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Seminario di Massimo Franchi a Tor Vergata
by Anna Vidotto 04 May '19

04 May '19

Dear all, I would like to announce the following talk that will be held on Friday May 10th 2019, at 4:30 PM, in Aula D’Antoni (1101) of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Massimo Franchi (Dipartimento di Scienze Statistiche, Sapienza Università di Roma) Title: Cointegration in Functional Autoregressive Processes Abstract: In this talk we define the class of H-valued autoregressive (AR) processes with a unit root of finite type, where H is an infinite dimensional separable Hilbert space, and derive a generalization of the Granger-Johansen Representation Theorem valid for any integration order d = 1, 2, . . . . An existence theorem shows that the solution of an AR with a unit root of finite type is necessarily integrated of some finite integer d and displays a common trends representation with a finite number of common stochastic trends of the type of (cumulated) bilateral random walks and an infinite dimensional cointegrating space. A characterization theorem clarifies the connections between the structure of the AR operators and (i) the order of integration, (ii) the structure of the attractor space and the cointegrating space, (iii) the expression of the cointegrating relations, and (iv) the triangular representation of the process. Kind regards, Anna Vidotto --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto <https://sites.google.com/view/annavidotto>

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Seminario STINGO
by Matteo Ruggiero 03 May '19

03 May '19

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 10 Maggio 2019, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Francesco STINGO (Università di Firenze) STATISTICAL METHODS FOR PRECISION MEDICINE: PROGNOSTIC AND PREDICTIVE MODELING Cancer is a heterogeneous disease at different molecular, genomic and clinical levels. Identification of prognostic and predictive biomarkers is of critical importance in developing personalized treatment for clinically and molecularly heterogeneous diseases such as cancer. I will first present a prognostic model for the identification of patient-specific biomarkers based on protogenomics data; this novel Bayesian hierarchical varying-sparsity regression (BEHAVIOR) model selects clinically relevant disease markers by integrating proteogenomic (proteomic+genomic) and clinical data. In the second part of the talk I will present a Bayesian predictive method for personalized treatment selection that is devised to integrate both the (previously identified) treatment predictive and disease prognostic characteristics of a particular patient’s disease. The method appropriately characterizes the structural constraints inherent to prognostic and predictive biomarkers, and hence properly utilizes these complementary sources of information for treatment selection. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Seminario M. Mariani a Pavia - 7 maggio
by Carbone Raffaella 03 May '19

03 May '19

Cari colleghi, vi annuncio che Martedì 7 maggio 2019 alle ore 14 precise, in Aula Beltrami del dipartimento di Matematica "F. Casorati" (Università di Pavia) il Prof. Mauro Mariani (HSE Mosca) terrà un seminario dal titolo: METASTABLE REGIMES OF DIFFUSION PROCESSES nell'ambito del Seminario di matematica applicata. Abstract. I will discuss a classical example featuring a metastable behavior: finite-dimensional diffusion processes in the vanishing noise limit. Exponential estimates have been introduced fifty years ago by Freidlin and Wentzell. Recent developments in potential theory and variational convergence allowed a refinement of those results. I will focus on the non-reversible case, with motivations coming from MonteCarlo methods. Cordiali saluti, Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Admission to the PhD Programs: deadline May 14th. (fwd)
by Tiziano Vargiolu 03 May '19

03 May '19

---------- Forwarded message ---------- Date: Fri, 3 May 2019 10:02:20 +0200 From: Martino Bardi <bardi(a)math.unipd.it> I wish to remind everybody that the call for the admission to the PhD Programs of the University of Padova is open and the deadline for applying is May 14th at 1 pm. There are 9 available positions with fellowship for the Program in Mathematical Sciences. For the instructions in English see https://www.unipd.it/en/teaching-and-research/doctoral-degrees-phd-programm… in Italian see https://www.unipd.it/dottorato/bandi-graduatorie and for information on our Program in Math see https://dottorato.math.unipd.it/ Please advertise the call! Best wishes Martino Bardi -- Prof. Martino Bardi Coordinator of the Ph.D. Program in Mathematical Sciences Dipartimento di Matematica "T. Levi-Civita" - Universit? di Padova via Trieste, 63 - 35121 Padova - Italy phone: (39)0498271468 web page: http://www.math.unipd.it/~bardi/ --

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Seminario L. Torricelli - DSE Verona
by Alessandro Gnoatto 03 May '19

03 May '19

AVVISO di SEMINARIO 7 May 2019 - Polo Santa Marta, Via Cantarane 24, Sala Vaona (Room 1.59) Speaker: Lorenzo Torricelli Title: Stochastic clock methods for trade duration in option pricing Abstract: Stochastic clock and in-business-time return models are useful in finance to recover Gaussianity of asset returns by means of re-normalisation with an increasing process (a time change) capturing the market activity (number of trades and their sizes) through time. When applied to a Brownian motion parent process, absolutely continuous time changes give raise to stochastic volatility return models, whereas if the stochastic clock is an independent Lévy subordinator, a new pure jump Lévy model is attained. In this talk I introduce a third way of using stochastic clock techniques, specifically geared towards modelling stochasticity in the times of price revisions, i.e. trade duration, within a Lévy-based, continuous-time finance framework. By using as a time change the first hitting time process of a Lévy subordinator we turn a jump process into a continuous but locally constant one, thus obtaining a stochastic clock which can be interpreted as a calendar time where the price evolution is halted at random instants. I illustrate some of the many applications such a technique may have, with a specific view to option pricing. I discuss three main topics: (i) modelling of regulatory and automated trading halts in equity markets; (ii); explicit identification of a market price of risk connected to liquidity factors; (iii) impact of dependence between duration and returns in the large maturity decay of the implied volatility skew. Explicit analytic pricing formulae can indeed be exhibited, making use of the fact that an analytic transform theory of appropriate inverse Lévy subordinators is fully developed. I finally suggest that the statistical fitting of such models poses delicate questions. For example, for a principled option prices calibration, it is critical to understand which of the trade duration parameters can be derived from the market implied risk-neutral distributions, and which are instead inherent to the market microstructure, and must therefore appear in the minimisation problem as a constraining factor. -- Prof Alessandro Gnoatto, PhD 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<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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Posto di ricercatore RTD-B settore SECS-S/06 (13/D4) a Venezia
by Antonella Basso 03 May '19

03 May '19

Si informa che è uscito il bando per un posto di ricercatore RTD-B nel settore SECS-S/06 Metodi matematici dell'economia e delle scienze attuariali e finanziarie (macrosettore 13/D4) presso l'Università Ca' Foscari Venezia. Il bando si trova al seguente link: https://intra.unive.it/plapps/bandi/common/showbando?id=30917 e ha scadenza 30 maggio 2019. Cordiali saluti Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751 -- Nota automatica aggiunta dal sistema di posta.

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YSS2019: Summer School on Computational and Statistical Methods for Stochastic Process [final announcement]
by stefano iacus 03 May '19

03 May '19

YSS2019: The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process 25-28 June 2019, Brixen-Bressanone, Italy This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package. Who can benefit? Stochastic differential equations, with or without jumps, are nowadays used as statistical models in many contexts, including but not limited to, finance, insurance, phylogenetics, genomics, political analysis, economics, migration flow analysis, social network analysis, and more. Topics The course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models including: point processes, stochastic differential equations driven by Brownian motion with or without jumps, fractional Brownian motion and Lévy processes. For detailed information see the course page at: https://yuimaproject.com/yss2019/ Registration closes on May 20th 2019! PhD Students and PostDocs can attend for free. Limited availability. Access rule: FIFO. NOTE: A parallel “Third YUIMA workshop”, invitation based, will also take place in the same days. Participants of YSS2019 can also attend for free in non-overlapping slots. ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Seminario di Mauro Mariani a Roma La Sapienza (10.05.19)
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno vi annuncio un secondo seminario per la prossima settimana qui alla Sapienza (v.sotto). Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Venerdì 10 Maggio, ore 14:00, Aula di Consiglio, Dipartimento di Matematica, La Sapienza. Speaker: Mauro Mariani, National Research University Higher School of Economics, Moscow Title: Scaling limit of a continuous model of active particles. Abstract: A free energy functional arising from kinetic mean field models of interacting particles is considered. We study the variational limit, in the regime of long time and strong interaction. While the density of particles only features a weak limit in the phase space (say position and velocity), the projection of such a density on the spacial coordinates has a meaningful limit, which satisfies a hydrodynamic equation. We characterizes the tensors appearing in the hydrodynamic limit, in terms of the interaction and velocity field of the original model. -- ************************************************* 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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Variazione di orario seminario a Roma1 del 7 maggio
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno il seminario di Lorenzo Dello Schiavo precedentemente annunciato sarà anticipato alle ore 13.45. Sotto l'annuncio aggiornato. Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Martedi' 7 Maggio, ore 13:45, Aula di Consiglio, Dip. Matematica, La Sapienza Speaker: Lorenzo Dello Schiavo (Università di Bonn) Titolo: The Dirichlet-Ferguson diffusion Abstract: We define, via Dirichlet forms’ theory, a geometric diffusion process on the L^2-Wasserstein space over a closed Riemannian manifold. The process is associated with the Dirichlet form induced by the L^2-Wasserstein gradient and by the Dirichlet-Ferguson random measure with intensity the Riemannian volume measure on the base manifold. We discuss the closability of the form via an integration-by-parts formula, which allows explicit computations for the generator and a specification of the process via a measure-valued SPDE. We comment how the construction is related to previous work of von Renesse—Sturm on the Wasserstein Diffusion and of Konarovskyi—von Renesse on the Modified Massive Arratia Flow. -- ************************************************* 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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Second Italian Meeting on Probability and Mathematical Statistics
by Antonio DI CRESCENZO 02 May '19

02 May '19

Dear Colleagues, we are pleased to announce that the provisional program and the list of contributions of the *Second Italian Meeting on Probability and Mathematical Statistics* is now available at http://www.salerno2019.dipmat.unisa.it/program.html Invited Speakers (cf. http://www.salerno2019.dipmat.unisa.it/speakers.html): - *Giovanni Peccati*, Luxembourg University Monday, June 17. Talk: Intrinsic volumes of convex bodies and cones: concentration, limit theorems and sparse recovery - *Lorenzo Zambotti*, Sorbonne Université Tuesday, June 18. Talk: A brief personal history of stochastic partial differential equations - *Cristina Toninelli*, Université Paris Dauphine Wednesday, June 19. Talk: Bootstrap percolation and kinetically constrained particle systems: critical time scales - *Stefano Maria Iacus*, University of Milano Thursday, June 20. Talk: On regularized estimation for stochastic differential equations Participants are kindly invited to provide for the accommodation as soon as possible, since June is a touristic period. Important deadline: - May 31, 2019: intermediate registration Main links: Conference web site: http://www.salerno2019.dipmat.unisa.it Registration: http://www.salerno2019.dipmat.unisa.it/registration.html Accommodation: http://www.salerno2019.dipmat.unisa.it/accommodation.html Travel info: http://www.salerno2019.dipmat.unisa.it/travel.html Contacts: http://www.salerno2019.dipmat.unisa.it/contacts.html We look forward meeting you soon in Vietri sul Mare. The Scientific Committee Claudia Ceci, Paolo Dai Pra, Antonio Di Crescenzo, Franco Fagnola, Franco Flandoli, Antonio Lijoi, Andrea Pascucci, Franco Pellerey, Laura Sacerdote The Local Organizing Committee Giacomo Ascione, Aniello Buonocore, Camilla Calì, Luigia Caputo, Antonio Di Crescenzo, Maria Longobardi, Barbara Martinucci, Alessandra Meoli, Luca Paolillo, Paola Paraggio, Enrica Pirozzi, Fabio Travaglino

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