Random June 2022

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Probability Seminar in Sapienza - Amine Asselah - 7th of June
by Lorenzo Taggi 03 Jun '22

03 Jun '22

*Tuesday 7th of June, 14:00, Sapienza Università di Roma,** Dipartimento di Matematica, **Sala di Consiglio.* *Speaker:* Amine Asselah (Paris-Est Créteil) *Title:* Visiting a ball for critical branching random walks in d=4 and d>4 *Abstract:* We study a critical branching random walk (BRW) on the Euclidean lattice. We focus on the tail of the time spent in a ball, in particular on the special features of the critical dimension four. We focus on the tail of the number of walks transported by the BRW on the boundary of a distant ball, and on the BRWs localized in a ball.

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SPDEvent
by Lorenzo Zambotti 02 Jun '22

02 Jun '22

---------------------------------------------- Dear colleagues, We are happy to announce the establishment of the SpdePostdocDocEvent (SPDEvent) that will be held in presence at the University of Bielefeld, Germany, September 7-9, 2022. The SPDEvent will provide a platform to young researchers working on stochastic partial differential equations and broadly related fields, allowing them to network, exchange ideas, present their own research and initiate collaborations. The event is meant exclusively for Phd students and Postdocs. All details are provided on the conference web page https://www.uni-bielefeld.de/fakultaeten/mathematik/ag/hofmanova/conference… Limited travel and hotel funding is available and will be allocated on a "first come first serve" basis. We explicitly encourage female researchers to apply. We would appreciate if you would forward this message to anybody who might be interested in attending and are looking forward to welcoming you in Bielefeld, The organizers, Florian Bechtold Stefanie Berkemeier Theresa Lange -- Lorenzo Zambotti Postal Address: Sorbonne Universite', LPSM - Boite courrier 158 4, place Jussieu - 75252 Paris cedex 05, France Bureau n. 22, 2eme etage, tours 16/26, Jussieu E-mail: lorenzo.zambotti(a)upmc.fr https://www.lpsm.paris/users/zambotti/

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Seminar in Padova by Prof. Umut Cetin (in presence and online)
by Giorgia Callegaro 01 Jun '22

01 Jun '22

Dear all, you're invited to the next seminar in Probability and Finance that will take place next Monday, at 4 pm, in hybrid mode. All the details follow: * Speaker: Prof. Umut Cetin (LSE) * Date and time: Monday 6th June 2022, 4pm * Room (Torre Archimede): 1BC45 * Zoom link: please find it here https://www.math.unipd.it/~bianchi/seminari/ * Title: POWER LAWS IN MARKET MICROSTRUCTURE * Abstract: We develop an equilibrium model for market impact of trades when investors with private signals execute via a trading desk. Fat tails in the signal distribution lead to a power law for price impact, while the impact is logarithmic for lighter tails. Moreover, the tail distribution of the equilibrium trade volume obeys a power law. The spread decreases with the degree of noise trading and increases with the number of insiders. In case of a monopolistic insider, the last slice traded against the limit order book is priced at the fundamental value of the asset reminiscent of Kyle (1985). However, competition among insiders leads to aggressive trading, hence vanishing profit in the limit. The model also predicts that the order book flattens as the amount of noise trading increases converging to a model with proportional transactions costs with non-vanishing spread. See you soon, Giorgia -- Giorgia Callegaro Associate 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

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