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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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CONFERENCE IN HONOUR OF ENZO ORSINGHER 23-9-2016
by Luisa Beghin 06 Sep '16

06 Sep '16

Cari tutti, di seguito trovate il programma della Conferenza dedicata a Enzo Orsingher. La partecipazione è gratuita; per motivi organizzativi è necessario compilare il modulo online disponibile al seguente link: https://sites.google.com/site/enzoorsingherconference/ RECENT DEVELOPMENTS IN PROBABILITY THEORY AND STOCHASTIC PROCESSES *A CONFERENCE IN HONOUR OF ENZO ORSINGHER* *ON THE OCCASION OF HIS 70TH BIRTHDAY* DEP. STATISTICAL SCIENCES, "SAPIENZA" UNIVERSITY OF ROME AULA II, GROUND FLOOR ROME, SEPTEMBER 23, 2016 *Program * 09:45 Opening 10:00 Aimé Lachal (University of Lyon/ Institute Camille Jordan CNRS) Some distributions on pseudo-Brownian motion and pseudo-random walk 10:25 Fabio Spizzichino ("Sapienza" University of Rome) Special classes of exchangeable occupancy models. Related transformations and related closure properties 10:50 Marina Santacroce (Turin Polytechnic) Forward backward semimartingale systems for utility maximization 11:15 Coffee break 11:35 Nikolai Leonenko (Cardiff University) Fractional Poisson fields and martingales 12:00 Laura Sacerdote (University of Turin) Generalized nonlinear Yule models 12:25 Stefano Iacus (University of Milan) On statistical analysis of the telegraph process and related processes 12:50 Lunch break 15:00 Antonio Di Crescenzo (University of Salerno) Recent advances on the telegraph process 15:25 Mirko D'Ovidio ("Sapienza" University of Rome) Delayed diffusions on random Koch domains 15:50 Elvira Di Nardo (University of Turin) Symbolic calculus in probability and mathematical statistics 16:15 Coffee break 16:35 Federico Polito (University of Turin) The space-fractional Poisson process and extensions 17:00 Personal recollections from Enzo's colleagues and closing Tutti gli interessati sono invitati a partecipare. Cordiali saluti. Luisa Beghin e Alessandro De Gregorio ***************************************************************** Luisa Beghin Dipartimento di Scienze Statistiche Fac. Ingegneria dell'Informazione, Informatica e Statistica "SAPIENZA" Università di Roma Piazzale Aldo Moro 5, 00185 Roma T (+39) 06 49910543 F (+39) 06 4959241 http://www.dss.uniroma1.it/?q=content/beghin-luisa *****************************************************************

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seminario di Chaitanya Joshi all'IMATI-Milano
by Antonella Bodini 06 Sep '16

06 Sep '16

Gentili colleghi, domani, *mercoledi' 7 settembre, alle ore 15 *presso la sede di Milano dell'IMATI, via Corti 12 - sala A, *Chaitanya Joshi,* dall'Universita' di Waikato (Hamilton, Nuova Zelanda) terra' il seminario: * * *Improving grid based Bayesian inference* /Abstract/: In some cases, computational benefit can be gained by exploring the hyper parameter space using a deterministic set of grid points instead of a Markov chain. We view this as a numerical integration problem and make three unique contributions. First, we explore the space using low discrepancy point sets instead of a grid. This allows for accurate estimation of marginals of any shape at a much lower computational cost than a grid based approach and thus makes it possible to extend the computational benefit to a hyper parameter space with higher dimensionality (10 or more). Second, we propose a new, quick and easy method to estimate the marginal using a least squares polynomial and prove the conditions under which this polynomial will converge to the true marginal. Our results are valid for a wide range of point sets including grids, random points and low discrepancy points. Third, we show that further accuracy and efficiency can be gained by taking into consideration the functional decomposition of the integrand and illustrate how this can be done using anchored f-ANOVA on weighted spaces. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) *** SI PRENDA NOTA CHE PER LAVORI DI RISTRUTTURAZIONE ATTUALMENTE L'ACCESSO E' DA VIA CORTI 12. *** tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Seminario Christian Olivera a Pisa
by Marta Leocata 02 Sep '16

02 Sep '16

Cari tutti, mercoledì 7 Settembre alle ore 15:00 presso l'Aula Riunioni del Dipartimento di Matematica di Pisa, Dr. Christian Olivera (Univ. Campinas) terrà un seminario dal titolo: "Densities of solutions of SDEs with Singular Coefficients" Abstract: We consider a process given as the solution of a stochastic differential equation with unbounded and integrable drift and multiplicative noise. We study the the existence of the Lebesgue density of that process and upper gaussian estimation. The main tools are the Malliavin calculus and the Zvonkin’s transformation. The work is in collaboration with Ciprian Tudor. Saluti, Marta Leocata

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Phd Position in Stochastic Processes at Universität Paderborn (fwd)
by Michele Gianfelice 02 Sep '16

02 Sep '16

Salve, ricevo ed inoltro l'annuncio informale relativo alla posizione in oggetto. Deadline per inoltrare la domanda è il 16 c.m.. Per ulteriori informazioni contattare il Prof. Martin Kolb scrivendo all'indirizzo kolb(a)math.uni-paderborn.de . Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Wed, 17 Aug 2016 09:47:23 +0200 From: Maria Infusino <infusino.maria(a)gmail.com> To: Michele Gianfelice <gianfelice(a)mat.unical.it> Subject: Phd Position in Stochastic Processes at Universität Paderborn Caro Michele, ....... Il professor Martin Kolb mi ha informato di avere una posizione di 4 anni per un dottorato di ricerca sotto la sua supervisione all' Universität Paderborn (Wissenschaftlicher Mitarbeiter , 75 % , 4 Jahre ). Giacché il campo di ricerca è processi stocastici, ho pensato che probabilmente tu conosci qualcuno che potrebbe avere interesse a fare domanda. La scadenza per fare domanda è il 16 settembre 2016 e l' interessato/a può direttamente contattare Martin via e-mail per ulteriori informazioni al seguente indirizzo : kolb(a)math.uni-paderborn.de Grazie e un abbraccio, Maria

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Seminario Martin Huesmann a Pisa
by Marta Leocata 02 Sep '16

02 Sep '16

Cari tutti, mercoledì 7 Settembre alle ore 14:00 presso l'Aula Riunioni del Dipartimento di Matematica di Pisa, Dr. Martin Huesmann (Univ. Bonn) terrà un seminario dal titolo: "Monotonicity preserving transformations for martingale optimal transport and the Skorokhod embedding problem" Abstract: There are many transformations mapping martingales into martingales,e.g. M_t -> M_t^2- <M>_t$. However, looking at solutions to the martingale optimal transport problem it turns out that there are only very few transformations that map optimal martingale couplings into optimal martingale couplings. After a short introduction to and review of the state of the art of martingale optimal transport we will give a characterization of all these monotonicity preserving transformations. In particular, these transformation reveal certain symmetries between different solutions to the martingale optimal transport problem. Moreover, we will show that the transport approach to Skorokhod embedding is a powerful tool to study martingale optimal transport and, in turn, that the new symmetries for martingale optimal transport disclose symmetries for solutions to the Skorokhod embedding problem. (based on joint work with Florian Stebegg) Saluti, Marta Leocata

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Fwd: Job openings at the Research Center for Statistics (Geneva School of Economics and Management)
by enea giuseppe bongiorno 01 Sep '16

01 Sep '16

Inoltro con preghiera di diffusione. Scusandomi per invii multipli. E.Bongiorno ---------- Forwarded message ---------- From: Eva Cantoni <Eva.Cantoni(a)unige.ch> Date: 2016-08-31 21:38 GMT+02:00 Subject: Job openings at the Research Center for Statistics (Geneva School of Economics and Management) To: Dear colleagues, (sorry for cross posting) we have an open position at the Assistant professor level in statistics. Please see the ad at: https://www.unige.ch/gsem/rcs/jobs/ May I ask you to distribute the information to potential candidates in your network ? Best wishes, Eva -- Prof. Eva Cantoni Research Center for Statistics and Geneva School of Economics and Management University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4 gsem.unige.ch/rcs/cantoni

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 01 Sep '16

01 Sep '16

The call for a two-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Optimal execution and market impact models in financial markets The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-denominato-%E2%80%9Cesecuzione-ottimale-e-modelli-di-market-impact-mercati-finanziari%E2%80%9D-la-collaborazione-al-progetto <http://www.sns.it/bando/assegno-di-ricerca-denominato-%E2%80%9Cesecuzione-o…>* English *http://en.sns.it/bando/research-contract-named-%E2%80%9Coptimal-execution-and-market-impact-models-financial-markets%E2%80%9D-part <http://en.sns.it/bando/research-contract-named-%E2%80%9Coptimal-execution-a…>* The deadline is September 26. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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seminario
by Brunero Liseo 31 Aug '16

31 Aug '16

Avviso di Seminario When September 8th 2016, 14:30 Where Sapienza Università di Roma facoltà di Economia Aula Fanfani, V piano Viale del Castro Laurenziano, 9 Speaker *Federico Camerlenghi* Università Luigi Bocconi, Milano Titolo *Distribution theory for hierarchical processes with statistical applications* Abstract In Bayesian nonparametrics, a large amount of literature has been carried out under the assumption that observations are exchangeable. However in a large variety of applications this may appear too restrictive, a typical example is when data are generated by different experiments: even if these experiments may be related, they have some specific features that induce heterogeneity across observations. In such a situation data are usually divided into different groups, and a more appropriate assumption is partial exchangeability. In particular the construction of dependent random probability measures to deal with partially exchangeable observations has recently attracted great attention in Bayesian nonparametric literature. In this talk we define and investigate general classes of nonparametric priors, namely hierarchical models, based on transformations of completely random measures. We are able to study all the analytical properties, i.e. the random partition structure, the predictive distributions and the posterior characterization of the processes. Finally some relevant applications to species sampling problems and survival analysis will be discussed. (This is a joint work with A. Lijoi, P. Orbanz and I. Prunster.) -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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seminario Steven Scott (Google) 2/9 in Bicocca
by fabio.bellini 30 Aug '16

30 Aug '16

Cari colleghi, vi segnalo che il giorno venerdì 2 settembre alle ore 17, presso la Aula Martini al piano interrato dell'edificio U6, Steven Scott, Director of Statistics Research at Google, terrà un seminario su Predicting the Present with Bayesian Structural Time Series This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors (joint work with Hal Varian). L'evento è organizzato in collaborazione con Innovation Pub e sarà seguito da un piccolo rinfresco. Sarà inoltre possibile seguire lo streaming su http://streaming.unimib.it/.

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