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"Unlocking the value of big data", Special Issue on EJASA-DSS, Extended Deadline
by stefano iacus 07 Apr '14

07 Apr '14

Call for papers for the Special Issue on (extended deadline) "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decision Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 (extended to 15th April, 2014) Review decisions sent to authors: 30th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21 Stefano ps: Com'on statisticians! Where are you? We are the "data scientist" after all! ----------------------------------- Stefano M. Iacus Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Have a look at the new Master Degree in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Seminario Zorana Grbac a Padova
by Tiziano Vargiolu 07 Apr '14

07 Apr '14

ANNUNCIO DI SEMINARIO La Prof. Zorana GRBAC dell'Universit? di Parigi-Diderot (VII) terra' il seguente seminario lunedi' 14 aprile alle ore 15.30 in Aula 1BC45 del Dipartimento di Matematica, via Trieste 63, Padova. TITLE: Post-crisis interest rate models driven by Levy processes ABSTRACT: The recent credit crisis and the European sovereign debt crisis have impacted all financial markets and influenced the way derivatives are priced and hedged. In this talk we focus in particular on interest rate derivative models. When considering these models, two major changes with respect to the pre-crisis models should be taken into account. Firstly, a variety of spreads have developed between the rates that had been essentially the same before the crises. This is known as the multiple-curve phenomenon. Secondly, the crises have highlighted the native form of credit risk, namely the counterparty risk, as well as the funding issues. To meet these new modeling requirements, we develop a multiple-curve model, set in the HJM framework and driven by a Levy process. The use of Levy drivers allows an optimal balance between the flexibility needed to calibrate the model jointly to cap and swaption multiple-curve prices on one side, and the low number of Markov factors allowing the computation of counterparty risk and funding adjustments (CVA) on the other side. The pricing formulas in this framework are presented and possible Levy specifications discussed. We proceed with the calibration of the model and finally use the calibrated model as an underlying model for CVA computations. We conclude with a short and illustrative numerical example considering a basis swap. This is joint work with S. Cr?pey, N. Ngor and D. Skovmand ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Seminario di F. Delarue a Pisa
by Marco Romito 07 Apr '14

07 Apr '14

Nei giorni 9 aprile e 16 aprile 2014, presso la sala riunioni del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 9 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I 16 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I Tutti gli interessati sono invitati a partecipare m.

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Energy Finance 2014 conference call for abstracts
by Tiziano Vargiolu 03 Apr '14

03 Apr '14

EF14 conference call for abstracts announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14), Sept. 24 - 26, Erice, Italy ____________________________________________________________________________ It is a pleasure to announce that a call for abstracts for EF14 is currently open, starting from April 1 and closing on July 15. Abstracts, in the form of about 1 page (max 2 pages) pdf files, can be sent via email to the address: submissions(a)energyfinance2014.org Some more information about the required abstract format can be found in the EF14 conference website energyfinance2014.org. ____________________________________________________________________________ On the website, you will also find new information about conference fees. For more information about the conference, submissions excluded, please contact: info(a)energyfinance2014.org Please remember that it won't be possible to accommodate more than about 100 participants. ____________________________________________________________________________ Regards, Carlo Lucheroni, for the EF14 Organizing Committee. -- Carlo Lucheroni Scuola di Scienze e Tecnologie Universita' di Camerino via Madonna delle Carceri 9 62032 Camerino (MC) Italy Office phone: 39-0737402552

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de Finetti risk seminar - aprile 2014
by Emanuela Rosazza Gianin 02 Apr '14

02 Apr '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on April 9, 2014 at 18.00 with the Lecture Equilibrium in risk sharing games COSTANTINOS KARDARAS London School of Economics Abstract: We study equilibrium sharing of investment risk among agents whose random endowments constitute private information. Given the sharing rules that optimally allocate the submitted endowments, we propose a Nash game where agents' strategic choices consist of the endowments to be submitted for sharing. It is proved that the best response problem admits a unique solution (which we call "best endowment response") and differs from the agent's true risk exposure. Then, we proceed in showing that the Nash equilibrium risk sharing admits a finite dimensional characterisation, and that it exists and is unique in the case of two agents. Analysis shows that the game benefits the agents close to risk neutrality, since their expected utilities are higher at the Nash risk sharing equilibrium than the optimal risk-sharing one. (Joint work with Michail Anthropelos.) LOCATION: The seminar will be held on Wedsnesday, April 9, at 18.00 at Sala di rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali Università di Milano Bicocca Edificio U7 - 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Jean- Marc Azaïs - Tor Vergata - 7 aprile
by Valentina Cammarota 02 Apr '14

02 Apr '14

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 7 aprile ore 14 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Jean-Marc Azaïs IMT, Universite de Toulouse, France Title: The tail of the maxima of Gaussian fields on non locally convex sets. Abstract: The Euler Characteristic method or the Rice method give a full expansion of the tail of the maximum of stationary Gaussian fields defined on some regular sets. A key hypothesis is local convexity that means roughly that, by a smooth change of parameterization, the parameter set can be transform in a convex set. In our talk we will present an alternative method that works for general parameter set as fractals sets and permits to obtain a full expansion in dimensions 2 for a large class. Our result will be illustrated by examples that are all new. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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Fwd: Summer school and workshop on random interacting systems, Bath UK
by Cristian Giardina 31 Mar '14

31 Mar '14

---------- Forwarded message ---------- From: Alexandre Stauffer <a.stauffer(a)bath.ac.uk> Date: Mon, Mar 31, 2014 at 6:49 PM Subject: Summer school and workshop on random interacting systems, Bath UK To: cristian.giardina(a)unimore.it Cc: a.stauffer(a)bath.ac.uk Dear Cristian, Could you please forward this announcement to your interested colleagues and friends? (apologies for multiple posting) School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander* (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Católica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Université de Genève) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Processi stocastici su grafi - venerdi 4 aprile
by Marco Isopi 31 Mar '14

31 Mar '14

PROCESSI STOCASTICI SU GRAFI Una giornata dedicata al confronto tra studiosi che lavorano in campi diversi. Venerdi 4 aprile - Dipartimento di Matematica- Aula di Consiglio 10-30-11.15 Fabio Fagnani: Apprendimento distribuito in giochi potenziali su rati grandi. caffè 11.30-12 Alessandro Epasto: Ordinamento per similarità in grafi bipartiti grandi. 12.12.30 Elena Agliari: Assorbimento e collisioni su strutture ramificate. 12.30-13 Emanuele Natale: Dinamiche maggioritarie e sistemi distribuiti sincroni. 13-14 Discussione, problemi aperti (con spuntino durante la discussione) 14-14.30 Andrea Gabrielli: Ricostruzione di reti economico-finanziarie da informazioni parziali nello schema dei "modelli di fitness". 14.30-15 Flavio Chierichetti: Votare con informazione incompleta e molte scelte. http://www1.mat.uniroma1.it/~isopi/processi_su_grafi.html

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Avviso di mini-corso :: C.V.D.@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 31 Mar '14

31 Mar '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Venerdì 04 Aprile, ore 10:00-13:00 ----------------------------------------------------------------------------- Aula VI (quarto piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma C.LAUDIO DURASTANTI V.ALENTINA CAMMAROTA D.OMENICO MARINUCCI (Dip. di Matematica, Università degli Studi di Roma Tor Vergata) terranno un mini-corso dal titolo STEIN-MALLIAVIN APPROXIMATIONS IN STATISTICS & PROBABILITY tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- P R O G R A M Part I: The Geometry of Needlets Excursion Sets Domenico Marinucci In this talk, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on wavelet/needlet components of spherical random fields. For such fields, we consider smoothed polynomial transforms, such as those arising from local estimates of angular power spectra and bispectra; we focus on the geometry of their excursion sets, and we study their asymptotic behaviour, in the high-frequency sense. Our main technical tools are recent results on Malliavin calculus and Total Variation bounds for Gaussian subordinated fields by Nourdin and Peccati, and the Gaussian Kinematic Formula by Adler and Taylor, which we shall review briefly in the talk. We put particular emphasis on the analysis of Euler-Poincaré characteristics, which can be exploited to derive extremely accurate estimates for excursion probabilities. The present analysis is motivated by the statistical investigation of asymmetries and anisotropies in Cosmic Microwave Background radiation (CMB) data. Based on joint work with Sreekar Vadlamani Part II: Stein-Malliavin Approximations for Needlets Polyspectra Valentina Cammarota We provide quantitative Central Limit Theorems, in the high frequency limit, for nonlinear transforms of spherical wavelets/needlets random fields, which are of immediate interest for spherical data analysis. In particular, we focus on so-called needlets polyspectra, which are popular tools for nonGaussianity analysis in the cosmological community, and on the area of excursion sets. Our results are based on Stein-Maliavin approximations for nonlinear transforms of Gaussian fields, and on an explicit derivation on the high-frequency limit of the fields' variances, which may have some independent interest. Based on joint work with Domenico Marinucci Part III: Normal Approximations for Linear and U-Statistics on Spherical Poisson Fields Claudio Durastanti We review a recent stream of research on Normal approximations for linear and U-statistics of wavelets/needlets coefficients evaluated on a homogeneous spherical Poisson fi...eld. We show how exploting results from Peccati and Zheng (2011), based on Malliavin calculus and Stein''s methods, it is possible to assess the rate of convergence to Gaussianity for a triangular array of statistics with growing dimensions. These results can be exploited in a number of statistical applications, such as spherical density estimations, searching for point sources, estimation of variance and the spherical two-sample problem. Based on joint work with Solesne Bourguin, Domenico Marinucci and Giovanni Peccati.

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A Workshop to Celebrate the Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction, University of Cambridge, UK (30 April 2014)
by Julia Mortera 30 Mar '14

30 Mar '14

Dear Colleague, Many thanks to those who have already registered and who have emailed us their unavailability for the workshop. *** Gentle reminder please *** *Workshop:* The Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction *Venue:*** Centre for Mathematical Sciences, University of Cambridge, UK *Date:* 30th April 2014 *Dinner Date:* 29 April 2014 *Registration deadline:* 15 April 2014 * Registration and ***more information*: * https://sites.google.com/site/workshopdawid2014/ *Dinner only option:* If you wish to join us only for dinner, please let us know by emailing Hui Guo at hg283(a)cam.ac.uk by 15 April. You will be able to make payments for the dinner in the restaurant on the day. *Confirmed speakers:* Carlo Berzuini (University of Manchester) Simon Byrne (UCL) Panayiota Constantinou (University of Bristol) Vanessa Didelez (University of Bristol) Sara Geneletti (LSE) Peter Grünwald (CWI and Leiden University) Hui Guo* *(University of Cambridge) Steffen Lauritzen (University of Oxford) Monica Musio(University of Cagliari) Julia Mortera (Umiversity of Rome) David Spiegelhalter (University of Cambridge) Volodya Vovk (Royal Holloway University of London) Thanks for Your attention. We would be very happy if you could attend the meeting. Kind Regards, Luisa Bernardinelli Carlo Berzuini Panayiota Constantinou Vanessa Didelez Hui Guo Nuala Sheehan -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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