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Seminar Barbara Vantaggi in Bologna
by Sabrina Mulinacci 06 Jul '23

06 Jul '23

Dear alla we are glad to announce the seminar of Barbara Vantaggi at the Department of Statistical Sciences of the University of Bologna The seminar is today July 6th 2023 at 4 pm. A dynamic Choquet pricing rule with bid-ask spreads under ambiguity We introduce a dynamic pricing rule allowing for frictions in the form of bid-ask spreads, by modeling “risk-neutral” uncertainty through belief functions. The aim is to face pricing in a multi-period binomial market model under ambiguity. To this purpose, we introduce and characterize Dempster-Shafer multiplicative binomial processes together with the induced conditional Choquet expectation operator. Next, we consider a market formed by a frictionless risk-free bond (whose price is modeled by a deterministic process) and a non-dividend paying stock with frictions (whose lower price is modeled by a Dempster Shafer multiplicative binomial process). In this market we prove an analog of the classical theorem of change of measure relying on the notion of equivalent one-step Choquet martingale belief function. We then propose a dynamic Choquet pricing rule with bid-ask spreads showing that the discounted lower price process of a European derivative contract on the stock is a Choquet super-martingale. We also provide a normative justification in terms of a dynamic generalized no-arbitrage condition. We finally discuss the connections of the introduced dynamic pricing rule with time-consistency and dynamic risk measures. The talk is based on papers in collaboration with A.Cinfrignini and D. Petturiti Here is the link to attend online: Partecipa da computer, app per dispositivi mobili o dispositivo della stanza Fai clic qui per partecipare alla riunione<https://teams.microsoft.com/l/meetup-join/19%3ameeting_NzRkYzA3N2QtYzYyNi00…> ID riunione: 351 139 477 023 Passcode: RzjM3Z

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RoMaDS: A day on Statistical Physics for Machine Learning
by Stefano Vigogna 06 Jul '23

06 Jul '23

Dear all, we are glad to announce the workshop RoMaDS: A day on Statistical Physics for Machine Learning http://www.mat.uniroma2.it/~rds/statphyml.php which will take place at University of Rome Tor Vergata on September 15, 2023. Invited speakers: Andrea Agazzi Elena Agliari Giulio Biroli Matthieu Wyart Riccardo Zecchina Registration at https://docs.google.com/forms/d/e/1FAIpQLSeXVfuC4speVe0_xjGB0h-l3p6iU57lX2_… Is free but compulsory. Thanks for sharing with those who might be interested. The organizers Domenico Marinucci, Michele Salvi, Stefano Vigogna

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Reminder - Amases Summer School
by Roy Cerqueti 05 Jul '23

05 Jul '23

Dear all, this is to inform you that the first edition of the AMASES Summer School will be held next September 4-6 at the University of Rome "La Sapienza", Building CU002. The goal of the Amases summer schools is to train young scholars on topics that are relevant in the context of mathematics applied to the social sciences. This year the title of the school is Social, Financial and Economic Networks. More information on the website: https://www.amases.org/amases-summer-school-2023/ For any question, do not hesitate to contact the organizers: Fabrizio Lillo <fabrizio.lillo(a)unibo.it> Roy Cerqueti <roy.cerqueti(a)uniroma1.it> -- **Fai crescere le giovani ricercatrici e i giovani ricercatori* **con il 5 per mille alla Sapienza *Scrivi il codice fiscale dell'Università *80209930587 Cinque per mille <https://www.uniroma1.it/it/node/23149>*

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Call for expressions of interest in a research fellow position at the University of Milano-Bicocca
by marina pireddu 04 Jul '23

04 Jul '23

We would like to advertise a research fellowship, related to PRIN 2022 "Evolutionary Poisson Games: Theory and Applications", that will soon be available at the University of Milano-Bicocca, of the duration of 18 months, starting from the beginning of 2024. The net monthly salary will be about 1490 euros. The main goal of the research activity is the investigation of socio-economic phenomena by means of an evolutionary game theoretic approach, which leads to nonlinear dynamic models, to be studied via analytical and computational methods, in particular in relation to their stability, bifurcations and chaotic behavior. The research unit is composed by Fausto Cavalli, Ahmad Naimzada, Daniela Visetti and myself. Expressions of interest can be sent to marina.pireddu(a)unimib.it Best regards, Marina Pireddu

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I: Re: [EXTERN] Re: PhD and Postoc Positions - University of Basel and IBM Research Zürich
by Marco Alessandro Fuhrman 03 Jul '23

03 Jul '23

Buongiorno. Inoltro volentieri il messaggio seguente, nella speranza che possa trovare persone interessate. Cordiali saluti. Marco Fuhrman ------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Cari, Sono Enea Monzio Compagnoni(https://www.linkedin.com/in/eneamc/ ) e faccio parte del gruppo di ricerca del Prof. Dr. Aurelien Lucchi(https://dmi.unibas.ch/de/personen/aurelien-lucchi/ ) presso l'Università di Basilea. Il nostro gruppo sta cercando due candidati al dottorato e un post-doc per una collaborazione con IBM Research di Zurigo. Serve che i candidati abbiano un forte background teorico in matematica e/o fisica, ottimizzazione e Quantum Computing. Ecco le posizioni: https://jobs.unibas.ch/offene-stellen/phd-position-in-the-field-of-theoreti… https://jobs.unibas.ch/offene-stellen/phd-position-in-the-field-of-optimiza… https://jobs.unibas.ch/offene-stellen/postdoc-position-in-the-field-of-quan… Più in generale, sentitevi liberi di contattarci se avete studenti interessati a Machine Learning che hanno anche un forte background in Probabilità, Calcolo Stocastico, Analisi (funzionale, reale, convessa, PDE), Ottimizzazione, e altri argomenti rilevanti. In tal caso, contattate direttamente Prof. Lucchi all'indirizzo aurelien.lucchi(a)unibas.ch Vi ringrazio dell'attenzione. Cordiali saluti, Enea Monzio Compagnoni

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SPASS Seminar: Jonathan Mattingly
by Andrea Agazzi 03 Jul '23

03 Jul '23

Dear Colleagues, We would like to invite you to the following SPASS <https://sites.google.com/unipi.it/spass> seminar, jointly organized by UniPi, SNS, UniFi and UniSi: *Ergodicity, Positive Lyapunov Exponents, and Partial Damping for Random Switching* by *Jonathan Mattingly* (Duke University) The seminar will take place *tomorrow TUE, 04.07.2023* at *14:00 CET* in Aula Seminari, Department of Mathematics, University of Pisa and streamed online here <https://meet.google.com/gji-phwo-vbg>. The organizers, A. Agazzi, G. Bet, A. Caraceni, F. Grotto, G. Zanco https://sites.google.com/unipi.it/spass --------------------------------------- *Abstract: I will consider some new models inspired by the PDEs/SPDE with complex dynamics such as the 2D Euler and Navier-Stokes equations. The models introduce randomness onto the system through a random splitting scheme. I will explain how the randomly split Galerkin approximations of the 2D Euler equations and other related dynamics can be shown to possess a unique invariant measure that is absolutely continuous with respect to the natural Liouville measure, despite the existence of other invariant measures corresponding to fix points of the PDEs. I will then explain how on proves that the dynamics with respect to this measure has positive Lyapunov exponents almost surely.Lastly, I will discuss recent results which show that the system has a unique invariant measure even when damping is applied to part of the system.This is joint work with Omar Melikechi, Andrea Agazzi, and David Herzog.*

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Call for expressions of interest in a research fellow position at the University of Milano-Bicocca
by marina pireddu 03 Jul '23

03 Jul '23

Dear All, we would like to advertise a research fellowship, related to PRIN 2022 "Evolutionary Poisson Games: Theory and Applications", that will soon be available at the University of Milano-Bicocca, of the duration of 18 months, starting from the beginning of 2024. The net monthly salary will be about 1490 euros. The main goal of the research activity is the investigation of socio-economic phenomena by means of an evolutionary game theoretic approach, which leads to nonlinear dynamic models, to be studied via analytical, simulative and computational methods, in particular in relation to their stability, bifurcations and chaotic behavior. The research unit is composed by Fausto Cavalli, Ahmad Naimzada, Daniela Visetti and myself. Expressions of interest can be sent to marina.pireddu(a)unimib.it Best regards, Marina Pireddu

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RTDA STATISTICA POLIMI
by Laura Maria Sangalli 01 Jul '23

01 Jul '23

E' appena stata bandita una posizione RTD-A presso il Dipartimento di Matematica del Politecnico di Milano nel settore SECS-S/01 sul tema: "Sviluppo e implementazione di modelli e algoritmi per analisi di dati complessi". Selezione pubblica per l'assunzione di 1 Ricercatore a tempo determinato (Junior) ai sensi dell'art. 24, comma 3, lettera a) Legge 30.12.2010, n. 240, Tempo pieno - Settore Concorsuale 13/D1 - STATISTICA, bandita con Decreto Direttoriale n. 6288 del 31/05/2023, pubblicato sulla G.U. del 20/06/2023, n. 46 (Codice procedura: 2023_RTDA_DMAT_4). Scadenza: 20-07-23 Dettagli della procedura: https://www.polimi.it/personale-docente/lavorare-al-politecnico/bandi-e-con… Programma di Ricerca: ll mondo della data science è attualmente impegnato nello sviluppo di strumenti per l'analisi di dati complessi (ad es. dati ad alta dimensione, gerarchici, non euclidei o con dipendenza spaziale e/o temporale) provenienti da diversi campi di applicazione. In questo contesto, si sono resi necessari modelli e algoritmi flessibili per fare esplorazione, inferenza e predizione in modo affidabile.La ricerca si concentrerà sullo sviluppo, l'implementazione e la validazione di modelli e algoritmi nell'ambito dello Statistical Learning con l'obiettivo di migliorare l'efficienza statistica e computazionale rispetto all'attuale stato dell’arte. La proposta è coerente con il tema del PNRR Ricerca e TT, High Performance Computing, Quantum Computing e riguarda tematiche di ricerca relative alla linea 'matematica per lo sviluppo sostenibile' del progetto del Dipartimento di Eccellenza del DMAT (www.mate.polimi.it/eccellenza/<http://www.mate.polimi.it/eccellenza/>). Per informazioni: Prof. Simone Vantini – simone.vantini(a)polimi.it<mailto:francesca.ieva@polimi.it> —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> https://sangalli.faculty.polimi.it

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Estensione deadline special issue DEAF
by salvatore federico 30 Jun '23

30 Jun '23

Buongiorno, comunico che la deadline per la special issue DEAF "Advances in Optimal Control and Dynamic Games in Economics, Finance and Insurance" https://www.springer.com/journal/10203/updates/23587054 <https://www.springer.com/journal/10203/updates/23587054> di cui era stato dato annuncio in precedenza alla lista, è stata estesa al 30 settembre 2023 Salvatore Federico

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Seminario di Giovanni Conforti a Roma Tre il 7 luglio 2023
by Pietro Caputo 30 Jun '23

30 Jun '23

Venerdì 7 luglio 2023 alle ore 14:30, Aula M3 Dipartimento di Matematica e Fisica di Roma Tre, Largo San Leonardo Murialdo,1- 00146 Roma. Speaker: Giovanni Conforti (CMAP Ecole Polytechnique, Paris) Title: Stable convexity profiles for Hamilton Jacobi Bellman equations and applications to entropic optimal transport. Abstract: It is well known that solutions of the Hamilton-Jacobi-Bellman (HJB) equation with a convex terminal condition remain convex at all times. In this sense, the set of convex functions is stable under the action of the HJB equation and this result can be derived as a simple consequence of the Prékopa-Leindler inequality. In this talk I will illustrate a probabilistic method based on the analysis of coupling by reflection on a system of forward-backward stochastic differential equations (FBSDEs) that prompts the existence of stable sets for the HJB equation composed of functions that are only "asymptotically convex", but not necessarily convex. If time allows, I will move on to illustrate two consequences of this result to the Schrödinger problem, a.k.a. entropic optimal transport problem. The first is that the optimal coupling satisfies the logarithmic Sobolev inequality and the second one is that Sinkhorn's algorithm converges exponentially fast in the number of iterations to the optimal coupling. Partially based on joint work with A.Durmus and G.Greco

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Assegno di ricerca annuale - One-year post-doc position - Università Ca' Foscari Venezia
by Antonella Basso 30 Jun '23

30 Jun '23

Segnalo il seguente assegno di ricerca presso il Dipartimento di Economia dell’Università Ca’ Foscari Venezia Titolo: Modelli di reti neurali per l’analisi di dati finanziari cross-sectional nel tempo, con applicazione alla valutazione dei prezzi delle abitazioni in Italia Il principale obiettivo del progetto è di studiare l’adattabilità di adeguati modelli a reti neurali ad un contesto dinamico che considera però dati longitudinali e non serie storiche temporali. SSD e/o settore concorsuale: SECS-S/06 Responsabile scientifico e tutor: Prof.ssa Antonella Basso durata: 12 mesi SCADE IL 17/07/2023 ORE 12:00 ORA ITALIANA: Link: https://www.unive.it/data/12138/ -------------------- I would like to point out the following research grant (post-doc) at the Department of Economics of Ca' Foscari University of Venice Subject: Neural networks models for pooled cross-sectional financial data across time, with application to housing pricing in Italy The main goal of the project is to study the adaptability of appropriate neural network models to a dynamical context which considers longitudinal data instead of time series data. Duration: 12 months Deadline: 17/07/2023 at 12:00 Italian time Link: https://www.unive.it/data/12138/ Antonella Basso -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 E-mail address:basso@unive.it Web page:https://www.unive.it/data/persone/5591751

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Seminario di Wei Wu in Sapienza il 4 Luglio
by Lorenzo Taggi 29 Jun '23

29 Jun '23

Si comunica che Wei Wu (NYU Shangai) terrà un seminario presso il Dipartimento di Matematica di Sapienza Università di Roma in Sala di Consiglio, Martedì 4 Luglio ore 14:00, dal seguente titolo e abstract: Title: Massless phases for the Villain model in d>=3 Abstract: The XY and the Villain models are models which exhibit the celebrated Kosterlitz-Thouless phase transitions in two dimensions. The spin wave conjecture, originally proposed by Dyson and by Mermin and Wagner, predicts that at low temperature, spin correlations of these models are closely related to Gaussian free fields. I will review the historical background and discuss some recent progress on this conjecture in d>=3. Based on the joint work with Paul Dario (CNRS).

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Expression of interest for postdoc positions
by Daniele Cappelletti 29 Jun '23

29 Jun '23

Dear all, We are asking for expressions of interest in postdoctoral positions that will soon be available at the Polytechnic University of Turin, Polytechnic University of Milan, or Pisa university. The hired postdocs will develop mathematical results in the setting of stochastic reaction networks, which are a family of continuous-time Markov chains with polynomial transition rates extensively used as models in biochemistry. Specifically, the hired postdocs will work on stochastic process convergence, stationary behaviour (existence and characterization), and/or extensions of the classical models to include spatial heterogeneity (stochastic diffusions, processes on a graph, etc). More details on the project can be found here <https://constrained.polito.it/>. To send an expression of interest, please use this form <https://questionari.polito.it/442865?lang=en>. For any further question, please write to constrained(a)polito.it Daniele, Andrea, Luisa

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(PMS)^2 talk - Cazzaniga - July 3 at 17.00
by Carlo Orrieri 27 Jun '23

27 Jun '23

Dear colleagues, We are happy to announce the following hybrid - that is, in person with online streaming - talk: Speaker: Alberto Cazzaniga (Area Science Park) Title: What is the probability that a random symmetric tensor is close to rank-one? Abstract: We address the problem of estimating the probability that a real symmetric tensor is close to rank-one tensors, motivated by the many applications of low-rank approximation. We discuss how the question can be addressed by studying metric invariants of the real Veronese variety thanks to the Weyl's tube formula. We describe the role of the reach and the curvature coefficients with respect to the Bombieri-Weyl metric in obtaining an explicit estimate, and outline the main ideas employed to tackle their calculation. We conclude by discussing some asymptotic results for the case of rational normal curves. Based on joint work with A. Lerario and A. Rosana. Date and time: Monday July 3, 17:00-18:00 (Rome time zone) Place: Laboratorio didattico, dipartimento di matematica dell’università di Pavia, via Ferrata 5, Pavia. Entra nella riunione in Zoom https://us02web.zoom.us/j/81154155086?pwd=Rit2Ymd3eE1lUWIrc0ErQlRMcGNVdz09 <https://us02web.zoom.us/j/81154155086?pwd=Rit2Ymd3eE1lUWIrc0ErQlRMcGNVdz09> ID riunione: 811 5415 5086 Passcode: 317594 This talk is part of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico. Participation is free and welcome! Best regards The organizers (Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Seminars in Probability and Finance - Giulia Livieri (LSE London) & Federico Sau (University of Trieste)
by Alberto Chiarini 27 Jun '23

27 Jun '23

========================================================== PADOVA SEMINARS IN PROBABILITY AND FINANCE webpage: http://www.math.unipd.it/~bianchi/seminari/ ========================================================== Dear Colleagues, We would like to invite you to the "Padova seminars in Probability and Finance" this Friday, June 30 starting from 14.30 in Room 2BC30 at the department of Mathematics of the University of Padova. The seminar can also be followed via Zoom from a link to be found at https://www.math.unipd.it/~bianchi/seminari/ This week we will have two contributions: 14:30 - Giulia Livieri (LSE London) 15:30 - Federico Sau (University of Trieste) See further details below. The organizers _____________________________________________________ Speaker: Giulia Livieri (LSE London) Title: Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis Abstract: Causal operators (CO), such as various solution operators to stochastic differential equations, play a central role in contemporary stochastic analysis; however, there is still no canonical framework for designing Deep Learning (DL) models capable of approximating COs. This paper proposes a "geometry-aware'" solution to this open problem by introducing a DL model-design framework that takes suitable infinite-dimensional linear metric spaces as inputs and returns a universal sequential DL model adapted to these linear geometries. We call these models Causal Neural Operators (CNOs). Our main result states that the models produced by our framework can uniformly approximate on compact sets and across arbitrarily finite-time horizons Hölder or smooth trace class operators, which causally map sequences between given linear metric spaces. Our analysis uncovers new quantitative relationships on the latent state-space dimension of CNOs which even have new implications for (classical) finite-dimensional Recurrent Neural Networks (RNNs). We find that a linear increase of the CNO's (or RNN's) latent parameter space's dimension and of its width, and a logarithmic increase of its depth imply an exponential increase in the number of time steps for which its approximation remains valid. A direct consequence of our analysis shows that RNNs can approximate causal functions using exponentially fewer parameters than ReLU networks. Speaker: Federico Sau Title: Spectral gap of the symmetric inclusion process Abstract: In this talk, we consider the symmetric inclusion process on a general finite graph. Our main result establishes universal upper and lower bounds for the spectral gap of this interacting particle system in terms of the spectral gap of the random walk on the same graph. In the regime in which the gamma-like reversible measures of the particle system are log-concave, our bounds match, yielding a version for the symmetric inclusion process of the celebrated Aldous'spectral gap conjecture --- originally formulated for the interchange process and proved by Caputo, Liggett and Richthammer (JAMS 2010). Finally, by means of duality techniques, we draw analogous conclusions for an interacting diffusion-like unbounded conservative spin system known as Brownian energy process, which may be interpreted as a spatial version of the Wright-Fisher diffusion with mutation. Based on a joint work with Seonwoo Kim (SNU, South Korea). The Zoom meeting can be joined via the link to be found at https://www.math.unipd.it/~bianchi/seminari/

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June 29 - OWABC seminar - Jonas Arruda and Yannik Shälte
by Massimiliano Tamborrino 27 Jun '23

27 Jun '23

Dear all, the last One World ABC Seminar<https://www.warwick.ac.uk/oneworldabc> of the season is behind the corner! On Thursday, June 29, at 9.30am UK time, Jonas Arruda and Yannik Shälte (University of Bonn) will talk about "Amortized simulation-based inference for non-linear mixed-effects models" with an reported below. Abstract: Non-linear mixed-effects models are a powerful tool for studying heterogeneous populations in biology, medicine, engineering, and other fields. However, fitting these models is computationally challenging when the description of individuals is complex and the population is large. To address this issue, we propose the use of neural density estimation to approximate entity-specific posterior distributions in an amortized fashion. This approximation is then used to efficiently infer population-level parameters. Applying this approach to problems from single-cell biology, we demonstrate its scalability to large datasets in an unprecedented manner. Moreover, it enables accurate uncertainty quantification, simple testing of hypotheses, and extends to stochastic models, going beyond what established methods can give. In summary, our method constitutes a highly flexible novel approach has the potential to substantially improve the analysis of heterogeneous populations. The talk will be hosted on MS Teams here: https://teams.microsoft.com/l/meetup-join/19%3ameeting_OTYyY2FkMWQtZTkwNi00… We are looking forward to seeing you soon, best, Massimiliano on the behalf of the One World ABC Seminar Organisers ------ Dr. Massimiliano Tamborrino Associate Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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4 luglio ore 11.00 - Seminario Dott. Lax Chan
by Enea Bongiorno 27 Jun '23

27 Jun '23

Buongiorno, con piacere segnalo il seguente seminario: -------------------------------- 4 luglio 2023 ore 11.00 - aula 101, campus Perrone, via Perrone, 18, Novara. Università del Piemonte Orientale. - on-line: meet.google.com/yvq-ccbt-pzt Title: *Goodness-of-fit test for the Single Functional Index Model* *Dott. Lax Chan* Università del Piemonte Orientale Abstract: An important task in regression analysis is to choose the right specification of the link function that models the dependence structure between the random elements. A challenge arises in the framework of scalar on function regression as the link function is a real-valued operator acting on a functional space, and it is difficult to visualize and hence select a coherent specification. A specification test that uses a semi-parametric approach is proposed, in particular by exploiting the Single Functional Index Model. The test statistic is a special form of U-statistic; its asymptotic null distribution is derived under suitable assumptions, and consistency is proved for a specific class of alternatives. The finite sample performances of the test are evaluated through a simulation study using both asymptotic p-values and some bootstrap approaches. An application of the method developed to a problem commonly arises in the food industry is performed to demonstrate the potentialities of the method. ----------------------------------- Locandina dell'evento <https://drive.google.com/file/d/1C-aG-f1Ml66CMNIxfcQnKD0n7O3oH83r/view?usp=…> Seminari Matematici Statistici <https://sites.google.com/uniupo.it/seminari-ms/home-page> ----------------------------------- Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Enea -- Enea Bongiorno,PhD Associate Professor of Statistics Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno(a)uniupo.it upobook.uniupo.it/enea.bongiorno

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Avviso di Seminario di Alessandro De Gregorio - mercoledì 28 giugno
by luigia.caputo 26 Jun '23

26 Jun '23

SEMINARIO di PROBABILITÀ e STATISTICA MATEMATICA Il giorno mercoledì 28 giugno 2023, alle ore 11:00, nella Sala Professori al I Livello del Dipartimento di Matematica e Applicazioni "Renato Caccioppoli" dell'Università degli Studi di Napoli Federico II di Napoli il Prof. ALESSANDRO DE GREGORIO del Dipartimento di Scienze Statistiche dell'Università Sapienza di Roma terrà il seguente seminario: "Path dynamics of time-changed Lévy processes: a martingale approach" Abstract: Lévy processes time changed by inverse subordinators have been intensively studied in the last years. Their importance in connection with non-local operators and semi-Markov dynamics is well-understood, but, in our view, several questions remain open concerning the probabilistic structure of such processes. The time-changed Lévy processes are particularly useful to describe complex systems. The purpose of our work is to analyze the features of the sample paths of such processes, focusing on a martingale approach. We introduce the fractional Poisson random measure as the main tool dealing with the jump component of time-changed processes. A central role in the analysis is then played by the martingale properties of suitable fractional Poisson integrals associated with the jumps of the process. This allows to obtain a semi-martingale representation of time-changed processes analogous to the celebrated Lévy-Ito decomposition. The talk is based on a joint work with Francesco Iafrate (Sapienza University of Rome). Link a Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… Cordiali saluti, Luigia Caputo e Enrica Pirozzi -- Luigia Caputo, PhD Ricercatore Universitario di Probabilità e Statistica Matematica, Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II Via Cintia, 80126, NAPOLI https://www.docenti.unina.it/luigia.caputo

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PhD studentship at the University of Leiden
by Eva Riccomagno 25 Jun '23

25 Jun '23

Ricevo ed inoltro volentieri. Cordiali saluti, Eva Riccomagno The Faculty of Science and the Leiden Institute of Advanced Computer Science (LIACS) are looking for a : PhD Candidate, Interpretable causal machine learning for intervention development from wearable sensors data This project is defined within the LABDA (Learning Network for Advanced Behavioural Data Analysis) European project: LABDA is an EU-funded Marie Sklodowska Curie Action (MSCA). Only applications received by July 15, 2023 can be considered. Information Inquiries about the research area can be made to Dr. Mitra Baratchi (m.baratchi(a)liacs.leidenuniv.nl <mailto:m.baratchi@liacs.leidenuniv.nl>) or Prof. Wessel Kraaij (w.kraaij(a)liacs.leidenuniv.nl <mailto:w.kraaij@liacs.leidenuniv.nl>). If you have any questions about the procedure, please contact Anne-Marie Alleblas (jobs(a)liacs.leidenuniv.nl <mailto:jobs@liacs.leidenuniv.nl>) Full details at https://www.universiteitleiden.nl/en/vacancies/2023/q2-english/23-4371 <https://www.universiteitleiden.nl/en/vacancies/2023/q2-english/23-43713858p…>3858phd-cand.-interpretable-causal-machine-learning-for-intervention-development-from-wearable-sensor <https://www.universiteitleiden.nl/en/vacancies/2023/q2-english/23-43713858p…>

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LTI@UniTO seminars | Christopher Polk, May 2nd and Andrea Tamoni, May 3rd @12.00
by Luca Regis 24 Jun '23

24 Jun '23

Dear Colleagues, it is my pleasure to invite you to the following two seminars in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto (CCA), which will take place at CCA in Torino and can be followed via Zoom. At the event page link you can find the paper, the zoom link to attend online and a button to add the event to your calendars. ------------------------------------------------------------------------------------------- May 2nd @ 12.00 Speaker: Christopher Polk (LSE) Title: The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation Abstract: We decompose market returns into their overnight and intraday components, which dramatically improves equity premium forecasts. Past smoothed overnight market returns strongly negatively forecast subsequent close-to-close returns (quarterly R2 of over 14%), primarily through intraday mean reversion. In contrast, past smoothed intraday market returns strongly positively forecast subsequent overnight returns; this partially-offsetting effect explains PE’s relatively poor forecasting ability (R2 only 3%). Our decomposition also resurrects the conditional CAPM: If we allow market betas to vary with past smoothed overnight returns, the four Fama-French factors’ alphas decrease on average by 84%. We interpret these return patterns through a clientele perspective. First, individual investor expectations and consumption growth strongly positively forecast overnight market returns, while intermediary risk tolerance strongly negatively forecasts intraday market returns. Second, aggregate cash-flow news occurs primarily intraday and is positively (negatively) correlated with revisions in expected future overnight (intraday) returns. Finally, while the Tech boom, Covid crash/rebound, and patterns in meme stocks were primarily driven by overnight returns, the Global Financial Crisis was mostly an intraday phenomenon. Event webpage link: https://www.carloalberto.org/event/christopher-polk-london-school-of-econom… Zoom link: https://us02web.zoom.us/j/83709123462pwd=OWpUM0VvRVNzbTN0bUJlRVVsNzA4Zz09 ------------------------------------------------------------------------------------------------------------------------------ May 3rd @ 12.00 Speaker: Andrea Tamoni (Rutgers Business School) Title: Stock Demand and Price Impact of 401(k) Plans Abstract: We estimate a demand system linking 401(k) plans ownership of individual stocks and funds to their demand for equities, and quantify the effect of 401(k) assets on fund managers’ investment behavior. We find that 401(k) fund and stock ownership are the most important variables, after size, explaining fund demand for stocks, with a one standard deviation increase in 401(k) ownership leading to 15-30% increase in stock demand. Funds managing a larger fraction of 401(k) assets tilt their portfolios toward winners, high beta and long duration stocks, outperforming their benchmarks. This investment behavior has important implications for security pricing and generate a feedback effect if pension flows respond positively to relative fund returns. Lastly, we estimate the equilibrium price impact of a change in 401(k) ownership to be positive and increasing over time, consistent with the shift from active to passive investing. Event webpage link: https://www.carloalberto.org/event/andrea-tamoni-rutgers-business-school/ Zoom link: https://us02web.zoom.us/j/83937896694?pwd=MVFoN2VudVM4a2Y5OXFvaklTRS85Zz09 Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Albertosites.google.com/view/lucaregis Office: +39 011 670 6065www.carloalberto.org/lti

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Dottorato Matematica @Unisalento
by Fabrizio, Antonio DURANTE 22 Jun '23

22 Jun '23

Cari/e Colleghi/e, vi segnalo che, nell’ambito del bando di concorso per il Dottorato di Ricerca in “Matematica e Informatica”, XXXIX ciclo, presso l'Università del Salento, è disponibile n. 1 posto a tematica vincolata a valere sul PNRR – Centro Nazionale di Ricerca in High- Performance Computing, Big Data and Quantum Computing finalizzato allo svolgimento della seguente linea di ricerca: Metodi matematici per la prevedibilità di eventi climatici estremi Link: https://www1.unisalento.it/bandi-concorsi/-/bandi/view/66651275 La scadenza per l’invio delle domande è: 17 LUGLIO 2023. Invito a diffondere la notizia a tutti i potenziali interessati. Grazie in anticipo. Cordiali saluti, Fabrizio Durante --------------------------------------------------------- Fabrizio Durante Dipartimento di Scienze dell'Economia Centro Ecotekne Pal. C S.P. 6, Lecce - Monteroni LECCE (ITALY) Phone: +39 0832 29 8672 https://sites.google.com/site/fbdurante/ --

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PhD or postdoc vacancy in Munich (spectral properties of random graphs)
by Markus Heydenreich 22 Jun '23

22 Jun '23

Dear colleagues, We are looking for a talented researcher to work on a project *Localization for very sparse Erdös-Rényi graphs* at LMU Munich. The project focusses on spectral properties of very sparse Erdös-Rényi random graphs. This is a temporary position that can be filled by a PhD student or postdoc (Salary scale TV-L E13, full- or part-time, fixed term) to be started on 01 October 2023 or later. We are looking for candidates with excellent background in mathematical physics or probability theory. The project is part of the newly established SFB/CRC “Mathematics of Many-Body Quantum Systems and Their Collective Phenomena“ (München/Tübingen). Please contact Prof. Peter Müller (mueller(a)lmu.de <mailto:jansen@math.lmu.de>) or Prof. Markus Heydenreich (markus.heydenreich(a)uni-a.de <mailto:m.heydenreich@lmu.de>) for further information about the project. Interested candidates are invited to send a letter of motivation, curriculum vitae as well as name and contact details of two academic references to markus.heydenreich(a)uni-a.de <mailto:m.heydenreich@lmu.de>. Review of application begins on 10 July 2023 and shall continue until the position is filled. Best wishes, Markus Heydenreich and Peter Müller

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Procedura selettiva 2023RUB04 - RTDb 13D1
by Alessandra Fabbri Colabich 22 Jun '23

22 Jun '23

Buongiorno, è stato pubblicato il Bando relativo all'indizione di una procedura selettiva per 26 posti da Ricercatore a tempo determinato RTD-B, di cui uno nel settore concorsuale 13D1 presso il Dipartimento di Scienze Statistiche dell’Università degli Studi di Padova. Il bando è disponibile all’indirizzo: https://www.unipd.it/procedura-2023RUB04 La *scadenza* per la presentazione delle domande è il *20 luglio 2023 alle ore 13*. Si prega di dare la massima diffusione presso tutti gli interessati. Grazie per la collaborazione Alessandra Fabbri Colabich -- Dott.ssa Alessandra Fabbri Colabich Università degli Studi di Padova Dipartimento di Scienze Statistiche

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4th Italian Workshop of Econometrics and Empirical Economics: “Climate and Energy Econometrics” Bozen, 25-26 January 2024
by Monica Billio 21 Jun '23

21 Jun '23

Home The *Italian Econometric Association* (SIdE-IEA), in collaboration with the Rimini Center for Economic Analysis (RCEA <https://www.rcea.world/>), is pleased to announce the *4th Italian Workshop of Econometrics and Empirical Economics: * *“Climate and Energy Econometrics”* *Bolzano – Bozen* *25-26 January 2024* The workshop focuses on methodological advances and innovative applications of state-of-the-art econometric methods for analyzing climate and energy topics; it aims at bringing together econometricians, economists and statisticians to communicate and discuss the current developments in all fields of econometrics. The conference organizers welcome submissions of both empirical and theoretical research. *Keynote speakers:* * Christiane Baumeister <https://economics.nd.edu/faculty/christiane-baumeister/>(University of Notre Dame) * Jennifer Castle <https://users.ox.ac.uk/~nuff0231/>(University of Oxford) *Scientific Program Committee*: Matteo Manera <https://en.unimib.it/matteo-manera>(University of Milano-Bicocca, chair), Richard Baillie (Michigan State University), Andrea Bastianin (University of Milano), Monica Billio (Ca’ Foscari University of Venice), Hilde Bjørnland (BI Norwegian Business School), Alessandra Canepa (University of Turin), Roberto Casarin (Ca’ Foscari University of Venice), Luca Fanelli (University of Bologna), Stefano Grassi (Università di Roma “Tor Vergata”), Ana Maria Herrera (University of Kentucky), Camilla Mastromarco (Università della Calabria), Zack (J. Isaac) Miller (University of Missouri), Chiara Monfardini (University of Bologna), Rocco Mosconi (Politecnico Milano), Tommaso Proietti (Università di Roma “Tor Vergata”), Gazi Salah Uddin (Linkoping University). *Local Program Committee*: Francesco Ravazzolo <https://www.unibz.it/en/faculties/economics-management/academic-staff/perso…> (Libera Università di Bolzano, co-chair) Greta Goracci (Libera Università di Bolzano), Claudio Morana <https://sites.google.com/unimib.it/claudio-morana>(University of Milano-Bicocca, co-chair) *Submissions*: Papers can be submitted electronically in pdf format (with a limit of one paper per submitter) at https://easychair.org/conferences/?conf=iweee2024 <https://easychair.org/conferences/?conf=iweee2024> The deadline for submissions is *September 3, 2023*. *Fees: * */_SIdE members_/**_:_* SIdE members must regularize their 2024 membership before the beginning of the conference. To renew SIdE membership or become SIdE member visit www.side-iea.it/become-member <http://www.side-iea.it/become-member> * Early bird (until 30th November 2023): 120 euro (regular), 75 euro (student) * Late (after 30th November 2023): 180 euro (all) /_Non SIdE members_/_:_ * Early bird (until 30th November, 2023): 250 euro * Late (after 30th November 2023): 350 euro *Important dates: * * Submission deadline: 3rd September 2023 * Decision notification: 10th November 2023 * Early bird registration: no later than 30th November 2023 * Presenting authors registration: no later than 30th November 2023 *Venue:* Free University of Bozen-Bolzano 4 Universitätsplatz 1 - piazza Università, 1 39100 Bozen-Bolzano *Website:* https://www.side-iea.it/events/conferences/4th-italian-workshop-econometric… <https://www.side-iea.it/events/conferences/4th-italian-workshop-econometric…> *Sponsors:* *Immagine che contiene testo, Carattere, Elementi grafici, grafica Descrizione generata automaticamente* *Immagine che contiene testo, Carattere, schermata, rosso Descrizione generata automaticamente* Immagine che contiene testo, Carattere, schermata, design Descrizione generata automaticamente

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Concorso 1 posto RTD B in STATISTICA - Università Cattolica del Sacro Cuore sede di Milano
by Consonni Guido 21 Jun '23

21 Jun '23

Si segnala il concorso in oggetto indetto con Decreto rettorale n. 9948 del 15 maggio 2023 e pubblicato sulla G.U. - 4ª serie speciale - concorsi n. 45 del 16 giugno 2023. Ricercatori a tempo determinato (art. 24, comma 3, Lettera B L. 240/2010) SETTORE CONCORSUALE: 13/D1 STATISTICA SETTORE SCIENTIFICO-DISCIPLINARE: SECS-S/01 Statistica https://progetti.unicatt.it/progetti-ateneo-milano-brescia-piacenza-e-cremo… SCADENZA 17 luglio 2023 [http://static.unicatt.it/ext-portale/5xmille_firma_mail_2023.jpg] <https://www.unicatt.it/uc/5xmille>

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