Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
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2,414

CITATIONS
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Top 17,472

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19

Scholarly Papers (15)

1.

Multifractality in Foreign Currency Markets

Multinational Finance Journal, Vol. 6, pp. 387-401, 2002
Number of pages: 28 Posted: 17 Jan 2008
Marco Corazza and A. (Tassos) G. Malliaris
Ca Foscari University of Venice - Dipartimento di Economia and Loyola University of Chicago - Department of Economics
Downloads 290 (79,535)
Citation 9

Abstract:

Exponent of Hurst, multifractal market hypothesis, fractional Brownian motion,Pareto-Lévy stable process, statistical self-similarity, modified rescaled range (or R/S) analysis,periodogram-based approach, foreign currency markets

2.

Reinforcement Learning for Automatic Financial Trading: Introduction and Some Applications

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 33/WP/2012
Number of pages: 15 Posted: 21 Dec 2012
Francesco Bertoluzzo and Marco Corazza
Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 232 (44,330)

Abstract:

Financial Trading System, Reinforcement Learning, Stochastic control, Q-learning algorithm, Kernel-based Reinforcement Learning

3.

Q-Learning-Based Financial Trading Systems with Applications

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 15/WP/2014
Number of pages: 25 Posted: 11 Oct 2014 Last Revised: 23 May 2015
Marco Corazza and Francesco Bertoluzzo
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice
Downloads 194 (30,938)

Abstract:

Financial trading system, Reinforcement Learning, Q-Learning algorithm, daily stock price time series, FTSE MIB basket

4.

An Artificial Neural Network Technique for On-Line Hotel Booking

Department of Management, Università Ca' Foscari Venezia Working Paper No. 10/2011,
Number of pages: 18 Posted: 09 Apr 2012
affiliation not provided to SSRN, Ca Foscari University of Venice - Department of Management, Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Department of Management
Downloads 111 (189,690)

Abstract:

On-line booking, hotel reservation, machine learning, supervised multilayer perceptron networks

5.

Q-Learning and SARSA: A Comparison between Two Intelligent Stochastic Control Approaches for Financial Trading

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 15/WP/2015
Number of pages: 25 Posted: 17 Jun 2015
Marco Corazza and Andrea Sangalli
Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 84 (58,459)

Abstract:

Financial trading system, Adaptive Market Hypothesis, model free machine learning, Reinforcement Learning, Q-Learning, SARSA, Italian stock market

6.

A Unified Frame Work for Performance and Risk Attribution

Ca' Foscari University of Venice Department of Economics Working Paper No. 28
Number of pages: 18 Posted: 05 Dec 2012
Marco Corazza and Andrea Menegazzo
Ca Foscari University of Venice - Dipartimento di Economia and affiliation not provided to SSRN
Downloads 77 (221,719)

Abstract:

Performance attribution, Risk attribution, Brinson Model

7.

Particle Swarm Optimization with Non-Smooth Penalty Reformulation for a Complex Portfolio Selection Problem

Number of pages: 22 Posted: 04 Aug 2011
Marco Corazza, Giovanni Fasano and Riccardo Gusso
Ca Foscari University of Venice - Dipartimento di Economia, affiliation not provided to SSRN and Independent
Downloads 76 (244,384)

Abstract:

portfolio selection, coherent risk measure, fund management constraints, NP-hard mathematical programming problem, PSO, exact penalty method, SP100 index's assets

8.

Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests

Number of pages: 26 Posted: 19 Oct 2007
Loyola University of Chicago - Department of Economics, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 74 (265,270)

Abstract:

Comovement, asset prices, bivariate dependence, non-linearity, t-test, polynomial approximation, energy asset, (vanilla) European call and put options, cross-Greeks

9.

An Evolutionary Approach to Preference Disaggregation in a MURAME-Based Credit Scoring Problem

Department of Management, Università Ca' Foscari Venezia Working Paper No. 5/2012,
Number of pages: 21 Posted: 05 May 2012
Marco Corazza, Stefania Funari and Riccardo Gusso
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management and Independent
Downloads 39 (334,286)

Abstract:

Preference disaggregation, Murame, Particle swarm optimization

10.

A Fuzzy-Based Scoring Rule for Author Ranking

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2011
Number of pages: 15 Posted: 24 Sep 2011
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 26 (380,836)

Abstract:

Research evaluation, bibliometrics, author ranking, $h$-index, scoring rules, fuzzy inference system

11.

Verifying the Rényi Dependence Axioms for a Non-Linear Bivariate Comovement Index

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2015
Number of pages: 16 Posted: 30 May 2015
Marco Corazza and Elisa Scalco
Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 7 (480,781)

Abstract:

Random variables, non-linear bivariate comovement, Rényi dependence axioms

12.

Multi-Fractality in Foreign Currency Markets

Multinational Finance Journal, Vol. 6, No. 2, p. 65-98, 2002
Number of pages: 34 Posted: 08 Jul 2015
Marco Corazza and A. (Tassos) G. Malliaris
Ca Foscari University of Venice - Dipartimento di Economia and Loyola University of Chicago - Department of Economics
Downloads 5 (511,162)
Citation 10
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Abstract:

exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis

13.

PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

Department of Management, Università Ca' Foscari Venezia Working Paper No. 2017/04,
Number of pages: 27 Posted: 20 Mar 2017
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management, Ca Foscari University of Venice - Department of Management and Independent
Downloads 0 (506,230)

Abstract:

MultiCriteria Decision Analysis, Small and Medium-sized Enterprises, Credit Risk, Particle Swarm Optimization

14.

A Novel Initialization of PSO for Costly Portfolio Selection Problems

Department of Management, Università Ca' Foscari Venezia Working Paper No. 2015 / 04,
Posted: 23 Aug 2015
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management and Ca Foscari University of Venice - Department of Management

Abstract:

Deterministic PSO, Global Optimization, Portfolio Selection Problems, Exact Penalty functions

15.

Creditworthiness and Scoring Analysis of the Italian SMEs Using Multiple Informative Sources During the Financial Crisis

Bancaria No. 01/2012
Posted: 06 Jan 2013
Marco Corazza, Stefania Funari and Riccardo Gusso
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management and Independent

Abstract:

Creditworthiness, Multicriteria decision aid, Financial crisis, Rating, Migration probabilities