Giorgio Costa is a doctoral candidate in Operations Research at the Department of Mechanical and Industrial Engineering at the University of Toronto, St. George Campus. He received his Honours Bachelor of Engineering in Mechanical Engineering from McGill University. His research is focused on mathematical optimization and its applications in finance. Specifically, his interests are in robust optimization, unsupervised learning methods, and the application of convex relaxations and their applications to solve non-convex problems. He is an experienced quantitative researcher and he used to work as Senior Risk Analyst at the Toronto-Dominion Bank. He currently serves as a lecturer at the University of Toronto, teaching courses in financial engineering and mathematical optimization.
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.