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post-doc position (2 years) at the Università degli Studi di Bergamo (Italy)
by Francesca Greselin 03 Nov '17

03 Nov '17

Dear colleagues We are looking for candidates for a post-doc position (2 years) at the Università degli Studi di Bergamo (Italy): Public selection based on qualifications and interview for the awarding of no. 13 grants lasting 24 months for conducting research in accordance with art. 22 of law of 30.12.2010 no. 240 at the Departments of the University of Bergamo within the research Programme called “*Stars supporting talented researcher*” – action 1 for the year 2017 – II tranche (CUP: F52F16001350001) The specific post doc-position is the following: Department of Management, Information and Production Engineering Parametric methods for efficiency frontiers estimation with temporary and persistent random components 13/A4 – Applied Economics SECS-P/06 – Applied Economics https://www.unibg.it/bando/bando-di-concorso-relativo-alla- selezione-pubblica-titoli-e-colloquio-il-conferimento-di-n-1-0 Please circulate this message as much as possible! Regards _____________________________ Gianmaria Martini *Full Professor of Economics* *Department of Management, Information and Production Engineering* *Università degli Studi di Bergamo* Via Pasubio 7/b 24044 Dalmine (BG) ITALY tel: +390352052342 <+39%20035%20205%202342> fax: +390352052043 <+39%20035%20205%202043> My research at: orcid.org/0000-0001-9503-4999

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Seminario LATUSZYŃSKI
by Matteo Ruggiero 03 Nov '17

03 Nov '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 10 Novembre 2017, alle ore 12:00, presso la nuova sede del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Krzysztof LATUSZYŃSKI (University of Warwick) Exact Bayesian inference for discretely observed jump-diffusions The standard approach to inference for parametric diffusion processes relies on discretisation techniques (such as the Euler method) that introduce an approximation error difficult to quantify especially for discontinuous models, like jump-diffusions. In this talk, I will present methodology for exact inference that avoids discretisation errors and allows to design MCMC samplers targeting the exact posterior distribution of the diffusion parameters and diffusion path between observations. The approach is based on Bernoulli Factory type subroutines, and is a general alternative to pseudo-marginal inference. The talk will be based on http://imstat.org/bjps/papers/BJPS374.pdf https://arxiv.org/pdf/1707.00332.pdf and is joint work with Flavio Goncalves and Gareth Roberts. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 03 Nov '17

03 Nov '17

*************************************************************************** 5th STATALK @ Department of Statistical Sciences, University of Padua, 17 Nov 2017 **************************************************************************** Dear all, this is a reminder that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. All the information, including the updated program and abstracts of the presentations, can be found at the workshop page statalk.stat.unipd.it Deadline for registration: 12th November 2017. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. Registrations, as in the past StaTalk events, is free of charge but mandatory. Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 02 Nov '17

02 Nov '17

/We are happy to annouce this one-day workshop in honor of Domenico Sartore. The workshop will aim at presenting to the large community of scientists researching in quantitative economics some recent results obtained by the Econometrics group at Ca' Foscari University of Venice in the analysis of latent variable models and high dimensional stochastic models with applications to economics and finance. // / // /Domenico Sartore greatly contributed to the field of time series econometrics and to the development of the econometric community in Italy. Since the beginning of his career in academia he showed a unique talent in attracting a huge number of students, turning them into leading scholars that keep contributing to the area of Econometrics both in academia and out of academia. / /The workshop will feature many contributions by young researchers, discussions from colleagues and former students of Domenico and an invited seminar by Matteo Barigozzi. The main topics will be: stochastic volatility, factor models, regimes switching models, temporal networks, graphical models, Bayesian methods, systemic risk, and business cycle analysis. We will be delighted if you can join us and congratulate Domenico. For organisation reasons, please confirm your presence Kind regards, Monica Billio (billio(a)unive.it) Massimiliano Caporin Roberto Casarin ///Loriana Pelizzon /Francesco Ravazzolo/ Mon*D*ay 13th N*O*ve*M*ber V*EN*ice Econometr*IC*sW*O*rkshop Dipartimento di Economia, Meeting Room 1, San Giobbe Università Ca’ Foscari Venezia *10.00 Welcome* *10.30 Macroeconometrics* ·On the Role of Domestic and International Financial Cyclical Factors in Driving Economic Growth /Monica //Billio/, Michael Donadelli, Giulia Livieri,*Antonio Paradiso *(Università Ca’ Foscari Venezia) ·Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area Roberto Golinelli, *Irene Mammi *(Università Ca’ Foscari Venezia), Antonio Musolesi Discussant: Francesco Ravazzolo (Università di Bolzano) *11.30 Financial Econometrics* ·Forecasting Electricity Prices with RES penetration Angelica Gianfreda, /Francesco Ravazzolo/, *Luca Rossini *(Università di Bolzano) ·Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures Giacomo Bormetti, /Roberto Casarin, Fulvio Corsi/,*Giulia Livieri*(Scuola Normale Superiore, Pisa) Discusssant: Loriana Pelizzon (Università Ca’ Foscari Venezia) *12.30 Seminar* Sequential testing for structural stability in approximate factor models *Matteo Barigozzi *(London School of Economics), Lorenzo Trapani *13.30 Lunch* *15.00 Network Econometrics* ·The impact of network connectivity on factor exposures, asset pricing and portfolio diversification /Monica Billio/, /Massimiliano Caporin/, *Roberto Panzica *(Goethe University, Frankfurt), /Loriana Pelizzon/ ·Networks in risk spillovers: A multivariate GARCH perspective /Monica Billio, Massimiliano Caporin/, *Lorenzo Frattarolo *(Università Ca’ Foscari Venezia), /Loriana Pelizzon/ ·Financial Bridges and Network Communities /Roberto Casarin/, *Michele Costola *(Goethe University, Frankfurt), Erdem Yenerdag ·Bayesian Markov switching tensor regression for time-varying networks /Monica Billio, Roberto Casarin/,*Matteo Iacopini *(Università Ca’ Foscari Venezia) Discussant: Fulvio Corsi (Università Ca’ Foscari Venezia) *17.00 Farewell: Domenico Sartore * -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mailbillio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en

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Reminder - Call for Papers - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 02 Nov '17

02 Nov '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by* 23 December 2017*. The full paper for the discussant will have to be provided by *7 January 2018*. Looking forward to seeing you in Rome! Best regards The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 01 Nov '17

01 Nov '17

/We are happy to annouce this one-day workshop in honor of Domenico Sartore. The workshop will aim at presenting to the large community of scientists researching in quantitative economics some recent results obtained by the Econometrics group at Ca' Foscari University of Venice in the analysis of latent variable models and high dimensional stochastic models with applications to economics and finance. // / // /Domenico Sartore greatly contributed to the field of time series econometrics and to the development of the econometric community in Italy. Since the beginning of his career in academia he showed a unique talent in attracting a huge number of students, turning them into leading scholars that keep contributing to the area of Econometrics both in academia and out of academia. / /The workshop will feature many contributions by young researchers, discussions from colleagues and former students of Domenico and an invited seminar by Matteo Barigozzi. The main topics will be: stochastic volatility, factor models, regimes switching models, temporal networks, graphical models, Bayesian methods, systemic risk, and business cycle analysis. We will be delighted if you can join us and congratulate Domenico. For organisation reasons, please confirm your presence Kind regards, Monica Billio (billio(a)unive.it) Massimiliano Caporin Roberto Casarin ///Loriana Pelizzon /Francesco Ravazzolo/ Mon*D*ay 13th N*O*ve*M*ber V*EN*ice Econometr*IC*sW*O*rkshop Dipartimento di Economia, Meeting Room 1, San Giobbe Università Ca’ Foscari Venezia *10.00 Welcome* *10.30 Macroeconometrics* ·On the Role of Domestic and International Financial Cyclical Factors in Driving Economic Growth /Monica //Billio/, Michael Donadelli, Giulia Livieri,*Antonio Paradiso *(Università Ca’ Foscari Venezia) ·Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area Roberto Golinelli, *Irene Mammi *(Università Ca’ Foscari Venezia), Antonio Musolesi Discussant: Francesco Ravazzolo (Università di Bolzano) *11.30 Financial Econometrics* ·Forecasting Electricity Prices with RES penetration Angelica Gianfreda, /Francesco Ravazzolo/, *Luca Rossini *(Università di Bolzano) ·Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures Giacomo Bormetti, /Roberto Casarin, Fulvio Corsi/,*Giulia Livieri*(Scuola Normale Superiore, Pisa) Discusssant: Loriana Pelizzon (Università Ca’ Foscari Venezia) *12.30 Seminar* Sequential testing for structural stability in approximate factor models *Matteo Barigozzi *(London School of Economics), Lorenzo Trapani *13.30 Lunch* *15.00 Network Econometrics* ·The impact of network connectivity on factor exposures, asset pricing and portfolio diversification /Monica Billio/, /Massimiliano Caporin/, *Roberto Panzica *(Goethe University, Frankfurt), /Loriana Pelizzon/ ·Networks in risk spillovers: A multivariate GARCH perspective /Monica Billio, Massimiliano Caporin/, *Lorenzo Frattarolo *(Università Ca’ Foscari Venezia), /Loriana Pelizzon/ ·Financial Bridges and Network Communities /Roberto Casarin/, *Michele Costola *(Goethe University, Frankfurt), Erdem Yenerdag ·Bayesian Markov switching tensor regression for time-varying networks /Monica Billio, Roberto Casarin/,*Matteo Iacopini *(Università Ca’ Foscari Venezia) Discussant: Fulvio Corsi (Università Ca’ Foscari Venezia) *17.00 Farewell: Domenico Sartore * -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mailbillio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en

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Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 (fwd)
by Michele Gianfelice 01 Nov '17

01 Nov '17

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Wed, 1 Nov 2017 05:00:31 +0100 From: Sonia Petrone <sonia.petrone(a)unibocconi.it> Reply-To: angela.baldassarre(a)unibocconi.it To: gianfelice(a)mat.unical.it Subject: Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 Dear colleague, I would be grateful if you could bring the Bocconi PhD program in Statistics to the attention of your best master students. The deadline for application is February 1st, 2018. ---------------------------------------------------------------------------------- PhD in Statistics Call for applications for PhD student positions Within the PhD School at Bocconi University, the four-year PhD program in Statistics provides a solid grounding for high level research in statistics, probability and data science. The curricula is organized over two years of courses and two years entirely devoted to research. Students acquire a deep methodological preparation through the first-year courses, which cover the fundamentals of probability and statistics. Specialized competence is acquired through the second-year courses, which are already focused on the doctoral thesis project. Both theoretical and applied research, including methods for machine learning and data science, are supported and encouraged. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi?s PhD School, as well as research experience abroad, are encouraged. The program includes monographic courses held by visiting professors from the most prestigious Universities and research institutions. The Ph.D. in Statistics is designed for highly motivated students who wish to undertake first rate research careers in theoretical or applied statistics and data science. Career opportunities also include central banks, financial institutions, governments and international organizations, and public health institutions. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Economics, Engineering, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. The Bocconi PhD School offers at least 4 student positions with fellowship for the PhD in Statistics and further positions with fellowship or tuition waiver are possibly available. See the full official call ? attached ? or visit www.unibocconi.eu/admissionphd for all information. Applications are due by February 1st, 2018. For more information about the program, its courses and the admission procedures, please feel free to contact our Program Assistant at infophd(a)unibocconi.it or visit our website www.unibocconi.eu/phdstatistics Sincerely, Sonia Petrone Director, PhD program in Statistics Bocconi University Milano, Italy -------------------------------------------------- Angela Baldassarre PhD School Administrative Assistant Bocconi University Via Röntgen 1 1st floor - room 1-E3-FM02 20136 Milano, Italy T: +39 02 5836.3367 E: angela.baldassarre(a)unibocconi.it

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Senior Data Scientist e Data Scientist in ISI Torino
by Eva Riccomagno 01 Nov '17

01 Nov '17

Buongiorno a Tutti La fondazione ISI di Torino ha messo a bando due posizioni, una di Senior Data Scientist e una di Data Scientist, su un progetto di ricerca nell'ambito AI/ML applicato al problema della copertura dei rischi nei mercati finanziari. Il progetto e’ in collaborazione con la Banca IMI. Ulteriori dettagli sono disponibili al link https://www.isi.it/en/news-events/open-position-isi-applied-research Sperando che l’informazione sia di interesse ed utile, porgo cordiali saluti 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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reminder for paper submission
by Davide Erminio Pirino 31 Oct '17

31 Oct '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by* 23 December 2017*. The full paper for the discussant will have to be provided by *7 January 2018*. Looking forward to seeing you in Rome! Best regards The organizing committee

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Politecnico di Milano - Seminario L. Finos
by Laura M. Sangalli 31 Oct '17

31 Oct '17

Si avvisa che in data 07-11-2017, alle ore 15:30 precise, presso l'Aula Seminari "F. Saleri" VI piano, Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Livio Finos, Università degli Studi di Padova Titolo: Robust testing of generalized linear models by sign-flipping score contributions Sommario: We consider the problem of testing a generalized linear model (GLM) with possibly misspecified distribution. In this case, the traditional tests lose their good properties, since the Fisher information is estimated under incorrect assumptions. Here we present a testing approach that is based on random sign-flipping of score contributions, while not requiring any estimate of the Fisher information. As long as the link function is correct and under mild assumptions, our method is robust (i.e. asymptotically exact, consist) against several types of model misspecification, such as overdispersion, heteroscedasticity and, in some cases, ignored nuisance parameters. Among the other features, the methods extends easily to the multivariate (and multiple testing) framework, since it deals efficiently with the dependence of univariate tests without the need of estimating it. Some application to real data is shown and discussed. Based on joint work with Jesse Hemerik and Jelle Goeman Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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