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Marco Wielgus

@marcowielgus

Quantitative researcher at Yoromi, developing an E-mini futures strategy and production matching score.

At Yoromi, I own the production matching score on a platform with about 350 users. I prepared the infrastructure for data collection and contributed to planning and developing the platform.

My research focuses on futures, market microstructure, and quantitative strategies. In my ongoing E-mini S&P 500 futures research, I’m testing a regime-based intraday strategy with falsifiable predictions, out-of-sample evaluation, and multiple-testing correction.

Experience

Work history, roles, and key accomplishments

Current

Partner and model owner

Current

Yoromi

May 2026 - Present (5 months)

Owned the production matching score on the platform (~350 users), prepared infrastructure for data collection and subsequent model development, and contributed to platform planning and development.

Python Supabase Vercel PostHog Logistic Regression Data Collection Infrastructure

Education

Degrees, certifications, and relevant coursework

Università Cattolica del Sacro Cuore

Master's Degree, Economics of Markets and Financial Intermediaries

2024 -

Activities and societies: Courses: Financial Econometrics (ARMA, GARCH, bootstrap, IRF), Derivatives Pricing (delta/gamma hedging, XVA, CDS), Asset pricing, Market Microstructure (LOB, bid-ask spread (Glosten), liquidity-market impact (Corwin-Schultz)). Projects: Modeling of Bitcoin volatility and one-step-ahead forecasts (R).

Pursuing a Master's Degree in Economics of Markets and Financial Intermediaries, with coursework in financial econometrics, derivatives pricing, asset pricing, and market microstructure.

University of California Los Angeles

Exchange Program, Finance

2026 - 2026

Activities and societies: Stock Option Strategies (spreads, volatility trading), Managerial Finance (Valuation, Capital budgeting, IPO)

Spring Quarter Exchange at UCLA, focusing on stock option strategies and managerial finance.

Università LUMSA

Bachelor's Degree, Economics and Business and Banking Administration

Activities and societies: Final thesis: the role of SGRs in the transmission of monetary policy: impacts on investment strategies.

Bachelor's Degree in Economics and Business and Banking Administration, with a final thesis on the role of SGRs in the transmission of monetary policy.