Alessandro Pontes

Profile

Thesis supervisors

• Dr. Keith Anderson
• Dr. Yuning Li

Panel Member

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

Thesis Title

Sequential Conditioning on Volatility Regime, Price Persistence and Distributional Asymmetry - A Framework for Adaptive S&P500 Equity Exposure

Research

Research topic

Adaptive regime-aware momentum using implied volatility information, higher-order moment dynamics and statistical price dispersion filters

Research interests

My doctoral research investigates regime-aware risk management architectures within systematic equity momentum strategies. The project explores how implied volatility information, higher-order moment volatility and statistical price dispersion can be integrated with trend-following frameworks to identify structural market regime shifts and improve portfolio resilience.

The central objective of the research is to develop adaptive multi-layered filtering mechanisms capable of distinguishing between persistent momentum environments and conditions associated with market exhaustion, volatility transitions and momentum crashes. Particular emphasis is placed on the interaction between volatility structures, trend persistence and distributional asymmetries in financial markets.

My broader research interests include:

• Volatility Surface Analysis - examining the predictive properties of the VIX term structure and implied volatility dynamics in relation to equity trend persistence and regime transitions
• Systematic Strategy Optimisation - developing regime-conditional trend-following models incorporating adaptive filters, sequential conditioning frameworks and dynamic exit mechanisms
• Quantitative Risk Modelling - applying statistical measures of price deviation, higher-order moments and distributional asymmetry to distinguish sustainable momentum from unstable market extensions
• Conditional Asset Pricing and Regime Detection - investigating how volatility states and asymmetry measures can improve adaptive exposure allocation within systematic portfolios
• Financial Econometrics and Applied Quantitative Finance - integrating econometric modelling, backtesting frameworks and statistical inference into practical portfolio construction and risk management applications

Biography

Biography

I am a doctoral researcher in Quantitative Finance at the University of York, where my research focuses on regime-aware momentum strategies, volatility regime detection and adaptive risk management frameworks for liquid equity markets.

My work investigates how implied volatility structures, higher-order moment volatility and statistical price dispersion can be integrated with systematic trend-following models to identify structural market shifts, improve persistence detection and mitigate the impact of momentum crashes and large drawdowns.

My academic research is informed by more than two decades of international experience across derivatives, commodity markets and systematic trading environments. Prior to academia, I held senior trading and risk management positions across international commodity markets, specialising in derivatives structuring and risk management.

Throughout my professional career, I have structured and managed large-scale derivatives and commodity trading operations, including the development of hedging frameworks and barter programmes involving significant cross-border exposure across agricultural and financial markets.

Alongside my doctoral research, I continue to work through Bridgholds on systematic strategy development, quantitative finance research and applied risk modelling. My technical work includes the development of Python-based research tooling for backtesting, performance attribution, parameter optimisation and regime-dependent portfolio analysis.

I hold an MSc in Financial Economics and an Executive MBA in Entrepreneurship and Finance.

Publications

Publications

Pontes, A. (2026). Exploring Options-Based Agricultural Policies: Lessons from Brazil and a Proposed Green-Linked Revenue Options Framework for the United Kingdom.
SSRN Working Paper.
Investigates derivatives-based agricultural policy mechanisms and proposes a revenue-linked options framework integrating sustainability incentives and risk transfer structures.

Pontes, A. (2026). Sequential Conditioning of Momentum on Implied Volatility Regimes and Distributional Asymmetry: A Regime-Dependent Framework for Conditional Asset Pricing and Adaptive Exposure.
SSRN Working Paper.
Examines the interaction between implied volatility regimes, higher-order moment asymmetry and momentum persistence within adaptive systematic trading frameworks.

Pontes, A. (2025). Macroeconomic Drivers and Sectoral Dynamics within the UK Equity Market (2000-2024): A VECM Analysis of Financials and Industrials.
MSc Dissertation, University of York.
Employs vector error correction modelling to identify long-run cointegration relationships between
macroeconomic variables and sectoral equity performance in the UK market.

Pontes, A. (2025). Behind Financial Market Dynamics - From Foundations to Higher-Order Moments.
Provides a literature review and conceptual synthesis of asset pricing foundations with a focus on
skewness and higher-order distributional effects, highlighting how asymmetry in returns contributes
to nonlinear behaviour in financial markets.

Pontes, A. (2024). The Financial Futures Handbook. London: Apple Books | Bridgholds Ltd.
A practitioner-oriented examination of financial futures, derivatives mechanics and volatility management within global markets.