Our research projects
Combining Actuarial and Behavioural Perspectives to the Understanding of Longevity Risk
Enrico De Giorgi, Giovanna Apicella (October 2019 - September 2021). SNF project-189093
SentiVol: Sentiment Analysis and Bayesian Model Averaging for Volatility Prediction
Francesco Audrino, Juan-Pablo Ortega, David Garcia Becerra, Pekka Räsänen (April 2017, three years)
Novel Architectures for Photonic Reservoir Computing
Juan-Pablo Ortega (May 2018 three years)
Structural Models of Volatility
Matthias Fengler
Past projects:
Behavioral Foundations of Diversification Preferences
Enrico G. De Giorgi and Ola Mahmoud (January 2017 - December 2017)
Causal Analysis with High-dimensional Financial Data
Francesco Audrino, Michael Lechner, Juan-Pablo Ortega, Anthony Strittmatter (January 2017 - January 2018)
Applying Recent Developments in Computational Statistics to Behavioral set Pricing and Portfolio Selection
Enrico De Giorgi and Francesco Audrino
Analysis and models of cross asset dependency structures in high-frequency data
Matthias Fengler, Daniel Buncic and Francesco Audrino
NCCR-FINRISK project A1 (Behavioural Finance)
Enrico De Giorgi
Dynamic economies with non-standard preferences (part of NCCR-FINRISK project A3)
Enrico De Giorgi
Statistical learning for the term structure (part of NCCR-FINRISK project A3)
Francesco Audrino