Gabriele Pompa is a PhD in Computer Decision and System Science (XXXVIII cycle, curriculum: Management Science) at IMT Institute for Advanced Studies Lucca.
His research field is quantitative finance and, currently, his research interests include:
- Stochastic volatility models,
- Statistical inference in latent factor models
- Machine learning techniques for financial time series data.
His PhD research has been supervised by Prof. Roberto Renò He obtained a M.Sc. cum laude in Theoretical Physics at the University of Rome "La Sapienza", Rome, Italy.
Publications
- C. Pacati, G. Pompa and R. Renò. "Smiling Twice: The Heston++ Model". Journal of Banking and Finance. https://doi.org/10.1016/j.jbankfin.2018.08.010. Selected for presentation at the 9th World Congress of the Bachelier Finance Society.
- F. Garzarelli, M. Cristelli, G. Pompa, A. Zaccaria e L. Pietronero “Memory effects in stock price dynamics: evidences of technical trading”. Nature Scientific Reports, Nature Scientific Reports 4, 4487 (2014). DOI: 10.1038/srep0447.
- C. Dal Maso, G. Pompa, M. Puliga, G. Riotta, A. Chessa “Voting behavior, coalitions and government strenght through a complex network analysis”. PloS One 9.12 (2014): e116046.
G. Caldarelli, A. Chessa, F. Pammolli, G. Pompa, M. Puliga, M. Riccaboni, G. Riotta “A Multi-Level Geographical Study of Italian Political Elections from Twitter Data”. PloS One, 5 (9) Public Library of Science, pp.e95809. ISSN 1932-6203 (2014). DOI: 10.1371/journal.pone.0095809.