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OWABC Seminar: Mark Beaumont - 30th May 9am UK time
by Massimiliano Tamborrino 14 May '24

14 May '24

Dear all, the last OWABC www.warwick.ac.uk/oneworldabc<http://www.warwick.ac.uk/oneworldabc> seminar of Season 5 is quickly approaching. We are glad to announce that our next speaker is Mark Beaumont (University of Bristol), who will talk about "Model misspecification in population genomic" on Thursday the 30th May at 9am UK time. Abstract: In likelihood-free settings, problematic effects of model misspecification can manifest themselves during computation, leading to nonsensical answers, particularly causing convergence problems in sequential algorithms. This issue has been well studied in the last 10 years, leading to a number of methods for robust inference. In practical applications, likelihood-free methods tend to be applied to the output of complex simulations where there is a choice of summary statistics that can be computed. One approach to handling misspecification is to simply not use summary statistics computed from simulations of the model under the prior that cannot be matched with those observed in the data. This presentation gives a brief review of methods for observing and handling misspecification in ABC and SBI, and then discusses approaches that we have explored in a population genomic modelling framework. The talk will be streamed on MS Teams, at the link https://teams.microsoft.com/l/meetup-join/19%3ameeting_NWFkYmE2MTgtZTNiNS00… Meeting ID: 349 104 341 838 Passcode: YxPUhR We are looking forward to seeing you at the next OWABC Seminar, best, Massimiliano on the behalf of the OWABC Seminar Organisers ------ Dr. Massimiliano Tamborrino Associate Professor and Warwick International Higher Education Academy (WIHEA) Fellow Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Richiesta annullamento iscrizione
by Fabiana Mancini 14 May '24

14 May '24

Salve, Potrei gentilmente essere tolta dalla mailing list di random? L'indirizzo è fabiana.mancini(a)hotmail.it Grazie! Inviato da Outlook per Android<https://aka.ms/AAb9ysg>

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talk Prof. Nacira Agram on May 23, 2024
by Emanuela Rosazza Gianin 14 May '24

14 May '24

Dear all, you are all invited to participate to the following seminar on *Thursday 23th of May 2024 at 15:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor): Speaker: *Nacira Agram (KTH Stockholm)* Titolo: *Deep learning for conditional McKean-Vlasov Jump diffusions* Abstract: My talk focuses on using deep learning methods to optimize the control of conditional McKean-Vlasov jump diffusions. We begin by exploring the dynamics of multi-particle jump-diffusion and presenting the propagation of chaos. The optimal control problem in the context of conditional McKean-Vlasov jump-diffusion is introduced along with the verification theorem (HJB equation). A linear quadratic conditional mean-field (LQ CMF) is discussed to illustrate these theoretical concepts. Then, we introduce a deep-learning algorithm that combines neural networks for optimization with path signatures for conditional expectation estimation. The algorithm is applied to practical examples, including LQ CMF and interbank systemic risk, and we share the resulting numerical outcomes. Based on joint work with Jan Rems. Best wishes, Emanuela ****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Tel. 02 64483208 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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Advances in Time Series Econometrics, Venice, May 17th, 2024
by Roberto CASARIN 14 May '24

14 May '24

Dear you all, the Econometrics group and the VERA centre of the Ca’ Foscari University ( https://www.unive.it/pag/35190) invite you to *Advances in Time Series Econometrics* *Half-day Workshop* *Venice May 17th, 2024Ca’ Foscari University, San Giobbe Campus, Meeting Room 1, Venezia* Program: - 9:30-10:15, *Ovielt Baltodano Lopez*, (Ca' Foscari University of Venice), Heterogeneous dynamic stochastic block models and an application to international trade - 10:15-11:00, *Alexander Simon Mayer* (Ca' Foscari University of Venice), Least squares estimation in nonstationary nonlinear cohort panels with learning from experience - 11:00-11:30, Break - 11:30-12.15, *Dario Palumbo* (Ca' Foscari University of Venice), A simple parsimonious framework for extracting and modelling the term structure of interest rates - 12:15-13:30, *Esther Ruiz* (University Carlos III of Madrid), Economic activity and climate change *Abstracts*: Ovielt Baltonado Lopez, Ca' Foscari University of Venice, Italy, https://www.unive.it/data/people/18754547 Heterogeneous dynamic stochastic block models and an application to international trade *The increasing complexity of the global economy represents a challenge for monitoring public debt risks. We propose a twofold framework by applying a Dynamic stochastic block model to a multi layer network composed of extracted debt relationships and trade ows for European countries. On the one hand, this approach allows for clusters of countries with di erent levels of debt synchronization that evolve over time and are subject to structural changes suggesting an increase in systemic risk. On the other hand, the layer dependence accounts for con icts in macroeconomic objectives. In particular, external balance and scal stability. In this sense, the network approach jointly considers interdependence between countries and the twin de cit phenomenon coherent with the composite nature of the risks in the nancial systems. We nd evidence of structural changes in the topology of the debt network during crisis, from an assortative behavior to a coreperiphery system with high interdependence among countries' debt. Moreover, the results suggest parameter heterogeneity. In stable periods unemployment (real GDP per capita) di erences lead to higher (lower) debt synchronization, while income inequality and nancial depth reduce the similarity in the debt evolution. There is no evidence of twinde cit phenomenon for the period 2003-2023.* Alexander Simon Mayer, Ca' Foscari University of Venice, Italy, https://www.unive.it/data/people/26394407 Least squares estimation in nonstationary nonlinear cohort panels with learning from experience *We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator used in empirical practice. Potential pitfalls for hypothesis testing are identified and solutions proposed. Monte Carlo simulations verify the properties of the estimator and corresponding test statistics in finite samples, while an application to a panel of survey expectations demonstrates the usefulness of the theory developed.* Dario Palumbo, Ca' Foscari University of Venice, Italy, https://www.unive.it/data/people/22437798 A simple parsimonious framework for extracting and modelling the term structure of interest rates *This paper introduces a novel methodology for the extraction and modelling of the unobserved term structure of interest rates which incorporates in a single inferential framework both cross-sectional and time-series information from observed bond prices. In doing so, the paper introduces both a parametric and a semi-parametric dynamic model for the term structure which can be extended to capture also features such as heteroschedasticity in both the time and cross-section dimension, as well as the zero-lowerbound constraint. The models provide a coherent description of the term structure and outperforms current term structure extraction methods in fitting the observed bond prices surface. The models also outperform other existing dynamic term structure models in forecasting observed bond prices at one, six and twelve months horizons. Moreover, the study highlights a strong sensitivity of the forecasting errors of the existing dynamic models to the choice of the term structure extraction method used to construct the samples for the parameters’ estimation.* Prof. Esther Ruiz, University Carlos III of Madrid, Spain, https://researchportal.uc3m.es/display/inv16189 Economic activity and climate change -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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seminario di Brzeźniak a Pavia - 22 maggio ore 11
by Benedetta Ferrario 13 May '24

13 May '24

Mercoledì 22 maggio presso il Dipartimento di Scienze Economiche e Aziendali dell'Università di Pavia il professor Z. Brzezniak (Università di York) terrà un seminario alle ore 11 (precise) in aula 14. Title: Reflection of Stochastic Evolution Equations in Infinite Dimensional Domains Abstract: In this paper, we establish the existence and the uniqueness of solutions of stochastic evolution equations (SEEs) with reflection in an infinite dimensional ball. Our framework is sufficiently general to include e.g. the stochastic Navier-Stokes equations. Based on a joint work with Tusheng Zhang (Manchester and Hefei).

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Seminar Dario Trevisan at Tor Vergata 22.05
by Michele Salvi 13 May '24

13 May '24

Dear all, On Wednesday, May 22nd, at 14h30 in Aula Dal Passo of Tor Vergata Math Department, RoMaDS (https://www.mat.uniroma2.it/~rds/events.php) will host Dario Trevisan (Università di Pisa) with the seminar "Gaussian Approximation and Bayesian Posterior Distribution in Random Deep Neural Networks” Abstract: We establish novel rates for the Gaussian approximation of randomly initialized deep neural networks with Gaussian parameters and Lipschitz activation functions, in the so-called wide limit, i.e., where the sizes of all hidden layers become large. Using the Wasserstein metric and related functional analytic tools, we demonstrate the distribution of the output of a network and the corresponding Gaussian approximation are at a distance that scales inversely with the width of the network, surpassing previously established rates. Furthermore, we extend our findings to approximate the exact Bayesian posterior distribution of the network when the likelihood is a bounded Lipschitz function of the network output, on a finite training set. This includes common cases, such as the Gaussian likelihood, which is defined as the exponential of the negative mean squared error. Our inequalities thus shed light on the network's Gaussian behavior by quantitatively capturing the distributional convergence results in the wide limit. The exposition will aim to be self-contained, by introducing all the basic concepts related to artificial neural networks and Bayesian statistics to a mathematical audience. Based on arXiv:2203.07379 (joint with A. Basteri) and arXiv:2312.11737. We encourage in-person partecipation. Should you be unable to come, here is the link to the Teams streaming: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… The seminar is part of the Excellence Project MatMod@TOV.

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MSc scholarships at Université Paris-Est
by Tiziano De Angelis 13 May '24

13 May '24

Dear All, I am forwarding a message from Damien Lamberton concerning MSc scholarships for students interested in pursuing an MSc from the Université Paris-Est. The full advert is below. Please notice the tight deadline on 20 May. Best wishes Tiziano ---------- Forwarded message --------- > Da: Damien Lamberton <damien.lamberton(a)univ-eiffel.fr> > Date: mar 7 mag 2024 alle ore 17:04 > Subject: Fwd: [umr8050] Candidatures au M2 Bézout > To: Tiziano De Angelis <tiziano.deangelis(a)unito.it> > > > > > Dear Tiziano, > > I am forwarding some advertisement about our master's scholarships, in > case some of your students could be interested.. > > All the best, > > Damien > > > > ———————————————————————————————————————————————————————— > > > > Dear colleague, > > The 2024-2025 hiring campaign for international Bézout master's > scholarships is open from March 20 to May 20 at midnight. We will be able > to accept 10 applications. The Bézout scholarship program is directed > towards excellent students in mathematics, computer science or both, from > foreign institutions willing to pursue their studies in Université > Paris-Est at the master level. The laureates will receive about 1300 € per > month over 11 months and will be proposed a room on the campus. The best > students will then be invited to join the PhD program of the Doctoral > School MSTIC (Mathematics, Sciences and Information and Communication > Technology). A joint supervision with the student's national doctoral > framework, leading to both PhD grades, is possible. > > The details of the program can be found here: > https://labex-bezout.fr/masters-scholarships/ . From the same webpage, a > link to the application form will be available soon. > > A description of the activities of the Bézout Labex can be found in the > attached leaflet. One can also send you a few printed leaflets at your > postal address if you wish. > > Contact: Raphaël Danchin <danchin(a)u-pec.fr> > > > >

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Special Day on "Matrix models for quantum systems" - Friday June 7th at IHES
by Matteo D'Achille 13 May '24

13 May '24

Dear colleagues, I would like to draw your attention to the upcoming conference Matrix models for quantum systems, to be held on June 7th at the IHES in Bures-sur-Yvette. This conference is organized by the Seed Seminar of Mathematics and Physics <https://seedseminar.apps.math.cnrs.fr/>. The aim of the conference, and of the seminar in general, is to foster interactions between the mathematics and theoretical physics communities on topics of common interest. We will have the pleasure to listen to the following speakers: Guillaume Aubrun (Institut Camille Jordan, Lyon) Philippe Biane (Laboratoire d'Informatique Gaspard Monge, Marne-la-Vallée) Bertrand Eynard (Institut de Physique Théorique, CEA Saclay) Vladimir Kazakov (Laboratoire de Physique de l'École Normale Supérieure, Paris) The talks will be from 10:00 to 16:30, with a welcome coffee from 9:30. Both in-person and online participation are free but limited. Please register at https://indico.math.cnrs.fr/event/12052 if you are planning to participate in either capacity. Thank you for your attention and kind regards. Matteo D’Achille, for the organizing committee ---------------------------------- Matteo D’Achille, PhD Laboratoire de Mathématiques d’Orsay - LMO (UMR 8628 CNRS) Équipe Probabilités et Statistiques Bâtiment 307, rue Michel Magat, Faculté des Sciences d’Orsay, Université Paris-Saclay, F-91405 Orsay Cedex Office 3I20 (+33) 01 69 15 68 38 https://www.imo.universite-paris-saclay.fr/~matteo.dachille/

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(PMS)^2 talk - J. Janák - may 16 at 11:15
by Carlo Orrieri 13 May '24

13 May '24

Dear colleagues, we are happy to announce the following talk Josef Janák (Università di Pavia) Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements Abstract: We propose the stochastic heat equation driven by the multiplicative space-time white noise and we introduce several estimators to the diffusivity parameter that are inspired by the maximum likelihood estimator. Since our observation scheme relies on local measurements, the asymptotics of the estimators is pursued with a fixed time horizon and with the spatial resolution of the observations tending to zero. A stable central limit theorem shows that our proposed estimators are strictly consistent and asymptotically mixed normal. The performance of the estimators is demonstrated in numerical simulations. This is a joint work with Professor Markus Reiß. Date and time: Thursday May 16, 11:15-12:15 (Rome time zone) Place: Aula Beltrami, Dip. Matematica, Univ. Di Pavia. Zoom meeting link: https://zoom.us/j/95472715600?pwd=bG1lYVNFMXp5ZGxBcTFoNXNxbE1UZz09 <https://zoom.us/j/95472715600?pwd=bG1lYVNFMXp5ZGxBcTFoNXNxbE1UZz09> ID riunione: 954 7271 5600 Codice d’accesso: 043885 These talks are part of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia and Milano-Politecnico. Participation is free and welcome! Best regards The organizers (Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Seminario ALOS - May 17th
by Alessandro Ramponi 13 May '24

13 May '24

Dear All, on May 17th, at 15:00, in classroom A (Building B), Department of Economics and Finance, University of Roma Tor Vergata, the following seminar will take place: Speaker: Elisa Alos (Dpt. Economia i Empresa, UPF, Barcelona) Title: On the Skew and Curvature of the Implied and Local Volatilities Abstract: In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent 1/(H+3/2) rule (where H denotes the Hurst parameter of the volatility process) for rough volatilities (see F. Bourgey, S. De Marco, P. Friz, and P. Pigato, 2022), that states that the short-time skew slope of the at-the-money implied volatility is 1/(H+3/2) of the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and vice-versa. Additionally, this relationship depends on H.

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