Deild:  


Marco Raberto, Visiting Researcher

School:School of Science and Engineering 
Location:V.2.20 
Office hours:by appointment 
Phone:+354 5996522   Mobile: +354 6179522 
Email:rabertoru.is 
Website:http://www.ru.is/starfsfolk/raberto

Education

2003 University of Genoa (Italy), PhD in Electronic and Computer Science Engineering
1999 University of Genoa (Italy), MSc. Physics

Career

2003 - 2006 University of Genoa, Italy, Postdoc
2006 - 2008 University of Genoa, Italy, Research fellow

RU teaching record

More...

Teaching outside RU

2006, University of Genoa, Business Management (teacher)
2002 - 2008, University of Genoa, Economic and Financial Engineering (exercises)

Research

Agent-based computational economics
Economic and financial engineering
Econophysics

Honours and grants

  • 2006-2008, Research Fellowship on “Agent-based modelling for economic policy design”, based on a project funded by the European Commission under FP6 on “An agent-based software platform for European economic policy design with heterogeneous interacting agents: new insights from a bottom up approach to economic modelling and simulation”.
  • 2003-2006, Postdoc grant on “Study of complex dynamic behaviors in non-linear interacting systems”, based on a project funded by the Italian Ministry of Education, University and Research (MIUR) under FIRB.
  • 2000- 2003, PhD Grant, University of Genoa.

Publications

a. Full-length papers published in peer-reviewed scientific journals:

  1. M. Raberto, A. Teglio, and S. Cincotti, “Integrating real and financial markets in an agent-based economic model: an application to monetary policy design”, Computational Economics, vol. 32, no. 1-2, pp. 147-162, September 2008
  2. E. Guerci, S. Ivaldi, M. Raberto, and S. Cincotti, “Learning oligopolistic competition in electricity auctions”, Computational Intelligence, vol. 23, no. 2, pp. 197-220, May 2007.    
  1. M. Raberto, A. Teglio, and S. Cincotti, A general equilibrium model of a production economy with asset markets, Physica A, vol. 370, no. 1, pp. 75-80, October 2006.     
  1. M. Raberto, A. Teglio, and S. Cincotti, “A dynamic general disequilibrium model of a sequential monetary production economy”, Chaos, Solitons & Fractals, vol. 29, no. 3, pp. 566-577, August 2006.     
  1. M. Raberto and S. Cincotti, “Analysis and simulation of a double auction artificial financial market”, Physica A, vol. 255 no. 1, pp. 34-45, September 2005.    
  1. E. Scalas, R. Gorenflo, H. Luckock, F. Mainardi, M. Mantelli, and M. Raberto, “On the intertrade waiting-time distribution”, Finance Letters, vol. 5, no. 1, February 2005, article no. 6.
  1. E. Scalas, R. Gorenflo, H. Luckock, F. Mainardi, M. Mantelli, and M. Raberto, “Anomalous waiting times in high-frequency financial data”, Quantitative Finance, vol. 4, pp. 695-702, December 2004.   
  1. M. Raberto, S. Cincotti, S. Focardi, and M. Marchesi, “Traders’ long-run wealth in an artificial financial market”, Computational Economics, vol. 22, no. 2-3, pp. 255-272, December 2003.
  1. S. Cincotti, S.M. Focardi, M. Marchesi and M. Raberto. “Who wins? Study of long-run trader survival in an artificial stock market”, Physica A vol. 324, no.1-2, pp. 227-233, June 2003.
     
  1. M. Raberto, E. Scalas, and F. Mainardi, “Waiting-times and returns in high-frequency financial data: an empirical study”, Physica A vol 314, no. 1-4, pp. 749-755, November 2002.
      doi:10.1016/S0378-4371(02)01048-8
  1. M. Raberto, S. Cincotti, S. Focardi, and M. Marchesi, “Agent-based simulation of a financial market”, Physica A vol. 299, no. 1-2, pp. 319-327, October 2001.
 
  1. F, Mainardi, M. Raberto, R. Gorenflo, and E. Scalas, “Fractional calculus and continuous-time finance II: the waiting-time distribution”, Physica A vol 287, no. 3-4, pp. 468-481, December 2000.
   
  1. M. Raberto, E. Scalas. G. Cuniberti, and M. Riani, “Volatility in the Italian stock market: an empirical study”, Physica A vol 269 no. 1, pp. 148-155, July 1999.
     
  1. G. Cuniberti, M. Raberto, E. Scalas, “Correlation in the bond-future market”, Physica A vol 269, no. 1, pp. 90-97, July 1999.
 
 
 

b. Published refereed conference papers:

  1. M. Raberto, A. Teglio, and S. Cincotti, “Towards an agent-based approach to financial economics: integrating householdsĀ“ consumption and investment decision making”, Proceedings of 2007 European Conference on Complex System (accepted, 15 pages), Dresden, October 1-5, 2007.
  2. E. Guerci, S. Ivaldi, M. Raberto and S. Cincotti, “Learning agents in a monopolistic competition framework”, Proceedings of 2007 IEEE Congress on Evolutionary Computation (accepted, 8 pages), Singapore, September 25-28 2007.
  3. S. Casaccia, S. Cincotti, M. Raberto, and A. Teglio, “Monetary policy subject to measurement errors of private sector adaptive expectations”, Proceedings of the 2006 International Symposium on Nonlinear Theory and its Applications, G. Setti and T. Ushio (Eds), September 2006, pp. 335-338.
  4. S. Cincotti, E. Guerci, S. Ivaldi, and M. Raberto, “Discriminatory versus uniform electricity auctions in a duopolistic competition scenario with learning agents”, Proceedinds of the 2006 IEEE Congress on Evolutionary Computation, July 2006, pp. 2571- 2578. (Best paper award)
  5. S. Cincotti, L. Ponta, M. Raberto and E. Scalas, “Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism”, Proceedings of SPIE -- Volume 5848, Noise and Fluctuations in Econophysics and Finance, D. Abbott, J.-P. Bouchaud, X. Gabaix, and J. L. McCauley (Eds), May 2005, pp. 215-224.
  6. S. Cincotti, E. Guerci, and M. Raberto, “Price dynamics and market power in an agent-based power exchange”, Proceedings of SPIE -- Volume 5848, Noise and Fluctuations in Econophysics and Finance, D. Abbott, J.-P. Bouchaud, X. Gabaix, and J. L. McCauley (Eds), May 2005, pp. 233-240.
 

c. Short communications:

  1. M. Raberto, G. Cuniberti, M. Riani, E. Scalas, F. Mainardi, and G. Servizi, “Learning short-option valuation in the presence of rare events”, International Journal of Theoretical and Applied Finance, vol. 3, no. 3, pp. 563-564, 2000.
 

d. Monographs (chapters in books):

  1. M. Raberto, A. Teglio, and S. Cincotti, “Prospect theory behavioral assumptions in an artificial financial economy”, in K. Schredelseker and F. Hauser (Eds), “Complexity and Artificial Markets”, pp. 53-66. Lecture Notes in Economics and Mathematical Systems. Springer Verlag Berlin Heidelberg 2008
  2. M. Raberto, A. Teglio, and S. Cincotti, “Monetary policy experiments in an artificial multi-market economy with reservation wages”, in A. Consiglio, “Artificial Markets Modeling. Methods and Applications”, pp. 33-46. Lecture Notes in Economics and Mathematical Systems. Springer Verlag Berlin Heidelberg 2007
  3. S. Cincotti, S.M. Focardi, L. Ponta, M. Raberto and E. Scalas, “The waiting-time distribution of trading activity in a double auction artificial financial market”, in A. Namatame, T. Kaizouji, e Y. Aruka (Eds), “The Complex Networks of Economic Interactions”, pp. 239-247, Lecture Notes in Economics and Mathematical Systems. Springer Verlag Berlin Heidelberg 2006.
  4. M. Raberto, S. Cincotti, C. Dose, S.M. Focardi and M. Marchesi, “Price formation in an artificial market: limit order book versus matching of supply and demand”, in T. Lux, S. Reitz, E. Samanidou (Eds), “Nonlinear Dynamics and Heterogenous Interacting Agents”, pp. 305-315, Lecture Notes in Economics and Mathematical Systems. Springer Verlag Berlin Heidelberg 2005.
  5. E. Scalas, S. Cincotti, C. Dose and M. Raberto, “Fraudulent agents in an artificial financial market”, in T. Lux, S. Reitz, E. Samanidou (Eds), “Nonlinear Dynamics and Heterogenous Interacting Agents”, pp. 317-326, Lecture Notes in Economics and Mathematical Systems. Springer Verlag Berlin Heidelberg 2005.
  6. P. Viarengo, U. Garibaldi, M. Raberto, “Herd behavior in an artificial financial market” in M. Gallegati, A. P. Kirman and M. Marsili (Eds), The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics”, Lecture Notes in Economics and Mathematical Systems, Springer Verlag, Berlin, 2004.

Other

invited presentations:
  •  “Integrating consumption and investment decisions in an agent-based model of a financial market”, presentation foreseen at the Workshop on Tackling Theoretical Questions in Finance with Computational Methods and Concepts, University of Lille, Lille, France, May 2007.
  • “A general equilibrium model of a production economy with asset markets”, Econophysics Colloquium, Australian National University, Canberra, Australia, November 2005.
  • “Modeling and simulation of a monetary production economy with heterogeneous firms”, Workshop on Volatility of Financial Markets, Lorentz Center, University of Leiden, Leiden, The Netherlands, November 2004.
  • “Modeling and simulation of a double auction artificial financial market”, First Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics, University of East Piedmont, Alessandria, Italy, September 2004.
Referee activity:
Computational Economics, Quantitative Finance, Journal of Economic Dynamics and Control, Journal of Economic Behavior & Organization, Physica A, European Physical Journal B, IEEE Transactions on Neural Networks, Europhysics Letters.