Pompeo Pontone

Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning

VSTOXX index futures can be used to hedge against economic uncertainty as the underlying tracks the expected 30day volatility of the EURO STOXX 50 equity index. Daniel‧‧‧

22/02/2020 | Posted in: Investment & Finance → | Read the article

PCA for Implied Volatility Surfaces

Principal component analysis (PCA) is a statistical procedure that uses an orthogonal transformation to convert a set of observations of possibly correlated variables into a set of values of linearly‧‧‧

21/02/2020 | Posted in: Investment & Finance → | Read the article

TIMING EXCESS RETURNS A CROSS-UNIVERSE APPROACH TO ALPHA

MARC ROHLOFF and ALEXANDER VOGT present a simple model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. The authors find‧‧‧

14/02/2020 | Posted in: Investment & Finance → | Read the article

Pompeo Pontone, MSc on LinkedIn: Disentangling shock diffusion on complex networks

Phenomena similar to the collapse on financial and economic networks can be described as cascading failures across nodes in large scale networks delineating collective dynamics, leading to‧‧‧

10/02/2020 | Posted in: Investment & Finance → | Read the article

Corporate Asia: A capital paradox

1. Asia was the destination for $1 of every $2 in new investment in the past decade; 43 percent of the world’s top 5,000 firms by revenue‧‧‧

04/02/2020 | Posted in: Investment & Finance → | Read the article

Pompeo Pontone, MSc on LinkedIn: Hyperparameter Optimization for Forecasting Stock Returns

Deep learning has recently become one of the best way to model the complexity of stock movements and to capture non-linear paths, to associate large data, and‧‧‧

03/02/2020 | Posted in: Investment & Finance → | Read the article

Wages Are Based More on Productivity, Less on Exploitation

Income inequality supposedly demonstrates that the economy’s rewards are flowing, undeservedly, to those at the top. If that is what’s happening, it refutes textbook economics, which argues‧‧‧

28/01/2020 | Posted in: Investment & Finance → | Read the article