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Seminario ENRICO SCALAS @ UniTo
by Federico Polito 16 Mar '18

16 Mar '18

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Lunedì 26 Marzo 2018 alle ore 14:30 in Aula A presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. ENRICO SCALAS (Department of Mathematics, University of Sussex, UK) terrà un seminario dal titolo A STYLIZED MODEL FOR WEALTH DISTRIBUTION Abstract: The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete and continuous stochastic processes (random exchange models) as well as related Boltzmann-type kinetic equations. In this literature, the usual concept of equilibrium in Economics is either replaced or completed by statistical equilibrium. In order to illustrate this activity with a concrete example, we present a stylised random exchange model for the distribution of wealth. We first discuss a fully discrete version (a Markov chain with finite state space). We then study its discrete-time continuous-state-space version and we prove the existence of the equilibrium distribution. Finally, we discuss the connection of these models with Boltzmann-like kinetic equations for the marginal distribution of wealth. This paper shows in practice how it is possible to start from a finitary description and connect it to continuous models following Boltzmann's original research program. https://arxiv.org/abs/1609.08978 Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Fwd: COFUND Parigi : 20 borse di dottorato
by Marco Romito 16 Mar '18

16 Mar '18

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Seminario di Probabilità - Padova
by Paolo Dai Pra 16 Mar '18

16 Mar '18

Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì Venerdì 23 Marzo 2018 alle 11:30 in Sala Riunioni VII Piano della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Marco Zamparo AFFILIATION: Politecnico di Torino TITLE: Large Deviations Principles in Renewal Theory ABSTRACT: Cramér's theorem provides a large deviations principle for the empirical mean of independent and identically distributed random variables. In this seminar, I establish a generalization of Cramér's theorem for multivariate renewal-reward processes under optimal hypotheses. The way to attack the problem is the following. A large deviations principle is first obtained for renewal processes constrained by the event that one of the renewals occurs at a predetermined time. Then, results are transferred to standard renewal processes by resorting to conditioning. The constrained setting makes it possible to solve the problem by using an argument based on convexity and sub-additivity, which is inspired by the approach of Bahadur and Zabell to derive the modern form of the Cramér's theorem. Interestingly, with a different interpretation of the time coordinate, constrained renewal processes include important models of statistical mechanics, such as the pinning model of polymers and the Poland-Scheraga model of DNA denaturation. These models are briefly reviewed in the seminar. M. Zamparo, Large Deviations in Renewal Theory and Renewal Models of Statistical Mechanics, arXiv:1801.09941. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Master programmes at the University of Kent
by Fabrizio Leisen 15 Mar '18

15 Mar '18

Con preghiera di diffusione. Contattami pure se avete bisogno di ulteriori informazioni. Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. An overview of the Statistics group activities can be found at https://www.kent.ac.uk/smsas/statistics/research/index.html For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 Director: Fabrizio Leisen, F.Leisen(a)kent.ac.uk -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Call for PhD positions at University of Oslo
by Giulia Di Nunno 15 Mar '18

15 Mar '18

Dear Colleagues, this is to draw your attention to the call for two PhD positions at the University of Oslo in stochastic analysis and its applications to finance, insurance, energy and risk. Specifically one position is in the scopes of to the project STORM “Stochastics for Time-Space Risk Models" http://www.mn.uio.no/math/english/research/projects/storm/index.html <http://www.mn.uio.no/math/english/research/projects/storm/index.html> Description and call: https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh…> The other one is in Stochastic Analysis and its Applications Description and call: https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh…> For both the deadline of application is April 15th, 2018. You can also find a number of other open positions that can be interesting for a wider audience: http://www.mn.uio.no/math/om/jobb/ <http://www.mn.uio.no/math/om/jobb/> Please help to advertise these calls and bring them to the attention of your colleagues and possible candidates. Thank you in advance! Best wishes Giulia --- Giulia di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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Bocconi summer school on "Graphical models" - deadline extension
by Antonio Lijoi 14 Mar '18

14 Mar '18

** DEADLINE EXTENSION FOR APPLICATIONS ** Bocconi Summer School in Advanced Statistics & Probability: “Graphical Models” http://asps.lakecomoschool.org July 9-20, 2018 La scadenza per inoltrare le domande di partecipazione alla Bocconi Summer School in Advanced Statistics & Probability su "Graphical Models" e' stata posticipata al ** 28 marzo 2018 ** La Summer School si svolgera’ presso la Lake Como School of Advanced Studies, e le lezioni saranno tenute da: Steffen Lauritzen (University of Copenhagen) Robin Evans (University of Oxford) Si ricorda che il Bocconi Institute of Data Science (BIDSA) conferira’ due BIDSA Awards a candidati meritevoli, che copriranno le registration fees. Cogliamo anche l’occasione per annunciare nuove iniziative all’interno della scuola. In particolare, quest'anno avremo il piacere di ospitare due seminari: Julia Mortera (Universita' di Rome Tre): "Graphical Models in Forensic Science" Fabio Corradi (Universita' di Firenze): "On the Probability of Causation for Querying the Cause of an Effect, and its Fundamental Conditions" Informazioni piu' dettagliate saranno rese disponibili quanto prima sul sito della Summer School. Inoltre, sono anche previsti seminari informali in cui i partecipanti, che ne facciano preventivamente richiesta, possono presentare la propria ricerca su temi attinenti la scuola. Ulteriori dettagli sono disponibili su http://asps.lakecomoschool.org o possono essere richiesti a bss.statistics(a)unibocconi.it

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[short conference with courses]: NETWORKING BIOSTATISTICS
by Paola Rancoita 14 Mar '18

14 Mar '18

*NETWORKING BIOSTATISTICS* Networking Biostatistics is a short international COSTNET conference organized by Italian and Dutch International Biometric Society (IBS) regions to promote networks among IBS regions, networks among biostatisticians, early career researchers and PhD students, and collaboration among biomedical researchers and biostatisticians in general, looking for network procedures and statistical methods for a real contribution in modelling modern biomedical data. The conference includes five parts: 1. *Invited speaker sessions* on advanced methods for biomedical data. 2. *Short poster presentations*: poster contributions will be introduced with a 5 minutes flash presentation. 3. *Posters session with awards*. 4. *Round table* with spontaneous contributions on “Networking modern biomedical researchers and biostatisticians: from big Data to Big information” 5. *Two short courses on network modelling*: - “Co-data learning: the group-regularized ridge and elastic net” (Mark van de Wiel) - “Introduction to graphical models and applications to genomics” (Paola Vicard/Francesco Stingo) Confirmed invited speakers are: Bianca Papi, Rotterdam (NL) Francesco Stingo, Università degli Studi di Firenze (IT) Luca Tardella, Sapienza Università di Roma (IT) Maria Grazia Valsecchi, Università degli Studi di Milano-Bicocca (IT) Mark van de Wiel, VU University Medical Center (NL) Veronica Vinciotti, Brunel University London (UK) Ernst Wit, University of Groeningen (NL) Abstracts for poster presentations can be submitted by sending an email to netbiostat(a)ibs-italy.org by *March**18th, 2018*. The Conference will be held at Vita-Salute San Raffaele University (Milan) in *April 12-13th, 2018*. All details about the event can be found at the website: http://ibs-italy.org/?page_id=703&lang=en

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avviso seminario Morlais
by Marco Alessandro Fuhrman 13 Mar '18

13 Mar '18

La professoressa Marie-Amélie Morlais del Laboratoire Manceau de Mathématiques (LMM), Institut du Risque et de l’Assurance IRA, Le Mans Université, terrà un seminario dal titolo Max-min and min-max systems of variational inequalities: connection with multidimensional BSDEs with bilateral obstacles and switching game il giorno lunedì 19 marzo 2018 alle ore 14:00 in sala rappresentanza del Dipartimento di Matematica dell'Università di Milano (via Saldini 50, 20133 Milano). Tutti gli interessati sono cordialmente invitati. La prof.ssa Morlais resterà in visita fino a giovedì 22 marzo. Cordiali saluti, Marco Fuhrman Abstract. This talk is based on two joint works (published in 2015 and 2017) with Prof. S. Hamadène (LMM Le Mans), Prof. B. Djehiche (KTH Stockholm Sweden) and X. Zhao (former PhD student of S. Hamadène) . These two papers focus on the connection between systems of interconnected PDEs, related multidimensional BSDEs and a general switching game (second paper). As an introduction, I recall the (rich) literature which links the optimal switching problem with explicit multidimensional BSDEs and related systems of variational inequalities. The relationship between those objects shall be given as well. I will finally present the so called min-max and max-min systems of PDEs whose viscosity solutions are heuristically identified (via the verification result) as the lower and upper value of the switching game. In the second part (first paper), I will explain the main steps allowing to construct solutions to both the min max and max min systems of variational inequalities. I stress the fact that, due to the non-linearities of those systems and the presence of interconnected obstacles, those solutions are a priori irregular: thus, to construct a solution, the use of viscosity theory is useful. In a third part (main result of the second paper) the connection with a multidimensional BSDE with bilateral obstacles is established (existence and uniqueness for the BSDE solution are then established in a Markovian framework of randomness). Finally and as an application, we provide an explicit relationship with the switching game: this consists in providing (sufficient) conditions ensuring the existence of both the switching game value and an optimal mixed strategy (as well as the relationship with the BSDE solution). Some open questions remaining unsolved shall be presented as a conclusion.

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De Finetti Seminar: SCHACHERMAYER
by Marco Maggis 12 Mar '18

12 Mar '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture *The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis* Walter Schachermayer University of Vienna Abstract: A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect- ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called the market impact. Following the recent work of A. Kyle and A. Obizhaeva we apply dimensional analysis - a line of arguments well known in classical physics to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. We also analyze the dependence of the trading activity on a stock, i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the number of trades is proportional to the power 2/3 of the exchanged risk. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 14, at 18.00 at Sala di Rappresentanza, Mathematics Department, Via Saldini 50, Milano. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano)

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seminario Marco Bianchetti in Bicocca
by fabio bellini 09 Mar '18

09 Mar '18

Il giorno mercoledì 21 marzo alle ore 14.30 presso la Aula Seminari 4026 del DISMEQ al IV piano dell'edificio U7, il dott. Marco Bianchetti di Intesa Sanpaolo terrà un seminario su Learning the Optimal Risk - Advanced Risk-Based Portfolio Management with Global Optimization and Machine Learning Algorithms Abstract We consider the portfolio optimization problem from a trading and risk management point of view. Given a generic initial portfolio of financial instruments (e.g. stocks, derivatives and securities) with a given risk profile and subject to risk management limits, we aim to find optimal trading strategies, based on eligible tradable and liquid market instruments (i.e. quoted stocks and plain vanilla derivatives and securities), able to globally optimize the portfolio risk figures while respecting the required risk limits. We make use of an evolutionary approach based on genetic algorithms, where a population of candidate trading strategies is evolved using crossover, mutation and elitism, until optimal solutions are found as the best trading strategies that both minimize the selected risk measures and respect the risk limits. We apply our idea to different test cases based on real portfolios including linear and non-linear real financial instruments. We show that different optimal trading strategies may exist, depending on the combination of risk-based objective functions and limits. Our approach is general with respect to initial portfolios, risk profiles, measures and limits, eligible optimization instruments, trading strategies, and optimization algorithms. It can be applied, in principle, to real portfolios of financial institutions, provided that, in practice, a single operational framework and sufficient computational resources are available. Strong financial insight is needed both to select the optimization parameters, i.e. the eligible trading strategies, and to understand the financial soundness of the solutions proposed by the optimization metaheuristic (joint work with Marco Scaringi). Tutti gli interessati sono invitati a partecipare. -- 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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