Details about Marco Raberto

Access statistics for papers by Marco Raberto.

Last updated 2013-04-09. Update your information in the RePEc Author Service.

Short-id: pra66

Working Papers

2013

1. Modeling non-stationarities in high-frequency financial time series
   Papers, arXiv.org

2012

2. Macroprudential policies in an agent-based artificial economy
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
   See also Journal Article in Revue de l'OFCE (2012)
3. On the distributional properties of size, pro fit and growth of Icelandic firms
   MPRA Paper, University Library of Munich, Germany
   Also in Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) (2012)

2011

4. Debt deleveraging and business cycles: An agent-based perspective
   Economics Discussion Papers, Kiel Institute for the World Economy View citations (8)
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2012)
5. The impact of banks’ capital adequacy regulation on the economic system: an agent-based approach
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) View citations (1)
   See also Journal Article in Advances in Complex Systems (ACS) (2012)

2010

6. Credit money and macroeconomic instability in the agent-based model and simulator Eurace
   Economics Discussion Papers, Kiel Institute for the World Economy View citations (7)
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2010)

2006

7. Duopolistic competition in an electricity markets with heterogeneous cost functions
   Computing in Economics and Finance 2006, Society for Computational Economics

2005

8. A dynamic model of a monetary production economy under the disequilibrium economics approach
   Computing in Economics and Finance 2005, Society for Computational Economics
9. Anomalous waiting times in high-frequency financial data
   Papers, arXiv.org View citations (2)
   Also in Papers, arXiv.org (2003) View citations (1)
   See also Journal Article in Quantitative Finance (2004)
10. Multi-agent modeling and simulation of a sequential monetary production economy
    Computational Economics, EconWPA
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)

2004

11. Correlations in the Bond–Future Market
    Finance, EconWPA
    Also in Papers, arXiv.org (1999)
12. Fractional calculus and continuous-time finance II: the waiting- time distribution
    Finance, EconWPA View citations (9)
    Also in Papers, arXiv.org (2000) View citations (17)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
13. Volatility in the Italian Stock Market: An Empirical Study
    Finance, EconWPA
    Also in Papers, arXiv.org (1999)
14. Waiting-times and returns in high-frequency financial data: an empirical study
    Finance, EconWPA View citations (4)
    Also in Papers, arXiv.org (2002) View citations (9)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)

2002

15. Traders’ long-run wealth in an artificial financial market
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
    See also Journal Article in Computational Economics (2003)

2001

16. Agent-based simulation of a financial market
    Papers, arXiv.org View citations (14)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2001)

2000

17. Learning short-option valuation in the presence of rare events
    Papers, arXiv.org
18. The waiting-time distribution of LIFFE bond futures
    Papers, arXiv.org

Journal Articles

2012

1. Debt, deleveraging and business cycles: An agent-based perspective
   Economics - The Open-Access, Open-Assessment E-Journal, 2012, 6, (27), 1-49 View citations (1)
   See also Working Paper (2011)
2. EDITORIAL — MANAGING FINANCIAL INSTABILITY IN CAPITALIST ECONOMIES
   Advances in Complex Systems (ACS), 2012, 15, (su), 1203005-1-1203005-4
3. Macroprudential Policies in an Agent-Based Artificial Economy
   Revue de l'OFCE, 2012, N° 124, (5), 205-234
   See also Working Paper (2012)
4. Reply to Comments
   Revue de l'OFCE, 2012, N° 124, (5), 50a-52a
5. THE IMPACT OF BANKS' CAPITAL ADEQUACY REGULATION ON THE ECONOMIC SYSTEM: AN AGENT-BASED APPROACH
   Advances in Complex Systems (ACS), 2012, 15, (su), 1250040-1-1250040-27 View citations (1)
   See also Working Paper (2011)

2010

6. Credit money and macroeconomic instability in the agent-based model and simulator Eurace
   Economics - The Open-Access, Open-Assessment E-Journal, 2010, 4, (26), 1-32 View citations (17)
   See also Working Paper (2010)

2008

7. Integrating Real and Financial Markets in an Agent-Based Economic Model: An Application to Monetary Policy Design
   Computational Economics, 2008, 32, (1), 147-162 View citations (8)

2006

8. A general equilibrium model of a production economy with asset markets
   Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 75-80 View citations (1)

2005

9. Modeling and simulation of a double auction artificial financial market
   Physica A: Statistical Mechanics and its Applications, 2005, 355, (1), 34-45 View citations (2)

2004

10. Anomalous waiting times in high-frequency financial data
    Quantitative Finance, 2004, 4, (6), 695-702 View citations (1)
    See also Working Paper (2005)

2003

11. Traders' Long-Run Wealth in an Artificial Financial Market
    Computational Economics, 2003, 22, (2), 255-272 View citations (8)
    See also Working Paper (2002)
12. Who wins? Study of long-run trader survival in an artificial stock market
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 227-233 View citations (4)

2002

13. Waiting-times and returns in high-frequency financial data: an empirical study
    Physica A: Statistical Mechanics and its Applications, 2002, 314, (1), 749-755 View citations (6)
    See also Working Paper (2004)

2001

14. Agent-based simulation of a financial market
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 319-327 View citations (15)
    See also Working Paper (2001)

2000

15. Fractional calculus and continuous-time finance II: the waiting-time distribution
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (3), 468-481 View citations (13)
    See also Working Paper (2004)