publications

Published Papers

  1. Crypto dynamics during market downturns: Another dotcom boom-bust cycle?
    Alessio Brini, Jimmie Lenz, and Emma Rasiel
    Digital Asses Research & Engineering Collaborative, Duke University, 2022
  2. Reinforcement learning policy recommendation for interbank network stability
    Alessio Brini, Gabriele Tedeschi, and Daniele Tantari
    Journal of Financial Stability, 2023
  3. Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
    Alessio Brini, and Jimmie Lenz
    Economics Letters, 2022
  4. Reinforcement learning for sequential decision-making: a data driven approach for finance
    Alessio Brini, and  others
    2022
  5. Trading mean-reversion with reinforcement learning
    Alessio Brini, and Daniele Tantari
    2022
  6. SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks
    Alessio Brini, and Giacomo Toscano
    International Journal of Forecasting, 2025
  7. A comparison of cryptocurrency volatility-benchmarking new and mature asset classes
    Alessio Brini, and Jimmie Lenz
    Financial Innovation, 2024
  8. Pricing cryptocurrency options with machine learning regression for handling market volatility
    Alessio Brini, and Jimmie Lenz
    Economic Modelling, 2024
  9. Deep reinforcement trading with predictable returns
    Alessio Brini, and Daniele Tantari
    Physica A: Statistical Mechanics and its Applications, 2023
  10. Data-driven Derivative Hedging with Quadratic Variation Penalty
    Alessio Brini, Giacomo Domeniconi, and Ali Fathi
    In Proceedings of the 5th ACM International Conference on AI in Finance, 2024
  11. Modeling and simulating a startup ecosystem development with a delayed differential equation
    Alessio Brini, and Viviana Fanelli
    Soft Computing, 2025

Working Papers

  1. A machine learning approach to forecasting honey production with tree-based methods
    Alessio Brini, Elisa Giovannini, and Elia Smaniotto
    arXiv preprint arXiv:2304.01215, 2023
  2. Bitcoin ETFs: Measuring the performance of this new market niche
    Alessio Brini, and Jimmie Lenz
    Available at SSRN, 2022
  3. Honey-at-Risk: Honey Production Modeling via Factor Copulae with an application to Optimal Trigger Calibration for Weather-Indexed Insurance Contracts
    Alessio Brini, Ginevra Virginia Lombardi, Maria Elvira Mancino, and 2 more authors
    Available at SSRN 4562432, 2023
  4. Improving DeFi Accessibility through Efficient Liquidity Provisioning with Deep Reinforcement Learning
    Haonan Xu, and Alessio Brini
    arXiv preprint arXiv:2501.07508, 2025
  5. Empirical Models of the Time Evolution of SPX Option Prices
    Alessio Brini, David A Hsieh, Patrick Kuiper, and 2 more authors
    arXiv preprint arXiv:2506.17511, 2025