Speaker: Dr. Alejandro Rodriguez Dominguez, Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid. Abstract: We introduce a novel framework for portfolio construction, covering both selection and optimization, […]

Speaker: Prof. Lorenzo Mercuri, Dept of Economics, Management and Quantitative Methods, Univ. of Milan Abstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, […]