Faculty of Informatics
Università della Svizzera italiana
Via Giuseppe Buffi 13
Project: Mathematical modeling of credit and equity risk beyond homogeneity and stationarity assumptions: statistical factor models and high-performance data mining.
Research interests: non-parametric models, time series analysis, regime-switching models, model selection, volatility models.
Marchenko, G., Gagliardini, P., & Horenko, I. (2018). Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. SIAM Journal on Financial Mathematics, 9(4), 1249-1285. [PDF]
Marchenko, G., Gagliardini, P., & Horenko, I. Maximum entropy principle indicates redundancy of the common memory assumptions for popular financial benchmarks (under review). [PDF]
Teaching Assistance: Deterministic methods (MSc), Stochastic Methods (MSc).