Random May 2018

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Seminari SOYER e POLSON al CNR IMATI - Milano - 3 Maggio
by antonio.pievatolo＠cnr.it 02 May '18

02 May '18

Ricordo i seguenti seminari che si svolgeranno presso CNR IMATI, via Alfonso Corti 12, Milano, Aula A Giovedì 3 maggio 2018, ore 15:00 - 16:30 [notare il cambio di aula; gentilmente scrivere a simona(a)mi.imati.cnr.it se si intende partecipare] 1) Refik Soyer, School of Business, George Washington University ore 15:00-15:45 BAYESIAN MODELING OF NON GAUSSIAN MULTIVARIATE TIME SERIES Abstract: Modeling of multivariate non Gaussian time series of correlated observations is considered. In so doing, we focus on time series from multivariate counts and durations. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods. We illustrate application of the proposed approach using conditionally multivariate Poisson and gamma time series. Joint work with Tevfik Aktekin, University of New Hampshire and Nicholas Polson, University of Chicago 2) Nicholas Polson, Booth School of Business, University of Chicago ore 15:45-16:30 DEEP LEARNING: A BAYESIAN PERSPECTIVE Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research. Joint work with Vladimir Sokolov, Sistems Engineering and Operations Research, George Mason University -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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seminario Marco Patacca in Bicocca
by fabio bellini 02 May '18

02 May '18

Il giorno venerdì 11 maggio alle ore 14.30 presso la Aula Seminari 4026 del DISMEQ al IV piano dell'edificio U7, il dott. Marco Patacca della Università di Perugia terrà un seminario su "Bitcoin prices and market attention" Abstract In this work we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to historical data from January 1, 2012 to December 31, 2017; two non-overlapping subsamples are also considered. Outcomes confirm our conjecture that market attention has an impact on Bitcoin returns. Specifically, trading volume related measures affect both the mean and the conditional variance of Bitcoin returns while internet searches volume mainly affects the conditional variance of returns. Motivated by these evidences we propose a continuous time model for Bitcoin price, we obtain an approximate formula for the likelihood and we fit the model to historical data (joint work with Gianna Figà-Talamanca). Tutti gli interessati sono invitati a partecipare. -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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PhD position in Bern
by fabio bellini 02 May '18

02 May '18

A message from Johanna Ziegel and Riccardo Gatto: UNIVERSITY OF BERN (INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE) PhD POSITION in STATISTICS Funding is available for a PhD student (3 years) to work on a project in one of the following areas: Statistical forecasting including elicitability and related topics, stochastic simulation, large deviations and related computational techniques. The student will be supervised by Prof. Johanna Ziegel or Prof. Riccardo Gatto depending on the choice of topic. The prospective PhD student should have a solid background in mathematics, mathematical statistics and/or probability theory. The salary will be at the level foreseen by the SNF for PhD students, see http://www.snf.ch/SiteCollectionDocuments/allg_doktorierende_d.pdf. There might be a possibility to complement the salary by taking up teaching and statistical consulting duties. The starting date is 1 September 2018 or by mutual agreement. Applications (cover letter, CV, and transcripts from the studies) giving the name and address (postal and e-mail) of an academic referee should be e-mailed as a single file to Prof. Johanna Ziegel johanna.ziegel(a)stat.unibe.ch and Prof. Riccardo Gatto riccardo.gatto(a)stat.unibe.ch All applications received before 10 June 2018 will be considered. Later applications will be considered until the position is filled. Informal e-mail enquiries are welcome. http://www.imsv.unibe.ch

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Three Days in Quantum Mechanics, Genoa, June 6-8
by Alberto Barchielli 01 May '18

01 May '18

Dear Collegues, We are pleased to announce the workshop "Three Days in Quantum Mechanics", which will take place on June 6-8, 2018 in Genoa - Italy. The workshop will be focused on the the mathematical aspects of Quantum Information and Quantum Incompatibility, with a particular reference to - quantum tomography; - quantum uncertainty relations and information-disturbance tradeoff; - quantum entanglement; - open quantum systems. The purpose of the workshop is to take stock of most recent significant advances and insights on the above topics, and enable the participants to jointly explore future directions and forge new collaborations. You can find some more information and an updated list of speakers at the following link: https://www.ge.infn.it/~toigo/ Looking forward to seeing you in Genoa! With best regards, The Organizing Committee Claudio Carmeli, Paolo Solinas, Alessandro Toigo, Bassano Vacchini, Nino Zanghi'. -- Prof. Alberto Barchielli Politecnico di Milano, Dipartimento di Matematica, Piazza Leonardo da Vinci 32, I-20133 Milano, Italy tel +39 0223994559 fax +39 0223994513 http://www.mate.polimi.it/qp/ http://www.springer.com/978-3-642-01297-6

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Random May 2018