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.

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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.

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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.

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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

Sergio Focardi; Frank Fabozzi

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

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

Résumé | Liens | 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

Sergio Focardi; Frank Fabozzi

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

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

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

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

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

Résumé | Liens | BibTeX

Marco Raberto; Silvano Cincotti; Sergio Focardi; Michele Marchesi

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

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

Résumé | Liens | BibTeX

Marco Raberto; Silvano Cincotti; Sergio Focardi; Michele Marchesi

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

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

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

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

Résumé | Liens | BibTeX

Sergio Focardi

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

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

BibTeX

Sergio Focardi

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

Risk Magazine, 10 (8), 1997.

BibTeX

Sergio Focardi

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

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

BibTeX

Sergio Focardi

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, 0000.

BibTeX

Gui Citovski; Sergio Focardi

Gui Citovski and Sergio Focardi, 2015, A novel view of suprathreshold stochastic resonance and its applications to financial markets, Front. Appl. Math. Stat., 08 October 2015 , http://dx.doi.org/10.3389/fams.2015.00010 Article de journal

Frontiers Applied Mathematics Statistics , 0000.

Liens | BibTeX

Gui Citovski; Sergio Focardi

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

Front. Appl. Math. Stat, 0000.

Liens | BibTeX

Livres

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

Equity Valuation: Science, Art, or Craft? Livre

CFA Institute, 2017.

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.

Résumé | Liens | BibTeX

Svetlozar Rachev; Markus Hoechstoetter; Frank Fabozzi; Sergio Focardi

Probability and Statistics for Finance Livre

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

Résumé | Liens | BibTeX

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

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