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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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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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