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Scalable Uncertainty Mangement 2024 (November 27-29, Palermo):
by Giuseppe Sanfilippo 06 Jun '24

06 Jun '24

Our apologies if you receive multiple copies of this mail. =================================== Conference announcement + key dates =================================== The 16th International Conference on Scalable Uncertainty Management (SUM 2024) will be held in Palermo, Italy from November 27-29, 2024. See: https://sum2024.unipa.it/ Key dates (CET 23:59): Abstract Submission (optional but useful to organizers): June 17, 2024 Paper Submission: June 24, 2024 Notification: August 31, 2024 Camera-ready copies: September 15, 2024 Conference: Nov. 27-29, 2024 ============= Description ============= Established in 2007, the SUM conferences are currently bi-annual events which aim to gather researchers with a common interest in managing and analyzing imperfect information from a wide range of fields, such as Artificial Intelligence and Machine Learning, Databases, Information Retrieval and Data Mining, the Semantic Web and Risk Analysis, and with the aim of fostering collaboration and cross-fertilization of ideas from the different communities. An originality of the SUM conferences is their care for dedicating a large space of their program to tutorials covering a wide range of topics related to uncertainty management. Each tutorial provides a survey of one of the research areas in the scope of the conference. ===================== Topics of Interest ===================== We solicit papers on the management of large amounts of complex kinds of uncertain, incomplete, or inconsistent information. We are particularly interested in papers that focus on bridging gaps, for instance between different communities, between numerical and symbolic approaches, or between theory and practice. Topics of interest include (but are not limited to): Imperfect information in databases - Methods for modeling, indexing, and querying uncertain databases - Top-k queries, skyline query processing, and ranking - Approximate, fuzzy query processing - Uncertainty in data integration and exchange - Uncertainty and imprecision in geographic information systems - Probabilistic databases and possibilistic databases? - Data provenance and trust - Data summarization - Very large datasets Imperfect information in information retrieval and semantic web applications - Approximate schema and ontology matching - Uncertainty in description logics and logic programming - Learning to rank, personalization, and user preferences - Probabilistic language models - Combining vector-space models with symbolic representations - Inductive reasoning for the semantic web Imperfect information in artificial intelligence - Statistical relational learning, graphical models, probabilistic inference Argumentation, defeasible reasoning, belief revision - Weighted logics for managing uncertainty - Reasoning with imprecise probability, Dempster-Shafer theory, possibility theory - Approximate reasoning, similarity-based reasoning, analogical reasoning - Planning under uncertainty, reasoning about actions, spatial and temporal reasoning - Incomplete preference specifications - Learning from data Risk analysis - Aleatory vs. epistemic uncertainty - Uncertainty elicitation methods - Uncertainty propagation methods - Decision analysis methods - Tools for synthesizing results ======================== Submission Guidelines ======================== SUM 2024 solicits original papers in the following three categories: - Long papers (at most 14 pages, references excluded): technical papers reporting original research or survey papers - Short papers (between 4 and 7 pages, references excluded): papers reporting promising work-in-progress, system descriptions, position papers on controversial issues, or survey papers providing a synthesis of some current research trends - Extended abstracts (2 pages) of recently published work in a relevant journal or top-tier conference All SUM submissions must be formatted according to the LNCS/LNAI guidelines:https://www.springer.com/gp/computer-science/lncs/conference-pro… Papers should be submitted via EasyChair: https://easychair.org/conferences/?conf=sum2024 ============= Publication ============= Accepted long (at most 14 pages) and short papers (2-7 pages) will be published by Springer in the Lecture Notes in Artificial Intelligence (LNAI) series. Authors of an accepted long or short paper will be expected to sign copyright release forms, and one author is expected to give a presentation at the conference. Authors of accepted abstracts (2 pages) will be expected to present their work during the conference, but the extended abstracts will not be published in the LNCS/LNAI proceedings (they will be made available in a separate booklet). ========================================================================================= Organization ========================================================================================= Sébastien Destercke (Université de technologie de Compiègne), PC Co Chair Maria Vanina Martinez (IIIA-CSIC), PC Co Chair Giuseppe Sanfilippo, (University of Palermo), General/Local Chair

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Bando Scuola di Dottorato in Scienze Sociali ed Economiche
by Roy Cerqueti 06 Jun '24

06 Jun '24

Buongiorno, si segnala la pubblicazione del bando di accesso alla Scuola di Dottorato in oggetto. Un curriculum si rivolge a data science per le scienze sociali, e credo possa essere di interesse. I candidati che volessero selezionare quel curriculum dovrebbero selezionare il curriculum 4. Maggiori informazioni si possono reperire qui. https://phd.uniroma1.it/web/SCUOLA-DI-DOTTORATO-IN-SCIENZE-SOCIALI-ED-ECONO… Il bando si trova a https://www.uniroma1.it/it/pagina/ammissione-ai-corsi-di-dottorato. *La scadenza per la presentazione delle domande è fissata inderogabilmente al 20 giugno 2024, ore 23:59.* Cari saluti, Roy Cerqueti -- *Fai crescere le giovani ricercatrici e i giovani ricercatori*** *con il 5 per mille alla Sapienza* Scrivi il codice fiscale dell'Università *80209930587 **Cinque per mille <https://www.uniroma1.it/it/node/23149>*

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Seminario Dr. Andrea Brancaccio, CNR-IMATI, 13/06/2024
by ANTONELLA BODINI 05 Jun '24

05 Jun '24

Si avvisa che in data 13-06-2024, alle ore 11:00 precise presso l'Area della Ricerca 1 del CNR, in sala A, il Dr. Andrea Brancaccio, CNR-IMATI, terrà un seminario dal titolo Adaptive Assessment of Knowledge and Planning Using Knowledge Space Theory Sunto: Adaptive individual assessment utilizes algorithms that adjust to each individual's ability based on their responses. This presentation will provide a comprehensive overview of the development and implementation of adaptive assessments using Knowledge Space Theory. It will also explore the theoretical foundations underlying this approach, highlighting its benefits and applications in educational and performance-based contexts. In these settings, this approach develops tools that minimize the number of questions asked while maximizing the information gathered about an individual's knowledge, competencies, abilities, and performance. Gli interessati possono partecipare in presenza o da remoto, attraverso il link sotto riportato. Per ragioni organizzative, gli interessati a partecipare in presenza sono pregati di rispondere a questa mail indicando la loro intenzione entro la mattina stessa del seminario. LINK: https://teams.microsoft.com/l/meetup-join/19%3ameeting_MmVjOGI4MTUtNDdiNi00… Cordialmente, Antonella Bodini

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Ph.D Course Introduction to stochastic partial differential equations, live stream
by Bertini, Lorenzo 05 Jun '24

05 Jun '24

The lectures by Sandra Cerrai of the course Introduction to stochastic partial differential equations will be available on line at the address https://umd.zoom.us/j/7371883183 the whiteboard will be available at https://scribbletogether.com/whiteboard/0CC42CD2-2EE2-4DB3-A135-A1AACED1A43D The first lecture will be today June 5 at 14:00 Lorenzo Bertini Dipartimento di Matematica Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 P.le A. Moro 5, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it Italy Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Seminar: Mark Steel @Ca' Foscari 13th June
by Roberto CASARIN 05 Jun '24

05 Jun '24

Dear all, We are happy to announce that our next seminar in statistics and econometrics at DEC, Ca' Foscari University, is quickly approaching: Speaker: Mark Steel (University of Warwick) Title: "Model Uncertainty in Latent Gaussian Models with Univariate Link Function (joint work with Gregor Zens)" Date and time: Thursday the 13th June, 12.15 GMT+2 Place: Meeting Room1, San Giobbe Campus, Department of Economics (DEC), Venice Abstract: We consider a class of latent Gaussian models with a univariate link function (ULLGMs). These are based on standard likelihood specifications (such as Poisson, Binomial, Bernoulli, Erlang, etc.) but incorporate a latent normal linear regression framework on a transformation of a key scalar parameter. We allow for model uncertainty regarding the covariates included in the regression. The ULLGM class typically accommodates extra dispersion in the data and has clear advantages for deriving theoretical properties and designing computational procedures. We formally characterize posterior existence under a convenient and popular improper prior and propose an efficient Markov chain Monte Carlo algorithm for Bayesian model averaging in ULLGMs. Simulation results suggest that the framework provides accurate results that are robust to some degree of misspecification. The methodology is successfully applied to measles vaccination coverage data from Ethiopia and to bilateral migration flow data between OECD countries. The talk will be streamed on Zoom at this link https://unive.zoom.us/s/89974935587 Meeting ID: 89974935587 Passcode: SteelJun24 For updates: https://www.unive.it/data/agenda/3/89253 We are looking forward to seeing you on June 13, best, rc -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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Seminari Yuliya Mishura
by epirozzi 04 Jun '24

04 Jun '24

AVVISO di SEMINARI Dipartimento di Matematica e Applicazioni "R. Caccioppoli" Università degli Studi di Napoli Federico II La Prof.ssa Yuliya Mishura, Department of Probability, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Kyiv (Ukraine), i giorni 6 e 19 giugno 2024 terrà i seguenti seminari: Seminario 1 6 Giugno 2024 ore 11:30, aula G del Dipartimento di Matematica e Applicazioni R. Caccioppoli "Pathwise integration with respect to fractional Brownian motion" Abstract: We consider the main elements of the fractional calculus: fractional integrals and fractional derivatives, construct pathwise integrals with respect to Holder functions and apply this construction to fractional Brownian motion and other fractional processes. Microsoft Teams link: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… Seminario 2 19 Giugno 2024 ore 11:00, aula G del Dipartimento di Matematica e Applicazioni R. Caccioppoli "Entropy and alternative entropy functionals of fractional Gaussian noise" Abstract: we introduce the notion of Shannon entropy in application to fractional Gaussian noise and present its properties with respect to Hurst index. Alternative entropy functionals are constructed and studied. The prediction problem for fractional Gaussian noise is considered. Microsoft Teams link: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… Tutti gli interessati sono cordialmente invitati a partecipare. Luigia Caputo, Enrica Pirozzi e Roberta Schiattarella --------------------------------------------------------------------------------------

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Seminario Martin Kolodziejczyk - Politecnico di Milano - 5 Giugno 2024
by Luca Scarpa 04 Jun '24

04 Jun '24

Si segnala il seguente seminario a tutti gli interessati. Giovedì 5 Giugno 2024, ore 15. Aula Seminari - III Piano, Dipartimento di Matematica, Politecnico di Milano. Speaker: Martin Kolodziejczyk, Politecnico di Milano Title: McKean-Vlasov SPDEs Abstract: We consider McKean-Vlasov Stochastic Partial Differential Equations with additive noise. We will focus on their well-posedness and long-time behaviour; showing that, under some assumptions on the spatial regularity of the noise, these SPDEs are well-posed and the semigroup resulting from them is strong Feller and irreducible. This is based on joint work with L. Angeli, J. Barrè and M. Ottobre. Link Zoom: https://polimi-it.zoom.us/j/92358057734?pwd=dTNBNHZMQVFZVjgrQ0FJMXpOc3BEdz09 Link Seminario Polimi: https://www.mate.polimi.it/eventi/?id=2440 ----- Prof. Luca Scarpa, PhD Associate Professor in Probability Department of Mathematics Politecnico di Milano Via E. Bonardi 9 20133 Milano, Italy e.mail: luca.scarpa(a)polimi.it<mailto:luca.scarpa@polimi.it> url: https://sites.google.com/view/lucascarpa

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Assegno Mat06: Geometria dei campi aleatori ed applicazioni
by Domenico Marinucci 04 Jun '24

04 Jun '24

Dear colleagues, We are glad to announce a postdoc position (assegno di ricerca) at the Department of Mathematics of Università Rome Tor Vergata. The position is funded by the PRIN project GRAFIA (Geometry of Random Fields and its Applications) and by MUR Departement of Excellence Programme 2023-2027 MatModTov. The primary objective of the project is the study of random fields with a particular interest in their application to the area of neural networks and machine learning. - The position is for 2 years - The net salary is about 2,000 euros per month - The deadline for application is on July 1st - The starting date should be no later than september 2024 All the details can be found at the following link: https://pica.cineca.it/uniroma2/f3-2024-0012/ For any further question do not hesitate to contact me, best regards Domenico Marinucci -- @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata https://sites.google.com/view/domenicomarinucci @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

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Ph.D. position in Statistics at TU/e
by Elisa Perrone 03 Jun '24

03 Jun '24

Dear colleagues, I currently have a vacancy for a Ph.D. position in Statistics at TU/e on topic Dependence Modeling and Copulas. I would appreciate it if you could help me circulate the announcement and forward it to suitable candidates. Here is the link to the job description: https://jobs.tue.nl/en/vacancy/phd-in-statistics-1066918.html <https://jobs.tue.nl/en/vacancy/phd-in-statistics-1066918.html>. We review applications as they arrive, and the vacancy will remain open until filled. Thank you very much, and best wishes, Elisa --- Elisa Perrone, Ph.D. Assistant Professor Department of Mathematics and Computer Science Eindhoven University of Technology elisaperrone.info <http://elisaperrone.info/>

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PostDoc @ UNIBO
by Daniele Tantari 03 Jun '24

03 Jun '24

Dear colleagues, a new opening for an 18-month postdoc is now available at the University of Bologna. The research activity will focus on the project 𝐑𝐞𝐥𝐢𝐚𝐛𝐢𝐥𝐢𝐭𝐲 𝐚𝐧𝐝 𝐀𝐧𝐨𝐦𝐚𝐥𝐲 𝐃𝐞𝐭𝐞𝐜𝐭𝐢𝐨𝐧 𝐨𝐧 𝐫𝐚𝐧𝐝𝐨𝐦 𝐧𝐞𝐭𝐰𝐨𝐫𝐤𝐬 with a focus on the introduction of probabilistic mathematical models for static and dynamic complex networks, and on the development of statistical inference methods for network reliability and for anomaly detection at both local and global scale. The (researcher side) gross amount of the fellowship contract is € 23.063,83 per annum (around 1.7 KEur per month). The deadline for applications on 𝐒𝐮𝐧𝐝𝐚𝐲, 𝐉𝐮𝐧𝐞 𝟑𝟎, 𝟐𝟎𝟐𝟒. The candidate will join the Mathematical Physics group<https://matematica.unibo.it/it/ricerca/ambiti-di-ricerca/fisica-matematica> <https://matematica.unibo.it/it/ricerca/ambiti-di-ricerca/fisica-matematica> at the Department of Mathematics, with the possibility of other collaborations in different topics. Further information about the call can be found at https://bandi.unibo.it/ricerca/assegni-ricerca...<https://bandi.unibo.it/ricerca/assegni-ricerca?id_bando=68030&fbclid=IwZXh0…> Interested candidates can also contact Dott.ssa Federica Gerace (federica.gerace(a)unibo.it) Prof. Gabriele Sicuro (gabriele.sicuro(a)unibo.it) Prof. Daniele Tantari (daniele.tantari(a)unibo.it) ----------------------------------- Daniele Tantari Dipartimento di Matematica Università di Bologna ITALY University website: https://www.unibo.it/sitoweb/daniele.tantari/

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Seminario Dr Alvaro Briz Redon presso Politecnico di Milano
by Laura Maria Sangalli 03 Jun '24

03 Jun '24

Si avvisa che in data 12-06-2024, alle ore 14:00 precise nell’aula Saleri, al sesto piano del Dipartimento di Matematica del Politecnico di Milano, si svolgerà il seguente seminario Dr Alvaro Briz Redon, Universitat de València Titolo: Some extensions and applications of self-exciting processes Abstract: Self-exciting processes allow modeling the occurrence of events whose rate depends on the history of the process. In particular, the triggering function is the term that determines the contribution of each event to the conditional intensity of the process. In this talk, we show some applications of self-exciting processes where the triggering function has a main role. First, a self-exciting point process model with change points in the triggering function is used for analyzing an earthquake dataset. Second, a self-exciting Poisson model whose outcomes are used for clustering NBA players and teams in terms of their scoring dynamics. Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente link https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=2… Tutti gli interessati sono cordialmente invitati a partecipare. Un caro saluto, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> https://sangalli.faculty.polimi.it

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correction to Ph.D Course Introduction to stochastic partial differential equations
by Bertini, Lorenzo 03 Jun '24

03 Jun '24

Dear all, the dates of the schedule in the previous message are correct, but the days of the week of the lectures are Tuesday/Thursday and not Tuesday/Wednesday as incorrectly stated. I apologize for the incovenience. Lorenzo Bertini Dipartimento di Matematica Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 P.le A. Moro 5, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it Italy Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Seminario PRISMA oggi
by Francesco Caravenna 03 Jun '24

03 Jun '24

Seminari on-line del gruppo UMI - PRISMA (http://www.umi-prisma.polito.it/ <http://www.umi-prisma.polito.it/>) Ricordiamo che oggi, lunedì 3 giugno 2024, Alessandro De Gregorio (Sapienza Università di Roma) e Stefano Iacus (Harvard University) parleranno di Stimatori regolarizzati per equazioni differenziali stocastiche osservate a tempi discreti con il seguente orario: 16:00 Primo seminario 16:30 Pausa e discussione 16:45 Secondo seminario 17:15 Conclusione e discussione Trovate di seguito il riassunto. I seminari verranno trasmessi via Zoom al seguente link: https://uniroma1.zoom.us/j/82939128330 <https://uniroma1.zoom.us/j/82939128330> Meeting ID: 829 3912 8330 Vi aspettiamo numerosi, Valentina Cammarota e Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%%%% RELATORI: Alessandro De Gregorio (Sapienza Università di Roma) e Stefano Iacus (Harvard University) TITOLO: Stimatori regolarizzati per equazioni differenziali stocastiche osservate a tempi discreti RIASSUNTO: Gli stimatori regolarizzati, cioè quegli stimatori che presentano dei termini di penalizzazione nella funzione di perdita, rappresentano uno strumento fondamentale nell'ambito della moderna teoria dell'apprendimento statistico. In questo seminario discuteremo problemi di stima parametrica penalizzata per equazioni differenziali stocastiche osservate a tempi discreti. Tale tema di ricerca è di recente interesse nell'ambito della statistica per processi stocastici. Nella prima parte del seminario, dopo una breve panoramica sulle tecniche di stima per equazioni differenziali stocastiche, introdurremo i modelli stocastici sparsi; ovvero si ipotizza che solo un piccolo numero di parametri determini il "vero" modello. In questo contesto è cruciale considerare degli stimatori regolarizzati che consentano di effettuare la stima e contemporaneamente la selezione del processo di diffusione. In particolare, saranno introdotti gli stimatori LASSO ed Elastic-Net e verranno discusse le loro proprietà asintotiche. La seconda parte dell'intervento sarà dedicata alle equazioni differenziali stocastiche su reti, in cui ciascun nodo della rete è un un'equazione stocastica che dipende dai nodi vicini. Questi modelli vengono introdotti poiché consentono di analizzare serie storiche ad altissima dimensione, sfruttando la struttura sparsa del grafo. Anche in questo contesto saranno introdotti e studiati stimatori penalizzati per la stima dei parametri del modello. Inoltre, la performance degli stimatori mediante sarà analizzate tramite alcune applicazioni. %%%%%%%%%%%%%%%%%%%%%%%%%%%% I seminari PRISMA hanno un formato di "colloquium" per creare un'occasione di scambio e discussione con tutta la comunità dei probabilisti e statistici italiani. Ogni giornata comprende due relatori che tengono due seminari di 30 minuti strettamente connessi, per presentare alla comunità una prospettiva sul proprio ambito di ricerca. Da quest'anno le registrazioni dei seminari vengono pubblicate sul canale YouTube dell'UMI: https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb <https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb> %%%%%%%%%%%%%%%%%%%%%%%%%%%%

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Assistan Professor in Sao Paulo, Brasile
by Daniela Bertacchi 03 Jun '24

03 Jun '24

Segnalo questo annuncio per una posizione alla USP di Sao Paulo, con preghiera di diffusione. %%%% Job Opportunity at USP, one of the largest and most influential universities in Latin America. The Department of Statistics at IME-USP is seeking to fill a position for Assistant Professor. Candidates are required to hold a doctoral degree. Announcement: ATAc - 020/2024 Application Deadline: July 5, 2024 Salary: R$ 12.539.89 per month (Brazilian real, as of May 2023) Fields of Expertise: Data Science, Statistics, and Probability The applicant must specify her field of expertise during the application process. Please note that at the request of the applicant, exams can be conducted in English during the application process. For more information, please visit: https://www.ime.usp.br/concursos/ https://drive.google.com/.../1bO37hEyjF99k-SXhtPYKC.../view Or contact: Prof. Fábio Prates Machado Email: fmachado(a)ime.usp.br %%%%%%

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International Conference in Venice - CALL FOR PAPERS - Deadline June 10, 2024
by Monica Billio 01 Jun '24

01 Jun '24

23nd INTERNATIONAL CONFERENCE CREDIT 2024 *The frontiers of new risks: AI, digital and sustainability transitions * Venice, Italy 3 – 4 October 2024 * * *GRETA Associati* (Venice, Italy),*CRIF* (Bologna, Italy), *European Datawarehouse *(Frankfurt am Main, Germany), *European Investment Fund* (Luxembourg), *Intesa Sanpaolo* (Milan, Italy) and *Modefinance* (Trieste, Italy) are partners in organising a Conference to be held in Venice on October 3-4, 2024. * * The CREDIT 2024 conference will bring together academics, practitioners and PhD students working in various areas of financial and socio-economic risk with the aim of creating a unique opportunity for participants to discuss research progress and policy as well as industry-relevant insights and directions for future research. CREDIT 2024 is the *twenty-third* in a series of events dedicated to various aspects of credit risk and organised under the auspices of: the *Department of Economics *and*VERA - Venice centre in Economic and Risk Analytics for public policies* - of the *Ca’ Foscari University of Venice*,*Joint Research Center European Commission*, *ABI - Italian Banking Association*, *AIAF - Associazione Italiana per l'Analisi Finanziaria*, *AIFIRM - Associazione Italiana Financial Industry Risk Managers*. Sustainability necessarily involves the adaptation of today’s business model to the dynamic nature of the current digitalised environments. Corporations need to make sure that resources, especially technology, are being used responsibly and efficiently to improve the lives of the present generations and future generations as well as strengthen their relationships with the environment as to solve sustainability-related problems such as poverty, environmental degradation, pollution and inequality. Artificial Intelligence (AI) has the potential to address these societal problems including sustainability. The climate crisis and the degradation of the physical environment are complex problems that require the most innovative and advanced solutions. The real value of AI hence lies in its ability to facilitate and foster environmental and social governance, rather just as a tool to reduce pollution, poverty and resource depletion. In the age of AI, societies depend on big data, social media, knowledge management and data science to survive and achieve these sustainability goals. AI has the potential to reshape not only finance and industry but also the whole society. There is need to understand opportunities and challenges as to properly manage all relevant risks. The organisers encourage submissions on any topic within the overall theme of the conference, with attention to *the use of AI to assess the sustainability impact of finance *(i.e. exploiting AI techniques or Big Data to bridge primary information gaps and proxy the sustainability impact) and *on how climate and digital risks may interact* (i.e. climate denial, social media and social media strategies including deepfakes). The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Patrick Bolton *(Imperial College London), and *Roberto Rigobon* (MIT Sloan School of Management). The Conference will also include panel discussions on the major issues at stake with the views of researchers', practitioners' and policy makers. The SCIENTIFIC COMMITTEE for the Conference consists of: *Marcin Kacperczyk *(Imperial College London, Programme Chair) *Monica Billio* (Ca’ Foscari University of Venice & GRETA) *Marie Brière* (AMUNDI & Université Libre de Bruxelles) *Lucia Alessi* (Joint Research Center, European Commission) *Leonardo Gambacorta *(Bank For International Settlements) *Mila Getmansky* (Isenberg School of Management, UMass Amherst) *Christian Gollier* (Toulouse School of Economics) *Helmut Kraemer-Eis *(European Investment Fund) *Jan Pieter Krahnen *(Leibniz Institute for Financial Research SAFE & Goethe University) *Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School & CEPR) *Roberto Rigobon *(MIT Sloan School of Management) *Stephen Schaefer* (London Business School) *Marti Subrahmanyam *(NYU Stern Business School) CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *June 10, 2024 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by July 10, 2024. The final version of accepted papers must be received by August 31, 2024. Please send papers to: GRETA Associati, Dorsoduro 3707 - 30123 Venice, ITALY Phone : +39 349 060 3656 - e-mail: credit(a)greta.it More detailed information on the Conference website: https://www.greta.it/index.php/it/credit-2024

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Call for 4th PhD in Economics at University of Milan and Pavia
by Luca Rossini 01 Jun '24

01 Jun '24

Dear all, The Call for FOUR-YEAR Ph.D. Programme in Economics at the Universities of Milan and Pavia the 2024/25 academic year is out (in Italian) at https://www.unimi.it/en/education/postgraduate-and-continuing-education-pro… An update call in English is available at https://www.phdeconomics.unimi.it/appliation/how-to-apply-1.html The deadline is 27 June. We offer a FULLY FUNDED, FOUR YEAR FULL TIME programme. If you are interested in doing some Bayesian time series econometrics and forecasting, feel free to apply. Please circulate this among your contacts, and to any student that you think may be a good perspective candidate. Best regards Luca -- -- Prof. Luca Rossini Associate Professor in Statistics, Department of Economics, Management and Quantitative Methods University of Milan (Statale), Italy email: luca.rossini87(a)gmail.com; luca.rossini(a)unimi.it skype: luca.rossini14 web: https://rossiniluca.github.io/web/

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Seminario Padova - Francesca Primavera
by alekos.cecchin＠unipd.it 01 Jun '24

01 Jun '24

Buongiorno a tutti, Vorremmo segnalarvi che venerdì prossimo (7 Giugno) alle ore 14:15 in aula 2AB45 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Francesca Primavera (Università di Vienna) https://quarimafi.univie.ac.at/about-us/francesca-primavera/ Title: Functional Itô formula and Taylor expansion for non-anticipative maps of rough paths Date: June 7, 2024, at 14:15, 2AB45 Abstract: We rely on the approximation properties of the signature of càdlàg rough paths to derive a functional Itô formula for non-anticipative maps of rough paths. This leads to a functional extension of the Itô formula for càdlàg rough paths (by Friz and Zhang (2018)) which coincides with the change of variable formula formulated by Dupire (2009) as well as by Cont and Fournie (2010), whenever the notions of the regularity of the functionals and the integration coincide. As a byproduct, we show that sufficiently regular non-anticipative path functionals admit a functional Taylor expansion, leading to a far reaching generalization of the recently established results by Dupire and Tissot-Daguette (2022). The talk is based on ongoing joint work with Christa Cuchiero and Xin Guo. Vi aspettiamo numerosi! Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/

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Fully funded PhD-TA position in Algorithms for Complex Networks at TU/e
by Riccardo Michielan 31 May '24

31 May '24

(mi scuso per il cross-posting) Segnalo questa ottima opportunità di dottorato ad Eindhoven (TU/e) per 5 anni con Nelly Litvak. Scadenza tra poche settimane. ================ ================ ================ *Fully funded PhD-TA position in Algorithms for Complex Networks at Eindhoven University of Technology, Netherlands.* Deadline: June 16, 2024 As a PhD TA candidate you will develop new distributed algorithms for large networks and analyze these algorithms using probability theory and the theory of random graphs. In particular, you will study algorithms for computing the stationary distribution of random walks and policy evaluation. Random walks are used in network analysis for ranking vertices, community detection, and embedding of the vertices in multi-dimensional space for machine learning tasks. Policy evaluation is widely used in reinforcement learning, for instance, for training large language models. The PhD TA position is for 5 years with 25% of your time spent on education. The applicants are required to have MSc in mathematics or applied mathematics. Eindhoven University of Technology offers excellent conditions of employment: - Full-time employment for five years, with an intermediate evaluation (go/no-go) after nine months. You will spend 25% of your employment on teaching tasks. - Salary and benefits (such as a pension scheme, paid pregnancy and maternity leave, partially paid parental leave) in accordance with the *Collective Labour Agreement* for Dutch Universities, scale P (min. €2,770 max. €3,539). - A year-end bonus of 8.3% and annual vacation pay of 8%. - High-quality training programs and other support to grow into a self-aware, autonomous scientific researcher. At TU/e we challenge you to take charge of your own learning process. - An excellent technical infrastructure, on-campus children's day care and sports facilities. - An allowance for commuting, working from home and internet costs. - A Staff Immigration Team and a tax compensation scheme (the 30% facility) for international candidates. See more detail on the website: https://jobs.tue.nl/en/vacancy/phd-ta-on-algorithms-for-complex-networks-10… <https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fjobs.tue.…> Prof.dr. Nelly Litvak Department of Mathematics and Computer Science Eindhoven University of Technology

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Ph.D Course Introduction to stochastic partial differential equations
by Bertini, Lorenzo 31 May '24

31 May '24

During June 2024, Sandra Cerrai (University of Maryland) will offer the Ph.D. Course "Introduction to stochastic partial differential equations" Location. Aula B, Dipartimento di Matematica, University La Sapienza Schedule Tue. 4, June. 14-16 Wed 6 June, 10-12 Tue. 18, June. 14-16 Wed 20 June, 10-12 Tue. 25 June. 14-16 Wed 27 June, 10-12 Lorenzo Bertini Dipartimento di Matematica Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 P.le A. Moro 5, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it Italy Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Procedura selettiva 2024RTT04_RISERVATO - SC 13D1 - Università di Padova
by Alessandra Fabbri Colabich 31 May '24

31 May '24

Si informa che è stato pubblicato il bando *2024RTT04_RISERVATO * relativo all'indizione di una procedura selettiva per l’assunzione di n. 3 ricercatori a tempo determinato in tenure-track (RTT) ai sensi dell’art. 24 della legge 240/2010 come modificato dalla L. 79/2022 , di cui uno nel SC 13D1, SSD SECS-S/01 SECS-S/02 presso il Dipartimento di Scienze Statistiche. Info al link: https://www.unipd.it/procedura-2024RTT04_RISERVATO *Scadenza: 27 giugno 2024 ore 13* Si prega di dare la massima diffusione presso tutti gli interessati. Grazie per la collaborazione Alessandra Fabbri Colabich -- Dott.ssa Alessandra Fabbri Colabich Università degli Studi di Padova Dipartimento di Scienze Statistiche

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Ricercatore Tenure Track, dip. Matematica UNIMI
by Marco Maggis 31 May '24

31 May '24

Sulla Gazzetta Ufficiale – IV serie speciale – Concorsi ed Esami n. 41 del 21/05/2024 è stato pubblicato l’avviso d'indizione di selezioni pubbliche, per titoli e discussione pubblica, per la copertura di un posto di ricercatore a tempo determinato in tenure track (*RTT*), mediante stipula di contratto di lavoro subordinato della durata di 6 anni, ai sensi dell’art. 24 della Legge 30 dicembre 2010 n. 240 come modificato dall’art.14 comma 6-decies del decreto legge 30 aprile 2022, n. 36 convertito con modificazioni, dalla Legge 29 giugno 2022, n. 79, per lo svolgimento di attività di ricerca e di didattica, di didattica integrativa e di servizio agli studenti, *presso il Dipartimento di Matematica dell’Università degli Studi di Milano; Settore Concorsuale 13/D4, SSD SECS-S/06* (nuova denominazione GSD:13/STAT-04 SSD: STAT-04/A)*.* La procedura di compilazione ed invio della domanda di partecipazione alle suddette selezioni pubbliche è interamente ed esclusivamente telematica e prevede l’utilizzazione dell’applicazione informatica SICON. Il testo integrale del bando, con allegato il facsimile della domanda e con l’indicazione dei requisiti e delle modalità di partecipazione alle sopracitate selezioni pubbliche, è disponibile alla pagina Web https://www.unimi.it/it/node/581/ scegliendo il codice della procedura (5552) attraverso il motore di ricerca a inizio pagina, oppure usando il LINK <https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele…> diretto. Il termine ultimo per la presentazione delle domande è fissato *per le ore 12:00 del 21 giugno 2024.* Marco Frittelli Marco Maggis

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Post-doctoral position @Scuola Normale Superiore.
by Giulia Livieri 30 May '24

30 May '24

*Post-doctoral research position: *"Mathematical modeling for the study of climate change and its impact on the financial systems". The position is financed by the following research project: "Qnt4Green - Quantitative Approaches for Green Bond Market: Risk Assessment, Agency Problems and Policy Incentives (PRIN 2022)". *Link of the call with all the details: * https://trasparenza.sns.it/moduli/downloadFile.php?file=oggetto_allegati/24… *Job duration:* 12 months. *Teaching:* none. *Remuneration:* 25,000 Eur per year. Interested candidates can contact me or Dr. Roberto Pellungrini (roberto. pellungrini(a)sns.it) for questions/clarifications. Best wishes, Giulia

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Seminario Richard Samworth - Politecnico di Milano
by Laura Maria Sangalli 29 May '24

29 May '24

Si avvisa che in data 31-05-2024, alle ore 14:30 precise al Politecnico di Milano, in aula B.51 (edificio 14), si svolgerà il seguente seminario Prof. Richard Samworth, Cambridge Titolo: Isotonic subgroup selection and its role in clinical trials Abstract: Given a sample of covariate-response pairs, we consider the subgroup selection problem of identifying a subset of the covariate domain where the regression function exceeds a pre-determined threshold. This is particularly relevant in clinical trials and other applications in the life sciences, for instance where we might want to determine a subgroup that would benefit from a vaccine or treatment. We introduce a computationally-feasible approach for subgroup selection in the context of multivariate isotonic regression based on martingale tests and multiple testing procedures for logically-structured hypotheses. Our proposed procedure satisfies a non-asymptotic, uniform Type I error rate guarantee with power that attains the minimax optimal rate up to poly-logarithmic factors. Extensions cover classification, isotonic quantile regression and heterogeneous treatment effect settings. Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente link https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=2… Questa iniziativa è parte delle Ph.D. Lectures finanziate dal Dipartimento di Eccellenza, 2023-2027, Dipartimento di Milano, Politecnico di Milano. Cordialmente, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> https://sangalli.faculty.polimi.it

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SPASS Seminars: Sara Svaluto Ferro and Elisa Marini
by Andrea Agazzi 29 May '24

29 May '24

Dear Colleagues, We would like to invite you to the following (double) SPASS seminar, jointly organized by UniPi, SNS, UniFi and UniSi (abstracts below): *Signature-based models: theory and calibration * by *Sara Svaluto Ferro* (Università di Verona) *Noise-induced oscillations for the mean-field dissipative contact process* by* Elisa Marini* (Università degli Studi di Padova) The seminars will take place on *TUE, 4.6.2024* respectively at *14:00 CET *in Aula Seminari, Dipartimento di Matematica, UNIPI *and 15:00 CET* in Aula Tricerri, Dipartimento di Matematica e Informatica "Ulisse Dini", UNIFI and both 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 <https://www.google.com/url?q=https://sites.google.com/unipi.it/spass&source…> -------------------------------------------- *Signature-based models: theory and calibration * *Abstract: Universal classes of dynamic processes based on neural networks and signature methods have recently entered the area of stochastic modeling and Mathematical Finance. This has opened the door to robust and more data-driven model selection mechanisms, while first principles like no arbitrage still apply.In the first part of the talk we focus on signature SDEs whose characteristics are linear functions of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional tractable stochastic process. The framework is universal in the sense that classical models can be approximated arbitrarily well and that the model characteristics can be learned from all sources of available data by simple methods. Indeed, we derive formulas for the expected signature in terms of the expected signature of the primary underlying process.In the second part we focus on a stochastic volatility model where the dynamics of the volatility are described by linear functions of the (time extended) signature of a primary process. Under the additional assumption that this primary process is of polynomial type, we obtain closed form expressions for the squared VIX by exploiting the fact that the truncated signature of a polynomial process is again a polynomial process. Adding to such a primary process the Brownian motion driving the stock price, allows then to express both the log-price and the squared VIX as linear functions of the signature of the corresponding augmented process. For both SPX and VIX options we obtain highly accurate calibration results.The talk is based on joint works with Christa Cuchiero, Guido Gazzani, and Janka Möller.* *Noise-induced oscillations for the mean-field dissipative contact process* *Abstract: In this talk, we will introduce a dissipative version of the contact process with mean-field interaction admitting a simple epidemiological interpretation. In particular, we will focus on the thermodynamic limit of the process, providing a law of large numbers (propagation of chaos) and a central limit theorem for the corresponding normal fluctuations.These results reveal that it is the noise, which is only present in the finite-size system and is internal to the system, that induces persistent oscillatory behaviors reminiscent of the emergence of pandemic waves in real epidemics.*

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Seminar Riccardo Passeggeri @ Unimib
by Federico Camerlenghi 28 May '24

28 May '24

Dear all, we are glad to announce the next DEMS seminar: *Friday, 7th June 2024* *Time 12.00*, Seminar room 2104, Department of Economics, Management and Statistics (DEMS) Building U7, second floor, University of Milano - Bicocca The speaker is Riccardo Passeggeri from Imperial College London. *Title*: *Random signed measures* *Abstract*: In this talk I present the theory of random signed measures and its applications to Bayesian nonparametric statistics and to sparse random graphs. In particular, I provide a necessary and sufficient condition for the extension of random signed measures, which solves a 70-year-old open problem dating back to the works of Alfred Renyi. This allows us to obtain a canonical definition of a random signed measure. Further, I present a representation of completely random signed measures (CRSMs), which extends the celebrated Kingman's representation for completely random measures (CRMs) to the real-valued case. I will also discuss some examples including the Skellam point process, which we show to be equivalent to a simple signed point process with independent increments, and the Gaussian random measure. Best wishes, Federico Camerlenghi

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Seminari MAD-la MAtematica dei DAti - Pisa
by Marco Romito 27 May '24

27 May '24

Carə tuttə, Siamo lieti di annunciare il seguente ciclo di incontri presso il Dipartimento di Matematica dell'Università di Pisa, organizzato nell'ambito del progetto speciale per la didattica /MAD - La Matematica dei Dati!/ *Martedì 28 maggio 2024, dalle ore _10:00_* Presso: Aula Magna *Francesco Preta (freelance AI researcher and consultant)* /"Basics of Natural Language Processing and Applications of Large Language Models"/ La presentazione sarà seguita da un tutorial con esempi di implementazione. *Martedì 4 giugno 2024, dalle ore 9:00* Presso: Aula Seminari *Juliette Achddou (Università degli Studi di Milano)* /"Introduction to Online learning: the multi-armed bandit problem"/ *Luca Papariello (BIP – Business Integration Partners S.p.A.)* /"Data-Driven Decision Making: Case Studies and Insights"/ *Daniele Malpetti (IDSIA)* /"Centralized and federated machine learning in biomedicine"/ / / Qui di seguito il link al sito con tutte le informazioni aggiornate:https://sites.google.com/unipi.it/mad/home/prossimi-eventi <https://sites.google.com/unipi.it/mad/home/prossimi-eventi>. Tutte le persone interessate sono invitate a partecipare. A presto, Andrea Agazzi Mario Correddu Aikaterini Papagiannouli Marco Romito ------------------------------------------------------------------------ Dear all, We are pleased to announce the following series of talks, that wil take place at the Math Department of the University of Pisa, organized as part of the MAD project - /The Mathematics of Data!/ *Tuesday, May 28, 2024, at_ 10:00_ AM *Location: Aula Magna *Francesco Preta (freelance AI researcher and consultant)* /"Basics of Natural Language Processing and Applications of Large Language Models"/ The presentation will be followed by a tutorial with implementation examples. *Tuesday, June 4, 2024, from 9:00 AM* Location: Aula Seminari *Juliette Achddou (Università degli Studi di Milano)* /"Introduction to Online learning: the multi-armed bandit problem"/ *Luca Papariello (BIP – Business Integration Partners S.p.A.)* /"Data-Driven Decision Making: Case Studies and Insights"/ *Daniele Malpetti (IDSIA)* /"Centralized and federated machine learning in biomedicine"/ / / The site of the project with all the updated information: https://sites.google.com/unipi.it/mad/home/prossimi-eventi <https://sites.google.com/unipi.it/mad/home/prossimi-eventi>. Anyone interested is welcome to join. Best regards, Andrea Agazzi Mario Correddu Aikaterini Papagiannouli Marco Romito

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COPA 2024 @ Polimi | Tutorial Speakers Announced
by Simone Vantini 27 May '24

27 May '24

Dear all, We are pleased to announce the speakers for the tutorials at this year’s Symposium on Conformal and Probabilistic Prediction with Applications (COPA 2024) that will be held in Milan, Italy, at the Politecnico di Milano from the 9th to the 11th of September 2024. COPA is the annual event dedicated to the theory, methodology, and application of conformal and probabilistic prediction. It brings together researchers and practitioners from around the globe. COPA 2024 promises to be a hub of cutting-edge research, insightful discussions, and networking opportunities. Tutorial #1: Conformal Prediction in Python with crepes What to Expect: Discover the capabilities of crepes, a Python package that transforms standard classifiers and regressors into well-calibrated tools with reliable p-values and prediction sets. Prof. Henrik Boström will guide you through the core algorithms and demonstrate practical applications of conformal classifiers, regressors, and predictive systems using crepes. Tutorial Speaker: Prof. Henrik Boström from KTH Royal Institute of Technology, Stockholm, Sweden, is a leading expert in machine learning algorithms. With a focus on conformal prediction, ensemble learning, and explainable machine learning, Henrik has significantly contributed to various industries, including pharmaceuticals, healthcare, automotive, and insurance. His editorial and conference roles further underscore his influence in the field. Tutorial #2: MAPIE - Uncertainty Quantification Made Easy What to Expect: Explore MAPIE, a versatile Python library that simplifies the implementation of conformal prediction methods. Dr. Thibault Cordier will show you how MAPIE, part of the scikit-learn-contrib project, can handle tasks from classification and regression to more complex applications like multi-label classification and semantic segmentation, ensuring probabilistic guarantees on key metrics. Tutorial Speaker: Dr. Thibault Cordier from Lab Invent of Capgemini Invent, France, is a Data and Research Scientist leading the MAPIE project. With a PhD in Computer Science, his research focuses on distribution-free inference and conformal prediction, applied across computer vision, natural language processing, and time series analysis. For more details and to register, please visit the COPA 2024 Website at https://copa-conference.com/. Early bird registration fees are available until May 30, 2024. We look forward to seeing you in Milan! Kind regards, Simone Vantini Associate Professor of Statistics MOX Laboratory for Modeling and Scientific Computing Department of Mathematics, Politecnico di Milano simone.vantini(a)polimi.it<mailto:simone.vantini@polimi.it> Matteo Fontana Lecturer in Data Science Department of Computer Science School of Engineering, Physical and Mathematical Sciences, Royal Holloway, University of London matteo.fontana(a)rhul.ac.uk<mailto:matteo.fontana@rhul.ac.uk>

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Seminario PRISMA lun 3 giu 2024
by Francesco Caravenna 27 May '24

27 May '24

Seminari on-line del gruppo UMI - PRISMA (http://www.umi-prisma.polito.it/ <http://www.umi-prisma.polito.it/>) I seminari PRISMA hanno un formato di "colloquium" per creare un'occasione di scambio e discussione con tutta la comunità dei probabilisti e statistici italiani. Ogni giornata comprende due relatori che tengono due seminari di 30 minuti strettamente connessi, per presentare alla comunità una prospettiva sul proprio ambito di ricerca. Da quest'anno le registrazioni dei seminari vengono pubblicate sul canale YouTube dell'UMI: https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb <https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb> Il prossimo appuntamento è per lunedì 3 giugno 2024. I relatori saranno Alessandro De Gregorio (Sapienza Università di Roma) e Stefano Iacus (Harvard University) che parleranno di Stimatori regolarizzati per equazioni differenziali stocastiche osservate a tempi discreti con il seguente orario: 16:00 Primo seminario 16:30 Pausa e discussione 16:45 Secondo seminario 17:15 Conclusione e discussione Trovate di seguito il riassunto. I seminari verranno trasmessi via Zoom al seguente link: https://uniroma1.zoom.us/j/82939128330 <https://uniroma1.zoom.us/j/82939128330> Meeting ID: 829 3912 8330 Vi aspettiamo numerosi! Valentina Cammarota e Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%%%% RELATORI: Alessandro De Gregorio (Sapienza Università di Roma) e Stefano Iacus (Harvard University) TITOLO: Stimatori regolarizzati per equazioni differenziali stocastiche osservate a tempi discreti RIASSUNTO: Gli stimatori regolarizzati, cioè quegli stimatori che presentano dei termini di penalizzazione nella funzione di perdita, rappresentano uno strumento fondamentale nell'ambito della moderna teoria dell'apprendimento statistico. In questo seminario discuteremo problemi di stima parametrica penalizzata per equazioni differenziali stocastiche osservate a tempi discreti. Tale tema di ricerca è di recente interesse nell'ambito della statistica per processi stocastici. Nella prima parte del seminario, dopo una breve panoramica sulle tecniche di stima per equazioni differenziali stocastiche, introdurremo i modelli stocastici sparsi; ovvero si ipotizza che solo un piccolo numero di parametri determini il "vero" modello. In questo contesto è cruciale considerare degli stimatori regolarizzati che consentano di effettuare la stima e contemporaneamente la selezione del processo di diffusione. In particolare, saranno introdotti gli stimatori LASSO ed Elastic-Net e verranno discusse le loro proprietà asintotiche. La seconda parte dell'intervento sarà dedicata alle equazioni differenziali stocastiche su reti, in cui ciascun nodo della rete è un un'equazione stocastica che dipende dai nodi vicini. Questi modelli vengono introdotti poiché consentono di analizzare serie storiche ad altissima dimensione, sfruttando la struttura sparsa del grafo. Anche in questo contesto saranno introdotti e studiati stimatori penalizzati per la stima dei parametri del modello. Inoltre, la performance degli stimatori mediante sarà analizzate tramite alcune applicazioni. %%%%%%%%%%%%%%%%%%%%%%%%%%%%

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Fwd: Deadline extended for ESOBE 2024
by Roberto CASARIN 27 May '24

27 May '24

fyi ---------- Forwarded message --------- Da: Sune Karlsson <Sune.Karlsson(a)oru.se> Date: lun 27 mag 2024 alle ore 14:27 Subject: Deadline extended for ESOBE 2024 To: <ECONOMETRIC-RESEARCH(a)jiscmail.ac.uk> The deadline for submitting papers to ESOBE 2024 (European Seminar on Bayesian Econometrics) has been extended to June 9, 2024. Submit a paper or an extended abstract by sending an e-mail to ESOBE2024(a)oru.se We welcome submissions from all fields of applied Bayesian econometrics (macro, micro and financial), as well as papers on statistical methodology, machine learning and computing. The conference will feature both plenary and poster sessions. The conference will take place on August 22-24 at Örebro University. Please see the conference website https://www.oru.se/esobe2024 for additional information. --- Sune Karlsson Professor of Statistics Handelshögskolan/Örebro University School of Business Phone: +46 19 301257 https://www.oru.se/hh/sune_karlsson https://econpapers.repec.org/RAS/pka1.htm E-mailing Örebro University will result in the university processing your personal data, for more information on how this is done, see https://www.oru.se/english/about-us/processing-of-personal-data-at-orebro-u…. E-mail correspondence with Örebro University may be classified as official and public documents and are handled according to archive regulations. ######################################################################## To unsubscribe from the ECONOMETRIC-RESEARCH list, click the following link: https://www.jiscmail.ac.uk/cgi-bin/WA-JISC.exe?SUBED1=ECONOMETRIC-RESEARCH&… This message was issued to members of www.jiscmail.ac.uk/ECONOMETRIC-RESEARCH, a mailing list hosted by www.jiscmail.ac.uk, terms & conditions are available at https://www.jiscmail.ac.uk/policyandsecurity/ -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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Fwd: [owps] Reminder next OWPS
by Faggionato, Alessandra 27 May '24

27 May '24

Buongiorno ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: One World Probability <ow.probability(a)gmail.com> Date: Mon, 27 May 2024 at 08:40 Subject: [owps] Reminder next OWPS To: <owps(a)lists.bath.ac.uk> This is a gentle reminder that the next OWPS will be *today* from *15:00* to *17:00* *CEST *time. There will be two talks on the topic of exploration driven analysis of random graphs. The talks will touch upon general techniques and specific applications of these techniques. Title, abstract and the zoom link are below the signature and can be found on the website https://www.owprobability.org/one-world-probability-seminar <https://protect-eu.mimecast.com/s/-zGkCWqjZFlpkVlsnEyR_?domain=eur01.safeli…> . ----------------------- Talk 1 :* Mariana Olvera-Cravioto, University of North Carolina at Chapel Hill* Local limits and preferential attachment graphs This talk is meant to provide an overview of local weak convergence techniques for a large class of directed random graphs, including static models such as the Erdos-Renyi, Chung-Lu, stochastic block model, and configuration models, as well as dynamic models such as the collapsed branching process and the directed preferential attachment graph. We explain how local limits can be used to study important structural graph properties, including centrality measures such as the PageRank distribution. We further use the insights obtained from our analysis of centrality measures to explain how static models and evolving models differ in how large degree vertices are distributed within the graph and how they shape their neighborhoods. In particular, we show that the empirically accepted “power-law hypothesis” on scale-free graphs, which states that the PageRank distribution follows a power-law with the same tail index as the in-degree distribution, holds in most static models but not in the dynamic models we study. This is joint work with: Sayan Banerjee and Prabhanka Deka. Talk 2 : Sayan Banerjee, *University of North Carolina at Chapel Hill* Exploration-driven networks We propose and investigate a class of random networks where incoming vertices locally explore the graph before attaching to an existing vertex. Specific instances of these networks correspond to uniform attachment, linear preferential attachment and attachment with probability proportional to vertex PageRanks. We obtain local weak limits for such networks and use them to derive asymptotics for the limiting empirical degree and PageRank distribution. We also quantify asymptotics for the degree and PageRank of fixed vertices, including the root, and the height of the network. Two distinct regimes are seen to emerge, based on the expected exploration distance of incoming vertices, which we call the ‘fringe’ and ‘non-fringe’ regimes. These regimes are shown to exhibit different qualitative and quantitative properties. In particular, networks in the non-fringe regime undergo ‘condensation’ where the root degree grows at the same rate as the network size. Networks in the fringe regime do not exhibit condensation. Interesting phase transition phenomena are exhibited for the height of the tree and the limiting PageRank distribution. The latter connects to the well-known power-law hypothesis and the proposed class of models `interpolate’ between the PageRank behavior of static and dynamic graphs discussed in Mariana’s talk. Based on joint works with Mariana Olvera-Cravioto, Shankar Bhamidi and Xiangying (Zoe) Huang. Zoom-link: https://zoom.us/j/3766827761 Meeting ID: 376 682 7761 Passcode: sPNKq1 -- ************************************************* 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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talk Prof. Domenico Marinucci on May 27 - DIMA - UNIGE
by Ernesto De Vito 24 May '24

24 May '24

Dear all, this is a kind reminder of the following seminar Speaker : Domenico Marinucci (https://sites.google.com/view/domenicomarinucci/home) Affiliation: Dipartimento di Matematica - Università Roma Tor Vergata Title: Spectral complexity of deep neural networks Date: Monday, May 27, 2024 at 11.30 Place: Aula 704 (7th floor) , Dipartimento di Matematica at University of Genova, Via Dodencaneso 35, Teams link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_NTEyMmU4MWEtZjIwOC00… Abstract: It is well-known that randomly initialized, push-forward, fully-connected neural networks weakly converge to isotropic Gaussian processes, in the limit where the width of all layers goes to infinity. In this paper, we propose to use the angular power spectrum of the limiting fields to characterize the complexity of the network architecture. In particular, we define sequences of random variables associated with the angular power spectrum, and provide a full characterization of the network complexity in terms of the asymptotic distribution of these sequences as the depth diverges. On this basis, we classify neural networks as low-disorder, sparse, or high-disorder; we show how this classification highlights a number of distinct features for standard activation functions, and in particular, sparsity properties of ReLU networks. Our theoretical results are also validated by numerical simulations. Joint work with Simmaco Di Lillo, Michele Salvi e Stefano Vigogna Best wishes, Ernesto --------------------- Ernesto De Vito DIMA - Dipartimento di Matematica MaLGa - Machine Learning Genoa center Via Dodecaneso 35 16146 Genova Italy e-mail: ernesto.devito(a)unige.it tel: +390103536783

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talk Dott. Marco Tarsia on May 29, 2024
by Mastrogiacomo Elisa 24 May '24

24 May '24

Dear all, you are invited to participate to the following seminar on Wednesday 29th of May 2024 at 12:00: Title: STOCHASTIC ORDERINGS FOR SET-VALUED RISK MEASURES Abstract: We introduce and analyze from an axiomatic point of view an extension to the set-valued scenario of the maximal correlation risk measure as defined by Burgert and Rüschendorf (2006). Furthermore, we present the notion of stochastic ordering for random vectors, utilizing the upper expectation operator - introduced in Hamel and Heyde (2021) - in conjunction with extensive classes of multidimensional functions. We then explore the consistency of such stochastic orderings for appropriate set-valued risk measures. These measures resemble the maximal correlation risk measure, offering flexibility regarding adherence to all the axioms of a portfolio aggregator and a proper set-valued risk measure. A remarkable example within this category is represented by law-invariant set-valued risk measures, such as the set-valued distortion risk measure as defined, for example, in Chen and Hu (2019). The in-person presentation will be held in Room 3 Padiglione Morselli, Via Ottorino Rossi, 9, 21100 Varese VA<https://www.google.com/maps/place//data=!4m2!3m1!1s0x478681f7697827db:0x771…>, Insubria University. Scan the QR code in the attached file to join the seminar online in MS Teams. Best regards, Elisa Mastrogiacomo Elisa Mastrogiacomo ----------------------------------------- Professore Ordinario di Metodi matematici dell'economia e delle scienze attuariali e finanziarie DIPARTIMENTO D'ECCELLENZA 2023/2027 Università degli Studi dell'Insubria Dipartimento di Economia Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528 web: www.uninsubria.it<http://www.uninsubria.it/> mail: elisa.mastrogiacomo(a)uninsubria.it<mailto:mario.rossi@uninsubria.it> Chiaramente Insubria! [LOGO-ATENEO-FONDO TRASPARENTE]<http://www.uninsubria.it/> [Facebook] <https://www.facebook.com/uninsubria> [Twitter] <https://twitter.com/Uni_Insubria> [Instagram] <https://instagram.com/uninsubria> [YouTube] <https://www.youtube.com/user/LabVAMultimedia>

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JOB: Research Associate in Bayesian Statistics, Newcastle University
by Fabrizio Leisen 24 May '24

24 May '24

Con preghiera di diffusione. IMPORTANTE: Il candidato deve gia avere un dottorato di ricerca. Non sono considerati candidati che non hanno ancora ottenuto (o stanno per ottenere) un dottorato di ricerca. È richiesta buona conoscenza di Statistica Bayesiana e metodi computazionali. È una posizione di due anni basata a Newcastle. Il progetto sarà supervisionato da me, Prof. Cristiano Villa e Prof. Kevin Wilson. Cordiali Saluti, Fabrizio -- Fabrizio Leisen Professor of Statistics King’s College London Department of Mathematics Strand | WC2R 2LS | London JOB: Research Associate in Bayesian Statistics School of Mathematics, Statistics and Physics, Newcastle University Full advert: https://jobs.ncl.ac.uk/job/Newcastle-Research-Associate-in-Bayesian-Statist… Applications are invited from outstanding individuals for a Research Associate in Bayesian Statistics, to start from August/September 2024 for a period of two years. The project is at the forefront of Bayesian inference and aims to design a novel Bayesian methodology to implement Bayesian Additive Regression Trees (BART) models to deal with non-linear phenomena. In particular, the aim is to bridge the Loss-based methodology to the framework of BART, building on the previous works of Dr Cristiano Villa and Prof. Fabrizio Leisen on model selection, linear regression models and Gaussian graphical models. The successful candidate will work on developing prior distributions to estimate the structure of the trees and the number of trees in a BART model, and building scalable and efficient computational tools to ease the implementation of the methodology. The candidate must have a solid background in computational methods for Bayesian inference to develop efficient algorithms for the new proposed modelling framework. Within the project, the candidate will also perform theoretical modelling and data analysis, as well as disseminate the outputs through publications and presentations at scientific meetings. The successful candidate will join the growing Statistics group at Newcastle University and interact with the Statistics group at King's College London. The position is offered on a fixed term basis for two years from the start date, or tenable until the project end date, whichever is soonest. Generous funds are available for travel, training and other support. To apply, please complete the online application and attach a CV and covering letter by the deadline of 23rd June 2024. In your covering letter, please outline how you are either working towards, meet or exceed all the essential requirements for the role holder as outlined in the full advertisement, and highlight any expertise relevant to the project. For all information enquiries about the position, please contact Dr Kevin Wilson (kevin.wilson(a)newcastle.ac.uk<mailto:kevin.wilson@newcastle.ac.uk>), Prof Cristiano Villa (cristiano.villa(a)dukekunshan.edu.cn<mailto:cristiano.villa@dukekunshan.edu.cn>) or Prof. Fabrizio Leisen (fabrizio.leisen(a)kcl.ac.uk<mailto:fabrizio.leisen@kcl.ac.uk>). Kind Regards Kevin Dr Kevin Wilson Reader in Applied Statistics School of Mathematics, Statistics & Physics Newcastle University kevin.wilson(a)newcastle.ac.uk You may leave the list at any time by sending the command SIGNOFF allstat to listserv(a)jiscmail.ac.uk, leaving the subject line blank. -- Fabrizio Leisen Professor of Statistics King’s College London Department of Mathematics Strand | WC2R 2LS | London

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UPDATED: Time Series Models for Financial and Environmental Risk - May 30 - Ca' Foscari University
by Roberto CASARIN 21 May '24

21 May '24

Dear Colleagues, On Thursday the 30th of May you are all warmly invited to our one-day workshop organised under the GRINS Project on *Time Series Models for Financial and Environmental Risk* Participation is free. However, for organizational purposes, you are kindly asked to register by May the 27th here https://bit.ly/form-workshop-timeseriesmodels . Ca’ Foscari University, San Giobbe Economics Campus, Meeting Room 1, Venezia *Program:* 10.00am Registration 10.45am *Welcome Remarks: Prof. Monica Billio, Ca’ Foscari University of Venice, Project Leder of the Grins Spoke 4, Sustainable Finance.* *1st Session* 11.00am *Prof.* *Giacomo Bormetti, University of Pavia*, *Measuring price impact and information content of trades in a time-varying setting.* 11.45am *Dr. Giuseppe Buccheri, University of Verona*, *Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics.* 12.30pm Lunch *2nd Session* 2.00pm* Dr. Dario Palumbo, Ca' Foscari University of Venice*, *An Observation-Driven Generalized Poisson Model*. 2.45pm *Dr. Enzo D'Innocenzo, University of Bologna, **Limit results for score-driven filters**.* 3.30pm Coffee break 4.00pm *Keynote speech**: Prof. Andrew Harvey, University of Cambridge. **Score-driven models: overview and recent developments.* *Abstracts*: *Prof.* *Giacomo Bormetti,*University of Pavia, Italy https://unipv.unifind.cineca.it/get/person/021642 *Measuring price impact and information content of trades in a time-varying setting* We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information content of trades depends on the local liquidity level and the recent history of prices and trades. Finally, we use the model to estimate the time-varying permanent impact parameter, which allows performing a dynamic transaction cost analysis. Joint work with Francesco Campigli and Fabrizio Lillo. *Dr. Giuseppe Buccheri,*University of Verona, Italy https://sites.google.com/view/giuseppe-buccheri/home *Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics* In the conventional semimartingale representation of the log-price of a financial security, the volatility of daily log-returns is consistently estimated by their ex-post quadratic variation. A crucial assumption underlying this result is that the drift dynamics are negligible or pre-determined given past information. Recent empirical evidences of intraday unanticipated variations of mean returns call into doubt the validity of this assumption. We propose a semiparametric estimator of the daily return volatility incorporating the effect of stochastic intraday dynamics of the drift process. This framework allows us to test for the presence of drift dynamics in the data and to assess their impact on the daily return volatility. Our empirical analysis shows three main results: (i) there exists compelling evidence of intraday drift dynamics across various asset classes; (ii) when the drift moves significantly, our measure of volatility provides a better description of the return distribution; (iii) the component of the return variance associated with drift dynamics is non-negligible and possesses predictive power. Joint work with Giorgio Vocalelli. *Dr. Dario Palumbo,* Ca' Foscari University of Venice, Italy https://www.unive.it/data/people/22437798 *An Observation-Driven Generalized Poisson Model for Environmental Variables* Based on the Generalised Poisson (GP) conditional distribution, a new general class of observation-driven models for count data is presented and their theoretical properties are derived. The GP is a flexible distribution which allows for both under- and over-dispersion. As a special member of this class, a score-driven model version is introduced. We show that this specification is robust to the presence of outliers and can be extended to allow for time varying over-dispersion. For the estimation of the model we provide a Bayesian inference framework and an efficient posterior approximation procedure based on Markov Chain Monte Carlo. The applications on environmental variables show that the proposed model is well suited for capturing the over-dispersion feature of the data. *Dr. Enzo D'Innocenzo,* University of Bologna, Italy https://www.enzodinnocenzo.com/ *Limit results for score-driven filters* A study of the filtering approximation-theoretic properties of score-driven time series models. The new results are derived under a set of Lipschitz-type and tail conditions, from which I obtain maximal and deviation inequalities for the filtering approximation error. For the latter, I use techniques from empirical process theory. The novel proposed approach allows, for the first time, to study the asymptotic behavior of the empirical distribution function and the empirical processes of the approximated residuals. Since score-driven models encompasses the well-known generalized autoregressive conditional heteroskedasticity, it is proved that the results obtained in this paper extends those of Francq and Zakoian (2022) for this class of nonlinear models. In conclusion, I also give an application of these results to a popular score-driven time series models, namely, the Beta-t-GARCH(1,1) model. *Prof. Andrew Harvey,*University of Cambridge, UK *https://www.econ.cam.ac.uk/people/emeritus/ach34 <https://www.econ.cam.ac.uk/people/emeritus/ach34>* *Score-driven models: overview and recent developments* Score-driven <ach34(a)cam.ac.uk)Score-driven> time series models were introduced into the literature more than a decade ago. Since then progress has been made on the theory and a variety of new models have been introduced. I begin by reviewing theoretical results on stationarity and invertibility and show how these apply to moment-driven and score-driven models for dynamic location and/or scale parameters from a wide range of distributions. Issues of robustness are discussed and it is argued that quasi score-driven (QSD) models have an important role to play. The advantages of an exponential link function are stressed. In particular it is argued that (Q)SD-EGARCH models are much better than standard (moment-driven) GARCH models. I finish by showing how the score-driven approach solves two difficult problems: constructing time series models for censored observations and circular data. -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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Time Series Models for Financial and Environmental Risk - May 30 - Ca' Foscari University
by Roberto CASARIN 21 May '24

21 May '24

Dear Colleagues, On Thursday the 30th of May you are all warmly invited to our one-day workshop organised under the GRINS Project on *Time Series Models for Financial and Environmental Risk* *https://www.unive.it/data/33113/3/88487 <https://www.unive.it/data/agenda/3/88487>* Participation is free. However, for organizational purposes, you are kindly asked to register by May the 27th here https://bit.ly/form-workshop-timeseriesmodels . Ca’ Foscari University, San Giobbe Economics Campus, Meeting Room 1, Venezia *Program:* 10.00am Registration 10.45am *Welcome Remarks: Prof. Monica Billio, Ca’ Foscari University of Venice, Project Leder of the Grins Spoke 4, Sustainable Finance.* *1st Session* 11.00am *Prof.* *Giacomo Bormetti, University of Pavia*, *Measuring price impact and information content of trades in a time-varying setting.* 11.45am *Dr. Giuseppe Buccheri, University of Verona*, *Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics.* 12.30pm Lunch *2nd Session* 2.00pm* Dr. Dario Palumbo, Ca' Foscari University of Venice*, *An Observation-Driven Generalized Poisson Model*. 2.45pm *Dr. Enzo D'Innocenzo, University of Bologna, **Limit results for score-driven filters**.* 3.30pm Coffee break 4.00pm *Keynote speech**: Prof. Andrew Harvey, University of Cambridge. **Score-driven models: overview and recent developments.* *Abstracts*: *Prof.* *Giacomo Bormetti,*University of Pavia, Italy https://unipv.unifind.cineca.it/get/person/021642 <https://warwick.ac.uk/dfirth> *Measuring price impact and information content of trades in a time-varying setting* We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information content of trades depends on the local liquidity level and the recent history of prices and trades. Finally, we use the model to estimate the time-varying permanent impact parameter, which allows performing a dynamic transaction cost analysis. Joint work with Francesco Campigli and Fabrizio Lillo. *Dr. Giuseppe Buccheri,*University of Verona, Italy https://sites.google.com/view/giuseppe-buccheri/home <https://www.ikosmidis.com/> *Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics* In the conventional semimartingale representation of the log-price of a financial security, the volatility of daily log-returns is consistently estimated by their ex-post quadratic variation. A crucial assumption underlying this result is that the drift dynamics are negligible or pre-determined given past information. Recent empirical evidences of intraday unanticipated variations of mean returns call into doubt the validity of this assumption. We propose a semiparametric estimator of the daily return volatility incorporating the effect of stochastic intraday dynamics of the drift process. This framework allows us to test for the presence of drift dynamics in the data and to assess their impact on the daily return volatility. Our empirical analysis shows three main results: (i) there exists compelling evidence of intraday drift dynamics across various asset classes; (ii) when the drift moves significantly, our measure of volatility provides a better description of the return distribution; (iii) the component of the return variance associated with drift dynamics is non-negligible and possesses predictive power. Joint work with Giorgio Vocalelli. *Dr. Dario Palumbo,* Ca' Foscari University of Venice, Italy https://www.unive.it/data/people/22437798 *An Observation-Driven Generalized Poisson Model for Environmental Variables* Based on the Generalised Poisson (GP) conditional distribution, a new general class of observation-driven models for count data is presented and their theoretical properties are derived. The GP is a flexible distribution which allows for both under- and over-dispersion. As a special member of this class, a score-driven model version is introduced. We show that this specification is robust to the presence of outliers and can be extended to allow for time varying over-dispersion. For the estimation of the model we provide a Bayesian inference framework and an efficient posterior approximation procedure based on Markov Chain Monte Carlo. The applications on environmental variables show that the proposed model is well suited for capturing the over-dispersion feature of the data. *Dr. Enzo D'Innocenzo,* University of Bologna, Italy https://www.enzodinnocenzo.com/ <https://researchportal.uc3m.es/display/inv16189> *Limit results for score-driven filters* A study of the filtering approximation-theoretic properties of score-driven time series models. The new results are derived under a set of Lipschitz-type and tail conditions, from which I obtain maximal and deviation inequalities for the filtering approximation error. For the latter, I use techniques from empirical process theory. The novel proposed approach allows, for the first time, to study the asymptotic behavior of the empirical distribution function and the empirical processes of the approximated residuals. Since score-driven models encompasses the well-known generalized autoregressive conditional heteroskedasticity, it is proved that the results obtained in this paper extends those of Francq and Zakoian (2022) for this class of nonlinear models. In conclusion, I also give an application of these results to a popular score-driven time series models, namely, the Beta-t-GARCH(1,1) model. *Prof. Andrew Harvey,*University of Cambridge, UK *https://www.econ.cam.ac.uk/people/emeritus/ach34 <https://www.econ.cam.ac.uk/people/emeritus/ach34>* *Score-driven models: overview and recent developments* Score-driven <ach34(a)cam.ac.uk)Score-driven> time series models were introduced into the literature more than a decade ago. Since then progress has been made on the theory and a variety of new models have been introduced. I begin by reviewing theoretical results on stationarity and invertibility and show how these apply to moment-driven and score-driven models for dynamic location and/or scale parameters from a wide range of distributions. Issues of robustness are discussed and it is argued that quasi score-driven (QSD) models have an important role to play. The advantages of an exponential link function are stressed. In particular it is argued that (Q)SD-EGARCH models are much better than standard (moment-driven) GARCH models. I finish by showing how the score-driven approach solves two difficult problems: constructing time series models for censored observations and circular data. -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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Summer School on "Computational Methods in Finance and Economics", 9-13 September 2024, San Miniato, Italy.
by Giulio Bottazzi 21 May '24

21 May '24

Dear Colleagues, the Centro de Giorgi, Scuola Normale Superiore, and the Institute of Economics of Scuola Superiore Sant'Anna, are jointly organizing the Ph.D.Summer School on "Computational Methods in Finance and Economics". The school is aimed at graduate students in Economics, Finance and related disciplines. For information and application please check https://crm.sns.it/event/528/ Best Regards, Giulio Bottazzi -- Giulio Bottazzi PGP Key ID:BAB0A33F Professor of Economics Faculty of Social Sciences Advanced Calculus for Economics and Finance Theory and Methods https://link.springer.com/book/10.1007/978-3-031-30316-6 Scuola Superiore Sant'Anna 56127 - Pisa, Italy Phone:(+39)-050-883365 email:bottazzi@santannapisa.it Fax: (+39)-050-883344 http://www.sssup.it/~bottazzi The information transmitted is intended only for the person or entity to which it is addressed and may contain confidential and/or privileged material. Any review of, re-transmission, dissemination or other use of, or taking of any action in reliance upon, this information by persons or entities other than the intended recipient, is prohibited. If you received this in error, please inform the sender by e-mail and delete the content. Il contenuto e gli allegati di questo messaggio sono strettamente confidenziali e ad uso esclusivo del destinatario. Ne sono vietati la diffusione, l'inoltro e l'uso non autorizzato da parte di utenti diversi dal destinatario. Qualora il presente messaggio Le fosse pervenuto per errore, La preghiamo di distruggerlo e darcene comunicazione a mezzo e-mail.

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seminar PESCE
by Stefano Pagliarani 20 May '24

20 May '24

Dear all, On May 22nd, in the classroom Aula Arzelà, Department of Mathematics of the University of Bologna, the following seminars will take place: * 11:00-12:00: Antonello PESCE "OPTIMAL IRREVERSIBLE INVESTMENTS WITH PRICE IMPACT IN A COMPETING MARKET: A SINGULAR STOCHASTIC GAME" * 12:00-13:00: Fabrizio LILLO "A NOISY DYNAMICAL SYSTEM MODEL OF FINANCIAL SYSTEMIC RISK" as part of the cycle Stochastics and Applications. The abstracts are available at https://www.dm.unibo.it/seminari/mat/serials/36 For any question, please contact the organizers: Lorenzo Cerboni Baiardi and Stefano Pagliarani. ------------------------------------------------------------------------------------------------------------------------ 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 4 giugno e visita a Milano Bandyopadhyay Antar
by Giacomo Aletti 20 May '24

20 May '24

Nell’ambito dei progetti di eccellenza, il Prof. Bandyopadhyay Antar Theoretical Statistics and Mathematics Unit Head of Indian Statistical Institute, Delhi Centre, New Delhi, India sarà a Milano nella settimana 2-9 giugno. È stato organizzato un seminario per il 4 giugno 2024 dalle ore 14.30 alle ore 15.30 in Aula Maggiore, via Celoria 2, Milano, dal titolo A classical random reinforcement model viewed differently! Abstract: In this talk, we will start by explaining a classical random reinforcement model introduced by Pólya back in 1920 which is widely known as the Pólya's urn scheme. We will then indicate several unrelated examples can be thought as following Pólya's model provided we allow ourselves a novel infinite dimensional generalization. After indicating the difficulties which arise due to absence of good mathematical (mostly algebraic) techniques to deal with infinite dimensional matrices (or appropriate linear operators), we will explain a new probabilistic technique to handle the infinite dimensional generalization. We shall define a novel stochastic process which will turn out to be Markov with respect to a new type of "time'' parameter, which instead of deterministic and unidirectional, will be random and will have a tree-type structure. We shall show that this new process and the infinite dimensional generalization of Pólya's balanced urn scheme have the same law. This will enable us to derive fairly general scaling limits for the infinite dimensional scheme and show that classical results can be easily derived without much difficulties and completely avoiding algebraic techniques. Moreover, we will show that apparently unrelated problems arising from a variety of different fields such as combinatorics, statistical physics and statistics, can be solved by using this new generalization. Il seminario è pensato per un pubblico non specialistico ed è aperto a tutti.

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talk Prof. Nacira Agram on May 23, 2024 - REMINDER
by Emanuela Rosazza Gianin 20 May '24

20 May '24

Dear all, you are all invited to participate to the following seminar on *Thursday 23th of May 2024 at 15:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor): Speaker: *Nacira Agram (KTH Stockholm)* Titolo: *Deep learning for conditional McKean-Vlasov Jump diffusions* Abstract: My talk focuses on using deep learning methods to optimize the control of conditional McKean-Vlasov jump diffusions. We begin by exploring the dynamics of multi-particle jump-diffusion and presenting the propagation of chaos. The optimal control problem in the context of conditional McKean-Vlasov jump-diffusion is introduced along with the verification theorem (HJB equation). A linear quadratic conditional mean-field (LQ CMF) is discussed to illustrate these theoretical concepts. Then, we introduce a deep-learning algorithm that combines neural networks for optimization with path signatures for conditional expectation estimation. The algorithm is applied to practical examples, including LQ CMF and interbank systemic risk, and we share the resulting numerical outcomes. Based on joint work with Jan Rems. Best wishes, Emanuela ****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Tel. 02 64483208 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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Seminario Padova - Marta Leocata
by alekos.cecchin＠unipd.it 20 May '24

20 May '24

Buongiorno a tutti, Vorremmo segnalarvi che venerdì prossimo (24 Maggio) alle ore 14:30 in aula 2AB45 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Marta Leocata (Luiss University) https://sites.google.com/view/martaleocata/ Title: A MFG approach for competing firms in the Emission Trading System Date: May 24, 2024, at 14:30, 2AB45 Abstract: In this talk I will consider the problem of reducing the carbon emissions of a set of firms over a finite time horizon. Firms can trade allowances in a way that minimizes the total expected costs from abatement and trading plus a terminal quadratic penalty, and they can also choose which type of energy to use (fossil or green) to produce their goods and thus maximize profits from production. Using mean-field game theory and mean field control theory, we aim to understand how different types of market competition can influence the energy transition. This is a joint work with Giulia Livieri (LSE) and Gianmarco Del Sarto (SNS). Vi aspettiamo numerosi! Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/

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Seminar in Statistics - SAMUEL LIVINGSTON
by Pierpaolo De Blasi 20 May '24

20 May '24

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 24 Maggio 2024, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: Samuel Livingston (UCL UK) Title: *Robust gradient-based sampling algorithms using skew-symmetric numerical schemes* Abstract: State-of-the-art sampling algorithms for smooth continuous distributions are typically gradient-based, e.g. Langevin or Hamiltonian Monte Carlo. It is known, however, that particular features of the distribution to be sampled can cause them to be unstable/work poorly. The algorithms are typically based on a numerical simulation of some stochastic process (e.g. the overdamped Langevin diffusion), and the instability comes from the choice of numerical scheme. I will introduce a new explicit numerical scheme for diffusions, which has skew-symmetric increments, and can be used to design simple and fast sampling algorithms that are provably more robust. I will show that the resulting 'unadjusted Barker algorithm', so called because of its connection to the Barker Metropolis—Hastings algorithm of Livingstone & Zanella (JRSS B, 2022) is well-defined and converges at a geometric rate to an equilibrium which is close to the distribution of interest in many cases when the unadjusted Langevin algorithm is transient. ------------------------------------------------ Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/81530120491?pwd=YUV4Y2dtb1creEMvRkR5SkpmeW1sQT09> Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Posizioni Postdoc all'Università di Granada
by Antonio DI CRESCENZO 18 May '24

18 May '24

Buongiorno, invio notizia di 2 posizioni Postdoc all'Università di Granada su argomenti: - "Modelling and differential equations" e "Statistics and operational research". _____________________________________________________________ To all interested candidates: The Institute of Mathematics of the University of Granada (IMAG) offers two postdoctoral positions, to start in September-October 2024, and with an end date of December 31, 2025. These positions are in the areas of "*Modelling and differential equations*" and "*Statistics and operational research*" (one position per area). The application deadline is *June 10, 2024*. Further details can be found at IMAG's website https://wpd.ugr.es/~imag/imag-maria-de-maeztu-postdocs-2024/ These contracts are supported by IMAG's Excellence Seal "María de Maeztu" with reference CEX2020-001105-M. --

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6-year assistant professor position (non-tenured) in probability, TU Vienna
by Toninelli, Fabio Lucio 18 May '24

18 May '24

Dear colleague, the Technical University of Vienna is advertising a 6-year assistant professor position (non-tenured) in probability theory, within the Probability research group (https://www.tuwien.at/en/mg/proba)<https://www.tuwien.at/en/mg/mstoch> <https://www.tuwien.at/en/mg/mstoch> Deadline for applications: June 27th, 2024. Earliest possible starting date: September 2024 For the official announcement, the link to the application portal and details on the position, see here: https://jobs.tuwien.ac.at/Job/233239 The teaching load is 4 hours/week. Please forward this to potentially interested candidates Best wishes Fabio Toninelli (head of the Probability group) --------------------------------------------------------------------- Prof. Fabio Toninelli Technical University of Vienna Institut für Stochastik und Wirtschaftsmathematik Wiedner Hauptstrasse 8-10, 1040 Wien, Austria https://sites.google.com/view/fabio-toninelli/home Office: 6th floor, green area. tel: +43-1-58801-10570

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Open Postdoc Position in the are of mathematical Finance at the University of Vienna
by viktoria.schildhammer＠univie.ac.at 17 May '24

17 May '24

Dear All, this is to inform about an open Postdoc position at the department of Statistics and Operations Research at the University of Vienna, in the working group of Prof. Cuchiero. The University of Vienna, Department of Statistics and Operations Research, invites applications for the position of a Post-Doc (2 years, 40h) at the intersection of Mathematical Finance, Stochastic Analysis and Machine Learning. The post-doctoral researcher will work in the group of the START research project "Universal structures in Mathematical Finance", led by Prof. Christa Cuchiero. The focus of the project lies on universal structures that pertain literally to both, mathematics and finance. *Deadline for applications: June 15, 2024.* Further information can be found here: https://jobs.univie.ac.at/job-invite/2493/ Please foward this message to any interested person. Thank you and best wishes Viktoria Schildhammer

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Open Praedoc Position in the are of mathematical Finance at the University of Vienna
by viktoria.schildhammer＠univie.ac.at 17 May '24

17 May '24

Dear All, this is to inform about an open Praedoc position at the department of Statistics and Operations Research at the University of Vienna, in the working group of Prof. Cuchiero. The University of Vienna, Department of Statistics and Operations Research, invites applicants for the position of one to two Prae-Docs (3 year appointment, 30 hours) at the intersection of Mathematical Finance, Stochastic Analysis and Machine Learning. The pre-doctoral researcher will work in the group of the START research project "Universal structures in Mathematical Finance", led by Prof. Christa Cuchiero. The focus of the project lies on universal structures that pertain literally to both, mathematics and finance *Deadline for applications: June 15, 2024.* Further information can be found here: https://jobs.univie.ac.at/job-invite/2491/ Please foward this message to any interested person. Thank you and best wishes Viktoria Schildhammer

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3-year Post-doctoral Position on Stochastic Games at Bielefeld University
by Ferrari, Giorgio 17 May '24

17 May '24

Dear All, this is to inform about a *3-year post-doctoral position* in my group at the Center for Mathematical Economics of Bielefeld University (salary level TVL-13, 100%). The post-doctoral researcher will conduct research on stochastic games (with N players or of mean-field type) wiith singular controls, as well as on mean-field control problems. *Deadline for applications: June 12, 2024.* Further information can be found here: https://jobs.uni-bielefeld.de/job/view/3392/research-position-postdoc?page_… Please foward this message to any interested person. Best wishes and thanks, Giorgio Ferrari

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23 mag 2024 - Seminario Dr. Ivana Pavlu
by Enea Bongiorno 17 May '24

17 May '24

Carissimi colleghi, scusandomi per eventuali invii multipli, vi inoltro il seguente annuncio di seminario. Tutti gli interessati sono invitati a partecipare. Cordialmente, Enea Bongiorno -------------------------------- - data e orario: 23 maggio 2024 ore 15.00 - aula 204, campus Perrone, via Perrone, 18, Novara. Università del Piemonte Orientale. - on-line: meet.google.com/iap-gjcr-bkb Title: *Regression analysis with density functions in Bayes spaces* *Ivana Pavlů*, Palacký University Olomouc, Czech Republic *Abstract*: Regression analysis offers tools for explaining the relation between (a set of) dependent and independent variables. Recent advances extend the available response types from uni- or multivariate to functional, and more recently also distributional responses. For functional distributions, often represented through probability density functions, the Bayes space framework was developed to respect the relative information they carry. The Hilbert space structure of Bayes space enables one to utilize standard methods of functional data analysis for the use on - properly transformed - density functions. Focusing on regression analysis, it is possible to construct adequate models with densities on the side of both the dependent and independent variables. In this seminar, a brief overview of regression models for univariate densities will be presented. A closer attention will be given to the possible generalization of additive regression model for bivariate distributions. Finally, an outlook at the Bayesian inference in linear regression with probability densities will be discussed. All proposed methods will be demonstrated on real data from the fields of geochemistry and demographics. ----------------------------------- Locandina dell'evento <https://drive.google.com/file/d/1AW4P1_HNdVO7Ot70mjM-KCQLhnSSVmRi/view?usp=…> Seminari Matematici Statistici <https://seminari-ms.uniupo.it/home-page> ----------------------------------- -- 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 ------ Math-Stat Seminars at UPO seminari-ms.uniupo.it/home-page ------

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talk Prof. Domenico Marinucci on May 29 - DIMA - UNIGE
by Ernesto De Vito 16 May '24

16 May '24

Dear all, you are all invited to participate to the following seminar. Speaker : Domenico Marinucci (https://sites.google.com/view/domenicomarinucci/home) Affiliation: Dipartimento di Matematica - Università Roma Tor Vergata Title: Spectral complexity of deep neural networks Date: Monday, May 29, 2024 at 11.30 Place: Aula 704 (7th floor) , Dipartimento di Matematica at University of Genova, Via Dodencaneso 35, Abstract: It is well-known that randomly initialized, push-forward, fully-connected neural networks weakly converge to isotropic Gaussian processes, in the limit where the width of all layers goes to infinity. In this paper, we propose to use the angular power spectrum of the limiting fields to characterize the complexity of the network architecture. In particular, we define sequences of random variables associated with the angular power spectrum, and provide a full characterization of the network complexity in terms of the asymptotic distribution of these sequences as the depth diverges. On this basis, we classify neural networks as low-disorder, sparse, or high-disorder; we show how this classification highlights a number of distinct features for standard activation functions, and in particular, sparsity properties of ReLU networks. Our theoretical results are also validated by numerical simulations. Joint work with Simmaco Di Lillo, Michele Salvi e Stefano Vigogna Best wishes, Ernesto --------------------- Ernesto De Vito DIMA - Dipartimento di Matematica MaLGa - Machine Learning Genoa center Via Dodecaneso 35 16146 Genova Italy e-mail: ernesto.devito(a)unige.it tel: +390103536783

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assegno con Fincantieri su algoritmi quantistici per Navier Stokes
by Giacomo De Palma 15 May '24

15 May '24

Cari tutti, ho appena pubblicato il seguente bando per un assegno di ricerca di 15 mesi all’università di Bologna su un progetto in collaborazione con Fincantieri (https://www.fincantieri.com/it/) riguardante simulazioni numeriche di algoritmi quantistici per le equazioni di Navier-Stokes: https://bandi.unibo.it/ricerca/assegni-ricerca?id_bando=67830 L’assegno prevede uno stipendio competitivo di circa 2000€ netti al mese. È richiesta solo la laurea magistrale, ma un’esperienza in simulazioni numeriche di algoritmi quantistici è preferibile. I candidati possono allegare alla domanda fino a due lettere di referenza. La presa di servizio è prevista per il 1° giugno, e la scadenza del bando è il 21 aprile. Vi sarei grato se inoltraste l’avviso a potenziali interessati. Un caro saluto, Giacomo

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ISBA World 2024 - Regular Registration Closing May, 31
by Roberto CASARIN 15 May '24

15 May '24

Dear Colleagues, We kindly remind you that the ISBA 2024 World Meeting is approaching. *The regular registration fee will remain available until May 31*. More detailed information is available at: https://www.unive.it/isba2024 ISBA2024 is organized by the International Society for Bayesian Analysis ( ISBA <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>) in collaboration with the Venice Centre in Economic and Risk Analytics (VERA <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>) at Ca’ Foscari University of Venice. Looking forward to meeting you in Venice! Best regards, The ISBA World 2024, Local Organizing Committee. ------------------------------ 31st World Meeting ISBA 2024July 1st - July 7th, 2024Ca’ Foscari University, San Giobbe Campus, Venice, Italy The ISBA world meetings bring together the international statistical community of researchers and professionals who develop Bayesian methods and apply them to challenging problems in different fields, ranging from economics and finance to business, industry, biostatistics, pharmaceutical statistics, environmental statistics, etc. *Supported by*: Ca' Foscari University of Venice, Department of Economics, Venice Centre in Economic and Risk Analytics (VERA), Fondazione Università Ca' Foscari. *Under the auspices of:* Ministero dell'Università e della Ricerca (MUR), Regione del Veneto, Città Metropolitana di Venezia, Città di Venezia, Istituto Veneto di Scienze, Lettere ed Arti, Società Italiana di Econometria (SIdE), Società Italiana di Matematica Applicata e Industriale (SIMAI), Società Italiana di Statistica (SIS), Gruppo Nazionale per l'Analisi Matematica la Probabilità e le loro Applicazioni (INDAM-GNAMPA). *Main Sponsors*: Eurizon Asset Management, Generali, University of Michigan School of Public Health (Dept. of Biostatistics), United States National Sciences Foundation, University of California Los Angeles (Dept. of Biostatistics). *Other Sponsors:* Collegio Carlo Alberto (de Castro Statistics Initiative), University of Texas at Austin (Dept. of Statistics and Data Sciences), Duke University (Dept. of Statistical Science), G-Research, SAS, STATA, Università Bocconi (Dept. of Decision Sciences), European Datawarehouse, Pfizer, Posit, Brown University School of Public Health, INDAM-GNAMPA, CRC press, Springer Verlag. *Scientific Committee**:* Sinead Williamson <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…> (Chair), University of Texas at Austin/Apple Sergios Agapiou <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, University of Cyprus Trevor Campbell <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, University of British Columbia Roberto Casarin <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Ca’ Foscari University of Venice Luis Mauricio Castro Cepero <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Pontificia Universidad Católica de Chile Christopher Drovandi <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Queensland University of Technology Daniele Durante <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Bocconi University Hedibert Freitas Lopes <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Institute of Educatio and Research Emtiyaz Khan <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, RIKEN Center Matthias Katzfuss <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, University of Wisconsin-Madison Juhee Lee <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, University of California Santa Cruz David Nott <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, National University of Singapore Stéphanie van der Pas <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Amsterdam UMC Bruno Sansó <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, University of California Mike West <https://u8042292.ct.sendgrid.net/ls/click?upn=u001.VwavI53V6vcw3NkZZaT5c3BC…>, Duke University -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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