Si comunica che alla pagina
https://www.polimi.it/it/docenti-e-staff/bandi-e-concorsi/bandi-e-concorsi-…
è pubblicato il bando per una posizione RTDB nel Settore Concorsuale 13/D1 - STATISTICA.
Cordialmente,
Laura Sangalli
——
Laura Maria Sangalli
MOX - Dipartimento di Matematica
Politecnico di Milano
Piazza Leonardo da Vinci 32
20133 Milano - Italy
tel: +39 02 2399 4554
fax: +39 02 2399 4568
email: laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it>
url: http://mox.polimi.it/~sangalli
Dear all,
A call for a 12 month research contract is open at the Scuola Normale
Superiore, Pisa (Italy).
I would like to stress that - differently from the previous call - the Ph.D
is not required in order to apply for the position.
The topic of the research is
“Mean Field Games aspects of training deep neural networks and the use of
deep neural networks for solving Mean Field Games” and it is part of the
project “Mean Field Games aspects of training residual networks”.
In particular, the research will be focused on the study of the training of
deep neural network via the Mean Field Games approach and/or on the use of
deep neural network to solve Mean Fields Games problems. A special emphasis
will be put on the mathematical aspects of the two approaches. The research
will be developed under the direction of the scientific director Dr. Giulia
Livieri. Duration of the contract: 1 year, Annual gross remuneration,
inclusive of all taxes: € 29,000
The details of the call (in Italian and English) are available at
https://amministrazionetrasparente.sns.it/scuola/opportunità-offerte-dalla-…
The deadline is December 23, 2021. In case you need more information,
please contact Giulia Livieri (*giulia.livieri(a)sns.it*
<giulia.livieri(a)sns.it>)
Thanks and all the best,
Giulia Livieri
Buongiorno
segnalo il bando per due assegni di ricerca biennali presso il
Dipartimento di Matematica dell'Università di Pisa.
Il tema degli assegni è generico su ogni disciplina della matematica di
interesse per i gruppi di ricerca del dipartimento.
Il bando è consultabile alla pagina
https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106…
Il termine per la presentazione delle domande è il 24 dicembre alle ore 13.
---------------------------
A call is open for two two-years post-doc positions at the Math
Department of Pisa University, on the broad subject of pure and applied
mathematics.
The call (in italian) is available at
https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106…
The deadline is on December 24, 1:00pm
Interested people can write to me for further details
m.
SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO
<https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…>
Venerdi 26 Novembre 2021, alle ore 12.00, presso il Collegio Carlo Alberto,
in Piazza Arbarello 8, Torino, si terrà il seguente seminario:
------------------------------------------------
Speaker: *Gonzalo Mena *(University of Oxford)
Title: *On the unreasonable effectiveness of Sinkhorn algorithm for
learning permutations and entropic optimal transport*
Abstract:
Sinkhorn's algorithm realizes the solution of entropy-regularized linear
programs on certain matrix polytopes. In the past years, the interest in
this algorithm has grown considerably because of its usefulness as a tool
for the modeling of permutations, and because of its fundamental role in
the solution of an entropic optimal transport problem, also called the
Schrödinger bridge. In this talk, I will give an overview of my work in
relation to these two areas.
First, regarding entropic optimal transport, I will argue that this tool is
valuable for deriving sensible statistical procedures. Indeed, we show that
it enjoys a substantially better sample complexity compared to optimal
transport, which suffers from the curse of dimensionality. Also, in the
more applied setup of model-based clustering we show that it can be used as
an alternative to the log-likelihood, since it has fewer bad local optima.
Based on this observation, we develop a new algorithm, Sinkhorn-EM, in
which we only modify the E-step to solve an Entropic Optimal Transport
problem. Our algorithm is shown to attain better practical performance.
Second, regarding permutations, I will describe some successful
applications in Deep Learning, and in neuroscience, for the inference of
neural identities in C.elegans worms.
Links
https://arxiv.org/abs/1802.08665https://arxiv.org/abs/1905.11882https://arxiv.org/abs/2006.16548
------------------------------------------------
In ottemperanza alle norme anti Covid, per partecipare in presenza è
necessario prenotarsi tramite il seguente form online:
https://forms.gle/XyyJ3JaqTeZLi92A6
Sarà possibile seguire il seminario anche in streaming:
Join Zoom Meeting
<https://us02web.zoom.us/j/84926221121?pwd=eDdycEV3M2VVVU1FSEszM000eDlIdz09>
Meeting ID: 849 2622 1121
Passcode: 899297
Il seminario è organizzato dalla "de Castro" Statistics Initiative
www.carloalberto.org/stats
Cordiali saluti,
Pierpaolo De Blasi
---
University of Torino & Collegio Carlo Alberto
carloalberto.org/pdeblasi
<https://sites.google.com/a/carloalberto.org/pdeblasi/>
Buongiorno,
ricevo da Omer Angel ed inoltro volentieri.
Saluti
Alessandra Faggionato
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Dear colleague,
The 2022 PIMS-CRM Summer School in Probability will be held at the
University of British Columbia from May 30 to June 24, 2022. This
month-long program, originally planned for 2020, is especially appropriate
for young researchers in probability, although others may of course attend.
While there is still uncertainty stemming from covid regarding travel and
conferences, we are hopeful that the school will be able to run this summer.
The main courses will be given by Ivan Corwin (Columbia University), and
Frank den Hollander (University of Leiden). Their respective titles are
Interacting particle systems, growth models, stochastic PDEs and directed
polymers through the lens of the stochastic six vertex model
and
Metastability for interacting particle systems
Three 3-hour mini courses will be given by Paul Bourgade, Jean-Francois Le
Gall and Nike Sun. There will also be an opportunity for some participants
to give short talks on their own research. More information about the
program may be found on the School's website at
http://www.math.ubc.ca/Links/ssprob22
Graduate students and postdoctoral fellows who will attend the entire
summer school can apply for financial support for on-campus accommodation
through mathjobs: https://www.mathjobs.org/jobs/list/18950
Major support for the conference has been provided by PIMS, CRM, NSF, and
the Department of Mathematics at UBC. Questions can be directed to one of
the UBC organizers listed below.
Please forward this email to students and postdocs who may be interested in
attending.
Sincerely,
Louigi Addario-Berry <louigi.addario(a)mcgill.ca>
Omer Angel <angel(a)math.ubc.ca>
Jonathan Hermon <jhermon(a)math.ubc.ca>
Mathav Murugan <mathav(a)math.ubc.ca>
Gordon Slade <slade(a)math.ubc.ca>
Cari tutti,
segnalo il miniworkshop "Optimal Transport and Uncertainty" che si terrà
il pomeriggio di venerdì 26/11/2021, a partire dalle ore 14:30, presso
l'aula magna del dipartimento di Matematica dell'Università di Pisa e in
diretta streaming su Google Meet
https://meet.google.com/dwq-tvii-jga
con i contributi di Matteo D'Achille (U. Parigi-Est), Luigi De Pascale
(U. Firenze), Francesco Mattesini (U. Münster) ed Eugene Stepanov (U.
San Pietroburgo). Maggiori informazioni sul programma, gli abstract dei
talk e sulla registrazione all'evento (consigliata nel caso di
partecipazione in presenza) sono disponibili alla pagina
https://indico.cs.dm.unipi.it/event/12/overview
Saluti,
Dario Trevisan
---
Dear all,
I would like to announce the miniworkshop "Optimal Transport and
Uncertainty" that will take place on Friday November 26, at Aula Magna,
Department of Mathematics, University of Pisa. The event will be also
live streamed on Google Meet
https://meet.google.com/dwq-tvii-jga
Main speakers are Matteo D'Achille (U. Paris Est), Luigi De Pascale (U.
Firenze), Francesco Mattesini (U. Münster)and Eugene Stepanov (U. Saint
Petersburg). For more information on the timetable and registration
(strongly suggested in case you want to attend in presence) can be found at
https://indico.cs.dm.unipi.it/event/12/overview
Regards,
Dario Trevisan
--
Dario Trevisan,
Università degli Studi di Pisa,
Dipartimento di Matematica,
Largo Bruno Pontecorvo 5,
56127 - Pisa (PI) Italy
telephone: (+39) 050 2213832
mobile: (+39) 331 2899761
Skype: dario-trevisan
e-mail: dario.trevisan AT unipi.it
webpage: http://people.dm.unipi.it/trevisan/
Sergio Pulido (École Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise) will give a talk at our Department.
Date: 24 November 12:00 CET.
Title: American options in the rough Heston model
Abstract: Rough volatility models have emerged as compelling alternatives to classical semimartingale models to capture important stylized features of the implied volatility surface and the time series of realized volatility. The rough Heston model is particularly appealing because its affine structure facilitates the pricing of European options using Fourier techniques. In this work we consider the problem of pricing American options in the rough Heston model. The complexity of the problem stems from the absence of a Markovian-semimartingale structure in the model. To overcome this difficulty we work with a Markovian multi-factor semimartingale stochastic volatility model, which approximates the rough Heston model. In this approximated model, American options can be priced using a backward approach and simulation-based methods. We prove the convergence of American options prices in the multi-factor model towards the prices in the rough Heston model. The proof relies on the explicit expression of the conditional characteristic function of the joint forward process and the spot price, which is a consequence of the affine structure of the model. We illustrate with some numerical examples the behavior of American option prices with respect to some parameters in the model. This is joint work with Etienne Chevalier and Elizabeth Zuniga.
If you would like to attend via Zoom, please register at the following link, we will send you the details:
https://docs.google.com/forms/d/e/1FAIpQLSeVog1wfkFpBhehoYMRoTcNFESIOvh3Y-C…
--
Alessandro Gnoatto
Dipartimento di Scienze Economiche
Università degli Studi di Verona
Via Cantarane 24
37129, Verona, Italy
Room 1.05
Tel: +39 045 802 8537
Homepage: www.alessandrognoatto.com
E-mail: alessandro.gnoatto(a)univr.it
--------------------------------------------------
View my research on my SSRN Author page:
http://ssrn.com/author=1615989
--------------------------------------------------
Dear all,
We would like to announce the following two Online Seminars @SNS:
*November 25, 2021 at 4PM (CEST)*
*Speaker: *Dr. Andrea Barbon (HSG) [webpage: http://www.abarbon.com/]
*Title: *On The Quality Of Cryptocurrency Markets Centralized Versus
Decentralized Exchanges (joint work with Prof. Angelo Ranaldo (HSG)).
*Abstract: * Despite the growing adoption of decentralized exchanges, not
much is yet known about their market quality. To shed some light on this
issue, we study cryptocurrencies by comparing decentralized
blockchain-based venues (DEX) to centralized crypto exchanges (CEX) by
assessing two key aspects of market quality: price efficiency and market
liquidity. Using a novel and comprehensive data set, we find that overall
CEX provide better market quality but CEX becomes competitive if
transaction costs exceed 100,000$. Further, the main determinant of the
lower price-efficiency of DEX is the high gas price stemming from proof-of
work blockchains. We propose and empirically validate a stylized theory of
DEX liquidity provision, which links trading volumes, protocol fees, and
liquidity in equilibrium. Our model prefigures the possible scenarios of
efficiency paths for DEX to overtake CEX.
*Link: *
https://teams.microsoft.com/l/meetup-join/19%3ameeting_ZDFlZmJkNDItYmVlNC00…
========================================================================
*December 10, 2021 at 3PM (CEST)*
*Speaker: *Prof. Agostino Capponi (Columbia University)
*Title: * The Adoption of Blockchain-based Decentralized Exchanges
(joint work with Dr. Ruizhe Jia)
*Abstract: *We show that the blockchain order execution mechanism and
liquidity pooling create arbitrage rents in decentralized exchanges. The
arbitrage rent raises the cost of liquidity provision and imposes negative
externalities on users of the underlying blockchain. In equilibrium,
automated market makers (AMMs) are adopted by liquidity providers only if
exchange rates of token pairs are sufficiently stable. A pricing curve with
higher curvature reduces arbitrage rents, but also decreases trading
activities. We provide statistical support for our main model implications
using transaction-level data of AMMs.
*Link: *
https://teams.microsoft.com/l/meetup-join/19%3ameeting_NjAyODk0YzQtNmVmYS00…
We are looking forward to seeing you at the seminars!
Best regards,
Giulia