Person
FALBO Paolo Stefano
Docenti di ruolo di IIa fascia
Course Catalogue:
Communications
Curriculum Vitae
Studies:
- Degree in Economics at Bergamo University (March, 1985).
- Doctorate in "Business Administration" curriculum "Capital markets and financial management" (at Bergamo University) (October, 1992).
Previous positions:
- Quantitative methods specialist at the VESTRO spa.
- Three-years research program of E.U.L.O. in Mathematics and Finance at the University of Brescia, Department of Quantitative Methods.
- Visiting scholar at the Graduate School of Business, Stern School of Business Administration, New York University.
- Post-doctorate research program of E.U.L.O. at the University of Brescia, Department of Quantitative Methods.
- Post-doctorate research program at the University of Brescia, Department of Quantitative Methods.
- Researcher at the University of Brescia, Department of Quantitative Methods from October 1995, confermed in October 1998.
- Associate Professor at the University of Brescia, Department of Quantitative Methods, since October 2001.
Academic positions: member of the Scientific Council of the Doctoral Program in Mathematics for the Analysis of Financial Markets, at the University of Milano-Bicocca.
Responsibility in previous research projects:
- Scientific coordinator for the research unit of Brescia, Cofin project 2002, "Credit and market risks: theoretical models, computational analysis and operating strategies";
- Scientific coordinator for the research unit of Brescia, Prin project 2007, "Risk management in electricity markets".
Organization of scientific events:
- Member of the organizing committee of the XXIV annual meeting of AMASES, September 2000, Padenghe sul Garda (BS).
- Member of the organizing and scientific committees for the 8th meeting of the Multinational Finance Society, 23-27 June 2001, Garda (VR).
- Member of the organizing and scientific committees for the XXVI meeting of the Euro Working Group on Financial Modelling, 5-7 May 2005, Brescia.
External collaborations: 2004, member of the research group charged by GME (Gestore del Mercato Elettrico spa) to develop the daily index index of electricity spot market.
Contributions to scientific journals:
- Frontiers in Finance and Economics, 2008, vol. 5, n. 2, Special Editor with Pelizzari C. and Paris M. F.
Serves as referee for:
- Energy Journal
- Energy Economics
- European Journal of Operations Research
- Risk
- Applied Mathematical Finance
- Multinational Finance Journal
- Frontiers in Finance and Economics
- Theory and Decision
- Economic Modelling
- Quantitative Finance
ARTICLES ON JOURNALS WITH REFEREEING PROCESS
Author/coauthor of more than 20 papers on national and international journal or volumes.
Publications (since 2010) with their editorial collocation.
1. Quantitative Finance, 2010, vol. 10, no. 3 (March), 279-293
“Pricing Inflation Linked Bonds”, with Pelizzari C. and Paris F. M..
Impact Factor 2014 from ISI Web of Science: 0,653,
Impact Factor at 5 years 2014 from ISI Web of Science: 1,016,
Article Influence Score 2014 from ISI Web of Science: 0,668,
Impact per Publication 2014 from Scopus: 0,815,
Source Normalized Impact per Paper 2014 from Scopus: 0,968,
SCImago Journal Rank 2014 from Scopus: 0,608,
H index for 2010-2014 from Google Scholar Metrics: 33
2. European Journal of Operational Research, 2010, vol. 207, no. 3, 1620-1627
"Integrated risk management for an electricity producer", with Felletti D. and Stefani S.
Impact Factor 2014 from ISI Web of Science: 2,358,
Impact Factor at 5 years 2014 from ISI Web of Science: 2,911,
Article Influence Score 2014 from ISI Web of Science: 0,983,
Impact per Publication 2014 from Scopus: 2,791,
Source Normalized Impact per Paper 2014 from Scopus: 2,335,
SCImago Journal Rank 2014 from Scopus: 2,368,
H index for 2010-2014 from Google Scholar Metrics: 78
3. Energy Policy, 2010, vol. 38, no. 6, 2739-2750
" A new index for electricity spot markets", with Fattore, M. and Stefani, S.
Impact Factor 2014 from ISI Web of Science: 2.575,
Impact Factor at 5 years 2014 from ISI Web of Science: 3.394,
Article Influence Score 2014 from ISI Web of Science: 0,87,
Impact per Publication 2014 from Scopus: 3,193,
Source Normalized Impact per Paper 2014 from Scopus: 1,784,
SCImago Journal Rank 2014 from Scopus: 2,077,
H index for 2010-2014 from Google Scholar Metrics: 98
4. Applied Economics, 2011, vol. 43, no. 14, 1769-1785
“Stable Classes of Technical Trading Rules”, with Pelizzari C...
Impact Factor 2014 from ISI Web of Science: 0,613,
Impact Factor at 5 years 2014 from ISI Web of Science: 0,679,
Article Influence Score 2014 from ISI Web of Science: 0,312,
Impact per Publication 2014 from Scopus: 0,683,
Source Normalized Impact per Paper 2014 from Scopus: 0,778,
SCImago Journal Rank 2014 from Scopus: 0,427,
H index for 2010-2014 from Google Scholar Metrics: 35
5. Discrete Dynamics in Nature and Society, vol. 2011
" Market dynamics when agents anticipate correlation breakdown" with Grassi R.
6. Energy Economics, vol. 35, 14-21
" Free EUAs and fuel switching" with Felletti D. and Stefani S.
Impact Factor 2014 from ISI Web of Science: 2,708,
Impact Factor at 5 years 2014 from ISI Web of Science: 3,374,
Article Influence Score 2014 from ISI Web of Science: 1,143,
Impact per Publication 2014 from Scopus: 3,315,
Source Normalized Impact per Paper 2014 from Scopus: 1,939,
SCImago Journal Rank 2014 from Scopus: 2,58,
H index for 2010-2014 from Google Scholar Metrics: 63
7. European Journal of Operational Research, 2013, vol. 227, no. 2, 367-384
“A Tabu Search Heuristic Procedure in Markov Chain Bootstrapping”, with Cerqueti R., Guastaroba G. and Pelizzari C.
Impact Factor 2014 from ISI Web of Science: 2,358,
Impact Factor at 5 years 2014 from ISI Web of Science: 2,911,
Article Influence Score 2014 from ISI Web of Science: 0,983,
Impact per Publication 2014 from Scopus: 2,791,
Source Normalized Impact per Paper 2014 from Scopus: 2,335,
SCImago Journal Rank 2014 from Scopus: 2,368,
H index for 2010-2014 from Google Scholar Metrics: 78
8. Discrete Dynamics in Nature and Society, vol. 2015
"Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself?" with Grassi R.
9. Statistics & Applications, 2014, vol. 12, no. 1 (January-June), 87-114
“Some Advances in Markov Chain Bootstrapping of Continuous-Valued Stochastic Processes”, with Falbo P..
10. Steland A., Rafajłowicz E. e Szajowski K. (editors), Stochastic Models, Statistics and Their Applications - 12th Workshop on Stochastic Models, Statistics and Their Applications, February 2015, Wrocław, Poland, Springer International Publishing, 2015, vol. 122, 371-379
“Approximating Markov Chains for Bootstrapping and Simulation”, with Cerqueti R., Falbo P., and Guastaroba G..
11. Steland A., Rafajłowicz E. e Szajowski K. (editors), Stochastic Models, Statistics and Their Applications - 12th Workshop on Stochastic Models, Statistics and Their Applications, February 2015, Wrocław, Poland, Springer International Publishing, 2015, vol. 122, 261-269
“Risk-Averse Equilibrium Modeling and Social Optimality of Cap-and-Trade Mechanisms”, with Falbo P. and Hinz J..
12. OR Spectrum, 2015, vol. 37, no. 3 (July), 803-841
“Multivariate Markov Chain Bootstrapping and Contiguity Constraint”, with Cerqueti R., Falbo P., and Guastaroba G..
Impact Factor 2014 from ISI Web of Science: 0,987,
Impact Factor at 5 years 2014 from ISI Web of Science: 1,958,
Article Influence Score 2014 from ISI Web of Science: 0,872,
Impact per Publication 2014 from Scopus: 1,432,
Source Normalized Impact per Paper 2014 from Scopus: 1,318,
SCImago Journal Rank 2014 from Scopus: 1,484,
H index for 2010-2014 from Google Scholar Metrics: 27
- Degree in Economics at Bergamo University (March, 1985).
- Doctorate in "Business Administration" curriculum "Capital markets and financial management" (at Bergamo University) (October, 1992).
Previous positions:
- Quantitative methods specialist at the VESTRO spa.
- Three-years research program of E.U.L.O. in Mathematics and Finance at the University of Brescia, Department of Quantitative Methods.
- Visiting scholar at the Graduate School of Business, Stern School of Business Administration, New York University.
- Post-doctorate research program of E.U.L.O. at the University of Brescia, Department of Quantitative Methods.
- Post-doctorate research program at the University of Brescia, Department of Quantitative Methods.
- Researcher at the University of Brescia, Department of Quantitative Methods from October 1995, confermed in October 1998.
- Associate Professor at the University of Brescia, Department of Quantitative Methods, since October 2001.
Academic positions: member of the Scientific Council of the Doctoral Program in Mathematics for the Analysis of Financial Markets, at the University of Milano-Bicocca.
Responsibility in previous research projects:
- Scientific coordinator for the research unit of Brescia, Cofin project 2002, "Credit and market risks: theoretical models, computational analysis and operating strategies";
- Scientific coordinator for the research unit of Brescia, Prin project 2007, "Risk management in electricity markets".
Organization of scientific events:
- Member of the organizing committee of the XXIV annual meeting of AMASES, September 2000, Padenghe sul Garda (BS).
- Member of the organizing and scientific committees for the 8th meeting of the Multinational Finance Society, 23-27 June 2001, Garda (VR).
- Member of the organizing and scientific committees for the XXVI meeting of the Euro Working Group on Financial Modelling, 5-7 May 2005, Brescia.
External collaborations: 2004, member of the research group charged by GME (Gestore del Mercato Elettrico spa) to develop the daily index index of electricity spot market.
Contributions to scientific journals:
- Frontiers in Finance and Economics, 2008, vol. 5, n. 2, Special Editor with Pelizzari C. and Paris M. F.
Serves as referee for:
- Energy Journal
- Energy Economics
- European Journal of Operations Research
- Risk
- Applied Mathematical Finance
- Multinational Finance Journal
- Frontiers in Finance and Economics
- Theory and Decision
- Economic Modelling
- Quantitative Finance
ARTICLES ON JOURNALS WITH REFEREEING PROCESS
Author/coauthor of more than 20 papers on national and international journal or volumes.
Publications (since 2010) with their editorial collocation.
1. Quantitative Finance, 2010, vol. 10, no. 3 (March), 279-293
“Pricing Inflation Linked Bonds”, with Pelizzari C. and Paris F. M..
Impact Factor 2014 from ISI Web of Science: 0,653,
Impact Factor at 5 years 2014 from ISI Web of Science: 1,016,
Article Influence Score 2014 from ISI Web of Science: 0,668,
Impact per Publication 2014 from Scopus: 0,815,
Source Normalized Impact per Paper 2014 from Scopus: 0,968,
SCImago Journal Rank 2014 from Scopus: 0,608,
H index for 2010-2014 from Google Scholar Metrics: 33
2. European Journal of Operational Research, 2010, vol. 207, no. 3, 1620-1627
"Integrated risk management for an electricity producer", with Felletti D. and Stefani S.
Impact Factor 2014 from ISI Web of Science: 2,358,
Impact Factor at 5 years 2014 from ISI Web of Science: 2,911,
Article Influence Score 2014 from ISI Web of Science: 0,983,
Impact per Publication 2014 from Scopus: 2,791,
Source Normalized Impact per Paper 2014 from Scopus: 2,335,
SCImago Journal Rank 2014 from Scopus: 2,368,
H index for 2010-2014 from Google Scholar Metrics: 78
3. Energy Policy, 2010, vol. 38, no. 6, 2739-2750
" A new index for electricity spot markets", with Fattore, M. and Stefani, S.
Impact Factor 2014 from ISI Web of Science: 2.575,
Impact Factor at 5 years 2014 from ISI Web of Science: 3.394,
Article Influence Score 2014 from ISI Web of Science: 0,87,
Impact per Publication 2014 from Scopus: 3,193,
Source Normalized Impact per Paper 2014 from Scopus: 1,784,
SCImago Journal Rank 2014 from Scopus: 2,077,
H index for 2010-2014 from Google Scholar Metrics: 98
4. Applied Economics, 2011, vol. 43, no. 14, 1769-1785
“Stable Classes of Technical Trading Rules”, with Pelizzari C...
Impact Factor 2014 from ISI Web of Science: 0,613,
Impact Factor at 5 years 2014 from ISI Web of Science: 0,679,
Article Influence Score 2014 from ISI Web of Science: 0,312,
Impact per Publication 2014 from Scopus: 0,683,
Source Normalized Impact per Paper 2014 from Scopus: 0,778,
SCImago Journal Rank 2014 from Scopus: 0,427,
H index for 2010-2014 from Google Scholar Metrics: 35
5. Discrete Dynamics in Nature and Society, vol. 2011
" Market dynamics when agents anticipate correlation breakdown" with Grassi R.
6. Energy Economics, vol. 35, 14-21
" Free EUAs and fuel switching" with Felletti D. and Stefani S.
Impact Factor 2014 from ISI Web of Science: 2,708,
Impact Factor at 5 years 2014 from ISI Web of Science: 3,374,
Article Influence Score 2014 from ISI Web of Science: 1,143,
Impact per Publication 2014 from Scopus: 3,315,
Source Normalized Impact per Paper 2014 from Scopus: 1,939,
SCImago Journal Rank 2014 from Scopus: 2,58,
H index for 2010-2014 from Google Scholar Metrics: 63
7. European Journal of Operational Research, 2013, vol. 227, no. 2, 367-384
“A Tabu Search Heuristic Procedure in Markov Chain Bootstrapping”, with Cerqueti R., Guastaroba G. and Pelizzari C.
Impact Factor 2014 from ISI Web of Science: 2,358,
Impact Factor at 5 years 2014 from ISI Web of Science: 2,911,
Article Influence Score 2014 from ISI Web of Science: 0,983,
Impact per Publication 2014 from Scopus: 2,791,
Source Normalized Impact per Paper 2014 from Scopus: 2,335,
SCImago Journal Rank 2014 from Scopus: 2,368,
H index for 2010-2014 from Google Scholar Metrics: 78
8. Discrete Dynamics in Nature and Society, vol. 2015
"Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself?" with Grassi R.
9. Statistics & Applications, 2014, vol. 12, no. 1 (January-June), 87-114
“Some Advances in Markov Chain Bootstrapping of Continuous-Valued Stochastic Processes”, with Falbo P..
10. Steland A., Rafajłowicz E. e Szajowski K. (editors), Stochastic Models, Statistics and Their Applications - 12th Workshop on Stochastic Models, Statistics and Their Applications, February 2015, Wrocław, Poland, Springer International Publishing, 2015, vol. 122, 371-379
“Approximating Markov Chains for Bootstrapping and Simulation”, with Cerqueti R., Falbo P., and Guastaroba G..
11. Steland A., Rafajłowicz E. e Szajowski K. (editors), Stochastic Models, Statistics and Their Applications - 12th Workshop on Stochastic Models, Statistics and Their Applications, February 2015, Wrocław, Poland, Springer International Publishing, 2015, vol. 122, 261-269
“Risk-Averse Equilibrium Modeling and Social Optimality of Cap-and-Trade Mechanisms”, with Falbo P. and Hinz J..
12. OR Spectrum, 2015, vol. 37, no. 3 (July), 803-841
“Multivariate Markov Chain Bootstrapping and Contiguity Constraint”, with Cerqueti R., Falbo P., and Guastaroba G..
Impact Factor 2014 from ISI Web of Science: 0,987,
Impact Factor at 5 years 2014 from ISI Web of Science: 1,958,
Article Influence Score 2014 from ISI Web of Science: 0,872,
Impact per Publication 2014 from Scopus: 1,432,
Source Normalized Impact per Paper 2014 from Scopus: 1,318,
SCImago Journal Rank 2014 from Scopus: 1,484,
H index for 2010-2014 from Google Scholar Metrics: 27