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bando INdAM per borse per accesso ad un qualsiasi dottorato italiano in mat
by Cecilia 24 May '18

24 May '18

-------- Messaggio Inoltrato -------- Oggetto: [Gnampa] Rinvio scadenza bando INdAM-DP-Cofund-2015 Data: Wed, 23 May 2018 15:42:12 +0200 Mittente: Mauro Petrucci <petrucci(a)altamatematica.it> A: gnampa(a)lists.altamatematica.it, gncs(a)lists.altamatematica.it, gnfm(a)lists.altamatematica.it, gnsaga(a)lists.altamatematica.it A tutti gli aderenti ai Gruppi INdAM, Vi informiamo che è stata rinviata la scadenza del secondo bando di concorso per n° 10 borse di dottorato del programma “INdAM Doctoral Programme in Mathematics and/or Applications Cofunded by Marie Sklodowska-Curie Actions”, cofinanziato dalla UE nell’ambito di Horizon 2020, La NUOVA SCADENZA per la presentazione delle domande è il*30 giugno 2018*. La scadenza per la presentazione del titolo di accesso al dottorato prescelto è il 30 settembre 2018 per i cittadini europei, il *30 giugno 2018* per i cittadini extra-europei. Il programma offre a ricercatori da tutto il mondo l’opportunità di accedere a uno dei dottorati italiani in Matematica e/o applicazioni che partecipano al Programma. Il sito per la presentazione delle domande è: https://cofund.altamatematica.it *Giorgio Patrizio* *Presidente INdAM* * * *//*

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Bayesian Workshop in Grenoble, September 6-7, 2018
by Julyan Arbel 23 May '18

23 May '18

Dear all, The second edition of the Italian-French statistics seminar will be held in Grenoble on 6-7 September 2018. This year the theme of the workshop will be Bayesian learning theory for complex data modeling. The workshop will give to young statisticians the opportunity to learn from and interact with highly qualified senior researchers in probability, theoretical and applied statistics, with a particular focus on Bayesian methods. Anyone interested in this field is welcome. There will be two junior sessions and a poster session with a call for abstract open until June 30. A particular focus will be given to researchers in the early stage of their career, or currently studying for a PhD, MSc or BSc. The junior session is supported by ISBA through travel awards. Confirmed invited speakers: • Simon Barthelmé, Gipsa-lab, Grenoble, France • Arnoldo Frigessi, University of Oslo, Norway • Benjamin Guedj, Inria Lille - Nord Europe, France • Alessandra Guglielmi, Politecnico di Milano, Italy • Antonio Lijoi, University Bocconi, Milan, Italy • Bernardo Nipoti, Trinity College Dublin, Ireland • Sonia Petrone, University Bocconi, Milan, Italy Important Dates: • June 30, 2018: Abstract submission closes • July 20, 2018: Notification on abstract acceptance • August 25, 2018: Registration closes More details and how to register: https://sites.google.com/view/bigworkshop We look forward to seeing you in Grenoble. Best, Marta Crispino and Julyan Arbel marta.crispino(a)inria.fr, julyan.arbel(a)inria.fr

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Cortona SMI summer course
by Yosef Rinott 22 May '18

22 May '18

A course: HIGH DIMENSIONAL PROBABILITY FOR MATHEMATICIANS AND DATA SCIENTISTS Organized by SMI in Cortona will take place during July2 - July 13. Details can be found in http://germanio.math.unifi.it/it/courses-cortona-2016-2-2-2-2-3/ and further details in http://bcf.usc.edu/~larry/courses/SMI/2018/Cortona2018.html Yosi Rinott

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Pavia-Bicocca-INdAM PhD program in Mathematics
by Francesco Caravenna 22 May '18

22 May '18

The Universities of Pavia and Milano-Bicocca have a *joint PhD program in Mathematics*, with the contribution of INdAM: https://sites.google.com/view/jointphd/home The call for admissions 2018 is open (deadline June 7, 2018). A total of 13 fellowship are available in all domains of Mathematics, including Probability and Statistics. For more information, see the official pages: https://www.unimib.it/unimib-international/phd/how-apply (english version - details for Mathematics at page 26 of the Call) https://www.unimib.it/didattica/dottorato-ricerca/accedere-al-dottorato (versione italiana - scheda per Matematica a pag. 30 del Bando) _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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assegno di ricerca bandito presso il Dipartimento di Ingegneria Gestionale - Politecnico di Milano
by Anna Paganoni 21 May '18

21 May '18

Desidero segnalare il seguente assegno di ricerca (12 mesi) bandito presso il Dipartimento di Ingegneria Gestionale - Politecnico di Milano SECS-P/08 - ECONOMIA E GESTIONE DELLE IMPRESE "Analisi statistica/econometrica da fonti eterogenee di grandi basi di dati Sviluppo e utilizzo di metodologie in campo economico, industriale e finanziario" Il bando e' reperibile al sito: https://www.polimi.it/index.php?id=3971&tx_wfqbe_pi1%5BID%5D=7729 Scadenza: 12 Giugno 2018 ----------------------------------------------------------------------------------- The call for a 12 month postdoc is open at Politecnico di Milano Dept of Department of Management, Economics and Industrial Engineering SECS-P/08 - MANAGEMENT "Statistical and econometric analysis of large databases from heterogeneous sources Development and implementation of methodologies in economic, industrial and financial fields" The details of the call are at https://www.polimi.it/index.php?id=3971&tx_wfqbe_pi1[ID]=7729&L=1 Deadline: 12 June 2018 -- Anna Maria Paganoni MOX - Modeling and Scientific Computing Dipartimento di Matematica "F. Brioschi" Politecnico di Milano Piazza Leonardo da Vinci, 32 I-20133 Milano - Italy tel. +39 02 2399 4574 fax. +39 02 2399 4568 e.mail: anna.paganoni(a)polimi.it

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A Spring Day in Probability and Statistical Physics
by Francesca Romana Nardi 21 May '18

21 May '18

Carissimi, vi ricordo il seminario di venerdi` prossimo 25 Maggio (vedi annuncio sotto per dettagli). Stiamo prenotando un ristorante diverso dal precedente con cucina fiorentina e prezzo contenuto, per questo ho bisogno del numero ESATTO di persone. Potreste farmi sapere chi intende mangiare con il gruppo per favore? A prestissimo Francesca R Nardi -------- Messaggio originale -------- OGGETTO: A Spring Day in Probability and Statistical Physics DATA: Venerdì 27/04/2018 18:13 MITTENTE: Francesca Romana Nardi <francescaromana.nardi(a)unifi.it> DESTINATARIO: random(a)fields.dm.unipi.it Carissimi, stiamo preparando la prossima giornata di seminari del 25 Maggio 2018 (quarto incontro della serie di giornate sulla probabilita` e le sue applicazioni alla Fisica, Biologia e Scienze sociali). Ricordo che ciascuno oratore fara` una lezione introduttiva e divulgativa di 45 minuti pensata proprio per i non esperti, seguita da altri 45 minuti di tipo seminario (vedi programma). Per maggiori informazioni e aggiornamenti sulle giornate passate e future abbiamo istituito una pagina web che vi invitiamo a visitare periodicamente. http://web.math.unifi.it/users/fnardi/seminari/ A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 25 May 2018 Lecturers: Francis Comets (Paris) and Remco van der Hofstad (Eindhoven) Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Francis Comets (University of Paris Diderot) Title: Cover time, cover process, random interlacements for random walk on the torus, I and II" Abstract: The cover time is the time needed for the $d$-dimensional simple random walk to visit all points of the torus of size $n$ on the lattice $Z^d$; in the continuum, it is the time for the Wiener sausage of radius 1 to cover the torus of linear size $n$. As a maximum of correlated random variables (here, with logarithmic decay when $d=2$) it has interesting asymptotics as $n \to \infty$, which are related to the way the covering is performed. Things are different in dimension $d \geq 3$ (the walk is transient) from dimension $d=1,2$ (the walk is recurrent). In dimension $d \geq 3$, Sznitman introduced random interlacements to describe the local picture during the covering process. They consist in a Poissonian soup of bi-inifinite random walk trajectories. They still give a reliable account at large densities, up to cover time. We will emphasize dimension 2: random interlacements can be used as a description of the neighborhood of an unvisited site, provided that the paths used in the interlacements are random walk _conditioned not to visit a point_. (Joint works with Serguei Popov and Marina Vachkovskaia.) (Leiden University) Prof. Remco van der Hofstad (Technical University Eindhoven) Title: Ising models on random graphs ABSTRACT: The Ising model is one of the simplest statistical mechanics models that displays a phase transition. While invented by Ising and Lenz to model magnetism, for which the Ising model lives on regular lattices, it is now widely used for other real-world applications as a model for cooperative behavior and consensus between people. As such, it is natural to consider the Ising model on complex networks. Since complex networks are modelled using random graphs, this leads us to study the Ising model on random graphs. In this talk, we discuss some recent results on the stationary distribution of the Ising model on locally tree-like random graphs. We start by giving an extensive introduction to random graph models for complex networks, to set the stage of the graphs on which our Ising models live. Real-world networks tend to be highly inhomogeneous, a fact that is most prominently reflected in their degree distributions having heavy tails as described by power laws. Due to the randomness of the graphs on which the Ising model lives, there are different settings for the Ising model on it. The quenched setting describes the Ising model on the random graph as it is, while the averaged quenched setting takes the expectation w.r.t. the randomness of the graph. As such, it takes the expectation of the Boltzman distribution, which is a ratio of an exponential involving the Hamiltonian, and the partition function. In the annealed setting, the expectation is taken on both sides of the ratio. These different settings each describe different physical realities. We discuss the thermodynamic limit of the Ising model, which can be used to define the phase transition in the Ising model on locally tree-like random graphs, by describing when spontaneous magnetization exists and when not, extending work by Dembo and Montanari. We give an explicit expression for the critical value and the critical exponents for the magnetization close to it. These critical exponents depend on the power-law exponent of the degree distribution in the random graph. We also discuss central limit theorems for the total spin in the uniqueness regime, as well as a non-classical limit theorem for the total spin at the critical point in the special setting of the annealed generalized random graph. This talk is based on several joint works with Sander Dommers, Cristian Giardina, Claudio Giberti and Maria Luisa Prioriello. Program: 11.00-11.45 Introductory lecture: Comets 11.45-12.00 Break 12.00-13.00 Seminar: Comets 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: van der Hofstad 15.15-15.30 Break 15.30-16.30 Seminar: van der Hofstad Organizers: F. Caravenna, N. Cancrini, E.N.M. Cirillo, P. Dai Pra, A. De Masi, D. Fanelli, F. Flandoli C. Giardina`, R. Livi, F. Martinelli, I.G. Minelli, F.R. Nardi, E. Presutti, B. Scoppola, E. Scoppola Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante (diverso dal precedente) con un paio di menu fissi (di cui uno vegerariano) che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Vi aspettiamo numerosi Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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assegno di ricerca bandito presso il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze
by Maria Elvira Mancino 21 May '18

21 May '18

Desidero segnalare il seguente assegno di ricerca (12 mesi) bandito presso il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze SSD SECS-S/06 "Misure di rischio finanziario con dati ad alta frequenza" Il bando e' reperibile al sito: https://www.unifi.it/vp-391-assegni-di-ricerca.html Scadenza: 7 Giugno 2018 ----------------------------------------------------------------------------------- The call for a 12 month postdoc is open at University of Firenze (Dept of Economics and Management) "Financial risk measures with high frequency data" The details of the call are at https://www.unifi.it/vp-391-assegni-di-ricerca.html Deadline: 7 June 2018

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PhD course di Marco Frittelli in Bicocca
by fabio bellini 18 May '18

18 May '18

Nei giorni 22-23-24 maggio, presso la Aula Seminari 2062 del DISMEQ, al secondo piano dell'edificio U7, il prof. Marco Frittelli del Dipartimento di Matematica della Università di Milano terrà un mini-corso di dottorato su 'Pathwise Finance (Arbitrage and Super-Hedging) and Systemic Risk Measures'. Il calendario delle lezioni è il seguente: Martedì 22 maggio 11-13, 14.30-16.30 Mercoledì 23 maggio 11-13, 14.30-16.30 Giovedì 24 maggio 11-13, 14.30-16.30. La partecipazione è libera ma per motivi logistici è consigliata la registrazione inviando una mail a nicoletta.alghisi(a)unimib.it. -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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Call for abstracts : Numerical methods and quantitative finance: new perspectives and applications @AMASES
by Daniele Marazzina 17 May '18

17 May '18

Con preghiera di diffusione >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Dear Colleagues, a session entitled Numerical methods and quantitative finance: new perspectives and applications(NM)<http://amases2018.uniparthenope.it/files/NM.pdf> will take place during the AMASES Annual Conference, which will be held in Naples on September 13-15, 2018 (http://amases2018.uniparthenope.it/). In recent years the research for mathematical tools to be applied in financial contexts has gained additional importance. In fact the latest financial crisis has highlighted the need for a more scientific approach to the problem of pricing and risk control. Moreover, we can now take advantage of more advanced statistical and mathematical skills and of the availability of numerical techniques and faster computer systems. The aim of this special session is to discuss recent advances and application in this field. Theoretical and empirical papers are welcome. It is a great pleasure to invite you to submit an extended abstract. To be considered for the session, please submit your abstract by specifying the session code (NM) in the file name (NM-[surname of author who will present the paper].pdf). Please refer to the official web page of the conference for further details on the submission. Important dates: May 30, 2018: deadline for abstract submission June 11, 2018: notification of acceptance June 18, 2018: early registration July 2, 2018: late registration For information, please contact: Chiara Guardasoni - chiara.guardasoni(a)unipr.it Daniele Marazzina - daniele.marazzina(a)polimi.it Simona Sanfelici - simona.sanfelici(a)unipr.it We are looking forward to meeting you in Naples. Best regards Chiara Guardasoni, Daniele Marazzina, Simona Sanfelici

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Seminario di G. Giacomin a Milano-Bicocca (29 maggio 2018)
by Francesco Caravenna 17 May '18

17 May '18

Martedì 29 maggio 2018 alle ore 14:30 Giambattista Giacomin (Université Paris Diderot) terrà un seminario dal titolo "On phase transitions in disordered systems and singular behavior of Lyapunov exponents" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, terzo piano, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%% Abstract: Understanding the effect of disorder on phase transitions and crtical phenomena is a challenging problem that has been repeatedly considered in the phyisics literature. In this domain there is a highly non trivial model that takes the center stage because it is considered to be «exactly solvable». It is the two dimensional Ising model with a special type of disorder («columnar disorder»). I will provide an introduction to this model and to what has been conjectured about it. I will also explain why the exact solvability claim is an overstatement. The solvability aspect in fact is limited to the reduction of the problem to another one - the computation of the Lyapunov exponent of a certain product of two by two random matrices - that seems (and probably is) much easier. In collaboration with Francis Comets and Rafael Greenblatt, we have made some progress toward understanding this product of random matrices. The main aim of the talk is explaining these results and what they imply on the two dimensional Ising model with columnar disorder. %%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Bando RTD-B in Statistica Università Milano-Bicocca
by andrea ongaro 16 May '18

16 May '18

Si informa che l*'Università di Milano - Bicocca* ha bandito una posizione di *RTD-B in Statistica*, (settore concorsuale 13/D1, settore scientifico-disciplinare SECS-S/01) presso il Dipartimento di Economia, Metodi Quantitativi e Strategie d'Azienda. La scadenza per la presentazione delle domande è il *7 giugno 2018*. Il bando (data registr. 9.5.18, nr. reg. 1128/2018), contenente anche le informazioni per la presentazione della domanda on-line, è disponibile alla pagina: https://webproto.si.unimib.it/ADP/concdocenti.aspx Con preghiera di massima diffusione e scusandomi per eventuali invii multipli Andrea Ongaro

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Corso BERESTYCKI
by Matteo Ruggiero 16 May '18

16 May '18

Cari colleghi, nell’ambito del programma di Visiting Professors per la Laurea Magistrale in Stochastics and Data Science dell’Università di Torino, siamo lieti di annunciare il seguente corso: Julien BERESTYCKI (University of Oxford) TOPICS ON BRANCHING BROWNIAN MOTION che si terrà al terzo piano di Corso Unione Sovietica 218/bis, 10134, Torino, secondo il seguente calendario: 24 maggio 11:15-13:15 (aula 12) 25 maggio 9:15-11:15 (aula 12) 28 maggio 11:15-13:15 e 14:00-16:00 (aula 12) 29 maggio 11:15-13:15 e 16:00-18:00 (aula 12) 30 maggio 14:00-16:00 (aula 12) 31 maggio 11:15-13:15 (aula 13) Il corso è rivolto agli studenti della Laurea Magistrale, ma la partecipazione è libera agli interessati. Il programma completo di Visiting Professors si può consultare alla pagina http://www.master-sds.unito.it/do/home.pl/View?round=1&doc=visitingprofesso… Questa iniziativa è parzialmente supportata da Fondazione CRT, Torino. Cordiali saluti, I coordinatori del Programma Laura Sacerdote e Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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seminario GSSI L'Aquila
by davide gabrielli 15 May '18

15 May '18

Il giorno 23 maggio ore 15 presso il GSSI-L'Aquila il Prof. F. Comets terra' un seminario dal titolo Singular behavior of Lyapunov exponents in a weak disorder limit infos: "http://www.gssi.infn.it/seminars/seminars-and-events-2018/item/3612-singula… Locandina allegata

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Colloquium di Balint Toth a Roma Tre il 23 maggio alle 16
by Pietro Caputo 15 May '18

15 May '18

COLLOQUIUM DI MATEMATICA Balint Toth (University of Bristol, UK and Renyi Institute, Budapest) Titolo: Invariance principle for the random Lorentz gas beyond the [Boltzmann-Grad / Gallavotti-Spohn] limit Mercoledi' 23 Maggio 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Aula F, primo piano, edificio Aule - Largo San Leonardo Murialdo,1 Abstract Let hard ball scatterers of radius $r$ be placed in $mathbb R^d$, centred at the points of a Poisson point process of intensity $rho$. The volume fraction $r^d rho$ is assumed to be sufficiently low so that with positive probability the origin is not trapped in a finite domain fully surrounded by scatterers. The Lorentz process is the trajectory of a point-like particle starting from the origin with randomly oriented unit velocity subject to elastic collisions with the fixed (infinite mass) scatterers. The question of diffusive scaling limit of this process is a major open problem in classical statistical physics. Gallavotti (1969) and Spohn (1978) proved that under the so-called Boltzmann-Grad limit, when $r to 0$, $rho to infty$ so that $r^{d-1}rho to 1$ and the time scale is fixed, the Lorentz process (described informally above) converges to a Markovian random flight process, with independent exponentially distributed free flight times and Markovian scatterings. It is essentially straightforward to see that taking a second diffusive scaling limit (after the Gallavotti-Spohn limit) yields invariance principle. I will present new results going beyond the [Boltzmann-Grad / Gallavotti-Spohn] limit, in $d=3$: Letting $r to 0$, $rho to infty$ so that $r^{d-1}rho to 1$ (as in B-G) and simultaneously rescaling time by $T sim r^{-2+epsilon}$ we prove invariance principle (under diffusive scaling) for the Lorentz trajectory. Note that the B-G limit and diffusive scaling are done simultaneously and not in sequel. The proof is essentially based on control of the effect of re-collisions by probabilistic coupling arguments. The main arguments are valid in $d=3$ but not in $d=2$. Joint work with Chris Lutsko (Bristol)

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REMINDER - HFFE2018 CALL FOR PAPERS @ SNS
by Daniele Tantari 15 May '18

15 May '18

Dear colleagues, this is the second announcement for the workshop *Frontiers in High-Frequency Financial Econometrics * that will be held at Scuola Normale Superiore in Pisa (Italy) on 28-29 September 2018. The aim of the Workshop is to bring together leading experts and young researchers in the field of financial econometrics and mathematical finance with application to high-frequency finance. The main purpose is to listen to new ideas, and discuss about future perspectives in the field. The organizers encourage submissions of papers on any topic within the overall theme of the conference with a special emphasis on the following areas: realized (co)variance estimation and forecasting, high-frequency finance, liquidity and price discovery, market microstructure analysis. The scientific committee of the workshop consists of: Giacomo Bormetti (University of Bologna), Fulvio Corsi (University of Pisa), Fabrizio Lillo (University of Bologna), Maria Elvira Mancino (University of Florence), Stefano Marmi (Scuola Normale Superiore), Davide Pirino (University of Rome "Tor Vergata"), Roberto Renò (University of Verona) *CALL FOR PAPERS* *Both papers and extended abstracts (min 3 pages) are accepted for presentation in a regular session or a poster session.* The final program of the workshop will include both submitted and invited papers. Our keynote speakers are: - *Yacine Ait-Sahalia *(Princeton University) - *Nikolaus Hautsch* (University of Vienna) - *André Lucas *(VU University Amsterdam) - *Mathieu Rosenbaum *(Ecole Polytechnique) For more information on submission and registration, see the conference website https://www.hffe2018sns.com/ or contact hffe.workshop(a)gmail.com *Important dates:* Submission of a complete paper or extended abstract: May 31th, 2018 Decision: June 30th, 2018 Registration deadline: August 15th, 2018 On behalf of the organizing committee, Best Regards, Daniele Tantari

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Convegno Portfolio managing, stochastic processes and financial econometrics a Firenze, 18/5/18
by Cecilia 14 May '18

14 May '18

In occasione delle visite di Jean Jacod e di José Figueora-Lopez al Dipartimetno di Scienze per l'Economia e dell'Impresa, il giorno venerdì 18 maggio 2018, ore 10:00-18:00, a Firenze, presso il Campus di Novoli, via delle Pandette 9 (edificio D6), aula 0.01, si terrà il convegno *Portfolio managing, stochastic processes and financial econometrics* con il programma sotto descritto. Tutti gli interessati sono cordialmente invitati a partecipare. Per motivi organizzativi CHI INTENDE PARTECIPARE è pregato di INVIARE UNA EMAIL a cecilia.mancini(a)unifi.it *Programme:* 10:00 Jean Jacod, /Laboratoire de Probabilités/ et Modèles Aléatoires, Université Pierre et Marie Curie-Paris 6, /Modeling asset prices: small scale versus large scale/// 11:00 José Figueora-Lopez, Department of Mathematics, Washington University in St. Louis, /Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations/ *BREAK 11:30, D6/1.02* 12:00 Luca Spadafora, Internal Model Validation, Banco BPM S.p.A., Milano, and Department of Computer Sciences, University of Verona, /Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling/ 12:30 Giannicola Simari, University of Pisa /A new Value-based Investing Strategy: The Case of the S&P 500 Index / *LUNCH 13:00* 14:30 Giampiero Maria Gallo, Italian Court of Auditors (Corte dei conti), /Mitigating Measurement Error Effects in Volatility Forecasting/ 15:00 Simona Sanfelici, Department of Economics and Management, University of Parma, /Estimation of the stochastic leverage effect using the Fourier transform method / 15:30 Rachele Foschi, Department of Economics and Management, University of Pisa, /Hawkes processes: continuous- and discrete-time stochastic intensity/ *BREAK 16:00, D6/1.02* 16:30 Francesca Lilla, Department of Management and Economics, University of Florence, TBA 17:00 Erindi Allaj, Department of Management and Economics, University of Florence, /Black-Litterman model and its out-of-sample performance/ 17:30 Fabrizio Cipollini, Department of Statistics, Informatics and Applications, University of Florence, /Forecasting Optimal Portfolio Weights Using High-Frequency Data/

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Bando dottorato Tor Vergata
by marinucc 14 May '18

14 May '18

-------- Messaggio originale -------- Oggetto: Re: Bando dottorato di Eccellenza Data: 2018-05-11 11:36 Mittente: Andrea Braides <braides(a)gmail.com> Destinatario: Andrea Braides <braides(a)mat.uniroma2.it> Cc: liverani carlangelo <liverani(a)mat.uniroma2.it>, Domenico Marinucci <marinucc(a)axp.mat.uniroma2.it>, porretta <porretta(a)axp.mat.uniroma2.it>, Flaminio Flamini <flamini(a)axp.mat.uniroma2.it>, Benedetto Scoppola <scoppola(a)axp.mat.uniroma2.it>, Paolo Baldi <baldi(a)axp.mat.uniroma2.it>, Roberto Natalini <roberto.natalini(a)gmail.com>, Simonetta De Nicola <denicola(a)mat.uniroma2.it>, Longo Roberto <longo(a)axp.mat.uniroma2.it>, Bracci Filippo <fbracci(a)axp.mat.uniroma2.it>, Giuseppe Pareschi <pareschi(a)axp.mat.uniroma2.it>, Elisabetta Strickland <strickla(a)axp.mat.uniroma2.it>, Tarantello Gabriella <tarantel(a)axp.mat.uniroma2.it>, Michiel Bertsch <bertsch(a)mat.uniroma2.it>, Daniele Guido <guido(a)axp.mat.uniroma2.it>, Carla Manni <manni(a)axp.mat.uniroma2.it>, Celletti Alessandra <celletti(a)axp.mat.uniroma2.it>, Carlangelo Liverani <liverani(a)axp.mat.uniroma2.it>, Mauro Nacinovich <nacinovi(a)axp.mat.uniroma2.it>, Rene Schoof <schoof(a)axp.mat.uniroma2.it>, Carlo Sinestrari <sinestra(a)axp.mat.uniroma2.it>, Filippo Bracci <fbracci(a)mat.uniroma2.it> Care Colleghe e cari Colleghi, vi ri-mando il messaggio da inviare alle vostre mailing list (con un paio di refusi corretti). L’avviso del bando è ora presente sulla pagina del dottorato. Cari saluti, Andrea Bando di Dottorato in Matematica a Tor Vergata - con preghiera di diffusione agli studenti interessati PhD of Excellence at Rome Tor Vergata University. The Department of Mathematics of the University of Rome Tor Vergata has been ranked first in Italy among the Departments of Mathematics in the most recent Research Assessment Exercises, see for instance https://www.mat.uniroma2.it/Docs/All6DElenco180Ammessi.pdf The Department of Mathematics has hence benefited of an extra-funding for the period 2018-2022. These funds will be largely exploited for additional activities specifically addressed to PhD students, such as seminars, advanced courses, workshops, visiting professors; there is also specific extra-funding for students’ travels and scholarships. Within this five-year Program of Excellence, five PhD positions have been funded for the academic year 2018-2019 with yearly gross salary of 24.000 Euros approximately plus travel allowance. Information for applications can be found on the PhD School web page at https://www.mat.uniroma2.it/~dott/pagina2.html The PhD program covers all areas of research in Pure and Applied Mathematics, including for instance Algebraic and Arithmetic Geometry, Number Theory, Complex Analysis, Dynamical Systems, Calculus of Variations and PDE, Operator Algebras and Quantum Field Theory, Nonlinear Analysis, Celestial Mechanics, Statistical Physics, Numerical Analysis, Probability and Mathematical Statistics. A more detailed presentation of the PhD school, including the full list of members of the PhD Board, can be found on the PhD School web page. Our students can also benefit from strong interactions with the very lively mathematical community in Rome; there is indeed a mutual cooperation agreement with the Mathematics PhD programs run by Sapienza and Rome III University (http://www.rome-phd-math-programs.it/). For more information, please contact Prof. Andrea Braides, PhD Coordinator, braides(a)mat.uniroma2.it Mrs Simonetta De Nicola, PhD Secretary, denicola(a)mat.uniroma2.it ____________________________________________ Andrea Braides Director of the PhD School in Mathematics, University of Rome Tor Vergata For all contact information: http://axp.mat.uniroma2.it/~braideswikipedia entry: https://en.wikipedia.org/wiki/Andrea_Braides

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Conference "Recent Advances in Random Processes - a conference in honor of Paolo Baldi's 70th birthday" - second announcement
by Lucia Caramellino 11 May '18

11 May '18

Second announcement of the conference "Recent Advances in Random Processes - a conference in honor of Paolo Baldi's 70th birthday" Rome, September 10-11, 2018, at Citta` dell'Altra Economia Information (speakers, program, venue etc.) are available at http://www.mat.uniroma2.it/~ricerca/probab/rarp/home.html Sponsors: - INdaM-Gnampa - ERC Grant PASCAL n.277742. Registration (free but compulsory) at http://www.mat.uniroma2.it/~ricerca/probab/rarp/registration.html ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell

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Seminario at Scuola Normale Superiore, Prof. Jean Jacod, Université Paris 6, Pierre et Marie Curie (17-05-2018)
by Giulia 11 May '18

11 May '18

Dear all, On Thursday, 17 May 2018 — at 14:00 — at the Scuola Normale Superiore (Room: Aula Fermi) Prof. Jean Jacod (Université Paris 6, Pierre et Marie Curie) will hold the following Seminar: Title : Modeling asset prices: small scale versus large scale Abstract: A typical model for the price of financial asset, allowing for explicit or numerical computation of option prices, hedging, calibration, etc... , describes the price with an horizon of months or years. In contrast, a very active topic now is concerned with models for tick prices or order books. The structure of the price at the microscopic level is very di_erent from the structure of the usual (often continuous) semimartingales used at a macroscopic level. In particular the microscopic prices evolves on the tick grid, usually going up or down by one tick only. Our aim is to see how it is possible to reconcile the two viewpoints, using a scaling limit of tick-level price models. We will see that this question (going back to the thesis of Bachelier, in a sense) raises a number of non trivial questions if we want a reasonably simple microscopic model, together with a macroscopic model exhibiting stochastic volatility or jumps or a drift. (Joint work with Yacine Ait-Sahalia). Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Call for abstracts : Networks and Big Data in Economics, Finance, and Social Systems @AMASES
by Fabrizio Lillo 10 May '18

10 May '18

Dear Colleagues, a session entitled Networks and Big Data in Economics, Finance, and Social Systems will take place during the AMASES Annual Conference, which will be held in Naples on September 13-15, 2018 (http://amases2018.uniparthenope.it/ ). The special session mainly focuses on the emerging multidisciplinary study of the interconnections in finance and social science, which brings with it the necessity to deal with the growing amount of data available. Theoretical and empirical papers are welcome. Topics include but are not limited to: - contagion in social, economic and financial networks - network modeling of financial time-series - big data approach to financial, economic, and social modeling It is a great pleasure to invite you to submit an extended abstract. To be considered for the session, please submit your abstract by specifying the session code (BD) in the file name (BD-[surname of author who will present the paper].pdf). Please refer to the official web page of the conference for further details on the submission. Important dates: May 30, 2018: deadline for abstract submission June 11, 2018: notification of acceptance June 18, 2018: early registration July 2, 2018: late registration For information, please contact: Fabrizio Lillo (fabrizio.lillo(a)unibo.it) Michele Tumminello (michele.tumminello(a)unipa.it) Pietro Vassallo (pietro.vassallo01(a)unipa.it) We are looking forward to meeting you in Naples. Best regards Fabrizio Lillo, Michele Tumminello and Pietro Vassallo ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Workshop: BNPSI 2018, Bordeaux (France), July 2-4, 2018
by Annalisa Cerquetti 10 May '18

10 May '18

Cari tutti, segnalo il workshop: *BNPSI "Bayesian nonparametrics for signal and image processing" * in programma a Bordeaux, dal 2 al 4 luglio 2018, https://bnpsi2018.sciencesconf.org/ Deadline for registration (free) and abstract submission for the poster session: 31 Maggio 2018. A. Annalisa Cerquetti, PhD http://web.mclink.it/MD3012/annalisa.cerquetti/ <http://www.memotef.uniroma1.it/users/cerquetti-annalisa>

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Posizione RTD-B in SECS-S/01 Università Ca' Foscari di Venezia
by Carlo Gaetan 09 May '18

09 May '18

L' Università Ca' Foscari ha bandito la seguente posizione RTD-B di Statistica presso il Dipartimento di Scienze Ambientali, Informatica e Statistica: D.R.389/2018 - Procedura pubblica di selezione per la copertura di n. 1 posto di ricercatore a tempo determinato ai sensi dell'art. 24 comma 3 lettera b) della Legge 30 dicembre 2010, n. 240, settore concorsuale 13/D1 settore SECS-S/01 SCADENZA: 4 giugno 2018, ore 12:00 a.m. (CET) Chi cerchiamo (*) I migliori candidati, con solide basi metodologiche in statistica, ma che anche vogliano cimentarsi in applicazioni in ambito ambientale o, alternativamente, nella disciplina emergente della Data Science. Cosa chiediamo (*) Un' attività di ricerca che spinga il gruppo di Statistica e il Dipartimento ancora più avanti nella valutazione ANVUR e che sia sostenuta anche con la partecipazione a bandi di finanziamento competitivi sia in ambito nazionale sia, preferibilmente, in ambito internazionale. Per maggiori informazioni e per inviare la domanda di partecipazione: http://intra.unive.it/plapps/bandi/common/showbando?id=29077 Contatti ulteriori per informazioni di natura accademica: gaetan(a)unive.it Con preghiera di massima diffusione e scusandomi per eventuali invii multipli Carlo Gaetan (*) Fatti salvi i requisiti concorsuali e gli obblighi di legge in merito a reclutamento, etc. -- Dipartimento di Scienze Ambientali, Informatica e Statistica - DAIS Università Ca' Foscari - Venezia Edificio Zeta Via Torino, 155 I-30172 Mestre (VE) ITALY phone: ++39 041 234 8404 mobile phone: ++39 366 629 7899 e-mail:[gaetan"at"unive"dot"it] web:[http://www.dais.unive.it/~gaetan] Please don't print this e-mail unless you really need to. Please avoid sending me Word, Excel or PowerPoint attachments. See http://www.gnu.org/philosophy/no-word-attachments.html. Per favore non stampate questo messaggio se non è proprio necessario. Per favore non mandatemi allegati in Word, Excel o PowerPoint. Le ragioni sono spiegate qui http://www.gnu.org/philosophy/no-word-attachments.it.html

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Rob Engle a Venezia
by Monica Billio 08 May '18

08 May '18

*Lunedì 14 maggio 2018 ore 12.30* Aula Meeting 1, Campus San Giobbe Cannaregio 873, Venezia *A Financial Approac h to Climate Risk** * ** *Martedì 15 maggio 2018 ore 14.30** ***Aula Magna Guido Cazzavillan, Campus San Giobbe Cannaregio 873, Venezia *Monitoring Risk with VLAB** * ** (Incontro con gli studenti di Ca’ Foscari) *Mercoledì 16 maggio 2018 ore 15.30** ***Aula Magna Ca’ Dolfin, Dorsoduro 3825/E, Venezia *How Much SRISK is Too Much?** ***Conferimento della Ca’ Foscari Honorary Fellowship Conferenza aperta al pubblico (segnalare presenza a eventi(a)unive.it) -- -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(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 CREDIT 2018 http://www.greta.it/credit/credit2018/credit2018.htm -- Nota automatica aggiunta dal sistema di posta.

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Seminari Prof. Mesiar e Prof. Candeloro
by Serena Doria 08 May '18

08 May '18

Il giorno 16 maggio 2018 alle ore 11.30 si terranno, presso l'aula del consiglio del Dipartimento di Ingegneria e Geologia Viale Pindaro 42, Pescara i seguenti seminari: 1) Professor Radko Mesiar Faculty of Civil Engineering, Department of Mathematics Radlinského 11, 810 05 Bratislava, Slovakia Titolo: "Monotone measures and real integrals" 2) Professor Domenico Candeloro Department of Mathematics and Computer Science, Via Vanvitelli, 1 - Perugia Italy Titolo: "Birkhoff-type integral of multifunctions with respect to fuzzy measures" Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Serena Doria

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RECALL -- International Summer School on Risk Measurement and Control 2018
by Roy Cerqueti 07 May '18

07 May '18

Dear all, this is a second notice to inform you that the 12th Edition of the International Summer School on Risk Measurement and Control will take place in Rome on 4-9 June, 2018. Four macrothemes will be explored: * Green Economics and Finance <http://www.risksummerschool.eu/node/208> * The Fin Tech challenge <http://www.risksummerschool.eu/node/212> * Monetary Policy in a low inflation environment <http://www.risksummerschool.eu/node/214> * Banking, Financial and Insurance Regulation <http://www.risksummerschool.eu/node/213> More information can be find on the <http://www.risksummerschool.eu/> website. The outstandig level of the lecturers and the relevance of the treated subjects let this well-established school be of wide interest for both academicians and practitioners. With my warmest regards Roy Cerqueti (Organizing Committee) -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587* https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin… <https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin…>

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