Marco Corazza

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— Forecasting the tide level in the Venezia lagoon is a very compelling task. In this work we propose a new approach to the learning of tide level time series based on the local learning procedure of Bottou and Vapnik, by considering the use of a fuzzy method for the selection of the closest patterns to the one to forecast. We made use also as learners of(More)
Keywords: Portfolio selection Coherent risk measure Fund management constraints NP-hard mathematical programming problem Particle Swarm Optimization Exact penalty method SP100 index's assets a b s t r a c t In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically(More)
In this paper we propose a financial trading system whose strategy is developed by means of an artificial neural network approach based on a recurrent reinforcement learning algorithm. In general terms, this kind of approach consists in specifying a trading policy based on some predetermined investor's measure of profitability, and in setting the financial(More)