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Gino Cenedese, PhD Student


Education:

  • 2007–present: PhD Candidate in Finance, Warwick Business School, University of Warwick, United Kingdom. Expected submission date: September 2011.
  • 2006–2007: MSc in Economics and Finance, University Ca’ Foscari of Venice, Italy, Honours
  • 2004–2006: Laurea Specialistica (MA) in Economics, University Ca’ Foscari of Venice, Italy, Summa Cum Laude
  • 2000–2004: Laurea Triennale (BSc) in Economics and Management of Complex Systems, University Ca’ Foscari of Venice, Italy

Supervisors:

  • Professor Lucio Sarno (Cass Business School)
  • Dr Pasquale Della Corte (Warwick Business School)
  • Dr Ilias Tsiakas (University of Guelph)

Relevant Experience

  • Autumn 2011 (scheduled): PhD Internship, Bank of England, Macro Financial Division (Monetary Analysis), London
  • September 2011 (scheduled): Summer School in "New Tools for Short-Term Forecasting", CEMFI, Madrid.
  • Summer 2010: Summer Associate, Goldman Sachs, Global Markets Research (FX team), London.
  • Summer 2007: Summer Intern, GRETA (Gruppo di Ricerca Economica Teorica e Applicata, Theoretic and Applied Economic Research Group), Venice, Italy.

Scholarships and Awards:

  • 2010: Best Paper Award at the Spring Doctoral Conference, Judge Business School, University of Cambridge, 2010, for the paper "Average Variance, Average Correlation and Currency Returns", with Lucio Sarno and Ilias Tsiakas.
  • 2007-2010: PhD in Finance Scholarship, Warwick Business School.
  • 2007: Roberto Einaudi Scholarship, Fondazione Luigi Einaudi, Italy (declined).
  • 2007: Best Thesis Award at the Economics Department of the University of Venice, for my thesis on "Rational Speculative Bubbles: an Analysis via Markov-Switching Models".

 Research Interests:

  • International Finance
  • Exchange Rate Economics
  • Empirical Finance
  • Applied Econometrics

Research:

Working papers:

  • "Average Variance, Average Correlation and Currency Returns", with Lucio Sarno (Cass Business School) and Ilias Tsiakas (University of Guelph). This paper won the Best Paper Award at the Spring Doctoral Conference, Judge Business School, University of Cambridge, 2010.

Abstract: This paper provides an empirical investigation of the predictive ability of average variance and average correlation on the return to carry trades. Using quantile regressions, we find that higher average variance is significantly related to large future carry trade losses, whereas lower average correlation is significantly related to large gains. This is consistent with the carry trade unwinding in times of high volatility and the good performance of the carry trade when asset correlations are low. Finally, a new version of the carry trade that conditions on average variance and average correlation generates considerable performance gains net of transaction costs.

  • "On the Evolution of the Exchange Rate Response to Fundamentals Shocks".

Work in Progress:

  • "FX Fair Value Models" , with Thomas Stolper (Goldman Sachs Head of FX Research), in preparation for the Handbook of Exchange Rates, edited by J. James, L. Sarno, and I.W. Marsh. London: Wiley.
  • "Correlation Timing in Asset Allocation: Evidence from the Foreign Exchange Market'', with Pasquale Della Corte (Warwick Business School), Lucio Sarno (Cass Business School), and Ilias Tsiakas (University of Guelph).

Publications:

  • “Drivers of FX Forward Market Dislocations: Capital Controls and Financial Market Stress”, with Thomas Stolper. The Foreign Exchange Market 2011, pp. 54–61, Goldman Sachs Global Economics Research.

Modules Taught:

2010/2011:

  • TA Banking 1, BSc Finance (Cass Business School). Module leader: Sonia Falconieri.

2009/2010:

  • TA Asset Pricing and Asset Management, MSc Finance (WBS) and MSc Finance and Economics (WBS and Econ Dept). Module leader: Richard Payne.
  • TA International Finance, MSc Finance (WBS). Module leader: Pasquale Della Corte.

2008/2009:

  • TA International Financial Markets, MSc in Finance and Economics (WBS) and MSc in Economics (Econ Dept.). Module leader: Lucio Sarno
  • TA Finance 1 (Financial Markets), BSc Accounting and Finance and BSc Management (WBS) . Module Leader: Alex Stremme

Presentations:

  • July 2011: Frontiers of Finance Conference, Warwick Business School (poster session)
  • June 2011: Financial Management Association European Conference, Doctoral Consortium, Porto
  • June 2010: INFINITI Conference on International Finance, Trinity College Dublin
  • May 2010 Transatlantic Doctoral Conference, London Business School
  • April 2010 Spring Doctoral Conference, Cambridge Judge Business School
  • September 2009: "Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics" (poster session), held at Warwick Business School.
  • October 2009: Warwick Business School Finance Group Workshop series.

 


References available upon request


 

 

 

 Just another day

 

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Contacts

Room C3.21
Warwick Business School, University of Warwick
Coventry
CV4 7AL

Tel.: +44 (0)24 765 24396

E-mail: Gino.Cenedese07@phd.wbs.ac.uk