Scholars@Duke
Alessio Brini

Alessio Brini

Executive In Residence in the Engineering Graduate and Professional Programs
Engineering Graduate and Professional Programs
alessio.brini@duke.edu
110 Science Drive, Box 90271, Durham, NC 27708
100 Science Drive, Box 90271, Durham, NC 27708

Scholarly Works - Conferences

Graph Neural Networks for Bridge Swap Link Prediction in Uniswap v3

Conference Icaif 2025 6th ACM International Conference on AI in Finance · November 14, 2025 Uniswap v3's design fragments liquidity across thousands of separate pools, giving rise to cross-pool bridge swaps that transmit price changes and redistribute value across liquidity providers. To anticipate these events, we perform six-hour-ahead predicti ... Full text Cite

Data-driven Derivative Hedging with Quadratic Variation Penalty

Conference Icaif 2024 5th ACM International Conference on AI in Finance · November 14, 2024 We consider the problem of hedging a European call option under a discrete rebalancing schedule with trades subject to transaction costs. We formulate this as a stochastic optimal control problem aiming to maximize the hedge P&L with the quadratic variatio ... Full text Cite