Cv, Publications and more

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Short Biographical notes

I have been teaching a variety of statistics, financial math, calculus, computer science and computational economics courses at the Economics and Science Faculties of "Ca' Foscari" University, Venice. In 2007, 2014 and 2015 I taught "Artificial Economics" and "An introduction to Complexity in Economics and Social Sciences" (twice) at the Harvard - Ca' Foscari Summer School. In 2010, I organized Artificial Economics 2010 in Treviso (sixth edition).

See the full CV here

Publications

  1. Caterina Cruciani, Anna Moretti, Paolo Pellizzari, "Dynamic patterns in similarity-based cooperation: an agent-based investigation, Journal of Economic Interaction and Coordination, 12 (1), 121-141, 2017.

  2. Alessandro Moro, Paolo Pellizzari, "An agent-based model of labor market participation with health shocks", Lecture Notes in Computer Science, 9662, 157-168, 2016.

  3. Paolo Pellizzari, "Molteplicità nell'idea di Università",191-194. In Idee di Università e strategie degli atenei Italiani, a cura di Marisa Michelin, Guerini e Associati, 2016. Download here.

  4. Elena Sartori, Marco Tolotti, "Optimal policies in two-step binary games under social pressure and limited resources", Advances in Complex Systems, 18 (5-6), 1550020, 2015.

  5. A. Cosma, D. Cecchet, S. Gaiani, A. Coracina, P. Pellizzari, C. Pizzi, N. Veronese, D. Sacerdoti, P. Tessari,"Clinical and biochemical determinants of the extent of liver steatosis in T2DM", European Journal of Gastroenterology and Hepatology, 1386-1391, 2015.

  6. Ronald Bird, Paolo Pellizzari, Danny Yeung, "Performance implications of active management of institutional mutual funds", Accounting and Finance, 55 (1), 1-27, 2015..

  7. Paolo Pellizzari, Elena Sartori, Marco Tolotti, "Trade-in programs in the context of technological innovation with herding", in "Advances in Artificial Economics, LNEMS vol. 676, 219-230, 2015.

  8. Paolo Pellizzari, "In Whose Best Interest? An Agent-Based Model of High Frequency Trading", in ``Trends in Practical Applications of Agents, Multi-Agent Systems and Sustainability", Advances in Intelligent Systems and Computing, vol. 372, 11--18, Springer, 2015.

  9. Paolo Pellizzari, Friederike Wall (Editors), Special issue "Simulation in Management Accounting and Management Control", Journal of Management Control, Volume 26, Issue 2-3, August 2015.

  10. Paolo Pellizzari, Friederike Wall, "Simulation in management accounting and management control: editorial", Journal of Management Control, 26 (2-3), 95-98, 2015.

  11. Dan Ladley, Paolo Pellizzari, "The simplicity of optimal trading in order book markets", in Advances in Nonlinear Economic Dynamics and Quantitative Finance, Essays in Honour of Carl Chiarella, 183-199, Springer, 2014. [Download (from IDEAS)]

  12. Paolo Pellizzari, Dino Rizzi, "Citizenship and power in an agent-based model of tax compliance with public expenditure", Journal of Economic Psychology, 40, 35--48, 2014. [Download (from IDEAS)]

  13. Susanna Calimani, Paolo Pellizzari, "Tax Enforcement in an Agent-Based Model with Endogenous Audits", in Stephan Leitner, Friederike Wall, Eds., "Artificial Economics and Self Organization", Lecture Notes in Economics and Mathematical Systems Volume 669, Springer, 2014, pp 41-53. Download the preprint version.

  14. Shira Fano, Marco Li Calzi, Paolo Pellizzari, "Convergence of outcomes and evolution of strategic behavior in double auctions", Journal of Evolutionary Economics July 2013, Volume 23, Issue 3, pp 513-538. [Download (from IDEAS)].

  15. Carl Chiarella, Xue-Zhong He, Paolo Pellizzari, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market", Macroeconomic Dynamics, vol. 16, p. 556-575, 2012, ISSN: 1365-1005, doi: 10.1017/S136510051000074X, [Download (from IDEAS)].

  16. Coracina A., Gaiani S., Cosma A., Pellizzari P., Pizzi C., de Kreutzenberg S., Cecchet D., Sacerdoti D., Tessari P., "No association between the degree of liver steatosis and early signs of vasculopathy in T2DM", NMCD. NUTRITION METABOLISM AND CARDIOVASCULAR DISEASES, vol. 22, p. e11-e12, 2012, ISSN: 0939-4753, doi: 10.1016/j.numecd.2011.11.008.

  17. Caterina Cruciani, Anna Moretti, Paolo Pellizzari, "Sense making and information in an agent-based model of cooperation", in Andrea Teglio, Simone Alfarano, Eva Camacho-Cuena, Miguel Ginés-Vilar (Eds.), Managing Market Complexity: The Approach of Artificial Economics, LNEMS vol. 662, Springer, 2012, 127-139. [Download (from IDEAS)]

  18. S. Fano, P. Pellizzari, "Time-dependent trading strategies in a continuous double auction", in Sjoukje Osinga, Gert Jan Hofstede and Tim Verwaart, Eds., Emergent Results of Artificial Economics, LNEMS vol. 652, Springer, 2011, 165-176. [Download (from IDEAS)]

  19. M. LiCalzi, L. Milone, P. Pellizzari, "Allocative efficiency and trader's protection under zero intelligence behavior", in H. Dawid, W. Semmler (eds.), "Computational Methods in Economic Dynamics", Dynamic Modeling and Econometrics in Economics and Finance, Vol. 13, 5-28, Springer, 2011. [Download (from IDEAS)] or at springer.com.

  20. Ron Bird, Lorenzo Casavecchia, Paolo Pellizzari, Paul Woolley, "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients", Journal of Economic Interaction and Coordination, vol. 6, p. 61-82, 2011, ISSN: 1860-711X, doi: 10.1007/s11403-010-0076-4, [Download (from IDEAS)].

  21. M. LiCalzi, L. Milone, P. Pellizzari (Editors), "Progress in Artificial Economics: Computational and Agent-Based Models", Lecture Notes in Economics and Mathematical Systems, Volume 645, Springer, 2010.

  22. P. Pellizzari, F. Westerhoff, "Some effects of transaction taxes under different microstructures", Journal of Economic Behavior and Organization, 72, 3, 850-863, 2009. [Download (from IDEAS), [Download (Elsevier)].
    You may not believe it (I don't!), but this work is mentioned in The New York Times (October 1, 2008).

  23. L. Milone, P. Pellizzari, "Mutual funds flows and the 'Sheriff of Nottingham' effect", in C. Hernandez, M. Posada and A. Lopez-Paredes (eds.), Artificial Economics: the Generative Method in Economics, Springer, 2009, 117-128. [ Download (from IDEAS)].

  24. M. LiCalzi, P. Pellizzari, "Zero-intelligence trading without resampling", in: K. Schredelseker and F. Hauser (eds.), Complexity and Artificial Markets, Springer, 2008, 3-14. Download (from IDEAS).

  25. E. Bonel, P. Pellizzari, E. Rocco, "Coopetition and complementarities: modelling coopetition strategy and its risks at an individual partner level", Management Research, vol. 6, n. 3, 2008, 189-204.

  26. A. Fogale, P. Pellizzari, M. Warglien, "Learning and equilibrium selection in a coordination game with heterogeneous agents", Physica A, 380, 519-527, 2007. Download (from IDEAS). DOI:10.1016/j.physa.2007.02.073.

  27. M. LiCalzi, P. Pellizzari, "Which market protocols facilitate fair trading?", in A. Consiglio (ed.), Artificial Market Modeling, Springer 2007, 81-100. Download (from IDEAS).

  28. M. LiCalzi, P. Pellizzari, "Simple market protocols for efficient risk sharing", Journal of Economic Dynamics and Control, 3568-3590, 2007. DOI: 10.1016/j.jedc.2006.12.007. Download (from IDEAS).

  29. P. Pellizzari, A. Dal Forno, "A comparison of different trading protocols in an agent-based market", Journal of Economic Interaction and Coordination, vol. 2, n. 1, 27-43, 2007. DOI: 10.1007/s11403-006-0016-5. Download (from IDEAS).

  30. M. LiCalzi, P. Pellizzari, "The allocative effectiveness of market protocol s under intelligent trading", in C. Bruun (ed.), Advances in Artificial Economics: the Economy as a Complex Dynamic System, Springer 2006, 17-30. Download (from IDEAS).

  31. C. Agostinelli, P. Pellizzari, "Hierarchical clustering by means of model grouping", in M. Spiliopoulou, R. Kruse, C. Borgelt, A. Nurnberger, W. Gaul (Eds.), From Data and Information Analysis to Knowledge, Studies in Classification, Data Analysis, and Knowledge Organization, Springer, 2006, 246-253.

  32. M. LiCalzi, P. Pellizzari, "Breeds of risk-adjusted fundamentalist strategies in an order-driven market", Physica A, 359, 619-633, 2006.[Download (IDEAS version)]

  33. P. Pellizzari, "Static Hedging of Multivariate Derivatives by Simulation", European Journal of Operations Research, 166, 2, 507-519, 2005. [Download (IDEAS version)] [Download (Elsevier version)]

  34. M. LiCalzi, P. Pellizzari, "Fundamentalists clashing over the book: a study of order-driven stock markets", Quantitative Finance, 3, 470-480, 2003. [Download (proof version) ]

  35. A. Gamba, P. Pellizzari, "Utility based pricing of contingent claims in incomplete markets", Applied Mathematical Finance, 9, 241-260, 2002. [Download (IDEAS version)]

  36. C. Pizzi, P. Pellizzari, "Monte Carlo Pricing of American Options Using Nonparametric Regression", Rendiconti per gli Studi Economici Quantitativi, 75-91, 2002. [Download (IDEAS version)]

  37. P. Pellizzari, "Efficient Monte Carlo Pricing of European Options Using Mean Value Control Variates", Decisions in Economics and Finance, 24, 2, 107-126, 2001. [Download ]

  38. P. Pellizzari, B. Viscolani, "Approximate vs Exact Algorithms to Solve the Maximum Line Length Problem", Optimization, 49, 5-6, 529-551, 2001.
  39. C. Pizzi, P. Pellizzari, "Adaptive local linear models for financial time series", Journal of Computational Intelligence in Finance, 6, 32-39, 1998.

Other publications

  1. P. Pellizzari, "Complexities and simplicity: a review of agent-based artificial markets", Working paper, 2005.
  2. P. Pellizzari, A. Sorato, "On the coincidence of system optimum and user equilibrium for a widely used family of cost functions", Rendiconti per gli Studi Economici Quantitativi, 47--54, 2004.
  3. P. Pellizzari, "Efficient Monte Carlo pricing of portfolio options",Rendiconti per gli Studi Economici Quantitativi, 108-123, 2000. [Download ]
  4. S. Giove, P. Pellizzari, "Time series filtering and reconstruction using fuzzy weighted local regression", in: R. Ribeiro, R. Yager, H. Zimmermann and J. Kacprzyk (Eds.), Soft Computing in Financial Engineering, Physica-Verlag, Heidelberg and New York, 73-92, 1999.
  5. P. Pellizzari, "Efficient Monte Carlo Pricing of Basket Options", 9801001, Economics Working Paper Archive at WUSTL, 1998. [Download (from IDEAS)]
  6. P. Pellizzari, Modelli locali, caos e non linearità: un'applicazione a serie storiche finanziarie del mercato italiano, PhD dissertation (IX ciclo), Università di Trieste, 1997. [Download ]
  7. P. Pellizzari, C. Pizzi, "Linear Local Approximation for Financial Time Series Forecasting", Rendiconti per gli studi economici quantitativi, 171-186, 1996.
  8. S. Giove, P. Pellizzari, S. Tezza, "RBF networks for financial data analysis and forecasting: a fuzzy-cluster Approach", Badania Operacyjne i Decyzje, 3-4 (Operation Research and Decisions), 119-130, 1996.

Etc

I find handy to keep part of this page to provide links to often useful material.

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