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Save the date: OWABI - Jeremias Knoblauch - Nov 28
by Massimiliano Tamborrino 14 Nov '24

14 Nov '24

Dear all, the next One World Approximate Bayesian Inference (OWABI) Seminar<https://warwick.ac.uk/fac/sci/statistics/news/upcoming-seminars/abcworldsem…> is scheduled on Thursday, November 28 at 11am. Our next OWABI speaker is Jeremias Knoblauch<https://jeremiasknoblauch.github.io/> (UCL), who will talk about "Post-Bayesian machine learning ", with the following Abstract: In this talk, I provide my perspective on the machine learning community’s efforts to develop inference procedures with Bayesian characteristics that go beyond Bayes’ Rule as an epistemological principle. I will explain why these efforts are needed, as well as the forms which they take. Focusing on some of my own contributions to the field, I will trace out some of the community’s most important milestones, as well as the challenges that lie ahead. Throughout, I will provide success stories of the field, and emphasise the new opportunities that open themselves up to us once we dare to go beyond orthodox Bayesian procedures. Keywords: Generalised Bayes; robustness; Bayesian machine learning. The talk will be streamed on MS Teams: Join the meeting now<https://teams.microsoft.com/l/meetup-join/19%3adhZ_4e_XLNJzCXPAMzTvT6BZ5KSh…> Meeting ID: 310 294 300 441 Passcode: Pmgfnq In case you missed the 1st OWABI talk by Ullriche Köthe, you can find his slides and recorded talk on the OWABI webpage<https://warwick.ac.uk/oneworldabc>. We are looking forward to seeing you all, best, Massimiliano on the behalf of the OWABI Organisers ------ Dr. Massimiliano Tamborrino Reader (Associate Professor) and WIHEA Fellow Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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SPASS Seminar: João Pedro Mangi
by Gianmarco Bet 12 Nov '24

12 Nov '24

Dear Colleagues, We would like to invite you to the following SPASS seminar, jointly organized by UniPi, SNS, UniFi and UniSi: *Exclusion Processes with non-reversible boundary: Hydrodynamics and Large Deviations* by *João Pedro Mangi* (*IMPA*) The seminar will take place on TUE, 19.11.2024 at *11:00 CET* in Aula Tricerri, Dipartimento di Matematica e Informatica "Ulisse Dini", Università degli Studi di Firenze, and streamed online at this link <https://meet.google.com/gji-phwo-vbg>. The organizers, A. Agazzi, G. Bet, A. Caraceni, F. Grotto, G. Zanco https://sites.google.com/unipi.it/spass -------------------------------------------- *Abstract: We consider a family of exclusion processes defined on the discrete interval with weak boundary interaction that allows the creation and annihilation of particles on a neighborhood of radius L of the boundary under very general rates. We prove that the hydrodynamic equation is the heat equation with non-linear Robin boundary conditions. We present a particular choice of boundary rates for which we have multiple stationary solutions but for which it still holds the uniqueness of the solution of its hydrodynamic equation. We also prove the associated dynamical large deviations principle. Joint work with Claudio Landim and Beatriz Salvador.*

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Women in Mathematical Finance @Pavia
by Giacomo Bormetti 11 Nov '24

11 Nov '24

Dear Colleagues, It is a pleasure to announce the cycle "Women in Mathematical Finance" co-organized with Daria Ghilli from the Department of Economics and Management, University of Pavia, and Gabriele Cedrani, alumnus of the Collegio Ghislieri. The venue is Collegio Ghislieri, Aula Goldoniana, Piazza Ghislieri 5, Pavia. Wednesday, November 27, 2024, 6:00 - 8:00 PM CET Prof. GIULIA LIVIERI (London School of Economics) An Overview on Mean Field Games and Applications Wednesday, February 19, 2025, 6:00 - 8:00 PM CET Prof. SARA SVALUTO-FERRO (Università di Verona) Signatures in Finance: Life, Death, and Miracles Thursday, March 13, 2025, 6:00 - 8:00 PM CET Prof. GIULIA IORI (Università Ca' Foscari Venezia) Networks and Agent-Based Modelling in Finance Monday, March 17, 2025, 6:00 - 8:00 PM CET Prof. BEATRICE ACCIAIO (ETH Zurich) Beyond Models: Exploring Model-Independent Finance via Optimal Transport Monday, March 31, 2025, 6:00 - 8:00 PM CET Prof. GIORGIA CALLEGARO (Università di Padova) Stochastic control and recent applications to cybersecurity: A quick guided tour On the same days, the speakers will give a talk at the Department of Economics and Management, Via San Felice al Monastero, 5 Pavia. Giulia Livieri will give the first seminar. Wednesday, November 27, 2024, 1:30 - 2:30 PM CET, Sala del Consiglio Prof. Giulia Livieri, London School of Economics A Mean Field Game approach for pollution regulation of competitive firms Abstract: We develop a model based on mean-field games of competitive firms producing similar goods according to a standard AK model with a depreciation rate of capital generating pollution as a byproduct. Our analysis focuses on the widely-used cap-and-trade pollution regulation. Under this regulation, firms have the flexibility to respond by implementing pollution abatement, reducing output, and participating in emission trading, while a regulator dynamically allocates emission allowances to each firm. The resulting mean-field game is of linear quadratic type and equivalent to a mean-field type control problem, i.e., it is a potential game. We find explicit solutions to this problem through the solutions to differential equations of Riccati type. Further, we investigate the carbon emission equilibrium price that satisfies the market clearing condition and find a specific form of FBSDE of McKean-Vlasov type with common noise. The solution to this equation provides an approximate equilibrium price. Additionally, we demonstrate that the degree of competition is vital in determining the economic consequences of pollution regulation. Joint work with G. Del Sarto and M. Leocata. We look forward to meeting you in Pavia. Kind Regards, Giacomo Bormetti Giacomo Bormetti Department of Economics and Management, University of Pavia

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Introduction to Monte Carlo Simulation in Finance
by Enea Bongiorno 11 Nov '24

11 Nov '24

ricevo ed inoltro. Enea ***************************************************** Carissimi segnalo il corso Introduction to Monte Carlo Simulation in Finance (7th edition) tenuto dal prof. Ioannis Kyriakou (Bayes Business School, City, University of London) c/o DISEI - UPO - Novara Il corso in inglese della durata di 16 h. si terrà nelle seguenti giornate (sia in presenza sia in remoto) Tuesday 19th of November, h. 11.00-13.00 and 14.00-16.00 Wednesday 20th of November, h. 09.00-13.00 Thursday 21th of November, h. 09.00-13.00 Friday 22nd of November, h. 09.00-13.00 Per informazioni su iscrizione e costi (tariffa agevolata per studenti, soci SIS e UMI) è possibile scrivere a: manfin(a)uniupo.it. Un caro saluto Gianluca Fusai ***************************************************** -- Enea G. Bongiorno, Università degli Studi del Piemonte Orientale - Amedeo Avogadro Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno(a)uniupo.it upobook.uniupo.it/enea.bongiorno ------ IWFOS 2025 6th International Workshop on Functional and Operatorial Statistics - iwfos2025.uniupo.it <https://iwfos2025.uniupo.it/home> Math-Stat Seminars at UPO seminari-ms.uniupo.it/home-page ------

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Fwd: Announcement of Workshop on Disordered Media, Budapest, January 27-31, 2025
by Faggionato, Alessandra 11 Nov '24

11 Nov '24

Buongiorno ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Balint Toth <balint(a)renyi.hu> Date: Mon, 11 Nov 2024 at 13:03 Subject: Announcement of Workshop on Disordered Media, Budapest, January 27-31, 2025 Dear Friends and Colleagues, It is our pleasure to inform you about the following upcoming event to be held at the Rényi Institute/Erdős Center <https://erdoscenter.renyi.hu/>, in Budapest: * Workshop on Disordered Media January 27-31, 2025* The list of invited speakers (and more information) is available at the webpage of the workshop: https://erdoscenter.renyi.hu/events/workshop-disordered-media The goal of the workshop is to bring together probabilists working on subjects related to statistical physical phenomena in random and disordered media. The workshop will be held at the Rényi Institute, Budapest, Hungary. It is part of the Semester on Probability and Statistical Physics (January-June 2025) <https://erdoscenter.renyi.hu/articles/probability-and-statistical-physics-2…> hosted by Erdős Center. *Registration is now open, with deadline: 20 December 20**24**.* Registrations will be accepted up to the capacity of the lecture hall (~ 80, including the invited speakers). In order to register you are asked to send an email to probstatphys25(a)renyi.hu, with the subject "Workshop on Disordered media registration" and containing your name and affiliation. There is no registration fee. Information about accommodation in Budapest (list of hotels near the venue) available at the web page. [Note: The workshop is a follow-up of the winter school with the same title <https://erdoscenter.renyi.hu/events/school-disordered-media> held on the previous week, 20-24 Jan 2025, meant for PhD students and early career researchers.] With our best wishes, Ágnes Backhausz, Gábor Pete, Balázs Ráth and Bálint Tóth (the organisers) -- ************************************************* Prof. Alessandra Faggionato https://www1.mat.uniroma1.it/people/faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 123, first floor *************************************************

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Seminar MAGGIS
by Stefano Pagliarani 11 Nov '24

11 Nov '24

Dear all, On November 19th, in the classroom Aula 1, Department of Physics of the University of Bologna, at Via Berti Pichat 6-6/2, the following seminar will take place: * 14:00-15:00: Marco MAGGIS "CONSISTENCY ISSUES IN STATE-DEPENDENT PREFERENCES" as part of the cycle Stochastics and Applications. The abstract is available at https://www.dm.unibo.it/seminari/mat/serials/36 For any question, please contact the organizer: Stefano Pagliarani (stefano.pagliarani9(a)unibo.it) ------------------------------------------------------------------------------------------------------------------------ Stefano Pagliarani, Associate Professor Piazza di Porta S. Donato, 5 University of Bologna (Alma Mater) 40126 Bologna (BO), Italy Department of Mathematics Cell. Phone +39 366 5013755 Email: stepagliara1(a)gmail.com<mailto:stepagliara1@gmail.com>, <mailto:stefano.pagliarani9@unibo.it> stefano.pagliarani9(a)unibo.it<mailto:stefano.pagliarani9@unibo.it> Zoom: https://unibo.zoom.us/j/3755841669 -----------------------------------------------------------------------------------------------------------------------

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Seminario CLIMATH 20 Novembre
by Marta Leocata 09 Nov '24

09 Nov '24

Cari colleghi, Il gruppo UMI-Climath è lieto di invitarvi a una serie di seminari, in presenza e online, dedicati ai recenti avanzamenti teorici nello studio dei modelli matematici della variabilità climatica e dei modelli che includono gli impatti socio-economici associati. Maggiori dettagli sono disponibili sul sito del gruppo Climath: https://sites.google.com/view/gruppo-umi-climath/seminari-ed-attività-del-g… <https://sites.google.com/view/gruppo-umi-climath/seminari-ed-attivit%C3%A0-…> Il Prossimo seminario si terrà in data Mercoledì 20 novembre 2024, alle ore 14:30, presso l’Aula 1101 (D’Antoni), Dipartimento di Matematica, Tor Vergata, Roma, oppure online tramite Teams (richiesta registrazione al link: https://forms.gle/kuPKvHqLDP4RTLj4A) Ecco il programma: 14:30 - Valerio Lucarini (University of Leicester) Titolo: Detecting and Attributing Change in Climate and Complex Systems: Foundations, Green's Functions, and Nonlinear Fingerprints Abstract: Detection and attribution (D&A) studies are cornerstones of climate science, providing crucial evidence for policy decisions. Their goal is to link observed climate change patterns to anthropogenic and natural drivers via the optimal fingerprinting method (OFM). We show that response theory for nonequilibrium systems offers the physical and dynamical basis for OFM, including the concept of causality used for attribution. Our framework clarifies the method's assumptions, advantages, and potential weaknesses. We use our theory to perform D&A for prototypical climate change experiments performed on an energy balance model and on a low-resolution coupled climate model. We also explain the underpinnings of degenerate fingerprinting, which offers early warning indicators for tipping points. Finally, we extend the OFM to the nonlinear response regime. Our analysis shows that OFM has broad applicability across diverse stochastic systems influenced by time-dependent forcings, with potential relevance to ecosystems, quantitative social sciences, and finance, among others. 15:20 - Discussione 15:30 - Gianmarco Del Sarto (Technische Universität Darmstadt) Titolo: Some Perspective on Climate Change through Energy Balance Models Abstract: In this seminar, I will present how Energy Balance Models (EBMs) can be used to explore climate change dynamics. The first part focuses on ongoing research that investigates a fast-slow system where solar radiation acts as the fast component, while a zero-dimensional EBM describes the slow component. This model exhibits mathematical parallels with the seminal stochastic EBM inspired by Hasselmann's proposal, and we explore these similarities in terms of deterministic limits, fluctuations, and large deviations. In the second part, if time allows, I will discuss a completed research project that extends the analysis of 1D EBMs by introducing local instability effects and additive white noise. The model captures the super-greenhouse effect, a tropical feedback mechanism, and incorporates fast weather fluctuations as white noise. By studying the long-term behaviour of the model's invariant measure, we investigate the link between increased greenhouse gas concentrations and extreme weather events. 16:20 - Discussione 16:3 - Tavola Rotonda moderata da Piermarco Cannarsa Speriamo di vedervi numerosi, sia in presenza che online! Saluti, Marta Leocata (a nome del gruppo Climath)

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Seminar by Joanna Michalak, Dr.
by monte＠uniroma2.it 09 Nov '24

09 Nov '24

Dear all, Dr. Joanna Michalak (Nicolaus Copernicus University in Torun, Poland) will give a seminar entitled "Integrated Approach to Sentiment Analysis: Optimizing Short Text Analysis Efficiency in the Context of Economics and Finance" on November 14th at 09:30 am in Room 5 at Macro Teaching Hub Engineering Area., Via del Politecnico, 1, University of Roma "Tor Vergata", Roma. The seminar can also be followed online by sending an email to roberto.monte(a)uniroma2.eu Abstract: Big social data (BSD) is widely used in the social sciences, particularly in economics and finance, where it is valued both for its explanatory insights and its predictive power. Predictive analyses leveraging BSD often focus on modeling the relationship between social media activity and stock market movements. The quality of these analyses relies on two main dimensions: (1) models that capture short-term dynamics and account for observed time-series properties, and (2) sentiment analysis methods that are specifically adapted to the unique vocabulary of finance and economics. This presentation addresses these two dimensions. In the first part, we explore a case study of Apple Inc., comparing the effectiveness of VAR, GARCH, and LSTM models for describing short-term interdependencies between social media sentiment and stock market behavior. The second part of the presentation focuses on the performance of various sentiment analysis methods selected to construct sentiment-based indices. This section aims to compare the efficiency and accuracy of different sentiment analysis methods when applied to short text data. The study emphasizes optimization of analysis efficiency by evaluating widely used datasets, such as Senti140. Several research questions guide this investigation: 1. Which sentiment analysis method is most effective in terms of accuracy and processing speed in financial data analysis? 2. Do advanced methods, such as deep learning models (e.g., BERT), outperform traditional lexicon-based techniques and classical machine learning algorithms? 3. What are the differences in sentiment analysis accuracy between general datasets like Senti140 and finance-specific datasets such as FinBERT? The issue of optimizing text data analysis methods remains an open aspect of this research. The ultimate objective of this study is to construct a dataset or lexicon specifically designed and recommended for financial data analysis.

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YMCN Spring School: Recent Advances in SPDEs
by Lucio Galeati 08 Nov '24

08 Nov '24

Cari tutti, Segnalo con piacere l'annuncio della seguente Spring School su SPDEs che si terrà a Münster a Marzo 2025; sotto tutti i dettagli. Saluti, Lucio -------------------------------------------------------------------------------------------------------- Dear Colleagues, We are currently organizing the YMCN Spring School: Recent Advances in SPDEs (24–28 March 2025, Münster, Germany). The Spring School aims to bring together young researchers from the fields of Probability Theory and Partial Differential Equations (PDEs), particularly those with interests in statistical physics, quantum field theory (QFT), singular SPDEs and dispersive (S)PDEs. It will feature four mini-courses and several talks by leading mathematicians in these areas, highlighting recent breakthroughs. The poster is linked to https://www.uni-muenster.de/imperia/md/content/MathematicsMuenster/ymcn_spr… , and the details and the application platform can be found on the website: https://www.uni-muenster.de/MathematicsMuenster/de/events/2025/ymcn_spring-… . Limited funding will be available for PHD students, and we are looking forward to seeing you in Münster! Thank you and best regards, Fabian, Sarah and Xiaohao

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Call for applications - PhD in Statistics & Computer Science @Bocconi
by Antonio Lijoi 06 Nov '24

06 Nov '24

*********************** PhD in Statistics and Computer Science - a.y. 2025-2026 Call for applications for PhD student positions *********************** The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 27,000 euros (year 1) 23,000 euros per annum (years 2, 3 and 4) Further funding may be available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd for detailed information and for starting the online application process. ** Applications are due by February 3, 2024 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The program is structured into two curricula: Statistics (4 scholarships) and Computer Science (3 scholarships). Students may apply to either one of the two curricula or to both. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold, or be on their way to hold, a graduate degree or equivalent. A PhD Day (online) will take place on November 22, at 3pm CET. Interested students may visit https://www.unibocconi.it/en/events/phd-day-2024 and sign up for participation to the presentations of both the Bocconi PhD School (3pm) and the PhD program in Statistics and Computer Science (3:45pm). For further information, visit www.unibocconi.eu/phdstatscompscience and feel free to contact: Antonio Lijoi (antonio.lijoi(a)unibocconi.it) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it)

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