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GIOVANNI CAMPISI

Assegnista di ricerca presso: Dipartimento di Economia "Marco Biagi"

CULTORE DELLA MATERIA presso: Dipartimento di Economia "Marco Biagi"


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Pubblicazioni

2021 - A comparison of machine learning methods for predicting stock returns in the US market [Working paper]
Muzzioli, S.; Campisi, G.; De Baets, B.
abstract


2021 - Designing volatility indices for Austria, Finland and Spain [Articolo su rivista]
Campisi, G.; Muzzioli, S.
abstract


2021 - Dynamical analysis of a banking duopoly model with capital regulation and asymmetric costs [Articolo su rivista]
Brianzoni, Serena; Campisi, Giovanni
abstract

It is well known that regulation and efficiency are two important issues on banking literature. The goal of the paper is to analyse them through a banking duopoly model with heterogeneous expectations. To this purpose, we consider two scenarios. In the first one, we focus on regulation effects. In particular, empirical literature on Italian banks finds evidence on the asymmetry of the costs of regulation that penalize small banks with respect to the large ones. In this direction, we analyse a duopoly model where small banks and large banks have different forecasting rules and we capture the differences of the regulations' effects assuming asymmetry in the cost functions. We introduce linear cost function for small banks and quadratic cost function for large banks. In the second scenario, we study the relation between regulation and bank efficiency highlighting empirical results showing that large banks register higher level of inefficiency than small banks. Moreover, in order to stress new evidences and to confirm empirical results on banking regulation and efficiency, we conduct an analytical and numerical analysis.


2021 - Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach [Working paper]
Campisi, G.; Muzzioli, S.; Tramontana, F.
abstract


2020 - Assessing skewness in financial markets [Working paper]
Campisi, G.; La Rocca, L.; Muzzioli, S.
abstract

It is common knowledge that investors like large gains and dislike large losses. This translates into a preference for right-skewed return distributions, with right tails heavier than left tails. Skewness is thus interesting not only as a way to describe the shape of a distribution, but also for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. We present a new measure of skewness, based on a relative comparison between above average and below average returns. We show that this measure represents a valid complement to the state of the art.


2020 - Come together: The role of cognitively biased imitators in a small scale agent-based financial market [Capitolo/Saggio]
Campisi, G.; Tramontana, F.
abstract

We analyze the consequences of the presence of imitators in a financial market populated by boundedly rational speculators.We consider imitators that only look at the recent success of the available trading rules.We showthat the introduction of this kind of imitators makes the results more complicated but even more realistic. In particular, under some specific circumstances, imitators may stabilize an otherwise unstable market or, at the opposite, make unstable an otherwise stable scenario.


2020 - Dynamical analysis of a financial market with fundamentalists, chartists, and imitators [Articolo su rivista]
Brianzoni, S.; Campisi, G.
abstract

The aim of the paper is to understand the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model. In the present work we propose a financial market populated by three types of agents – fundamentalists, chartists and imitators. The latter submit buying/selling orders according to different trading rules using a 2D Piecewise Linear (PWL) discontinuous map. Our contribution to the existing financial literature is twofold. First, we perform an analytical study of the model involving a 2D PWL discontinuous map, where mainly numerical results are provided by researchers, besides few exceptions. In particular, we investigate the bifurcations showed by the model and the large variety of dynamical behavior produced. Finally, we provide numerical simulations in order to highlight the interaction between traders with heterogeneous expectations that can lead to intricate bull and bear price dynamics.


2020 - Fundamentalists heterogeneity and the role of the sentiment indicator [Working paper]
Campisi, Giovanni; Muzzioli, Silvia
abstract

This paper is a contribution to the literature on the role of the sentiment indices in heterogeneous asset pricing models. We propose a new sentiment index in a financial market where we assume that transactions take place between two groups of fundamentalists that differentiate on the perception of the fundamental value. We assume that the fraction of fundamentalists in the two groups depends on the sentiment index. After studying the analytical properties of the deterministic discrete dynamical system we compare the new index with a previous index introduced in financial literature. For this purpose, by adding stochastic components to the fundamentalist' demands, we measure the performance of our model under different sentiment indices and we test its explanatory power to reproduce the stylized facts of financial data relying on the S&P500 index.


2020 - Impact of COVID-19 pandemic on the clinical activities related to arrhythmias and electrophysiology in Italy: results of a survey promoted by AIAC (Italian Association of Arrhythmology and Cardiac Pacing) [Articolo su rivista]
Boriani, G.; Palmisano, P.; Guerra, F.; Bertini, M.; Zanotto, G.; Lavalle, C.; Notarstefano, P.; Accogli, M.; Bisignani, G.; Forleo, G. B.; Landolina, M.; D'Onofrio, A.; Ricci, R.; De Ponti, R.; Luise, R.; Grieco, P.; Pangallo, A.; Quirino, G.; Talarico, A.; De Bonis, S.; Carbone, A.; De Simone, A.; D'Onofrio, A.; Nappi, F.; Rotondi, F.; Stabile, G.; Uran, C.; Bertini, M.; Balla, C.; Boggian, G.; Carinci, V.; Barbato, G.; Corzani, A.; Sabbatani, P.; Erminio, M.; Imberti, J. F.; Malavasi, N.; Pastori, P.; Quartieri, F.; Bottoni, N.; Saporito, D.; Virzi, S.; Sassone, B.; Zardini, M.; Placci, A.; Ziacchi, M.; Massaro, G.; Adamo, F.; Scaccia, A.; Spampinato, A.; Biscione, F.; Castro, A.; Cauti, F.; Rossi, P.; Cinti, C.; Gatto, M.; Kol, A.; Narducci, M. L.; Pelargonio, G.; Patruno, N.; Pignalberi, C.; Ricci, R. P.; Ricciardi, D.; Santini, L.; Tancredi, M.; Di Belardino, N.; Pentimalli, F.; Zoni-Berisso, M.; Belotti, G.; Chieffo, E.; Cilloni, S.; Doni, L. A.; Forleo, G. B.; Gardini, A.; Malaspina, D.; Mazzone, P.; Della Bella, P.; Negro, R.; Perego, G. B.; Rordorf, R.; Cipolletta, L.; Russo, A. D.; Luzi, M.; Amellone, C.; Ebrille, E.; Favro, E.; Lucciola, M. T.; Devecchi, C.; Rametta, F.; Devecchi, F.; Matta, M.; Sant'Andrea, A. O.; Santagostino, M.; Dell'Era, G.; Candida, T. R.; Bonfantino, V. M.; Gianfrancesco, D.; Guido, A.; Pellegrino, P. L.; Pisano, E. C. L.; Rillo, M.; Palama, Z.; Sai, R.; Santobuono, V. E.; Favale, S.; Scicchitano, P.; Nissardi, V.; Campisi, G.; Sgarito, G.; Arena, G.; Casorelli, E.; Fumagalli, S.; Giaccardi, M.; Notarstefano, P.; Nesti, M.; Padeletti, M.; Rossi, A.; Piacenti, M.; Del Greco, M.; Catanzariti, D.; Manfrin, M.; Werner, R.; Marini, M.; Andreoli, C.; Fedeli, F.; Mazza, A.; Pagnotta, F.; Ridarelli, M.; Molon, G.; Rossillo, A.
abstract

COVID-19 outbreak had a major impact on the organization of care in Italy, and a survey to evaluate provision of for arrhythmia during COVID-19 outbreak (March–April 2020) was launched. A total of 104 physicians from 84 Italian arrhythmia centres took part in the survey. The vast majority of participating centres (95.2%) reported a significant reduction in the number of elective pacemaker implantations during the outbreak period compared to the corresponding two months of year 2019 (50.0% of centres reported a reduction of > 50%). Similarly, 92.9% of participating centres reported a significant reduction in the number of implantable cardioverter-defibrillator (ICD) implantations for primary prevention, and 72.6% a significant reduction of ICD implantations for secondary prevention (> 50% in 65.5 and 44.0% of the centres, respectively). The majority of participating centres (77.4%) reported a significant reduction in the number of elective ablations (> 50% in 65.5% of the centres). Also the interventional procedures performed in an emergency setting, as well as acute management of atrial fibrillation had a marked reduction, thus leading to the conclusion that the impact of COVID-19 was disrupting the entire organization of health care, with a massive impact on the activities and procedures related to arrhythmia management in Italy.


2020 - Investor sentiment and trading behavior [Articolo su rivista]
Campisi, G.; Muzzioli, S.
abstract

The aim of this paper is to model trading decisions of financial investors based on a sentiment index. For this purpose, we analyze a dynamical model, which includes the sentiment index in the agents' trading behavior. We consider the setup of a discrete dynamical system, assuming that in financial markets, transactions take place between two groups of fundamentalists that differ in their perception of fundamental value. This assumption is motivated by a degree of uncertainty about the true fundamental value. The proportion of fundamentalists in the two groups is assumed to depend on the sentiment index. The sentiment index used is related to the risk asymmetry index, enabling us to consider both the variance and the asymmetry of the prediction error between the two groups of fundamentalists. We identify the equilibria of the model and conduct a numerical analysis in order to capture stylized facts documented empirically in the financial literature.


2020 - Investor sentiment and trading behavior [Working paper]
Campisi, G.; Muzzioli, S.
abstract

The aim of this paper is to model trading decisions of financial investors based on a sentiment index. For this purpose, we analyse a dynamical model which includes the sentiment index in the agents' trading behavior. We consider the set up of a Discrete Dynamical System, assuming that in financial markets transactions take place between two groups of fundamentalists that differ in their perception of fundamental value. The proportion of fundamentalists in the two groups is assumed to depend on the sentiment index. The sentiment index used is related to the risk asymmetry index (RAX) enabling us to consider both the variance and the asymmetry of the prediction error between the two groups of fundamentalists. We identify the equilibria of the model and conduct a numerical analysis in order to capture stylized facts documented empirically in the financial literature.


2019 - Construction and properties of volatility indices for Austria, Finland and Spain [Working paper]
Campisi, Giovanni; Muzzioli, Silvia
abstract

The volatility index of the Chicago Board Options Exchange (VIX) is the first to have been introduced and it has attracted international imitators world-wide since it is considered as a barometer of investor fear. The aim of the paper is threefold. First, by following the VIX methodology, we construct a volatility index for three European countries (Austria, Finland and Spain) that do not have yet that piece of market information for investors. Second, we investigate the properties of the new volatility indices. In particular, we test their ability to act as fear indicators and as predictors of future returns. Moreover, we shed light on the term structure of the proposed volatility indices, by computing spot and forward implied volatility indices for different time to maturities (30, 60 and 90 days). Our results indicate that volatility indices are useful not only for investors to improve their trading decisions, but also for policy makers to choose the appropriate economic measure to guarantee stability in the market.


2018 - A continuous-time heterogeneous duopoly model with delays [Articolo su rivista]
Brianzoni, S.; Campisi, G.; Guerrini, L.
abstract

In this paper, the continuous-time version with delays of the model of Tramontana (Econ Model 27(1):350–357, 2010) is presented. The stability of the equilibrium point is discussed by analyzing the distribution of roots of associated characteristic equation. It is found that combining marginal costs with time delays gives rise to different economic scenarios, where stability switches may appear and Hopf bifurcations occur within certain range of parameters.


2018 - Corruption and economic growth with non constant labor force growth [Articolo su rivista]
Brianzoni, S.; Campisi, G.; Russo, A.
abstract

Based on Brianzoni et al. [1] in the present work we propose an economic model regarding the relationship between corruption in public procurement and economic growth. We extend the benchmark model by introducing endogenous labor force growth, described by the logistic equation. The results of previous studies, as Del Monte and Papagni [2] and Mauro [3], show that countries are stuck in one of the two equilibria (high corruption and low economic growth or low corruption and high economic growth). Brianzoni et al. [1] prove the existence of a further steady state characterized by intermediate levels of capital per capita and corruption. Our aim is to investigate the effects of the endogenous growth around such equilibrium. Moreover, due to the high number of parameters of the model, specific attention is given to the numerical simulations which highlight new policy measures that can be adopted by the government to fight corruption.


2018 - Local and global analysis of a speculative housing market with production lag [Articolo su rivista]
Campisi, G.; Naimzada, A. K.; Tramontana, F.
abstract

We extend the model of Dieci and Westerhoff [J. Evol. Econ. 22(2), 303-329 (2012)], where the authors analyse a speculative housing market populated by heterogeneous interacting agents described by a two dimensional nonlinear discrete time dynamical system. They show the emergence of complicated dynamics through the occurrence of bifurcations for particular parameter combinations. We enlarge their model in several ways. On one hand, we introduce time lag in the supply side and we consider two new scenarios characterised by agents' expectations formation. First, naive expectations instead of perfect foresight are considered, while in the second scenario, we study a mix between the model of Dieci and Westerhoff [J. Evol. Econ. 22(2), 303-329 (2012)] and the one we propose. As a consequence, we, analytically and numerically, explain the appearance of instability in the housing market providing conditions on the parameters that lead to a bifurcation. On the other hand, thanks to further numerical simulations, we conduct a global analysis providing the structure of the basin of attractions of the map showing coexistence of attractors.