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Seminario REN
by Matteo Ruggiero 12 Sep '16

12 Sep '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 16 Settembre 2016 alle ore 12:00, presso l’Aula 5 del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Boyu REN (Harvard University) A BAYESIAN NONPARAMETRIC MODEL FOR MICROBIOME DATA ANALYSIS We develop a statistical model to analyse microbiome profiling data based on sequencing of genetic fingerprints in 16S ribosomal RNA. The analysis allows us to quantify the uncertainty in ecological ordination and clustering methods commonly applied in microbiome research. In addition, it can be extended into a framework for association studies when sample characteristics are available. The method is based on the estimation of the underlying microbial distribution in experimental samples using a dependent Dirichet Process prior in which dependence is expressed through the combination of low-dimensional latent features and observed sample covariates. This type of model is advantageous for several reasons. First, information is borrowed across samples to estimate underlying microbial distributions. Second, the nonparametric nature of the model avoids the artefacts of truncation and rarefaction techniques. Lastly, the Bayesian framework mitigates the effects of multiple testing for associations between covariates and species abundance and other hypotheses of interest. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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2 years position in dynamical systems, computational ergodic theory, randomness and pseudo-randomness
by Stefano Marmi 12 Sep '16

12 Sep '16

Dear Collegue, I would be grateful if you could bring to the attention of your best postgraduate students and PhD holders that a two years long research position in “Dynamical systems, computational ergodic theory, randomness and pseudo-randomness” is available at the Scuola Normale Superiore in Pisa. PhD students can also apply, provided they obtain their PhD no later than 31st december 2016. *Deadline for application is September 26th 2016.* The annual gross remuneration is around 32,000 Euros, corresponding to a monthly salary of approximately 2,000 Euros. *Full official call can be retrieved at* http://en.sns.it/bando/research-contract-named-%E2%80% 9Cdynamical-systems-computational-ergodic-theory-randomness-and-pseudo Yours sincerely, Stefano Marmi

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MODEL UNCERTAINTY AND ROBUST FINANCE
by Giovanni Puccetti 12 Sep '16

12 Sep '16

ABSTRACT DEADLINE (September 30) APPROACHING FOR MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/> University of Milan, 10-11 November 2016 INVITED SPEAKERS: Giorgio DALL'AGLIO (Special historical talk) David HOBSON (University of Warwick) Jan OBLOJ (University of Oxford) Bernt ØKSENDAL (University of Oslo) Halil Mete SONER (ETH Zurich) Steven VANDUFFEL (VRIJE Brussels) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS

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seminar announcement
by Marco Scarsini 09 Sep '16

09 Sep '16

Thursday 15 September, from 12.00 to 13.00, room 207 viale Romania 32 00197 Rome. Speaker: Panayotis Mertikopoulos (CNRS and LIG, Grenoble, France) Title: Learning in concave games with imperfect information Abstract: This paper examines the convergence properties of a class of learning schemes for concave N-person games - that is, games with convex action spaces and individually concave payoff functions. Specifically, we focus on a family of learning methods where players adjust their actions by taking small steps along their individual payoff gradients and then "mirror" the output back to their feasible action spaces. Assuming players only have access to gradient information that is accurate up to a zero-mean error with bounded variance, we show that when the process converges, its limit is a Nash equilibrium. We also introduce an equilibrium stability notion which we call variational stability (VS), and we show that stable equilibria are locally attracting with high probability whereas globally stable states are globally attracting with probability 1. Additionally, in finite games, we find that dominated strategies become extinct, strict equilibria are locally attracting with high probability, and the long-term average of the process converges to equilibrium in 2-player zero-sum games. Finally, we examine the scheme's convergence speed and we show that if the game admits a strict equilibrium and the players' mirror maps are surjective, then, with high probability, the process converges to equilibrium in a finite number of steps, no matter the level of uncertainty. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario di Giovanni Barone Adesi presso Dipartimento di Informatica, UniVr - 16 Settembre 2016
by Luca di persio 08 Sep '16

08 Sep '16

Con preghiera di diffusione. Seminario del Dipartimento di Informatica venerdì 16 settembre 2016, Sala Verde, ore 15.00 (rinfresco 14.45, inizio seminario 15.00) Giovanni Barone Adesi, Università della Svizzera italiana "WTI Crude oil option implied VaR and CVaR: an empirical application" Abstract In a recent theoretical paper Barone Adesi (2015) shows how to extract the option implied VaR and CVaR. This is the fi rst empirical application of that paper. We extract the 2014-2015 daily option implied VaR and CVaR from the WTI crude oil future prices and the options written on it. Without relying on any distributional assumption we are able to backtest the CVaR values, thus proposing a coherent and elicitable risk measure. From a forecasting viewpoint a ratio of the two risk measures allows us to predict the probability density of jumps in the underlying price, which would have been unpredictable with standard inference methods. Keywords: Option Prices, Risk Measures, Var and Cvar, Elicitability. http://search.usi.ch/people/5be736fa2b7c09db295e1b3747f643b9/Barone-Adesi-G… Contact Person: Luca Di Persio __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Stochastic Analysis workshop - 19 Sept 2016 - Leeds UK
by Elena Issoglio 08 Sep '16

08 Sep '16

*deadline approaching* Dear colleagues, This is to announce a one-day workshop on Topics in SDEs and their link to (S)PDEs. The workshop will be held in the School of Mathematics in Leeds (UK) on 19 September 2016. Registration is FREE but COMPULSORY (for catering porpuses). If you intend to take part please send an email to Elena Issoglio (e.issoglio(a)leeds.ac.uk) by Monday 12th September. _______________________ Programme 12:00-13:00 - Buffet lunch 13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk 13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients 14:30-14:50 - Shi, Q. - American Eagle Options 14:50-15:30 - Coffee Break 15:30-16:15 - Dos Reis, G. - Ideas on pathwise directional derivatives beyond Cameron-Martin directions 16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations 16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics 18:30 - Social Dinner ________________________ This workshop is sponsored by the LMS. Partial travel funding is available for young researchers including PhDs and Post-Docs. Please email Elena for further information about financial support. For more details see http://www.maths.leeds.ac.uk/topics_in_sdes Best wishes, Elena Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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Avviso di seminari
by Eva Riccomagno 08 Sep '16

08 Sep '16

Buongiorno a Tutti, Si informa che lunedi’ 12 settembre presso il Dipartimento di Matematica dell’Universita’ di Genova, aula 715, si terranno i due seguenti seminari. Cordiali saluti, Eva Riccomagno ore 15.:30 Manuele Leonelli, Instituto de Matemática, Universidade Federal do Rio De Janeiro, UFRJ https://sites.google.com/site/manueleleonelli <https://sites.google.com/site/manueleleonelli> TITLE: Bayesian semiparametric multivariate models for extreme exceedances ABSTRACT: Interest on extremal events generally involves the joint study of many concomitant variables, as for instance wave height and surge. We build on previous work which specifically accounted for marginal exceedances over a high, unknown threshold, by combining it with flexible families of copulae. This approach allows for the detection of specific patterns of dependence be them extremal or not. Attention is also devoted to the ascertainment of asymptotic independence, where standard multivariate extreme value theory is not applicable. Estimation of higher quantiles and other quantities of interest is performed both marginally and conditionally via MCMC algorithms. Our approach is evaluated through a series of simulations and is applied to real data sets. ore 16:30 Alessio Signori, Dipartimento di Scienze della Salute, Universita’ degli Studi di Genova TITLE: Longitudinal trajectories of EDSS in primary progressive multiple sclerosis patients A latent class approach ABSTRACT: Background. Over the last decades several natural history studies on primary progressive MS (PPMS) patients were reported from international registries. In this population a consistent heterogeneity was observed in the rate of disability accumulation, as time to reach the milestone of Expanded Disability Status Scale (EDSS) 6 ranged between 7 and 14 years from onset. Objectives. To identify subgroups of PPMS patients with similar longitudinal trajectories of EDSS over time. Methods. All PPMS patients collected within the MSBase international registry, who had their first EDSS assessment within 5 years from onset were included in the analysis. Longitudinal EDSS scores were modelled by a latent class mixed model (LCMM), using a nonlinear function of time from onset. LCMM is an advanced statistical approach that models heterogeneity between patients by classifying them into unobserved groups (latent classes) showing similar characteristics. Results. A total of 853 PPMS (51.7% females) from 24 countries with a mean age at onset of 42.4 yrs (SD: 10.8 yrs), a median baseline EDSS of 4 (IQR: 2.5-5.5) and 2.4 yrs of disease duration (SD: 1.5 yrs) were included. LCMM detected 3 different subgroups of patients with a mild (n=143 ;16.8%), moderate (n=378; 44.3%) or severe (n=332; 38.9%) disability trajectory. Median time to EDSS 4 was 14, 5 and 3.7 years respectively, for the 3 groups. The probability of reaching EDSS 6 at 10 years was 0%, 46.5% and 83.1% respectively. Using this modelling approach it is possible to predict the future disease course of a subject with PPMS using early EDSS assessments. Using only 1 year of EDSS monitoring 73% of patients are correctly classified in their disability trajectory group (mild, moderate or severe); after 3 years this proportion increases to 87% and after 5 years it reaches 92%. Conclusions. Using long-term observations and an LCMM modelling approach, it is possible to build a dynamic model, to predict the future disability trajectory of newly diagnosed PPMS patients. In the design of future clinical trials in PPMS, using time to reach disability milestones as the primary endpoint, the existence of heterogeneous classes of patients should be considered. ________________________________________________________ Prof. Eva Riccomagno Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 07 Sep '16

07 Sep '16

We are glad to inform you that the webpage of the First Italian Meeting on Probability and Mathematical Statistics is now online: http://calvino.polito.it/~probstat/torino2017 There you can find updated news about the meeting (deadlines, abstract submission and contributed sessions submission). Please, do not forget to consult it! With the hope to cover the wide spectrum of subjects of the Italian research on Probability and Mathematical Statistics, we expect many Contributed Sessions Proposals. On behalf of the organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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ICEEE 2017 - call for papers
by Monica Billio 07 Sep '16

07 Sep '16

Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017) The Italian Econometric Association (SIdE) is pleased to announce the Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017), which will take place January 25-27, 2017, in Messina, Italy. Economists, statisticians and econometricians are invited to submit theoretical and applied papers in all areas of econometrics and empirical economics. Invited speakers: Maria Cristina De Nardi (University College London, Federal Reserve Bank of Chicago, IFS and NBER), Lucrezia Reichlin (London Business School). Conference webpage: http://virgo.unive.it/side/?page_id=1745 Submission of papers is now possible via Easychair: ** https://easychair.org/conferences/?conf=iceee7th (with a limit of one paper per submitter) at https://easychair.org/conferences/?conf=iceee7th. The deadline for submission is September 30, 2016. The decision notification date is November 20, 2016. Program Committee: Erich Battistin (Queen Mary University of London), Monica Billio (Ca’ Foscari University of Venice - Chair), Fabio Canova (BI Norwegian Business School), Roberto Casarin (Ca’ Foscari University of Venice), Giuseppe Cavaliere (University of Bologna), Massimiliano Caporin (University of Padua), Valentina Corradi (University of Warwick), Fulvio Corsi (Ca’ Foscari University of Venice), Walter Distaso (Imperial College London and University of Messina), Luca Fanelli (University of Bologna), Mario Forni (University of Modena and Reggio Emilia), Raffaella Giacomini (University College London), Tullio Jappelli (University of Naples “Federico II”), Simone Manganelli (European Central Bank, Frankfurt), Raffaele Miniaci (University of Brescia), Chiara Monfardini (University of Bologna), Edoardo Otranto (University of Messina), Franco Peracchi (University of Rome “Tor Vergata”), Elena Pesavento (Emory University), Francesco Ravazzolo (Free University of Bozen), Barbara Rossi (ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI), Eduardo Rossi (University of Pavia and European Commission Joint Research Center), Alessandro Tarozzi (Universitat Pompeu Fabra and Barcelona GSE). Local organizing Committee: Walter Distaso (Imperial College and University of Messina – Chair), Leone Leonida (University of Messina and King’s College), Dario Maimone Ansaldo Patti (University of Messina) Prizes: One prize of Euro 1,500 will be awarded to the best conference paper written by young scientists in Macroeconometrics or Financial Econometrics (Carlo Giannini Prize, offered by SIdE). One prize of Euro 2,500 will be awarded to the best conference paper written by young scientists in Theoretical or Applied Microeconometrics (Labour Prize, offered by LABOUR: Review of Labour Economics and Industrial Relations). For eligibility to both prizes, all authors of a paper must be no more than 4 years past the PhD defense.

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ARPM job opportunity
by Elisa Appolloni 07 Sep '16

07 Sep '16

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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