance reduction method based on control variates. The technique us... more We describe in this paper a variance reduction method based on control variates. The technique uses the fact that, if all stochastic assets but one are replaced in the payoff function by their mean, the resulting integral can most often be evaluated in closed form. We exploit this idea by applying the univariate payoff as control variate and develop a general Monte Carlo procedure, called Mean Monte Carlo (MMC). The method is then tested on a variety of multifactor options and compared to other Monte Carlo approaches or numerical techniques. The method is of easy and broad applicability and gives good results especially for low to medium dimension and in high volatility environments.
Advances in Intelligent Systems and Computing, 2015
Lecture Notes in Economics and Mathematical Systems, 2013
European Journal of Gastroenterology & Hepatology, 2015
Nonalcoholic fatty liver disease is very frequent in both type 2 diabetes mellitus (T2DM) and the... more Nonalcoholic fatty liver disease is very frequent in both type 2 diabetes mellitus (T2DM) and the metabolic syndrome (MS), which share clinical and metabolic characteristics. Whether and to which extent these characteristics can predict the degree of liver steatosis are not entirely clear. We determined liver fat (divided into four classes) by standard sonographic images, and clinical and biochemical variables, in 60 consecutive patients with T2DM and with features of the MS. We examined both simple and multiple correlations between the degree of liver steatosis and the variables measured. Increased liver fat (defined as >5% of liver mass) was detected in 88% of the participants. Using simple regression analysis, the class of steatosis correlated positively with BMI, waist, number of factors of the MS, sex (female>male), diastolic blood pressure, insulin resistance, metabolic control, inflammation, C-reactive protein, fibrinogen, and leptin, whereas it correlated negatively with high-density lipoprotein-cholesterol. Using multiple regression analysis, only metabolic control, insulin resistance and/or plasma insulin, and waist, remained correlated significantly with the degree of steatosis. Using an ordered probit statistical model, metabolic control, waist, and insulin concentration predicted the steatosis class in 58% of the cases (≤97% with allowance for one class in either excess or deficit). In patients with T2DM, the extent of liver steatosis is correlated with variables associated with metabolic control and features of the MS. The combination of metabolic control, visceral obesity, and insulin resistance may reasonably predict the degree of liver steatosis in T2DM.
Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr), 1997
Abstract The authors develop a fuzzy local approach to model and forecast time series. The method... more Abstract The authors develop a fuzzy local approach to model and forecast time series. The method appears to be flexible, both in modeling nonlinearities and in coping with weak nonstationarities. They estimate local linear approximation (LLA) by a fuzzy weighted regression. They test the model on data from a simulated noisy chaotic map and on two real financial time series, namely FIAT daily stock returns and USD-LIT exchange return rates. The LLA produces very accurate forecasts and is able to identify the correct order of the ...
Journal of Economic Interaction and Coordination, 2015
Lecture Notes in Economics and Mathematical Systems, 2012
Abstract: This paper studies the profile of cooperation emerging in a context in which agents may... more Abstract: This paper studies the profile of cooperation emerging in a context in which agents may choose to join one of two groups or stay on their own, in a world where similarity across peers matters. In particular, we investigate the role of heterogeneity in individual contributions, of the level of information and of in-group processes of convergence in values (sense making) in fostering higher levels of cooperation, assessed through higher participation rates to groups. Starting from the result that more heterogeneity reduces ...
Lecture Notes in Economics and Mathematical Systems, 2013
SSRN Electronic Journal, 2000
Understanding what motivates and fosters collective actions has major implications in the regulat... more Understanding what motivates and fosters collective actions has major implications in the regulation and design of public policies, in the governance and management of organizations and has long attracted the interests of scholars and practitioners in economics and business. If trust and reciprocity certainly qualify as possible drivers of collective actions in some specific environments, as the uncertainty regarding the interaction structure increases, they are not likely to be able to explain the emergence of stable interacting groups. This paper deals with how groups of agents emerge in a dynamic contest characterized by lack of formal structure and uncertainty regarding the possible individual outcomes. Through the development of a stylized agent-based model we aim to show how similarity in values can be a successful driver for cooperation. A second-version of the model, where memory of past interactions has a role, introduces further dynamics and is able to create successful and relatively stable groups. The model nicely fits some stylized facts and sheds some light on potential avenues for the resolution of social dilemmas, such as contribution to public goods, addressing the role of perceived similarity in nurturing the cooperative process.
Physica A: Statistical Mechanics and its Applications, 2007
We study a modified version of the coordination game presented in , where a representative select... more We study a modified version of the coordination game presented in , where a representative selection dynamics was proposed to explain experimental data. Assuming that the agents adjust their moves in the direction of the best response, we derive a formal analysis of the stability of the equilibria. We show by simulation that the interior equilibrium is robustly reached even when considerable heterogeneity is allowed among the agents. Our truly multi-agent game is capable of approximating quite well both the "median" game convergence and the experimental data. JEL classification numbers: C71, D83, C63, C15. *
Lecture Notes in Economics and Mathematical Systems, 2010
Artificial economics aims to provide a generative approach to understanding problems in economics... more Artificial economics aims to provide a generative approach to understanding problems in economics and social sciences. It is based on the consistent use of agent-based models and computational techniques. It encompasses a rich variety of techniques that generalize numerical analysis, mathematical programming, and micro-simulations. The peer-reviewed contributions in this volume address applications of artificial economics to markets and trading, auctions, networks, management, industry sectors, macroeconomics, and ...
SSRN Electronic Journal, 2000
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA).... more We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs, that trade sequentially in random order under time constraints and are not aware of the type of the other agents in their session. We assume that they submit limit orders using a simple linear function of the current best quotes (ask and bid). In equilibrium, found using an Evolution Strategies algorithm, impatient agents do not always submit market orders, as in other models of CDAs, and agents take into account both sides of the book in their optimal decision. Finally, we provide a description of the price and of the \small" set of states of the equilibrium book.
SSRN Electronic Journal, 2000
ABSTRACT A trader's execution strategy has a large effect on his profits. Identifying an ... more ABSTRACT A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the first case actions only depend on a linear combination of the best bid and ask. In the second model traders adopt the Markov perfect equilibrium strategies of the trading game. Both models are analytically intractable and so optimal strategies are identified by the use of numerical techniques. Using the Markov model we show that, beyond the best quotes, additional information has little effect on either the behaviour of traders or the dynamics of the market. The remarkable similarity of the results obtained by the linear model indicates that the optimal strategy may be reasonably approximated by a linear function. We conclude that whilst the order book market and strategy space of traders are potentially very large and complex, optimal strategies may be relatively simple and based on a minimal information set.
Advances in Complex Systems, 2015
We describe in this paper a variance reduction method based on control variates. The technique us... more We describe in this paper a variance reduction method based on control variates. The technique uses the fact that, if all stochastic assets but one are replaced in the payoff function by their mean, the resulting integral can most often be evaluated in closed form. We exploit this idea by applying the univariate payoff as control variate and develop a general Monte Carlo procedure, called Mean Monte Carlo (MMC). The method is then tested on a variety of multifactor options and compared to other Monte Carlo approaches or numerical techniques. The method is of easy and broad applicability and gives good results especially for low to medium dimension and in high volatility environments.
Advances in Intelligent Systems and Computing, 2015
Lecture Notes in Economics and Mathematical Systems, 2013
European Journal of Gastroenterology & Hepatology, 2015
Nonalcoholic fatty liver disease is very frequent in both type 2 diabetes mellitus (T2DM) and the... more Nonalcoholic fatty liver disease is very frequent in both type 2 diabetes mellitus (T2DM) and the metabolic syndrome (MS), which share clinical and metabolic characteristics. Whether and to which extent these characteristics can predict the degree of liver steatosis are not entirely clear. We determined liver fat (divided into four classes) by standard sonographic images, and clinical and biochemical variables, in 60 consecutive patients with T2DM and with features of the MS. We examined both simple and multiple correlations between the degree of liver steatosis and the variables measured. Increased liver fat (defined as >5% of liver mass) was detected in 88% of the participants. Using simple regression analysis, the class of steatosis correlated positively with BMI, waist, number of factors of the MS, sex (female>male), diastolic blood pressure, insulin resistance, metabolic control, inflammation, C-reactive protein, fibrinogen, and leptin, whereas it correlated negatively with high-density lipoprotein-cholesterol. Using multiple regression analysis, only metabolic control, insulin resistance and/or plasma insulin, and waist, remained correlated significantly with the degree of steatosis. Using an ordered probit statistical model, metabolic control, waist, and insulin concentration predicted the steatosis class in 58% of the cases (≤97% with allowance for one class in either excess or deficit). In patients with T2DM, the extent of liver steatosis is correlated with variables associated with metabolic control and features of the MS. The combination of metabolic control, visceral obesity, and insulin resistance may reasonably predict the degree of liver steatosis in T2DM.
Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr), 1997
Abstract The authors develop a fuzzy local approach to model and forecast time series. The method... more Abstract The authors develop a fuzzy local approach to model and forecast time series. The method appears to be flexible, both in modeling nonlinearities and in coping with weak nonstationarities. They estimate local linear approximation (LLA) by a fuzzy weighted regression. They test the model on data from a simulated noisy chaotic map and on two real financial time series, namely FIAT daily stock returns and USD-LIT exchange return rates. The LLA produces very accurate forecasts and is able to identify the correct order of the ...
Journal of Economic Interaction and Coordination, 2015
Lecture Notes in Economics and Mathematical Systems, 2012
Abstract: This paper studies the profile of cooperation emerging in a context in which agents may... more Abstract: This paper studies the profile of cooperation emerging in a context in which agents may choose to join one of two groups or stay on their own, in a world where similarity across peers matters. In particular, we investigate the role of heterogeneity in individual contributions, of the level of information and of in-group processes of convergence in values (sense making) in fostering higher levels of cooperation, assessed through higher participation rates to groups. Starting from the result that more heterogeneity reduces ...
Lecture Notes in Economics and Mathematical Systems, 2013
SSRN Electronic Journal, 2000
Understanding what motivates and fosters collective actions has major implications in the regulat... more Understanding what motivates and fosters collective actions has major implications in the regulation and design of public policies, in the governance and management of organizations and has long attracted the interests of scholars and practitioners in economics and business. If trust and reciprocity certainly qualify as possible drivers of collective actions in some specific environments, as the uncertainty regarding the interaction structure increases, they are not likely to be able to explain the emergence of stable interacting groups. This paper deals with how groups of agents emerge in a dynamic contest characterized by lack of formal structure and uncertainty regarding the possible individual outcomes. Through the development of a stylized agent-based model we aim to show how similarity in values can be a successful driver for cooperation. A second-version of the model, where memory of past interactions has a role, introduces further dynamics and is able to create successful and relatively stable groups. The model nicely fits some stylized facts and sheds some light on potential avenues for the resolution of social dilemmas, such as contribution to public goods, addressing the role of perceived similarity in nurturing the cooperative process.
Physica A: Statistical Mechanics and its Applications, 2007
We study a modified version of the coordination game presented in , where a representative select... more We study a modified version of the coordination game presented in , where a representative selection dynamics was proposed to explain experimental data. Assuming that the agents adjust their moves in the direction of the best response, we derive a formal analysis of the stability of the equilibria. We show by simulation that the interior equilibrium is robustly reached even when considerable heterogeneity is allowed among the agents. Our truly multi-agent game is capable of approximating quite well both the "median" game convergence and the experimental data. JEL classification numbers: C71, D83, C63, C15. *
Lecture Notes in Economics and Mathematical Systems, 2010
Artificial economics aims to provide a generative approach to understanding problems in economics... more Artificial economics aims to provide a generative approach to understanding problems in economics and social sciences. It is based on the consistent use of agent-based models and computational techniques. It encompasses a rich variety of techniques that generalize numerical analysis, mathematical programming, and micro-simulations. The peer-reviewed contributions in this volume address applications of artificial economics to markets and trading, auctions, networks, management, industry sectors, macroeconomics, and ...
SSRN Electronic Journal, 2000
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA).... more We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs, that trade sequentially in random order under time constraints and are not aware of the type of the other agents in their session. We assume that they submit limit orders using a simple linear function of the current best quotes (ask and bid). In equilibrium, found using an Evolution Strategies algorithm, impatient agents do not always submit market orders, as in other models of CDAs, and agents take into account both sides of the book in their optimal decision. Finally, we provide a description of the price and of the \small" set of states of the equilibrium book.
SSRN Electronic Journal, 2000
ABSTRACT A trader's execution strategy has a large effect on his profits. Identifying an ... more ABSTRACT A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the first case actions only depend on a linear combination of the best bid and ask. In the second model traders adopt the Markov perfect equilibrium strategies of the trading game. Both models are analytically intractable and so optimal strategies are identified by the use of numerical techniques. Using the Markov model we show that, beyond the best quotes, additional information has little effect on either the behaviour of traders or the dynamics of the market. The remarkable similarity of the results obtained by the linear model indicates that the optimal strategy may be reasonably approximated by a linear function. We conclude that whilst the order book market and strategy space of traders are potentially very large and complex, optimal strategies may be relatively simple and based on a minimal information set.
Paolo Pellizzari, professore associato al Dipartimento di Economia dell’Università Ca’ Foscari di... more Paolo Pellizzari, professore associato al Dipartimento di Economia dell’Università Ca’ Foscari di Venezia (dopo 12 di servizio come matematico), si occupa di simulazione Monte Carlo, Economia Computazionale, mercati artificiali e didattica. Presenterà in occasione di VeneziaCamp 2012 il progetto Facebook e la matematica. Studio di un caso di utilizzo di Facebook a supporto di un corso di matematica universitario. In contrasto con altri studi, i risultati mostrano che Facebook migliora sia gli aspetti qualitativi che quantitativi dell’apprendimento.
We study the emergence of strategic behavior in double auctions with an equal number of buyers an... more We study the emergence of strategic behavior in double auctions with an equal number of buyers and sellers, under the distinct assumptions that orders are cleared simultaneously or asynchronously.
The evolution of strategic behavior is modelled as a learning process driven by a genetic algorithm. We find that, as the size of the market grows, allocative inefficiency tends to zero and performance converges to the competitive outcome, regardless of the order-clearing rule.
The main result concerns the evolution of strategic behavior as the size of the market gets larger. Under simultaneous order-clearing, only marginal traders learn to be price takers and make offers equal to their valuations/costs. Under asynchronous order-clearing, all intramarginal traders learn to be price makers and make offers equal to the competitive equilibrium price. The nature of the order-clearing rule affects in a fundamental way what kind of strategic behavior we should expect to emerge.
We model a crowd of adaptive, heterogeneous and utility maximizing taxpayers with different degre... more We model a crowd of adaptive, heterogeneous and utility maximizing taxpayers with different degrees of risk-aversion and preference for the public good. They collect imperfect information about the behavior of other agents, the level of public expenditure and the probability of audit by the government. The government has to fix the income tax rate and the fraction of individuals to control.
We show that there is an endogenous level of tax evasion that is almost not affected by reasonable rates of control. Essentially the result depends on the aggregate risk-aversion of the population and on the degree of preference for the public good. The enforcement of higher compliance rates requires unrealistic and costly large-scale audits.