Leonardo Cella

About me

I am now working as Quant Trader @ Duferco Energia where I develop algorithmic trading strategies for the intraday power market.

Previously, I worked in in the Energy Portfolio team of AxpoItalia for two years, focusing on customer consumption and the intraday power market.

My career began in academia as a Researcher @ Italian Institute of Technology, where I had the great privilege of working with Massimiliano Pontil on multi-task and meta-learning settings combined with linear stochastic bandits. We also had the pleasure to have Karim Lounici joining this research.
During this experience we also shared time with Claudio Gentile, from Google NY, working on non-stationarities in stochastic bandits.

I hold a PhD from the University of Milan, where I was advised by Nicoló Cesa-Bianchi.
During summer 2018 I was also selected for a four months internship at Amazon Berlin where I had the opportunity to work as Applied Scientist in the Music ML Team mentored by Giovanni Zappella.

Research Interests

I am interested in using statistics and reinforcement-learning to develop quantitative trading strategies.

Selected Publications

• L. Cella, K. Lounici and M. Pontil. Multi-task Representation Learning with Stochastic Linear Bandits. Proceedings of The 26th International Conference on Artificial Intelligence and Statistics (AISTATS), 2023.
• R. Grazzi, A. Akhavan, M. Pontil, I. J. Falk and L. Cella. Group Meritocratic Fairness in Linear Contextual Bandits.
  Proceedings of the 36th International Conference on Neural Information Processing System (NeurIPS), 2022
• L. Cella and M. Pontil. Multi-Task and Meta-Learning with Sparse Linear Bandits.
  Proceedings of the 37th Conference on Uncertanity in Artificial Intelligence (UAI), 2021.
• L. Cella, C. Gentile and M. Pontil. Best Model Identification: a Rested Bandit Formulation.
  Proceedings of the 38th International Conference on Machine Leraning (ICML), 2021.
• L. Cella, A. Lazaric and M. Pontil. Meta-learning with Stochastic Linear Bandits.
  Proceedings of the 37th International Conference on Machine Learning (ICML), 2020
• L. Cella and N. Cesa-Bianchi. Stochastic Bandits with Delay-Dependent Payoffs.
  Proceedings of the 23rd International Conference on Artificial Intelligence and Statistics (AISTATS), 2020
• I. Kuzborskij, L. Cella and N. Cesa-Bianchi. Efficient Linear Bandits through Matrix Sketching.
  Proceedings of the 22nd International Conference on Artificial Intelligence and Statistics (AISTATS). PMLR, 89:177-185, 2019
• L. Cella, S. Cereda, M. Quadrana and P. Cremonesi. Deriving item features relevance from past user interactions.
  Proceedings of the 25th Conference on User Modeling, Adaptation and Personalization (UMAP). Pages:275-279, 2017

News

• October 2022. I moved to industry.
• M.F.O May 2022, Oberwolfach. I attended the prestigious workshop Re-thinking high-dimensional mathematical statistics.
• C.I.R.M. December 2021, Marseille. I attended the Meeting in Mathematical Statistics.
• Neurips 2021 December 2021, virtual conference. I has been selected as outstanding reviewer.
• ICML 2021 July 2021, virtual conference. I presented the work entitled Best Model Identification: A Rested Bandit Formulation, which has been done in collaboration with Massi and Claudio.
• UAI 2021 July 2021, Virutal conference. I presented the work entitled Multi-Task and Meta-Learning with Sparse Linear Bandits, which has been done in collaboration with Massi.
• October 2020. I joined the Computational Statistics and Machine Learning lab @ Italian Institute of Technology in Genoa. There I will work on the intersection of meta-learning and stochastic bandits together with Massimiliano Pontil.
• ICML 2020 June 2020. I presented the work entitled Meta-learning with Stochastic Linear Bandits, which has been done in collaboration with Alessandro Lazaric and Massimiliano Pontil.
• AISTATS 2020 June 2020, Virtual conference. I presented the project inspired by the Amazon experience: Stochastic Bandits with Delay-Dependent Payoffs.
• MAPLE Workshop, September 2019, Milan (Italy). I gave a talk on my research project Stochastic Bandits with Delay-Dependent Payoffs.
• AISTATS 2019 April 2019, Okinawa (Japan). I presented the research project done with Ilja and proposed by Nicoló.
• Applied Scientist Intern @ Amazon Berlin, July-October 2018.
• Since 2018 I have being in the programme committee of the most valuable ML conferences: AISTATS, Neurips, ICML.

Other Interests

I am strongly interested in the alleviation of human trafficking and I recently join cooperativa cielo to cooperate against that. I am also sensible to themes regarding barriers to education and learning in children. In Genoa I am a member of Sant'Egidio community, where I take care of these principles.