Giovanni Villani

Giovanni Villani

orcid

Research Focus & Metrics

Academic Career Length

19Years (2008-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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30 May 2022 in Neural Computing and Applications
Verified
Journal Article
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FCFrancesco Colasanto
Francesco Colasanto
Luca GrilliLuca Grilli
Luca Grilli
Domenico SantoroDomenico Santoro
Domenico Santoro
GVGiovanni Villani
Giovanni Villani
In financial markets, sentiment analysis on natural language sentences can improve forecasting. Many investors rely on information extracted from newspapers or their feelings. Therefore, this information is expressed in their language. Sentiment analysis models classify sentences (or entire texts) with their polarity (positive, negative, or neutral) and derive a sentiment score. In this paper, we use this sentiment (polarity) score to improve the forecasting of stocks and use it as a new “view” in the Black and Litterman model. This score is related to various events (both positive and negative) that have affected some stocks. The sentences used to determine the scores are taken from articles published in Financial Times (an international financial newspaper). To improve the forecast using this average sentiment score, we use a Monte Carlo method to generate a series of possible paths for several trading hours after the article was published to discretize (or approximate) the Wiener measure, which is applied to the paths and returning an exact price as results. Finally, we use the price determined in this way to calculate a yield to be used as views in a new type of “dynamic” portfolio optimization, based on hourly prices. We compare the results by applying the views obtained, disregarding the sentiment and leaving the initial portfolio unchanged.

4 February 2010 in Computational Economics
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Journal Article
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MBMarta Biancardi
Marta Biancardi
GVGiovanni Villani
Giovanni Villani

7 September 2022 in Communications in Nonlinear Science and Numerical Simulation
Verified
Journal Article
Closed access
MBMarta Biancardi
Marta Biancardi
MBMichele Bufalo
Michele Bufalo
ABAntonio Di Bari
Antonio Di Bari
GVGiovanni Villani
Giovanni Villani

26 April 2008 in Computational Economics
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Journal Article
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GVGiovanni Villani
Giovanni Villani

28 September 2008 in Computational Economics
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Journal Article
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FCFlavia Cortelezzi
Flavia Cortelezzi
GVGiovanni Villani
Giovanni Villani

7 October 2021 in Annals of Operations Research
Verified
Journal Article
Closed access
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MBMarta Biancardi
Marta Biancardi
GIGianluca Iannucci
Gianluca Iannucci
GVGiovanni Villani
Giovanni Villani