I'm currently associate professor at the Dept. of Economics "Ca' Foscari" University in Venice (after 12 years at the Department of Applied Mathematics).
Phd in "Mathematics for economic decisions" at Venice University
"Ca' Foscari", 1997.
Degree in Mathematics, University of Padova, 1992, (110/110 cum
laude);
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. Since 2001-02, I teach
"Mathematics" at the IMEF master's program in
Economics and Finance (formerly at Venice International University (VIU).
Lists
Top 5% author: since October 2007. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors.
Main publications
Ron Bird, Lorenzo Casavecchia, Paolo Pellizzari, Paul Woolley, "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients", Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, 2009. [Download (from IDEAS)]. Forthcoming on The Journal of Economic Interaction and Coordination, 2011.
Shira Fano, Marco Li Calzi, Paolo Pellizzari, "Convergence of outcomes and evolution of strategic behavior in double auctions," Working Papers 196, Department of Applied Mathematics, University of Venice, 2010. [Download (from IDEAS)]. Submitted to The Journal of Evolutionary Economics.
Carl Chiarella, Xue-Zhong He, Paolo Pellizzari, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney, 2009. [Download (from IDEAS)]. Forthcoming on Macroeconomic Dynamics, 2011.
M. LiCalzi, L. Milone, P. Pellizzari, "Allocative efficiency and trader's protection under zero intelligence behavior", forthcoming in H. Dawid, W. Semmler (eds.), "Computational Methods in Economic Dynamics", Springer, 2011. [Download (from IDEAS)].
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).
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)].
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).
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.
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.
M. LiCalzi, P. Pellizzari, "Which market protocols facilitate fair trading?", in A. Consiglio (ed.), Artificial Market Modeling, Springer 2007, 81-100. Download (from IDEAS).
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).
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).
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).
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.
M. LiCalzi, P. Pellizzari, "Breeds of risk-adjusted fundamentalist
strategies in an order-driven market", Physica A, 359, 619-633, 2006.[Download (IDEAS version)]
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) ]
A. Gamba, P. Pellizzari, "Utility based pricing of contingent
claims in incomplete markets", Applied Mathematical Finance,
9, 241-260, 2002. [Download (IDEAS version)]
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)]
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 ]
P. Pellizzari, B. Viscolani, "Approximate vs Exact Algorithms to
Solve the Maximum Line Length Problem",
Optimization, 49, 5-6, 529-551, 2001.
C. Pizzi, P. Pellizzari, "Adaptive local linear models for financial
time series", Journal of Computational Intelligence in Finance,
6, 32-39, 1998.
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.
P. Pellizzari, "Efficient Monte Carlo pricing of portfolio
options",Rendiconti per gli Studi Economici Quantitativi,
108-123, 2000. [Download ]
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.
P. Pellizzari, "Efficient Monte Carlo Pricing of Basket Options", 9801001, Economics Working Paper Archive at WUSTL, 1998. [Download
(from IDEAS)]
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 ]
P. Pellizzari, C. Pizzi, "Linear Local Approximation for Financial
Time Series Forecasting", Rendiconti per gli studi economici
quantitativi, 171-186, 1996.
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.
I find handy to keep part of this page to provide links to often useful material.
R environment: powerful, free, vectorial, graphical,
extensible, relatively platform independent... not that
far (apart from steep initial learning cost) from a weak form of computational
perfection. cran.r-project.org.
Fondamentale archivio di working paper economici e finanziari, IDEAS. Contiene anche informazioni su risorse, autori e istituzioni. Visit also SSRN Electronic Library and the monumental LANL Archive for econophysics stuff.
