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 AFA, EFA, FIRS, the SFS Cavalcade North America Conference, and the Utah Winter Finance Conference. Agostino's research has been funded by major public institutions and private corporations, including the NSF, DARPA, J.P. Morgan, the Institute for New Economic Thinking, the Global Risk Institute, the Clearpool Group, and the OCP Group.
Agostino currently serves or has served as an associate editor of major journals in his field, including Operations Research, Management Science, Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Stochastic Systems, and many others. He also currently serves as the Financial Engineering Department Editor of the Institute of Industrial Engineering Transactions, the area editor of Operations Research Letters, and as a Co-Editor of the Finance Department of Management Science. 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 JP Morgan AI Faculty Research Award, a prize from the MIT Center for Finance and Policy and the Harvard Crowd Innovation Laboratory, and the Bar-Ilan prize for general research in financial mathematics. Agostino 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.