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Seminario Prof.ssa Youngna Choi @ SNS Pisa
by Giacomo BORMETTI 07 Jan '14

07 Jan '14

Buongiorno a tutti, vi segnalo il seminario della Prof.ssa Youngna Choi della Montclair State University che si terrà a Pisa presso la Scuola Normale Superiore il prossimo 9 Gennaio alle ore 13:00 in Aula Bianchi. Seguono titolo e abstract. Titolo: Financial Instability Contagion: a Dynamical Systems Approach Abstract: We build a multi-agent dynamical system for the global economy to investigate and analyze financial crises. The agents are large aggregates of a subeconomy, and the global economy is a collection of subeconomies. We use well-known theories of dynamical systems to represent a financial crisis as propagation of a negative shock on wealth due the breakage of a financial equilibrium. We first extend the framework of the market instability indicator, an early warning signal defined for a single economy as the spectral radius of the Jacobian matrix of the wealth dynamical system. Then, we formulate a quantitative definition of instability contagion in terms thereof. Finally, we analyze the mechanism of instability contagion for both single and multiple economies. Our contribution is to provide a methodology to quantify and monitor the level of instability in sectors and stages of a structured global economic model and how it may propagate between its components. Tutti gli interessati sono cordialmente invitati.

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LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE
by Julia Mortera 06 Jan '14

06 Jan '14

Dottorato in "Economia e Metodi Quantitativi" giovedì 9 gennaio 2014, ore 15.00-18.00 Sala delle lauree, Dipartimento di Economia, Università degli Studi Roma Tre Via Silvio D'Amico 77, 00145 Roma */LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE/* ore 14.45: Caffè di benvenuto ore 15.00: Saluti e introduzione *Silvia Terzi*- Direttore Dipartimento di Economia *Julia Mortera*-- Dipartimento di Economia ore 15.30:Lezione inaugurale** *Søren Johansen *-- Professor of Econometrics, Department of Economics, University of Copenhagen /Cointegration in the vector autoregressive model/^ ore 16.30:Discussion ore 17:15:Coffee Break ore 17:30*Katarina Juselius *--Professor of Economics, Department of Economics, University of Copenhagen /Challenges for Macroeconomic Theory/ ore 18:00//Discussion *Abstracts* // /*Cointegration in the vector autoregressive model*/ An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.// */Challenges for Macroeconomic Theory/* Standard macroeconomic models were not able to foresee our recent crisis nor have they been very useful for guiding us out of the subsequent long recession. Most of the economics profession has, therefore, acknowledged the need for a new research vision in macroeconomics and macrofinance. This talk discusses a number of challenges and argues that we need theoretical models that can capture the full dynamics of financial market behavior and its interrelatedness with the real economy as well as empirical models that can take such models to the data without compromising high scientific standards. How to combine these two goals is the subject of the talk. -- 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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3rd Carlo Alberto Stochastics Workshop - Program
by Matteo Ruggiero 24 Dec '13

24 Dec '13

***************************************************************** WORKSHOP - COLLEGIO CARLO ALBERTO ***************************************************************** The "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) is pleased to announce that the program for the 3rd CARLO ALBERTO STOCHASTICS WORKSHOP: ALGEBRAIC STATISTICS II is now available. The details about oral and poster presentations can be consulted at the page http://www.carloalberto.org/research/statistics-initiative/events/3rd-carlo… The workshop aims at presenting some of the latest advances on Algebraic Statistics, and will be held on January 10-11, 2014 at Collegio Carlo Alberto, Moncalieri. Best regards and happy holidays, Matteo Ruggiero --------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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Fwd: [ccfz] Lectureship in Financial Mathematics at DCU (fwd)
by Tiziano Vargiolu 23 Dec '13

23 Dec '13

----- Forwarded message from paolo.guasoni(a)dcu.ie ----- Date: Fri, 20 Dec 2013 15:31:32 +0000 From: Paolo Guasoni <paolo.guasoni(a)dcu.ie> Subject: [ccfz] Lectureship in Financial Mathematics at DCU To: st-net(a)mailbox.tu-dresden.de, Random Random <random(a)webmail.mate.polimi.it>, siam-fme <siam-fme(a)siam.org>, stoch-ned(a)lists.imstat.org, ccfz(a)lists.math.ethz.ch, fps(a)lists.imstat.org Dear Colleague, Dublin City University has a Lecturer vacancy in Financial Mathematics: http://www4.dcu.ie/hr/vacancies/current.shtml Please draw this to the attention of potential candidates. The closing date for applications is January 12th. With best wishes of Happy Holidays, Paolo Guasoni -- *Email Disclaimer"This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Any unauthorised dissemination, distribution or copying of this message and any attachments is strictly prohibited. If you have received this e-mail in error, please notify the sender and delete the message. Any views or opinions presented in this e-mail may solely be the views of the author and cannot be relied upon as being those of Dublin City University. E-mail communications such as this cannot be guaranteed to be virus-free, timely, secure or error-free and Dublin City University does not accept liability for any such matters or their consequences. Please consider the environment before printing this e-mail."S?anadh R?omhphoist"T? an r?omhphost seo agus aon chomhad a sheoltar leis faoi r?n agus is lena ?s?id ag an seola? agus sin amh?in ?. T? cosc ioml?n ar scaipeadh, dh?ileadh n? ch?ipe?il neamh?daraithe ar an teachtaireacht seo agus ar aon cheangalt?n at? ag dul leis. M? t? an r?omhphost seo faighte agat tr? dhearmad cuir sin in i?l le do thoil don seolt?ir agus scrios an teachtaireacht. D?fh?adfadh s? gurb iad tuairim? an ?dair agus sin amh?in at? in aon tuairim? no dearctha? at? curtha i l?thair sa r?omhphost seo agus n?or ch?ir glacadh leo mar thuairim? n? dhearctha? Ollscoil Chathair Bhaile ?tha Cliath. N? ghlactar leis go bhfuil cumars?id r?omhphoist den s?rt seo saor ? v?reas, in am, sl?n, n? saor ? earr?id agus n? ghlacann Ollscoil Chathair Bhaile ?tha Cliath le dliteanas in aon ch?s den s?rt sin n? as aon iarmhairt a d?eascr?dh astu. Cuimhnigh ar an timpeallacht le do thoil sula gcuireann t? an r?omhphost seo i gcl?."* ----- End forwarded message ----- ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Public competition Ricercatore a tempo determinato tipo B - settore 13/D1 Statistica
by Patrizia Piacentini 20 Dec '13

20 Dec '13

Public competition for the recruitment of 1 fixed term researcher position in Statistics, with a three-year, full-time non renewable contract, as by the art. 24, comma 3, letter b of the Law 30 December 2010, n. 240 Department of Statistical Sciences University Selection Group 13/D1- Statistics, profile: ssd SECS-S/01 Statistics and ssd SECS-S/02 Statistics for experimental and technological research Requirements: The Department of Statistical Sciences of the University of Padova invites candidates active in the area of Statistics to apply for a tenure-track position at the assistant professor level. The post is for a three-year period, non-renewable. The research activity will concern statistical models and methods for dealing with large and complex data sets. It will focus in particular on methods for the analysis of multivariate and longitudinal data from biological and technological research questions. Practical implementation of the methods and development of the necessary software will also be required. The total teaching duties, including lectures, tutorials, student training, exams, etc, amount to 350 hours per year. A maximum of 80 hours of classroom teaching will be required. Maximum number of publications to be presented: 12 (twelve), including doctoral thesis if presented. Foreign language which will be subject to assessment at the oral examination: English. The candidate may request to carry out the discussion of qualifications and publications in English. Foreign applicants must demonstrate a good level of Italian proficiency. Applications can ONLY be submitted following the procedure in the announcement (in Italian), see http://www.unipd.it/procedure-concorsuali-ricercatori-di-tipo-b

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Mathematical modelling in mining industry (fwd)
by Tiziano Vargiolu 19 Dec '13

19 Dec '13

---------- Forwarded message ---------- Date: Wed, 18 Dec 2013 23:09:40 +1100 From: Juri Hinz <Juri.Hinz(a)uts.edu.au> To: "vargiolu(a)math.unipd.it" <vargiolu(a)math.unipd.it> Subject: Mathematical modelling in mining industry Dear Tiziano, could you please help distributing this advertisement? Thank you very much! Best wishes, Juri ------------------------------- Associate Professor Juri Hinz University of Technology Sydney PO Box 123, Broadway NSW 2007 Australia Phone: 9514 2252 Room: CB01.1550 Fax: +61 2 95142260 Email: juri.hinz(a)uts.edu.au ______________________________ Mathematical modelling in mining industry The UTS School of Mathematical Sciences and CSIRO Computational Informatics are seeking a PhD student to undertake research on optimisation in planning and management of minerals extraction and processing under uncertainty. The successful applicant will be awarded a highly competitive $30,000 per annum scholarship plus access to the unique doctoral training program under the auspices of the Industry Doctoral Training Centre in Mathematics and Statistics (visit http://www.gradschool.uts.edu.au/atn/ for more information). Australia has the world?s largest reserves of mineral sands, brown coal, nickel, lead, silver, uranium, iron ore, zinc and other minerals. Australia is ideally positioned within Asia?Pacific, the fastest growing region in the world. Unprecedented demand for commodities from the region has driven high levels of investment in minerals exploration and project developments. Australia?s abundant mineral resources, advanced mining equipment, technology and services industry, and proximity to the rapidly growing markets, have made it a world leading mining nation. The challenges of modern mining industry include a need for sophisticated technologies to extract minerals from low?grade ores, managing labour cost and increasingly focus on environmental sustainability. The costs associated with processing technologies must account for high level of uncertainty resulting from market conditions and ore quality. These risk factors have a significant impact on the profitability of mining projects, whose optimization focuses on correct choice of both, the operating policy and long?term strategic decisions. In this framework, optimising investments and decision?making are challenging and interesting stochastic control problems. This project focuses on mathematical models and efficient methods for numerical treatment of control problems arising in the decision?making process in the minerals industry. On practical side, these models and methods are of crucial importance for individual policy optimization. On the theoretical side, this research offers a unique opportunity to break in into a highly interesting, versatile and active area of modern mathematics, where practical questions challenge cutting?edge theoretical approaches. Being placed between real option theory, quantitative risk management, and Markov decision theory, the potential impact of this work is substantial and can position the student extremely well, beyond the award of a PhD degree. The quantitative known?how in these field provides an ideal starting point for both a future work in the financial industry, consultancies, minerals business and/or a career in academia. This PhD research project is a collaborative arrangement between UTS and CSIRO and will be supervised by A/Professor Juri Hinz (UTS) and Dr Tanya Tarnopolskaya (CSIRO). Selection Criteria 1. First class honours or equivalent in mathematics or other relevant discipline. 2. Demonstrated academic ability in statistics, stochastic processes and model implementation. 3. Sound knowledge of computer languages, at least one from C++, R, Mat lab, Python, Java How to apply Please send an email to both supervisors: Juri.Hinz(a)uts.edu.au Tanya.Tarnopolskaya(a)csiro.au ------------------------------- UTS CRICOS Provider Code: 00099F DISCLAIMER: This email message and any accompanying attachments may contain confidential information. If you are not the intended recipient, do not read, use, disseminate, distribute or copy this message or attachments. If you have received this message in error, please notify the sender immediately and delete this message. Any views expressed in this message are those of the individual sender, except where the sender expressly, and with authority, states them to be the views of the University of Technology Sydney. Before opening any attachments, please check them for viruses and defects. Think. Green. Do. Please consider the environment before printing this email.

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mini corso prof. Ivan Gentil a Pavia
by Carbone Raffaella 19 Dec '13

19 Dec '13

Cari colleghi, vi annunciamo che il prof. Ivan Gentil (Université Lyon 1) terrà, presso il Dipartimento di Matematica dell'Università di Pavia un mini-corso dal titolo The Bakry-Emery condition applied to the functional inequality and contraction in Wasserstein distance Abstract : During the lessons we would like to introduce the Bakry-Emery condition in the Euclidean space R^n and also in a Riemannian manifold. First we study the two classical examples: the Euclidean Heat semigroup and the Ornstein-Uhlenbeck semigroup. Then we define the general setting: a Markov semigroup associated to the Gamma and the Gamma-2 operators. Under the Bakry-Emery condition we obtain coercive inequalities which implies for instance functional inequality such as Poincaré or logarithmic-Sobolev inequalities. The last part of the course is devoted to the contraction in wasserstein distance under the Bakry-Emery condition. Orario (provvisorio): ore 11-13 nei giorni 14, 15, 17, 20, 22, 24 gennaio 2014. -- Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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[Fwd: BCAM International call for researchers]
by Tiziano Vargiolu 19 Dec '13

19 Dec '13

Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Biometrical Journal, Special Issue on "Models for continuous data with a spike at zero"
by Pierpaolo Brutti 16 Dec '13

16 Dec '13

...ricevo e inoltro... ### APOLOGIES FOR CROSS_POSTING #### The Biometrical Journal is a leading journal in biometry. It is calling for papers for a special issue on "Models for continuous data with a spike at zero". Zero-inflation models for count data have a long history and a huge amount of published research exists to the topic. In fact, the Biometrical Journal has contributed numerous papers to this area since zero-inflated count data are a prominent problem in the life-sciences. See, for example, the September 2013 issue of the Biometrical Journal. In this call, we would like to draw the attention of the research community to another prominent problem in the life sciences: continuous data with a spike at zero. The extra-zeros can arise out of many reasons and it is not necessarily clear how they could be handled. A frequent problem is the occurrence of data below a limit of detection (LOD). In these cases, it might be reasonable to treat them as left-censored. A further modeling alternative could be that of employing so called two-step models, where at the first stage a binary variable describes whether or not the observed value is above the limit of detection while, at the second stage, a continuous variable is used to describe positive measurements. In other cases, it is less clear how to approach the problem. For example, consider the consumption of alcohol measured on a continuous scale. Then, there is a spike at zero representing the non-drinkers. The zeros are neither left-censored nor interval-censored. Here, there are at least two problems involved. For one, the quantity of interest is bounded below, and for two, the zeros create a single mass distribution. A further empirical application where extra-zeros may arise is when modeling length of stay in hospital admissions. This is frequently modeled following a count data approach, although the underlying quantity is continuous. In length-of-stay situations, day surgery patients may be classified as having a null length of stay but, for administrative purposes, it could be necessary for them to be considered together with in-hospital patients whose length of stay is positive. Hence, we have a continuous quantity bounded below by zero and a spike at zero. In a regression context, we also think that these spikes could occur on the left-hand side of a regression equation as well as on the right-hand side, i.e. for the dependent (outcome) and the independent (predictor) variables With this call for submissions we are looking for novel contributions presenting • authentic continuous data with excess-zeros • novel statistical approaches to handle these issues. • up-to-date case studies which address the above issues and are of interest for the biometric community. . Authors, who are not sure whether their problems and ideas fall under the call or not, may approach the Editors with an initial draft of the paper. All submitted papers under this call will undergo the standard review process of the journal. The deadline for papers for this call is May 31, 2014. The special issue is handled through the website of the Biometrical Journal and is handled as any other paper submitted to the journal except that the editing and the review process is handled by the Special Issue Editors Dankmar Böhning and Marco Alfó. Please submit your manuscript at is http://mc.manuscriptcentral.com/biomj To submit to the special issue login at MC (manuscript central), indicate at Step 1 that the submission is to a special issue and at Step 4 of the submission process enter "ZERO I" in the Special Issue Information field. Submitted manuscripts should comply with the instructions for authors of Biometrical Journal which you find on the Biometrical Journal homepage using the link to the Author Guidelines.

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Fwd: Fwd: [dynlist]--CRM-PISA Junior Visiting Program (fwd)
by Tiziano Vargiolu 13 Dec '13

13 Dec '13

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