Ph.D. Candidate in Quantitative Finance at the Swiss Finance Institute and the University of Geneva. Research focuses on market microstructure, price impact modeling, optimal execution, and market making. He works also on machine learning applications to trading, volatility forecasting, and state-space modeling.
Research Interests
Market Microstructure, Optimal Market Making, Limit Order Book Simulation, Price Impact, Liquidity, Optimal Execution, Asset Pricing, High Frequency Econometrics, Machine Learning.
Email francesco.finardi@unige.ch
GitHub finardfr
LinkedIn francescofinardi
My Blog
Market Making with Avellaneda-Stoikov: Managing the Inventory
Reading time: ~8 min If you’ve spent any time in the market microstructure literature, you’ve probably come across the Avellaneda-Stoikov (A-S) model. Published in 2008, it’s one of those rare papers that gives you a clean, closed-form answer to a genuinely hard problem: where should a market maker post its bid and ask quotes? I…
Keep readingA Simple Introduction to the Glosten–Milgrom Model and Market Making
Reading time: ~3 min What Is a Market Maker? When we talk about market microstructure, price formation is usually the first thing that comes up. In a simple market with few participants, prices emerge through direct negotiation — like bargaining at a market stall. If many participants compete for the same good, prices are determined…
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