Random

random@lists.dm.unipi.it

44 participants
5248 discussions

4 Assistant Professorships + 1 Harrison position in Statistics @Warwick
by Massimiliano ... 08 Dec '21

08 Dec '21

Dear all, 4 assistant professorships (permanent with a 5 year probation) and 1 Harrison position(until October 2024) are available at the Department of Statistics, University of Warwick, seewww.warwick.ac.uk/statjob<http://www.warwick.ac.uk/statjobs>for more details. All applications close on January 9. For the Assistant professorships, we are particularly keen in making appointment in the following areas: * Applied Statistics * Data Science * Stochastic Finance but welcome applications across the spectrum of Probability and Statistics, broadly interpreted, seehttps://atsv7.wcn.co.uk/search_engine/jobs.cgi?owner=5062452&ownertype=fair&jcode=1880930&vt_template=1457&adminview=1 I'd appreciate if you could circulate this information around your networks, and encourage applications from talented early career researchers you are aware of. Feel free to get back to me if you have any questions. Best wishes, Massimiliano ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

1 0

Reminder -- Online Quantitative Finance Seminars @SNS, December 10, 2021
by Giulia Livieri 07 Dec '21

07 Dec '21

Dear all, We would like to announce the following two Online Seminars @SNS: *December 10, 2021 at 3PM (CEST)* *Speaker: *Prof. Agostino Capponi (Columbia University) *Title: * The Adoption of Blockchain-based Decentralized Exchanges (joint work with Dr. Ruizhe Jia) *Abstract: *We show that the blockchain order execution mechanism and liquidity pooling create arbitrage rents in decentralized exchanges. The arbitrage rent raises the cost of liquidity provision and imposes negative externalities on users of the underlying blockchain. In equilibrium, automated market makers (AMMs) are adopted by liquidity providers only if exchange rates of token pairs are sufficiently stable. A pricing curve with higher curvature reduces arbitrage rents, but also decreases trading activities. We provide statistical support for our main model implications using transaction-level data of AMMs. *Link: * https://teams.microsoft.com/l/meetup-join/19%3ameeting_NjAyODk0YzQtNmVmYS00… We are looking forward to seeing you at the seminars! Best regards, Giulia

1 0

Seminario Online :: Panaretos@DSS-Sapienza
by Pierpaolo Brutti 07 Dec '21

07 Dec '21

...ricevo e inoltro... --P ----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o O n l i n e ----------------------------------------------------------------------------- Venerdì 10 Dicembre, ore 12:00 ----------------------------------------------------------------------------- Zoom: [Link <https://uniroma1.zoom.us/j/86881977368?pwd=SWRFcVFjMDZTa0lXZk05TE1zNm5adz09>] [code: 432940] ----------------------------------------------------------------------------- VICTOR PANARETOS <http://smat-files.epfl.ch/victor/> (Ecole Polytecnique Federale de Lausanne) terrà un seminario dal titolo: TESTING FOR THE RANK OF A COVARIANCE KERNEL ----------------------------------------------------------------------------- Summary How can we discern whether the covariance of a stochastic process is of reduced rank, and if so, what its precise rank is? And how can we do so at a given level of confidence? This question is central to a great deal of methods for functional data, which require low-dimensional representations whether by functional PCA or other methods. The difficulty is that the determination is to be made on the basis of i.i.d. replications of the process observed discretely and with measurement error contamination. This adds a ridge to the empirical covariance, obfuscating the underlying dimension. We describe a matrix-completion inspired test statistic that circumvents this issue by measuring the best possible least square fit of the empirical covariance's off-diagonal elements, optimised over covariances of given finite rank. For a fixed grid of sufficiently large size, we determine the statistic's asymptotic null distribution as the number of replications grows. We then use it to construct a bootstrap implementation of a stepwise testing procedure controlling the family-wise error rate corresponding to the collection of hypotheses formalising the question at hand. Under minimal regularity assumptions we prove that the procedure is consistent and that its bootstrap implementation is valid. The procedure circumvents smoothing and associated smoothing parameters, is indifferent to measurement error heteroskedasticity, and does not assume a low-noise regime. Based on joint work with Anirvan Chakraborty. -----------------------------------------------------------------------------

1 0

[MLfF] Program: 3rd One-Day International Workshop on MACHINE LEARNING FOR FINANCE
by Marco Corazza 06 Dec '21

06 Dec '21

Kind All, I'm glad to send you the program of the Remote *3rd One-Day International Workshop onMACHINE LEARNING FOR FINANCE* (*https://www.unive.it/data/agenda/3/55613 <https://www.unive.it/data/agenda/3/55613>*). For receiving the *Zoom address*, *ID* and *passcode*, it is necessary to communicate the email address of the attendee to corazza(a)unive.it. I hope to see you at the workshop! The warmest regards, Marco Corazza ***** ***** ***** MORNING ***** ***** ***** 08:50-09:00 - Openings 09:00-09:30 - He X., Cong L. W., Feng G., He J.: "Asset pricing with Panel Trees under global split criteria" 09:30-10:00 - Barbopoulos L. G., Dai R., Putniņš T., Saunders J. A.: "Market Efficiency in the age of Machine Learning" 10:00-10:30 - Caliciotti A., Corazza M., Fasano G.: "Regression models and Machine Learning approaches for Bitcoin price forecast" 10:30-11:00 - Kumar P.: "Deep Hawkes process for high-frequency market making" 11:00-11:15 - Break 11:15-11:45 - Al-Ameer A., Alshehri K.: "Conditional Value-at-Risk for quantitative trading: A Direct Reinforcement Learning approach" 11:45-12:15 - Carrillo Menéndez S., Hassani B.: "Expected Shortfall reliability – Added value of traditional statistics and advanced Artificial Intelligence for market risk measurement purposes" 12:15-12:45 - Daluiso R., Nastasi E., Pallavicini A., Polo S.: "Reinforcement Learning for options on target volatility funds" 12:45-13:15 - Dell’Era M.: "Local volatility and Hopfield Neural Network" 13:15-13:45 - Break ***** ***** ***** AFTERNOON ***** ***** ***** 13:45-14:15 - Goudenège L., Molent A., Zanette A.: "Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem" 14:15-14:45 - Jaydip S., Dutta A., Mehtab S.: "Portfolio optimization using Deep Learning models - A comparative study of risk-based portfolio design approaches" 14:45-15:15 - Lillo F., Livieri G., Marmi S., Solomko A., Vaienti S.: "Analysis of bank leverage via dynamical systems and deep neural networks" 15:15-15:45 - Scholz M.: "Forecast combinations for benchmarks of long-term stock returns using Machine Learning methods" 15:45-16:00 - Break 16:00-16:30 - Ameridad B., Cattaneo M., Luciano E., Kenett R.: "AI and Adversarial AI in insurance: Background, examples and future implications" 16:30-17:00 - Gnoatto A., Picarelli A., Reisinger C.: "Deep XVA Solver - A Neural Network based counterparty Credit Risk management framework" 17:00-17:30 - Mansouri S., Momtaz P. P.: "Financing sustainable entrepreneurship: ESG measurement, valuation, and performance in token offerings" 17:30-18:00 - Modina M., Zedda S.: "A quantitative identification and description of the default syndromes affecting the Italian SMEs" 18:00-18:10 - Closings -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef --

1 0

Posizione da Assistant Professor in Statistics alla Luiss
by Marco Perone Pacifico 03 Dec '21

03 Dec '21

Care colleghe e colleghi, la Luiss ha pubblicato una "call for expression of interest" per una posizione da Assistant Professor in Statistics and Data Science (tutti i dettagli a questo link<https://www.luiss.edu/call-expression-interest-2021/assistant-professorship…>). La call rimarrà aperta fino a metà febbraio, ma le selezioni inizieranno a gennaio. Per chi fosse interessato, il consiglio è di inviare la domanda entro il 31 dicembre 2021. Un saluto, Marco Perone Pacifico Marco Perone Pacifico Professor of Statistics Department of Economics and Finance LUISS University Viale Romania 32 00197 Roma, ITALY La presente e-mail proviene da Luiss Guido Carli e s'intende inviata per scopi lavorativi. Tutte le informazioni ivi contenute, compresi eventuali allegati, sono da ritenersi esclusivamente confidenziali e riservati secondo i termini del vigente D.Lgs. 196/2003 in materia di privacy e del Regolamento europeo 679/2016 - GDPR. È vietato qualsiasi ulteriore utilizzo non autorizzato. Qualora la stessa Le fosse pervenuta per errore, La preghiamo di eliminarla immediatamente e di darcene tempestiva comunicazione. Grazie. This e-mail message is sent by Luiss Guido Carli for business purposes. All informations contained therein, including any attachments, are for the sole use of the intended recipient and may contain confidential and privileged information pursuant to Legislative Decree 196/2003 and the European General Data Protection Regulation 679/2016 - GDPR -. Any unauthorized review, use, disclosure or distribution is prohibited. If you are not the intended recipient, please contact the sender by soon reply this e-mail and destroy all copies of the original message. Thanks

1 0

concorso RTDB MAT/07 Univ. Roma Tre
by giuliani＠mat.uniroma3.it 03 Dec '21

03 Dec '21

Cari tutti, vorrei segnalare l'emissione di un bando di concorso per un posto di Ricercatore a Tempo Determinato di tipo B in Fisica Matematica (SC 01/A4 - SSD MAT/07) presso il Dipartimento di Matematica e Fisica dell'Università degli Studi Roma Tre. Il termine di scadenza delle domande è il 28/10/2021. Il bando integrale è disponibile al seguente indirizzo: https://www.albopretorionline.it/uniroma/alboente.aspx sotto la voce "Concorsi e Selezioni" in pubblicazione dal 28-09-2021 al 28-10-2021 (si veda la voce "Procedure pubbliche per complessivi 43 posti di Ricercatore a tempo determinato, Art. 24 c.3 lettera B) Legge 240/2010, presso i Dipartimenti dell'Ateneo, con modello di domanda in word e versione in lingua inglese. Avviso pubblicato sulla G.U. n. 77 del 28/09/2021, scadenza presentazione domande 28/10/2021") Il link diretto al bando è il seguente: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=1 con allegati disponibili al seguente link: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=4 Vi prego di inoltrare le informazioni sul bando a tutti i colleghi potenzialmente interessati. Grazie, cordiali saluti, Alessandro Giuliani

2 2

a post-doc position in Naples
by malongob＠unina.it 03 Dec '21

03 Dec '21

Cari colleghe e colleghi, si è aperto un bando per un assegno di ricerca di 1 anno presso il Dipartimento di Matematica e Applicazioni dell?Università degli Studi di Napoli Federico II. Il bando ha scadenza 13 Dicembre 2021. Titolo del progetto: ? ANALISI MATEMATICO-STATISTICA DI PROCESSI STOCASTICI PER DINAMICHE DI SISTEMI COMPLESSI E LORO AFFIDABILITA'?. L?obiettivo del progetto è lo studio di processi stocastici atti a creare nuovi modelli matematici per dinamiche di particelle interagenti e di sistemi coerenti, nonché analisi di affidabilità, di misure di informazione e dei relativi problemi differenziali. Trovate i dettagli del bando all'indirizzo http://www.unina.it/ricerca/bandi-nazionali/assegni-di-ricerca Cordialmente, Maria Longobardi ENGLISH VERSION Dear colleagues, A call for a 1 year post-doc position is open at the Dipartimento di Matematica e Applicazioni, University of Naples Federico II, with deadline December 13th, 2021. The title of the project is: ? MATHEMATICAL-STATISTICAL ANALYSIS OF STOCHASTIC PROCESSES FOR DYNAMICAL OF COMPLEX SYSTEMS AND THEIR RELIABILITY?. The aim is to investigate stochastic processes for new mathematical models of interacting particles and coherent systems, as well as reliability analysis, information measures and related differential problems. You find the details of the call at the page: http://www.unina.it/ricerca/bandi-nazionali/assegni-di-ricerca Unfortunately the call is only in Italian, but please let me know if you need help in understanding it or in applying. Best regards Maria Longobardi Maria Longobardi, Ph.D. in Applied Mathematics Associate Professor of Probability and Mathematical Statistics E-mail: maria.longobardi(a)unina.it Dipartimento di Biologia Università degli Studi di Napoli FEDERICO II Via Cintia - 80126 Napoli - Italy Studio 114 - V livello del Dipartimento di Matematica e Applicazioni Tel. +39 081 675620

1 0

Seminario Prof. Anand N Vidyashankar
by Claudio Agostinelli 01 Dec '21

01 Dec '21

Buon pomeriggio a tutti, il giorno 3 Dicembre 2021 (Venerdi) alle ore 12.00 il Prof. Anand N Vidyashankar (George Mason University) terra' un seminario presso l'aula seminari del dipartimento di Matematica dell'Universita' di Trento dal titolo: Sharp large deviations in sequential inference tutte le informazioni su http://datascience.maths.unitn.it/events/si2021/index.html Sara' possibile seguire il seminario anche via zoom: https://unitn.zoom.us/j/85200390505 Meeting ID: 852 0039 0505 Passcode: 494451 Cordiali saluti, Claudio Agostinelli -- ------------------------------------------------------------- Claudio Agostinelli Dipartimento di Matematica Universita' di Trento email: claudio.agostinelli(a)unitn.it ------------------------------------------------------------ Per favore non mandatemi documenti in Microsoft Office/Apple iWork. Spediscimi invece OpenDocument! http://fsf.org/campaigns/opendocument/ Please do not send me Microsoft Office/Apple iWork documents. Send OpenDocument instead! http://fsf.org/campaigns/opendocument/ ------------------------------------------------------------

1 0

2 years Post-doc position in Florence
by Luisa Andreis 01 Dec '21

01 Dec '21

ITALIAN VERSION (ENGLISH BELOW)———————————————————— Cari colleghi e colleghe, si è aperto un bando per un assegno di ricerca di 2 anni al Dipartimento di Matematica e Informatica “Ulisse Dini” dell’Università di Firenze. Il bando ha scadenza 8 Dicembre 2021. Titolo del progetto: : "Tecniche di meccanica statistica in probabilità e geometria”. L’obiettivo del progetto e’ studiare come l’approccio statistico-meccanico sia stato applicato alla risoluzione di problemi di geometria (in particolare geometria complessa) e investigare altri possibili collegamenti tra le due discipline. Trovate i dettagli del bando al fondo di questa email. Per ulteriori informazioni rivolgersi a luisa.andreis(a)unifi.it <mailto:luisa.andreis@unifi.it> Vi preghiamo di diffondere con chiunque pensiate possa essere interessata/o. Cordiali saluti, Luisa Andreis, Gianmarco Bet e Daniele Angella ENGLISH VERSION———————————————————— Dear colleagues, A call for a 2 years post-doc position is open at the Mathematics Department in Florence, with deadline December 8, 2021. The title of the project is: "Statistical-mechanics techniques in Probability and Geometry”. The aim is to investigate how the statistical mechanic approach has successfully been applied to the study of problems coming from geometry (in particular complex geometry) and the interplay between the two disciplines. You find the details of the call at the bottom of this email. Unfortunately the call is only in Italian, but please let us know if you need help in understanding it or in applying. We will be happy to help. For any further information, please contact: luisa.andreis(a)unifi.it <mailto:luisa.andreis@unifi.it> Please, feel free to forward this announcement to whoever you think might be interested. Best regards, Luisa Andreis, Gianmarco Bet e Daniele Angella DETAILS OF THE CALL ------------------------------------------------------------------------------------------------ Official call (only in italian): https://titulus.unifi.it/albo/viewer?view=files%2F004336873-UNFICLE-7daf4f5… <https://titulus.unifi.it/albo/viewer?view=files/004336873-UNFICLE-7daf4f5f-…> Title of the project: "Statistical-mechanics techniques in Probability and Geometry” Principal Investigators: Luisa Andreis, Gianmarco Bet, Daniele Angella (University of Florence) ---------------------------------------------------------------------------------- Luisa Andreis ------------------------------------------------------- RTD-A Dipartimento di Matematica e Informatica “Ulisse Dini" Università degli Studi di Firenze Viale Morgagni 65, 50134, Firenze, IT Personal webpage: https://sites.google.com/view/luisaandreis/home Email: luisa.andreis(a)unifi.it

1 0

ECSO-CMS 2021 First Call for Papers
by Martina Nardon 01 Dec '21

01 Dec '21

_First Call for Papers_ *Joint EUROPEAN CONFERENCE ON STOCHASTIC OPTIMIZATION and COMPUTATIONAL MANAGEMENT SCIENCE Conference * *7-9 July 2021, Venice, Italy* The organizers are delighted to invite you to ECSO – CMS 2021 that will be held in Venice, Italy, 7-9 July 2021, at the Department of Economics - Ca’ Foscari University of Venice, in the San Giobbe Economics Campus. /This is the rescheduled event for the Conference ECSO – CMS 2020, suspended due to the COVID -19 pandemic emergency. We are planning to organize the conference in presence in 2021./ ECSO - CMS 2021 is jointly organized by the Department of Economics of Ca’ Foscari University of Venice, the CMS Journal and the EURO Working Group on Stochastic Optimization. ECSO 2021 is the 3rd edition of a stream of conferences organized by the EURO Working Group on Stochastic Optimization (EWGSO). The previous editions were held in Paris (2014) and Rome (2017). The scope of the conference is to bring together researchers and professionals in Stochastic Optimization and its applications in different fields spacing from economics and finance to supply chain, logistics, etc. CMS 2021 is the 17th edition of an annual meeting associated with the journal of Computational Management Science published by Springer. The aim of the conference is to provide a forum for theoreticians and practitioners from academia and industry to exchange knowledge, ideas and results in a broad range of topics relevant to the theory and practice of computational methods in management science. This joint event will provide a forum for fruitful discussions and interactions among researchers and professionals from industry and institutional sectors on decision making under uncertainty in a complex world.The conference will be within the scopes of both CMS and EWGSO and, in particular, it will focus on models, methods and computational tools in stochastic, robust and distributionally robust optimization and on computational aspects of management science with emphasis on risk management, valuation problems, measurement applications. Traditional fields of application, such as finance, energy, water management, logistics, supply chain management, and emerging ones, such as healthcare, climate risk and sustainable development, will be included. VENUE: Department of Economics, Ca’ Foscari University of Venice San Giobbe Campus – Cannaregio 873, 30121 Venice, Italy Webpage: www.unive.it/ecsocms2021 <http://www.unive.it/ecsocms2021> Conference Secretariat: ecsocms2021(a)unive.it Conference hashtag: #ecsocms2021 IMPORTANT DATES Abstract submission: *March 31, 2021* Notification of acceptance: *April 20, 2021* Early registration: *April 30, 2021* Conference: J*uly 7-9, 2021* CONFIRMED INVITED SPEAKERS DARINKA DENTCHEVA, Stevens Institute of Technology (USA) DAVID MORTON, Northwestern University (USA) GAH-YI BAN, University of Maryland (USA) DANIEL KUHN, École polytechnique fédérale de Lausanne (CH) GIORGIO CONSIGLI, Università di Bergamo (I) A *prize for the student best paper* will be awarded. Papers should be nominated via e-mail by the students’ supervisors (ecsocms2021(a)unive.it). *Deadline for the submissions to the prize is May 15.* The program will include a devoted session for presenting the best papers to compete for the prize, such that the jury could make the final choice. The paper does not have to be published. The papers should be principally authored by the student, but co-authors are permitted as long as their contributions are clarified. Only registered participants’ papers will be considered for the prize. Jury for the Student Best Paper Prize: Stein-Erik Fleten (NTNU Norwegian University of Science and Technology), Milos Kopa (Charles University of Prague), Francesca Maggioni (University of Bergamo), Ruediger Schultz (University Duisburg-Essen). We are looking forward to seeing you in Venice. Best Regards, Diana Barro, Stein-Erik Fleten and Martina Nardon Organizing and Program Committee Chairs -------------------------------------- Dr. Martina Nardon Dipartimento di Economia Università Ca' Foscari Venezia San Giobbe - Cannaregio, 873 30121 Venezia, Italy tel. +39 041 234 7413 --------------------------------------

1 1

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random