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RTD-A in probabilità a Pisa
by Marco Romito 04 May '18

04 May '18

Scrivo per annunciare il bando per una posizione RTD-A nel settore MAT/06 presso il Dipartimento di Matematica dell'Università di Pisa, con scadenza il 4 giugno 2018. Il bando è disponibile alla pagina https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… ------------------- dear all I would like to announce a junior researcher position (RTD-A) in Probability at University of Pisa. The official call (in italian) can be found at https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… The position is a fixed-term contract of employment for three years, possibly renewable for a further two years. The deadline is June 4, 2018. m.

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Lecturer (assistant professor) position in Mathematical Finance at Imperial College London
by Brigo, Damiano 04 May '18

04 May '18

Dear All, I would like to announce that there is a lecturer (assistant professor) position in the Mathematical Finance group at Imperial College London: http://www.imperial.ac.uk/jobs/description/NAT00155/lecturer-mathematical-f… Best wishes, Damiano ----------------------- Prof. Damiano Brigo Chair of Mathematical Finance, co-Head of the MF Research Group and member of the Stochastic Analysis Group Department of Mathematics, Imperial College London, damiano.brigo(a)imperial.ac.uk http://www.imperial.ac.uk/people/damiano.brigo

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BAYSM 2018 announcement: early bird deadline closing on 7st May 2018
by Raffaele Argiento 03 May '18

03 May '18

The Early Bird registration deadline for BAYSM 2018 is the 7th of May 2018. Register now (https://warwick.ac.uk/baysm) to receive the discounted registration cost for this exciting event. As part of the registration process you can also book your accommodation in en-suite rooms on campus at Conference Park. BAYSM2018 is the 4rd edition of the Bayesian Young Statisticians Meeting and will take place at University of Warwick, Coventry, UK (2-3 July 2018), as a satellite to the ISBA 2018 world meeting. BAYSM is dedicated to Ph.D. Students, M.S. Students, Post-Docs, Young and Junior Researchers working in the field of Bayesian statistics, providing an opportunity to connect with the Bayesian community at large. Senior discussants will be present at each session, providing participants with advise and comments to their work. Recognised figures of the Bayesian community will also participate as keynote speakers, making an altogether exciting program. The event will be hosted by the Department of Statistics of the University of Warwick (https://warwick.ac.uk/statistics/). It will include social events, providing the opportunity to get to know other junior Bayesians. Keynote speakers: Kerrie Mengersen (Queensland University of Technology) Igor Prünster (Bocconi University) Judith Rousseau (University of Oxford) Stephen Senn (University of Glasgow) Yee Whye Teh (University of Oxford) Discussants: Deborah Ashby (Imperial College) Bärbel Finkenstädt Rand (University of Warwick) Jim Griffin (University of Kent) Michele Guindani (University of California, Irvine) Amy Herring (Duke University) Jim Smith (University of Warwick) Mark Steel (University of Warwick) Sebastian Vollmer (University of Warwick) While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://warwick.ac.uk/baysm On behalf of the BAYSM2018 organizing committee (https://warwick.ac.uk/baysm/organiserssponsors/) -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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Call for tenure-track at the University of Oslo
by Giulia Di Nunno 03 May '18

03 May '18

Dear Colleagues, The Department of Mathematics of the University of Oslo (Section for Stochastic analysis, finance, insurance and risk) is announcing a tenure-track position in insurance mathematics and probability theory. The call is now open. Deadline for application is May 20th, 2018. Please, bring this to the attention of interested people and help us to spread the ad: https://www.jobbnorge.no/en/available-jobs/job/151890/tenure-track-position… Best regards, Giulia Di Nunno

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Seminari SOYER e POLSON al CNR IMATI - Milano - 3 Maggio
by antonio.pievatolo＠cnr.it 02 May '18

02 May '18

Ricordo i seguenti seminari che si svolgeranno presso CNR IMATI, via Alfonso Corti 12, Milano, Aula A Giovedì 3 maggio 2018, ore 15:00 - 16:30 [notare il cambio di aula; gentilmente scrivere a simona(a)mi.imati.cnr.it se si intende partecipare] 1) Refik Soyer, School of Business, George Washington University ore 15:00-15:45 BAYESIAN MODELING OF NON GAUSSIAN MULTIVARIATE TIME SERIES Abstract: Modeling of multivariate non Gaussian time series of correlated observations is considered. In so doing, we focus on time series from multivariate counts and durations. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods. We illustrate application of the proposed approach using conditionally multivariate Poisson and gamma time series. Joint work with Tevfik Aktekin, University of New Hampshire and Nicholas Polson, University of Chicago 2) Nicholas Polson, Booth School of Business, University of Chicago ore 15:45-16:30 DEEP LEARNING: A BAYESIAN PERSPECTIVE Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research. Joint work with Vladimir Sokolov, Sistems Engineering and Operations Research, George Mason University -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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seminario Marco Patacca in Bicocca
by fabio bellini 02 May '18

02 May '18

Il giorno venerdì 11 maggio alle ore 14.30 presso la Aula Seminari 4026 del DISMEQ al IV piano dell'edificio U7, il dott. Marco Patacca della Università di Perugia terrà un seminario su "Bitcoin prices and market attention" Abstract In this work we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to historical data from January 1, 2012 to December 31, 2017; two non-overlapping subsamples are also considered. Outcomes confirm our conjecture that market attention has an impact on Bitcoin returns. Specifically, trading volume related measures affect both the mean and the conditional variance of Bitcoin returns while internet searches volume mainly affects the conditional variance of returns. Motivated by these evidences we propose a continuous time model for Bitcoin price, we obtain an approximate formula for the likelihood and we fit the model to historical data (joint work with Gianna Figà-Talamanca). Tutti gli interessati sono invitati a partecipare. -- 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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PhD position in Bern
by fabio bellini 02 May '18

02 May '18

A message from Johanna Ziegel and Riccardo Gatto: UNIVERSITY OF BERN (INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE) PhD POSITION in STATISTICS Funding is available for a PhD student (3 years) to work on a project in one of the following areas: Statistical forecasting including elicitability and related topics, stochastic simulation, large deviations and related computational techniques. The student will be supervised by Prof. Johanna Ziegel or Prof. Riccardo Gatto depending on the choice of topic. The prospective PhD student should have a solid background in mathematics, mathematical statistics and/or probability theory. The salary will be at the level foreseen by the SNF for PhD students, see http://www.snf.ch/SiteCollectionDocuments/allg_doktorierende_d.pdf. There might be a possibility to complement the salary by taking up teaching and statistical consulting duties. The starting date is 1 September 2018 or by mutual agreement. Applications (cover letter, CV, and transcripts from the studies) giving the name and address (postal and e-mail) of an academic referee should be e-mailed as a single file to Prof. Johanna Ziegel johanna.ziegel(a)stat.unibe.ch and Prof. Riccardo Gatto riccardo.gatto(a)stat.unibe.ch All applications received before 10 June 2018 will be considered. Later applications will be considered until the position is filled. Informal e-mail enquiries are welcome. http://www.imsv.unibe.ch

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Three Days in Quantum Mechanics, Genoa, June 6-8
by Alberto Barchielli 01 May '18

01 May '18

Dear Collegues, We are pleased to announce the workshop "Three Days in Quantum Mechanics", which will take place on June 6-8, 2018 in Genoa - Italy. The workshop will be focused on the the mathematical aspects of Quantum Information and Quantum Incompatibility, with a particular reference to - quantum tomography; - quantum uncertainty relations and information-disturbance tradeoff; - quantum entanglement; - open quantum systems. The purpose of the workshop is to take stock of most recent significant advances and insights on the above topics, and enable the participants to jointly explore future directions and forge new collaborations. You can find some more information and an updated list of speakers at the following link: https://www.ge.infn.it/~toigo/ Looking forward to seeing you in Genoa! With best regards, The Organizing Committee Claudio Carmeli, Paolo Solinas, Alessandro Toigo, Bassano Vacchini, Nino Zanghi'. -- Prof. Alberto Barchielli Politecnico di Milano, Dipartimento di Matematica, Piazza Leonardo da Vinci 32, I-20133 Milano, Italy tel +39 0223994559 fax +39 0223994513 http://www.mate.polimi.it/qp/ http://www.springer.com/978-3-642-01297-6

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Call for Expression of Interest - Politecnico di Torino
by TRIVELLATO BARBARA 29 Apr '18

29 Apr '18

The Department of Mathematical Sciences of the Politecnico di Torino (DISMA) opens a call for expression of interest for a tenured Associate Professor position in the field of discrete or computational mathematics. The position is supported by a research grant obtained by DISMA as Dipartimento di Eccellenza 2018-2022. Full details and contacts can be found at http://www.polito.it/disma-excellence/EoIAssociateProfessor.html Saluti, Barbara Trivellato Dipartimento di Scienze Matematiche Politecnico di Torino Corso Duca degli Abruzzi, 24 10129 Torino, ITALY Tel: +39 011 564 7550 Fax: +39 011 564 7599 barbara.trivellato(a)polito.it

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Extended deadline - Advanced School on complexity and emergence
by elisa mastrogiacomo 29 Apr '18

29 Apr '18

This is the final* announcement* of the upcoming *Advanced School on complexity and emergence: ideas, methods, with a special attention to economics and finance (CEIM)* The School will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore on July 22-27, 2018. The main courses will be given by L. Boi (EHESS – Paris), I. Capelli (Università dell’Insubria), I. Ekeland (Ceremade - Universitè Paris-Dauphine), F. Guerra (Sapienza Università di Roma), J. Jost (Max Planck Institute for Mathematics in the Sciences - Leipzig), Florent McIsaac, (Agence Française pour le Développement), F. Patras (Université de Nice Sophia-Antipolis), F. Riedel (Center for Mathematical Economics, Bielefeld University), F. Semboloni (Università degli studi di Firenze), R. Seri (Università dell’Insubria). The potential participants of the School are primarily master and doctorate students of mathematics, information sciences, theoretical physics, and economics, as well as research workers in those areas, who want to enlarge their spectrum of knowledge towards the area of complexity. The aim of the School is to provide these researchers useful instruments from the theory of complex systems, both on the theoretical level and the methodological ones, bridging the present disciplinary gap, and profiting from knowledge and insights from both communities. The School may have some (limited number of) financial supports. Details about the registration, the program and the application for financial support are available at the website http://ceim.lakecomoschool.org/. *Deadline for application: 14th May. * We would be grateful if you could circulate this announcement among your PhD students, postdocs and colleagues. With our best regards, Sergio Albeverio Elisa Mastrogiacomo Fabio Minazzi Emanuela Rosazza Gianin Stefania Ugolini

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A Winter Day in Probability and Statistical Physics
by Francesca Romana Nardi 27 Apr '18

27 Apr '18

Carissimi, stiamo preparando la prossima giornata di seminari del 16 Marzo 2018 (terzo 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 WINTER DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 16 March 2018 Lecturers: Frank den Hollander (Leiden) and Giovanni Peccati (Luxenbourg) Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Frank den Hollander (Leiden University) Title: Large deviations for the Wiener sausage Abstract: The Wiener sausage is the 1-environment of Brownian motion. It is an important mathematical object because it is one of the simplest non-Markovian functionals of Brownian motion. The Wiener sausage has been studied intensively since the 1970's. It plays a key role in the study of various stochastic phenomena, including heat conduction, trapping in random media, spectral properties of random Schrödinger operators, and Bose-Einstein condensation. In these lectures we look at two specific quantities: the volume and the capacity. After an introduction to the Wiener sausage, we show that both the volume and the capacity satisfy a downward large deviation principle. We identify the rate and the rate function, and analyse the properties of the rate function. We also explain how the large deviation principles are proved with the help of the skeleton approach. Joint work with Michiel van den Berg (Bristol) and Erwin Bolthausen (Zurich). Giovanni Peccati (University of Luxembourg) Title: Stein's method and stochastic geometry Abstract: The so-called 'Stein's method' for probabilistic approximations is a collection of powerful analytical techniques, allowing one to explicitly assess the distance between the distributions of two random objects, by using caracterizing differential operators. Originally developed by Ch. Stein at the end of the sixties for dealing with one-dimensional normal approximations under weak dependence assumptions, Stein's method has rapidly become a crucial tool in many areas of modern stochastic analysis, ranging from random matrix theory and random graphs, to mathematical physics, geometry, combinatorics and statistics. In the first part of my talk, I will provide a self-contained introduction to Stein's method for normal approximations, by focussing on some connection with generalised integration by parts formulae, both in a continuous and discrete setting. In the second part of my talk, I will present some recent applications of Stein's method in stochastic geometry, with specific emphasis on the geometry of random fields, and on random geometric graphs. Program: 11.00-11.45 Introductory lecture: den Hollander 11.45-12.00 Break 12.00-12.45 Seminar: den Hollander 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Peccati 15.15-15.30 Break 15.30-16.15 Seminar: Peccati Organizers: F. Caravenna, N. Cancrini, E.N.M. Cirillo, P. Dai Pra, A. De Masi, D. Fanelli, F. Flandoli C. Giardina`, R. Livi, D. Marinucci, 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 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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[Polimi] From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance
by Daniele Marazzina 27 Apr '18

27 Apr '18

Il Nicola Bruti Liberati Quantitative Finance Lab del Dipartimento di Matematica del Politecnico di Milano organizza nei giorni 9-10 maggio 2018 la conferenza >From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance La conferenza si svolge nell’ambito dell'iniziativa Polimi Fintech Journey grazie al supporto di Deloitte Consulting. Allego il programma in pdf. La conferenza si rivolge al mondo accademico e a quello dell’industria finanziaria con l’intenzione di fare il punto attorno a tre temi: aspetti tecnologici legati al mondo DLT e degli smart contracts, i risvolti economici e finanziari di questi strumenti, le potenziali applicazioni al mondo della finanza. La conferenza ha un taglio multidisciplinare con l’intervento di esperti informatici e del mondo della finanza, esponenti dell’industria finanziaria e delle autorità di regolazione, La conferenza sarà preceduta da un tutorial che intende fornire un’introduzione sulla tecnologia di questi strumenti. Per dettagli sul programma e per la registrazione si prega di consultare il sito https://www.mate.polimi.it/fintech/.

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Seminario RAY
by Matteo Ruggiero 27 Apr '18

27 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 4 Maggio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Kolyan RAY (King’s College London) ESTIMATING THE MEAN RESPONSE IN A MISSING DATA MODEL We study semiparametric Bayesian estimation of the mean response in a binary regression model with missing observations. We allow some dependence between the missingness and response mechanisms, which we assume are conditionally independent given some measured covariates (i.e. unconfoundedness). This model has applications in biostatistics and causal inference. We show that the marginal posterior distribution for the mean response arising from product priors on the different model parameters satisfies a semiparametric Bernstein-von Mises theorem under some conditions. We also propose a more involved prior geared towards estimating this specific functional. This is joint work with Aad van der Vaart. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://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 <http://www.matteoruggiero.it/>

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seminario Dott. Luca Gonzato
by emanuela rosazza gianin 27 Apr '18

27 Apr '18

Si avvisa che il giorno mercoledì 2 maggio alle ore 14.30 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula seminari 4026) si terrà il seguente seminario: Speaker: Luca Gonzato (Dismeq, Università di Milano-Bicocca) Titolo: “ Filtering and Calibrating a Self-Exciting Jump Diffusion Model for Oil Price by a Particle Markov Chain Monte Carlo Method ” Abstract: In this paper we propose a self-exciting jump diffusion model for oil price dynamics based on a Hawkes-type process. In particular, the jump intensity is stochastic and path dependent; so a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. Our model is very similar to that proposed by Hainaut & Moraux (2017) for equity market, although we assume the jump size normally distributed. Moreover, our filtering and calibration method relies on a different procedure. Indeed, we filter the latent jump intensity and estimate the model parameters according to a Particle Markov Chain Monte Carlo method proposed by Andrieu, Doucet & Holenstein (2010), which is well suited for nonlinear non-Gaussian dynamical models. Finally, we provide numerical simulations in order to test our approach. Joint work with Carlo Sgarra. Tutti gli interessati sono invitati a partecipare. Un saluto e a presto, Emanuela ************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it ****************************************************

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Quantitative Finance at Work, second edition.
by Davide Erminio Pirino 26 Apr '18

26 Apr '18

Dear all, the final schedule of the second edition of the Quantitative Finance at Work is now available. Please read below a reminder of the details of the event. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi On May 3 and 4, 2018, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the second edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://www.qfinatwork.com/>. Please find here <https://docs.wixstatic.com/ugd/3e1e75_c72aef8e83d942439e9136419fb340f1.pdf> the flyer of the event. Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. Speakers *Stefano Iacus *University of Milan *Douglas McKinley* Thomson Reuters *Attilio Meucci *Advanced Risk and Portfolio Management Andrea Pallavicini Banca IMI *Francesca Perino* MathWorks Pietro Rossi Prometeia *Reha Tutuncu *SECOR Asset Management Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Dates May 3, 2018, 14:15-17:30 (pre-workshop) May 4, 2018, 9:15-16:45 (workshop) *Web*: https://www.qfinatwork.com

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Seminario di Jacopo Corbetta in Bicocca
by Francesco Caravenna 26 Apr '18

26 Apr '18

Martedì 8 maggio 2018 alle ore 11:00 Jacopo Corbetta (Zeliade System) terrà un seminario dal titolo "Robust calibration and arbitrage free interpolation of SSVI slices" Aula 4026, IV piano dell'edificio U7 Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi 8, Milano Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% We describe a robust calibration algorithm of a set of SSVI (Surface Stochastic Volatility Inspired) slices (i.e. a set of 3 SSVI parameters θ, ρ, ϕ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters provides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious solution to the smile problem, which has the potential to become a benchmark one. %%%%%%%%%%%%%%%%%% _________________________________________ 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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(senza oggetto)
by Faggionato, Alessandra 24 Apr '18

24 Apr '18

Buongiorno, e' stato pubblicato sul sito web del Dipartimento il seguente bando per assegno di ricerca: https://www2.mat.uniroma1.it/sites/default/files/bando2018-2.pdf n. 2/2018 per il conferimento di n. 2 assegni annuali categoria A tip. II _ Matematica e sue applicazioni. SSD: tutti scadenza: 23 maggio 2018 saluti af -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 22 Apr '18

22 Apr '18

CREDIT2018 <http://www.greta.it/credit/credit2018/credit2018.htm> *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *seventeenth* of a series dedicated to various aspects of credit risk. //Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented with new monetary policies (low interest rates, quantitative easing, forward guidance...). In the meantime the first steps towards a more neutral monetary policy are taken. The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines including regulation on credit impairment provisioning. All t////hese changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment.////// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Loan level data and credit risk analysis: credit registries; big data analytics; credit risk measurement; credit risk modelling; * Financial regulation and credit cycles: macro-prudential regulation; banking cycles; bank business models; rational inattention; * Macro-economic determinants of SMEs’ credit risk and SME loan portfolios: ECB policy; macro-parameters for SMEs’ credit risk; industry sector specialization; loan portfolio allocation; * IFRS9, credit impairments and SME financing: expected credit loss; internal models versus standardized approach; procyclicality; * The economic impact of government support measures (i.e. Credit Guarantee Schemes, Venture Capital): availability; real effects; inequality; * Monetary policy, financial regulation and credit cycles: unconventional monetary policy; monetary policy normalization; macro-prudential tools; banking cycles; ·Macro-prudential regulation and real estate valuation: macro-prudential tools; loan-to-value; loan-to-income; collateral value; real estate prices. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Tor Jacobson *(Sveriges Riksbank), *Robert C. Merton* (MIT Sloan School of Management), and *Guillaume Plantin *(Sciences Po & CEPR). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Sponsors** *GRETA* <http://www.greta.it/> *EIF* <http://www.eif.org/index.htm> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> Auspices** *ABI* <http://www.abi.it/Pagine/default.aspx> *EIB* <http://www.eib.org/> *Ca' Foscari - Economics Department* <http://www.unive.it/pag/16892> The Scientific Committee consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)** *Monica Billio *(Ca’ Foscari University of Venice & GRETA) *Vasso Ioannidou *(Lancaster University & CEPR) *Helmut Kraemer-Eis *(Head of Research & Market Analysis, Chief Economist, EIF) *Jan Pieter Krahnen *(SAFE - Goethe University) *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Guillaume Plantin*(Sciences Po & CEPR) *Stephen Schaefer *(London Business School) *Enrico Sette *(Bank of Italy) *Ludovic Thebault *(European DataWarehouse). *CALL FOR PAPERS* Those wishing to present a paper at the Conference should submit by *May 25, 2018 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 25, 2018*. The final version of accepted papers must be received by August 31, 2018. European DataWarehouse (Frankfurt am Main, Germany) will offer access to its ABS loan level database <https://eurodw.eu/> to the authors of the selected papers on the following topics: loan level data, credit risk analysis, loan level data analytics, credit risk measurement, credit risk modelling, loan-to-value, loan-to-income, collateral value, real estate valuations. The access to the database will be given for a period of 1 year. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> *REGISTRATION* To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Late registration (from September 1^st on) Early registration (within August 31^st ) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT ** *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: * Admission to all scientific sessions * Lunches and coffee service during the Conference * Conference kit The registration fees do not fully cover the conference dinner on September 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). *IMPORTANT DATES* May 25, 2018: Papers submission deadline June 25, 2018: Paper acceptance notification August 31, 2018: Deadline for sending final version of accepted papers August 31, 2018: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm *** Please accept our apologies for any crossed e-mails. ** If you do not want to receive more information from this e-mailing list, please reply to this message with Subject "Cancel from Mailing List". -- Nota automatica aggiunta dal sistema di posta.

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DGA-Inria PhD position at Sophia-Anitipolis, France. Deadline : April 29th 2018. Contact : Josiane ZERUBIA, Inria-SAM
by Marianne Clausel 21 Apr '18

21 Apr '18

*Application :* For more information and application, please contact before April 29 th , 2018: Josiane ZERUBIA, Inria-SAM http://www-sop.inria.fr/members/Josiane.Zerubia/index-eng.html email: Josiane.Zerubia(a)inria.fr *Title:* Stochastic Geometry for Multiple Object Detection and Tracking in High Resolution Multi-Source Data Sets for Wide Area Surveillance Applications *Abstract:* Unmanned aerial vehicles and low-orbit satellites, including cubesats, are increasingly used for wide area surveillance which results in large amounts of multi- source data (videos) that have to be processed and analyzed. These sensor platforms capture vast ground areas at roughly 2 frames per second. The number of moving objects in such data is typically very high, accounting for up to thousands of objects. Multiple objects tracking has traditionally been a major area of research in the computer vision field, but this type of data poses new, specific, tracking related challenges. The large number of small objects coupled with the reduced frame rate of the video, illumination changes and image registration provide significant sources of errors. Numerous motion models and state estimation methods like the Kalman filter or the particle filter have been proposed for object tracking. Classical trackers such as the Multiple Hypothesis Tracker or the Joint Probabilistic Data Association Filter have been employed to solve the data association problem between multiple detections. Both approaches work on a set of data association hypothesis. A strong limitation of these methods is that past decisions cannot be updated when new information is available. One way to cope with this problem is to use a sliding temporal window to perform tracking taking into account both past and future information and hence, removing the causality of the result. Recently, a new spatio-temporal marked point process model specifically adapted to the problem of multiple objects tracking has been developed by Craciun et al. [1]. Craciun et al. use ellipses to model the objects, boats or cars for instance, adding a non-geometric mark to facilitate the association between objects in different frames. Nevertheless one important drawback of the above-mentioned model is that constant velocity of the moving objects is a necessary prior hypothesis to deal with the corresponding density function to be optimized. In this PhD thesis we propose to get rid of this constraint by extending the previous model of Paula Craciun . [1] P. Craciun, M. Ortner, and J. Zerubia. Joint detection and tracking of moving objects using spatio-temporal marked point processes. Proc. IEEE Winter Conference on Applications of Computer Vision, 2015. *Candidate profile:* We encourage applications from outstanding candidates with strong academic backgrounds in Mathematics, Physics, Computer Science, Engineering and related fields. At Inria we seek to increase the number of women in areas where they are underrepresented and therefore explicitly encourage women to apply. Furthermore, we are committed to increasing the number of individuals with disabilities in its workforce and therefore encourage applications from such qualified individuals. *Important notice: to get PhD funding from DGA it is necessary to be a** **European citizen (EU and associated countries).*

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Kondratiev minicourse in Verona: cancelled
by Luca di persio 21 Apr '18

21 Apr '18

Dear all, I am regret to announce that the forecasted course of prof. Kondratiev http://www.di.univr.it/?ent=seminario&id=4253&lang=en has been cancelled due to serious health conditions of the speaker. Do not hesitate to contact me if you need further info. Best, LuCa -- __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

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PhD Thesis : Towards hybrid and explainable recommender systems mixing content analysis and collaborative filterings, Project OLKI Lorraine Université d'Excellence, France
by Marianne Clausel 20 Apr '18

20 Apr '18

*General context* Over the last twenty years, an increasing attention has been paid to recommender systems, widely popularized by the Netflix Challenge. The main goal of a recommender system is to provide some users, with personalized products, taking into account their profile and preferences. Recent challenges are about the recommendation of products very complex to describe : jobs, partners... Their characteristics can mix heterogeneous features: quantitative (as ratings) and/or qualitative (as reviews). Moreover, new questions are emerging about explainability of algorithms. Nowadays, Artificial Intelligence algorithms are democratized in our erveyday life, and consumers want to understand the decision resulting from these algorithms (why this decision and not another one ?) as well as quantify the importance of each factor (element) in the decision process (which element is the most important/sensitive). They require more /explainability/ of AI algorithms. In addition, the new European legislation on data protection foresees to impose more /transparency/ to Artificial Intelligence algorithm. The law envisages to make compulsory the agreement of users for using personal data, which will reduce the amount of data that can be collected about users. The customer will also have to be informed about the way their personal data is used. From the algorithms point of view, the decrease of data will impact the quality of the recommmendations. All these changes, will impact shortly and significantly the design of algorithms. In this thesis, we aim at designing and implementing new explainable and transparent recommender systems for complex products, in the frame of data sparsity. *Scientific challenges and program* The challenges are four fold : - *Definition*, in a quantitative way, of the concept of transparency, and develop statistical methods to automatically quantify the transparency degree of an algorithm. - *Classification* of recommender systems from the literature, from the transparency point of view and/or robustness degree with respect to missing data - *Conception* of new hybrid and explainable recommender systems, robust to sparse data. The products being complex, the heterogeneous descriptions of the products, as well as the multi-sources of information, will be used to construct understandable explanation. Especially, natural language processing, and hybrid (content/social) approaches will be studied. The algorithms will also be able to quantify the weights and the sensitivity of each factor in the final decision. - *Constitution *of data sets, allowing to evaluate transparency of recommender systems *Application* \noindent The application should include a brief description of research interests and past experience, a CV, degrees and grades, a copy of Master thesis (or a draft thereof), motivation letter (short but pertinent to this call), relevant publications (if any), and other relevant documents. Candidates are encouraged to provide letter(s) of recommendation or contact information to reference persons. Please send your application *before 12 May 2018* in one single pdf to : armelle.brun(a)univ-lorraine.fr marianne.clausel(a)univ-lorraine.fr The application of the preselected candidates will be reviewed by the Doctoral School IAEM of University of Lorraine in June 2018 for completing the selection process. *Practical informations* *Duration: *3 years (full time position) *Starting date:* October, 2018 *Supervisors* A. Brun, University of Lorraine/LORIA, France, https://members.loria.fr/ABrun/ M. Clausel, University of Lorraine/IECL, France, https://sites.google.com/site/marianneclausel/ *Working Environment* The PhD candidate will work between the Probability and Statistic team of the IECL lab and the KIWI Team of the LORIA lab which are two leading institutions, respectively in Mathematics and Computer Science in France. The two labs are both located at Nancy, France on the same campus. The Probability and Statistic team of IECL is working on interdisciplinary projects involving probabilistic modeling and inference methods, with a focus on many applications as textual datas, biology, spatial datas... The KIWI team of LORIA is a dynamic group working on recommender system and connected scientific domains over 20 researchers (including PhD students) and that covers several aspects of the subject from theory to applications, including statistical learning, data-mining, and cognitive science. *Location* : Nancy, which is the capital of Lorraine in France, with excellent train connection to Luxembourg (1h30) and Paris (1h30). *Salary after taxes: *around 1600 euros.

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 20 Apr '18

20 Apr '18

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Fri, 20 Apr 2018 12:11:45 +0200 From: Bústia Difusions <crmdifusions(a)crm.cat> To: romito(a)dm.unipi.it We would like to bring your attention to the forthcoming *4th Barcelona Summer School on Stochastic Analysis* *A 2018 EMS Summer School* which will be held at the Centre de Recerca Matemàtica <http://www.crm.cat/en/About/General/Pages/LocationDirections.aspx>in Bellaterra (Barcelona) from *July 9^th to July 13^th , 2018*. The school is addressed to PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Zero sets of random functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) -Registration deadline: *June 1^st , 2018. * The period for submissions of proposals for poster presentations and contributed talks is currently open. The deadline is *May 1^st , 2018*.** We invite you to visit the homepage of the school www.crm.cat/2018/StochasticAnalysisBCN <http://www.crm.cat/2018/StochasticAnalysisBCN>to keep posted with the progress of and news about the organization. *Organizing Committee* Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) __________________ *Centre de Recerca Matemàtica* Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat* <http://www.crm.cat/>** *@CRMatematica* <https://twitter.com/CRMatematica>**

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Postdoc position in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 20 Apr '18

20 Apr '18

=========================================================== *Subject*: Postdoc position in Machine Learning (1 year, renewable up to 2.5 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 06 May 2018 (applicants are encouraged to apply earlier) *Salary*: around 2190 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc-positio ns-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for a postdoc position, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 2.5 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in-deep- learning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 06 May 2018 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Seminari SOYER e POLSON al CNR IMATI - Milano - 3 Maggio
by fabrizio＠mi.imati.cnr.it 20 Apr '18

20 Apr '18

Segnalo i seguenti seminari che si svolgeranno presso CNR IMATI, via Alfonso Corti 12, Milano, Aula Expo Giovedì 3 maggio 2018, ore 15:00 - 16:30 1) Refik Soyer, School of Business, George Washington University ore 15:00-15:45 BAYESIAN MODELING OF NON GAUSSIAN MULTIVARIATE TIME SERIES Abstract: Modeling of multivariate non Gaussian time series of correlated observations is considered. In so doing, we focus on time series from multivariate counts and durations. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods. We illustrate application of the proposed approach using conditionally multivariate Poisson and gamma time series. Joint work with Tevfik Aktekin, University of New Hampshire and Nicholas Polson, University of Chicago 2) Nicholas Polson, Booth School of Business, University of Chicago ore 15:45-16:30 DEEP LEARNING: A BAYESIAN PERSPECTIVE Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research. Joint work with Vladimir Sokolov, Sistems Engineering and Operations Research, George Mason University -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Seminario KYPRAIOS
by Matteo Ruggiero 20 Apr '18

20 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 27 Aprile 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Theodore KYPRAIOS (University of Nottingham) LATENT BRANCHING TREES: MODELLING AND BAYESIAN COMPUTATION In this talk a novel class of semi-parametric time series models will be presented, for which we can specify in advance the marginal distribution of the observations and then build the dependence structure of the observations around them by introducing an underlying stochastic process termed as 'latent branching tree'. It will be demonstrated how can we draw Bayesian inference for the model parameters using Markov Chain Monte Carlo methods as well as Approximate Bayesian Computation methodology. Finally a real dataset on genome scheme data will be fitted to this model and we will also discuss how this kind of models can be in other settings. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://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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