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Paolo Pellizzari

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. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    2. Anufriev, Mikhail & Arifovic, Jasmina & Ledyard, John & Panchenko, Valentyn, 2022. "The role of information in a continuous double auction: An experiment and learning model," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).

  2. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2014. "Trade-in programs in the context of technological innovation with herding," Working Papers 04, Department of Management, Università Ca' Foscari Venezia.

    Cited by:

    1. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2015. "Optimal Policies In Two-Step Binary Games Under Social Pressure And Limited Resources," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(05n06), pages 1-16, August.
    2. Pierfrancesco Dotta & Marco Tolotti & Jorge Yepez, 2017. "Measuring Brand Awareness In A Random Utility Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-11, March.

  3. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012. "Does sharing values lead to cooperation? A similarity-based investigation," Working Papers 1, Department of Management, Università Ca' Foscari Venezia.

    Cited by:

    1. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012. "Sense making and information in an agent-based model of cooperation," Lecture Notes in Economics and Mathematical Systems, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar (ed.), Managing Market Complexity, edition 127, chapter 0, pages 127-139, Springer.

  4. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012. "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series 17, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012. "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series 18, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    2. Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.

  5. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012. "Sense making and information in an agent-based model of cooperation," Working Papers 14, Department of Management, Università Ca' Foscari Venezia.

    Cited by:

    1. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2017. "Dynamic patterns in similarity-based cooperation: an agent-based investigation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(1), pages 121-141, April.

  6. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012. "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series 18, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.
    2. Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.

  7. Paolo Pellizzari & Dino Rizzi, 2012. "Citizenship and Power in an Agent-based Model of Tax Compliance with Public Expenditure," Working Papers 2012_24, Department of Economics, University of Venice "Ca' Foscari", revised 2012.

    Cited by:

    1. Benno Torgler, 2014. "Can Tax Compliance Research Profit from Biology?," CREMA Working Paper Series 2014-08, Center for Research in Economics, Management and the Arts (CREMA).
    2. Sascha Hokamp & Götz Seibold, 2014. "Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 217-236, December.
    3. A. E. Biondo & G. Burgio & A. Pluchino & D. Puglisi, 2022. "Taxation and evasion: a dynamic model," Journal of Evolutionary Economics, Springer, vol. 32(3), pages 797-826, July.
    4. Semjén, András, 2017. "Az adózói magatartás különféle magyarázatai [Various explanations for tax compliance]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 140-184.
    5. Pickhardt, Michael & Prinz, Aloys, 2014. "Behavioral dynamics of tax evasion – A survey," Journal of Economic Psychology, Elsevier, vol. 40(C), pages 1-19.
    6. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2015. "Optimal Policies In Two-Step Binary Games Under Social Pressure And Limited Resources," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(05n06), pages 1-16, August.
    7. V.A. Molodykh, 2021. "Impact of Short-Term Exogenous Shocks on Taxpayer Behavior and Tax Evasion," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(2), pages 241-268.
    8. Florian Chávez-Juárez, 2017. "On the Role of Agent-based Modeling in the Theory of Development Economics," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 713-730, August.

  8. Paolo Pellizzari, 2012. "Facebook as an academic learning platform: A case study in Mathematics," Working Papers 2012_01, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. William T. Alpert & Oskar R. Harmon & Joseph Histen, 2012. "Online Discussion and Learning Outcomes," Working papers 2012-35, University of Connecticut, Department of Economics.

  9. Paolo Pellizzari, 2011. "Optimal trading in a limit order book using linear strategies," Working Papers 2011_16, Department of Economics, University of Venice "Ca' Foscari", revised Sep 2011.

    Cited by:

    1. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
    2. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.

  10. Shira Fano & Paolo Pellizzari, 2011. "Time-dependent trading strategies in a continuous double auction," Working Papers 2011_03, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Hugues Bersini, 2012. "UML for ABM," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(1), pages 1-9.

  11. Paolo Pellizzari & Dino Rizzi, 2011. "A Multi-Agent Model of Tax Evasion with Public Expenditure," Working Papers 2011_15, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Michael Pickhardt & Goetz Seibold, 2011. "Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model," Papers 1112.0233, arXiv.org.

  12. Ron Bird & Paolo Pellizzari & Danny Yeung, 2011. "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series 13, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Qiang Bu, 2020. "Investor Sentiment and Mutual Fund Alpha," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(1), pages 57-65, January.
    2. Michael J. O'Neill & Geoffrey J. Warren, 2019. "Evaluating fund capacity: issues and methods," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 773-800, April.
    3. Gaurav Singh Chauhan, 2019. "Performance attribution of mutual funds in India: outperformance or mis‐representation?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 383-409, April.
    4. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012. "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series 17, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

  13. Shira Fano & Marco Li Calzi & Paolo Pellizzari, 2010. "Convergence of outcomes and evolution of strategic behavior in double auctions," Working Papers 196, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Shira Fano & Marco LiCalzi & Paolo Pellizzari, 2013. "Convergence of outcomes and evolution of strategic behavior in double auctions," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 513-538, July.
    2. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    3. Florian Hauser & Marco LiCalzi, 2011. "Learning to trade in an unbalanced market," Working Papers 2, Department of Management, Università Ca' Foscari Venezia.
    4. Olga A. Rud & Jean Paul Rabanal, 2018. "Evolution of markets: a simulation with centralized, decentralized and posted offer formats," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 667-689, August.
    5. Shira Fano & Paolo Pellizzari, 2011. "Time-Dependent Trading Strategies in a Continuous Double Auction," Lecture Notes in Economics and Mathematical Systems, in: Sjoukje Osinga & Gert Jan Hofstede & Tim Verwaart (ed.), Emergent Results of Artificial Economics, pages 165-176, Springer.
    6. Paolo Pellizzari, 2011. "Optimal trading in a limit order book using linear strategies," Working Papers 2011_16, Department of Economics, University of Venice "Ca' Foscari", revised Sep 2011.
    7. Anufriev, M. & Arifovic, J. & Ledyard, D. & Panchenko, V., 2010. "Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information," CeNDEF Working Papers 10-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    8. Jakob Grazzini, 2013. "Information dissemination in an experimentally based agent-based stock market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 179-209, April.
    9. Giulio Bottazzi & Pietro Dindo, 2013. "Evolution and market behavior in economics and finance: introduction to the special issue," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 507-512, July.
    10. Anufriev, Mikhail & Arifovic, Jasmina & Ledyard, John & Panchenko, Valentyn, 2022. "The role of information in a continuous double auction: An experiment and learning model," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
    11. Ruijgrok, Matthijs, 2012. "A single-item continuous double auction game," MPRA Paper 42086, University Library of Munich, Germany.
    12. Jean Paul Rabanal & Olga A. Rabanal, 2015. "A Simulation on the Evolution of Markets: Call Market, Decentralized and Posted Offer," Working Papers 34, Peruvian Economic Association.

  14. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Post-Print hal-00727590, HAL.

    Cited by:

    1. Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2021. "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," Staff Reports 993, Federal Reserve Bank of New York.
    2. Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
    3. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
    4. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    5. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
    6. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
    7. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
    8. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
    9. Wu, Yu & Zhang, Tong, 2019. "Effects of change in commission fees on China futures market," Finance Research Letters, Elsevier, vol. 31(C), pages 54-65.
    10. Lengnick, Matthias & Wohltmann, Hans-Werner, 2010. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2010-10, Christian-Albrechts-University of Kiel, Department of Economics.
    11. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
    12. Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
    13. Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW Kiel).
    14. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    15. Stefan Kerbl, 2010. "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Papers 1011.6284, arXiv.org, revised Nov 2010.
    16. Jacopo Staccioli & Mauro Napoletano, 2021. "An agent-based model of intra-day financial markets dynamics," Post-Print halshs-03046657, HAL.
    17. Huber, Jürgen & Kleinlercher, Daniel & Kirchler, Michael, 2012. "The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1248-1266.
    18. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    19. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.
    20. Fontini, Fulvio & Sartori, Elena & Tolotti, Marco, 2016. "Are transaction taxes a cause of financial instability?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 57-70.
    21. Olivier Damette, 2016. "Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment," Post-Print hal-01601393, HAL.
    22. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
    23. Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017. "The impact of the French financial transaction tax on HFT activities and market quality," Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
    24. Thomas Hemmelgarn & Gaetan Nicodeme, 2010. "The 2008 Financial Crisis and Taxation Policy," Taxation Papers 20, Directorate General Taxation and Customs Union, European Commission.
    25. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
    26. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
    27. Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010. "The economic consequences of a Tobin tax--An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
    28. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "Assessing the impact of an EU financial transactions tax on asset volatility: An event study," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 12-24.
    29. Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
    30. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
    31. Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2017. "Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," Economic Journal, Royal Economic Society, vol. 127(605), pages 610-631, October.
    32. Huber, Jürgen & Kirchler, Michael & Kleinlercher, Daniel & Sutter, Matthias, 2014. "Market vs. Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," IZA Discussion Papers 7978, Institute of Labor Economics (IZA).
    33. Scott Mixon, 2022. "US experience with futures transaction taxes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 413-427, March.
    34. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 125-153, April.
    35. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    36. Iryna Veryzhenko, 2021. "Who gains and who loses on stock markets? Risk preferences and timing matter," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(2), pages 143-155, April.
    37. J. Rosser & Marina Rosser & Mauro Gallegati, 2012. "A Minsky-Kindleberger Perspective on the Financial Crisis," Journal of Economic Issues, Taylor & Francis Journals, vol. 46(2), pages 449-458.
    38. Xiaotao Zhang & Jing Ping & Tao Zhu & Yuelei Li & Xiong Xiong, 2016. "Are Price Limits Effective? An Examination of an Artificial Stock Market," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-21, August.
    39. Noemi Schmitt & Frank Westerhoff, 2017. "Herding behaviour and volatility clustering in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
    40. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
    41. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
    42. Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
    43. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
    44. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
    45. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
    46. Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021. "Advances in the Agent-Based Modeling of Economic and Social Behavior," MPRA Paper 107317, University Library of Munich, Germany.
    47. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
    48. Olivier Damette & Stéphane Goutte, 2015. "Tobin tax and trading volume tightening: a reassessment," Post-Print hal-01203841, HAL.
    49. Kirchler, Michael & Huber, Jürgen & Kleinlercher, Daniel, 2011. "Market microstructure matters when imposing a Tobin tax—Evidence from the lab," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 586-602.
    50. Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
    51. Iryna Veryzhenko & Lise Arena & Etienne Harb & Nathalie Oriol, 2017. "Time to Slow Down for High‐Frequency Trading? Lessons from Artificial Markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(2-3), pages 73-79, April.
    52. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
    53. Paulo Pereira Silva, 2023. "Securities transaction taxes and stock price informativeness: evidence for France and Italy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 325-345, September.
    54. Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
    55. Lendvai, Julia & Raciborski, Rafal & Vogel, Lukas, 2013. "Macroeconomic effects of an equity transaction tax in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 466-482.
    56. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
    57. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
    58. FitzGerald, John & Central Bank Staff, 2012. "The EU Financial Transactions Tax Proposal: A Preliminary Evaluation," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT217, June.
    59. Iryna Veryzhenko & Lise Arena, 2017. "A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework," Post-Print halshs-01444738, HAL.

  15. Lucia Milone & Paolo Pellizzari, 2009. "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers 188, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012. "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series 17, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

  16. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015. "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 1-27, March.

  17. Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009. "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
    2. Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    3. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
    4. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 2021. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1025-1049, December.
    5. Dong, Xinyue & Ma, Rong & Li, Honggang, 2019. "Stock index pegging and extreme markets," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 13-21.
    6. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    7. Ma, Rong & Zhang, Yin & Li, Honggang, 2017. "Traders’ behavioral coupling and market phase transition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 618-627.
    8. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    10. Xinyue Dong & Honggang Li, 2019. "The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(7), pages 1516-1530, May.
    11. Mingjie Ji & Honggang Li, 2016. "Exploring Price Fluctuations in a Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 189-209, August.
    12. Xuan Zhou & Honggang Li, 2019. "Buying on Margin and Short Selling in an Artificial Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(4), pages 1473-1489, December.

  18. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Florian Hauser & Marco LiCalzi, 2011. "Learning to trade in an unbalanced market," Working Papers 2, Department of Management, Università Ca' Foscari Venezia.
    2. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011. "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Willi Semmler (ed.), Computational Methods in Economic Dynamics, pages 5-28, Springer.
    3. Anufriev, M. & Arifovic, J. & Ledyard, D. & Panchenko, V., 2010. "Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information," CeNDEF Working Papers 10-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    4. Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2017. "Convex incentives in financial markets: an agent-based analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 375-395, November.
    5. Jakob Grazzini, 2012. "Analysis of the Emergent Properties: Stationarity and Ergodicity," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 1-7.
    6. Anufriev, Mikhail & Arifovic, Jasmina & Ledyard, John & Panchenko, Valentyn, 2022. "The role of information in a continuous double auction: An experiment and learning model," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).

  19. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2008. "Allocative efficiency and traders' protection under zero intelligence behavior," Working Papers 168, Department of Applied Mathematics, Università Ca' Foscari Venezia, revised Nov 2009.

    Cited by:

    1. Roberto Cervone & Stefano Galavotti & Marco LiCalzi, 2009. "Symmetric Equilibria in Double Auctions with Markdown Buyers and Markup Sellers," Lecture Notes in Economics and Mathematical Systems, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes (ed.), Artificial Economics, chapter 0, pages 81-92, Springer.

  20. Marco LiCalzi & Paolo Pellizzari, 2007. "Which market protocols facilitate fair trading?," Working Papers 151, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.

  21. Marco LiCalzi & Paolo Pellizzari, 2006. "Simple Market Protocols for Efficient Risk Sharing," Working Papers 136, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
    2. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
    3. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    4. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    5. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
    6. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011. "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Willi Semmler (ed.), Computational Methods in Economic Dynamics, pages 5-28, Springer.
    7. Paolo Pellizzari & Arianna Dal Forno, 2005. "A comparison of different trading protocols in an agent-based market," Computational Economics 0511001, University Library of Munich, Germany.
    8. Paolo Pellizzari, 2008. "The Toll of Subrational Trading in an Agent Based Economy," Research Paper Series 217, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Marco LiCalzi & Paolo Pellizzari, 2006. "The allocative effectiveness of market protocols under intelligent trading," Working Papers 134, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    10. Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    11. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.

  22. Marco LiCalzi & Paolo Pellizzari, 2006. "The allocative effectiveness of market protocols under intelligent trading," Working Papers 134, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
    2. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
    3. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    4. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    5. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
    6. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011. "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Willi Semmler (ed.), Computational Methods in Economic Dynamics, pages 5-28, Springer.
    7. Alessandro N. Cappellini & Gianluigi Ferraris, 2009. "Waiting Times In Simulated Stock Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 195-206.

  23. Paolo Pellizzari & Arianna Dal Forno, 2006. "A comparison of different trading protocols in an agent-based market," Working Papers 140, Department of Applied Mathematics, Università Ca' Foscari Venezia.

    Cited by:

    1. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    2. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
    3. Kostadinov, Fabian & Holm, Stefan & Steubing, Bernhard & Thees, Oliver & Lemm, Renato, 2014. "Simulation of a Swiss wood fuel and roundwood market: An explorative study in agent-based modeling," Forest Policy and Economics, Elsevier, vol. 38(C), pages 105-118.
    4. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW Kiel).
    6. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
    7. Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 277-293, October.
    8. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    9. Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.

  24. Marco LiCalzi & Paolo Pellizzari, 2005. "Breeds of risk-adjusted fundamentalist strategies in an order- driven market," Computational Economics 0506001, University Library of Munich, Germany.

    Cited by:

    1. Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.

  25. Paolo Pellizzari, 2003. "Static Hedging of Multivariate Derivatives by Simulation," Finance 0311013, University Library of Munich, Germany, revised 04 Dec 2003.

    Cited by:

    1. Dirk Becherer & Ian Ward, 2010. "Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(1), pages 1-28.
    2. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
    3. Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.
    4. Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October.
    5. Lokeshwar, Vikranth & Bharadwaj, Vikram & Jain, Shashi, 2022. "Explainable neural network for pricing and universal static hedging of contingent claims," Applied Mathematics and Computation, Elsevier, vol. 417(C).

  26. Pizzi Claudio & Pellizzari Paolo, 2002. "Monte Carlo Pricing of American Options Using Nonparametric Regression," Finance 0207007, University Library of Munich, Germany, revised 04 Mar 2003.

    Cited by:

    1. Maximilian Mair & Jan Maruhn, 2013. "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, vol. 16(1), pages 79-110, April.

  27. Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, University Library of Munich, Germany, revised 04 Mar 2003.

    Cited by:

    1. LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
    2. Roberto Mota Navarro & Hern'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
    3. Gareth W. Peters & Efstathios Panayi & Francois Septier, 2015. "SMC-ABC methods for the estimation of stochastic simulation models of the limit order book," Papers 1504.05806, arXiv.org.
    4. Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
    5. Marco LiCalzi & Paolo Pellizzari, 2005. "Breeds of risk-adjusted fundamentalist strategies in an order- driven market," Computational Economics 0506001, University Library of Munich, Germany.
    6. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
    7. Andrea Consiglio & Valerio Lacagnina & Annalisa Russino, 2005. "A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 71-87.
    8. Liu, Xinghua & Gregor, Shirley & Yang, Jianmei, 2008. "The effects of behavioral and structural assumptions in artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2535-2546.
    9. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
    10. Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012. "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 82-96.
    11. Paolo Pellizzari & Arianna Dal Forno, 2005. "A comparison of different trading protocols in an agent-based market," Computational Economics 0511001, University Library of Munich, Germany.
    12. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Roberto Mota Navarro & Hernán Larralde, 2017. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-27, February.
    14. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
    15. Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    16. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
    17. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
    18. Marko Petrovic & Bulent Ozel & Andrea Teglio & Marco Raberto & Silvano Cincotti, 2017. "Eurace Open: An agent-based multi-country model," Working Papers 2017/09, Economics Department, Universitat Jaume I, Castellón (Spain).
    19. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
    20. Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone, 2014. "Bank's strategies during the financial crisis," FinMaP-Working Papers 25, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    21. Raberto, Marco & Cincotti, Silvano, 2005. "Modeling and simulation of a double auction artificial financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 34-45.
    22. Anufriev Mikhail & Bottazzi Giulio, 2012. "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-38, October.
    23. Kirchler, Michael & Huber, Jürgen, 2009. "An exploration of commonly observed stylized facts with data from experimental asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1631-1658.
    24. Kuroda, Koji & Murai, Joshin, 2007. "Limit theorems in financial market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 28-34.
    25. Krause, Andreas, 2006. "Fat tails and multi-scaling in a simple model of limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(1), pages 183-190.
    26. Consiglio, Andrea & Russino, Annalisa, 2007. "How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1910-1937, June.

  28. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, University Library of Munich, Germany, revised 14 Oct 2002.

    Cited by:

    1. L. Boukas & Diogo Pinheiro & Alberto A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011. "Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets," CEMAPRE Working Papers 1103, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.

  29. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, University Library of Munich, Germany.

    Cited by:

    1. Piergiacomo Sabino, 2009. "Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 49-65, May.
    2. Su, Xia, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers 14/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
    3. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
    4. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
    5. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options　," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
    6. Giannopoulos, Kostas, 2008. "Nonparametric, conditional pricing of higher order multivariate contingent claims," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1907-1915, September.

Articles

  1. Donadelli, Michael & Gufler, Ivan & Pellizzari, Paolo, 2020. "The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index," Economics Letters, Elsevier, vol. 197(C).

    Cited by:

    1. Aprigliano, Valentina & Emiliozzi, Simone & Guaitoli, Gabriele & Luciani, Andrea & Marcucci, Juri & Monteforte, Libero, 2023. "The power of text-based indicators in forecasting Italian economic activity," International Journal of Forecasting, Elsevier, vol. 39(2), pages 791-808.
    2. Ardia, David & Bluteau, Keven & Kassem, Alaa, 2021. "A century of Economic Policy Uncertainty through the French–Canadian lens," Economics Letters, Elsevier, vol. 205(C).
    3. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.

  2. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015. "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 1-27, March.
    See citations under working paper version above.
  3. Pellizzari, Paolo & Rizzi, Dino, 2014. "Citizenship and power in an agent-based model of tax compliance with public expenditure," Journal of Economic Psychology, Elsevier, vol. 40(C), pages 35-48.
    See citations under working paper version above.
  4. Shira Fano & Marco LiCalzi & Paolo Pellizzari, 2013. "Convergence of outcomes and evolution of strategic behavior in double auctions," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 513-538, July.
    See citations under working paper version above.
  5. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
    See citations under working paper version above.
  6. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
    See citations under working paper version above.
  7. Pellizzari, Paolo & Westerhoff, Frank, 2009. "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
    See citations under working paper version above.
  8. Paolo Pellizzari & Arianna Forno, 2007. "A comparison of different trading protocols in an agent-based market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 27-43, June.
    See citations under working paper version above.
  9. LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
    See citations under working paper version above.
  10. LiCalzi, Marco & Pellizzari, Paolo, 2006. "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 619-633.
    See citations under working paper version above.
  11. Pellizzari, P., 2005. "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, vol. 166(2), pages 507-519, October.
    See citations under working paper version above.
  12. Marco Licalzi & Paolo Pellizzari, 2003. "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
    See citations under working paper version above.
  13. Andrea Gam & Paolo Pellizzari, 2002. "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 241-260.

    Cited by:

    1. L. Boukas & Diogo Pinheiro & Alberto A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011. "Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets," CEMAPRE Working Papers 1103, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.

  14. P. Pellizzari, 2001. "Efficient Monte Carlo pricing of European options¶using mean value control variates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 107-126, November.

    Cited by:

    1. Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia & Tahani, Nabil, 2006. "Heterogeneous basket options pricing using analytical approximations," Working Papers 06-1, HEC Montreal, Canada Research Chair in Risk Management.
    2. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
    3. Pellizzari, P., 2005. "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, vol. 166(2), pages 507-519, October.
    4. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
    5. Jérôme Lelong & Zineb El Filali Ech-Chafiq & Adil Reghai, 2021. "Automatic Control Variates for Option Pricing using Neural Networks," Post-Print hal-02891798, HAL.
    6. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
    7. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
    8. Hörmann, Wolfgang & Sak, Halis, 2010. "t-Copula generation for control variates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(4), pages 782-790.

Chapters

  1. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2015. "Trade-In Programs in the Context of Technological Innovation with Herding," Lecture Notes in Economics and Mathematical Systems, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou (ed.), Advances in Artificial Economics, edition 127, pages 219-230, Springer.
    See citations under working paper version above.
  2. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012. "Sense making and information in an agent-based model of cooperation," Lecture Notes in Economics and Mathematical Systems, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar (ed.), Managing Market Complexity, edition 127, chapter 0, pages 127-139, Springer.
    See citations under working paper version above.
  3. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011. "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Willi Semmler (ed.), Computational Methods in Economic Dynamics, pages 5-28, Springer.
    See citations under working paper version above.
  4. Shira Fano & Paolo Pellizzari, 2011. "Time-Dependent Trading Strategies in a Continuous Double Auction," Lecture Notes in Economics and Mathematical Systems, in: Sjoukje Osinga & Gert Jan Hofstede & Tim Verwaart (ed.), Emergent Results of Artificial Economics, pages 165-176, Springer.
    See citations under working paper version above.
  5. Lucia Milone & Paolo Pellizzari, 2009. "Mutual Funds Flows and the “Sheriff of Nottingham” Effect," Lecture Notes in Economics and Mathematical Systems, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes (ed.), Artificial Economics, chapter 0, pages 117-128, Springer.
    See citations under working paper version above.
  6. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading Without Resampling," Lecture Notes in Economics and Mathematical Systems, in: Klaus Schredelseker & Florian Hauser (ed.), Complexity and Artificial Markets, chapter 1, pages 3-14, Springer.
    See citations under working paper version above.
  7. Marco LiCalzi & Paolo Pellizzari, 2007. "Which Market Protocols Facilitate Fair Trading?," Lecture Notes in Economics and Mathematical Systems, in: Andrea Consiglio (ed.), Artificial Markets Modeling, chapter 6, pages 81-97, Springer.
    See citations under working paper version above.
  8. Marco LiCalzi & Paolo Pellizzari, 2006. "The Allocative Effectiveness of Market Protocols Under Intelligent Trading," Lecture Notes in Economics and Mathematical Systems, in: Charlotte Bruun (ed.), Advances in Artificial Economics, chapter 2, pages 17-29, Springer.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Marco Li Calzi & Lucia Milone & Paolo Pellizzari (ed.), 2010. "Progress in Artificial Economics," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-13947-5, December.

    Cited by:

    1. Friederike Wall, 2017. "Learning To Incentivize In Different Modes Of Coordination," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-29, March.
    2. Friederike Wall, 2021. "Modeling Managerial Search Behavior based on Simon's Concept of Satisficing," Papers 2104.14002, arXiv.org, revised May 2021.
    3. Bin-Tzong Chie & Shu-Heng Chen, 2014. "Non-Price Competition in a Modular Economy," ASSRU Discussion Papers 1401, ASSRU - Algorithmic Social Science Research Unit.
    4. Kristian Strmenik & Friederike Wall & Christian Mitsch & Gernot Mödritscher, 2021. "Volume allocation in multi-sourcing: effects of the quantity–quality trade-off," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 753-771, June.
    5. Heinrich, Torsten, 2015. "Growth Cycles, Network Effects, and Intersectoral Dependence: An Agent-Based Model and Simulation Analysis," MPRA Paper 79575, University Library of Munich, Germany, revised 08 Jun 2017.
    6. Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 277-293, October.
    7. Florian Hauser & Jürgen Huber & Bob Kaempff, 2015. "Costly Information in Markets with Heterogeneous Agents: A Model with Genetic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 205-229, August.
    8. Moussa Larbani & Po Lung Yu, 2012. "Decision Making and Optimization in Changeable Spaces, a New Paradigm," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 727-761, December.
    9. Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2011. "Debt deleveraging and business cycles: An agent-based perspective," Economics Discussion Papers 2011-31, Kiel Institute for the World Economy (IfW Kiel).
    10. Anna Klabunde & Frans Willekens, 2016. "Decision-Making in Agent-Based Models of Migration: State of the Art and Challenges," European Journal of Population, Springer;European Association for Population Studies, vol. 32(1), pages 73-97, February.
    11. Leitner, Stephan & Rausch, Alexandra & Behrens, Doris A., 2017. "Distributed investment decisions and forecasting errors: An analysis based on a multi-agent simulation model," European Journal of Operational Research, Elsevier, vol. 258(1), pages 279-294.
    12. Friederike Wall, 2016. "Agent-based modeling in managerial science: an illustrative survey and study," Review of Managerial Science, Springer, vol. 10(1), pages 135-193, January.
    13. Stephan Leitner & Friederike Wall, 2015. "Simulation-based research in management accounting and control: an illustrative overview," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 26(2), pages 105-129, August.

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