Alessandro Pontes

Profile

Thesis supervisors

• Dr. Keith Anderson
• Dr. Yuning Li

Panel Member

• Dr. Theodoros Diasakos (Department of Economics and Related Studies)

Thesis Title

Trend Persistence and Volatility Regime Detection: Leveraging VIX Information and Price Dispersion for Adaptive S&P 500 Momentum Filters

Research

Research topic

Optimising S&P 500 momentum strategies through VIX information and adaptive price dispersion filters

Research interests

My current doctoral work investigates adaptive risk management architectures within equity momentum strategies. I am particularly interested in how implied volatility structures and non-linear price dynamics can be synthesised to identify shifts in market regimes. By developing multi-layered filters that account for market stress and trend extension, my research aims to enhance the resilience of systematic portfolios against momentum crashes and significant drawdowns.

Beyond my core thesis, my interests include:

• Volatility Surface Analysis: Exploring the predictive properties of the volatility term structure and its relationship with equity trend persistence.
• Systematic Strategy Optimisation: Enhancing trend-following models through the integration of regime-conditional filters and dynamic exit protocols.
• Quantitative Risk Modelling: Utilising statistical measures of price deviation to distinguish between sustainable momentum and market exhaustion.

Biography

Biography

I am a doctoral researcher at the University of York, where my work focuses on developing regime-aware risk management and momentum strategies for liquid equity markets. My research investigates how implied volatility structures and statistical price dispersion can be integrated with trend-following signals to identify regimes of persistence and mitigate the impact of momentum crashes.

My academic research is informed by over 20 years of international experience across global financial markets and commodities. Having held senior roles as a trader and product specialist in the UK, USA, and Brazil, I specialise in bridging hands-on market expertise with rigorous quantitative modelling. I hold an MSc in Finance and Economics from the University of York and an MBA in Entrepreneurship and Finance.

Publications

Publications

Pontes, A. (2025) Behind Financial Market Dynamics - From Foundations to Higher-Order Moments. London: Apple / Bridgholds Ltd.
A quantitative exploration of financial market evolution, providing a framework for understanding distributional asymmetries and the interplay between investor behaviour and asset pricing.

Pontes, A. (2025) Macroeconomic Drivers and Sectoral Dynamics within the UK Equity Market (2000-2024). MSc Dissertation. University of York. 
An econometric study utilising VEC modelling to identify long-run cointegration between macroeconomic variables and the performance of UK Financial and Industrial sectors.

Pontes, A. (2024) The Financial Futures Handbook. London: Apple / Bridgholds Ltd.
A practical guide to the mechanics and strategic application of financial futures, designed to provide actionable insights for navigating market volatility and derivatives trading.