- Random - Mailing list — Dipartimento di Matematica, UniPI

Seminario di Probabilità
by Paolo Dai Pra 15 Apr '22

15 Apr '22

Cari colleghi, vi invito al seguente seminario. Date: 20 Aprile 2022, 14:30 Venue: Ca’ Vignal 2, Università di Verona, Aula G Speaker: Luisa Andreis, Università di Firenze Title: An introduction to phase transitions in coagulation processes and random graphs Abstract: Sparse inhomogeneous random graphs are a natural generalization of the well-known Erdos Renyi random graph, where vertices are characterized by a type and edges are independent but distributed according to the type of the vertices that they are connecting. These graphs undergo a phase transition in terms of the emergence of a giant component exactly as the classical Erd ̋os Renyi model. In this talk we will introduce an alternative approach, via large deviations, to prove this phase transition. This allows a comparison with the gelation phase transition that characterizes coagulation processes and the phase transition of condensation type emerging in several systems of interacting components. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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Seminar by J. Teichmann in Verona
by Alessandro Gnoatto 14 Apr '22

14 Apr '22

Prof. Josef Teichmann (ETH Zürich) will give a talk at the Department of Economics – University of Verona. Date: 20/04/2022 @ 12:00 (Rome Time) Title: Signature SDEs from an affine and polynomial perspective Affine or polynomial processes are fascinating classes of models due to the so-called affine transform formulae or moment formulae, respectively. We first show through a linearization procedure that generic classes of diffusion models can be obtained as projections of infinite dimensional affine processes (which actually coincide with polynomial processes). Affine and polynomial technology next allows to derive so far unknown formulae for characteristic functions and moments of involved process functionals. Third a dynamic viewpoint on those formulae (combined with machine learning approaches) leads to efficient numerical evaluations. If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLScgw1WL5uuNrg_woQgY9WJCOIG9uIzuxkR… <https://docs.google.com/forms/d/e/1FAIpQLScgw1WL5uuNrg_woQgY9WJCOIG9uIzuxkR…> Best Regards, -- Alessandro Gnoatto Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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Next LTI@UniTO seminars: April 19, 2022 @12:00 | April 20, 2022 @12:00
by Luca Regis 14 Apr '22

14 Apr '22

Dear Colleagues, it is my pleasure to invite you to the following two seminars on Quantitative Finance, organised by LTI@UniTO and CCA, which will take place in hybrid form on Tuesday 19th at 12.00 (prof. Polk, LSE) and on Wednesday at 12.00 (prof. Albuquerque, Carrol School of Management). Please find below the details and links to attend via Zoom. Best regards, Luca Regis ------------ Luca Regis Associate Professor ESOMAS Department University of Torinosites.google.com/view/lucaregiswww.carloalberto.org/lti <#m_-325173197699348024_m_-4631880425216739772_> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/mGgSCYMNR1a7HLMz6TnsrJrcmnBwnGaSAR…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/4KCyPXXx-Rw0rt4tRzRL2EdIK0lq7TJqPf…> <#m_-325173197699348024_m_-4631880425216739772_> *LTI@UniTO* and *Fondazione Collegio Carlo Alberto* are pleased to invite you to the following seminars: <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> *April 19, 2022 | 12:00 - 13:15* *The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation* *Christopher Polk (LSE – London School of Economics; CEPR)* <#m_-325173197699348024_m_-4631880425216739772_> *Abstract. *We decompose market returns into their overnight and intraday components, which dramatically improves equity premium forecasts. Past smoothed overnight market returns strongly negatively forecast subsequent close-to-close returns (quarterly R2 of over 14%), primarily through intraday mean reversion. In contrast, past smoothed intraday market returns strongly positively forecast subsequent overnight returns; this partially-offsetting effect explains PE's relatively poor forecasting ability (R2 only 3%). Our decomposition also resurrects the conditional CAPM: If we allow market betas to vary with past smoothed overnight returns, the unconditional alpha of the four Fama-French non-market factors decreases by 91%. We interpret these return patterns through a clientele perspective. First, individual investor expectations and consumption growth strongly positively forecast overnight market returns; intermediary risk tolerance and household equity share strongly negatively forecast intraday market returns. Second, aggregate discount-rate news associated with revisions in future expected overnight (intraday) returns is positively (negatively) correlated with aggregate cash-flow news. Finally, while the Tech boom and Covid crash/rebound were primarily driven by overnight returns, the Global Financial Crisis was mostly an intraday phenomenon. <#m_-325173197699348024_m_-4631880425216739772_> *To attend in presence, register here* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/AeJ-WyYc_gvUq2mT72rqiHtFvTQ6jPrbiV…> <#m_-325173197699348024_m_-4631880425216739772_> *To attend online, join Zoom Meeting* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/vQ-81gGUFwr92prMcO1wAos1prgrpZtXYC…> <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> *April 20, 2022 | 12:00 - 13:15* *Strategic Leadership in Corporate Social Responsibility* *Rui Albuquerque (Carrol School of Management, Boston College)* <#m_-325173197699348024_m_-4631880425216739772_> *Abstract.* We propose a strategic theory of Corporate Social Responsibility (CSR). Shareholder maximizers commit to a mission statement that extends beyond firm value maximization. This commitment leads firms (either product market competitors or complementors along the value chain) to change their actions in ways that ultimately favor shareholders. We thus provide a formal analysis of the “doing well by doing good” adage. We also provide conditions such that the mission statement game has the nature of a pure coordination game. Our framework thus provides a natural theory of firm leadership in a CSR context: by selecting a CSR mission statement, a first mover effectively leads the industry to a Pareto optimal equilibrium. <#m_-325173197699348024_m_-4631880425216739772_> *To attend in person, register here* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/sWQz91Ig64g-hKPI0qtXuwSrmqF9ks4uXO…> <#m_-325173197699348024_m_-4631880425216739772_> *To attend online, join Zoom Meeting* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/a5FFG16ZzGA4wKp6TEcOSC5UJL-ct_fbpI…> <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> <#m_-325173197699348024_m_-4631880425216739772_> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/w9EAxMXTRoVQWw8rge58Ur5Q9h1azrMGGu…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/ryYmaMlVZUN48CzZ1ArQlrckik3y2zJD7c…> <#m_-325173197699348024_m_-4631880425216739772_> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org [image: Facebook] <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/wh_Khsc6qoONJjjfPj_n-Lb6YoAirMTUXv…> [image: Twitter] <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/UnCsCKFdXGIuCX9lfeGpe6ph-BAbL3z-0f…> [image: LinkedIn] <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/tB9Ns4ARnwiSodkGn2ubnmU1M9x11LPrz4…> [image: Instagram] <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/QoIO7jUPYXlgktVaTw_Tvc2g1WfpgXZgB4…> [image: Youtube] <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/vBC6AeuPt0mow4OYvvHSCpa0bGiKvCbuof…> <#m_-325173197699348024_m_-4631880425216739772_> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org To find out about the policies regarding the processing of personal data pursuant to articles 13-14 of EU Regulation 2016/679, consult the information at the following link https://www.carloalberto.org/privacy/ <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/DOTuQ0uCCHcGYF5klkwzkQH0wWDrRpL_lu…> *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/8OTasEyZLFVs-LU8TrbS7FoU5yh_VLcM7kRb…> <#m_-325173197699348024_m_-4631880425216739772_> © 2021 Fondazione Collegio Carlo Alberto <#m_-325173197699348024_m_-4631880425216739772_>

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Postdoc Position for experts in complex networks/graph algorithms
by Juho Kanniainen (TAU) 14 Apr '22

14 Apr '22

Dear all, We have an open two-year post-doc position on financial networks in Tampere, Finland. If you have background on complex networks and/or graph algorithms and would like to join a highly impactful research project on insider trading in financial markets, you might be the candidate we are seeking. As this is a highly methodological project, background in financial market research is not required, but it is important to have general interest in the application area. For further details see https://tuni.rekrytointi.com/paikat/?o=A_RJ&jgid=1&jid=1433 The deadline for applications is the 9th of May, 2022. It would be great if you could forward this announcement to potential candidates. Best regards, Juho Kanniainen -- Juho Kanniainen Professor, PhD Tampere University Computing Sciences/Statistical Data Analytics Group for Financial Computing and Data Analytics<https://www.tuni.fi/en/research/financial-computing-and-data-analytics> Mobile: +358 40 707 4532 E-mail: juho.kanniainen(a)tuni.fi<mailto:juho.kanniainen@tuni.fi> www.sites.google.com/site/juhokanniainen<http://www.sites.google.com/site/juhokanniainen>

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seminar: "Point process learning", Ottmar Cronie, 19 April
by Umberto Picchini 14 Apr '22

14 Apr '22

You are welcome to the next Statistics seminar at Dept of Mathematical Sciences at Chalmers and Göteborg University. On Tuesday April 19, Ottmar Cronie <https://www.chalmers.se/en/staff/Pages/ottmar.aspx> will talk of: ///"Point process learning" / * * *About the speaker: *Ottmar Cronie <https://www.chalmers.se/en/staff/Pages/ottmar.aspx> is associate professor at Chalmers and University of Göteborg. His research is primarily in spatial and spatio-temporal statistics as well as statistical learning. The emphasis is on point processes. The applied part of his research focuses mainly on epidemiology where the main focus at the moment is research on covid-19 and mosquito-borne diseases. // //* * *Abstract:* Point processes are random sets which generalise the classical notion of a random (iid) sample by allowing i) the sample size to be random and/or ii) the sample points to be dependent. Therefore, point process have become ubiquitous in the modeling of spatial and/or temporal event data, e.g. earthquakes and disease cases. In this talk, we present the first statistical learning framework for general point processes, which is based on a subtle combination of two new concepts: prediction errors and cross-validation for point processes. The general idea is to split a point process in two, through thinning, and estimate parameters by predicting one part using the other. By repeating this procedure, we implicitly induce a conditional repeated sampling scheme. The proposed approach allows us to introduce a variety of loss functions not only suitable for standard spatial statistical problems but for general estimation settings, without imposing the iid assumptions. Having discussed different properties of this new approach, we illustrate how it may be applied in different spatial statistical settings and, numerically, we show in (at least) one of these settings that it outperforms the state of the art.* * *Feel free to spread this announcement in your network.* * * *Where*: room MVL14 orhttps://chalmers.zoom.us/j/64214516762 Password: 355673 ** **** *When*: Tuesday 19 April at 14.30-15.30*(Swedish time, UTC+2)*. ** -- _________________________________________________________ Umberto Picchini, Associate Professor, PhD, Docent https://umbertopicchini.github.io/ , twitter: @uPicchini

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de Finetti Risk seminar: Walter Schachermayer
by Marco Maggis 13 Apr '22

13 Apr '22

On behalf of the Scientific Committee of the "B. de Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance”, we are glad to invite you to participate at the following Lecture which will take place on Thursday, May 5, 2022 at 17.30 (see all details below). *Walter Schachermayer* Universität Wien *Title:* Martingale Transport, De March-Touzi paving, and stretched Brownian motion in ℝd *Abstract:* In classical optimal transport, the contributions of Benamou–Brenier and Mc-Cann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. For µ,ν probability measures on ℝd, increasing in convex order, stretched Brownian motion [1] provides an analogue for the martingale version of this problem. In dimension d=1 it was shown in [2] that any martingale transport decomposes into at most countably many invariant intervals and that this decomposition is universal. Extensions of this result to d≥2 were studied in [4], [5], [3]. We show that the dual optimization problem attached to a stretched Brownian motion induces the universal De March–Touzi paving [3] of ℝd. Joint work with M. Beiglböck, J. Backhoff, and B. Tschiderer. REFERENCES [1] J. Backhoff-Veraguas, M. Beiglböck, M. Huesmann, and S. Källblad. Martingale Benamou-Brenier: a probabilistic perspective. Ann. Probab., 48(5):2258–2289, 2020. [2] M. Beiglböck and N. Juillet. On a problem of optimal transport under marginal martingale constraints. Ann. Probab., 44(1):42–106, 2016. [3] H. De March and N. Touzi. Irreducible convex paving for decomposition of multidimensional martingale transport plans. Ann. Probab., 47(3):1726–1774, 2019. [4] N. Ghoussoub, Y.-H. Kim, and T. Lim. Structure of optimal martingale transport plans in general dimensions. Ann. Probab., 47(1):109–164, 2019. [5] J. Obłój and P. Siorpaes. Structure of martingale transports in finite dimensions. arXiv:1702.08433, 2017. *LOCATION: *The seminar will be held on Thursday, May 5, 2022 at 17.30, Aula di Rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A light reception will take place at 17.00. Scientific Committee Prof. Simone Cerreia-Vioglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)

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de Finetti Risk seminar: Walter Schachermayer
by Maggis Marco 13 Apr '22

13 Apr '22

On behalf of the Scientific Committee of the "B. de Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance”, we are glad to invite you to participate at the following Lecture which will take place on Thursday, May 5, 2022 at 17.30 (see all details below). *Walter Schachermayer* Universität Wien *Title:* Martingale Transport, De March-Touzi paving, and stretched Brownian motion in ℝd *Abstract:* In classical optimal transport, the contributions of Benamou–Brenier and Mc-Cann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. For µ,ν probability measures on ℝd, increasing in convex order, stretched Brownian motion [1] provides an analogue for the martingale version of this problem. In dimension d=1 it was shown in [2] that any martingale transport decomposes into at most countably many invariant intervals and that this decomposition is universal. Extensions of this result to d≥2 were studied in [4], [5], [3]. We show that the dual optimization problem attached to a stretched Brownian motion induces the universal De March–Touzi paving [3] of ℝd. Joint work with M. Beiglböck, J. Backhoff, and B. Tschiderer. REFERENCES [1] J. Backhoff-Veraguas, M. Beiglböck, M. Huesmann, and S. Källblad. Martingale Benamou-Brenier: a probabilistic perspective. Ann. Probab., 48(5):2258–2289, 2020. [2] M. Beiglböck and N. Juillet. On a problem of optimal transport under marginal martingale constraints. Ann. Probab., 44(1):42–106, 2016. [3] H. De March and N. Touzi. Irreducible convex paving for decomposition of multidimensional martingale transport plans. Ann. Probab., 47(3):1726–1774, 2019. [4] N. Ghoussoub, Y.-H. Kim, and T. Lim. Structure of optimal martingale transport plans in general dimensions. Ann. Probab., 47(1):109–164, 2019. [5] J. Obłój and P. Siorpaes. Structure of martingale transports in finite dimensions. arXiv:1702.08433, 2017. *LOCATION: *The seminar will be held on Thursday, May 5, 2022 at 17.30, Aula di Rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A light reception will take place at 17.00. Scientific Committee Prof. Simone Cerreia-Vioglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) -- Marco Maggis, Professore Associato, Secs-S/06 Dipartimento di Matematica F. Enriques, Via Cesare Saldini 50, 20133, Milano Telefono: 0250316120

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Call for application PhD in Economics Ca' Foscari University a.y. 2022-26 - spread the news
by Antonella Basso 12 Apr '22

12 Apr '22

Dear Colleague, I would be grateful if you could bring to the attention of your best students the new edition 2022-2026 of the PhD Program in Economics offered by the Ca' Foscari University of Venice. The PhD program has a duration of four years and 7 positions are available for the next cohort starting in September '22. Six of them come with a scholarship (around 15,300 € per year), one is reserved for non-Italian applicants holding an equivalent scholarship covering four years. The deadline for application is *May 2nd 2022*, *13h00 (Italian time)*. The PhD Program in Economics aims at training selected students for a career as economists in academic institutions or in research departments of national and international organizations, public institutions, private corporations, central banks, financial institutions. The considerable diversification of research areas covered by the members of the Department of Economics and their international reputation provide an excellent environment where students of most fields in economics can find guidance to develop their research projects for their doctoral studies. A presentation of the PhD programme is organised on Zoom on April 20th at 16.00. Please register here: http://phdeconomics2022.eventbrite.it Requirements and how to apply: https://www.unive.it/pag/43334/ Information on the PhD in Economics: http://www.unive.it/phdeconomics Herewith a link to our INOMICS advertisement: https://inomics.com/program/4-year-phd-in-economics-1447778 Any questions on the program may be addressed to the PhD Secretariat at: sse(a)unive.it Thank you for your attention. Best regards, Antonella Basso -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 E-mail address:basso@unive.it Web page:http://www.unive.it/data/persone/5591751

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6 PhD scholarships in Statistical Sciences – University of Padova, Italy – Deadline May 13, 2022 - 13:00 (CEST)
by Susi Ceron 12 Apr '22

12 Apr '22

Six PhD scholarships funded by the University of Padova are available at University of Padova for candidates interested in the area of *Statistical Sciences (start of activities: October 1st, 2022).* *Eligibility* The scholarship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years’ duration (applicants can get their qualification no later than 30th September 2022). Admission is decided on the basis of qualifications and an interview. *Grant awarded* The annual grant will be of euros **16,243.00* *(gross amount). The grant will be awarded for three years and it will be subject to satisfactory progresses evaluated on a yearly basis. *How to apply* The call is published *(deadline May 13, 2022 - 1 pm CEST) *at the page _http://www.unipd.it/ricerca/dottorati-di-ricerca/bandi-e-graduatorie _ English version at the page _http://www.unipd.it/en/node/1053_ Please note that the curriculum has to be written by filling the template *CV_XXXVIII* available from the Course web page _http://www.stat.unipd.it/ricerca/ammissione_ and uploading the filled template in the online procedure. *Applications are only accepted online using the link indicated in the call.* For more information about the Statistical Sciences PhD program see _https://www.stat.unipd.it/ricerca/dottorato-di-ricerca_ For more information about admission see _http://www.stat.unipd.it/ricerca/ammissione_ or contact _phd(a)stat.unipd.it_ Kindest regards, PhD Secretariat on behalf of prof. Nicola Sartori Coordinator of the PhD Course in Statistics University of Padova - Italy *We apologize for cross posting * -- Phd in Statistics University of Padova - Italy tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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International Workshop "Random Fields and Their Applaications", April 14-15, 2022, Kyiv, Ukraine
by Alessia Caponera 12 Apr '22

12 Apr '22

Dear Colleagues, We would like to announce the forthcoming International Workshop «Random Fields and Their Applications», dedicated to the memory of the prominent Ukrainian mathematician Professor Mykhailo Yadrenko, on occasion on his 90th anniversary. Invited speakers from around the world will present the latest achievements in the theory of random fields, that is the area of research ideas of Professor Mykhailo Yadrenko. Scientific talks are scheduled for April 14 from 12:00 to 19:00 Kyiv time. The informal meeting of colleagues, descendants, former students of Mykhailo Yadrenko (and anyone who would like to share thoughts and memories) is scheduled for April 15 from 15:00 to 17:00 Kyiv time. The workshop will be conducted virtually via Zoom meeting. You can find the program and the Zoom link here: https://probability.knu.ua/randomfields2022/program.html Best wishes, Alessia Caponera

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