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special issue on Anomaly Detection: methods and applications
by Daniela De Canditiis 20 Sep '21

20 Sep '21

dear all, we cordially invite you to submit a manuscript to the following special issue Special Issue: Methods and Applications for Anomaly Detection Journal of Computational Mathematics and Data Science (Elsevier) https://www.journals.elsevier.com/journal-of-computational-mathematics-and-… Submission Deadline: 31 July 2022 Manuscripts can be submitted continuously until the deadline. Once a paper is submitted, the review process will start immediately. Accepted papers will be published continuously in the journal. There are no publication fees until March 2022. ********* This Special Issue is focused on recent advances in Anomaly Detection (AD). AD is an important problem in many applications and it consists of establishing whether a given data deviates from nominal shape or form. The AD problem depends on the nature of input data (points, sequences, functions, graphs, images, objects of different nature), on the type of anomaly (point anomalies, contextual or behavioral anomalies or their combination), on the availability of labeled data for training/validation of the AD techniques (leading to unsupervised AD and supervised AD), and on the type of output of the AD (scores or label). Some of the topics of interest include (but are not limited to): Classification techniques Robust regression Robust PCA Robust signal processing Robust image processing Clustering techniques Information theory techniques Artificial Intelligence AD Application to any field ********* Manuscript submission information: Guest Editors: Annalisa Pascarella (IAC-CNR, Italy) Daniela De Canditiis (IAC-CNR, Italy) The submission website for this journal is located at: https://www.editorialmanager.com/jcmds/default.aspx To ensure that all manuscripts are correctly identified for inclusion into the special issue, it is important that authors select VSI: Anomaly Detection (Special Issue) when they reach the “Article Type” step in the submission process. We look forward to hearing from you. All the best, Annalisa Pascarella Daniela De Canditiis -- Daniela De Canditiis, PhD Istituto per le Applicazioni del Calcolo "M.Picone" (CNR) via dei Taurini, 19 -- 00185 Roma, Italy tel: +39 06 49937342 fax: +39 06 4404306 http://www.iac.rm.cnr.it/~danielad/

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Seminario di Lorenzo Dello Schiavo a Roma La Sapienza
by Faggionato, Alessandra 16 Sep '21

16 Sep '21

Buongiorno sotto trovate le informazioni sul seminario di Lorenzo dello Schiavo a Roma 1. Grazie dell'attenzione Saluti Alessandra Quando: Martedì 21 Settembre 2021, ore 10.30 Dove: Sala di Consiglio, Dipartimento di Matematica, Università La Sapienza Speaker: Lorenzo Dello Schiavo (IST Austria) Title: *Conformally invariant random fields, quantum Liouville measures, and random Paneitz operators on Riemannian manifolds of even dimension* Abstract: On large classes of closed even-dimensional Riemannian manifolds M, we construct and study the *Copolyharmonic Gaussian Field*, i.e. a conformally invariant log-correlated Gaussian field of distributions on M. This random field is defined as the unique centered Gaussian field with covariance kernel given as the resolvent kernel of Graham—Jenne—Mason—Sparling (GJMS) operators of maximal order. The corresponding Gaussian Multiplicative Chaos is a generalization to the 2m-dimensional case of the celebrated Liouville Quantum Gravity measure in dimension two. We study the associated Liouville Brownian motion and random GJMS operator, the higher-dimensional analogues of the 2d Liouville Brownian Motion and of the random Laplacian. Finally, we study the Polyakov–Liouville on the space of distributions on M induced by the copolyharmonic Gaussian field, providing explicit conditions for its finiteness and computing the conformal anomaly. (arXiv:2105.13925 <https://arxiv.org/abs/2105.13925>, joint work with Ronan Herry, Eva Kopfer, Karl-Theodor Sturm) ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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One World Optimal Stopping and Related Topics
by Tiziano De Angelis 15 Sep '21

15 Sep '21

Dear All, It is with great pleasure that we announce the September-December schedule of the “One World Optimal Stopping and Related Topics” seminars (online). Detailed information and instructions for registration are available at https://sites.google.com/view/optimalstopping/home Please register again, even if you had already registered in the past academic year. Our first speaker on Wednesday 22 September at 5pm (London time) is: Damien Lamberton, Université Gustave Eiffel Title of the talk: On the American put in the Heston model Best wishes Tiziano De Angelis, Roxana Dumitrescu, Yerkin Kitapbayev, Mikhail Zhitlukhin

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Concorso da PA in MAT/06 all'Università di Padova - Scadenza 29 settembre 2021
by Marco Ferrante 15 Sep '21

15 Sep '21

Care colleghe e cari colleghi, vi informo che è uscito in Gazzetta Ufficiale un bando per Professore di II fascia ai sensi dell'art. 18, comma 4, in S.C. 01/A3 Analisi matematica, Probabilità e Statistica matematica - S.S.D. MAT/06 Probabilità e Statistica matematica presso il Dipartimento di Matematica "Tullio Levi-Civita" dell’Università di Padova. La scadenza per presentare domanda è il *29 settembre 2021* alle *ore 13:00*. Trovate le informazioni sul bando e su come presentare la domanda di partecipazione alla pagina https://www.unipd.it/procedura-2021PA183.4 Marco Ferrante -- Prof. Marco Ferrante Dipartimento di Matematica "Tullio Levi-Civita" Università degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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Procedura selettiva 2019RUA12 - riapertura termini - RTDa 13D1
by Alessandra Fabbri Colabich 15 Sep '21

15 Sep '21

Buongiorno, si comunica che sono stati riaperti i termini per la presentazione delle domande per la procedura selettiva 2019RUA12 - allegato 10 per l'assunzione di n.1 ricercatore a tempo determinato con regime di impegno a tempo pieno presso il Dipartimento di Scienze statistiche dell'Università degli Studi di Padova, per il settore concorsuale 13/D1 – STATISTICA (profilo: settore scientifico disciplinare SECS-S/01 – STATISTICA e SECS-S/02 – STATISTICA PER LA RICERCA SPERIMENTALE E TECNOLOGICA) ai sensi dell’art. 24, comma 3 lettera a), della Legge 30 dicembre 2010, n. 240, pubblicato nella GU n 73 del 14 settembre 2021 - *SCADENZA PRESENTAZIONE DOMANDE: ORE 13:00 DEL 14 OTTOBRE 2021.* https://www.stat.unipd.it/procedura-selettiva-2019rua12-decreto-rettorale-r… Cordiali saluti Alessandra Fabbri Colabich -- Dott.ssa Alessandra Fabbri Colabich Università degli Studi di Padova Dipartimento di Scienze Statistiche Segreteria di Direzione

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Next LTI@Unito webinars: September 20, 2021 @12:45 | September 27, 2021 @12:45
by Luca Regis 14 Sep '21

14 Sep '21

Dear colleagues, I am happy to forward you the following announcements of two seminars in Quantitative Finance organized by LTI@UniTO and Collegio Carlo Alberto: * Stanislava Nikolova (University of Nebraska-Lincoln), September 20th, 12.45: "Corporate Bond Flipping" * Andrea Orame (Bank of Italy), September 27th, 12.45: "Quantitative Easing, Bank Lending and Competition". Please find below the abstract and the zoom links. Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/4Y3D1gFgxA8KVXx64DKoPB1KCgwrTyqupC…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars <#> *September 20, 2021 | 12:45 - 13:45* *“Corporate Bond Flipping”* Stanislava Nikolova (University of Nebraska-Lincoln) <#> *Abstract.* In this paper we provide the first empirical evidence on flipping activity in the corporate bond market. Analyzing insurer trades in corporate bonds during 2002-2018, we show that offerings with worse aftermarket performance are flipped less. When flipping their allocation in an offering, insurers tend to avoid selling to the offering’s underwriters even though underwriters offer better prices. The sensitivity of flipping to aftermarket performance is broadly similar when flipping to underwriters than non-underwriters, which suggests that underwriters discourage flipping in both overpriced and underpriced offerings. Insurers that flip their allocation to underwriters receive less profitable allocations in these underwriters’ subsequent offerings. Overall, our findings suggest that the repeated game nature of the issuance process allows underwriters to partially limit flipping by using their allocation discretion to penalize flippers. /Joint with L. Wang/. Zoom Link: https://us02web.zoom.us/j/88495362012?pwd=TWdkS0lPTm1lQTQyVVVTVGh1Wmljdz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/kZGUmIunEdxz1dadhHTfrur0lcEACj7lZS…> Meeting ID: 884 9536 2012 Passcode: 397756 <#> *September 27, 2021 | 12:45 - 13:45* *“Quantitative Easing, Bank Lending, and Competition”* Andrea Orame (Bank of Italy) <#> *Abstract.* We study how the European Central Bank’s quantitative easing (QE) program announced in January 2015 affected lending by Italian banks. Banks exposed to QE, especially the more illiquid ones, increased lending relatively more at both the intensive and extensive margins after QE. But we also find evidence of substitution. Branches of non-QE-exposed banks contracted lending in areas where QE-exposed banks dominate. Because of this substitution, we find no evidence of an aggregate credit expansion. Our results suggest that QE programs that target a broader swath of the banking system could more effectively expand lending. Zoom Link: https://us02web.zoom.us/j/86146036034?pwd=SWJJUXU4Qmxoa2pTY29nS2FHOVNQZz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/44E8eCvPH991Azy9eSesid2FFlvnlb1e9X…> Meeting ID: 861 4603 6034 Passcode: 413428 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/_oZ7DkyGZmAbPkUPJsKpuoBy8uqcSFzkuW…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/DK9zEeuKEW2jWh1UAQCh-j1VYcej6bGHCz…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/EhFkUbLMNzNCTeAxC7A4cF4PRl2kYgiRsn…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/BdVrW_64gEvSYyGKa4rnDPTRygLC0CdHcu…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/FkSkjvNQuxHGBHGhc1xUYaG4I7sr6lz1OQ…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/1hM60Du7CJMwkHPB4NN-TI4vMnXwOFjH6m…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/otxZ4nQ6HQHu0R0ipgYVcKbQ0en4Y1XeR7…> <#> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org To find out about the policies regarding the processing of personal data pursuant to articles 13-14 of EU Regulation 2016/679, consult the information at the following link https://www.carloalberto.org/privacy/ <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/0Pq8nWJD_zaSFiEzfKZN5ansJvxxH6AuSi…> *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/FdHaK2tpDjqFtpVjuIOWNIJGZdawrnP5_Bp5…> <#> © 2021 Fondazione Collegio Carlo Alberto

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Padova Online Seminar by Oriane Blondel (Université Claude Bernard Lyon 1) [Friday, Sept. 24 at 14.30]
by alessandra bianchi 14 Sep '21

14 Sep '21

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on September 24 at 14.30 by the zoom platform. ________________________________________________________ Speaker: Oriane Blondel ( Université Claude Bernard Lyon 1) Title: Kinetically constrained models out of equilibrium 24 SEPTEMBER (Friday) - 14:30 zoom link: TBA available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: Kinetically constrained models are interacting particle systems on Z^d, in which particles can appear/disappear only if a given local constraint is satisfied. This condition complexifies significantly the dynamics. In particular, it deprives the system of monotonicity properties, which leaves us with few tools to study the dynamics when it is initially not at equilibrium. I will review the results and techniques we have in this direction. Best regards The organizers (A. Bianchi, G. Callegaro, M. Formentin) -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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JEAN JACOD SEMINAR in VERONA, 22/9/2021 at 12:00
by Cecilia Mancini 14 Sep '21

14 Sep '21

JEAN JACOD, Emeritus Professor at the University Pierre et Marie Curie in Paris (Paris 6), on Wednesday, the 22nd at 12:00, will give the following SEMINAR Title: Testing for the Markov Property in a High-Frequency Setting (joint with Yacine Ait-Sahalia) Abstract. The aim is to present a test for the homogeneous Markov property of a one-dimensional process X observed at regularly spaced times over a finite time interval. The frequency goes to infinity, and we test the null hypothesis according to which the spot volatility takes the form sigmat= f(X_t) for some smooth enough non-vanishing function f. The test relies on some Central Limit Theorems related to the local times of a semimartingale. We allow the process X to have jumps, restricted to finite activity. We will mostly consider the case when the process is observed without error, and if time permits we will give a method covering the case where microstrucutre noise is present. All interested people are warmly invited to participate. The seminar will be offered in a hybrid format: Zoom Webinar: please use the following form to register and to receive the webinar link on the day of the seminar https://docs.google.com/forms/d/e/1FAIpQLScZAsFnymSi11UklAMABm8Nwtg6txOogxQ… Live attendance: the Department of Economics, via Cantarane 24, Vaona room. Due to the limited number of available seats, interested people should write an e-mail to: cecilia.mancini(a)univr.it<mailto:cecilia.mancini@univr.it> Professor Jacod will be visiting our department from 20 to 23 of September

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Research grant: Metaheuristics and ML for Financial Trading - Ca' Foscari Univ. of Venice
by Marco Corazza 13 Sep '21

13 Sep '21

Dear All: - The Department of Economics of the Ca' Foscari University of Venice has announced a public selection for a one-year *research grant* entitled "*Combining optimization metaheuristics and artificial intelligence to design quasi-real-time trading strategies*". - Application deadline: *20 September 2021*, *12:00* (Italian time); - Webpage: *https://www.unive.it/data/28825/ <https://www.unive.it/data/28825/>*; - Call: *https://apps.unive.it/common2/file/download/assegni_ricerca/6131f297d27a7 <https://apps.unive.it/common2/file/download/assegni_ricerca/6131f297d27a7>* . The main objective of the project is to develop and implement a decision-making system for financial trading combining metaheuristics for optimization with Machine Learning and Deep Learning techniques. Best regards, Marco Corazza -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef

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PhD course Set-Valued Stochastic Finance - Ararat, September 13, 14, 15, 22
by Mastrogiacomo Elisa 06 Sep '21

06 Sep '21

On September 13, 14, 15, 22 with schedule 10:00-12:00, Cagin Ararat (Bilkent University) will give a virtual short PhD-course for the PhD program in Methods and Models for Economic Decisions (Insubria University). You can find title and abstract below, as well as instructions to attend the course. You are all invited! Short Online Course, Università degli Studi dell'Insubria September 2021, Varese Set-Valued Stochastic Finance Lecturer: Çağın Ararat, Bilkent University, Ankara, Turkey Email: cararat(a)bilkent.edu.tr<mailto:cararat@bilkent.edu.tr> Meeting Times: 10:00-12:00 on September 13, 14, 15, 22 Zoom: https://zoom.us/j/98597190889?pwd=cm1vOVdIeWdMdVZ4UTNkY1Vkb0lvZz09 Meeting ID: 985 9719 0889 Passcode: 341415 Abstract: This short online course is concerned with the fundamentals and some recent developments in the theory of set-valued risk measures. These set-valued functionals are particularly useful in quantifying risk in interconnected financial networks where the entities are subject to correlated sources of randomness, in which case the functionals are called systemic risk measures. After studying set-valued risk measures in static and discrete-time settings, we will observe that the continuous-time case is very much undiscovered, largely due to the challenges in set-valued stochastic analysis. We will conclude the course with a simple form of a set-valued backward stochastic differential equation, which has the potential to be linked to set-valued risk measures in continuous time. *** Please forward to anyone interested. Kind regards, Elisa Mastrogiacomo ----------------------------------------- Professore Associato di Metodi matematici dell'economia e delle scienze attuariali e finanziarie Università degli Studi dell'Insubria Dipartimento di Economia Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528 web: https://www.uninsubria.it/hpp/elisa.mastrogiacomo mail: elisa.mastrogiacomo(a)uninsubria.it<mailto:mario.rossi@uninsubria.it>

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