Agostino Capponi is an Associate Professor of Industrial Engineering and Operations Research at Columbia University. Agostino is a member of the Data Science Institute the Center for the Management of Systemic risk, and the FDT Center for Intelligent Asset Management . He serves as an External Consultant at the U.S. Commodity Futures Trading Commission, Office of the Chief Economist, on topics related to clearinghouse collateral requirements and financial stability.
Agostino's research interests are in systemic risk and financial stability, fixed income portfolio optimization, and market microstructure. Topics of recent interest also include financial robo-advising, the analysis of cryptocurrencies, and the performance analysis of deep neural networks. Agostino maintains collaborations with the main regulatory agencies tasked with risk monitoring and policy making, including the Department of Treasury's Office of Financial Research, the Commission of Future Trading and Commodities, and the Federal Reserve Board. Agostino's research has been presented at major finance conferences, including the Utah Winter Finance Conference, AFA, EFA, FIRS, the SFS Cavalcade North America Conference.
Agostino's research has been funded by major public agencies and private corporations, including the NSF, DARPA, U.S. Department of Energy, J.P. Morgan, IBM, the Institute for New Economic Thinking, the Global Risk Institute, the Clearpool Group, and the OCP Group.
Agostino is an Editor of Management Science in the Finance Department. He is also the financial engineering area editor of Operations Research Letters and of the Institute of Industrial Engineering Transactions. Agostino currently serves as an associate editor of Operations Research, Finance and Stochastics, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Applied Mathematical Finance, Stochastic Systems, Stochastic Models, and the American Institute of Mathematical Sciences Journal of Dynamics & Games.
He serves as the Chair of the SIAM Activity group in Financial Mathematics and Engineering, and as the President of the INFORMS Finance Section.
Agostino is a recipient of the NSF CAREER Award, the 2019 JP Morgan AI Faculty Research Award, the Columbia-IBM Center for Blockchain & Data Transparency: Special COVID-19 Research Award, a honorable mention from the MIT Center for Finance and Policy and the Harvard Crowd Innovation Laboratory, the Bar-Ilan prize for general research in financial mathematics, and several best paper awards at Fintech Conferences and INFORMS sections. He also received a Marie Curie fellowship from the European Commission.
Agostino's research has received attention by various media outlets, including Thomson Reuters, the American Banker, Vox, and the Chicago Booth Review. Agostino holds a world patent for a target tracking methodology in military networks.
Agostino received his Master and Ph.D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. An updated version of his CV is available here.