Research interests

• Financial high frequency econometrics;
• Fourier analysis and stochastic processes;
• Non parametric and parametric statistics;
• Statistical inference for Lévy driven mixed moving average processes;
• Statistical inference for mixed moving average and Ambit fields;
• Variational Bayesian Inference.

Published Papers

"On the sample autocovariance of a Lèvy driven moving average process when sampled at a renewal sequence" with Dirk Brandes, Journal of Statistical Planning and Inference, Vol. 203 (2019), 20-38.

"Weak dependence and GMM estimation for supOU and mixed moving average processes" with Robert Stelzer,  Electronic Journal of Statistics,  Vol. 13,  1  (2019), 310-360.

"Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method", Stochastic Processes and their Applications, Vol. 129 (2019) 3207-3238.

"Spot volatility estimation using the Laplace transform" , with Maria Elvira Mancino and Maria Cristina Recchioni, Econometrics and Statistics,  Vol. 6 (2018), 22--43.

"High frequency volatility of volatility estimation free from spot volatility estimates", with Maria Elvira Mancino and Simona Sanfelici, Quantitative Finance,  Vol. 15, 8 (2015), 1331–1345.

"Measuring the leverage effect in a high frequency trading framework", with Simona Sanfelici,  In "Handbook of High Frequency Trading", (2015),  G.N. Gregoriou Ed., Elsevier, 425-446.

Submitted Papers

" Freeze and bid-ask spread in the sovereign bond market ", with Philippe Moutot, submitted.

"Stochastic leverage effect in high frequency data: a Fourier based analysis", with Simona Sanfelici.

Work in Progress

"Preservation of strong mixing and weak dependence under renewal sampling" with Dirk Brandes and Robert Stelzer.

" Central limit theorems for random fields based on weak dependence properties with applications to mixed moving average and Ambit fields", with Robert Stelzer and Bennet Ströh.

Thesis

• "Non parametric estimation of volatility of volatility and leverage using integral transforms", PhD Thesis, Pisa (2013), supervisor Prof. Maria Elvira Mancino;
• "Mathematical models for Plinian Eruption Columns"(in italian), Master Thesis, Florence (2009), supervisor Prof. Fabio Rosso;
• "Sampling Theorem and Indetermination Principles for the Fourier Transform" (in italian), Bachelor Thesis, Florence (2006), supervisor Prof. Luigi Barletti.

Courses

Summer 2020

• Statistical Learning
• Practical Financial Engineering

Winter 2019/2020

• Ökonometrie
• WiMa Praktikum II

Summer term 2019

• Practical Financial Engineering
• Advanced Econometrics

Winter term 2018/2019

• An Introduction to Measure Theoretic Probability
• Statistical Learning

Summer term 2018

• Practical Financial Engineering
• Seminar: Statistical Learning in the Computer Age

Winter term 2017/2018

• An Introduction to Measure Theoretic Probability
• WiMa Praktikum 2

Summer term 2017

• Practical Financial Engineering
• Advanced  Econometrics

Winter term 2016/2017

• Financial Mathematics I Tutorial
• DAV supplement
• WiMa Praktikum II

Summer term 2016

• Seminar: Garch models and Financial Applications
• Practical Financial Engineering

Winter term 2015/2016

• An Introduction to Measure Theoretic Probability

 Summer term 2015

• Multivariate Time Series
• Seminar: Long Memory Processes and Financial Applications

Winter term 2014/2015

• An Introduction to measure theoretic probability
• WiMa Praktikum II

Summer term 2014

• Stochastic Optimization with Applications

Winter term 2013/2014

• Financial Mathematics I
• WiMa-Praktikum I

Invited Talks

• 3rd Non Stationary Days, Paris 2019;
• Department of Economics and Management, Florence  2017;
• Department of Economics, Verona 14th March 2017;
• CREATES seminar, Aarhus 1st October 2015;
• Finance and Stochastic Seminar, Imperial College London 10 June 2015;
• Stochastic Analysis Seminar Oxford-Man Institute, Oxford 17 February 2014;

Contributed Talks

• XX Quantitative Finance Workshop, Zürich 23-25 January 2019, Switzerland;
• 13th German and Probability and Statistics Days, Freiburg 27 February-2 March 2018, Germany;
• XIX Quantitative Finance Workshop, Rome  24-26 January 2018, Italy;
• AMASES, Cagliari 14-16 September 2017 (talk);
• Workshop on Lévy processes and time series in Honor of Peter Brockwell and Ross Maller, Ulm 11-15 September 2017 (talk);
• European Meeting of Statisticians, Helsinki 24-28 July (talk);
• SPA 2015, Oxford 13-17 July 2015 (talk);
• 8th International Conference on Computational and Financial Econometrics, Pisa 6-8 December 2014 (talk);
• 11th German Probabiliy and Statistic Days, Ulm 4-7 March 2014 (talk);
• 5th Annual High Frequency Conference, Hoboken 24-26 October 2013 (talk);
• Dynstoch workshop 2013: Statistical methods for dynamical stochastic models, Copenhagen 17-19 April 2013 (poster);
• The Fifth Florence-Ritsumeikan Workshop on Stochastic Process and Applications to Finance and Risk Management,
  Florence 12-13 March 2013 (talk);
• Ecole CEA-EDF Inria-Systemic Risk and Quantitative Risk Management, Rocquencourt (Paris)  15-17 October 2012;
• XXXVI A.M.A.S.E.S. convention, Vieste 13-15 September 2012 (talk);
• Dynstoch workshop 2012: Statistical methods for dynamical stochastic models, Paris 7-9 June 2012 (poster);
• Statistics for Stochastic Processes: Inference, Limit Theorems, Finance and Data Analysis, Paris 12-13 March 2012;
• High Frequency Research Training Workshop, Berlin 4-5 May 2011;
• Statistical Inference and Numerical Analysis for Stochastic Processes and Financial Econometrics, Florence 17-18 March 2011;
• Fourth Italian Congress of Econometrics and Empirical Economics (ICEEE 2011), Pisa 19-21 January 2011;

Office hours

Please make an appointment via e-mail.