Luigi Piva

Tel. 07459237522
dr.luigi.piva@gmail.com

WORK EXPERIENCE
Since April 2013 Quantlab Limited Quantitative Trader London, UK -

At Quantlab I developed quantitative algorithms to trade futures, equities an options. The

Algorithms are based on Econometric Studies, Machine Learning and Genetic Algorithms.
The portfolio of strategies had a performance of +97.22% with a Sharpe Ratio of 3.12
Since October 2016 i am also shareholder of the company and i have the IP of the strategies
Ive reviewed the portfolio of strategies and started to live trade the new portfolio on
October 2016, since then the performance is +14.77%, with a Sharpe Ratio of 3.81

October 2007-March 2013 Equity Line Solutons Ltd Seven Mills Ltd - Quantitative Trader- London, UK

Developed effective quantitative volatility trading models ( GARCH and Stochastic

volatility convergence models, Regime Switching using genetic algorithm model ) .
Developed HFT algorithms ,based on econometric studies (Statistical Arbitrage) to trade
futures (EUREX,CME, CBOT, NYMEX, IDEM) and models (stochastic volatility jump
diffusion,...) (Schwartz-Ross,...) to trade futures , options and crack spread (futures and
options) .
My Trading performance from March 2008 to September 2012 showed an amazing
+166.92% . That performance is fully demonstrable with the full IB statements.

1998-2007 IMI-Fideuram Banca (now Banca Intesa) Quant Analyst (Equity Market) Milan, Italy

Developed and updated equity portfolio models based on multifactor portfolio models.
Efficiently worked on portfolio optimization and performance measurement.
Responsible for monitoring and communicating operational signals to investment
managers.

EDUCATION
University of Bologna, Degree in Applied Economics and Econometrics
Dissertation: Pricing interest rate futures: applying models to the BTP futures

CQF-Certificate in Quantitative Finance 7City-London

Dissertations: Uncertain volatility with static hedge by Finite Difference: pricig vanilla
and binary options
Multivariate Financial Time Series Analysis: energy futures
PUBLISHED WORKS
2004 Analisi tecnica efficace applicata ai trading systems [Effective technical analysis
applied to trading systems]
Forl: Experta Editrice
2005 Trader Magazine. Digest 2005-2006,
Forl: Experta Editrice
2010 High Frequency Trading: market microstructure Milan (Italian Stock Exchange)

2012 Multivariate Time Series: VAR and VEC models applied to Energy Futures (Fitch
Learning . London)
2012 Using uncertain volatility models to trade a portfolio of vanilla and binary options (Fitch
Learning . London)

SKILLS
Languages: Fluent in English and Spanish
Matlab : very good
C# :very good
Excel : very good
VBA :working level

TRADING

Trading Championships: European Top Trader Cup 2008 +38%, European Top Trader Cup 2009 +42%, ,
Robbins World Cup 2009 +44%, European Top Trader Cup 2011 +61%.