image

ROBERTO DIECI - Research web page
e-mail:  roberto.dieci@unibo.it

Department of Mathematics

University of Bologna

 

Address:

University of Bologna
School of Economics, Management and Statistics - Rimini Campus
Via D. Angherą, 22
I-47900 Rimini, Italy
Tel (+39) 0541-434140

Institutional web page
http://www.unibo.it/Faculty/default.htm?UPN=roberto.dieci%40unibo.it

 

 

 

Short CV


Born in Piacenza on 22. 11. 1963. Married to Lidia, father of Lorenzo and 
Valeria
1989: graduated in Economics, cum laude, at the University of Parma

1994: PhD in Mathematics for Financial Markets at the University of Brescia

1995 – 2002: Lecturer in Mathematics for Economics and Finance at the Faculty of Economics -  University of Parma

2002 – 2007: Associate Professor of Mathematics for Economics and Finance, Faculty of Economics Rimini, University of Bologna
2007 to present: Full Professor of Mathematics for Economics and Finance, School of Economics Management and Statistics  - Rimini, University of Bologna

Visiting Positions

September 2001: Visiting Scholar, School of Finance and Economic, University of Technology Sydney

August 2012: Visiting Scholar, UTS Business School, University of Technology Sydney

Recent Research Fields


Dynamical systems (stability, bifurcations and analysis of complex behaviour) and their application to the modelling of evolving systems in economics and finance

Nonlinear discrete-time dynamic models of financial fluctuations and business cycles 

Heterogeneous-agent models

Behavioural Finance

 

SELECTED PUBLICATIONS

Refereed International Journals

CHIARELLA C., DIECI R., HE X.-Z., LI K. (2013). An evolutionary CAPM under heterogeneous beliefs. ANNALS OF FINANCE, in press

CHIARELLA C., DIECI R., HE X.-Z. (2013). Time-varying beta: a boundedly rational equilibrium approach. JOURNAL OF EVOLUTIONARY ECONOMICS, in press

DIECI R., WESTERHOFF F. (2012). A simple model of a speculative housing market.
JOURNAL OF EVOLUTIONARY ECONOMICS 22, 303-329

CHIARELLA C., DIECI R., HE X.-Z. (2011). The dynamic behaviour of asset prices in disequilibrium: a survey.  INTERNATIONAL JOURNAL OF BEHAVIOURAL ACCOUNTING AND FINANCE 2, 101 - 139

DIECI R., GALLEGATI M. (2011). Multiple attractors and business fluctuations in a nonlinear macro-model with equity rationing. MATHEMATICAL AND COMPUTER MODELLING 53, 1298-1309

CHIARELLA C., DIECI R., HE X.-Z. (2011). Do heterogeneous beliefs diversify market risk? EUROPEAN JOURNAL OF FINANCE 17, 241-258

DIECI R., WESTERHOFF F. (2010). Interacting cobweb markets. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 75, 461-481

DIECI R., WESTERHOFF F. (2010). Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates. JOURNAL OF ECONOMIC DYNAMICS & CONTROL 34, 743 – 764

DIECI R., WESTERHOFF F. (2009). Stability analysis of a cobweb model with market interactions. APPLIED MATHEMATICS AND COMPUTATION 215, 2011 – 2023

TRAMONTANA F., GARDINI L., DIECI R., WESTERHOFF F. (2009). The emergence of ‘bull' and ‘bear' dynamics in a nonlinear model of interacting markets. DISCRETE DYNAMICS IN NATURE AND SOCIETY vol. 2009, doi:10.1155/2009/310471, 1 – 30

ANGELINI N., DIECI R., NARDINI F. (2009). Bifurcation analysis of a dynamic duopoly model with heterogeneous costs and behavioural rules. MATHEMATICS AND COMPUTERS IN SIMULATION 79, 3179 – 3196

CHIARELLA C., DIECI R., GARDINI L., SBRAGIA L. (2008). A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence. COMPUTATIONAL ECONOMICS 32, 55 – 72

CANDELA G., CASTELLANI M., DIECI R. (2008). Economics of externalities and public policy. INTERNATIONAL REVIEW OF ECONOMICS 55, 285 – 311

AGLIARI A., DIECI R., GARDINI L. (2007). Homoclinic tangles in a Kaldor-like business cycle model. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 62, 324 – 347 

CHIARELLA C., DIECI R., HE X.-H. (2007). Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 62, 408 – 427

AGLIARI A., BISCHI G.I., DIECI R., GARDINI L. (2006). Homoclinic tangles associated with closed invariant curves in families of 2-D maps. GRAZER MATHEMATISCHE BERICHTE 350, 1 – 14

CHIARELLA C., DIECI R., GARDINI L. (2006). Asset price and wealth dynamics in a financial market with heterogeneous agents. JOURNAL OF ECONOMIC DYNAMICS & CONTROL 30, 1755 – 1786

DIECI R., FORONI I., GARDINI L., HE X.-Z. (2006). Market mood, adaptive beliefs and asset price dynamics. CHAOS, SOLITONS AND FRACTALS 29, 520 – 534

DIECI R., SORDI S., VERCELLI A. (2006). Financial fragility and global dynamics. CHAOS, SOLITONS AND FRACTALS 29, 595 – 610

WESTERHOFF F., DIECI R. (2006). The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioural finance approach. JOURNAL OF ECONOMIC DYNAMICS & CONTROL 30, 293 – 322

AGLIARI A., BISCHI G.I., DIECI R., GARDINI L. (2005). Global bifurcation of closed invariant curves in two-dimensional maps: a computer-assisted study. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS IN APPLIED SCIENCES AND ENGINEERING 15, 1285 – 1328 

CHIARELLA C., DIECI R., GARDINI L. (2005). The dynamic interaction of speculation and diversification. APPLIED MATHEMATICAL FINANCE 12, 17 – 52  

DIECI R., BISCHI G.I., GARDINI L. (2003). Routes to complexity in a macroeconomic model described by a noninvertible triangular map. CUBO: A MATHEMATICAL JOURNAL 5, 367-396

CHIARELLA C., DIECI R., GARDINI L. (2002). Speculative behaviour and complex asset price dynamics: a global analysis. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 49, 173-197

BISCHI G.I., DIECI R., GARDINI L. (2001). Multistability and role of noninvertibility in a business cycle model. CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH 9, 71-96

BISCHI G.I., DIECI R., RODANO G., SALTARI E. (2001). Multiple attractors and global bifurcations in a Kaldor-type business cycle model. JOURNAL OF EVOLUTIONARY ECONOMICS 11, 527-554

CHIARELLA C., DIECI R., GARDINI L. (2001). Asset price dynamics in a financial market with fundamentalists and chartists. DISCRETE DYNAMICS IN NATURE AND SOCIETY 6, 69-99

DIECI R. (2001). Critical curves and bifurcation of absorbing areas in a financial model. NONLINEAR ANALYSIS 47, 5265-5276 

DIECI R., BISCHI G.I., GARDINI L. (2001). From bi-stability to chaotic oscillations in a macroeconomic model. CHAOS, SOLITONS AND FRACTALS 12, 805-822

GALEOTTI M., DIECI R. (2000). A model of optimal financing decisions in a stochastic framework. JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS 3, 43-66

Books Chapters

DIECI R., WESTERHOFF F. (2013). Modeling house price dynamics with heterogeneous speculators. In: Bischi G.I., Chiarella C., Sushko I. (Eds.) Global Analysis of Dynamic Models in Economics and Finance - Essays in Honour of Laura Gardini. Berlin: Springer-Verlag, 35 – 61

ANGELINI N., DIECI R., NARDINI F. (2010). The role of market-clearing mechanisms in a simple heterogeneous-agent asset pricing model. In: Puu T., Panchuk A. (Eds.) Nonlinear Economic Dynamics. New York: Nova Science Publishers, Inc.

CHIARELLA C., DIECI R., HE X.-Z. (2010). A framework for CAPM with heterogeneous beliefs. In: Bischi G.I., Chiarella C., Gardini L. (Eds.) Nonlinear Dynamics in Economics, Finance and the Social Sciences - Essays in Honour of John Barkley Rosser Jr. Berlin: Springer-Verlag, 353 – 369

 TRAMONTANA F., GARDINI L., DIECI R., WESTERHOFF F. (2010). Global bifurcations in a three-dimensional financial model of  "bull and bear" interactions. In: Bischi G.I., Chiarella C., Gardini L. (Eds.) Nonlinear Dynamics in Economics, Finance and the Social Sciences - Essays in Honour of John Barkley Rosser Jr. Berlin: Springer-Verlag, 333 – 352

CHIARELLA C., DIECI R., HE X.-Z. (2009). Heterogeneity, market mechanisms, and asset price dynamics. In: Hens T., Schenk-Hoppe K.R. (Eds.) Handbook of Financial Markets: Dynamics and Evolution. Amsterdam: North-Holland, Elsevier, 277 – 344

AGLIARI A., DIECI R. (2006). Coexistence of attractors and homoclinic loops in a Kaldor-like business cycle model. In: Puu T., Sushko I. (Eds.) Business Cycle Dynamics - Models and Tools. Berlin: Springer-Verlag, 223 – 254

CHIARELLA C., DIECI R., GARDINI L. (2005). Asset price dynamics and diversification with heterogeneous agents. In: Lux T., Reitz S., Samanidou E. (Eds.) Nonlinear Dynamics and Heterogeneous Interacting Agents, Lecture Notes in Economics and Mathematical Systems 550. Berlin: Springer-Verlag, 251 – 267

CHIARELLA C., DIECI R., GARDINI L. (2004). A dynamic analysis of speculation across two markets. In: Gallegati M., Kirman A., Marsili M. (Eds.) The Complex Dynamics of Economic Interaction -  Essays in Economics and Econophysics, Lecture Notes in Economics and Mathematical Systems 531. Berlin: Springer-Verlag,  197 – 212. 


Working Papers and Research Reports

DIECI R., WESTERHOFF, F. (2011). On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets. BERG Working Paper Series on Government and Growth, n. 79, University of Bamberg.

DE GRAUWE P., DIECI R., GRIMALDI M. (2005). Fundamental and non-fundamental equilibria in the foreign exchange market: a behavioural finance framework. CESIFO Working Papers, vol. 1431. 

CIASCHINI M.DIECI R., GARDINI L. (2003). Nonlinearity in a multi-sector dynamic model, Quaderni di Economia, Matematica e Statistica della Facolta' di Economia di Urbino, n. 84.


Workshop and Conference Presentations (recent)

Workshop MDEF 2012 (Modelli Dinamici in Economia e Finanza), Urbino, September 2012

ESHIA/WEHIA 2011 (16th Annual Workshop on Economic Heterogeneous Interacting Agents), Ancona, June 2011

NED11 (7th International Conference on Nonlinear Economic Dynamics), Cartagena, Spain, June 2011

International Conference on Nonlinear Economic Dynamics and Financial Market Modelling, Guangzhou, China, April 2011

Workshop MDEF 2010 (Modelli Dinamici in Economia e Finanza), Urbino, September 2010

The Rimini Conference in Economics and Finance (RCEF), Rimini, June 2010.

Workshop "Evolution and Market Behavior in Economics and Finance", Scuola Superiore Sant'Anna, Pisa, October 2009

XXXIII Convegno A.M.A.S.E.S., Parma, September 2009

Workshop MDEF 2008 (Modelli Dinamici in Economia e Finanza), Urbino, September 2008

Workshop: "The Relevance of Network and Complex System Theory for Technological Search and Diffusion", Universitą di Bologna, Facoltą di Economia – Rimini, June  2008

Workshop on Nonlinear Economic Dynamics (NED 07), Bielefeld, July 2007.

15th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE 2007), Paris, March 2007

Workshop MDEF 2006 (Modelli Dinamici in Economia e Finanza) Urbino, September 2006

12th International Conference on Computing in Economics and Finance (SCE 2006), Limassol, June 2006.

Workshop WEHIA 2006 (Economics with Heterogeneous Interacting Agents), Bologna, June 2006

Referee Services (recent)

The Manchester School, Journal of Economic Behavior & Organization, Journal of Economic Dynamics & Control, Macroeconomic Dynamics, Chaos Solitons & Fractals, Studies in Nonlinear Dynamics & Econometrics, European Journal of Operational Research, Journal of Economic Interaction and Coordination, Journal of Evolutionary Economics, Economic Modelling, Nonlinear Dynamics, Psychology and Life Sciences, Mathematics in Computers and Simulation, Computers and Mathematics with Applications, Mathematical Finance, Annals of Finance, Computational Economics, Economics Research International, Decisions in Economics and Finance, Discrete Dynamics in Nature and Society, International Journal of Bifurcation and Chaos, Applied Mathematics and Computation, Quantitative Finance.