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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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