Title:
|
Dr (Ph. D)
|
|
Position:
|
Research fellow
DIBE - Università di Genova
Via Opera Pia 11a
I-16145 Genova
Italy
|
|
Contact:
|
Tel: +39 010 3532797
Fax: +39 010 3532290
Email: raberto@dibe.unige.it
Email: raberto@iol.it
|
|
Activities:
|
|
|
|
Research:
|
- agent-based artificial stock markets
- advanced econometric tools for modelling large portfolios
in asset management:
- clustering techniques
- cointegration and state-space models
- factor models
- time-series forecasting in electricity markets
|
|
|
Papers:
|
-
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.
-
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.
-
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.
-
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.
-
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.
-
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.
-
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.
-
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.
-
G. Cuniberti, M. Raberto, E. Scalas.
Correlations in the bond-future market.
Physica A 269 No. 1, July 1999, pp. 90-97.
| | | |