Sandra Paterlini

1. PhD in Computational Methods for financial and economic decisions and forecasting, Dept. of Mathematics, Statistics and Computing, University of Bergamo, Italy (with full time scholarship) PhD thesis: “Clustering methods for financial time series: an application to Italian mutual fund style classification”. Advisor: Prof. David Avra Lane (Professor of Statistics, School of Statistics, University of Minnesota 1976-1992, Professor of Economics, University of Modena and Reggio E., Italy 1992-2017)
2. MSc Financial Mathematics, Joint program between the Departments of Business, Economics, Mathematics and Statistics, University of Warwick, UK (with full time scholarship). MSc dissertation: “Evolving trading rule repertoires in an artificial stock market”. Supervisor: Dr. Hugo van den Berg, University of Warwick, UK
3. Laurea in Economics with specialization in Finance and Insurance (cum laude), Faculty of Economics, University of Modena and Reggio E., Italy.Programme of study focused on quantitative methods in economics and finance. Thesis: “GANND: a genetic algorithm for neural network design: an application to Fib30 Forecasting”. Supervisors: Prof. Irene Poli, University of Venice, IT and Prof. Tommaso Minerva, University of Modena and Reggio E., Italy.

University employment and affiliation

2018-          Full Professor in 13/D4- Metodi Matematici dell’Economia e delle Scienze Attuariali e Finanziarie.

                        University of Trento, Department of Management and Economics, Trento, Italy

2013-2018          Chair of Financial Econometrics & Asset Management (Full Professor)

                        EBS Universität für Wirtschaft und Recht, EBS Business School,

                        Department of Finance and Accounting, Oestrich-Winkel, Germany.

                        Other institutional roles: Member of Management Committee Research and  Co-Head (with Ebs Dean) Habilitation committee

2002-2012       Assistant professor in Statistics, Dept. of Economics, Faculty of Business and Economics, University of Modena and Reggio E., Italy.

Other employments

10-12/2017      Senior Financial Stability Expert in the Directorate General Macroprudential Policy and Financial Stability, European Central Bank, Frankfurt, Germany

• Asset Management & Risk Management
• Quantitative finance
• Statistics & Econometrics
• Data Analysis & Machine Learning
• Network Analysis

My research interests are on portfolio selection and optimization, index tracking, endowment management, risk management, financial econometrics and machine learning.  Co-Chair of the working group Optimization Heuristics in Estimation and Modelling of ERCIM (European Consortium for Informatics and Mathematics), and Vice-Chair of IEEE Task Force on Portfolio Optimization. 

Visiting Positions

2017                Visiting International Scholar, University of Bergamo, April 2017 (2 weeks)

2016                Visiting Researcher Federal Reserve Bank of Cleveland, July 2016 (1 week)

2015                Visiting International Scholar, University of Bergamo, November 2016 (2 weeks)

2015                Visiting International Scholar, University of Bergamo, July 2015 (2 weeks)

2011- 2012      Visiting Assistant Professor with teaching appointments, School of Mathematics, University of Minnesota (UMN), USA, (February – June 2011, September - October 2011, February – June 2012)

2010                Visiting Assistant Professor, School of Mathematics, University of Minnesota (UMN), USA, (February – June 2010, August-November 2010)

2008-2009       Visiting Assistant Professor with teaching appointment, School of Mathematics, University of Minnesota (UMN), USA, (August- October 2008, January - October 2009)

2007-2008       Visiting Assistant Professor, Chair of Financial Econometrics, Institut für Statistik Ludwig-Maximilians-Universität München, Germany (August 2007-October 2007, February 2008-June 2008)

2003-2004       Visiting scientist at the EVALife Research Centre on Complex System, Dept. of Computer Science, University of Aarhus, Denmark (2 visits of 3 months)

Associate Editor

From 2014:  Associate Editor Computational Statistics & Data Analysis

From 2014: Review Editor of Mathematical Finance Area of Frontiers in Applied Mathematics and Statistics.

Guest Editor

Special Issue on APPLICATIONS OF OPTIMIZATION HEURISTICS TO ESTIMATION AND MODELLING, Computational Statistics & Data Analysis (with Prof. Winker and Prof. Maringer)

Scientific affiliations

Member of the ERCIM (European Consortium for Informatics and Mathematics), Co-chair Working group in Optimization Heuristics in Estimation and Modelling, http://www.cmstatistics.org/OHEM.php

Vice-Chair, IEEE Task Force on Portfolio Optimization, http://ieee-cis.org/technical/cfetc/

Member of CEQURA - Center for Quantitative Risk Analysis, Institut für Statistik Ludwig-Maximilians-Universität München, Germany

2017 Research Award from EBS University, Germany

2016 Research Award from EBS University, Germany

2013 Best Paper Award, Conference on Operational Risk, Goethe University, 22 March 2013, Frankfurt, Germany.

2011 Prize as Distinguished Researcher at the University of Modena  and Reggio E., Italy

2nd top-cited paper for the CSDA journal (2005-2012). Paterlini, S. and T. Krink, 2006, Differential Evolution and Particle Swarm Optimisation in Partitional Clustering, Computational Statistics & Data Analysis, Elsevier, 50/5, 1220-1247.

Member of Scientific Program Committee and Session Organization

Member of Scientific Program Committee and Session Organization in 11th International Conference of the ERCIM Computational and Methodological Statistics (ERCIM 2018) and 12th International Conference on Computational and Financial Econometrics (CFE 2018), Pisa, Italy, December 2018 

Member of Scientific Program Committee in 2nd International Conference on Econometrics and Statistics (EcoSta 2018), City University of Hong Kong, Hong Kong 19-21 June 2018.

Session Organization in 10th International Conference of the ERCIM Computational and Methodological Statistics (ERCIM 2017) and 11th International Conference on Computational and Financial Econometrics (CFE 2017), London, UK, December 2017 

Member of Scientific Program Committee, Session Organization in Conference on Computational Management Science, Pricing, Risk and Optimization in Management Science, May 30-31, June 1, 2017 http://dinamico2.unibg.it/cms2017/

Session Organization in 9th International Conference of the ERCIM Computational and Methodological Statistics (ERCIM 2016) and 10th International Conference on Computational and Financial Econometrics (CFE 2016), University of Sevillia, Spain, December 2016  

Session Organization in 8th International Conference of the ERCIM Computational and Methodological Statistics and 9th International Conference on Computational and Financial Econometrics (CFE 2015), Senate House, University of London, UK, 12-14 December 2015

Member of the Scientific Program Committee CEQURA Conference on Advances in Financial and Insurance Risk Management, October 1-2, 2014, Munich, Germany

Member of the Scientific Program Committee COMPSTAT 2014 - 21st International Conference on Computational Statistics, International Conference Centre, August 19-22, 2014, Geneva, Switzerland, http://compstat2014.org/

Session Organization in 7th International Conference of the ERCIM Computational and Methodological Statistics and 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy, December 2014

Member of the Scientific Program Committee and Co-Chair in Optimization Heuristics in Estimation and Modelling In: 6th International Workshop of the ERCIM Working Group on Computing & Statistics, December 14-16, 2013, Senate House, University of London, UK http://www.cmstatistics.org/ERCIM2013/

Member of the Scientific Program Committee CEQURA Conference on Advances in Financial and Insurance Risk Management, September 23-24, 2013, Munich, Germany

Member of the Scientific Program Committee and Co-Chair in Optimization Heuristics in Estimation and Modelling In: 5th International Conference of the ERCIM Working Group on Computing & Statistics, December 1-3, 2012, Oviedo, Spain

Member of the Scientific Program Committee CEQURA Conference on Advances in Financial and Insurance Risk Management, September 24-26, 2012, Munich, Germany

Organizer of Sessions in Portfolio Optimization for IEEE CIFEr 2012 Conference, March 29-30, 2012, New York, USA

Member of the Scientific Program Committee CEQURA Conference on Advances in Financial and Insurance Risk Management, September 19-21, 2011, Munich, Germany

Member of the Scientific Program Committee and Co-Chair in Optimization Heuristics in Estimation and Modelling In: 3^nd International Workshop of the ERCIM Working Group on Computing & Statistics, December 10-12, 2010, Senate House, University of London, UK

Member of the Scientific Program Committee CEQURA Conference on Advances in Financial and Insurance Risk Management, September 23-25, 2010, Munich, Germany

Member of the Scientific Program Committee and Co-Chair in Optimization Heuristics in Estimation and Modelling In: 2^nd International Workshop of the ERCIM Working Group on Computing & Statistics, October 29-31, 2009, Grand Resort Hotel, Limassol, Cyprus

Member of the Scientific Committee 2^nd International Workshop on Computational and Financial Econometrics (CFE'08), June 19-21, 2008, Neuchâtel, Switzerland

Conferences and Invited Seminars

• 11th International Conference of the ERCIM Computational and Methodological Statistics (ERCIM 2018) and 12th International Conference on Computational and Financial Econometrics (CFE 2018), Pisa, Italy, December 2018 
• 2nd International Conference on Econometrics and Statistics (EcoSta 2018), City University of Hong Kong, Hong Kong 19-21 June 2018.
• European Financial Management Association 2018 (co-author presenting).
• 10th International Conference of the ERCIM Computational and Methodological Statistics and 11th International Conference on Computational and Financial Econometrics (CFE 2017), London, UK, December 2017
• Conference on Computational Management Science, Pricing, Risk and Optimization in Management Science, May 30-31, June 1, 2017 http://dinamico2.unibg.it/cms2017/
• European Financial Management Association 2017, Greece (co-author presenting).
• 9th International Conference of the ERCIM Computational and Methodological Statistics and10th International Conference on Computational and Financial Econometrics (CFE 2016), Sevilla, Spain, 8-10 December 2016
• University of Geneve, Invited seminar, November 25, 2016
• CRoNoS COST Action, 3rd Management Committee Meeting 4th Working Groups Meeting Title: “Robust and Regularization methods in Financial Applications”, 16-17 April 2016, Colegio de España, Cité internationale universitaire de Paris, France.
• 8th International Conference of the ERCIM Computational and Methodological Statistics and 9th International Conference on Computational and Financial Econometrics (CFE 2015), Senate House, University of London, UK, 12-14 December 2015
• Annual Italian Banking Association Conference. Invited Seminar and Chairman of the Session on Operational Risk, Rome, Italy, June, 2015 (invited)
• 25th Annual Meeting of the American Law and Economics Association, May 15-16, 2015, Columbia Law School (Invited Speakers - co-author presenting).
• Conference on Operational Risk (Management and Measurement) House of Finance, Goethe University, Frankfurt, March 19, 2015 (Invited Panel Discussant)
• CFE Computational Financial Econometrics and ERCIM conference, Pisa, 8-9 December 2014 (3 papers presented by Phd students).
• Conference on "Financial Regulation and Competition", Uni Mannheim-ZEW, Germany, November 6-7, 2014 (Invited Speakers - co-author presenting).
• COMPSTAT 2014, Geneva, Switzerland, August 19-22, 2014 (Invited Speaker).
• European Financial Management Association 2014, Rome, Italy, June 25-26, 2014 (co-author presenting).
• Annual Italian Banking Association Conference "Basel III: Risk and Supervision". Invited Seminar and Chairman of the Session on Operational Risk, Rome, Italy, June 16-17, 2014.
• Workshop on Dependence Models and Risk, University of Bolzano, Italy, May 27, 2014 (Invited Speaker).
• Invited Seminar, Deutsche Bundesbank Research Center, Frankfurt, March 24, 2014.
• CFE Computational Financial Econometrics and ERCIM conference, Senate House, University of London, 13-16 December 2013.
• MCFAM Summer Symposium: Modeling Risk in Banking and Insurance – Catching the Next Crisis, University of Minnesota, July 31, 2013 (Invited Speaker).
• Annual Italian Banking Association Conference "Basel III: Risk and Supervision". Invited Seminar and Chairman of the Session on Operational Risk, Rome, Italy, June 27-28, 2013.
• 16th Conference of the Swiss Society for Financial Market Research, Zurich, April 12, 2013.
• Marie Curie ITN Conference on Financial Risk Management & Risk Reporting, University of Konstanz, GER, April 11-12, 2013.
• Conference on Operational Risk (Management and Measurement) House of Finance, Goethe University, Frankfurt, March 22, 2013 (Invited Speaker - Best Paper Award)
• CEQURA 2013, Conference on Advances in Financial and Insurance Risk Management, LMU Munich, September 23-24, 2013.
• ECTS 2011 - Evolutionary Computation and Time Series, Villa Mondragone, Roma, Italy, June 13-14, 2011.
• Invited Seminar, Financial Practitioners Seminar School of Mathematics, University of Minnesota, USA, 2010
• 3^nd International Workshop of the ERCIM Working Group on Computing & Statistics, Senate House, London, UK, December 10-12, 2010.
• CEQURA Conference on Advances in Financial and Insurance Risk Management, LMU Munich, Germany, September 23-25, 2010.
• Federal Reserve Bank of Minneapolis, Supervision, Regulation and Credit Division, Minneapolis, USA, September 3, 2010.
• COMPSTAT 2010, 19th International Conference on Computational Statistics, Paris, France, , August 22-27, 2010 (Invited Speaker).
• CEIS – Centre for Economic and International Studies, University of Rome “Tor Vergata”, Italy, November 13, 2009.
• 2^nd International Workshop of the ERCIM Working Group on Computing & Statistics, Grand Resort Hotel, Limassol, Cyprus, October 29-31, 2009.
• 2^nd International Workshop on Computational and Financial Econometrics (CFE'08), Neuchâtel, Switzerland, June 19-21, 2008.
• Invited seminar, Dept. of Finance, University of Athens, Greece, May 29, 2008.
• 5^th International Conference on Computational Management Science, Imperial College, London UK, March 26-27 2008.
• Invited Seminar, University of Giessen, Germany, April 2007.
• SIS 2007 – Rischio e Previsione, Venice, Italy, June 6-8, 2007.
• International Workshop on Computational and Financial Econometrics, Geneva, Switzerland, April 20-22, 2007.
• Invited seminar at EVALIFE-Research Centre on Complex System, Dept. of Computer Science, Aarhus University, Denmark, 2005.
• AIEL- XIX Conference on Labour Economics, Modena, Italy, 2004.
• CEC2004 - Conference on Evolutionary Computation, Portland, Oregon, USA, 2004.
• Non linear Models and Evolutionary algorithms for times series data, Venice, Italy, 2003.
• Invited seminar at EVALIFE-Research Centre on Complex System, Dept. of Computer Science, Aarhus University, Denmark, 2003.
• Invited seminar at ISCOM European Project Meeting, Dept. of Social, Cognitive and Quantitative Sciences, Reggio E., Italy, 2003.
• WCCI 2002 -World Congress on Computational Intelligence, Honolulu, USA, May 2002.
• ENBIS - European Network for Business and Industrial Statistics - Conference, Bologna, Italy, 2002.
• Invited Seminar at the Dept. of Statistics, University “La Sapienza”, Rome, Italy, 2002.
• SMDM 2001 – Statistical Models for Data Mining, Pavia, Italy, 2001.
• WILF 2001 - Italian Workshop on Fuzzy Logic,  Milan, Italy, 2001.
• CLADAG 2001 - Classification and Data Analysis Group, Palermo, Italy, 2001.
• NEU 1999 - Financial Applications of Neural Nets and Fuzzy Systems, Venice, Italy, 1999.
• NTTS 1998 - New Techniques & Technologies for Statistics, Sorrento, Naples, Italy, 1998.

Referee

Annals of Operation Research, Biosystem, Computational Management, Computational methods in financial engineering, Computational Statistics & Data Analysis, European Journal of Operational Research, Financial Analyst, IEEE Transaction on Evolutionary Computation, Information Sciences, Journal of Banking and Finance, Journal of Machine Learning and Cybernetics, Journal of Multivariate Analysis, Mathematical Methods in Economics and Finance, Multivariate Statistics, Neurocomputing, Operational Research, Optimization Letters, OR Spectrum, Pattern Recognition, Pattern Recognition Letters, IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (CIFEr 2011 and 2014).