Andrea Zaccaria

Research Fellow

Andrea Zaccaria is a researcher at the Institute for Complex Systems (ISC)-CNR and a consultant at the World Bank Group. He received his PhD in Physics at the "Sapienza" University of Rome, where he applied concepts and methods borrowed from Statistical Physics and the Physics of Complex Systems to the study of financial markets.
As a member of the research and development group of SoSE Spa, one of the main Italian fiscal agencies, he developed a machine learning algorithm to classify taxpayers and detect tax evasion.
His present work at ISC is focused on the Economic Complexity approach, and in particular to the application of Complex Networks and algorithmic tools to development economics.

Email: and[dot]zaccaria[at]gmail[dot]com

Research interests and main achievements

- Development of a minimal agent based model to study the origin and self-organization of the main empirical properties of financial markets [1, 2, 3, 4, 7].
- Study of liquidity crises [5, 14] and the connection between traders’ strategies and various microstructural properties of financial markets [6].
- Analysis of financial time series, in particular the statistical features of extreme events [10] and the memory effects due to technical trading [12].
- Application of complexity tools (networks, agent based models, and Kolmogorov complexity, among others) to the development of new income assessment systems, with a special focus on the detection of possible tax evasion.
- Introduction of a network of products to study the development of countries [13] and the possible strategies to escape from the poverty trap [24].
- Study of the relationship between firms’ performance and their patenting activity [25].

Publications

[1] V Alfi, L Pietronero, and A Zaccaria.
Self-organization for the stylized facts and finite-size effects in a financial-market model.
EPL (Europhysics Letters), 86(5):58003, 2009.
[2] V Alfi, M Cristelli, L Pietronero, and A Zaccaria.
Minimal agent based model for financial markets I: Origin and self-organization of stylized facts.
The European Physical Journal B, 67(3):385–397, 2009.
[3] V Alfi, M Cristelli, L Pietronero, and A Zaccaria.
Minimal agent based model for financial markets II: Statistical properties of the linear and multiplicative dynamics.
The European Physical Journal B, 67(3):399–417, 2009.
[4] V Alfi, M Cristelli, L Pietronero, and A Zaccaria.
Mechanisms of self-organization and finite size effects in a minimal agent based model.
Journal of Statistical Mechanics: Theory and Experiment, 2009(03):P03016, 2009.
[5] M Cristelli, V Alfi, L Pietronero, and A Zaccaria.
Liquidity crisis, granularity of the order book and price fluctuations.
The European Physical Journal B-Condensed Matter and Complex Systems, 73(1):41–49, 2010.
[6] A Zaccaria, M Cristelli, V Alfi, F Ciulla, and L Pietronero.
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement.
Physical Review E, 81(6):066101, 2010.
[7] M Cristelli, L Pietronero, and A Zaccaria.
Critical overview of agent-based models for economics.
In F. Mallamace and E. H. Stanley, editors, Proceedings of the School of Physics "E. Fermi", course CLXXVI. arXiv:1101.1847, 2011.
[8] V Alfi, M Cristelli, L Pietronero, and A Zaccaria.
Reconstructing agents’ strategies from price behavior.
In Econophysics of Order-driven Markets, pages 109–124. Springer, 2011.
[9] A Tacchella, M Cristelli, A Zaccaria, and L Pietronero.
Time evolution of financial cross-correlation coefficients across market crisis. International Journal of Modern Physics: Conference Series, 16:82–92, 2012.
[10] M Cristelli, A Zaccaria, and L Pietronero.
Universal relation between skewness and kurtosis in complex dynamics.
Physical Review E, 85(6):066108, 2012.
[11] A Zaccaria, M Cristelli, and L Pietronero.
Reaction to extreme events in a minimal agent based model.
In Econophysics of Systemic Risk and Network Dynamics, pages 133–140. Springer, 2013.
[12] F Garzarelli, M Cristelli, G Pompa, A Zaccaria, and L Pietronero.
Memory effects in stock price dynamics: evidences of technical trading.
Scientific reports, 4(4487), 2014.
[13] A Zaccaria, M Cristelli, A Tacchella, and L Pietronero.
How the taxonomy of products drives the economic development of countries. PloS one, 9(12):e113770, 2014.
[14] F Corradi, A Zaccaria, and L Pietronero.
Liquidity crises on different time scales.
Physical Review E, 92(6):062802, 2015.
[15] M Cristelli, L Pietronero, A Tacchella, and A Zaccaria.
Being fit in the ASEAN countries. An econometric analysis.
In Romeo Orlandi, editor, ASEAN For Italy. Il Mulino, 2015.
[16] E Pugliese, G L Chiarotti, A Zaccaria, and L Pietronero.
Economic Complexity as a Determinant of the Industrialization of Countries: the Case of India. To be published by Cambridge University Press, 2017.
[17] M Cristelli, A Tacchella, A Zaccaria, and L Pietronero.
Growth scenarios for sub-Saharan countries in the framework of economic complexity.
https://mpra.ub.uni-muenchen.de/71594/, 2015.
[18] A Zaccaria, M Cristelli, R Kupers, A Tacchella, and L Pietronero.
A case study for a new metrics for economic complexity: The Netherlands.
Journal of Economic Interaction and Coordination, 11(1):151–169, 2016.
[19] G Cimini, A Zaccaria, and A Gabrielli.
Investigating the interplay between fundamentals of national research systems: performance, investments and international collaborations.
Journal of Informetrics, 10(1):200 – 211, 2016.
[20] M A Annunziata, A Petri, G Pontuale, and A Zaccaria.
How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products.
The European Physical Journal Special Topics, 225(10):1985–1995, 2016.
[21] E Pugliese, A Zaccaria, and L Pietronero.
On the convergence of the fitness-complexity algorithm.
The European Physical Journal Special Topics, 225(10):1893–1911, 2016.
[22] G Poce, G Cimini, A Gabrielli, A Zaccaria, G Baldacci, M Polito, M Rizzo, and S Sabatini.
What do central counterparties default funds really cover? A network-based stress test answer.
arXiv preprint arXiv:1611.03782, 2016.
[23] Orazio Angelini, Matthieu Cristelli, Andrea Zaccaria, and Luciano Pietronero.
The complex dynamics of products and its asymptotic properties.
PloS one, 12(5):e0177360, 2017.
[24] E Pugliese, G L Chiarotti, A Zaccaria, and L Pietronero.
Complex economies have a lateral escape from the poverty trap.
PloS one, 12(1):e0168540, 2017.
[25] E Pugliese, L Napolitano, A Zaccaria, and L Pietronero.
Coherent diversification in corporate technological portfolios.
arXiv preprint arXiv:1707.02188, 2017.
[26] E Pugliese, G Cimini, A Patelli, A Zaccaria, L Pietronero, and A Gabrielli. Unfolding the innovation system for the development of countries: co-evolution of science, technology, and production.
arXiv preprint arXiv:1707.05146, 2017.
[27] A Gabrielli, M Cristelli, D Mazzilli, A Tacchella, A Zaccaria, and L Pietronero. Why we like the ECI+ algorithm.
arXiv preprint arXiv:1708.01161, 2017.