Federico
Severino

Publications

Articles

• Ortu, F., Reggiani, P., & Severino, F. (2025). Persistence-based capital allocation along the FOMC cycle. The Quarterly Journal of Finance, 15(1), 2550005. DOI : 10.1142/S2010139225500053
• Severino, F. (2025). Long-term risk with stochastic interest rates. Mathematical Finance, 35(1), 3-39. DOI : 10.1111/mafi.12440
• Madotto, M., & Severino, F. (2023). Heterogeneous awareness in financial markets. Journal of Economic Behavior & Organization, 216(1), 26-41. DOI : 10.1016/j.jebo.2023.09.029
• Cremona, M. A., Doroshenko, L., & Severino, F. (2023). Functional motif discovery in stock market prices. SSRN Electronic Journal. DOI : 10.2139/ssrn.4642040
• Cerreia-Vioglio, S., Ortu, F., Severino, F., & Tebaldi, C. (2023). Multivariate wold decompositions: a Hilbert A-module approach. Decisions in Economics and Finance, 46(1), 45-96. DOI : 10.1007/s10203-023-00392-3
• Severino, F., Cremona, M. A., & Dadié, É. (2022). COVID-19 effects on the Canadian term structure of interest rates. Review of Economic Analysis, 14(4), 471-502. DOI : 10.2139/ssrn.3762628
• Cerreia-Vioglio, S., Ortu, F., Rotondi, F., & Severino, F. (2022). On horizon-consistent mean-variance portfolio allocation. Annals of Operations Research. DOI : 10.1007/s10479-022-04798-x
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2020). A persistence-based wold-type decomposition for stationary time series. Quantitative Economics, 11(1), 203-230. DOI : 10.3982/QE994
• Marinacci, M., & Severino, F. (2018). Weak time-derivatives and no-arbitrage pricing. Finance and Stochastics, 22(4), 1007-1036. DOI : 10.1007/s00780-018-0371-9
• Severino, F. (2016). Isometric operators on Hilbert spaces and Wold decomposition of stationary time series. Decisions in Economics and Finance, 39(2), 203-234. DOI : 10.1007/s10203-016-0181-5

Chapitres d'un ouvrage collectif

• Severino, F., & Thierry, S. (2022). Robo-advisors: A Big Data challenge. Dans T. Walker, F. Davis & T. Schwartz (Eds.). Big Data in finance: Opportunities and challenges of financial digitalization. Palgrave Macmillan. doi : 10.1007/978-3-031-12240-8_7.
• Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2019). Optimal asset allocation with heterogeneous persistent shocks and myopic and intertemporal hedging demand. Dans Itzhak Venezia (Ed). Behavioral finance: the coming of age (pp. 57-108). World Scientific Publishing Co. Pte. Ltd. doi : 10.1142/11248.

Communications dans une conférence sans actes

• Severino, F. (2025). Equity marketneutral strategies using variable selection and regularized regression. 59th Canadian Economic Association Conference (CEA), Montréal, Canada.
• Severino, F. (2025). Machine learning in finance : Motif discovery in stock market prices. Seminaire à la Memorial University of Newfoundland, Saint-Jean, Canada.
• Severino, F. (2024). Motif discovery and forecast of stock market prices. The Rotman Finance Analytics and Decision-Making League 1st Conference (RFADML), University of Toronto, Canada.
• Cremona, M. A., Doroshenko, L., & Severino, F. (2024). Functional motif discovery in stock market prices. 17th Annual Meeting of the Academy of Behavioral Finance & Economics (ABF&E), Los Angeles, Etats-Unis d'Amérique.
• Cremona, M. A., Doroshenko, L., & Severino, F. (2024). Functional motif discovery in stock market prices. 26th International Conference on Computational Statistics (COMPSTAT), Justus-Liebig-University Giessen, Allemagne.
• Ortu, F., Reggiani, P., & Severino, F. (2024). Persistence-based capital allocation along the FOMC cycle. 58th Canadian Economics Association Conference (CEA), Toronto Metropolitan University, Canada.
• Ortu, F., Reggiani, P., & Severino, F. (2024). Persistence-based capital allocation along the FOMC cycle. 11th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), Université Le Havre, Normandie, France.
• Ortu, F., Reggiani, P., & Severino, F. (2023). Persistence-based capital allocation along the FOMC cycle. 3rd World Conference on Business, Management, Finance, Economics and Marketing (WCBMFEM), Eurasia Conferences, Paris, France.
• Severino, F. (2023). On horizon-consistent mean-variance portfolio allocation. International Risk Management Conference 2023 (IRMC), Florence, Italie.
• Severino, F. (2023). Persistence-based capital allocation along the FOMC cycle. Brown Bag Seminar, Milan, Italie.
• Severino, F. (2023). On horizon-consistent mean-variance portfolio allocation. Young Talents in Actuarial Science and Quantitative Finance, Waterloo, Canada.
• Severino, F. (2023). Robots-conseillers : un défi de données massives. Webinaire de l’IID, Institut Intelligence et Données, Université Laval, Québec, Canada.
• Doroshenko, L., Cremona, M. A., & Severino, F. (2022). Functional motif discovery in stock market prices. Stochastic Modeling and Computational Statistics talk; Pennsylvania State University, Eberly College of Science, Department of Statistics, University Park, Etats-Unis d'Amérique.
• Severino, F. (2022). On horizon-consistent mean-variance portfolio allocation. 35th Australasian Banking & Finance Conference, Sydney, Australie.
• Severino, F. (2022). Persistence-based portfolio choice along the FOMC cycle. 16th International Conference on Computational and Financial Econometrics (CFE), London, Royaume-Uni.
• Severino, F. (2022). Persistence-based Wold decomposition and FED cycle. SMAC Talk, The Pennsylvania State University, State College, Pennsylvanie, Etats-Unis d'Amérique.
• Severino, F. (2022). On time-consistent multi-horizon portfolio allocation. 29th Finance Forum, Annual Meeting of the Spanish Finance Association (AEFIN), Universidade de Santiago de Compostela, Santiago, Espagne.
• Severino, F. (2022). Robo-advisors : A Big Data challenge. 1st Conference on International Finance; Sustainable and Climate Finance and Growth (CINSC), Future Finance and Economics Association, Università di Napoli Parthenope, Naples, Italie.
• Severino, F. (2022). COVID-19 effects on the Canadian term structure of interest rates. 49th Annual Meeting of the Statistical Society of Canada, Canada.
• Severino, F. (2022). Robo-advisors : A Big Data challenge. 9th International Conference on Risk Analysis (ICRA9), Università di Perugia (virtuel), Perugia, Italie.
• Severino, F. (2022). On time-consistent multi-horizon portfolio allocation. 10th International Hybrid Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), Università di Salerno (virtuel), En ligne, Italie.
• Severino, F. (2022). Confronting Uncertainty in Climate Change workshop. Confronting Uncertainty in Climate Change workshop, IMSI, University of Chicago (virtuel), Chicago, Etats-Unis d'Amérique.
• Severino, F. (2022). COVID-19 effects on the Canadian term structure of interest rates. The Resilient Society Conference, ICEA (International Centre for Economic Analysis).
• Severino, F. (2022). Multivariate Wold Decompositions. Séminaire au Département d'Économique, Université Laval, Québec, Canada.
• Cremona, M. A., Severino, F., & Dadié, É. (2021). COVID-19 effects on the Canadian term structure of interest rates. ERCIM 2021, joint conference CFE-CMStatistics, London (Virtuel), Royaume-Uni.
• Severino, F. (2021). On time-consistent multi-horizon portfolio allocation. 2021 New Zealand Finance Meeting, Auckland Center for Financial Research (virtuel), Auckland, Nouvelle Zélande.
• Severino, F., Cremona, M. A., & Dadié, É. (2021). COVID-19 effects on the Canadian term structure of interest rates. XLV AMASES Conference, Università Mediterranea di Reggio Calabria, Reggio Calabria (Virtuel), Italie.
• Severino, F. (2021). COVID-19 effeects on the Canadian term structure of interest rates. XLV AMASES conference, Università Mediterranea di Reggio Calabria, Reggio Calabria, Italie.
• Severino, F. (2021). Présentation du papier ‘On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Econometric Society European Meeting 2021 (ESEM), Københavns Universiteit, Copenhague (Virtuel), Danemark.
• Severino, F. (2021). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Organisateur et chair de session. 6th Canadian Conference in Applied Statistics (Statistics 2021 Canada), Concordia University, Montréal (Virtuel), Canada.
• Severino, F. (2021). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Chair de session. 2021 Annual Congress of the Swiss Society of Economics and Statistics (SSES), Universität Zürich, Zürich (Virtuel), Suisse.
• Severino, F. (2021). Présentation du papier ‘ On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Canadian Operational Research Society (CORS) 2021 Annual Conference, University of Waterloo et University of Toronto, Waterloo et Toronto (Virtuel), Canada.
• Severino, F. (2021). Présentation du papier ‘COVID-19 effects on the Canadian term structure of interest rates’ de Severino, Cremona, Dadié. Discussant d’un autre papier. 28th Annual Meeting of the Global Finance Conference (GFC), California State University, Fresno (Virtuel), Etats-Unis d'Amérique.
• Severino, F. (2021). Séminaire sur le papier ‘On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Goethe Universität Frankfurt, Frankfurt (Virtuel), Allemagne.
• Severino, F. (2020). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. 14th International Conference on Computational and Financial Econometrics (CFE), University of London (virtuelle).
• Severino, F. (2019). Long-term risk with stochastic interest rates. European Winter Meeting of the Econometric Society, Erasmus University, Rotterdam, Pays-Bas.
• Severino, F. (2019). Long-term risk with stochastic interest rates. International Risk Management Conference (IRMC), Università Bocconi, Milan, Italie.
• Severino, F. (2019). Weak time-derivatives and pricing equations. Workshop on Martingales in Finance and Physics, International Centre for Theoretical Physics, Trieste, Italie.
• Madotto, M., & Severino, F. (2019). Heterogeneous awareness in financial markets. Brown Bag Seminar, Università della Svizzera Italiana, Lugano, Suisse.
• Severino, F. (2019). Long-term risk with stochastic interest rates. Barclays Quantitative Portfolio Strategy, London, Royaume-Uni.
• Severino, F. (2019). Research topics in asset pricing. Brunel University London, London, Royaume-Uni.
• Severino, F. (2019). Long-term risk with stochastic interest rates. University of Amsterdam, Amsterdam, Pays-Bas.
• Severino, F. (2019). Long-term risk with stochastic interest rates. Université du Québec à Montréal, Montréal, Canada.
• Severino, F. (2019). Long-term risk with stochastic interest rates. University of Western Ontario, London, Canada.
• Severino, F. (2019). Research topics in asset pricing. Durham University, Durham, Royaume-Uni.
• Severino, F. (2018). Long-term risk with stochastic interest rates. Université Laval, Québec, Canada.
• Severino, F. (2018). Long-term risk with stochastic interest rates. Université de Montréal, Montréal, Canada.
• Severino, F. (2018). Long-term risk with stochastic interest rates. 10th World Congress of the Bachelier Finance Society, Trinity College, Dublin, Irlande.
• Severino, F. (2018). Long-term risk with stochastic interest rates. North American Meeting of the Econometric Society (NASMES), University of California, Davis, Etats-Unis d'Amérique.
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2018). Wold-type decomposition for stationary time series. 11th Annual Society for Financial Econometrics Conference (SoFiE), Università della Svizzera Italiana, Lugano, Suisse.
• Severino, F. (2018). Long-term risk with stochastic interest rates. Brown Bag Seminar, Università della Svizzera Italiana, Legano, Suisse.
• Severino, F. (2018). Long-term risk with stochastic interest rates. Brown Bag Seminar, Università Bocconi, Milan, Italie.
• Severino, F. (2018). Long-term risk with stochastic interest rates. Model Uncertainty and Robust Finance Workshop, Università degli Studi di Milano, Milan, Italie.
• Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2018). Optimal asset allocation with heterogeneous persistence of shocks. Minisymposium co-chair, 9th Vienna International Conference on Mathematical Modelling (MATHMOD), Technische Universität Wien, Vienne, Autriche.
• Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2017). Optimal asset allocation with heterogeneous persistence of shocks. 11th International Conference on Computational and Financial Econometrics (CFE), University of London, London, Royaume-Uni.
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2017). A persistence-based Wold-type decomposition for stationary time series. XLI AMASES Conference, Università di Cagliari, Cagliari, Italie.
• Severino, F. (2017). Long-term risk with stochastic interest rates. EDGE jamboree, Università Bocconi, Milan, Italie.
• Severino, F. (2017). Long-term risk with stochastic interest rates. Università della Svizzera Italiana, Lugano, Suisse.
• Marinacci, M., & Severino, F. (2017). Weak time-derivatives and no arbitrage pricing. XVIII Quantitative Finance Workshop, Università degli Studi di Milano-Bicocca, Milan, Italie.
• Marinacci, M., & Severino, F. (2016). Weak time-derivatives and no arbitrage pricing. Università degli Studi di Milano-Bicocca, Milan, Italie.
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, F. (2016). Persistence-based Wold-type decompositions for economic and financial time series. Prof. Marc Henry reading group, The Pennsylvania State University, University Park, Pennsylvania, Etats-Unis d'Amérique.
• Marinacci, M., & Severino, F. (2016). Weak time-derivatives and no arbitrage pricing. XL AMASES Conference, Università di Catania, Catania, Italie.
• Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, F. (2016). Optimal asset allocation with heterogeneous persistence of shocks. Prof. Lars Peter Hansen reading group, The University of Chicago, Chicago, Etats-Unis d'Amérique.
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, F. (2016). Persistence-based Wold-type decompositions for economic and financial time series. Prof. Lars Hansen reading group, The University of Chicago, Chicago, Etats-Unis d'Amérique.
• Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2014). A persistence-based Wold-type decomposition for stationary time series. 8th International Conference on Computational and Financial Econometrics (CFE), Università di Pisa, Pisa, Italie.

Activités de recherche en cours

Titre de l'activité	Chercheur(s)	Organisme subventionnaire	Programme	Dates
Choix de prêts hypothécaires en présence de taux variables	Principal Federico Severino	Université Laval - Fonds internes	Soutien à la recherche (SAR) FSA - Volet 15 : Subvention facultaire d'amorçage de projets de recherche	2026-01-05 au 2027-01-04
Long-term risk with stochastic interest rates	Principal Federico Severino	Université Laval - Fonds internes	Soutien à la recherche (SAR) FSA - Volet 13 : Valorisation de la publication dans des revues classées A et B	2025-05-01 au 2026-04-30
Conditioning information in statistical methods based on spectral decompositions	Principal Federico Severino	Conseil de recherches en sciences naturelles et génie Canada	Subventions à la découverte SD (individuelles et d'équipe)	2025-04-01 au 2030-03-31

Affiliations de recherche en cours

• Chercheur affilié, Laboratoire d’ingénierie financière de l’Université Laval (LABIFUL) (2019 - ...)
• Chercheur affilié, CIRANO (2022 - ...)

Encadrement étudiant

Doctorat

• Codirecteur de recherche
  • El Hadji Tamsir Babou Dieng (Hiver 2025 - ...)
  • Hedayat Fathi (Automne 2021 - ...)
  • Matteo Fuligni (Hiver 2026 - ...)

Maîtrise avec mémoire

• Directeur de recherche
  • Seyedehmaedeh Marvikhorasani (Automne 2024 - ...)

Contribution à l'avancement de la discipline

Membre d'ordre(s) professionnel(s)

• Affilié à l'AMASES (Association for Mathematics Applied to Social and Economic Sciences) (2016 - ...)

Participation à des colloques ou conférences scientifiques

• Discussant at 3rd Dauphine Finance Ph. D. Workshop, Université Paris Dauphine (virtual) (2020)
• Discussant at CONSOB, Bocconi, ESMA Conference, Università Bocconi (2018)

Organisation de conférence(s)

• Discussant, 17th Annual Meeting of the Academy of Behavioral Finance & Economics, Academy of Behavioral Finance & Economics (ABF&E) (2025)
• Chaire de séance, 59th Canadian Economic Association Conference (2025)

Participation à des comités d'évaluation

• Jury the thèse de doctorat en Économie et Finance, Edoardo Berton, Universita Cattolica del Sacro Cuore, Milan, Italie (2025 - ...)
• Jury the thèse de doctorat, Qifan Yang, Scuola Superiore Sant'Anna, Piss, Italie (2025)

Responsable de comité(s) d'évaluation

• Membre du jury du concours Bourstad 2021, CIRANO, Mai (2021)
• Membre du jury du concours Bourstad 2020, CIRANO, Avril (2020)

Responsabilités éditoriales

• Referee pour le livre « Operations Research and Artificial Intelligence Applied to Care Pathway Management and Healthcare Systems: innovate in a post-pandemic Healthcare System and rethinking healthcare organizations » edité par Paolo Landa et Jean-Baptiste Gartner (2024 - ...)
• Referee pour Journal of Mathematical Economics (2023)
• Referee pour Quantitative Finance (2022)
• Referee pour Finance Research Letters (2022 - 2023)
• Reviewer pour la 1st Conference on International Finance; Sustainable and Climate Finance and Growth (CINSC), Future Finance and Economics Association, Università di Napoli Parthenope (2022)
• Membre du Comité du Programme pour la 7th International Conference on Time Series and Forecasting ITISE, Gran Canaria (2021)
• Reviewer pour la 6th Canadian Conference in Applied Statistics, Concordia University (virtuelle) - Université Concordia (2021)
• Referee pour Journal of Financial Econometrics, International Review of Financial Analysis, Proceeding of the Royal Society A, Finance Research Letters (2021)

Implications universitaires et facultaires

Faculté

• Accueil de la délégation de l’Université Mohammed VI Polytechnique (UM6P) / Africa Business School (2024)
• Comité de nomination du Directeur du département de Finance, Assurance et Immobilier (2023)
• Comité de recrutement de nouveaux professeurs (2023 - 2024)
• Comité de réflexion sur la maîtrise en ingénierie financière (2022 - ...)
• Membre du Comité scientifique, Chaire iA Groupe financier en assurances et services financiers (2022 - ...)
• Membre, Comité directeur de la Chaire iA Groupe financier en assurance et services financiers (2022 - 2025)

Université

• Chercheur collaborateur à l'IID (Institut Intelligence et Données) de l'Université Laval (2022 - ...)
• Chercheur affilié, Laboratoire d'ingénierie financière de l'Université Laval (2019 - ...)

Présence dans les médias

Presse écrite

• « À l'ère des robots-conseillers » Entretien accordé à ULaval Nouvelles, publié le 3 février (2023)

Prix et distinctions

Bourses

• Fondazione Cariplo Mobility grant (2016)
• PhD fellowship, Università Bocconi (2012 - 2017)

Prix et distinctions

• ERS IASC Young Researchers Award, COMPSTAT (2024)
• Distinction Socrate (2023 - 2024)
• Médaille de la recherche (2022 - 2023)
• AMASES Award for the best paper by a young researcher at XL Annual Meeting (2016)
• PhD Award, Università Bocconi (2014)
• Registration to National Register of Excellences (2006 - 2007)