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Energy Finance 2014 conference first announcement
by Tiziano Vargiolu 13 Jan '14

13 Jan '14

---------- Forwarded message ---------- Date: Fri, 3 Jan 2014 15:59:05 -0700 From: EF14 <info(a)energyfinance2014.org> Subject: Energy Finance 2014 conference first announcement Conference first announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14) ____________________________________________________________________________ The next Energy Finance conference will be held on September 24 - 26, 2014, in Erice, Italy. The conference aim is to bring together academicians, practitioners and students interested in the last developments of quantitative analysis, risk management and mathematical modelling of energy markets and related subjects. You can find more information about EF14 in the conference website energyfinance2014.org. Sincerely, the EF14 Organizing Committee. View of the Tyrrhenian coast from the Erice Conference Center [index.php?option=com_acymailing&ctrl=stats&mailid=12&subid=898&no_html=1]

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Avviso di seminario :: Farcomeni@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 13 Jan '14

13 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 17 Gennaio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ALESSIO FARCOMENI (Dip. Sanità Pubblica e Malattie Infettive, Sapienza Università di Roma) terrà un seminario dal titolo GENERALIZED LINEAR MIXED MODELS BASED ON LATENT MARKOV HETEROGENEITY STRUCTURES tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary Latent Markov models (LM) can be seen as a flexible device for taking into account time-varying subject-specific unobserved heterogeneity. In the basic LM, a random intercept is flexibly allowed to evolve over time. The available formulations of mixed LM often assume that any additional random effect is time-constant, with few specific exceptions. In this work we formulate a mixed latent Markov model in which all random effects may freely evolve over time. The size of the parameter space is controlled with the possibilities of assuming block independence of random effects, and/or that groups of random effects may share some or all aspects of their distribution. Parameter estimation is carried out with a simple expectation maximization strategy, analogous to that used for the basic latent Markov model, after an adaptation of the usual forward backward recursions and a parsimonious representation of the expected complete likelihood. Standard errors are derived using Oakes' identity. Dependence among random effects is summarized using Watanabe's total correlation and described with log-odds ratios and higher-order log-linear interactions. We illustrate with an original application to the relationship between health literacy and depression in a panel of adolescents. In this example subjects are clustered in schools, which leads to high-dimensional multivariate time-varying random effects.

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Avviso di seminario - Dott. D'Ovidio
by Federico Polito 09 Jan '14

09 Jan '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 17 Gennaio alle ore 15 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Dott. MIRKO D'OVIDIO ("Sapienza" Università di Roma) terrà un seminario dal titolo FRACTIONAL CAUCHY PROBLEMS ON S^2_1 AND COORDINATES CHANGED RANDOM FIELDS In allegato l'abstract del seminario. Tutti gli interessati sono invitati a partecipare. Federico Polito -- Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy federico.polito(a)unito.it phone: +39 011 6702937

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Avviso di seminario :: Karachanskaya@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 09 Jan '14

09 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Martedì 14 Gennaio, ore 10:30am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ELENA KARACHANSKAYA (Pacific National University, Khabarovsk) terrà un seminario dal titolo THE INVARIANT METHOD IN THE THEORY OF STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATIONS FOR THE CONTROL PROGRAM PROBLEMS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Pierpaolo Brutti --- Summary We consider two types of invariants (geometric and integral), which are connected with the theory of stochastic differential equations (SDEs). The geometric invariants are the fixed length of a random chain and the constant radius of a sphere, which is the surface for random walks (for example, in the case of a turning diffusion). The integral invariants are represented as integrals of kernel functions of integral invariants on the whole space. These kernel functions are solutions of SDEs, which were obtained and discussed. Furthermore, kernel functions will be used for deriving the first global stochastic integral, for constructing the program control (with probability one) for stochastic dynamical systems on deterministic manifold based on Brownian motion with Poisson jumps, and for obtaining the Kolmogorov equations.

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secondo annuncio: mini corso del Prof. Gentil a Pavia
by Carbone Raffaella 09 Jan '14

09 Jan '14

Cari colleghi, vi ricordiamo che il prof. Ivan Gentil (Université Lyon 1) terrà, presso il Dipartimento di Matematica dell'Università di Pavia, un mini-corso dal titolo The Bakry-Emery condition applied to the functional inequality and contraction in Wasserstein distance Abstract : During the lessons we would like to introduce the Bakry-Emery condition in the Euclidean space R^n and also in a Riemannian manifold. First we study the two classical examples: the Euclidean Heat semigroup and the Ornstein-Uhlenbeck semigroup. Then we define the general setting: a Markov semigroup associated to the Gamma and the Gamma-2 operators. Under the Bakry-Emery condition we obtain coercive inequalities which implies for instance functional inequality such as Poincaré or logarithmic-Sobolev inequalities. The last part of the course is devoted to the contraction in wasserstein distance under the Bakry-Emery condition. Orario (provvisorio): ore 11-13 nei giorni 14, 15, 17, 20, 22, 24 gennaio 2014.

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de Finetti Risk seminar - gennaio 2014
by Emanuela Rosazza Gianin 08 Jan '14

08 Jan '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture PREFERENCE TO DIVERSIFICATION: DIFFERENT BUT INTRICATE DIMENSIONS OF UNCERTAINTY AVERSION Samuel Drapeau ABSTRACT We study the preferences of agents for diversification and better outcomes when they are facing both, in Frank Knight's formulation, measurable as well as unmeasurable uncertainty. Following Anscombe and Aumann, such a situation can be modeled by preferences expressed on stochastic kernels, that is scenario dependent lotteries. By means of automatic continuity methods based on Banach-Dieudonné's Theorem on Fréchet spaces, we provide a robust representation. This gives us some insight into the nature of uncertainty aversion these preferences are expressing. We further investigate under which conditions these two intricate dimensions of uncertainty can be disentangle into a distributional uncertainty, in the direction of von Neumann and Morgenstern's theory, and a probability model uncertainty, in the spirit of risk measures. These results allow in particular to address both Allais as well as Elsberg's paradox. LOCATION: The seminar will be held on Wednesday, 15 January, at 18.00 at Aula di Rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* 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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Reminder IWFOS 2014
by Aldo Goia 07 Jan '14

07 Jan '14

*Call for Papers - Reminder* *3rd International Workshop on* *Functional and Operatorial Statistics* Stresa (Italy) – June 19 – 21, 2014 Web-Site: http://iwfos2014.unipmn.it Apologies for cross-posting. Dear Colleagues, Dear Friends, We wish to remind the deadlines for submitting an extended abstract for the 3rd International Workshop on Functional and Operatorial Statistics. *January 15, 2014* Submission deadline. *March 31, 2014* Notification of Acceptance. *April 15, 2014 * Revised submission deadline. We welcome proposals addressing “infinite dimensional statistical problems or methods” with special emphasis on: · Statistical modelling for functional variables · Functional Data Analysis · Operator-based Statistics · Background for Statistics in Infinite-Dimensional spaces · High-Dimensional Statistics · Machine Learning *PROCEEDINGS* A book of proceedings (published with ISBN by Società Editrice Esculapio) will be given at each participant. *SPECIAL ISSUE* Best new advances on the prioritized areas of the meeting could be submitted to the Special Issue *Statistical models and methods for high or infinite dimensional spaces* on* Journal of Multivariate Analysis*. A full reviewing process according the standards of JMVA will be made. For further information visit: http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-… *CONTACTS* Dipartimento di Studi per l’Economia e l’Impresa (Di.S.E.I.) Università del Piemonte Orientale Via Perrone, 18 – 28100 Novara (Italy) fax: +39 0321 375305 - e-mail: iwfos2014(a)unipmn.it web-site: http://iwfos2014.unipmn.it Thank you for your attention, Hoping see you in Stresa, Sincerely Yours, On behalf of the organizers, Aldo Goia Ernesto Salinelli Philippe Vieu ======================================================= IWFOS.2014 Secretary Dipartimento di Studi per l'Economia e l'Impresa Università del Piemonte Orientale Via Perrone, 18 - 28100 Novara (Italy) iwfos2014(a)unipmn.it

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GSSI Colloqium in Probability]
by davide gabrielli 07 Jan '14

07 Jan '14

---------- Forwarded message ---------- From: errico presutti <errico.presutti(a)gmail.com> Date: 2014/1/6 Subject: francis Comets *GSSI Colloquia in Probability* The series will start with a conference held by *Prof. F. Comets* (Paris VII) who will talk on: ``*An overview of directed polymers in random environment'*' on Thursday January 9 at 16.00 in the Aula Magna of GSSI (Gran Sasso Science Institute, L'Aquila) -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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Seminario Prof.ssa Youngna Choi @ SNS Pisa
by Giacomo BORMETTI 07 Jan '14

07 Jan '14

Buongiorno a tutti, vi segnalo il seminario della Prof.ssa Youngna Choi della Montclair State University che si terrà a Pisa presso la Scuola Normale Superiore il prossimo 9 Gennaio alle ore 13:00 in Aula Bianchi. Seguono titolo e abstract. Titolo: Financial Instability Contagion: a Dynamical Systems Approach Abstract: We build a multi-agent dynamical system for the global economy to investigate and analyze financial crises. The agents are large aggregates of a subeconomy, and the global economy is a collection of subeconomies. We use well-known theories of dynamical systems to represent a financial crisis as propagation of a negative shock on wealth due the breakage of a financial equilibrium. We first extend the framework of the market instability indicator, an early warning signal defined for a single economy as the spectral radius of the Jacobian matrix of the wealth dynamical system. Then, we formulate a quantitative definition of instability contagion in terms thereof. Finally, we analyze the mechanism of instability contagion for both single and multiple economies. Our contribution is to provide a methodology to quantify and monitor the level of instability in sectors and stages of a structured global economic model and how it may propagate between its components. Tutti gli interessati sono cordialmente invitati.

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LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE
by Julia Mortera 06 Jan '14

06 Jan '14

Dottorato in "Economia e Metodi Quantitativi" giovedì 9 gennaio 2014, ore 15.00-18.00 Sala delle lauree, Dipartimento di Economia, Università degli Studi Roma Tre Via Silvio D'Amico 77, 00145 Roma */LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE/* ore 14.45: Caffè di benvenuto ore 15.00: Saluti e introduzione *Silvia Terzi*- Direttore Dipartimento di Economia *Julia Mortera*-- Dipartimento di Economia ore 15.30:Lezione inaugurale** *Søren Johansen *-- Professor of Econometrics, Department of Economics, University of Copenhagen /Cointegration in the vector autoregressive model/^ ore 16.30:Discussion ore 17:15:Coffee Break ore 17:30*Katarina Juselius *--Professor of Economics, Department of Economics, University of Copenhagen /Challenges for Macroeconomic Theory/ ore 18:00//Discussion *Abstracts* // /*Cointegration in the vector autoregressive model*/ An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.// */Challenges for Macroeconomic Theory/* Standard macroeconomic models were not able to foresee our recent crisis nor have they been very useful for guiding us out of the subsequent long recession. Most of the economics profession has, therefore, acknowledged the need for a new research vision in macroeconomics and macrofinance. This talk discusses a number of challenges and argues that we need theoretical models that can capture the full dynamics of financial market behavior and its interrelatedness with the real economy as well as empirical models that can take such models to the data without compromising high scientific standards. How to combine these two goals is the subject of the talk. -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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