1997 |
Livres |
Sergio Focardi; Caroline Jonas Modeling the Market: New Theories and Techniques Livre 1997, ISBN: 978-1-883249-12-0. Résumé | Liens | BibTeX @book{Focardibb,
title = {Modeling the Market: New Theories and Techniques},
author = { Sergio Focardi and Caroline Jonas},
editor = {Wiley},
url = {http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1883249120.html},
isbn = {978-1-883249-12-0},
year = {1997},
date = {1997-01-01},
abstract = {The authors have done an admirable job...This book is a revealing and fascinating glimpse of the technologies which may rule the financial world in the years to come. --The Financial Times, February 1997 [This] new book looks at the progress made, both in practice and in theory, toward producing a usable model of the market. Some of the theoretical foundations of efficient market theory are being demolished.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
The authors have done an admirable job...This book is a revealing and fascinating glimpse of the technologies which may rule the financial world in the years to come. --The Financial Times, February 1997 [This] new book looks at the progress made, both in practice and in theory, toward producing a usable model of the market. Some of the theoretical foundations of efficient market theory are being demolished. |
1996 |
Articles de journaux |
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. BibTeX @article{Focardibb,
title = {From Equilibrium to Non-linear Dynamics in Investment Management},
author = { Sergio Focardi},
year = {1996},
date = {1996-07-01},
journal = {Journal of Portfolio Management},
number = {Summer 1996},
pages = {19-30},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
1995 |
Conférences |
Sergio Focardi; Karsten Decker Technology Overview: A Report On Data Mining. Technical Report 5500 - 5599 Conférence CSCS TR-95-02, Swiss Scientific Computing Center Manno, Switzerland, 1995. Résumé | BibTeX @conference{Focardibb,
title = {Technology Overview: A Report On Data Mining. Technical Report},
author = { Sergio Focardi and Karsten Decker},
year = {1995},
date = {1995-01-01},
booktitle = {CSCS TR-95-02},
address = {Manno, Switzerland},
organization = {Swiss Scientific Computing Center},
abstract = {In this report we present a technology assessment of a spectrum of mathematical methods and software techniques for data mining, i.e., for finding patterns and regularities in sets of data. After an introduction to the subject, the second part of the paper describes the essentials of a variety of methods for data mining through supervised and un-supervised learning. In the third part of the report we present results from the application of data mining techniques to different application areas such as chemical and pharmaceutical chemistry, retail and consumer banking, remote sensing, and the handling of engineering and maintenance data?},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
In this report we present a technology assessment of a spectrum of mathematical methods and software techniques for data mining, i.e., for finding patterns and regularities in sets of data. After an introduction to the subject, the second part of the paper describes the essentials of a variety of methods for data mining through supervised and un-supervised learning. In the third part of the report we present results from the application of data mining techniques to different application areas such as chemical and pharmaceutical chemistry, retail and consumer banking, remote sensing, and the handling of engineering and maintenance data? |
0000 |
Articles de journaux |
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. BibTeX @article{Focardibb,
title = {A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance},
author = { Sergio Focardi},
journal = {Journal of Banking and Finance},
howpublished = {Journal of Banking and Finance},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Sergio Focardi Is economics an empirical science? If not, can it become one? Article de journal Dans: 0000. Liens | BibTeX @article{Econometrics,
title = {Is economics an empirical science? If not, can it become one?},
author = {Sergio Focardi},
editor = {Frontiers Applied Mathematics Statistics, http://dx.doi.org/10.3389/fams.2015.00007},
url = {http://dx.doi.org/10.3389/fams.2015.00007},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Gui Citovski; Sergio Focardi A novel view of suprathreshold stochastic resonance and its applications to financial markets Article de journal Dans: 0000. Liens | BibTeX @article{Econometricsb,
title = {A novel view of suprathreshold stochastic resonance and its applications to financial markets},
author = {Gui Citovski and Sergio Focardi},
editor = {Frontiers Applied Mathematics Statistics, , http://dx.doi.org/10.3389/fams.2015.00010},
url = {http://dx.doi.org/10.3389/fams.2015.00010},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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: 0000. BibTeX @article{Econometricsb,
title = {A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance”, },
author = {Sergio M. Focardi, Frank J. Fabozzi and Ivan Mitov},
editor = {Journal of Banking and Finance},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Robert Engle; Sergio Focardi; Frank Fabozzi Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management. Article de journal Dans: 0000. BibTeX @article{Econometricsb,
title = { Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management. },
author = {Robert Engle and Sergio Focardi and Frank Fabozzi},
editor = {Journal of Portfolio Management},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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 Dans: Frontiers Applied Mathematics Statistics , 0000. Liens | BibTeX @article{Econometricsb,
title = {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},
author = {Gui Citovski and Sergio Focardi},
editor = {Frontiers Applied Mathematics Statistics},
doi = {http://dx.doi.org/10.3389/fams.2015.00010},
journal = {Frontiers Applied Mathematics Statistics },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Gui Citovski; Sergio Focardi A novel view of suprathreshold stochastic resonance and its applications to financial markets Article de journal Dans: Front. Appl. Math. Stat, 0000. Liens | BibTeX @article{Econometricsb,
title = {A novel view of suprathreshold stochastic resonance and its applications to financial markets},
author = {Gui Citovski and Sergio Focardi},
editor = { Frontiers Applied Mathematics Statistics},
doi = {http://dx.doi.org/10.3389/fams.2015.00010},
journal = {Front. Appl. Math. Stat},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Article de journal Dans: Financial Analysts Journal, 73 (3), p. 1-14, 0000. Résumé | Liens | BibTeX @article{Brière2017,
title = {Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?},
author = {Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau},
editor = {CFA Institute},
url = {http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.2},
doi = {http://dx.doi.org/10.2469/faj.v73.n3.2},
journal = {Financial Analysts Journal},
volume = {73},
number = {3},
pages = {1-14},
abstract = {Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. |
Sabrina Khemiri, Brinette Souad, Benkraiem Ramzi, Miloudi Anthony Order of preference of debts under asymmetric information. Article de journal Dans: Journal of Governance & Regulation, 7 (2), p. 49-56, 0000. BibTeX @article{Khemiri2018,
title = {Order of preference of debts under asymmetric information.},
author = {Sabrina Khemiri, Brinette Souad, Benkraiem Ramzi, Miloudi Anthony},
journal = {Journal of Governance & Regulation},
volume = {7},
number = {2},
pages = {49-56},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Mohammed Benlemlih; Jonathan Peillex Revisiter la question "Does it pay to be good ?" dans le contexte européen Article de journal Dans: Recherches en Sciences de Gestion, (130), p. 243-263, 0000. BibTeX @article{Peillex2019b,
title = {Revisiter la question "Does it pay to be good ?" dans le contexte européen},
author = {Mohammed Benlemlih; Jonathan Peillex},
journal = {Recherches en Sciences de Gestion},
number = {130},
pages = {243-263},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Renaud Redien-Collot et Catherine Léger-Jarniou Retard de la RSE des PME françaises ? La prudence et le discours éthique hybride des dirigeantes de PME de forte croissance Article de journal Dans: Revue de l’Entrepreneuriat et de l'Innovation , 17 (2), p. 7-34, 0000, ISBN: 978-2-8073-9244-1. Résumé | BibTeX @article{Redien-Collot2018,
title = {Retard de la RSE des PME françaises ? La prudence et le discours éthique hybride des dirigeantes de PME de forte croissance},
author = {Renaud Redien-Collot et Catherine Léger-Jarniou},
isbn = {978-2-8073-9244-1},
journal = {Revue de l’Entrepreneuriat et de l'Innovation },
volume = {17},
number = {2},
pages = {7-34},
abstract = {The literature on Corporate Social Responsibility (CSR) in European small and
medium enterprises (SMEs) seems to be focused on the strategic benefits of
CSR, which is still an emerging trend. Articles on female leadership highlight that
this instrumentalist vision of CSR can be attributed to the triumph of masculine
culture in SMEs. We therefore examine a sample of thirteen female heads of
high-growth SMEs (ranked in the Women Equity for Growth Index) 2 with effective managerial
processes to determine whether they see and enact CSR as a strategic panacea. In
order to capture the respondents’ motivations, our study looks at their practices and their
discourse. We find that they are cautious about formalizing and instrumentalizing their
CSR practice. Their deployment of CSR is nurtured by an ethical discourse that is equally
instrumental and normative, with their employees as their priority stakeholders. As they
are convinced that CSR offers a powerful prospective launch pad, respondents are very
skilled in their ability to preserve CSR’s “revelatory power” in their companies. Through
their expressions of self-doubt and resistance, they reveal distinct points of view that are
informed by strong reflection. Their hybrid ethical discourse is not the result of a compromise.
Instead, it informs a very active sense-making process.
—— Keywords: CSR, high-growth SME, female entrepreneurial leaders, gender},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
The literature on Corporate Social Responsibility (CSR) in European small and
medium enterprises (SMEs) seems to be focused on the strategic benefits of
CSR, which is still an emerging trend. Articles on female leadership highlight that
this instrumentalist vision of CSR can be attributed to the triumph of masculine
culture in SMEs. We therefore examine a sample of thirteen female heads of
high-growth SMEs (ranked in the Women Equity for Growth Index) 2 with effective managerial
processes to determine whether they see and enact CSR as a strategic panacea. In
order to capture the respondents’ motivations, our study looks at their practices and their
discourse. We find that they are cautious about formalizing and instrumentalizing their
CSR practice. Their deployment of CSR is nurtured by an ethical discourse that is equally
instrumental and normative, with their employees as their priority stakeholders. As they
are convinced that CSR offers a powerful prospective launch pad, respondents are very
skilled in their ability to preserve CSR’s “revelatory power” in their companies. Through
their expressions of self-doubt and resistance, they reveal distinct points of view that are
informed by strong reflection. Their hybrid ethical discourse is not the result of a compromise.
Instead, it informs a very active sense-making process.
—— Keywords: CSR, high-growth SME, female entrepreneurial leaders, gender |
Imane El Ouadghiri; R. Uctum Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets Article de journal Dans: Economic Modeling, 54 , p. 218-234, 0000. Résumé | Liens | BibTeX @article{Ouadghiri2016,
title = {Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets},
author = {Imane El Ouadghiri and R. Uctum},
url = {https://www.sciencedirect.com/science/article/pii/S0264999315004216},
journal = {Economic Modeling},
volume = {54},
pages = {218-234},
abstract = {In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient. |
Callegaro Giorgia et Grasselli Martino et Pagès Gilles Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Article de journal Forthcoming Dans: Mathematics of Operations Research, Forthcoming. BibTeX @article{grasselli2020d,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Callegaro Giorgia et Grasselli Martino et Pagès Gilles },
journal = {Mathematics of Operations Research},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Callegaro Giorgia et Grasselli Martino et Pagès Gilles Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Article de journal Forthcoming Dans: Mathematics of Operations Research, Forthcoming. BibTeX @article{grasselli2020db,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Callegaro Giorgia et Grasselli Martino et Pagès Gilles},
journal = {Mathematics of Operations Research},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Livres |
Sergio Focardi Money: What it is, how it’s created, who gets it, and why it matters, Livre Routledge, 0000. BibTeX @book{focardi2017a,
title = {Money: What it is, how it’s created, who gets it, and why it matters,},
author = {Sergio Focardi},
publisher = {Routledge},
series = {208 p.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
F. Fabozzi,; Sergio Focardi,; C. Jonas Equity Valuation: Science, Art, or Craft? Livre Forthcoming Forthcoming. BibTeX @book{focardi2017b,
title = {Equity Valuation: Science, Art, or Craft?},
author = {F. Fabozzi, and Sergio Focardi, and C. Jonas},
editor = {CFA Institute},
keywords = {},
pubstate = {forthcoming},
tppubtype = {book}
}
|
Dépubli |
Sergio Focardi; Frank Fabozzi The Integrated Factor Structure of Equity Prices Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {The Integrated Factor Structure of Equity Prices},
author = { Sergio Focardi and Frank Fabozzi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sergio Focardi Modelling a Multi-Agent Economy with Multiple Inflation Rates And Segregated Financial Flows Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {Modelling a Multi-Agent Economy with Multiple Inflation Rates And Segregated Financial Flows},
author = { Sergio Focardi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sergio Focardi Predicting Financial Crises: an Approach Based on Multiple Inflation Rates and Segregated Financial Flows Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {Predicting Financial Crises: an Approach Based on Multiple Inflation Rates and Segregated Financial Flows},
author = { Sergio Focardi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sébastien Nouet L’impact de Solvency II sur le bilan des sociétés d’assurance Dépubli 0000. BibTeX @unpublished{Nouet,
title = {L’impact de Solvency II sur le bilan des sociétés d’assurance},
author = { Sébastien Nouet},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sébastien Nouet Equilibre et gestion d’un régime de retraite par points Dépubli 0000. BibTeX @unpublished{Nouetbb,
title = {Equilibre et gestion d’un régime de retraite par points},
author = { Sébastien Nouet},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
