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Alessio Brini

Postdoctoral Associate
Pratt School of Engineering

Selected Publications

Pricing cryptocurrency options with machine learning regression for handling market volatility

Journal Article Economic Modelling · July 1, 2024 Pricing cryptocurrency options, crucial for risk management and market stabilization, presents unique challenges due to specific underlying dynamics like the inversion of the leverage effect. Classical option pricing models like BlackÔÇôScholes and Heston st ... Full text Cite

Reinforcement learning policy recommendation for interbank network stability

Journal Article Journal of Financial Stability · August 1, 2023 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 a public recommendation and their individual information. The former is mode ... Full text Cite

Deep reinforcement trading with predictable returns

Journal Article Physica A: Statistical Mechanics and its Applications · July 15, 2023 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 markets. Modern deep reinforcement learning (DRL) offers a framework for optimiz ... Full text Cite

Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

Journal Article Economics Letters · November 1, 2022 By analyzing a large cross-section of cryptocurrencies, we document the absence of the leverage effect in this market. Unlike the equity market, investors exhibit less panicking behavior and appear indifferent to negative returns in terms of market partici ... Full text Cite