Simone Villa

Dipartimento di Informatica, Sistemistica e Comunicazione
Università degli Studi di Milano - Bicocca,
U14, Viale Sarca 336,
MAD 1 Laboratory - Room T004,
20126 Milano, ITALY.

Email address: simone.villa<at>

Research Summary

My research area is focused on frameworks for temporal reasoning, Bayesian classifiers, decision making models, and optimization problems with application to the financial markets.

PhD thesis title: “Continuous Time Bayesian Networks for Reasoning and Decision Making in Finance”.
The thesis has introduced probabilistic graphical models, specifically Bayesian networks, continuous time Bayesian networks and their extensions, for reasoning and decision-making in finance. Theoretical findings, applications, and path-breaking examples have demonstrated their effectiveness and they have opened the doors to a new way of modelling financial issues.



Villa S. and Stella F.
Learning Continuous Time Bayesian Networks in Non-stationary Domains
Journal of Artificial Intelligence Research, 57, pp. 1-37, 2016.

Villa S. and Rossetti M.
Learning Continuous Time Bayesian Network Classifiers Using MapReduce
Journal of Statistical Software, 62:(3), pp. 1-25, 2014.

Villa S. and Stella F.
A Continuous Time Bayesian Network Classifier for Intraday FX Prediction
Quantitative Finance, 14:(12), pp. 2079-2092, 2014.


Villa S. and Stella F.
Continuous Time Bayesian Classifiers for Intraday FX Prediction
4th International Conference of the ERCIM Working Group on Computing & Statistics
ERCIM'11, Senate House, University of London, UK, December 2011.

Book Chapters

Villa S. and Stella F.
Bayesian Networks for Portfolio Analysis and Optimization
in Financial Decision Making Using Computational Intelligence,
Series in Optimisation and its Applications.
M. Doumpos, C. Zopounidis, P. M. Pardalos Editors,
Berlin, Springer-Verlag, 2012.


Master Thesis

Fabiano M.
Reti Bayesiane a tempo continuo applicate al mercato delle valute: classificazione e strategie
University of Milano-Bicocca, Master Thesis, 2012.

Work Experience


LGT Investment Partners Ltd.
Financial Technology Engineer
January 2015 - Present
Main tasks: responsible for the design, development and research of proprietary trading platform.

Saint George Capital Management SA
Quantitative Analyst / Risk Manager
November 2010 – May 2014
Main tasks: design and develop quantitative models to support the portfolio managers,
analyze, assess and control the risks inherent in the fund management activity.

Polaris Investment Italia SGR SpA
Milano, ITALY.
Risk Analyst
August 2008 - October 2010
Main tasks: design and develop risk assessment tools for the risk management team,
investment controls, performance attribution, risk attribution and derivatives pricing.

Academic Career


Università degli Studi di Milano - Bicocca
Doctor of Philosophy (PhD), Computer Science
XXVII course, 2011 - 2014
Dissertation title: Continuous Time Bayesian Networks for Reasoning and Decision Making in Finance.
Advisor: Prof. F. Stella
Visiting PhD student at: Riverside Lab for Artificial Intelligence Research,
University of California, Riverside. Supervisor: Prof. C.R. Shelton.

Università degli Studi di Milano - Bicocca
Master of Science (MS), Computer Science
September 2006 - October 2008
Dissertation title: Bayesian Networks: Measuring and Control Portfolio Market Risk.
Advisors: Prof. F. Stella, Dott. F. Lupini
Trainee at: Polaris Investment Italia SGR SpA

Università degli Studi di Milano - Bicocca
Bachelor of Science (BS), Computer Science
September 2003 - September 2006
Dissertation title: Business Intelligence: Portfolio Risk Monitoring and Analysis.
Advisors: Prof. F. Stella, Dr. A. Carelli
Trainee at: Pioneer Investments.


New York, NY 10010, USA
Certificate in Advanced Risk and Portfolio Management (ARPM)
December 2011.

Global Association of Risk Professional (GARP)
New Jersey 07310, USA
Financial Risk Manager (FRM)
September 2010.

Ordine degli Ingegneri della Provincia di Monza e Brianza
Monza, ITALY
Professional Engineer (P.Eng.)
Abilitazione alla professione di Ingegnere dell’Informazione (sezione A)
February 2009.

Summer School

ETH Zurich (Swiss Federal Institute of Technology)
Meielisalp, Leissigen, SWITZERLAND
6th R/Rmetrics Workshop on Computational Finance and Financial Engineering
June 2012.

Centre de Recerca Matemàtica and Analistas Financieros Internacionales
Borsa de Barcelona, Barcelona, SPAIN
Financial Engineering
June 2011.

Baruch College, The City University of New York (CUNY)
New York, NY 10010, USA
Advanced Risk and Portfolio Management
August 2010.

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