Haris Halvatzis

Part of the Quantitative Strategies Research team. • Perform rigorous analysis on alpha signals, portfolio construction and optimization. • Build strategies based on multi-factor models

• Built and tested two bottom-up alpha signals for quantitative stock selection using: (a) borrowing rates (long/short) and (b) ESG factors (long-only). Split stocks into buckets. • Portfolio construction and optimization, running simulations and applying different weighting schemes for each bucket. Use of Barra optimizer. • Performance attribution and results evaluation (relative to benchmarks) using alpha, transaction costs, tracking error, number of holdings and risk factors. Use of Barra risk model.

Part of the Price and Costs section, part of the Euro area macroeconomic developments division. Analysis of inflation, GDP and wages on the euro-area level.

Application of numerical methods on behalf of two physicists.

Empirical Methods in Finance, Stochastic Calculus, Investments and Derivatives, Fixed Income, Credit Risk, Computational Finance

Stochastic Differential Equations, Corporate Finance, Dynamical systems and Chaos Theory