Welcome to my Home Page
I'm the Post-Doc Research Fellow of the Volatility Institute at the NYU Stern Department of Finance.
I received my (B.S.) degree in Economics and Quantitative Methods in 2003 and Ph.D. degree in Statistics in 2007 from Florence University (Italy).
I visited Reading University (UK), Monash University (Australia), University of California San Diego (USA) and the Stern School of Business at New York University (USA).
My areas of interest are: Financial Volatility and Correlations, Financial High Frequency Data, Nonlinear Time Series Modeling, Semiparametric Modeling, Parameter Reduction Techniques, Statistical Computing.
I'm also a programmer and linux fan. My favorite programming languages are C/C++, Python, R, MATLAB, Bash, SQL, PLSQL, PHP.
My favorite linux distro is Fedora.
Curriculum Vitae
One of my favorite quotes is:
'Premature optimization is the root of all evil.'
Donald E. Knuth
Contact:
Department of Finance, NYU Stern, Henry Kaufman Management Center, 44 West Fourth Street, New York, NY 10012
Office: 9-171 , Phone: 212-998-4034,
E-mail: ctb @ stern.nyu.edu
Publications
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Comparison of Volatility Measures: A Risk Management Perspective (with Giampiero M. Gallo)
Journal of Financial Econometrics 2010 8(1): 29–56,
doi:10.1093/jjfinec/nbp009
presented at the "Conference on Volatility and High Frequency Data" (Chicago, USA, April 21-22, 2007) and
the "The Society for Financial Econometrics Inaugural Conference", (New York, USA, 4-6 June, 2008)
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On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria (with Giampiero M. Gallo)
Journal of Financial Econometrics 2008 6(4):513-539,
doi:10.1093/jjfinec/nbn012
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Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns (with Giampiero M. Gallo)
Computational Statistics & Data Analysis, 2006 51(4):2232-2245,
doi:10.1016/j.csda.2006.09.030
presented at the "3rd IASC World Conference" (Limassol, Cyprus, 28-31 October, 2005)
Current Research
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Disentangling systemic and idiosyncratic volatility for large panels of assets. A seminonparametric Vector MEM. (with Matteo Barigozzi, Giampiero M. Gallo and David Veredas)
presented at the "SITE Summer 2009 Workshop" (Stanford, USA, 22-23 June, 2009)
and at the "3rd International Conference on Computational and Financial Econometrics" (Limassol, Cyprus, 29-31 October, 2009)
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A Practical Guide to Volatility Forecasting Through Calm and Storm. (with Robert Engle and Bryan Kelly) (▼download)
presented at the "Volatilities and Correlations in Stressed Markets" (New York, USA, 3 April, 2009)
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A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: the Mixed Autoregressive Conditional Duration Model (with Marina Vannucci) (▼download)
presented at the "Greater NY Metropolitan Area Econometrics Colloquium" Princeton University, (Princeton, USA, 6 December, 2008)
and at the "Humboldt-Copenhagen Conference 2009" Humboldt-Universität zu Berlin, (Berlin, Germany, 20-21 March, 2009)
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading (with Giampiero M. Gallo and Fabrizio Cipollini) (▼download)
presented at the "The Chicago/London Conference 1" Cass Business School (London, UK, 5-6 December, 2008);
the First "FBF-IDEI-R Conference on Investment Banking and Financial Markets" (Toulouse, France, March 26-27, 2009)
"The Society for Financial Econometrics First European Conference" (Geneva, Switzerland, 16-18 June, 2009)
and "(EC)2-Conference Real Time Econometrics" (Aarhus, Denmark, 18-19 Decemeber, 2009)
and the "Goldman Sachs GSET Strategists Weekly" seminar, (New Jersey, USA, 19 January, 2010).
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Shrinkage Estimation of Semi-Parametric Autoregressive Conditional Duration Models (with Giampiero M. Gallo)
(▼download)
presented at
the "International Workshop on Computational and Financial Econometrics" (Geneva, Switzerland, April 20-22, 2007)
Projects
- Vlab On-line real time measurement and forecasting of financial volatility and correlations
- dynamo