Davide Bufalini
Quantitative Researcher @Squarepoint
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WORK HISTORY
Quantitative Researcher @Squarepoint
London, GB
Volatility Quantitative Researcher. Systematic cross-commodity intraday (1-minute resolution) volatility surface modelling and research, with direct application to systematic trading and risk management- Statistical noise and microstructure analysis of intraday volatility surface fits, including bid–ask effects and illiquidity regimes- Development and implementation of de-noising, regularisation, and smoothing techniques to produce stable intraday volatility surfaces for systematic trading- Cross-commodity comparative analysis of volatility, skew, and vol-of-vol, identifying common and asset-specific features- Collaboration with trading and risk teams to integrate intraday volatility analytics into execution, hedging, and risk monitoring workflows.
EDUCATION
University of Rome Tor Vergata
Bachelor's degree, Physics
Istituto di Istruzione Superiore Anagni
Diploma Scientifico
University of Rome Tor Vergata
Master's degree, Theoretical and Mathematical Physics
University of Southampton
Doctor of Philosophy - PhD, Applied Mathematics
ABOUT DAVIDE BUFALINI
Volatility Quantitative Researcher at Squarepoint Capital, London. PhD in Applied Mathematics (Black Holes in String Theory).
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