Marina Resta

In this work we analyze the market for health care through a computational approach that relies o... more In this work we analyze the market for health care through a computational approach that relies on Kohonen&amp;amp;#39;s Self-Organizing Maps, and we observe the competition dynamics of health care providers versus those of patients. As a result, we offer a new tool addressing the issue of hospital behaviour and demand mechanism modelling, which conjugates a robust theoretical implementation together with an instrument of deep graphical impact.

TRN: picking up the challenge of non linearity testing by means of Topology Representing Networks

Neural Network World, Jan 1, 2000

In this work, I will describe a new approach for time series non linearity testing by means of ne... more

ECIE2015-10th European Conference on Innovation and Entrepreneurship: ECIE 2015

Computational Intelligence Paradigms in Economic and Financial Decision Making

Esercizi di Matematica.

Cenni Introduttivi di Algebra Lineare

Data analytics e intelligenza artificiale per l’analisi di bilancio. Performance e profili di business degli spin-off accademici.

The effects of negative nominal rates on the pricing of American Calls: some theoretical and numerical insights

Unsupervised neural networks for emergent patient flow clustering

Applying spectral biclustering to mortality data

Data analytics e intelligenza artificiale per l’analisi di bilancio. Performance e profili di business degli spin-off accademici

Enhancing SOM capabilities with graph clustering: an application to financial markets

Intelligent Systems in Accounting Finance and Management

VaRSOM: a tool to monitor markets stability based on Value at Risk and Self-Organizing Maps

On a new index aimed at comparing risks

An agent based simulator driven by variants of Self Organizing Maps.

Neurocomputing , Jan 2015

Social networks design of hospital facilitators (HFs): an empirical study of the case of Italy

Journal of Modern Accounting and Auditing, 2013 9(1) 37-56

Hurst exponent and its applications in time-series analysis

Recent Patents on Computer Science 2013 (1)

Seize the (intra) day: Features selection and rules extraction for tradings on high-frequency data

Neurocomputing, Jan 1, 2009

We describe a method to develop trading rules based on the responses of self-organizing maps (SOM... more

Hospital Emergency Department: An Insight by Means of Quantitative Methods

Portfolio Optimization: new challenges and perspectives

A computational approach for the health care market

Health care management science, Jan 1, 2009

TRN: picking up the challenge of non linearity testing by means of Topology Representing Networks

Neural Network World, Jan 1, 2000

In this work, I will describe a new approach for time series non linearity testing by means of ne... more

Sistemi di reti neurali per il trading sui mercati.

Scienza & Business, vol. 1, ISSN: 1594-1418, 1999

A comparison of estimation techniques for the covariance matrix

by Marina Resta and Marco Neffelli

New Methods in Fixed Income Modeling, 2018

We compare various methodologies to estimate the covariance matrix in a fixed-income portfolio. A... more We compare various methodologies to estimate the covariance matrix in a fixed-income portfolio. Adopting a statistical approach for the robust estimation of the covariance matrix, we compared the Shrinkage (SH), the Nonlinear Shrinkage (NSH), the Minimum Covariance Determinant (MCD) and the Minimum Regularised Covariance Determinant (MRCD) estimators against the sample covariance matrix, here employed as a benchmark. The comparison was run in an application aimed at individuating the principal components of the US term structure curve. The contribution of the work mainly resides in the fact that we give a freshly new application of the MRCD and the NS robust covariance estimators within the fixed-income framework. Results confirm that, likewise financial portfolios, also fixed-income portfolios can benefit of using robust statistical methodologies for the estimation of the covariance matrix.

Gb–SOM: a new tool for monitoring markets and visualizing financial information

Portfolio Optimization via Dimension Reduction Techniques.

Managing Risk of Electricity Retailers via Robust Constraints

An analysis of the financial statements of Italian health care providers through correlation-based networks

A Stability Test Tool for parameters Estimation in Portfolio Management.

Yield curve estimation under extreme conditions: do RBF networks perform better?

A Hybrid Simulation Approach to face/analyze patient boarding in Emergency Departments

by Paolo Landa, Michele Sonnessa, and Marina Resta

Mapping Financial Performances in Italian ICT-related firms via Self Organizing Maps

Smart Mobility portfolio analysis: the case of Barcelona

The Impact of Social Networks in Developing and Managing Chronic Care Models

Operations Research Applications in Health Care Management, 2018

Unsupervised neural networks for the analysis of business performance at infra-city level

Managing Information and Technology for Organizational Innovation and Change, Lecture Notes in Information Systems and Organisation (LNISO), 2015

Hubs and Communities Identification in Financial Networks

by Stefano Rovetta and Marina Resta

Recent Advances of Neural Network Models and Applications Smart Innovation, Systems and Technologies, 2015

Financial Self Organizing Maps

Lecture Notes in Computer Science, ICANN 2014

On a Data Mining Framework for the Identification of Frequent Pattern Trends

Mathematical and Statistical Methods for Actuarial Science and Finance

Exploring Social Systems Dynamics with SOM variants.

In: Pablo Estevez, Jose Principe, and Pablo Zegers. Advances in Self-Organizing Maps 9th International Workshop, WSOM 2012. Advances In Intelligent Systems And Computing, vol. 198, p. 353-362

Investment rankings via an objective measure of riskiness: a case study

in M. Corazza, E. Pizzi Edrs. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer Verlag, 195-204.

$Research paper thumbnail of On the fractal characterization of a system for tradings on Eurozone stocks$

On the fractal characterization of a system for tradings on Eurozone stocks

M. Faggini, A. Parziale Edrs. Chaos Theory: What perspectives for the Economics. Springer New Series

Understanding firms' international growth: a proposal via Self Organizing Map

In: Pablo Estevez, Jose Principe, and Pablo Zegers. Advances in Self-Organizing Maps, 9th International Workshop, WSOM 2012. Advances in Intelligent Systems and Computing, p. 305-314

A model for mortality forecasting based on Self Organizing Maps

In: Pablo Estevez, Jose Principe, and Pablo Zegers. Advances in Self-Organizing Maps,. Advances In Intelligent Systems And Computing, vol. 198, p. 335-343, Springer Verlag Germany,

An Integrated Approach to Explore the Complexity of Interest Rates Network Structure

by Marina Resta and E. Cassi

Exploiting patterns of activity of firms at urban level: a soft computing approach”.

by Marina Resta and Renata Paola Dameri

Using Unsupervised Neural Networks to profile companies performance. The case of Genoa

University spin-off strategic profiles and their impact on regional development: a two-steps comparative analysis

A comparison among predictive methods in finance.

Exponential upper bounds in a modified model of collective risk theory.

Managing energy risk in a robust framework: the case of retailers.

On a regimes switching model based on stable laws: characterization and some applications.

Una caratterizzazione di tipo tau(q) per i processi auto-affini nella modellazione in ambito attuariale e finanziario.

Hybrid Neural Networks vs Non Linear Time Series Models in Financial Forecasting.

On a model for stable laws.

Evolutionary hybrid algorithms in market trading strategies.

On some measures for riskiness.

Pensionmetrics revisited: an application to the Italian case with new risk indicators..

Clustering firm performance by means of neural networks: experimental results in an urban area using balance sheet data

Family businesses, innovation and performance during an economic crisis. The SOM methodology

A Cluster Analysis of Stock Market Data using Hierarchical SOMs

by Marina Resta and Cesar Astudillo

Mapping Financial Performance in Italian ICT-related Firms via Self-Organizing Maps

Smart Mobility Portfolio Analysis

Self Organizing Maps with Value at Risk similarities for monitoring financial markets

Intelligent Systems and Decision Making for Risk Analysis and Crisis Response

Modelling Bed Management behaviours through neural networks,

Data mining e analisi di performance.

Emergency Department: a data mining perspective.

On the financial health of Italian hospital facilitators: an empirical investigation through correlation-based networks

Evaluating Equity Curves via Concentration Indexes.

A hybrid simulation framework to reproduce and test hospital organizational changes

by Marina Resta, Michele Sonnessa, and Angela Testi

Exploring Bed Management Behaviour Through Unsupervised Neural Networks

by Marina Resta and Michele Sonnessa

On a framework for portfolio selection with safety levels of action

Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2014), Book of Abstracts, Apr 2014

Managing risk of hydrothermal generation portfolios: a robust optimization approach.

Managing risk in a wind generation company: a robust optimization approach.

Risk Management via Robust Optimization for Hydrothermal Generation Portfolios

ON THE INFORMATIVE CONTENT OF DYNAMIC HURST EXPONENTS: A COMPARISON AMONG DIFFERENT TECHNIQUES

labeconomia.unisa.it

In this paper we explore the informative content of time dependent Hurst exponents, separately in... more In this paper we explore the informative content of time dependent Hurst exponents, separately introduced in recent years by various authors. To such aim, we have considered two different estimation methods: the Detrended Moving Average (DMA) of , and the multiresolution method of . Those techniques have been applied on a set of financial timeseries, sampled at various time frequencies, with daily units assumed as upper border frequencies, and the results compared with those obtained on artificially generated monofractal series. At the present stage, our major findings may be summarised as follows: (a) by comparison with the other technique, the DMA tends to underestimate Hurst exponents at every time frequency; (b) the local Hurst exponents, evaluated on observable data, reveal stronger time variability than in artificial monofractal series.

Download

Portfolio Selection Models Driven by Non Gaussian Price Dynamics

Computing in Economics and Finance 2001, Jan 1, 2001

Since the beginning of this century, the normal distribution has played a central role in the mat... more

Multi Voronoi Nets System for Market Information Processing

Center for Research on Parallel Computers and …, Jan 1, 1999

... Multi Voronoi Nets System for Market Information Processing by Marina Resta DIEM, sez. Matema... more

$Research paper thumbnail of Portfolio Optimization in a Multi-fractal Market.$

Portfolio Optimization in a Multi-fractal Market.

HPCFIN-High-Performance Computing for Financial Planning

… for Research on …, Jan 1, 1999

... Marida Bertocchi Simulation of Bond Portfolio Management under a Sensitivity Analysis Framewo... more

Portfolio Optimization: which alternatives to standard gaussian model?

Computing in Economics and Finance 2002, Jan 1, 2002

... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Portfolio ... more

Reti SOFM come strumento predittivo per l'analisi dei mercati finanziari: un'applicazione alla previsione del MIB

Un sistema di trading neural network oriented per le decisioni di borsa

Un confronto tra architetture neurali utilizzate nella gestione di portafogli finanziari

Working paper, 1995

A sensitivity analysis approach to the convergence of Kohonen Maps

Risk management via robust optimization for hydrotermal generation portfolios.

Working paper Department of Economics, University of Genova, Italy, Nov 2007

On a New Index of Riskiness: Theoretical Results And Some Applications

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2417887

Social influence and neighbourhood effects in the health care market

POLIS Working Papers, Jan 1, 2008

This work is intended to analyze the market for health care through a computational approach base... more This work is intended to analyze the market for health care through a computational approach based on unsupervised neural networks. The paper provides a theoretical framework for a computational model that relies on Kohonen's self organizing maps (SOM), arranged into two layers: in the upper layer the competition dynamics of health care providers is modelled, whereas in the lower level patients behaviour is monitored. Interactions take place both vertically between the layers (in a bi-directional way), and horizontally, inside each level, exploiting neighbourhood features of SOM: signals move vertically from hospitals to patients and vice-versa, but they also spread out sideward, from patient to patient, and from hospital to hospital. The result is a new approach addressing the issue of hospital behaviour and demand mechanism modelling, which conjugates a robust theoretical implementation together with an instrument of deep graphical impact.

Download

A characterization of self-affine processes in finance through the scaling function

Modeling, Computing, and Mastering Complexity …

This work focuses on a method to characterize stochastic processes by way of their scaling functi... more

$Research paper thumbnail of Multifractal analysis of Power Markets. Some empirical evidence$

Multifractal analysis of Power Markets. Some empirical evidence

Econometrics, Jan 1, 2004

This work is intended to offer a comparative analysis of the statistical properties of hourly pri... more This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day-ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day-ahead market prices.

Download

Spot price dynamics in deregulated power markets

Econometrics, Jan 1, 2003

Abstract. Over the past decade the deregulation process in the electricity sector has led to the ... more

A Computational Approach On Neighbourhood Structures In The Simulation Of Dichotomous Development

Computing in Economics and Finance 2000, Jan 1, 2000

An overlapping generation system is here in order: at each step the agent chooses how to allocate... more

Multi-Country Mortality Analysis Using Self Organizing Maps

by Marina Resta and Gabriella Piscopo

Smart Innovation, Systems and Technologies, 2014

Some issues on quantitative methods applied in financial and deregulated power markets.

Commodities hedging with Multivariate GARCH models: an application to the energy market

by Marco Neffelli and Marina Resta

Marina Resta

Uploads

Books by Marina Resta

Journal articles by Marina Resta

Log In