Giorgio Mirone


Quantitative Analyst
Financial Stability 
Field of Interest: Statistical Modeling, Econometrics, Quantitative Finance
gmi@nationalbanken.dk

Professional Experience
Quantitative Analyst, Financial Stability, Danmarks Nationalbank, 2019 –

Education
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

Refereed Publications
"Feature Engineering for Mid-Price Prediction with Deep Learning." with Adamantios Ntakaris, IEEE Access (2019).

Working Papers
"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)