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Useful Economic and Financial Indicators with Links
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13884 5
2011-01-22
Useful Economic and Financial Indicators with Links:

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  I present below many economic and financial indicators with relative web-links (some of which were discussed in my university classes), which can be useful to gain some insights about the current and future economic and financial global situation. For a few of them, I provide a small description for ease of reference, but clearly see the related official Web pages for the full documentation.

Oil prices

WTI BRENTRussian Export Blend Crude Oil (REBCO) Futures

View the full CL00 chart at Wikinvest


View the full SC00 chart at Wikinvest


View the full RE chart at Wikinvest


The previous ones are futures prices. As for spot prices, a website that provides daily crude oil spot prices  is upstreamonline.com

Commodities prices and CRB Index

Gold Price
$1342.96 ▼2.89   0.21%
1:51 AM EST - 2011.01.22
Commodities Market Summary

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The Thomson Reuters/Jefferies CRB  Index:

View the full CRB chart at Wikinvest


  For nearly 50 years, this world-renowned index has served as the most widely recognized measure of global commodities markets. As a benchmark, the Reuters/Jefferies CRB Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology.  The history of the Reuters/Jefferies CRB Index dates back to 1957, when the Commodity Research Bureau constructed an index comprised of 28 commodities that made its inaugural appearance in the 1958 CRB Commodity Year Book.
It currently is made up of 19 commodities as quoted on the NYMEX, CBOT, LME, CME and COMEX exchanges. These are sorted into 4 groups, each with different weightings. These groups are:

- Petroleum based products (based on their importance to global trade, always make up 33% of the weightings),
- Liquid assets,
- Highly liquid assets
- Diverse commodities

The Index was renamed the Reuters/Jefferies CRB Index in 2005 when it underwent its tenth and most recent revision - as the collaborative effort of Reuters, the global information company, and Jefferies Financial Products, LLC - to maintain its continued accurate representation of modern commodity markets.

See the full details at Jefferies and Reuters

Russian Oil Production: Overview and Data

For an introduction to the Russian Oil Industry, see the Country Analysis Briefs for Russia at EIA , as well as the analysis at IEA, where you can find the latest free Oil Market Report (in Russian).
Daily Production data are published for free at the Federal State Unitary Enterprise “Central Dispatching Department of Fuel and Energy Complex” (SE "CDU TEK"), while more refined data as well as historical data are available for a fee.
Interesting related websites are reported  below:
Russian Federation: Center for Energy Efficient Technology (CERT)
Russian Federation: Coal Industry Advisory Board (CIAB)
Russian Federation: Federal Agency for Science and Innovation
Russian Federation: Federal State Statistics Service
Russian Federation: Gazprom
Russian Federation: Ministry of Energy
Russian Federation: Russian Energy Agency
Russian Federation: Siberian Coal Energy Company (SUEK)
One of the most detailed and interesting analysis about the future prospects of the Russian Oil sector is the diploma thesis by Aram Mäkivierikko  (from the the Uppsala Hydrocarbon Depletion Study Group of the Swedish Uppsala University) titled "Russian Oil - A Depletion Rate Model estimate of the future Russian oil production and export". published at the beginning of 2007. Find below the abstract:

Abstract: Oil is a heavily used natural resource with a limited supply. Russia is one of the largest oil producers and the second largest oil exporting country in the world. Many surrounding countries are dependent on Russian energy. Swedish oil import from Russia has grown from 5% to 35% during 2001-2005. The fall of the Soviet Union in 1991 caused the Russian oil production to drop by 50%. The production is currently growing again – but how will it develop in the future? This report studies different scenarios for Russian oil production and export based on three different estimates of how much oil Russia has left today (70, 120 or 170 Gb), combined with estimates about how fast Russia can produce the oil (a depletion rate of 3%, 4.5% or 6%). In the worst case, Russian oil production and also the oil export will peak very soon or has already done so in 2006. In the best case, a constant export can be held until 2036. It is not likely that the Russian production will increase more than 5-10% over today’s level.



US Crude Oil stocks


Crude oil stock levels is one of the many factors affecting the price of crude oil, and recently one of the most looked at, in order to understand the level of oil supply and scarcity.
See the EIA-DOE Short-Term Energy Outlook for a  broader discussion. I report below both the onshore stock and the offshore (floating) storage levels. See also this nice introduction to the World Oil Market posted at Tutor2u.net .
Anyway, the best introduction to the oil industry and markets is surely the book OIL 101  by Morgan Downey (see one the most complete review of this book at "The Oil Drum", as well as Wikipedia). Published at the beginning of 2009, this book has quickly become a benchmark worlwide for its clarity about the oil industry: sufficient to say that in 1 year on Amazon, it has received so far 40 five-star review and 1 four-star review! Definitely, one of the best book ever published in this field.
For daily information and discussions about oil and energy issues in general and their impact on society, the Oil Drum is a must. The Oil Drum was rated one of the top five sustainability blogs of 2007 by Nielsen Netratings and it is one of the most read web site/blog about oil and energy issues,  according to Alexa.com and Technorati.com . See also Wikipedia for more details.

U.S. Crude Oil Stocks (billions of barrels -chart from Bloomberg L.P.)


U.S. Crude Oil Stocks (millions of barrels -chart from US EIA-DOE)

US Gulf Coast floating storage (thousands of barrels -chart from Bloomberg L.P.)

For an analysis of the current and future situation of the oil market see the most recent Global Markets Research report by Deutsche Bank, issued on the 22/12/2010, as well as the
report produced by the Technology and Policy Assessment function of the UK Energy Research Centre issued at the end of 2009 .

Gasoline Prices

I report below a series of charts relative to gasoline prices. See this post by prof. James Hamilton about oil and gasoline prices for a brief and clear description about their possible effects on (US) economy. For more details, see the recent article about "Nonlinearities and the Macroeconomic Effects of Oil Prices" by prof. James Hamilton as well as his famous paper Causes and Consequences of the Oil Shock of 2007-08, which is one of the most complete and clear description of the oil shock in 2008 and its effects on the economy. Less technical articles summarizing this paper can be found here for the causes of the oil shock, and here for the consequences.
                                         (Data and charts from EIA-DOE)







For data and more details see here.

US  Monthly Crude Oil and Natural Gas Exploratory and Development Wells

                                                         (Data and charts from EIA-DOE)  


For data and more details see here.

US  Annual Real Cost  of Crude Oil  and Natural Gas Wells Drilled

                                                         (Data and charts from EIA-DOE)  

For data and more details see here.

Monthly US Percent Utilization of Refinery Operable Capacity

                                                         (Data and charts from EIA-DOE)  

For data and more details see here.

Monthly US Rotary Rigs in Operation

                                                         (Data and charts from EIA-DOE)

For data and more details see here..

US Crude  Oil Input Quality

                                                         (Data and charts from EIA-DOE)

For data and more details see here.
Finally, for more information about the  previous charts from EIA-DOE and the underlying material, see again the outstanding book "Oil 101" by Morgan Downey.

Baltic Exchange Indices

The Baltic Exchange is the world's only independent source of maritime market information for the trading and settlement of physical and derivative contracts. Its international community of over 550 members encompasses the majority of world shipping interests and commits to a code of business conduct overseen by the Baltic.
The exchange publishes six daily indices:
  • Baltic Dry Index (BDI)Baltic Panamax Index (BPI) Baltic Capesize Index (BCI) Baltic Supramax Index (BSI) Baltic Handysize Index (BHSI) Baltic Dirty Tanker Index (BDTI)
  • Baltic Clean Tanker Index (BCTI)
The exchange also provides forward curves, dry cargo fixture list, daily news and settlement data. See the official Baltic Exchange Webpage as well as Wikipedia for more details.

The Baltic Dry Index (BDI) is a number issued daily by the London-based Baltic Exchange. Not restricted to Baltic Sea countries, the index tracks worldwide international shipping prices of various dry bulk cargoes. The index provides "...an assessment of the price of moving the major raw materials by sea. Taking in 26 shipping routes measured on a timecharter and voyage basis, the index covers Handymax, Panamax, and Capesize dry bulk carriers carrying a range of commodities including coal, iron ore and grain.(from the official Baltic Exchange web page)".
Every working day, a panel of international shipbrokers submits their view of current freight cost on various routes to the Baltic Exchange. The routes are meant to be representative, i.e. large enough in volume to matter for the overall market. These rate assessments are then weigthed together to create both the overall BDI and the sizespecific Supramax, Panamax, , Capesize and Handysize indices. See Wikipedia and Wikinvest for more details.

Index


type


vessel size


cargo

BCI


bulk carrier


       172,000 dwt


                         iron ore, coal


BPI


bulk carrier


         74,000 dwt


                              coal, grain


BSI


bulk carrier


         52,000 dwt


         grain, fertilizer, coal etc.


BHSI


bulk carrier


        28,000 dwt


         steel, fertilizer, grain etc.


BDTI


tanker


105-300,000 dwt


                               crude oil


BCTI


tanker


    22-75,000 dwt


                           oil products


BLPG


gas tanker


         57,000 cbm


           LPG, butane, methane


Palm Oil


veg oil tanker


         47,000 dwt


                                 palm oil


ConTex


container vessel


    1100-2500 teu


                              container


HAX


container vessel


     299-3400 teu


                              container


SCFI


container


        20' container


               containerised goods



(Note 1: Deadweight tonnage -often abbreviated as DWT for deadweight tonnes- is the displacement at any loaded condition minus the lightship weight. It includes the crew, passengers, cargo, fuel, water, and stores. It is often expressed in long tons or in metric tons. See "Tonnage" in Wikipedia fore more details.


Note 2:  The twenty-foot equivalent unit (often TEU or teu) is an inexact unit of cargo capacity often used to describe the capacity of container ships and container terminals. It is based on the volume of a 20-foot-long (6.1 m) intermodal container, a standard-sized metal box which can be easily transferred between different modes of transportation, such as ships, trains and trucks. See Wikipedia for details.


Note 3: cbm in this case stands for cubic meter.)



                             BALTIC DRY INDEX


View the full BDIY chart at Wikinvest



Baltic Dry Index (chart from Bloomberg L.P.)

Baltic Dirty Tanker Index (chart from Bloomberg L.P.)

Baltic Clean Tanker Index (chart from Bloomberg L.P.)

For the latest quotes and some interactive charts about the BDI and other Baltic Exchange daily indexes see here.

Bunkerworld Indices

BUNKERWORLD Index (BWI): "The BWI is a weighted daily index made up of 20 key bunkering ports. To obtain a representative geographical spread, the ports were selected by size with reference to their geographical importance. The main grades IFO380, IFO180, MDO and MGO are all included in the spread proportionate to their importance to the bunker market. The BWI is transparent, independently calculated and based on the accurate and highly regarded Bunkerworld Benchmark Prices (BBP). The BBP is set for each port every day at a certain time and is included in the Index. The BWI, as a whole, is set daily at 18:00 GMT. The BWI represents the fundamentals for bunker fuel market price changes and is a versatile vehicle. It gives you access to market movements without the need to analyse multiple port price shifts. It can also be regarded as an international barometer of the bunker fuel markets and could be useful as a basis for setting bunker fuel futures, swaps or OTC contracts, as well as providing an independent basis for the calculation of bunker surcharges."

            (The previous description and the chart below are taken from the official webpage at http://www.bunkerworld.com)
Bunkerworld Distillate Index (BWDI): "The BWDI is a combined daily average dollar value index of MDO (marine diesel oil) and MGO (marine gasoil) distillate fuels from the same 20 key bunkering ports used to calculate the BWI (Bunkerworld Index). To obtain a representative geographical spread, the ports were selected by size with reference to their geographical importance. The BWDI Index is transparent, independently calculated and based on the accurate and highly regarded Bunkerworld Benchmark Prices (BBP). The BBP is set for each port every day at a certain time and is included in the Index. The BWDI Index, as a whole, is set daily at 18:00 GMT. The BWDI represents the fundamentals for distillate fuel market price changes and is a versatile vehicle. It gives you access to market movements without the need to analyse multiple port price shifts. It can also be regarded as an international barometer of the distillate fuel markets and could be useful as a basis for setting distillate fuel futures, swaps or OTC contracts, as well as providing an independent basis for the calculation of fuel surcharges."

            (The previous description and the chart below are taken from the official webpage at http://www.bunkerworld.com)


Other Tanker Indices and Ship Tracking Services

- The Riverlake European Tanker Index (RETI) : This index portfolio is the accumulation of all key European oil tanker shipping routes for crude oil, dirty petroleum products and clean products transportation. The worldscale value of each route is the only consideration when calculating the value of the index. Individual route indices are essential for shipbrokers but are not representative of the whole European market. The ReTI offers ship owners, brokers and financial institutions a clear understanding of European oil tanker market movements in a single figure (description taken from the Riverlake Group official website). The  Riverlake Group is one of the major shipping service providers.

- Vesseltracker.com : With more than 210,000 registered users, and over 1,000,000 visitors each month vesseltracker.com is the leading Automatic Identification System (AIS) data provider. This website offers online resources for satellite and terrestrial tracking solutions. They also offer additional data such as schedules, expected arrivals and vessel master data (description taken from its official website). It has a nice Google Earth plug in, which is free with delayed data. The AIS is an automated tracking system used on ships and by Vessel Traffic Services (VTS) for identifying and locating vessels by electronically exchanging data with other nearby ships and VTS stations. AIS information supplements marine radar, which continues to be the primary method of collision avoidance for water transport (see Wikipedia for more details)

- Lloyd's List Intelligence: it is a specialist business information service dedicated to the global maritime community. With a history of collecting maritime data dating back nearly 300 years, Lloyd's List Intelligence provides an interactive online service offering detailed vessel movements, real-time AIS positioning, comprehensive information on ships, companies, ports and casualties as well as credit reports, industry data and analysis including short-term market outlook reports. Lloyd's List Intelligence also provides a range of support services such as in-depth consultancy, investigations, due diligence, market trend analysis and credit risk appraisal for entire portfolios.  See also Wikipedia for more details.

- Simpson Spencer Young (SSY): it is one of the world's largest independent shipbroking group, covering fourteen countries and offers a comprehensive range of services including, Dry Cargo Chartering, Tanker Chartering, Sale & Purchase, Freight Futures, Agency & Towage, Consultancy & Research, Chemical Tanker Chartering etc. If offers a lot of free charts and other interesting links about the shipping industry.

Vix Index


View the full VIX chart at Wikinvest



Real Time Key Financial Ratios (Over a 3-year sample) + Long Term Historical Charts


- DOW/GOLD RATIO      :  http://stockcharts.com/h-sc/ui?s=$INDU:$GOLD&p=D&yr=3&mn=0&dy=0&id=p33713745883   

                                              LONG TERM HISTORICAL CHARTS: DOW GOLD RATIO
                                                                            (Charts from goldprice.org)
36 years -  Dow Gold Ratio.


                                 80 years -  Dow Gold Ratio.



                                                        200 years -  Dow Gold Ratio (Source: http://www.sharelynx.com )



- GOLD/SILVER RATIO :  http://stockcharts.com/h-sc/ui?s=$GOLD:$SILVER&p=W&yr=3&mn=0&dy=0&id=p91852955167  

                                             LONG TERM HISTORICAL CHARTS: GOLD SILVER RATIO
                                                                          (Charts from goldprice.org)

                          20 year gold silver ratio



                          36 year gold silver ratio



         

- GOLD/OIL RATIO        : http://stockcharts.com/h-sc/ui?s=$GOLD:$WTIC&p=W&yr=3&mn=0&dy=0&id=p81198096209
                                               LONG TERM HISTORICAL CHARTS: GOLD OIL RATIO
                                                                          (Chart from gold-eagle.com)


  

Individuals receiving FOOD STAMPS in the US

          (Annual data reported by United States Department of Agriculture - Charts from www.dailyjobsupdate.com)

                    (Note: The annual chart above uses the federal government’s fiscal year, which begins in October).

                    Individuals receiving Food Stamps in the US (Monthly data
reported by United States Department of Agriculture)

Food stamps data:  Montlly data  by the USDA      Annual data by the USDA

Employment Index by Monster.com

The online employment company Monster.com publishes a monthly EMPLOYMENT INDEX for the US that measures the number job openings posted on the web:
                                                                                (Charts from www.dailyjobsupdate.com)


Due to the seasonality in hiring, the year-over-year growth rate is the preferred measure. We remark that Monster publishes a lot more detailed data,
broken down by country, city, industry, etc. See here for more details


ECRI Weekly Leading Index

- ECRI Weekly Leading Index (WLI)is released by the Economic Cycle Research Institute each Friday, and it aims at identifying the turning points in the economic cycle, which are indicated by pronounced changes in the index. The index contains (among others) an industrial markets price index developed by the organization, bond quality spread, bond yields, initial jobless claims, mortgage applications, money supply data, and stock prices. A significant decline in the WLI has been a leading indicator for six of the seven recessions since the 1960s, but  the WLI did turned negative 17 times when no recession followed: however, 14 of those declines were only slightly negative (-0.1 to -2.4) and most of them reversed after relatively brief periods. Its detailed composition is proprietary and therefore can be considered a black box (or a crystal ball, according to your taste):

         (Chart from www.businesscycle.com )   


Philly Fed's Aruoba-Diebold-Scotti Business Conditions Index (ADS)

- The Philly Fed's Aruoba-Diebold-Scotti Business Conditions Index (ADS index)  "is designed to track real business conditions at high frequency...The average value of the ADS index is zero. Progressively bigger positive values indicate progressively better-than-average conditions, whereas progressively more negative values indicate progressively worse-than-average conditions."
It is based on six underlying data series (see more details here):
  • Weekly initial jobless claims
  • Monthly payroll employment
  • Industrial production
  • Personal income less transfer payments
  • Manufacturing and trade sales
  • Quarterly real GDP

             (Chart from www.philadelphiafed.org )



Chicago Fed's National Activity Index (CFNAI)

-  The Chicago Fed's National Activity Index (CFNAI), which reaches back to March 1967, is based on 85 economic indicators from four categories:
  • Production and income
  • Employment, unemployment and hours worked
  • Personal consumption and housing
  • Sales, orders and inventories
      The Chicago Fed National Activity Index has an excellent record for signaling the economic downturns associated with negative GDP and recessions. A decline in its 3-month moving average (MA) below the -0.7 level raises a warning that a recession may have begun. See more details here:

         (Chart from www.chicagofed.org )


Let's see a comparison of the three indexes as proposed by the website dshort.com where the data are adjusted with a 3-month moving average (to make the chart easier to read):

The most complete (and updated) US debt clock can be found here
US National Debt

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US Largest Budget Items

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US Population / Employment Clock

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The debt clock for each US state can be found below:
state of alabama debt clockstate of alaska debt clock       state of arizona debt clock  state of arkansas debt clock  
state of california debt clock           

state of colorado debt clock    
state of connecticut debt clock  

state of delaware debt clock  

state of florida debt clock              
state of georgia debt clock             
state of hawaii debt clock               
state of idaho debt clock    
state of illinois debt clock           
state of indiana debt clock          
state of iowa debt clock                 
state of kansas debt clock              
state of kentucky debt clock            
state of louisiana debt clock
state of maine debt clock    state of maryland debt clock      
state of massachusetts debt clock  state of michigan debt clock          
state of minnesota debt clock          
state of mississippi debt clock    
state of missouri debt clock        

state of montana debt clock         

state of nebraska debt clock           

state of nevada debt clock             
state of new hampshire debt clock
state of new jersey debt clock  
state of new mexico debt clock  
state of new york debt clock        

state of north carolina debt clock  
state of north dakota debt clock   

state of ohio debt clock                    
state of oklahoma debt clock    
state of oregon debt clock  
state of pennsylvania debt clock   
state of rhode island debt clock      state of south carolina debt clock  
state of south dakota debt clock  

state of tennessee debt clock    
state of texas debt clock              

state of utah debt clock                

state of vermont debt clock           
state of virginia debt clock             
state of washington debt clock        state of west virginia debt clock
state of wisconsin debt clock state of wyoming debt clock  

The Financial Forecast Center

The Financial Forecast Center (FFC) specializes in the creation of forecasts related to investments, loans, finance, economics and employment. It has has been producing and publishing economic and financial market forecasts since 1997. All forecasts are generated in-house using artificial intelligence. More specifically, they use neural networks. The forecast models are 100% quantitative and use a global, long-range economic dataset. See their help page for more details. The have been quite successful so far (see here and here), but remind that simpler models can also do better, as highlighted by this comparative analysis performed by the competitor CXO Advisory  Group LLC. FFC publishes a lot of free 6-months ahead forecasts, while for long range forecasts you have to pay a fee.
I report below some of their forecasts for sake of interest, but refer to their official webpage for much more information.
                                          SP500 Forecast                                                                              WTI Oil Price Forecast                                                             US Dollar to Euro Exchange Rate Forecast
    

Economic Calendar

Forex Economic Calendar

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Currency Informer (Belarus,Russia, Ukraine)

Currency informer

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Currencies (Ranks, Flat rates, Cross Rates, Changes, Historical)

CURRENCIES

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Commodities and Futures (Energy, Metals, Grains, Livestock,Softs)

COMMODITIES AND FUTURES

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FAO Food Price Index and Commodities Price Indices

FAO Food Price Index and Commodities Price Indices
   


FFinancial Times News

Financial Times

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Google News

Google News

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Bloomberg News Podcasts

Bloomberg News Podcasts

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Futures (Global Summary)

_Futures_

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Macroaxis Symbol Search

Macroaxis Symbol Search

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Market Movers

Market Movers

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SP500 Chart

S&P 500 Chart

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World Indices (Americas, Europe, Asia/Pacific, Africa/Mid. East)

World Indices

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Intraday World Market Summary/font>

Intraday Word Market Summary

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Car Sector Summary

Car Sector Summary

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Real Time Forex Charts

Real Time Forex Charts

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Real Time Company News

Real-time Company News

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Real Time chart Ruble/USD


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Well, that's all for today...but check the weather before coming back home!
Погода России, weather Russia, meteo forecast Russia

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xuehe
2011-1-22 15:06:17
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Dean Fantazzini
 Деан Фантаццини


Date of Birth:   06 August 1976

Address:          Moscow School of Economics
                            1, Building 61, Leninskie Gory,
                            M.V. Lomonosov MSU, Moscow, Russia,  
                            119992


Fax:                  +7 495 5105256

Phone:             +7 495 5105267

E-mail:             fantazzini (at) mse-msu.ru
                           deanfa (at) eco.unipv.it



Academic positions:   

-  Associate Professor in Econometrics and Finance  (Доцент) Moscow School of Economics - Moscow State University



         
         
         Московская школа экономики





Work Experience
- Oct. 2008





Associate Professor in Econometrics and Finance - Moscow School of Economics, Moscow State University, Moscow (Russia)

28/04/2009: Award for fruitful scientific research and teaching activities given to me by the former USSR president and Nobel Peace Prize winner Mikhail S. Gorbachev and by the MSU rector prof. Viktor A.Sadovnichy
- Oct. 2009

Visiting Professor - Faculty of Economics, Higher School of Economics -  Moscow (Russia)
- March 08 - March 2010
Ernst & Young - Academy of Business, Moscow (Russia)
- Oct. 2007 -Sept. 2008

Lecturer in Econometrics and Finance - Moscow School of Economics, Moscow State University, Moscow (Russia)
- Nov. 2006 - Oct. 2007

Research Fellow in Statistics  - Department of Statistics and Applied Economics, University of Pavia (Italy).
- Dec. 2005 - Nov. 2006

Research Fellow in Economics and Econometrics - Department of Economics and Quantitative Methods, University of Pavia (Italy).
- March 2005 - July 2005

Fixed-term job commissioned by the University of Bologna (Italy), the European Commission and the Italian Ministry of Agriculture, to develop an econometric model for the European and Italian tobacco industry.
- Aug. 2003 - Aug. 2004

Research Fellow at the Chair for Economics and Econometrics, University of Konstanz (Germany).
- June 2000 - Dec. 2000Research Department of Banca Intesa, as a part of the Master in Financial and Insurance Investments.

Education
- Sept. 2002 - Jan. 2006


Ph.D. in Economics,  Department of Political Economy and Quantitative Methods, University of Pavia (Italy).

Ph.D. dissertation: "Theory and Applications of Copulas in Finance",  Contents
                                   Supervisors: prof. L. Bauwens, prof. E. Rossi.

                                               Best Ph.D dissertation of the winter session (academic year 2005/2006)
                                               and candidate for the Prize awarded to the best Italian Ph.D dissertation in
                                               Economics by  the Italian Economist Association
- Aug. 2003 – Aug. 2004

Pre-Doc Research position at the Chair for Economics and Econometrics, University of Konstanz (Germany)
- Sept.2000 – Nov 2002
Degree in Political Economics,Department of Economics, University of
Bologna (Italy). Final Grade 110/110 cum laude.
- Jan. 2000 – Dec. 2000
Master in Financial and Insurance Investments, Department of Statistics
University of Bologna (Italy). Studentship awarded for best Master thesis.

- Sept.1995 – Nov 1999 		Degree in Business and Economics, Department of Economics, University
of Bologna, Final Grade 110/110 cum laude                                                            

Teaching
Time Series Analysis - Econometrics
(Bachelor Course 3rd year- MSE): 		Syllabus
Time Series Analysis
(Master Course 1st year - MSE): 		Syllabus
Time Series Analysis for Financial Risk Management
(Master Course 2nd year - MSE): 		Syllabus
Stochastic calculus for Finance
(Bachelor course 4th year - HSE)		Syllabus
Stochastic calculus for Finance and Option Risk Management
(Master course 1st year - HSE)		Syllabus
Nonlinear Time Series Analysis
(Master Course 2nd year - HSE)		Syllabus  
A great Christmas card made by one of my Master students !




...what to say! Thanks a lot Ivan!

A nice cartoon made by my students of the Master 1st year course on the blackboard, summarizing the "Roman spirit" of my econometric courses!

                                 



Publications :


  • Articles

    The Handbook of trading, McGraw-Hill, p. 365-388, (2010)





    		"Modelling Bubbles and Anti-Bubbles in Bear Markets: A Medium-Term Trading Analysis"

    You can find the Abstract at SSRNYou can find the book here at McGraw-Hill

    A long excerpt can be found at Google Books
    Applied Economics,
    42(25), 3267-3277, (2010)





    		"A Copula-VAR-X approach for Industrial Production Modelling and Forecasting" (with C. Bianchi, A. Carta, M.E. Degiuli, M. Maggi – University of Pavia)

    Download the published version from Taylor & Francis
    Download the working paper version from SSRN
    The BANKING CRISIS Handbook, Chapman & Hall / CRC Finance, p. 383-405, (2010)








    		"Dangers and Opportunities for the Russian Banking Sector: 2007 - 2008" (with  A. Kudrov and A. Zlotnik)

    You can find the Abstract at SSRNYou can find the book here at Chapman & Hall / CRC Finance

    An excerpt can be found at Google Books or here The presentation at the first Russian Economic Congress in Moscow (Russia), on
    December the 11th 2009,     can be found at Scribd.com


    Computational Statistics and Data Analysis,
    54(11), 2562-2579 (2010)








    		"Three-Stage Semi-parametric Estimation of T-Copulas: Asymptotics, Finite-Sample Properties and Computational Aspects"

    Download the published version from Elsevier    Download the working paper version from  SSRN   (it contains the full set of tables, plots and proofs not reported in the published version due to space limits)

    The presentation at the EEA-ESEM 2008 Milan, on  August the
    28th     can be found at Scribd.com
    The Risk Modeling Evaluation Handbook, McGraw-Hill, p. 339-361, (2010)




    		"Small-Samples and EVT Estimators for Computing Risk Measures: Simulation and Empirical Evidences" (with  A. Kudrov)

    You can find the Abstract at SSRNYou can find the book here at     McGraw-Hill

    A long excerpt can be found at Google Books

    The Risk Modeling Evaluation Handbook, McGraw-Hill, p. 321-338, (2010)




    		"Copula-VAR and Copula-VAR-GARCH Modeling: Dangers for Value at Risk and Impulse Response Functions" (with  C. Bianchi, M.E. DeGiuli and M. Maggi)

    You can find the Abstract at SSRNYou can find the book here at     McGraw-Hill

    A long excerpt can be found at Google Books

    International Journal of Risk Assessment and Management,
    11(1/2), 164-179,(2009)



    		"Discrete-Time Affine Term Structure Models: An ARCH Formulation" (with  A. Carta, and M. Maggi)

    Download the published version from Inderscience or Ingentaconnect

    Download     the working paper from  SSRN
    EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, Chapman & Hall / CRC Finance, p. 533-554, (2009)  







    		"Market Risk Management for Emerging Markets: Evidence from the Russian Stock Market"

    You can find the Abstract at SSRNYou can find the book here at Chapman & Hall / CRC Finance

    A long excerpt can be found at Google Books

    The presentation at the VII-th International School Seminar "Multivariate Statistical Analysis and Econometrics", Tsahkadzor, Armenia, September 24th 2008, can be found at Scribd.com

    The VAR IMPLEMENTATION HANDBOOK, McGraw-Hill, p. 253-282, (2009)







    		"Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped-T Copula Approach"

    You can find the Abstract at SSRNYou can find the book here at     McGraw-Hill

    A long excerpt can be found at Google Books

    The presentation at the International Workshop on Computational and Financial Econometrics, Geneva (Switzerland), April 20-22, 2007 can be found at Scribd.com

    Прикладная эконометрика
    2(14), 57-73 (2009)




    		" Экономические факторы в модели голосования: пример Нидерландов, Великобритании и Израиля"
           (with Alexei V. Zakharov , - HSE / MSE)You can find the Abstract here


    Journal of Financial Transformation,    25(1), 31-39, (2009)"Enhanced Credit Default Models for Heterogeneous SME Segments" (with M.E. DeGiuli, S. Figini, P. Giudici, – University of Pavia).Download the published version from Repec

    Download the working paper version from  SSRN   (it contains the full set of tables and plots not reported in the published version due to space limits)
    Прикладная эконометрика
    2(14), 100-127 (2009)


    		" Управление кредитным риском (окончание)"

    You can find the Abstract here


    Прикладная эконометрика
    1(13), 105-138 (2009)

    		"Управление кредитным риском (Продолжение)"

    You can find the Abstract here
    Stock Market Volatility, Chapman & Hall / CRC, 527-548,(2009)"Forecasting Default Probability without Accounting Data: Evidence from Russia"

    You can find the Abstract at SSRNYou can find the book here at Chapman & Hall / CRC
    A long excerpt can be found at Google Books
    International Journal of Risk Assessment and Management,
    11(1/2), 138-163,(2009)

    		"Default forecasting for small-medium enterprises: does heterogeneity matter?" (with S. Figini– University of Pavia).

    Download the published version from Inderscience or Ingentaconnect

    Computational Statistics and Data Analysis,
    53(6), 2168-2188, (2009)





    		"The Effects of Misspecified Marginals and Copulas on Computing the Value at Risk: A Monte Carlo Study"
    Download the published version from Elsevier
    Download the working paper version from  SSRN   (it contains the full set of tables not reported in the published version due to space limits)
    Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation, Wiley, 197-216, (2009).




    		"Multivariate Models for Operational Risk: A Copula Approach using Extreme Value Theory and Poisson Shock Models", (with O. Rachedi, Cass Business School, London)

    You can find the Abstract at SSRN     You can find the book here at Wiley

    A long excerpt can be found at Google Books The presentation at HSE dealing with a general review of Operational Risk Management can be found at Scribd.com

    Methodology and Computing in Applied Probability
    11(1), 29-45 (2009)


    		"Random Survival Forest models for SME Credit Risk Measurement" (with S. Figini– University of Pavia).

    Download the published version from Springer     Download the working paper version (before revision) from
    SSRN
    Прикладная эконометрика
    4(12), 84-137 (2008)

    		" Управление кредитным риском "

    You can find the Abstract here


    Прикладная эконометрика
    3(11), 87-122 (2008)

    		" Управление операционным риском " You can find the Abstract here
    Прикладная эконометрика
    2(10), 91-137 (2008)

    		" Эконометрический анализ финансовых данных в задачах управления риском " You can find the Abstract here
    Computational Economics 31(2), 161-180, (2008) “A New Approach for Firm Value and Default Probability Estimation beyond Merton Models”

    Download the published version from Springer

    Download the working paper version from SSRN

    Frontiers in Finance and Economics
    5(2), 72-108, (2008)
    		“Dynamic Copulas for Value at Risk"

      Download the published version from Repec

      Download the working paper version from SSRN  
    Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis, Wiley,
    p. 274-277, (2007)
    		"Empirical Studies with Operational Loss Data: DallaValle, Fantazzini and Giudici Study",

    You can find the book here at Wiley


    International Journal of Risk Assessment and Management,
    9(3), 238-257,(2008)




    		“Copulae and Operational Risks”,
    (with L. Dalla Valle and P. Giudici – University of Pavia).

    Download the published version from Inderscience or Ingentaconnect

    Download     the working paper from  SSRN  

    European Review of Agricultural Economics,
    34 (1), 129-131, (2007)
    		“Leaves and Cigarettes: Modelling the Tobacco Industry (With applications to Italy and Greece)", (with F. Arfini – University of Parma, F. Ferretti – Univesity of Reggio Emilia, K. Mattas – University of Thessaloniki), Book Review by Kenneth J. Thomson.           For more details about this book see here .
    Agribusiness, Landscape and Environmental Management,
    10(2), 1-13, (2007)
    		“Evidence from a Time-Changing Regulated Agricultural Market: The Italian Tobacco Industry”
    (with F. Ferretti - University of Modena and Reggio Emilia)     Abstract
    (in) S.Co 2005, (edit by
    C. Provasi)    , p. 215-220     		“The Econometric Modelling of Copulas: a Review with Extensions ”,
    Abstract
    Quaderno di Ricerca, University of Pavia
    5, 1-21,  (2005)    		“Discrete-Time Affine Term Structure: an Econometric Formulation ”      
    pdf      
    Journal of the Italian Society of Financial Risk Management (AIFIRM), 2, 2 -10, (2005)“Modelli Multivariati per la Gestione dei Rischi Operativi: L'approccio delle Copulae” (i.e. "Multivariate Models for Operational Risk Modelling: The Copulae Approach") pdf    (final revised version)
    Capital Market Notes,
    Research Department,
    Banca Intesa    ,
    (January / March 2002)
    		“Investment grade financial corporate bonds: Term structure estimation and relative value”, (with E.  Bernini – Banca Intesa).   
    pdf
    Credit market strategies, Research Department ,
    Banca Intesa,

    (November 2001)

    		“Term structure estimation and relative value for European financial names”, (with E. Bernini – Banca Intesa).
    pdf
    Collana Ricerche, Studi e Ricerche, Banca Intesa,   
    (September 2001)
    		 “Funzioni spline per la stima di strutture a termine: il caso dei corporate spread finanziari”, (i.e., “Spline functions for term structure estimation: The case of financial corporate spreads”), (with E. Bernini – Banca Intesa).
    pdf    pdf (Appendix - VBA code)
  •                                                          

  • Books

    М.: Экономист, 2010
         (в печати)
    		Методы эконометрики:  
    Том 1: Базовый курс           (Айвазян Сергей Артемьевич)
    Том 2: Продвинутый курс (Айвазян Сергей Артемьевич ,  
                                      Деан Фантаццини).

    Franco Angeli Editore
    edited by F. Ferretti
     (November 2005)

                         

    		"Leaves and Cigarettes: Modelling the Tobacco Industry (With applications to Italy and Greece)", (with F. Arfini – University of Parma, F. Ferretti – Univesity of Reggio Emilia, K. Mattas – University of Thessaloniki)
    Cover       Contents
       
    Introduction

           Listed on SSRN's Top Ten download list for "ANRES: Other (Topic)" and
                  "European Economics: Agriculture, Natural Resources & Environmental Studies".

    Digital University Press
     (November 2004)



    		"Financial Markets Microstructure and High Frequency Data: Theoretical Issues, Stylized Facts and Econometric Tools"  
    Cover           Contents
       
    Introduction  

  •                

  • Scientific Conferences :

    - December 20104th International Conference on Computational and Financial Econometrics, London (UK)
    - June 2010Workshop Industry & Price Forecasting, Paris (France)
    - October 20093rd International Conference on Computational and Financial Econometrics, Limassol (Cyprus)
    - June 200940th Seminar in "Multivariate Statistical Analysis and Probabilistic Modelling of Real Processes", Moscow (Russia)
    - January 2009Third Italian Congress of Econometrics and Empirical Economics (ICEEE), Ancona, Italy
    - September 2008VII-th International School Seminar "Multivariate Statistical Analysis and Econometrics", Tsahkadzor, Armenia
    - August 2008 "63rd European Meeting of the Econometric Society (ESEM2008)", Milan, Italy
    - June 2008 "2nd International Workshop on Computational and Financial Econometrics", Neuchatel, Switzerland
    - March 2008 "Mathematical and Statistical Methods for Actuarial Sciences and Finance", Venice, Italy
    - January 2008

    "Recent Developments in Econometric Methodology", Department of Economics Minsky, University of Bergamo, (Italy).

    - June 2007

    “5th Infiniti Conference on International Finance", Dublin, Ireland..

    - May 2007

    “14th ‘Forecasting Financial Markets’ Conference", Aix-en-Provence, France..

    - April 2007

    “International Workshop on Computational and Financial Econometrics", University of Geneva, Switzerland..

    - January 2007
    		“Second Italian Congress of Econometrics and Empirical Economics", Rimini - Italy.
    -  September 2006 “XXX Convegno AMASES" (i.e. 30th conference of the Italian Association of Applied Mathematics), Trieste, Italy
    - June 2006 “12th international conference on Computing in Economics and Finance", Limassol, Cyprus
    - May 2006
    		“13th International conference on Forecasting Financial Markets", Aix-En-Provence, Fran
    - April 2006“Convegno nazionale sulle serie temporali"(i.e. Italian Conference on Time Series) held by the Italian Society of Statistics, Rome, Italy.
    - September 2005 “Fifth Annual Conference of ENBIS - European Network of Business and Industrial Statisticians", Newcastle, England
    - September 2005 “Quarto Convegno su Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione", Bressanone - Italy.
    - July 2005
    		“8th Italian Spanish Meeting on Financial Mathematics", Verbania - Italy.
    - June 2005
    		“Global Finance Conference 2005", Trinity College Dublin - Ireland                     
    - May 2005“XXXVI Euro Working Group on Financial Modelling", University of Brescia - Italy
    - January 2005“First Italian Congress of Econometrics and Empirical Economics", University of Venice - Italy
    - November 2004Conference in “High Frequency Data: Models and Applications", University of Perugia - Italy
    - April 2004Market Microstructure Workshop, University of Tilburg - Holland
                                                                                                                                                                                                        

Language skills:


  • English:close to mother tongue.
  • Italian : mother tongue
  • Russian: Intermediate level
  • Spanish:basic level.



Computer skills:

  • Proficient in MS Office (Word, Excel, Powerpoint);
  • Proficient in E – Views;
  • Proficient in Reuters X-Tra (Equities and Fixed Income), Datastream,and Bloomberg;
  • Proficient in Gauss;
  • Proficient in Visual Basic for Application (VBA) for Excel.


Scientific areas of Research:

  • Copula Modeling for financial and Economic Applications
  • Financial Asset Pricing and Risk Management
  • Periodic Modelling of Economic and Financial Data;
  • Government and corporate term structures estimation.



Hobbies and Sport:

  • Travelling, reading and cooking;
  • Jogging, swimming, skiing and basketball.


Useful Economic andFinancial Links (separate web page)

[/table]


[size=-2]Яндекс.Словари
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逆水行舟10
2011-1-22 22:23:46
谢谢楼主分享！！！！！！
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sunyiboghgl
2012-3-6 23:17:09
谢谢啦
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geokaran
2013-3-14 01:00:32
good
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Enthuse
2015-9-2 06:11:43
thanks so much..
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