18 Dec 2020 09:50

Machine Learning for Finance

Online workshop

The attendance is free. The workshop will be streamed via the Zoom platform. For receiving the meeting’s address, ID and passcode, it is necessary to communicate the email  address of the attendee to the organizer prof. Marco Corazza All the attendees are kindly asked to keep the microphone in off mode all presentation long.


9:50-10:00 Openings

10:00-10:30 Option hedging with risk averse Reinforcement Learning - E. Vittori, M. Trapletti, M. Restelli
10:30-11:00 Impact of market sentiment on stock return and volatility - G. Anese, M. Corazza, M. Costola, L. Pelizzon
11:00-11:30 A machine learning algorithm for stock picking built on information based outliers - E. Barucci, M. Bonollo, F. Poli, E. Rroji

11:30-11:45 Break

11:45-12:15 Short-term exuberance and long-term stability: A simultaneous optimisation of stock return predictions for short and long horizons - I. Kyriakou, P. Mousavi, J.P. Nielsen, M. Scholz
12:15-12:45 Revealing pairs-trading opportunities with Long Short-Term Memory Networks - A. Flori, D. Regoli

12:45-14:15 Break

14:15-14:45 A Machine Learning model for lapse prediction in life insurance contracts - M. Azzone, E. Barucci, G. Giuffra, D. Marazzina
14:45-15:15 Parsimonious yield curve models on the trial: An application to BRICs countries - Oleksandr Castello, M. Resta
15:15-15:45 Deep Learning from market data - G. Amici, M. Bianchetti, F. Brina, B. Lari, M. Mezzetti, A. Peroni, P. Rossi

15:45-16:00 Break

16:00-16:30 AlphaPortfolio: Single-step portfolio construction through Reinforcement Learning and economically interpretable AI - L. W. Cong, K. Tang
16:30-17:00: Dealing with transaction costs in portfolio optimization: Online gradient descent with momentum - E. Vittori, M. Bernasconi, F. Trovò, M. Restelli
17:00-17:30: Gender analysis and attention to gender: An experimental framework - G. di Tollo, J. Andria, S. Ghilardi

17:30-17:40 Closings


The event will be held in English

Organized by

Dipartimento di Economia (CVera)


Program and abstracts of papers 601 KB
Poster 1906 KB

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