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LTI@UniTO seminar Wednesday November 25, 3pm, Albert Menkveld (VU Amsterdam)
by Luca Regis 09 Dec '20

09 Dec '20

|| || |Dear colleagues, | ||||||| LTI@UniTO (www.carloalberto.org/lti <www.carloalberto.org/lti>) and Collegio Carlo Alberto are pleased to invite you to the following webinar in Finance: | | “Equilibrium Bid-Price Dispersion” Speaker: Albert Menkveld (VU Amsterdam), _https://albertjmenkveld.com/about/ <https://albertjmenkveld.com/about/> _ Abstract: If bidding in a common-value auction is costly and if bidders do not know how many others are also bidding, all equilibria are in mixed strategies. Participation is probabilistic and bid prices are dispersed. The symmetric equilibrium is unique and yields simple analytic expressions. We use them to, for example, show that bid prices exhibit negative skewness. The expressions are further used to estimate the model based on bidding on an S&P500 security. We find that the number of bidders declined over time, making liquidity supply fragile. You can join the webinar via zoom at the following link: | https://us02web.zoom.us/j/81439851376?pwd=YUFsWXFvNldTaEMrTW55VE5kaXJiQT09 <https://us02web.zoom.us/j/81439851376?pwd=YUFsWXFvNldTaEMrTW55VE5kaXJiQT09> Meeting ID: 814 3985 1376 Passcode: 753282 Best regards, Luca Regis -- Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti ||

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Post-doc position at University of Milano on "Extension of Martingale Optimal Transport"
by Luciano Campi 09 Dec '20

09 Dec '20

Dear colleagues, I would be grateful if you could bring to the attention of your best graduate students and PhD holders that a two-year long post-doc research positions is available at the Department of Mathematics at the University of Milano. The research line of the post doc position concerns "Extension of Martingale Optimal Transport Theory" and will be coordinated by Prof. Luciano Campi and Prof. Marco Frittelli. All interested candidates are encouraged to participate to the selection procedure. All information (in Italian and in English) about the position, the application and the deadlines can be found at: https://www.unimi.it/it/ricerca/fare-ricerca-da-noi/assegni-di-ricerca <https://www.unimi.it/it/ricerca/fare-ricerca-da-noi/assegni-di-ricerca> https://www.unimi.it/sites/default/files/2020-11/bando%20assegni%20A%202020… <https://www.unimi.it/sites/default/files/2020-11/bando%20assegni%20A%202020…> Thanks very much Luciano Campi -------------------------------------------------------- Luciano Campi Full Professor University of Milan Department of Mathematics Email: luciano.campi(a)unimi.it Web: sites.google.com/site/lucianocampi1

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Avviso di Seminario
by Domenico Marinucci 09 Dec '20

09 Dec '20

Avviso di Seminario Speaker: Michele Salvi (Università di Roma Tor Vergata) Orario: Lunedì 14 dicembre, ore 13 Titolo: Scale-free percolation in continuous space Link al collegamento su Teams: https://teams.microsoft.com/l/meetup-join/19%3ameeting_MWI2ZWY1N2QtMTQ3Zi00… Abstract: The scale-free percolation random graph features three fundamental properties that are often present in large real-world structures (social networks, communication networks, inter-banking systems and so on), but which are never present at once in classical models: (1) Scale-free: the degree of the nodes follows a power law; (2) Small-world: two nodes are typically at a very small graph distance; (3) Positive clustering coefficient: two nodes with a common neighbour have a good chance to be linked. We study a continuous version of scale-free percolation and its possible application to the statistical analysis of a dataset provided by the French Ministry of Agriculture. We discuss some stochastic processes (random walks and particle systems) on this kind of structures with the final goal of understanding how an epidemic would spread. Il seminario rientra tra le attività del Progetto di eccellenza MIUR 2018-2022 Math@Tov. Grazie per l'attenzione, Domenico Marinucci -- @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata https://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

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Padova Online Seminar by Gianmarco Bet (Università di Firenze) [Friday, Dec. 18 at 11.30]
by alessandra bianchi 09 Dec '20

09 Dec '20

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on December 18 at 11.30 by the zoom platform. ________________________________________________________ Speaker: Gianmarco Bet (Università di Firenze) Title: Detecting anomalies in complex networks 18 DECEMBER (Friday) - 11:30 zoom link: TBA (available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: Recently there has been an increasing interest in the development of statistical techniques and algorithms that exploit the structure of large complex-network data to analyze networks more efficiently. For this talk, I will focus on detection problems. In this context, the goal is to detect the presence of some sort of anomaly in the network, and possibly even identify the nodes/edges responsible. Our work is inspired by the problem of detecting so-called botnets. Examples are fake user profiles in a social network or servers infected by a computer virus on the internet. Typically a botnet represents a potentially malicious anomaly in the network, and thus it is of great practical interest to detect its presence and, when detected, to identify the corresponding vertices. Accordingly, numerous empirical studies have analyzed botnet detection problems and techniques. However, theoretical models and algorithmic guarantees are missing so far. We introduce a simplified model for a botnet, and approach the detection problem from a statistical perspective. More precisely, under the null hypothesis we model the network as a sample from a geometric random graph, whereas under the alternative hypothesis there are a few botnet vertices that ignore the underlying geometry and simply connect to other vertices in an independent fashion. We present two statistical tests to detect the presence of these botnets, and we show that they are asymptotically powerful, i.e., they correctly distinguish the null and the alternative with probability tending to one as the number of vertices increases. We also propose a method to identify the botnet vertices. We will argue, using numerical simulations, that our tests perform well for finite networks, even when the underlying graph model is slightly perturbed. Our work is not limited in scope to botnet detection, and in fact is relevant whenever the nature of the anomaly to be detected is a change in the underlying connection criteria. Based on joint work with Kay Bogerd (TU/e), Rui Pires da Silva Castro (TU/e) and Remco van der Hofstad (TU/e). -- 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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seminar series on Mathematics of Reaction Networks
by Daniele Cappelletti 07 Dec '20

07 Dec '20

Dear colleagues, This mail is to announce a new online seminar series on the “Mathematics of Reaction Networks” (MoRN). Reaction networks are mathematical models mainly used in biochemistry, with the scope of describing the dynamics of particles of different kinds that interact in a homogeneous environment. The mathematics used to study these models sits at the interface of stochastic process theory, algebra, graph theory, analysis. The seminar will take place twice a month over zoom (Thursday on the 2nd and 4th week of the month, 17.00 Rome time), and consist of two 25-minute long talks followed by longer discussions. The exciting program for the first three sessions is available on the seminar page: https://researchseminars.org/seminar/MoRN The first two talks will be given on Thursday November 12 by David Anderson from the University of Wisconsin-Madison (he will talk about connections between neural networks and the modeling regime of reaction networks) and Lea Popovic from Concordia University (she will introduce a multiscale stochastic model for interacting particles in a heterogeneous environment, and study its fluid limit). More details are given in the seminar webpage. New talks will appear on the seminar webpage, as well as the zoom link. If the speaker agrees, talks will be recorded and added to youtube with a private link, and the link will be shared on the seminar webpage. On the webpage you can subscribe to a mailing list, and you can add the seminar into your calendar. We will send a reminder two days before each talk to subscribed people. Best wishes, Daniele Cappelletti (co-organizing the seminar series with Elisenda Feliu and Stefan Mueller)

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Webinar Ferrari G. - at UNIBS, Department of Economics and Management (fwd)
by Tiziano Vargiolu 05 Dec '20

05 Dec '20

---------- Forwarded message ---------- Date: Fri, 4 Dec 2020 20:59:24 +0100 From: Paolo Falbo <paolo.falbo(a)unibs.it> To: "Vargiolu, Tiziano" <vargiolu(a)math.unipd.it> Subject: Webinar Ferrari G. - at UNIBS, Department of Economics and Management Ciao Tiziano, con preghiera di diffusione. Un caro saluto, Paolo ***** Dear friends, on December 15th, 2020 - 14:30 (cet) within the Research Seminars of DEM, it will take place the following webinar: Taming the spread of an epidemics by lockdown policies presented by Prof. Ferrari Giorgio, Bielefeld University and organized by Prof. Paolo Falbo Abstract In this talk we consider the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly confinement policies. We provide a complete theoretical analysis, as well as numerical experiments illustrating the structure of the optimal lockdown policy. In all our experiments the latter is characterized by three distinct periods: the epidemic is first let freely evolve, then vigorously tamed, and finally a less stringent containment should be adopted. Moreover, the optimal containment policy is such that the product "reproduction number x percentage of susceptible" is kept after a certain date strictly below the critical level of one, although the reproduction number is let oscillate above one in the last more relaxed phase of lockdown. Finally, an increase in the fluctuations of the transmission rate is shown to give rise to an earlier beginning of the optimal lockdown policy, which is also diluted over a longer period of time. The seminar is based on a joint work with Salvatore Federico (University of Genova). Live presentation on: Google Meet. To participate, registration is required by 14 December 2020 at 12:00, by filling out the following form: https://forms.gle/VLejKcTxPHYdRXZ99 Subscribers will be emailed the link to the webinar meeting. The poster of the event is attached. Informativa sulla Privacy: http://www.unibs.it/node/8155

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Fwd: CENTRO DE GIORGI -- JUNIOR VISITING POSITIONS -- 5 two-year long post-doc research positions 2021 - 2023
by Marco Romito 03 Dec '20

03 Dec '20

-------- Forwarded Message -------- Subject: CENTRO DE GIORGI -- JUNIOR VISITING POSITIONS -- 5 two-year long post-doc research positions 2021 - 2023 Date: Wed, 2 Dec 2020 20:00:57 +0100 From: CRM <crm(a)sns.it> To: CRM <crm(a)sns.it> Dear Colleague, I would be grateful if you could bring to the attention of your best postgraduate students and PhD holders that *five **two-year long post-doc research positions* named *Junior Visiting Positions* are available at the *Centro De Giorgi - Scuola Normale Superiore, Pisa* covering the following subjects: Position n. 1: Algebraic Geometry and//or Number Theory Position n. 2: Topology, Differential Geometry and//or Geometric Analysis Position n. 3: Partial Differential Equations and//or Probability Position n. 4: Numerical Analysis and//or Financial Mathematics Position n. 5: Dynamical Systems PhD students can also apply, provided that they obtain their PhD no later than October 1st 2021. Deadline for application: *12th January 2021 (11.59 PM Italian time)*. The total two-year gross remuneration, inclusive of all taxes, is € 66,590.00 for each contract, corresponding to a monthly salary of approximately 2,000 Euros. An additional yearly research allowance of 1,000 Euros for exchange visits is also provided. *Starting date: October 2021* The Mathjobs announcement is available here: *https://www.mathjobs.org/jobs/1548* To submit applications please link to the *ANNOUNCEMENT* at *https://amministrazionetrasparente.sns.it/bando/assegni-di-ricerca-denominati-%E2%80%9Cjunior-visiting-position%E2%80%9D-research-positions-named-%E2%80%9Cjunior-visiting-positions%E2%80%9D-0* and read the *OFFICIAL CALL* *https://amministrazionetrasparente.sns.it/sites/default/files/bandi/assegniricerca/anno2020/586call.pdf* Applicants must submit their applications *SOLELY* by using the on-line procedure "SerSe" (https://serse.sns.it/en/) <https://serse.sns.it/en/> available on the Scuola Normale Superiore website and fulfill ALL the tender's requirements. *No other submission method will be accepted.* For any question related to the on-line procedure or any additional information e-mail *job.opportunities(a)sns.it <mailto:job.opportunities@sns.it>*. Best regards, Stefano Marmi ________________________ Scuola Normale Superiore and Centro di Ricerca Matematica Ennio De Giorgi Palazzo Puteano Piazza dei Cavalieri 3 56100 PISA _________________________ /Hosting thousands visitors every year, since its foundation in 2001 the Centro di Ricerca Matematica Ennio De Giorgi provides a thriving international and interdisciplinary research environment and Junior Visitors can take part in a great variety of scientific activities including intensive research periods, workshops and seminars, and have a unique opportunity to interact with top-class scientists./ /(http://crm.sns.it)/ /. /

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Remote 2nd One-Day Workshop on Machine Learning for Finance
by Marco Corazza 01 Dec '20

01 Dec '20

Dear All, I inform that on December 18, 2020, the *Remote 2nd One-Day Workshop on Machine Learning for Finance* will be streamed via the Zoom platform offered by the Department of Economics of the Ca' Foscari University. For receiving the meeting’s address, ID and passcode, it is necessary to communicate the email address of the attendee to the email address corazza(a)unive.it. Below, a tentative program of the workshop. *MORNING* - 09:50-10:00: Openings - 10:00-10:30: E. Vittori, M. Trapletti, M. Restelli: "Option hedging with risk averse Reinforcement Learning" - 10:30-11:00: G. Anese, M. Corazza, M. Costola, L. Pelizzon: "Impact of market sentiment on stock return and volatility" - 11:00-11:30: E. Barucci, M. Bonollo, F. Poli, E. Rroji: "A machine learning algorithm for stock picking built on information based outliers" - 11:30-11:45: Break - 11:45-12:15: I. Kyriakou, P. Mousavi, J.P. Nielsen, M. Scholz: "Short-term exuberance and long-term stability: A simultaneous optimisation of stock return predictions for short and long horizons" - 12:15-12:45: A. Flori, D. Regoli: "Revealing pairs-trading opportunities with Long Short-Term Memory Networks" - 12:45-14:15: Break *AFTERNOON* - 14:15-14:45: M. Azzone, E. Barucci, G. Giuffra, D. Marazzina: "A Machine Learning model for lapse prediction in life insurance contracts" - 14:45-15:15: Oleksandr Castello, M. Resta: "Parsimonious yield curve models on the trial: An application to BRICs countries" - 15:15-15:45: G. Amici, M. Bianchetti, F. Brina, B. Lari, M. Mezzetti, A. Peroni, P. Rossi: "Deep Learning from market data" - 15:45-16:00: Break - 16:00-16:30: L. W. Cong, K. Tang: "AlphaPortfolio: Single-step portfolio construction through Reinforcement Learning and economically interpretable AI" - 16:30-17:00: E. Vittori, M. Bernasconi, F. Trovò, M. Restelli: "Dealing with transaction costs in portfolio optimization: Online gradient descent with momentum" - 17:00-17:30: G. di Tollo, J. Andria, S. Ghilardi: "Gender analysis and attention to gender: An experimental framework" - 17:30-17:40: Closings 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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Fwd: Annuncio seminario presso la Universitá Carlos III di Madrid
by Antonio DI CRESCENZO 30 Nov '20

30 Nov '20

---------- Forwarded message --------- Da: BERNARDO D AURIA . <bdauria(a)est-econ.uc3m.es> Date: lun 30 nov 2020 alle ore 09:24 Subject: Annuncio seminario presso la Universitá Carlos III di Madrid Good morning to everybody, I would like to inform you of an online Research Seminar scheduled for this Friday at the Department of Statistics of the Madrid University Carlos III: *Date*: Friday, December 4 *Time*: 1:00 p.m. *Speaker*: Tiziano de Angelis (Università di Torino) *Title*: *An analytical study of participating policies with minimum guaranteed and surrender option* The link to attend through the BB Collaborate platform is: https://eu.bbcollab.com/guest/b1b6ef4d6f734be7bc233c49ceefe5f8 For more information on this and other Department seminars please look at: http://www.est.uc3m.es/seminarios/ Regards Bernardo D'Auria Associate Professor Madrid University Carlos III de Madrid http://www.est.uc3m.es/bdauria 📞 +34 91 624 8804 📠 +34 91 624 8749

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new deadline- Special Issue "Stochastic Optimization Methods in Economics, Finance and Insurance"
by c.ceci＠unich.it 27 Nov '20

27 Nov '20

Dear all, we are glad to inform you that submissions for the Special Issue "Stochastic Optimization Methods in Economics, Finance and Insurance" on Mathematics (https://www.mdpi.com/journal/mathematics) are open. The following is the official website: https://www.mdpi.com/journal/mathematics/sections/financial_mathematics Research articles, reviews, communications and concept papers will be considered. The deadline is now postponed to 30 April 2021. Since Mathematics is an open access journal, there is a fee (1200 CHF) to be paid at acceptance. Short description of the Special Issue: Stochastic optimization finds numerous and various applications in economics, finance and insurance. Among these, we may cite optimal portfolio selection, optimal reinsurance and investment problems, utility maximization and application to valuation of financial and insurance derivatives, optimal management of pension fund and public debt, risk measures. This Special Issue aims at collecting original research papers or comprehensive reviews on the theory and applications of dynamic stochastic optimization in economics, finance and insurance. Advanced mathematical tools have been employed to handle with these problems including viscosity solutions approach, martingale methods, backward stochastic differential equations (BSDEs), partial differential equations (PDEs), convex duality, filtering techniques and various numerical methods. Applications different from stochastic optimization will be possibly considered. If you have any questions, please do not hesitate to contact us. Please apologize for cross-posting. Guest Editor: Prof. Claudia Ceci Co-Guest Editor: Dr. Matteo Brachetta

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