7 citations · 14 across the 8 of their papers we have counts for
11 papers
Anisotropic Radiation in Super-Eddington Active Galactic Nuclei: The Responsivity of Broad-Line Regions to Continuum Variability
Feng-Na Fang, Pu Du, Jian-Min Wang
Anisotropic ionizing radiation is a natural theoretical expectation for super-Eddington accretion in active galactic nuclei (AGNs), implying that the ionizing flux incident on the…
Forecasting Realized Volatility with Time Series Foundation Models: A Comparison with Econometric Benchmarks
Alessio Brini
We ask whether pretrained time series foundation models (TSFMs) improve on established econometric benchmarks for forecasting realized volatility. Using the VOLARE dataset, we cond…
StableAML: Machine Learning for Behavioral Wallet Detection in Stablecoin Anti-Money Laundering on Ethereum
Luciano Juvinski, Haochen Li, Alessio Brini
Global illicit fund flows exceed an estimated $3.1 trillion annually, with stablecoins emerging as a preferred laundering medium due to their liquidity. While decentralized protoco…
A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data
Alessio Brini, Ekaterina Seregina
We propose the Mixed-Panels-Transformer Encoder (MPTE), a framework for estimating factor models in panels with mixed frequencies and nonlinear signals. Classical factor models rel…
Empirical Models of the Time Evolution of SPX Option Prices
Alessio Brini, David A. Hsieh, Patrick Kuiper +2
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and ri…
Improving DeFi Accessibility through Efficient Liquidity Provisioning with Deep Reinforcement Learning
Haonan Xu, Alessio Brini
This paper applies deep reinforcement learning (DRL) to optimize liquidity provisioning in Uniswap v3, a decentralized finance (DeFi) protocol implementing an automated market make…
A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
Alessio Brini, Jimmie Lenz
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency p…
SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
Alessio Brini, Giacomo Toscano
This paper introduces SpotV2Net, a multivariate intraday spot volatility forecasting model based on a Graph Attention Network architecture. SpotV2Net represents assets as nodes wit…
A Machine Learning Approach to Forecasting Honey Production with Tree-Based Methods
Alessio Brini, Elisa Giovannini, Elia Smaniotto
The beekeeping sector has experienced significant production fluctuations in recent years, largely due to increasingly frequent adverse weather events linked to climate change. The…
Reinforcement Learning Policy Recommendation for Interbank Network Stability
Alessio Brini, Gabriele Tedeschi, Daniele Tantari
In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following…
Deep Reinforcement Trading with Predictable Returns
Alessio Brini, Daniele Tantari
Classical portfolio optimization often requires forecasting asset returns and their corresponding variances in spite of the low signal-to-noise ratio provided in the financial mark…