Sergio Focardi

De Vinci Research Center


Sergio Focardi

Born in Genova, Italy, Sergio Focardi holds a degree in Electronic Engineering from the University of Genova and a PhD in Mathematical Finance from the University of Karlsruhe, Germany. Sergio is teacher and researcher at the Finance Group, ESILV EMLV, of the Pole Universitaire De Vinci, Paris. He cofounded the research firm The Intertek Group, Paris and the multidisciplinary reearch center CINEF at the University of Genova. Sergio is a member of the Editorial Board of the Journal of Portfolio Management. He has (co-)authored numerous articles and books. Sergio's research interests include the econometrics of large equity portfolios, for which he has developed proprietary models, and forecasting trend reversals and large market swings. Currently, Sergio's main research interest is developing economic models capable of representing qualitative growth. He is also interested in applying quantum probability to economics and finance theory.

sergio.focardi@devinci.fr

Publications


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Articles de journaux

Focardi, Sergio, Fabozzi Frank, Mazza Davide

Quantum Option Pricing and Quantum Finance Article de journal

Dans: 2020.

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Focardi Sergio et Fabozzi Frank

Climate Change and Asset Management Article de journal

Dans: 2020.

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Focardi Sergio et Davide Mazza

Quantum computing, the new frontier of finance Article de journal

Dans: 2019.

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Focardi, Sergio, Fabozzi Frank, Mazza Davide Mazza,

Modeling local trends with regime shifting models with time-varying probabilities Article de journal

Dans: 2019.

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Focardi Sergio

Do Capitalists Still Need Consumers? Article de journal

Dans: 2018.

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Focardi Sergio

Symbolic Growth and Stagnant Wages Article de journal

Dans: 2018.

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Focardi Sergio

Central-bank digital currencies: Towards a cashless society? Article de journal

Dans: 2018.

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Focardi Sergio

As markets climb to record highs are todays stock markets overvalued Article de journal

Dans: 2018.

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Robert Engle; Sergio Focardi; Frank Fabozzi

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Article de journal

Dans: Journal of Portfolio Management, 42 (5), p. 94-106, 2016.

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Focardi, Sergio M.; Frank J. Fabozzi.

Mathematics and Economics: Saving a Marriage on the Brink of Divorce? Article de journal

Dans: Journal of Portfolio Management, vol. 42 (no 4), p. 1-3, 2016.

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Focardi, Sergio M. et Frank J. Fabozzi.

Mathematics and Economics: Saving a Marriage on the Brink of Divorce? Article de journal

Dans: 2016.

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Sergio M. Focardi, Frank J. Fabozzi; Ivan Mitov

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Article de journal

Dans: Journal of Banking and Finance, 2016.

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Gui Citovski Sergio Focardi

A novel view of suprathreshold stochastic resonance and its applications to financial markets Article de journal

Dans: Frontiers Applied Mathematics and Statistics, 2015.

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Sergio Focardi; Frank Fabozzi

Economics : An Empirical Science Capable of Forecasting Economic Events ? Article de journal

Dans: The Journal of Portfolio Management, 41 (4), p. 145-151, 2015.

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Sergio M. Focardi

Is economics an empirical science? If not, can it become one? Article de journal

Dans: Frontiers Applied Mathematics Statistics , 2015.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Investment Management: A Science to Teach or an Art to Learn? Article de journal

Dans: CFA Institute Research Foundation, 2014 (3), 2014.

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Sergio Focardi; Frank Fabozzi

Factor Uniqueness in the S&P 500 Universe: Can Proprietary Factors Exist? Article de journal

Dans: International Journal of Theoretical and Applied Finance, 16 (4), 2013.

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Sergio Focardi; Frank Fabozzi

What’s Wrong with Today’s Economics? Article de journal

Dans: Journal of Portfolio Management, 38 (3), p. 104-119, 2012.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

High-Frequency Trading: Methodologies and Market Impact Article de journal

Dans: Review of Futures Market, 19 (Special Issue), p. 7-38, 2011.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

The Impact of the Financial Crisis on the Asset Management Industry Article de journal

Dans: Research Foundation of CFA Institute, 2010 (1), 2010.

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Sergio Focardi; Frank Fabozzi

The Reasonable Effectiveness of Mathematics in Economics Article de journal

Dans: The American Economist, 55 (1), p. 19-30, 2010.

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Dashan Huang; Baimin Yu; Zudi Lu; Sergio Focardi; Frank Fabozzi; Masao Fukushima

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model Article de journal

Dans: Studies in Nonlinear Dynamics and Econometrics, 14 (2), p. 1, 2010, ISSN: 1558-3708.

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Sergio Focardi; Frank Fabozzi

Black Swans and White Eagles: On Mathematics and Finance Article de journal

Dans: Mathematical Methods of Operations Research, 69 (3), p. 379-394, 2009, ISSN: 1432-5217.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Considerations on the Challenges in Quantitative Equity Management Article de journal

Dans: Quantitative Finance, 8 (7), p. 649-665, 2008.

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Wesley Phoa; Sergio Focardi; Frank Fabozzi

How Do Conflicting Theories about Financial Markets Coexist? Article de journal

Dans: Journal of Post Keynesian Economic, 29 (3), p. 363-391, 2007.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Trends in Quantitative Equity Management: Survey Results Article de journal

Dans: Quantitative Finance, 7 (2), p. 115-122, 2007.

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Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Robust Portfolio Optimization Article de journal

Dans: The Journal of Portfolio Management, 33 (3), p. 40-48, 2007.

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Frank Fabozzi; Sergio Kolm Petter Focardi

A Simple Framework for Time Diversification Article de journal

Dans: Journal of Investing, 15 (3), p. 8-18, 2006.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Trends in Quantitative Finance Article de journal

Dans: Research Foundation of CFA Institute Monograph, 36 (3), 2006.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Incorporating Trading Strategies in the Black-Litterman Framework Article de journal

Dans: Journal of Trading, 1 (2), p. 28-37, 2006.

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Sergio Focardi; Frank Fabozzi

Contagion Modeling in Market and Credit Risk: Does It Add Value? Article de journal

Dans: Risk Letters, 1 (2), 2005.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Market Experience with Modeling for Defined-Benefit Pension Funds : Evidence from Four Countries Article de journal

Dans: Journal of Pension Economics and Finance, 4 (3), p. 313-327, 2005.

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Frank Fabozzi; Sergio Focardi; Christopher Ma

Implementable Quantitative Research Article de journal

Dans: Journal of Alternative Investments, 8 (2), p. 71-79, 2005.

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Sergio Focardi; Frank Fabozzi

An Autoregressive Conditional Duration Model of Credit-Risk Contagion Article de journal

Dans: Journal of Risk Finance, 6 (3), p. 208-225, 2005.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Financial Modeling of Transaction and Trading Costs: Overview and Practice Article de journal

Dans: Finance Letters, Special Issue on Financial Modeling of the Equity Markets, 3 (1), 2005, ISBN: 13-978-0471-69900-2.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Introduction Article de journal

Dans: Finance Letters, Special Issue on Financial Modeling of the Equity Markets, 3 (1), 2005, ISBN: 13-978-0471-69900-2.

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Sergio Focardi; Frank Fabozzi

A Percolation Approach to Modeling Credit Loss Distribution under Contagion Article de journal

Dans: Journal of Risk, 7 (1), p. 75-94, 2004.

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Frank Fabozzi; Sergio Kolm Petter Focardi

New Kids on the Block: Trends in Quantitative Finance and Their Impact on Investment Management Article de journal

Dans: Journal of Portfolio Management, Special Anniversary Issue Fall 2004, 30 (5), p. 42-54, 2004.

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Sergio Focardi; Frank Fabozzi

A Methodology for Index Tracking Based on Time-Series Clustering Article de journal

Dans: Quantitative Finance, 4 (4), p. 417-425, 2004.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Trends in Quantitative Asset Management in Europe Article de journal

Dans: Journal of Portfolio Management, Special European Issue (Summer 2004), 30 (4), p. 125-132, 2004.

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Sergio Focardi; Frank Fabozzi

Clustering Economic and Financial Time Series: Exploring the Existence of Stable Correlation Conditions Article de journal

Dans: Financial Letters, 2 (3), p. 1-9, 2004.

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Sergio Focardi; Frank Fabozzi

Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena? Article de journal

Dans: Journal of Risk Finance, 5 (1), p. 5-26, 2003, ISSN: 1526-5943.

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Marco Raberto; Silvano Cincotti; Sergio Focardi; Michele Marchesi

Traders’ Long-Run Wealth in an Artificial Financial Market Article de journal

Dans: Computational Economics, 22 (2-3), p. 255-272, 2003, ISSN: 1572-9974.

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Marco Raberto; Silvano Cincotti; Sergio Focardi; Michele Marchesi

Who Wins? Study of Long-Run Trader Survival in an Artificial Stock Market Article de journal

Dans: Physica A: Statistical Mechanics and its Applications, 324 (1-2), p. 227-233, 2003.

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Silvano Cincotti; Sergio Focardi; Michele Marchesi

Self-organization and Market Crashes Article de journal

Dans: Journal of Economic Behavior & Organization, 49 (2), p. 241-267, 2002.

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Marco Raberto; Silvano Cincotti; Sergio Focardi; Michele Marchesi

Agent-based Simulation of a Financial Market Article de journal

Dans: Physica A: Statistical Mechanics and its Applications, 299 (1-2), p. 319-327, 2001.

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Sergio Focardi

Business as Usual and Rare Events: The Odd Couple of Risk Management Coming Together Article de journal

Dans: Journal of Portfolio Management, (25th Anniversary Issue), p. 47-54, 1999.

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Sergio Focardi

A Seam of Knowledge: The Importance of Data Analysis in Firm-wide Financial Optimisation Article de journal

Dans: Risk Magazine, 10 (8), 1997.

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Sergio Focardi

From Equilibrium to Non-linear Dynamics in Investment Management Article de journal

Dans: Journal of Portfolio Management, (Summer 1996), p. 19-30, 1996.

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Sergio Focardi

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Article de journal

Dans: Journal of Banking and Finance, 0000.

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