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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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