Field of Interest: Statistical Modeling, Econometrics, Quantitative Finance
Quantitative Analyst, Financial Stability, Danmarks Nationalbank, 2019 –
Ph.D., Financial Econometrics, Aarhus University, 2018
M.Sc., Financial Mathematics, Università degli Studi di Siena, 2014
B.Sc., Economics and Finance, Università degli Studi di Siena, 2011
"Feature Engineering for Mid-Price Prediction with Deep Learning." with Adamantios Ntakaris, IEEE Access (2019).
"Cross-sectional noise reduction and more efficient estimation of integrated variance", CREATES Working paper, No 18, 2018.
"Inference from the Futures: Ranking the Noise Cancelling Accuracy of Realized Measures", CREATES Working Paper, No 24, 2017.
Work in Progress
"The HAR-F: Incorporating overnight futures data in daytime stock volatility forecasting", with Ye Zeng.
"On the relation between stock and futures' volatility in a high-frequency framework".
"Estimating a Realized GARCH-MEM with time varying jumps", with Eduardo Rossi and Paolo Santucci de Magistris.
"Proxying the news: using web searches in financial volatility prediction", with Erik Christian Montes-Schütte.
Selected Danmarks Nationalbank Publications
"Climate change can have a spillover effect on financial stability", Danmarks Nationalbank Analysis, no. 26 (2019)