Manfred Gilli : Citation Profile

Are you Manfred Gilli?

Université de Genève

12

H index

12

i10 index

503

Citations

RESEARCH PRODUCTION:

24

Articles

42

Papers

1

Books

RESEARCH ACTIVITY:

   39 years (1978 - 2017). See details.
   Cites by year: 12
   Journals where Manfred Gilli has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 17 (3.27 %)

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   Permalink: http://citec.repec.org/pgi21
   Updated: 2019-04-13    RAS profile: 2019-01-05    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Manfred Gilli.

Is cited by:

Roventini, Andrea (27)

Winker, Peter (27)

Grazzini, Jakob (25)

Richiardi, Matteo (19)

Hommes, Cars (17)

Westerhoff, Frank (13)

Lamperti, Francesco (12)

Lyra, Marianna (11)

Fagiolo, Giorgio (11)

Li, Youwei (8)

Savin, Ivan (8)

Cites to:

Winker, Peter (18)

Kontoghiorghes, Erricos (12)

Pauletto, Giorgio (7)

Schumann, Enrico (5)

Hughes Hallett, Andrew (4)

Taylor, John (4)

Fair, Ray (4)

Kilian, Lutz (3)

Markowitz, Harry (3)

Fisher, Paul (3)

Tesfatsion, Leigh (3)

Main data

Where Manfred Gilli has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control6
Computational Statistics & Data Analysis3
Computational Economics2
Computer Science in Economics & Management2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute9
Working Papers / COMISEF8
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Computing in Economics and Finance 2001 / Society for Computational Economics2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Manfred Gilli (2018 and 2017)

YearTitle of citing document
2017Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence. (2017). Siddiqui, Sikandar ; Tyagi, Somya. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2017:p:61-67.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495.

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2017Can Agent-Based Models Probe Market Microstructure?. (2017). Platt, Donovan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1611.08510.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2019A changepoint approach for the identification of financial extreme regimes. (2019). Leonelli, Manuele ; Lattanzi, Chiara. In: Papers. RePEc:arx:papers:1902.09205.

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2017ANIMAL SPIRITS, HETEROGENEOUS EXPECTATIONS, AND THE AMPLIFICATION AND DURATION OF CRISES. (2017). Hommes, Cars ; Brock, William A ; Assenza, Tiziana. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:542-564.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018Seasonal aspects of the energy-water nexus: The case of a run-of-the-river hydropower plant. (2018). Gaudard, Ludovic ; de Michele, Carlo ; Avanzi, Francesco. In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:604-612.

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2018Future perspectives of run-of-the-river hydropower and the impact of glaciers’ shrinkage: The case of Italian Alps. (2018). Patro, Epari Ritesh ; Avanzi, Francesco ; de Michele, Carlo. In: Applied Energy. RePEc:eee:appene:v:231:y:2018:i:c:p:699-713.

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2017A method for agent-based models validation. (2017). Moneta, Alessio ; Guerini, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:125-141.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2017Complexity and the Economics of Climate Change: A Survey and a Look Forward. (2017). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, A ; Balint, T. In: Ecological Economics. RePEc:eee:ecolec:v:138:y:2017:i:c:p:252-265.

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2018Fast and reliable computation of generalized synthetic controls. (2018). Becker, Martin ; Klossner, Stefan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:1-19.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2018A hyperplanes intersection simulated annealing algorithm for maximum score estimation. (2018). Florios, Kostas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:37-55.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2017Full and fast calibration of the Heston stochastic volatility model. (2017). Cui, Yiran ; Germano, Guido ; del Bao, Sebastian . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:625-638.

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2018Computing near-optimal Value-at-Risk portfolios using integer programming techniques. (2018). Babat, Onur ; Zuluaga, Luis F ; Vera, Juan C. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:304-315.

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2019Energy storage race: Has the monopoly of pumped-storage in Europe come to an end?. (2019). Madani, Kaveh ; Gaudard, Ludovic. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:22-29.

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2018Impact of climate on firm value: Evidence from the electric power industry in Brazil. (2018). Lucas, Edimilson Costa ; Mendes-Da, Wesley. In: Energy. RePEc:eee:energy:v:153:y:2018:i:c:p:359-368.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2018Network topology and systemic risk: Evidence from the Euro Stoxx market. (2018). Li, Wenwei ; Paterlini, Sandra ; Hommel, Ulrich. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:105-112.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37.

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2017Exchangeability, extreme returns and Value-at-Risk forecasts. (2017). Huang, Chun-Kai ; Zewotir, Temesgen ; North, Delia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:477:y:2017:i:c:p:204-216.

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2018Can agent-based models probe market microstructure?. (2018). Platt, Donovan ; Gebbie, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1092-1106.

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2017Agent-based model calibration using machine learning surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Frencesco. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1709.

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2017Market Risk, Non-parametric Methods: Hong-Kong Case. (2017). Pareja Vasseur, Julian ; Valencia, Santiago Zapata ; Ceron, Juan Giraldo. In: Economía Coyuntural,Revista de temas de perspectivas y coyuntura. RePEc:grm:ecoyun:201716.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01499344.

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2018A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases. (2018). Garcia, Maria Teresa ; Medeiros, Maria Teresa ; Ferreira, Vitor Hugo. In: Working Papers REM. RePEc:ise:remwps:wp0352018.

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2018An agent based early warning indicator for financial market instability. (2018). Alfarano, Simone ; Vidal-Tomas, David. In: Working Papers. RePEc:jau:wpaper:2018/12.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2018A New Predictive Measure Using Agent-Based Behavioral Finance. (2018). Feldman, Todd ; Liu, Shuming. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9652-1.

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2018Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach. (2018). Chen, Zhenxi ; Lux, Thomas. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:3:d:10.1007_s10614-016-9638-4.

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2018Structural differences across macroregions: an empirical investigation. (2018). Mussida, Chiara ; Barbieri, Laura. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:2:d:10.1007_s10663-016-9356-0.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2018A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases. (2018). Yeap, Claudia ; Boris, S T ; Kwok, Simon S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:425-460..

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2017Tarificación de bonos sobre catástrofes (cat bonds) con desencadenantes de índices de pérdidas. Modelación mediante un proceso de Ornstein-Uhlenbeck || Pricing Loss Index Triggered Cat Bonds. An . (2017). Perez-Fructuoso, Maria Jose. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:24:y:2018:i:1:p:340-361.

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2018Are catastrophe bonds effective financial instruments in the transport and infrastructure industries? Evidence from international financial markets. (2018). Pizzutilo, Fabio ; Venezia, Elisabetta . In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:14:y:2018:i:2:p:256-267.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886.

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2017A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk. (2017). Li, Longqing. In: MPRA Paper. RePEc:pra:mprapa:85645.

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2018An agent based early warning indicator for financial market instability. (2018). Alfarano, Simone ; Vidal-Tomas, David. In: MPRA Paper. RePEc:pra:mprapa:89693.

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2017Factor Investing: The Rocky Road from Long-Only to Long-Short. (2017). Szafarz, Ariane ; Briere, Marie. In: Working Papers CEB. RePEc:sol:wpaper:2013/249918.

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2017Complexity and the economics of climate change : a survey and a look foreward. (2017). Roventini, Andrea ; Mandel, Antoine ; Sapio, Sandro ; Napoletano, Mauro ; Lamperti, Francesco ; Balint, Tomas. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n.

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2017An empirical validation protocol for large-scale agent-based models. (2017). van der Hoog, Sander ; Sander van der Hoog, ; Barde, Sylvain. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/4pa18fd9lf9h59m4vfavfcf61e.

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2017Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. (2017). Santanna, Leonardo Riegel ; Borenstein, Denis ; Guedes, Pablo Cristini ; Filomena, Tiago Pascoal . In: Annals of Operations Research. RePEc:spr:annopr:v:258:y:2017:i:2:d:10.1007_s10479-016-2111-x.

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2018On the methods of pricing American options: case study. (2018). Aydoan, Burcu ; Uur, Omur ; Aksoy, Umit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2267-4.

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2018Robust term structure estimation in developed and emerging markets. (2018). Ahi, Emrah ; Sener, Emrah ; Akgiray, Vedat. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2282-5.

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2018On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0.

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2018Using realistic trading strategies in an agent-based stock market model. (2018). Llacay, Barbara ; Peffer, Gilbert. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:24:y:2018:i:3:d:10.1007_s10588-017-9258-0.

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2017Complexity and model comparison in agent based modeling of financial markets. (2017). Winker, Peter ; Mandes, Alexandru . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0173-0.

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2018Empirical validation of simulated models through the GSL-div: an illustrative application. (2018). Lamperti, Francesco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0206-3.

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2017Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0504-x.

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2017The adaptiveness in stock markets: testing the stylized facts in the DAX 30. (2017). Li, Youwei ; He, Xuezhong. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0505-9.

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2017Omega-CVaR portfolio optimization and its worst case analysis. (2017). Utz, Sebastian ; Mehra, Aparna ; Sharma, Amita . In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:39:y:2017:i:2:d:10.1007_s00291-016-0462-y.

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2018Long-Term Planning of Water Systems in the Context of Climate Non-Stationarity with Deterministic and Stochastic Optimization. (2018). Haguma, Didier ; Leconte, Robert . In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:32:y:2018:i:5:d:10.1007_s11269-017-1900-6.

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2017Extreme Value Theory with an Application to Bank Failures through Contagion. (2017). Nikzad, Rashid ; McDonald, David. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:3:f:7_3_6.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: LEM Papers Series. RePEc:ssa:lemwps:2017/11.

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2019More is Different ... and Complex! The Case for Agent-Based Macroeconomics. (2019). Dosi, Giovanni ; Roventini, Andrea. In: LEM Papers Series. RePEc:ssa:lemwps:2019/01.

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2017Behavioral heterogeneity in the Australian housing market. (2017). Chia, Wai-Mun ; Zheng, Huanhuan ; Li, Mengling . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:9:p:872-885.

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2017Ocean acidification in the Middle East and North African region. (2017). Hilmi, Nathalie ; CINAR, Mine ; Kadmiri, Yasser ; Planas-Bielsa, Victor ; Safa, Alain. In: Region et Developpement. RePEc:tou:journl:v:46:y:2017:p:43-57.

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2017An empirical validation protocol for large-scale agent-based models. (2017). van der Hoog, Sander ; Barde, Sylvain ; Sander van der Hoog, . In: Studies in Economics. RePEc:ukc:ukcedp:1712.

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2017Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory. (2017). Giles, David ; Chen, Qinlu . In: Econometrics Working Papers. RePEc:vic:vicewp:1704.

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2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market. (2018). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Working Papers. RePEc:wat:wpaper:1806.

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Works by Manfred Gilli:

YearTitleTypeCited
2006A Data-Driven Optimization Heuristic for Downside Risk Minimization In: Swiss Finance Institute Research Paper Series.
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2006A Data-Driven Optimization Heuristic for Downside Risk Minimization.(2006) In: Computing in Economics and Finance 2006.
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2006Using Economic and Financial Information for Stock Selection In: Swiss Finance Institute Research Paper Series.
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2008Using economic and financial information for stock selection.(2008) In: Computational Management Science.
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2007An Objective Function for Simulation Based Inference on Exchange Rate Data In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper56
2006An Objective Function for Simulation Based Inference on Exchange Rate Data.(2006) In: Computing in Economics and Finance 2006.
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2007An objective function for simulation based inference on exchange rate data.(2007) In: Journal of Economic Interaction and Coordination.
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2008A review of heuristic optimization methods in econometrics In: Swiss Finance Institute Research Paper Series.
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2008Review of Heuristic Optimization Methods in Econometrics.(2008) In: Working Papers.
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2008Distributed Optimisation of a Portfolios Omega In: Swiss Finance Institute Research Paper Series.
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2008Constructing Long/Short Portfolios with the Omega ratio In: Swiss Finance Institute Research Paper Series.
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2009An Empirical Analysis of Alternative Portfolio Selection Criteria In: Swiss Finance Institute Research Paper Series.
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2010Replicating Hedge Fund Indices with Optimization Heuristics In: Swiss Finance Institute Research Paper Series.
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2017Risk-Reward Ratio Optimisation (Revisited) In: Swiss Finance Institute Research Paper Series.
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2009Heuristic Optimisation in Financial Modelling In: Working Papers.
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2012Heuristic optimisation in financial modelling.(2012) In: Annals of Operations Research.
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2009Implementing Binomial Trees In: Working Papers.
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2009Optimal enough? In: Working Papers.
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2009Robust regression with optimisation heuristics In: Working Papers.
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2010Calibrating Option Pricing Models with Heuristics In: Working Papers.
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2010Calibrating the Nelson–Siegel–Svensson model In: Working Papers.
[Full Text][Citation analysis]		paper18
2010A note on ‘good starting values’ in numerical optimisation In: Working Papers.
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1978A Program for Causal and Qualitative Analysis of Economic. In: Econometrica.
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2003A global optimization heuristic for estimating agent based models In: Computational Statistics & Data Analysis.
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2004Applications of optimization heuristics to estimation and modelling problems In: Computational Statistics & Data Analysis.
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20072nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems In: Computational Statistics & Data Analysis.
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1991Qualitative decomposition of the eigenvalue problem in a dynamic system In: Journal of Economic Dynamics and Control.
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1996Matchings, covers, and Jacobian matrices In: Journal of Economic Dynamics and Control.
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1993Matchings, Covers, and Jocobian Matrices..(1993) In: Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
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1997Sparse direct methods for model simulation In: Journal of Economic Dynamics and Control.
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1998Krylov methods for solving models with forward-looking variables In: Journal of Economic Dynamics and Control.
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2002Solving finite difference schemes arising in trivariate option pricing In: Journal of Economic Dynamics and Control.
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2008An efficient branch-and-bound strategy for subset vector autoregressive model selection In: Journal of Economic Dynamics and Control.
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2011Numerical Methods and Optimization in Finance In: Elsevier Monographs.
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2000Extreme Value Theory for Tail-Related Risk Measures In: FAME Research Paper Series.
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2000A Heuristic Approach to Portfolio Optimization In: FAME Research Paper Series.
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2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets In: FAME Research Paper Series.
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2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets..(2001) In: Manitoba - Department of Economics.
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2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2001) In: Computing in Economics and Finance 2001.
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2002Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2002) In: Computing in Economics and Finance 2002.
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In: .
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1988How To Strip A Model To Its Essential Elements In: Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
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1990How to Strip a Model to Its Essential Elements..(1990) In: Computer Science in Economics & Management.
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1989Relevant Coefficients for the Dynamic Properties of a Model a Qualitative Method. In: Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
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1993Econometric Model Simulation on Parallel Computers. In: Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
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1994High Performance Computing in Economics: SP1 for Macroeconomic Model Simulation. In: Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
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