Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

  • Ca Foscari University of Venice - Dipartimento di Economia

SCHOLARLY PAPERS

19

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12

Scholarly Papers (19)

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1.

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 1,222 (28,802)
Citation 3

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

2.

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 1,130 (32,342)
Citation 2

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

3.

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 709 (61,338)
Citation 1

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

4.

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 Chicago
Downloads 376 (132,753)

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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

5.

A Comparison among Reinforcement Learning Algorithms in Financial Trading Systems

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 33/WP/2019
Number of pages: 36 Posted: 23 Jan 2020
Marco Corazza, Giovanni Fasano, Riccardo Gusso and Raffaele Pesenti
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Department of Management, Independent and Ca Foscari University of Venice - Department of Management
Downloads 248 (205,234)

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Reinforcement Learning, SARSA, Q-Learning, Greedy-GQ, Financial Trading System, Italian FTSE Mib Stock Market

6.

Impact of Public News Sentiment on Stock Market Index Return and Volatility

SAFE Working Paper No. 322
Number of pages: 43 Posted: 11 Oct 2021
Gianluca Anese, Marco Corazza, Michele Costola and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 205 (245,872)

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[comPublic financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500ma separated]

7.

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 173 (286,066)

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Performance attribution, Risk attribution, Brinson Model

8.

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
Renato Bettin, Francesco Mason, Marco Corazza and Giovanni Fasano
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 165 (297,799)

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

9.

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 123 (376,033)
Citation 2

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

10.

Cumulative Prospect Theory Portfolio Selection

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 26/WP/2020
Number of pages: 14 Posted: 12 Jan 2021
Diana Barro, Marco Corazza and Martina Nardon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 109 (410,555)

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Cumulative Prospect Theory, Portfolio Selection, Particle Swarm Optimization

11.

Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests

Number of pages: 26 Posted: 19 Oct 2007
A. (Tassos) G. Malliaris, Marco Corazza and Elisa Scalco
Loyola University Chicago, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 99 (439,208)

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

12.

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 77 (512,889)

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Preference disaggregation, Murame, Particle swarm optimization

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
Marco Corazza, Giovanni Fasano, Stefania Funari and Riccardo Gusso
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 71 (536,722)

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

14.

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 Chicago
Downloads 69 (544,994)
Citation 1

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

15.

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
Marta Cardin, Marco Corazza, Stefania Funari and Silvio Giove
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 62 (575,948)
Citation 3

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

16.

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 38 (709,731)

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

17.

Properties of Some Generalized Means for Positive Sequences

Department of Management, Università Ca' Foscari Venezia Working Paper No. 5/2019
Number of pages: 14 Posted: 06 Dec 2019
Marco Corazza, Giovanni Fasano, Daniela Favaretto and Silvio Giove
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 Ca Foscari University of Venice - Dipartimento di Economia
Downloads 26 (798,769)

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Aggregation of indicators, Ranking among measures, Mean weighted values, Concave problems

18.

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
Marco Corazza, Giacomo di Tollo, Giovanni Fasano and Raffaele Pesenti
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

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

19.

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

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