April 2019 - Random - Mailing list — Dipartimento di Matematica, UniPI

Seminario L. Campi - Verona
by Alessandro Gnoatto 18 Apr '19

18 Apr '19

AVVISO di SEMINARIO 24 April 2019 at 14.00 - Polo Santa Marta, Via Cantarane 24, Sala Vaona (Room 1.59) Speaker: Luciano Campi (London School of Economics) Title: Optimal market making under partial information with general intensities Abstract: Starting from the Avellaneda--Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time interval, to maximize her expected utility. The intensities of the orders she receives depend not only on the spreads she quotes, but also on unobservable factors modelled by a hidden Markov chain. We tackle this stochastic control problem under partial information with a model that unifies and generalizes many existing ones, combining several risk metrics and constraints, and using general decreasing intensity functionals. We use stochastic filtering, control and piecewise-deterministic Markov processes theory, to reduce the dimensionality of the problem and characterize the reduced value function as the unique continuous viscosity solution of its dynamic programming equation. We then solve the analogous full information problem and compare the results numerically through a concrete example. We show that the optimal full information spreads are biased when the exact market regime is unknown, and the MM needs to adjust for `regime risk' in terms of liquidity volatility and sensitivity to regime changes. This effect becomes higher the longer the waiting time in between orders. The talk is based on a joint paper with D. Zabaljauregui (LSE). -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

1 0

MAF 2020 - First call for paper - MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE
by Marco Corazza 16 Apr '19

16 Apr '19

First Call for Papers *MAF 2020 - 9th International Conference on MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE* April 15-17, 2020 - Geneve (CH) *https://www.unige.ch/maf2020/ <https://www.unige.ch/maf2020/>* * MAF 2020 promotes interaction between mathematicians and statisticians to provide new results and applications in actuarial sciences and finance. The conference covers a wide variety of subjects in actuarial science and financial fields. It is open to academicians and to professionals, to encourage the cooperation between theoreticians and practitioners. * MAF 2020 will be held at the Université de Genève, in April 15-17, 2020. * We invite submission of original contributions. * Important dates: - Submission of 1-page abstracts: by *November 22nd, 2019*. - Notification of 1-page abstract acceptance: by *December 13th, 2019*. - Organized session proposal: by *October 25, 2019*. - Notification of organized session acceptance: by *November 8, 201*9. - Submission of a short paper* (facultative): by *January 10th, 2020*. - Conference: *April 15-17, 2020*. The accepted short papers, at least 4 pages and at most 6 pages, will be included in a Springer Volume. Apologies for cross-posting. -- *MAF 2020 - April 15-17, 2020* *https://www.unige.ch/maf2020/ <https://www.unige.ch/maf2020/>* -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef -- Nota automatica aggiunta dal sistema di posta.

1 0

4th Carlo Alberto Stochastics Workshop
by Matteo Ruggiero 13 Apr '19

13 Apr '19

Dear all, this is a reminder and update of the schedule of the 4TH CARLO ALBERTO STOCHASTICS WORKSHOP on FUNCTIONAL METHODS IN INFORMATION GEOMETRY ------------------------------- The workshop is organised by the "de Castro" Statistics Initiative in collaboration with Collegio Carlo Alberto. The meeting will take place on April 18-19 2019 at Collegio Carlo Alberto, room 3, Piazza Arbarello 8, 10122 Torino. It will open at 14:00 on April 18 and proceed with the following schedule: 18/04 - 14:30 G. Pistone ("de Castro" Statistics Initiative, Collegio Carlo Alberto): Tutorial - 16:00 G. Savaré (University of Pavia): Entropic optimal transport and Hellinger-Kantorovich distance 19/04 - 10:00 J. Naudts (University of Antwerp): An alternative approach to Quantum Information Geometry - 11:00 Contributed papers and discussion All interested parties are invited to attend. No registration is required. For more information and abstracts, please refer to the following web-pages: www.carloalberto.org/event/4th-carlo-alberto-stochastics-workshop/ <http://www.carloalberto.org/event/4th-carlo-alberto-stochastics-workshop/> www.giannidiorestino.it/ <http://www.giannidiorestino.it/> Best regards Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it <http://www.matteoruggiero.it/>

1 0

Corso Gil-Alaña
by Elvira Di Nardo 12 Apr '19

12 Apr '19

Cari colleghi, nell’ambito del programma di Visiting Professors per la Laurea Magistrale in Stochastics and Data Science dell’Università di Torino https://www.master-sds.unito.it/ siamo lieti di annunciare il seguente corso: ------------------------------------------------ Luis Alberiko Gil Alaña School of Economics and Business Administration University of Navarra, Pamplona, Spain FREQUENCY DOMAIN AND SPECTRAL ANALYSIS. ------------------------------------------------ Il corso è rivolto agli studenti del primo anno della LM in in Stochastics and Data Science ma la partecipazione è aperta a tutti gli interessati. Il corso si terrà nell’aula 12 al terzo piano di Corso Unione Sovietica 218/bis, 10134, Torino, secondo il seguente calendario: 7 Maggio: 11:15-13:15 9 Maggio: 11:15-13:15 10 Maggio: 11:15-13:15 14 Maggio: 11:15-13:15 16 Maggio: 11:15-13:15 17 Maggio: 11:15-13:15 21 Maggio: 11:15-13:15 23 Maggio: 11:15-13:15 Il programma completo di Visiting Professors è consultabile alla pagina https://www.master-sds.unito.it/do/home.pl/View?doc=visitingprofessors.html Questa iniziativa è supportata da Fondazione CRT, Torino e dalla "de Castro" Statistics Initiative del Collegio Carlo Alberto ( www.carloalberto.org/stats) Cordiali saluti, I coordinatori del Corso di Studi Laura Sacerdote e Matteo Ruggiero -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %------------------------------------------------------- <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> Mail priva di virus. www.avg.com <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

1 0

"The Mathematics and Statistics of Wealth and Income Distributions" at AMMCS 2019
by Enrico Scalas 11 Apr '19

11 Apr '19

Dear Colleagues, At AMMCS 2019 in Waterloo, Ontario, Canada, August 18-23, 2019, with Taisei Kaizoji (ICU Tokyo), I am organising a special session on: The Mathematics and Statistics of Wealth and Income Distributions Research on microscopic stochastic models of economic systems and their kinetic, mean-field and hydrodynamic limits have recently gained a lot of momentum. The focus of this special session is to highlight recent advances on stochastic, kinetic and PDE modelling in the area of wealth and income distributions as well as methodologies for model estimates, including Bayesian techniques. The deadline for submission of abstracts is 30 April 2019. Useful links: Conference webpage: http://ammcs.wlu.ca/ Special session webpage: http://ammcs.wlu.ca/special-sessions/mswid/ Deadlines: http://ammcs.wlu.ca/deadlines-payment/ Please, feel free to forward this message to interested persons. Best regards, Enrico Scalas Professor of Statistics and Probability Department of Mathematics University of Sussex, UK

1 0

Assistant/Associate Professor position in Analysis (including Stochastic Analysis) at DCU
by Paolo Guasoni 11 Apr '19

11 Apr '19

Dear Colleague, Dublin City University has an Assistant/Associate Professor (permanent) position in Analysis (including Stochastic Analysis): https://www.dcu.ie/sites/default/files/hr/bc1205_assistant-associate_profes… The closing date for the application is May 6th, 2019. With best regards, Paolo Guasoni -- * *Séanadh Ríomhphoist/Email Disclaimer* *Tá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>* *This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* * -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

1 0

Corso RINOTT
by Matteo Ruggiero 11 Apr '19

11 Apr '19

Cari colleghi, nell’ambito del programma di Visiting Professors per la Laurea Magistrale in Stochastics and Data Science dell’Università di Torino https://www.master-sds.unito.it/ siamo lieti di annunciare il seguente corso: ------------------------------------------------ Yosef Rinott (Hebrew University of Jerusalem, Israel and LUISS, Italy) LEVY PROCESSES ------------------------------------------------ Il corso è rivolto agli studenti del primo anno della LM in in Stochastics and Data Science ma la partecipazione è aperta a tutti gli interessati. Il corso si terrà nell’aula 12 al terzo piano di Corso Unione Sovietica 218/bis, 10134, Torino, secondo il seguente calendario: 2 maggio: 9:15-11:15 7 maggio: 16:00-18:00 8 maggio: 14:00-16:00 10 maggio: 9:15-11:15 14 maggio: 16:00-18:00 15 maggio: 14:00-16:00 17 maggio: 9:15-11:15 21 maggio: 16:00-18:00 Il programma completo di Visiting Professors è consultabile alla pagina https://www.master-sds.unito.it/do/home.pl/View?doc=visitingprofessors.html Questa iniziativa è supportata da Fondazione CRT, Torino e dalla "de Castro" Statistics Initiative del Collegio Carlo Alberto (www.carloalberto.org/stats) Cordiali saluti, I coordinatori del Corso di Studi Laura Sacerdote e Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

1 1

Special session 'Networks, Big Data, and Artificial Intelligence in Economics, Finance, and Social Sciences' AMASES Annual Conference, Perugia September 9-11, 2019
by Fabrizio Lillo 11 Apr '19

11 Apr '19

Dear Colleagues, a special sessions’ stream entitled Networks, Big Data, and Artificial Intelligence in Economics, Finance, and Social Sciences will take place during the AMASES Annual Conference, which will be held in Perugia on September 9-11, 2019 (http://amases2019.unipg.it) The special sessions’ stream focuses on the emerging multidisciplinary study of the interconnections in finance and social science, which brings with it the necessity to deal with the growing amount of data available. A special emphasis is given to latest advances in artificial intelligence and machine learning, which are expected to have disruptive impact in economic, financial, and social data modeling. The stream intends to foster the dialogue between academics, regulators, and practitioners. Theoretical and empirical papers are welcome. Topics include but are not limited to: - contagion in social, economic, and financial networks - network modeling of financial time-series - big data approach to financial, economic, and social modeling - artificial intelligence and machine learning in social, economic, and financial systems It is a great pleasure to invite you to submit an extended abstract. To be considered for the stream, please submit your abstract by specifying in the filename the stream code and the appropriate session, namely - Networks (NBDAI-NW) - Big Data (NBDAI-BD) - Artificial Intelligence (NBDAI-AI) in the file name. For example, for a paper in the Networks session use the file name (NBDAI-NW-[surname of author who will present the paper].pdf). Please refer to the official web page of the conference for further details on the submission. Important dates: May 1, 2019: deadline for abstract submission June 10, 2019: notification of acceptance June 17, 2019: early registration July 1, 2019: late registration For information, please contact: Giacomo Bormetti (giacomo.bormetti(a)unibo.it) Fabrizio Lillo (fabrizio.lillo(a)unibo.it) Michele Tumminello (michele.tumminello(a)unipa.it) We are looking forward to meeting you in Perugia. Best regards Giacomo Bormetti, Fabrizio Lillo, and Michele Tumminello ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

1 0

Seminar Blanka Horvath in Padova (16/04/'19)
by Giorgia Callegaro 11 Apr '19

11 Apr '19

Dear all, I invite you to the seminar "Deep learning volatility", that will be given by Dr. Blanka Horvath (King's College - Londra), next Tuesday at 11.30, in room 2BC30 of the Mathematics Department in Padova. The abstract follows: * Abstract: We present a consistent neural network based calibration method for a number of volatility models-including the rough volatility family-that performs the calibration task within a few milliseconds for the full implied volatility surface. The aim of neural networks in this work is an off-line approximation of complex pricing functions, which are difficult to represent or time-consuming to evaluate by other means. We highlight how this perspective opens new horizons for quantitative modelling: The calibration bottleneck posed by a slow pricing of derivative contracts is lifted. This brings several model families (such as rough volatility models) within the scope of applicability in industry practice. As customary for machine learning, the form in which information from available data is extracted and stored is crucial for network performance. With this in mind we discuss how our approach addresses the usual challenges of machine learning solutions in a financial context (availability of training data, interpretability of results for regulators, control over generalisation errors). We present specific architectures for price approximation and calibration and optimize these with respect different objectives regarding accuracy, speed and robustness. We also find that including the intermediate step of learning pricing functions of (classical or rough) models before calibration significantly improves network performance compared to direct calibration to data. The talk is based on joint work with A. Muguruza an M. Tomas, available here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3322085 See you there (if interested!), Giorgia -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

1 0

Seminario a Roma 1
by Faggionato, Alessandra 11 Apr '19

11 Apr '19

Luned' 15 Aprile avremo il seguente seminario in Aula di Consiglio (Dipartimento di Matematica, La Sapienza, Roma), alle ore 16.00: Speaker: Marco Romito (Universita' di Pisa). Title: Fluctuations for point vortices Abstract: The first part of the presentation is a short review of a statistical mechanics model of point vortices for the 2D Euler equations and their mean field limit. In the second part we outline a proof of Gaussian fluctuations from the mean field limit. The result holds on the torus, on the sphere and on bounded domains. This is a work in collaboration with Francesco Grotto (Scuola Normale Superiore, Pisa). saluti alessandra ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

1 0