A Selection of Articles and Papers

Sergio Focardi, PhD

Focardi Sergio M. 2018, “Do Capitalists Still Need Consumers?”, appeared in Social Europe, 18 September, 2018 (https://www.socialeurope.eu/author/sergio-focardi)

Focardi Sergio M. 2018, “Symbolic Growth and Stagnant Wages”, appeared in Social Europe, 31 May, 2018 (https://www.socialeurope.eu/author/sergio-focardi)

Focardi, Sergio M. 2018, “Central-bank digital currencies: Towards a cashless society?” The Conversation. 10 April. (https://theconversation.com/central-bank-digital-currencies-toward-a-cashless-society-93903). French version appeared 8 May (http://theconversation.com/les-monnaies-numeriques-des-banques-centrales-vers-une-societe-sans-especes-96244).

Focardi, Sergio M. 2018. “As markets climb to record highs, are today’s stock markets overvalued?” The Conversation. 17 January. ( https://theconversation.com/as-markets-climb-to-record-highs-are-todays-stock-markets-overvalued-91087 French version appeared 29 January (https://theconversation.com/alors-que-les-bourses-atteignent-des-sommets-les-actions-sont-elles-surevaluees-88916).

Focardi, Sergio M., Linda Ponta, Marco Raberto. 2017. “Growth, Complexity, and Financial Fragility”, EAEPE Conference, 21-24 October, Budapest.

Focardi, Sergio M. and Frank J. Fabozzi. 2016. “Mathematics and Economics: Saving a Marriage on the Brink of Divorce?” Editorial Comment in Journal of Portfolio Management, vol. 42, no 4: 1-3.

Engle, Robert, Sergio M. Focardi, and Frank J. Fabozzi. 2016. “Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management.” Journal of Portfolio Management, vol. 42, no.5.

Focardi, Sergio M., Frank J. Fabozzi, and Ivan Mitov. 2016. “A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance.” Journal of Banking and Finance (April).

Citovski, Gui and Sergio M. Focardi. 2015. “A novel view of supra threshold stochastic resonance and its applications to financial markets.” Frontiers of  Applied Mathematics and Statistics, 8 October, http://dx.doi.org/10.3389/fams.2015.00010.

Focardi, Sergio M. 2015. “Is Economics an Empirical Science? If Not, Can It Become One?” Frontiers of  Applied Mathematics and Statistics, 21 July, http://dx.doi.org/10.3389/fams.2015.00007.

Focardi, Sergio M. and Frank J. Fabozzi. 2014. “Economics: An Empirical Science Capable of Forecasting Economic Events?” The Journal of Portfolio Management, vol. 40, no. 5: 183–195.

Focardi, Sergio M. and Frank J. Fabozzi. 2014. “Can We Predict Stock Market Crashes?” The Journal of Portfolio Management, 40th Anniversary Issue, vol. 40, no. 5: 183–195.

Focardi, Sergio M. and Frank J. Fabozzi. 2013. “Factor Uniqueness in the S&P 500 Universe: Can Proprietary Factors Exist?” International Journal of Theoretical and Applied Finance 1, vol. 16, no. 4 (June).

Focardi, Sergio M. and Frank J. Fabozzi. 2013 “What’s Wrong with Today’s Economics?”  Journal of Portfolio Management, vol. 38, no. 3 (Spring): 104-119.

Engle, Robert F., Sergio M. Focardi, and Frank J. Fabozzi. 2012 “ARCH/GARCH Models in Applied Financial Econometrics.” Financial Econometrics, Published Online: 15 December.

Fabozzi, Frank J., Sergio M. Focardi, and Caroline Jonas. 2011. “High-Frequency Trading: Methodologies and Market Impact.” Review of Futures Market, vol. 19 (Special Issue): 7-38.

Huang, Dashan, Baimin Yu, Zu Lu, Sergio M. Focardi, Frank J. Fabozzi, and Masao Fukushima. 2010. “Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model.” Studies in Nonlinear Dynamics and Econometrics, vol. 14, no. 2, Berkeley Electronic Press, Article 1.

Focardi, Sergio and Frank J. Fabozzi. 2010. “The Reasonable Effectiveness of Mathematics in Economics.” The American Economist, vol. 49 (Spring): 3-15.

Focardi, Sergio and Frank J. Fabozzi. 2009. “Black Swans and White Eagles: On Mathematics and Finance.” Mathematical Methods of Operations Research, vol. 69, no. 3 (July): 379-394.

Fabozzi, Frank J., Sergio M. Focardi, and Caroline L. Jonas. 2008 “Considerations on the Challenges in Quantitative Equity Management.” Quantitative Finance, vol. 8, issue 7: 649-665.

Fabozzi, Frank J., Petter N. Kolm, Dessislava A. Pachamanova, and Sergio M. Focardi. 2007. “Robust Portfolio Optimization.” Journal of Portfolio Management (Spring): 40-48.

Fabozzi, Frank J., Sergio M. Focardi, and Caroline Jonas, “Trends in Quantitative Equity Management: Survey Results.” Quantitative Finance vol. 7, no. 2 (April): 115-122. (The results reported in this article were the subject of a feature story in CFA Institute Magazine by Susan Trammell, “Perpetual Motions: A New Study Looks at Trends in Equity Portfolio Modeling” January-February 2007, pp. 39-44. The paper is reprinted as Chapter 1 in Quantitative Fund Management edited by M. Dempster, G. Pflug, and G. Mitra, published by Taylor & Francis Group in 2008).

Phoa, Wesley, Sergio Focardi, and Frank J. Fabozzi. 2007. “How Do Conflicting Theories about Financial Markets Coexist?” Journal of Post Keynesian Economics, vol.29, no. 4 (Summer): 699-701.

Fabozzi, Frank J., Sergio M. Focardi, and Petter N. Kolm,. 2006. “A Simple Framework for Time Diversification.” Journal of Investing (Fall): 8-18.

Fabozzi, Frank J., Sergio M. Focardi, and Petter N. Kolm. 2006. “Incorporating Trading Strategies in the Black-Litterman Framework.” Journal of Trading (Spring): 28-37.

Focardi, Sergio and Frank J. Fabozzi. 2005. “Contagion Modeling in Market and Credit Risk: Does It Add Value?” Risk Letters, vol. 1, no. 2 (December).

Fabozzi, Frank J., Sergio M. Focardi, and K.C. Ma. 2005. “Implementable Quantitative Research.” Journal of Alternative Investments (Fall): 71-79. (Translated and reprinted as ”Überführung von quantitativem Research in implementierbare Handelsstrategien - Möglichkeiten und Grenzen der Automatisierung“, in: Michael Busack and Dieter G. Kaiser (eds.), Handbuch Alternative Investments, Band 1, Gabler Verlag, Wiesbaden.)

Fabozzi, Frank J., Sergio M. Focardi, and Caroline Jonas. 2005. “Market Experience with Modeling for Defined-Benefit Pension Funds: Evidence from Four Countries.” Journal of Pension Economics, vol 4, no. 3 (November): 313-327. (Paper subject of an article in the December 20, 2004 issue of the Financial Times.)

Focardi, Sergio M. and Frank J. Fabozzi. 2005 “An Autoregressive Conditional Duration Model of Credit-Risk Contagion.” Journal of Risk Finance, vol. 6, no. 3: 208-225. (Winner of the 2006 Outstanding Paper by Emerald Literati Network.)

Kolm, Petter N., Frank J. Fabozzi, and Sergio M. Focardi. 2005. “Financial Modeling of Transaction and Trading Costs: Overview and Practice.” Finance Letters, vol. 3, issue 1 (February Special Issue on Financial Modeling of the Equity Markets).

Fabozzi, Frank J., Sergio M. Focardi, and Petter N. Kolm. 2005. “Introduction.” Finance Letters vol. 3, issue 1 (February Special Issue on Financial Modeling of the Equity Markets).

Focardi, Sergio M. and Frank J. Fabozzi. 2004. “A Methodology for Index Tracking Based on Time-Series Clustering.” Quantitative Finance, vol 4, no. 4 (August): 417-425.

Focardi, Sergio M., Petter N. Kolm, and Frank J. Fabozzi. 2004. “New Kids on the Block: Trends in Quantitative Finance and Their Impact on Investment Management.” Journal of Portfolio Management, Special Anniversary Issue (Fall): 42-54.

Focardi, Sergio M. and Frank J. Fabozzi. 2004. “A Percolation Approach to Modeling Credit Loss Distribution under Contagion.” Journal of Risk, vol. 7, no.1 (Fall):75-94.

Fabozzi, Frank J., Sergio M. Focardi, and Caroline L. Jonas. 2004. “Trends in Quantitative Asset Management in Europe.” Journal of Portfolio Management, Special European Issue (Summer):125-132.

Focardi, Sergio and Frank J. Fabozzi. 2004. “Clustering Economic and Financial Time Series: Exploring the Existence of Stable Correlation Conditions.” Finance Letters, vol. 2, no 3: 1-9.

Focardi, Sergio M. and Frank J. Fabozzi. 2003. “Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena?" Journal of Risk Finance, vol, 5, no.1 (Fall):5-26.

Raberto, M., S. Cincotti, S.M. Focardi, and M. Marchesi. 2003. “Traders’ Long-Run Wealth in an Artificial Financial Market.” Computational Economics, vol. 22, no. 2-3 (October-December): 255-272.

Cincotti, S., S.M. Focardi, M. Marchesi, and M. Raberto. 2003. “Who Wins? Study of Long-Run Trader Survival in an Artificial Stock Market.” Physica A: Statistical Mechanics and its Applications, vol. 324, issues 1-2 (June): 227-233. Proceedings of the International Econophysics Conference.

Focardi, Sergio, Silvano Cincotti, and Michele Marchesi. 2002. “Self-organization and Market Crashes.” Journal of Economic Behavior & Organization, vol. 49, no.2: 241-267.

Raberto, Marco, Silvano Cincotti, Sergio Focardi, and Michele Marchesi. 2001. “Agent-based Simulation of a Financial Market,” Physica A: Statistical Mechanics and its Applications, vol. 299, issues 1-2, (October): 319-327.

Focardi, Sergio. 1999. “Business as Usual and Rare Events: The Odd Couple of Risk Management Coming Together.” Journal of Portfolio Management, 25th Anniversary Issue (May): 47-54.

Focardi, Sergio. 1997. “A Seam of Knowledge: The Importance of Data Analysis in Firm-wide Financial Optimisation.” Risk Magazine, vol. 10, no. 8 (August).

Focardi, Sergio. 1996. “From Equilibrium to Non-linear Dynamics in Investment Management." Journal of Portfolio Management (Summer): 19-30.