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assegno di ricerca bandito presso il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze
by Maria Elvira Mancino 21 May '18

21 May '18

Desidero segnalare il seguente assegno di ricerca (12 mesi) bandito presso il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze SSD SECS-S/06 "Misure di rischio finanziario con dati ad alta frequenza" Il bando e' reperibile al sito: https://www.unifi.it/vp-391-assegni-di-ricerca.html Scadenza: 7 Giugno 2018 ----------------------------------------------------------------------------------- The call for a 12 month postdoc is open at University of Firenze (Dept of Economics and Management) "Financial risk measures with high frequency data" The details of the call are at https://www.unifi.it/vp-391-assegni-di-ricerca.html Deadline: 7 June 2018

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PhD course di Marco Frittelli in Bicocca
by fabio bellini 18 May '18

18 May '18

Nei giorni 22-23-24 maggio, presso la Aula Seminari 2062 del DISMEQ, al secondo piano dell'edificio U7, il prof. Marco Frittelli del Dipartimento di Matematica della Università di Milano terrà un mini-corso di dottorato su 'Pathwise Finance (Arbitrage and Super-Hedging) and Systemic Risk Measures'. Il calendario delle lezioni è il seguente: Martedì 22 maggio 11-13, 14.30-16.30 Mercoledì 23 maggio 11-13, 14.30-16.30 Giovedì 24 maggio 11-13, 14.30-16.30. La partecipazione è libera ma per motivi logistici è consigliata la registrazione inviando una mail a nicoletta.alghisi(a)unimib.it. -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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Call for abstracts : Numerical methods and quantitative finance: new perspectives and applications @AMASES
by Daniele Marazzina 17 May '18

17 May '18

Con preghiera di diffusione >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Dear Colleagues, a session entitled Numerical methods and quantitative finance: new perspectives and applications(NM)<http://amases2018.uniparthenope.it/files/NM.pdf> will take place during the AMASES Annual Conference, which will be held in Naples on September 13-15, 2018 (http://amases2018.uniparthenope.it/) In recent years the research for mathematical tools to be applied in financial contexts has gained additional importance. In fact the latest financial crisis has highlighted the need for a more scientific approach to the problem of pricing and risk control. Moreover, we can now take advantage of more advanced statistical and mathematical skills and of the availability of numerical techniques and faster computer systems. The aim of this special session is to discuss recent advances and application in this field. Theoretical and empirical papers are welcome. It is a great pleasure to invite you to submit an extended abstract. To be considered for the session, please submit your abstract by specifying the session code (NM) in the file name (NM-[surname of author who will present the paper].pdf). Please refer to the official web page of the conference for further details on the submission. Important dates: May 30, 2018: deadline for abstract submission June 11, 2018: notification of acceptance June 18, 2018: early registration July 2, 2018: late registration For information, please contact: Chiara Guardasoni - chiara.guardasoni(a)unipr.it Daniele Marazzina - daniele.marazzina(a)polimi.it Simona Sanfelici - simona.sanfelici(a)unipr.it We are looking forward to meeting you in Naples. Best regards Chiara Guardasoni, Daniele Marazzina, Simona Sanfelici

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Seminario di G. Giacomin a Milano-Bicocca (29 maggio 2018)
by Francesco Caravenna 17 May '18

17 May '18

Martedì 29 maggio 2018 alle ore 14:30 Giambattista Giacomin (Université Paris Diderot) terrà un seminario dal titolo "On phase transitions in disordered systems and singular behavior of Lyapunov exponents" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, terzo piano, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%% Abstract: Understanding the effect of disorder on phase transitions and crtical phenomena is a challenging problem that has been repeatedly considered in the phyisics literature. In this domain there is a highly non trivial model that takes the center stage because it is considered to be «exactly solvable». It is the two dimensional Ising model with a special type of disorder («columnar disorder»). I will provide an introduction to this model and to what has been conjectured about it. I will also explain why the exact solvability claim is an overstatement. The solvability aspect in fact is limited to the reduction of the problem to another one - the computation of the Lyapunov exponent of a certain product of two by two random matrices - that seems (and probably is) much easier. In collaboration with Francis Comets and Rafael Greenblatt, we have made some progress toward understanding this product of random matrices. The main aim of the talk is explaining these results and what they imply on the two dimensional Ising model with columnar disorder. %%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Bando RTD-B in Statistica Università Milano-Bicocca
by andrea ongaro 16 May '18

16 May '18

Si informa che l*'Università di Milano - Bicocca* ha bandito una posizione di *RTD-B in Statistica*, (settore concorsuale 13/D1, settore scientifico-disciplinare SECS-S/01) presso il Dipartimento di Economia, Metodi Quantitativi e Strategie d'Azienda. La scadenza per la presentazione delle domande è il *7 giugno 2018*. Il bando (data registr. 9.5.18, nr. reg. 1128/2018), contenente anche le informazioni per la presentazione della domanda on-line, è disponibile alla pagina: https://webproto.si.unimib.it/ADP/concdocenti.aspx Con preghiera di massima diffusione e scusandomi per eventuali invii multipli Andrea Ongaro

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Corso BERESTYCKI
by Matteo Ruggiero 16 May '18

16 May '18

Cari colleghi, nell’ambito del programma di Visiting Professors per la Laurea Magistrale in Stochastics and Data Science dell’Università di Torino, siamo lieti di annunciare il seguente corso: Julien BERESTYCKI (University of Oxford) TOPICS ON BRANCHING BROWNIAN MOTION che si terrà al terzo piano di Corso Unione Sovietica 218/bis, 10134, Torino, secondo il seguente calendario: 24 maggio 11:15-13:15 (aula 12) 25 maggio 9:15-11:15 (aula 12) 28 maggio 11:15-13:15 e 14:00-16:00 (aula 12) 29 maggio 11:15-13:15 e 16:00-18:00 (aula 12) 30 maggio 14:00-16:00 (aula 12) 31 maggio 11:15-13:15 (aula 13) Il corso è rivolto agli studenti della Laurea Magistrale, ma la partecipazione è libera agli interessati. Il programma completo di Visiting Professors si può consultare alla pagina http://www.master-sds.unito.it/do/home.pl/View?round=1&doc=visitingprofesso… Questa iniziativa è parzialmente supportata da Fondazione CRT, Torino. Cordiali saluti, I coordinatori del Programma Laura Sacerdote e Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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seminario GSSI L'Aquila
by davide gabrielli 15 May '18

15 May '18

Il giorno 23 maggio ore 15 presso il GSSI-L'Aquila il Prof. F. Comets terra' un seminario dal titolo Singular behavior of Lyapunov exponents in a weak disorder limit infos: "http://www.gssi.infn.it/seminars/seminars-and-events-2018/item/3612-singula… Locandina allegata

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Colloquium di Balint Toth a Roma Tre il 23 maggio alle 16
by Pietro Caputo 15 May '18

15 May '18

COLLOQUIUM DI MATEMATICA Balint Toth (University of Bristol, UK and Renyi Institute, Budapest) Titolo: Invariance principle for the random Lorentz gas beyond the [Boltzmann-Grad / Gallavotti-Spohn] limit Mercoledi' 23 Maggio 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Aula F, primo piano, edificio Aule - Largo San Leonardo Murialdo,1 Abstract Let hard ball scatterers of radius $r$ be placed in $mathbb R^d$, centred at the points of a Poisson point process of intensity $rho$. The volume fraction $r^d rho$ is assumed to be sufficiently low so that with positive probability the origin is not trapped in a finite domain fully surrounded by scatterers. The Lorentz process is the trajectory of a point-like particle starting from the origin with randomly oriented unit velocity subject to elastic collisions with the fixed (infinite mass) scatterers. The question of diffusive scaling limit of this process is a major open problem in classical statistical physics. Gallavotti (1969) and Spohn (1978) proved that under the so-called Boltzmann-Grad limit, when $r to 0$, $rho to infty$ so that $r^{d-1}rho to 1$ and the time scale is fixed, the Lorentz process (described informally above) converges to a Markovian random flight process, with independent exponentially distributed free flight times and Markovian scatterings. It is essentially straightforward to see that taking a second diffusive scaling limit (after the Gallavotti-Spohn limit) yields invariance principle. I will present new results going beyond the [Boltzmann-Grad / Gallavotti-Spohn] limit, in $d=3$: Letting $r to 0$, $rho to infty$ so that $r^{d-1}rho to 1$ (as in B-G) and simultaneously rescaling time by $T sim r^{-2+epsilon}$ we prove invariance principle (under diffusive scaling) for the Lorentz trajectory. Note that the B-G limit and diffusive scaling are done simultaneously and not in sequel. The proof is essentially based on control of the effect of re-collisions by probabilistic coupling arguments. The main arguments are valid in $d=3$ but not in $d=2$. Joint work with Chris Lutsko (Bristol)

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REMINDER - HFFE2018 CALL FOR PAPERS @ SNS
by Daniele Tantari 15 May '18

15 May '18

Dear colleagues, this is the second announcement for the workshop *Frontiers in High-Frequency Financial Econometrics * that will be held at Scuola Normale Superiore in Pisa (Italy) on 28-29 September 2018. The aim of the Workshop is to bring together leading experts and young researchers in the field of financial econometrics and mathematical finance with application to high-frequency finance. The main purpose is to listen to new ideas, and discuss about future perspectives in the field. The organizers encourage submissions of papers on any topic within the overall theme of the conference with a special emphasis on the following areas: realized (co)variance estimation and forecasting, high-frequency finance, liquidity and price discovery, market microstructure analysis. The scientific committee of the workshop consists of: Giacomo Bormetti (University of Bologna), Fulvio Corsi (University of Pisa), Fabrizio Lillo (University of Bologna), Maria Elvira Mancino (University of Florence), Stefano Marmi (Scuola Normale Superiore), Davide Pirino (University of Rome "Tor Vergata"), Roberto Renò (University of Verona) *CALL FOR PAPERS* *Both papers and extended abstracts (min 3 pages) are accepted for presentation in a regular session or a poster session.* The final program of the workshop will include both submitted and invited papers. Our keynote speakers are: - *Yacine Ait-Sahalia *(Princeton University) - *Nikolaus Hautsch* (University of Vienna) - *André Lucas *(VU University Amsterdam) - *Mathieu Rosenbaum *(Ecole Polytechnique) For more information on submission and registration, see the conference website https://www.hffe2018sns.com/ or contact hffe.workshop(a)gmail.com *Important dates:* Submission of a complete paper or extended abstract: May 31th, 2018 Decision: June 30th, 2018 Registration deadline: August 15th, 2018 On behalf of the organizing committee, Best Regards, Daniele Tantari

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Convegno Portfolio managing, stochastic processes and financial econometrics a Firenze, 18/5/18
by Cecilia 14 May '18

14 May '18

In occasione delle visite di Jean Jacod e di José Figueora-Lopez al Dipartimetno di Scienze per l'Economia e dell'Impresa, il giorno venerdì 18 maggio 2018, ore 10:00-18:00, a Firenze, presso il Campus di Novoli, via delle Pandette 9 (edificio D6), aula 0.01, si terrà il convegno *Portfolio managing, stochastic processes and financial econometrics* con il programma sotto descritto. Tutti gli interessati sono cordialmente invitati a partecipare. Per motivi organizzativi CHI INTENDE PARTECIPARE è pregato di INVIARE UNA EMAIL a cecilia.mancini(a)unifi.it *Programme:* 10:00 Jean Jacod, /Laboratoire de Probabilités/ et Modèles Aléatoires, Université Pierre et Marie Curie-Paris 6, /Modeling asset prices: small scale versus large scale/// 11:00 José Figueora-Lopez, Department of Mathematics, Washington University in St. Louis, /Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations/ *BREAK 11:30, D6/1.02* 12:00 Luca Spadafora, Internal Model Validation, Banco BPM S.p.A., Milano, and Department of Computer Sciences, University of Verona, /Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling/ 12:30 Giannicola Simari, University of Pisa /A new Value-based Investing Strategy: The Case of the S&P 500 Index / *LUNCH 13:00* 14:30 Giampiero Maria Gallo, Italian Court of Auditors (Corte dei conti), /Mitigating Measurement Error Effects in Volatility Forecasting/ 15:00 Simona Sanfelici, Department of Economics and Management, University of Parma, /Estimation of the stochastic leverage effect using the Fourier transform method / 15:30 Rachele Foschi, Department of Economics and Management, University of Pisa, /Hawkes processes: continuous- and discrete-time stochastic intensity/ *BREAK 16:00, D6/1.02* 16:30 Francesca Lilla, Department of Management and Economics, University of Florence, TBA 17:00 Erindi Allaj, Department of Management and Economics, University of Florence, /Black-Litterman model and its out-of-sample performance/ 17:30 Fabrizio Cipollini, Department of Statistics, Informatics and Applications, University of Florence, /Forecasting Optimal Portfolio Weights Using High-Frequency Data/

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