Enea Monzio Compagnoni

Enea Monzio Compagnoni

Zürich, Schweiz
597 Follower:innen 500+ Kontakte

Info

I am an extremely motivated and scientifically mature PhD candidate. I love to learn and…

Aktivitäten

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Berufserfahrung

  • Flexion Robotics Grafik

    Flexion Robotics

    Zurich, Switzerland

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    Basel, Basel, Switzerland

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    Munich, Bavaria, Germany

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    Zurich, Zurich, Switzerland

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    Zurich, Switzerland

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    Zurich, Switzerland

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    Zurich, Switzerland

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    Zürich Area, Svizzera

Ausbildung

  • Universität Basel Grafik

    University of Basel

    Activities and Societies: Research and Teaching.

    Research Focus:
    Stochastic Optimization for Deep Learning.

    Teaching Duties:
    Exercise Sessions for Deep Learning and Optimization classes.

    Side Projects:
    System Identification with Randomized Signature and Optimal Risk Sharing with Deep Neural Networks.

  • Master's Thesis under the supervision of Prof. Dr. Josef Teichmann:
    "Learning Rough Dynamics: A Randomized Signature Approach"



    Particular focus on:

    - Machine Learning for Finance
    - Portfolio Management
    - Risk Management
    - Quantitative Asset Management and Pricing
    - Financial Engineering

    Projects:

    - Financial application of Neural Controlled ODEs and Reservoir Computing
    - Dynamics of Implied Volatility Surface with Deep Neural Network
    -…

    Master's Thesis under the supervision of Prof. Dr. Josef Teichmann:
    "Learning Rough Dynamics: A Randomized Signature Approach"



    Particular focus on:

    - Machine Learning for Finance
    - Portfolio Management
    - Risk Management
    - Quantitative Asset Management and Pricing
    - Financial Engineering

    Projects:

    - Financial application of Neural Controlled ODEs and Reservoir Computing
    - Dynamics of Implied Volatility Surface with Deep Neural Network
    - Implied Volatility Surface fitting and modeling
    - PD Model based on Merton Model

  • Focus on:

    - Advanced Statistics
    - Advanced Probability Theory
    - Market Modelling
    - Martingale Theory
    - Stochastic Calculus
    - Risk Measures
    - Big Data
    - Data Mining.

    Master Thesis:
    Systemic Risk Measures on Orlicz Spaces

  • Bachelor Project: Non-linear Schrödinger Equation

Bescheinigungen und Zertifikate

Veröffentlichungen

  • An SDE for Modeling SAM: Theory and Insights

    ICML 2023

    We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic gradient descent.
    Our main contribution is the derivation of continuous-time models (in the form of SDEs) for SAM and two of its variants, both for the full-batch and mini-batch settings.
    We demonstrate that these SDEs are rigorous approximations of the real discrete-time algorithms (in a weak sense, scaling…

    We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic gradient descent.
    Our main contribution is the derivation of continuous-time models (in the form of SDEs) for SAM and two of its variants, both for the full-batch and mini-batch settings.
    We demonstrate that these SDEs are rigorous approximations of the real discrete-time algorithms (in a weak sense, scaling linearly with the learning rate).
    Using these models, we then offer an explanation of why SAM prefers flat minima over sharp ones~--~by showing that it minimizes an implicitly regularized loss with a Hessian-dependent noise structure.
    Finally, we prove that SAM is attracted to saddle points under some realistic conditions.
    Our theoretical results are supported by detailed experiments.

    Andere Autor:innen
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  • On the effectiveness of Randomized Signatures as Reservoir for Learning Rough Dynamics

    IEEE IJCNN 2023

    Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory and leverages the so-called Signature Transform. This algorithm enjoys strong theoretical guarantees but is hard to scale to high-dimensional data. In this paper, we study a recently derived random projection variant called Randomized Signature, obtained…

    Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory and leverages the so-called Signature Transform. This algorithm enjoys strong theoretical guarantees but is hard to scale to high-dimensional data. In this paper, we study a recently derived random projection variant called Randomized Signature, obtained using the Johnson-Lindenstrauss Lemma. We provide an in-depth experimental evaluation of the effectiveness of the Randomized Signature approach, in an attempt to showcase the advantages of this reservoir to the community. Specifically, we find that this method is preferable to the truncated Signature approach and alternative deep learning techniques in terms of model complexity, training time, accuracy, robustness, and data hungriness.

    Andere Autor:innen
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  • Risk Sharing with Deep Neural Networks

    Under Review

    We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our…

    We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our findings with several numerical experiments.

    Andere Autor:innen
    Veröffentlichung anzeigen

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