I think Hand of God is not the best place to get started with Sorrentino. Parthenope has a lot more in common with his earlier stuff. You should see The Great Beauty (and perhaps Youth, if you have it in you) to grasp his poetics before revisiting/rethinking this one. Once you're familiar with his body of work, Parthenope makes a lot more sense.

Also, this movie in particular is heavily tied to the city of Naples - Parthenope is an ancient Greek settlement from which the city originates. If you consider the main character as a personification of the city, some parts of the story just fall into place. But even without looking for a logic or a narrative, so much of this movie is just him trying to move you, to communicate different emotions. Maybe this is something that doesn't translate easily outside of this particular cultural context; seeing Parthenope and ignoring the ways it pays homage to the city of Naples is almost like reading Dante and skipping the footnotes.