Details about Paolo Pellizzari

Access statistics for papers by Paolo Pellizzari.

Last updated 2009-11-06. Update your information in the RePEc Author Service.

Short-id: ppe55

Working Papers

2009

1. A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2. Allocative efficiency and traders' protection under zero intelligence behavior
   Working Papers, Department of Applied Mathematics, University of Venice View citations
3. Mutual funds flows and the "Sheriff of Nottingham" effect
   Working Papers, Department of Applied Mathematics, University of Venice
4. Some effects of transaction taxes under different microstructures
   Working Papers, Department of Applied Mathematics, University of Venice
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2007)
5. The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients
   Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney

2008

6. The Toll of Subrational Trading in an Agent Based Economy
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2007

7. Which market protocols facilitate fair trading?
   Working Papers, Department of Applied Mathematics, University of Venice View citations

2006

8. A comparison of different trading protocols in an agent-based market
   Working Papers, Department of Applied Mathematics, University of Venice View citations
   Also in Computational Economics, EconWPA (2005)
   See also Journal Article in Journal of Economic Interaction and Coordination (2007)
9. Learning and equilibrium selection in a coordination game with heterogeneous agents
   Working Papers, Department of Applied Mathematics, University of Venice
10. Simple Market Protocols for Efficient Risk Sharing
    Working Papers, Department of Applied Mathematics, University of Venice
    Also in Finance, EconWPA (2005) View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
11. The allocative effectiveness of market protocols under intelligent trading
    Working Papers, Department of Applied Mathematics, University of Venice View citations

2005

12. Breeds of risk-adjusted fundamentalist strategies in an order- driven market
    Computational Economics, EconWPA

2003

13. Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets
    Computational Economics, EconWPA View citations
14. Monte Carlo Pricing of American Options Using Nonparametric Regression
    Finance, EconWPA
15. Static Hedging of Multivariate Derivatives by Simulation
    Finance, EconWPA View citations
    See also Journal Article in European Journal of Operational Research (2005)

2002

16. Clashing Fundamentalists and the Dynamics of Price Formation
    Computing in Economics and Finance 2002, Society for Computational Economics
17. Utility based pricing of contingent claims
    Finance, EconWPA

1998

18. Efficient Monte Carlo Pricing of Basket Options
    Finance, EconWPA View citations

Journal Articles

2007

1. A comparison of different trading protocols in an agent-based market
   Journal of Economic Interaction and Coordination, 2007, 2, (1), 27-43 View citations
   See also Working Paper (2006)
2. Simple market protocols for efficient risk sharing
   Journal of Economic Dynamics and Control, 2007, 31, (11), 3568-3590 View citations
   See also Working Paper (2006)

2005

3. Static hedging of multivariate derivatives by simulation
   European Journal of Operational Research, 2005, 166, (2), 507-519 View citations
   See also Working Paper (2003)

2002

4. Utility based pricing of contingent claims in incomplete markets
   Applied Mathematical Finance, 2002, 9, (4), 241-260 View citations