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Annalisa Fabretti

Personal Details

First Name:Annalisa
Middle Name:
Last Name:Fabretti
Suffix:
RePEc Short-ID:pfa262

Affiliation

Dipartimento di Economia e Finanza
Facoltà di Economia
Università degli Studi di Roma "Tor Vergata"

Roma, Italy
http://www.economia.uniroma2.it/def/

: +39 06 7259 5717
+39 +6 +72595504
+39 +6 +72595502
RePEc:edi:dsrotit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2015. "Convex Incentives in Financial Markets: an Agent-Based Analysis," CEIS Research Paper 337, Tor Vergata University, CEIS, revised 08 Apr 2015.
  2. Annalisa Fabretti & Stefano Herzel & Mustafa C. Pinar, 2014. "Delegated Portfolio Management under Ambiguity Aversion," CEIS Research Paper 304, Tor Vergata University, CEIS, revised 06 Feb 2014.
  3. Fabretti, Annalisa & Herzel, Stefano, 2010. "Delegated Portfolio Management with Socially Responsible Investment Constraints," Sustainable Investment and Corporate Governance Working Papers 2010/7, Sustainable Investment Research Platform.
  4. Annalisa Fabretti & Marcel Ausloos, 2005. "Recurrence analysis of the NASDAQ crash of April 2000," Papers physics/0505170, arXiv.org.

Articles

  1. Annalisa Fabretti & Stefano Herzel, 2017. "An Agent Based Model for a Double Auction with Convex Incentives," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-7.
  2. 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.
  3. 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.
  4. A. Fabretti & S. Herzel, 2012. "Delegated portfolio management with socially responsible investment constraints," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 293-309, April.
  5. A. Fabretti & M. Ausloos, 2005. "Recurrence Plot And Recurrence Quantification Analysis Techniques For Detecting A Critical Regime. Examples From Financial Market Inidices," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 671-706.
    RePEc:wsi:ijmpcx:v:16:y:2005:i:05:p:671-706 is not listed on IDEAS

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. Fabretti, Annalisa & Herzel, Stefano, 2010. "Delegated Portfolio Management with Socially Responsible Investment Constraints," Sustainable Investment and Corporate Governance Working Papers 2010/7, Sustainable Investment Research Platform.

    Cited by:

    1. Sheng, Jiliang & Wang, Xiaoting & Yang, Jun, 2012. "Incentive contracts in delegated portfolio management under VaR constraint," Economic Modelling, Elsevier, vol. 29(5), pages 1679-1685.
    2. Annalisa Fabretti & Stefano Herzel & Mustafa C. Pinar, 2014. "Delegated Portfolio Management under Ambiguity Aversion," CEIS Research Paper 304, Tor Vergata University, CEIS, revised 06 Feb 2014.

  2. Annalisa Fabretti & Marcel Ausloos, 2005. "Recurrence analysis of the NASDAQ crash of April 2000," Papers physics/0505170, arXiv.org.

    Cited by:

    1. B. Goswami & G. Ambika & N. Marwan & J. Kurths, 2011. "On interrelations of recurrences and connectivity trends between stock indices," Papers 1103.5189, arXiv.org.
    2. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
    3. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
    4. Goswami, B. & Ambika, G. & Marwan, N. & Kurths, J., 2012. "On interrelations of recurrences and connectivity trends between stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4364-4376.

Articles

  1. 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.

    Cited by:

    1. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    2. Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
    3. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    4. 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.
    5. Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    6. Grazzini, Jakob & Richiardi, Matteo, 2015. "Estimation of ergodic agent-based models by simulated minimum distance," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 148-165.
    7. 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.
    8. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    9. Lamperti, Francesco, 2018. "An information theoretic criterion for empirical validation of simulation models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 83-106.
    10. Grazzini, Jakob & Richiardi, Matteo, 2013. "Consistent Estimation of Agent-Based Models by Simulated Minimum Distance," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201335, University of Turin.

  2. A. Fabretti & S. Herzel, 2012. "Delegated portfolio management with socially responsible investment constraints," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 293-309, April.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CTA: Contract Theory & Applications (2) 2010-06-26 2015-04-19
  2. NEP-HRM: Human Capital & Human Resource Management (2) 2014-02-15 2015-04-19
  3. NEP-CFN: Corporate Finance (1) 2015-04-19
  4. NEP-CMP: Computational Economics (1) 2015-04-19
  5. NEP-ORE: Operations Research (1) 2015-04-19
  6. NEP-PPM: Project, Program & Portfolio Management (1) 2010-06-26
  7. NEP-SOG: Sociology of Economics (1) 2014-02-15
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2014-02-15

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