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PhD position with deadline tomorrow
by Camilla Pisani 30 Jan '14

30 Jan '14

PhD position in Lund with deadline tomorrow: http://www.lunduniversity.lu.se/o.o.i.s?id=24914&Dnr=575675&Type=E _____________________ Camilla Pisani HPCFinance project-Phd student Aarhus University Business and Social Sciences Fuglesangs Allé 4 8210 Aarhus V, Denmark T: +45 87166015 M: cpisani(a)econ.au.dk W: http://au.dk/en/ cpisani(a)econ.au.dk [bslogo_mail_equis_stor_uk] Business and Social Sciences is a broad business school constituting one of four new main academic areas at Aarhus University. Business and Social Sciences is the largest university unit within business and social sciences in Denmark, encompassing a wide range of academic disciplines, outstanding research environments and strong degree programmes.

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course at GSSI L'Aquila
by davide gabrielli 29 Jan '14

29 Jan '14

The course of Maria Eulalia Vares: TOPICS IN SPECIAL INTERACTING PARTICLE SYSTEMS will start Tuesday February 4 at 16 pm and will continue up to February 27 with the following timetable: Tuesday: 16-18 Wednesday: 9-11 Thursday: 9-11 At Gran Sasso Science Institute, L'Aquila

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Seminario Probabilità a Roma Tre il 04-02-2014
by pietro caputo 29 Jan '14

29 Jan '14

Seminario di Probabilità a Roma Tre Alexandre Stauffer (University of Bath) Titolo: Mixing time of random walks on dynamical percolation Martedi' 04 Febbraio 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 211 Largo San L. Murialdo,1 Abstract We study the behavior of random walk on dynamical percolation. In this model, the edges of a graph G are either open or closed and refresh their status at rate mu while at the same time a random walker moves on G at rate 1 but only along edges which are open. On the d-dimensional torus with side length n, we prove that in the subcritical regime, the mixing times is of order n^2/mu. We also obtain results concerning mean squared displacement and hitting times.This is a joint work with Yuval Peres and Jeff Steif.

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Re: [Random] JoMaC - Call-for-Paper for Special Issue (fwd)
by Tiziano Vargiolu 28 Jan '14

28 Jan '14

---------- Forwarded message ---------- Date: Mon, 27 Jan 2014 15:39:37 +0100 From: paolo pellizzari <paolop(a)unive.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: AW: JoMaC - Call-for-Paper for Special Issue caro Tiziano, please circulate the following call for paper http://www.springer.com/business+%26+management/accounting/journal/187: for a special issue "Simulation in Management Accounting and Management Control" of JoMaC. Details and deadlines in the attached file. grazie e saluti, paolo pellizzari -- Dept. of Economics Ca' Foscari University of Venice - ITALY email: paolop(a)unive.it http://virgo.unive.it/paolop @paolopellizzari Gli uomini son bestie rare, son capitomboli di allegria, sono carretti da trascinare, sono gomitoli di fantasia. (Scraps Orchestra, "Rosso di sera")

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Correzione data - Seminario I. Crimaldi
by alessandra bianchi 27 Jan '14

27 Jan '14

Giovedì 6 febbraio, alle ore 15:00, presso l'aula Seminario VII del Dipartimento di Matematica di Padova la Prof.ssa Irene Crimaldi (IMT Lucca) terra' il seguente seminario TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Probabilità - Università di Padova
by alessandra bianchi 27 Jan '14

27 Jan '14

Ho il piacere di invitarvi al seguente seminario, che si terrà mercoledì 5 febbraio, alle ore 15:00, nell'aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Prof.ssa Irene Crimaldi AFFILIATION: IMT- Institute for advanced studies -Lucca TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Fabio Gobbi a Bologna
by giacomo.scandolo＠univr.it 27 Jan '14

27 Jan '14

Il giorno Giovedì 30 Gennaio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna si terrà il Seminario del Dott. Fabio Gobbi Dipartimento di Scienze Statistiche, Università di Bologna Titolo: C-CONVOLUTION AND ITS APPLICATION TO FINANCE Abstract In ﬁnancial applications is interesting to determine the distribution function of the sum of two random variables X and Y in the case where they are dependent. We address the problem using the convolution operator which recovers the distribution of X+Y when a copula function C describes the dependence structure and the marginal distributions of the two r.vs. are given. Nevertheless, almost all the ﬁnancial data are generated by stochastic processes. Our C-convolution approach allows to build dependent increments processes since setting X = X(t-1) − and Y = DX, their sum is X_t . In this framework we model the dependence structure between the level of the process and its next increment. From an empirical point of view, ﬁnancial data are time series and the econometric analysis is provided by the concept of conditional copula introduced by Patton (2006) which allows us to deﬁne the conditional 𝐶-convolution as a data generating process. We estimate such a model by a three-stage maximum likelihood method and we provide some asymptotic results of this estimator. An immediate ﬁnancial application of such a method is given by a copula-based model to recover the distribution of actively managed funds. The analysis is based on a general representation of the Henriksson Merton (1981) model, in which the forecasting ability of the asset manager is modeled with a copula function (linking the forecasts of the asset manager and actual market movements). This is a convolution-based copula yielding at the same time the marginal distribution of the return on the managed fund and the dependence structure between the managed fund and the market. The model is very well suited to estimate and simulate the conditional distribution of managed funds.

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Avviso di seminario :: Ventura@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 27 Jan '14

27 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 31 Gennaio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LAURA VENTURA (Dip. di Scienze Statistiche, Università degli Studi di Padova) terrà un seminario dal titolo PSEUDO-LIKELIHOODS FOR BAYESIAN INFERENCE 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 --- Summary In the presence of models with complicated dependence structures, of multidimensional nuisance parameters, or of model miss-specifications, both frequentist and Bayesian inference may encounter some theoretical and computational difficulties, since the ordinary likelihood may be too difficult or even impractical to compute. In order to take into proper account such difficulties, it is possible to consider surrogates of the original likelihood, which produce the wide class of the so-called pseudo-likelihoods. In this talk we review the properties and applications of the so-called pseudo-posterior distributions, i.e. posterior distributions derived from the combination of a pseudo-likelihood function with suitable prior information. Some examples are illustrated.

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Fwd: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy
by Cristian Giardina 25 Jan '14

25 Jan '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Fri, Jan 24, 2014 at 3:26 PM Subject: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behalf of the organizers, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl (mon+wed 8.30-16.30; thu+fri 8.30-15.00) _______________________________________________ stoch-ned-l mailing list SMS-VvS+OR/ Section Mathematical Statistics of The Netherlands Society for Statistics and Operations Research. stoch-ned-l(a)science.uu.nl http://mailman.science.uu.nl/mailman/listinfo/stoch-ned-l

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mini workshop on risk measures in Bicocca
by Fabio Bellini 25 Jan '14

25 Jan '14

Il giorno martedì 28 gennaio dalle ore 14.30 alle ore 17.30, presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al quarto piano dell'edificio U7, si terrà un mini-workshop su "New trends in risk measures". Programma dettagliato: 14.30 - 15.30 Johanna Ziegel, Università di Berna "Coherence and elicitability" http://arxiv.org/pdf/1303.1690.pdf 15.30 - 16.30 Valeria Bignozzi, ETH Zurich "How superadditive can a risk measure be?" http://www.math.uwaterloo.ca/~wang/papers/2014WBT.pdf 16.30 - 17.30 Elisa Mastrogiacomo, DISMEQ "Portfolio optimization with quasiconvex risk measures" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282472 Tutti gli interessati sono invitati a partecipare. Saluti Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

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