Details about Marco Corazza

Access statistics for papers by Marco Corazza.

Last updated 2023-05-23. Update your information in the RePEc Author Service.

Short-id: pco232

Working Papers

2021

1. Impact of public news sentiment on stock market index return and volatility
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
   See also Journal Article Impact of public news sentiment on stock market index return and volatility, Computational Management Science, Springer (2023) View citations (1) (2023)

2020

2. Cumulative Prospect Theory portfolio selection
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)

2019

3. A comparison among Reinforcement Learning algorithms in financial trading systems
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
4. Properties of some generalized means for positive sequences
   Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia

2017

5. Mathematical and Statistical Methods for Actuarial Sciences and Finance
   Post-Print, HAL View citations (72)
6. PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs
   Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia

2015

7. A novel initialization of PSO for costly portfolio selection problems
   Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia View citations (2)
8. Q-Learning and SARSA: a comparison between two intelligent stochastic control approaches for financial trading
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)
9. Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2014

10. Q-Learning-based financial trading systems with applications
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)

2012

11. A unified frame work for performance and risk attribution
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
12. An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem
    Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia View citations (3)
13. Reinforcement Learning for automatic financial trading: Introduction and some applications
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (11)

2011

14. A fuzzy-based scoring rule for author ranking
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
15. An Artificial Neural Network technique for on-line hotel booking
    Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia
16. Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (9)

2008

17. An MCDA-based Approach for Creditworthiness Assessment
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (1)
18. Fuzzy interval net present value
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia
19. What Sequences obey Benford's Law ?
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2006

20. Financial trading systems: Is recurrent reinforcement the via?
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (2)
21. Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2000

22. NONLINEAR STOCHASTIC DYNAMICS FOR SUPPLY COUNTERFEITING IN MONOPOLISTIC MARKETS
    Computing in Economics and Finance 2000, Society for Computational Economics

Journal Articles

2023

1. Impact of public news sentiment on stock market index return and volatility
   Computational Management Science, 2023, 20, (1), 1-36 View citations (1)
   See also Working Paper Impact of public news sentiment on stock market index return and volatility, SAFE Working Paper Series (2021) (2021)

2021

2. A note on “Portfolio selection under possibilistic mean-variance utility and a SMO algorithm”
   European Journal of Operational Research, 2021, 288, (1), 343-345 View citations (1)
3. A novel hybrid PSO-based metaheuristic for costly portfolio selection problems
   Annals of Operations Research, 2021, 304, (1), 109-137 View citations (7)
4. Design of adaptive Elman networks for credit risk assessment
   Quantitative Finance, 2021, 21, (2), 323-340 View citations (5)
5. MURAME parameter setting for creditworthiness evaluation: data-driven optimization
   Decisions in Economics and Finance, 2021, 44, (1), 295-339

2019

6. Possibilistic mean–variance portfolios versus probabilistic ones: the winner is
   Decisions in Economics and Finance, 2019, 42, (1), 51-75

2017

7. Managing the Ship Movements in the Port of Venice
   Networks and Spatial Economics, 2017, 17, (3), 861-887 View citations (4)

2016

8. Creditworthiness evaluation of Italian SMEs at the beginning of the 2007–2008 crisis: An MCDA approach
   The North American Journal of Economics and Finance, 2016, 38, (C), 1-26 View citations (6)

2012

9. Creditworthiness and scoring analysis of the Italian Smes using multiple informative sources during the financia
   BANCARIA, 2012, 01, 47-63

2010

10. Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
    Computational Economics, 2010, 35, (1), 1-23 View citations (5)

2007

11. On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
    European Journal of Operational Research, 2007, 176, (3), 1947-1960 View citations (15)

2002

12. Multi-Fractality in Foreign Currency Markets
    Multinational Finance Journal, 2002, 6, (2), 65-98 View citations (23)
    See also Chapter Multi-Fractality in Foreign Currency Markets, World Scientific Book Chapters, 2005, 151-184 (2005) (2005)

1997

13. Searching for fractal structure in agricultural futures markets
    Journal of Futures Markets, 1997, 17, (4), 433-473 View citations (35)

Edited books

2021

1. Mathematical and Statistical Methods for Actuarial Sciences and Finance
   Springer Books, Springer

Chapters

2021

1. Behavioral Aspects in Portfolio Selection
   Springer
2. Comparing RL Approaches for Applications to Financial Trading Systems
   Springer
3. MFG-Based Trading Model with Information Costs
   Springer
4. Robomanagement $$^\mathrm{{TM}}$$ TM: Virtualizing the Asset Management Team Through Software Objects
   Springer
5. Trading System Mixed-Integer Optimization by PSO
   Springer

2008

6. Clustering Financial Data for Mutual Fund Management
   Springer View citations (2)

2005

7. Multi-Fractality in Foreign Currency Markets
   Chapter 11 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 151-184
   See also Journal Article Multi-Fractality in Foreign Currency Markets, Multinational Finance Journal (2002) View citations (23) (2002)