Sergio Focardi

De Vinci Research Center


Sergio Focardi

Sergio Focardi is professor and researcher at the Finance Group, ESILV EMLV, of the Pole Universitaire De Vinci, Paris, and a founding partner of The Intertek Group, Paris . 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. He consults on financial modeling.

sergio.focardi@devinci.fr

Publications


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Articles de journaux

Robert Engle; Sergio Focardi; Frank Fabozzi

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

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

Résumé | Liens | BibTeX

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

Journal of Banking and Finance, 2016.

BibTeX

Gui Citovski Sergio Focardi

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

Frontiers Applied Mathematics and Statistics, 2015.

Liens | BibTeX

Sergio Focardi; Frank Fabozzi

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

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

BibTeX

Sergio M. Focardi

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

Frontiers Applied Mathematics Statistics , 2015.

Liens | BibTeX

Sergio Focardi; Frank Fabozzi; Caroline Jonas

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

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

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

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

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

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

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

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

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

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

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

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

Liens | BibTeX

Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Robust Portfolio Optimization Article de journal

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

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

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

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Kolm Petter Focardi

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

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

Résumé | Liens | BibTeX

Sergio Focardi; Frank Fabozzi

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

Risk Letters, 1 (2), 2005.

BibTeX

Sergio Focardi; Frank Fabozzi; Caroline Jonas

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

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

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

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

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Kolm Petter Focardi

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

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

BibTeX

Frank Fabozzi; Sergio Kolm Petter Focardi

Introduction Article de journal

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

BibTeX

Frank Fabozzi; Sergio Kolm Petter Focardi

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

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

BibTeX

Livres

F. Fabozzi,; S. Focardi,; C. Jonas,

Equity Valuation: Science, Art, or Craft? Livre Forthcoming

CFA Institute, Forthcoming.

BibTeX

Sergio Focardi

Money: What it is, how it’s created, who gets it, and why it matters Livre

Routledge, 208 p., 2017.

BibTeX

Sergio Focardi; H. Fallaghoul; F. Fabozzi

Fractional Calculus and Fractional Processes with Applications to Financial Economics, Livre

John Wiley & Sons,105 pages, 2016.

BibTeX

Frank Fabozzi; Sergio Focardi; Svetlozar Rachev; Bala Arshanapalli; Markus Hoechstoetter

The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications Livre

2014, ISBN: 978-1-118-57320-4.

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Sergio Focardi; Frank Fabozzi; Turan Bali

Mathematical Methods for Finance: Tools for Asset and Risk Management Livre

2013, ISBN: 978-1-118-31263-6.

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Svetlozar Rachev; Markus Hoechstoetter; Frank Fabozzi; Sergio Focardi

Probability and Statistics for Finance Livre

2010, ISBN: 978-0-470-40093-7.

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Frank Fabozzi; Sergio Focardi; Petter Kolm

Quantitative Equity Investing: Techniques and Strategies Livre

2010, ISBN: 978-0-470-26247-4.

Résumé | Liens | BibTeX

Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Robust Portfolio Optimization and Management Livre

2007, ISBN: 978-0-471-92122-6.

Résumé | Liens | BibTeX

Svetlozar Rachev; Stefan Mittnik; Frank Fabozzi; Sergio Focardi; Teo Jašic

Financial Econometrics: From Basics to Advanced Modeling Techniques Livre

2007, ISBN: 978-0-471-78450-0.

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Focardi; Petter Kolm

Financial Modeling of the Equity Market: From CAPM to Cointegration Livre

2006, ISBN: 978-0-471-69900-2.

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Book Chapters

Svetlozar Rachev; Stefan Mittnik; Frank Fabozzi; Sergio Focardi; Teo Jasic

Encyclopedia of Financial Models, Regression Analysis: Theory and Estimation Book Chapter

Econometrics, Financial (Ed.): 2012.

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Frank Fabozzi; Sergio Focardi

Voices of Wisdom: Understanding the Global Financial Crisis Book Chapter

Chapitre What Can We Understand About Economics?, 2010.

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Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Handbook of Finance, Quantitative Investment Management: Today and Tomorrow Book Chapter

Sons, John Wiley & (Ed.): 2008.

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Focardi; Petter Kolm; Robert Johnson

Handbook of Finance, Overview of Active Common Stock Portfolio Strategies Book Chapter

Sons, John Wiley & (Ed.): 2008.

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Focardi; Petter Kolm

Handbook of Finance, Quantitative Modeling of Transaction and Trading Costs Book Chapter

Sons, John Wiley & (Ed.): 2008.

Résumé | Liens | BibTeX

Robert Engle; Sergio Focardi; Frank Fabozzi

Handbook of Finance, ARCH/GARCH Models in Applied Financial Econometrics Book Chapter

Sons, John Wiley & (Ed.): 2008.

BibTeX

Sergio Focardi

Financial Management and Asset Management Book Chapter

Sons, John Wiley & (Ed.): 2 , Chapitre Handbook of Finance, 2008, ISBN: 978-0-470-07815-0.

Résumé | Liens | BibTeX

Sergio Focardi; Frank; Fabozzi

Handbook of Finance, Valuation, Financial Modeling, and Quantitative Tools Book Chapter

Fabozzi, Frank (Ed.): 3 , 2008, ISBN: 978-0-470-07816-7.

Résumé | Liens | BibTeX

Frank Fabozzi; Sergio Focardi; Petter Kolm; William Sackley

Handbook of Finance, Incorporating Trading Strategies in the Black-Litterman Framework Book Chapter

Sons, John Wiley & (Ed.): 2006.

Résumé | Liens | BibTeX

Silvano Cincotti; Sergio Focardi; Linda Ponta; Marco Raberto; Enrico Scalas

Economics and Heterogeneous Interacting Agents, The waiting-time distribution of trading activity in a double auction artificial financial market Book Chapter

Namatame, Akira ; Kaizouji, Taisei ; Aruka, Yuuji (Ed.): 567 (2006), p. 239-247, Springer-Verlag, Berlin, Germany, 2006, ISBN: 978-3-540-28727-8.

Résumé | Liens | BibTeX

Marco Raberto; Silvano Cincotti; Christian Dose; Sergio Focardi; Michele Marchesi

Nonlinear Dynamics and Heterogenous Interacting Agents, Price formation in an artificial market: limit order book versus matching of supply and demand Book Chapter

Lux, Thomas ; Samanidou, Eleni ; Reitz, Stefan (Ed.): 550 (2005), p. 305-315, Springer-Verlag, Berlin, Germany, 2005, ISBN: 978-3-540-27296-0.

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Technical Reports

Frank Fabozzi; Sergio Focardi; Caroline Jonas

Intertek 2006 Survey Trends in Equity Portfolio Modeling Technical Report

2006.

BibTeX

Frank Fabozzi; Sergio Focardi; Caroline Jonas

Intertek Can Modeling Help Deal with the Pension Funding Crisis Technical Report

2004.

BibTeX

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