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seminar at LUISS
by Marco Scarsini 09 Oct '17

09 Oct '17

Thursday October 12 from 12:00 to 13:00, room 207 Department of Economics and Finance LUISS viale Romania 32 00197 Roma. Speaker: Fabio Martinelli Title: Bootstrap percolation and interacting particle systems with kinetic constraints Abstract: Recent years have seen a great deal of progress in understanding the behavior of bootstrap percolation models, a particular class of monotone cellular automata. In the two-dimensional lattice, there is now a quite satisfactory understanding of their evolution starting from a random initial condition, with a strikingly beautiful universality picture for their critical behavior (length and time scales). Much less is known for their non-monotone stochastic counterpart, namely kinetically constrained models (KCM). In KCMs the state of each vertex which could be infected by the bootstrap percolation rules is resampled (independently among the vertices) at rate one by tossing a p-coin. In particular, the infection can also heal, hence the non-monotonicity. Besides their connection with bootstrap percolation, KCMs have a strong interest in their own: as p ↓ 0 they display some of the most striking features of the liquid/glass transition, a major and still largely open problem in condensed matter physics. In this talk, after an introductory first part, I shall discuss (i) some recent conjectures relating the universality behavior of critical KCMs to their bootstrap percolation counterpart and (ii) some very recent progress towards proving the above conjectures. Joint project with C. Toninelli (Univ. Paris VII) and R. Morris (IMPA, Rio de Janeiro) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD Course on Hawkes Processes and Applications in Finance
by Carlo Sgarra 07 Oct '17

07 Oct '17

In my previous message announcing a PhD Course at Politecnico di Milano on "Hawkes Processes and Applications in Finance" a systematic misprint on the dates of the lectures appeared. The lectures will take place in JANUARY 2018, not January 2017 (as appearing in the previous message); the other informations concerning classrooms, days and times were correct. I apologize for the misprint. Kind Regards, Carlo Sgarra

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Seminario KAKAMU
by Matteo Ruggiero 06 Oct '17

06 Oct '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 13 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Kazuhiko KAKAMU (Kobe University) HOW DOES MONETARY POLICY AFFECT INCOME INEQUALITY IN JAPAN? EVIDENCE FROM GROUPED DATA We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped data of households and the dynamics of macroeconomic quantities. Our results indicate different effects on income inequality depending on the monetary policy measure under consideration: A traditional rate increase decreases income inequality, whereas a reduction of asset purchases leads to more inequality. Movements of inflation expectations and equity prices might account for theses differences. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' 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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PhD Course on Hawkes Processes and Aplications in Finance
by Carlo Sgarra 06 Oct '17

06 Oct '17

The Mathematics Department of Politecnico di Milano will offer a PhD course on the subject "Hawkes Processes and Applications in Finance". The course will be given by Carlo Sgarra. The calendar and the subjects of the lectures will be the following: January 8, 2017 9:30-12:30 Motivation for introducing Hawkes processes in financial models, the self-exciting features of jumps and the clustering property. January 8, 2017 14:30-16:30 Introduction to point processes: their basic properties. January 9, 2017 9:30-12:30 Definition and basic properties of Hawkes processes. January 9, 2017 14:30-16:30 The microstructure foundation of Hawkes processes. January 10, 2017 9:30-12:30 Multivariate Hawkes processes. January 10, 2017 14:30-16:30 Simulation of Hawkes processes. The time change technique. January 15, 2017 9:30-12:30 The Statistics of Hawkes processes: parametric estimation. The Maximum Likelihood Estimator for Hawkes Processes. January 15, 2017 14:30-16:30 Hawkes processes and pricing. January 16, 2017 9:30-12:30 Hawkes processes and the branching property. Branching processes in continuous time and their relation with Hawkes. January 16, 2017 14:30-16:30 Hawkes processes and power market. January 17, 2017 9:30-12:30 Hawkes processes and rough volatility models: an introduction to rough volatility models. January 17, 2017 14:30-16:30 Optimal control problems in Hawkes framework: a few examples from the literature. Some slides will be available at the end of the course. The lectures will take place in the classroom inside the Department of Mathematics located at the third floor of the building called "La Nave". Best Regards, Carlo Sgarra

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 06 Oct '17

06 Oct '17

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Thu, 5 Oct 2017 15:43:29 +0200 From: Bústia CRM Difusions <crmdifusions(a)crm.cat> Dear colleague, We are pleased to announce the upcoming *4th Barcelona Summer School on Stochastic Analysis*, which will be held at the Centre de Recerca Matemàtica in Bellaterra (Barcelona) from *July 9 to July 13, 2018*. The school is intended for PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Topology of zero sets of smooth random Gaussian functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) We invite you to visit the homepage of the school http://www.crm.cat/en/Activities/Curs_2017-2018/Pages/4th-BCN-Summer-School… to keep posted with the progress of and news about the organization. Sincerely Yours, The Organizing Committee: Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) *CRM_LOGO_P* Centre de Recerca Matemàtica Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat <http://www.crm.cat/>*** *@CRMatematica <https://twitter.com/CRMatematica>*

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DataScience@Sapienza
by Pierpaolo Brutti 05 Oct '17

05 Oct '17

A tutti gli interessati, Venerdì 6 ottobre si terrà il simposio "DataScience@Sapienza" al termine del quale il rettore Eugenio Gaudio proclamerà i primi laureati magistrali in "Data Science" dell'Ateneo. Durante il simposio sono previsti gli interventi della direttrice di ricerca Google per il Machine learning, Corinna Cortes e del direttore per i servizi IT di Eurostat, Emanuele Baldacci. Inoltre, si discuterà sulle opportunità di lavoro e sulle competenze della figura del data scientist attraverso la partecipazione di alcune delle numerose realtà industriali che hanno collaborato con il Corso di laurea magistrale (IBM, Microsoft, SAS, Banca d'Italia e Unicredit). Per maggiori informazioni: DataScience@SAPIENZA: Symposium and Graduation Ceremony url: http://news.uniroma1.it/06102017_0900 --P

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Open full professorship, Prob-L@B, University of Bath, UK
by Alexandre Stauffer 03 Oct '17

03 Oct '17

Apologies for cross postings The Department of Mathematical Sciences at the University of Bath is inviting applications for a full professorship in Probability. Applicants must have a strong research vision, and a track record of engagement within their Department and across the wider mathematical community. Applicants are expected to have an excellent track record of publications and research grant acquisition, commensurate to their stage of career, as well as a keen interest in pursuing excellence in teaching and in supervising graduate students. Key attributes are strategic leadership and the ability to influence and shape the output and success of the Department. We particularly welcome applications from established Professors, as well as from Readers, Senior Lecturers and Associate Professors or equivalent who can demonstrate a significant upward trajectory. Applications from all groups currently under-represented in academic posts are particularly encouraged. Both the Department and the University are committed to providing a supportive and inclusive working environment. Flexible working options will be considered wherever possible. For more information visit http://www.bath.ac.uk/hr/working/flexible-working/. For further information on how to apply, please visit https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5266 Contact Professor Andreas Kyprianou (a.kyprianou(a)bath.ac.uk) should you have further questions. Best wishes, Alexandre

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avviso di seminario - Univ. Milano-Bicocca
by Emanuela Rosazza 03 Oct '17

03 Oct '17

Si avvisa che il giorno mercoledì 11 ottobre alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- Sala del Consiglio) si terrà il seguente seminario: Speaker: Prof. Giorgio Ferrari (Università di Bielefeld, Germania) Titolo: “On a Class of Optimal Dividend Problems with Capital Injection” Abstract: In this talk I present some recent results on the optimal dividend problem with capital injection. That is the problem of a fund manager aiming at maximising the discounted dividend payments, net of the penalised discounted capital injections needed to avoid bankruptcy of the fund. In our model the surplus dynamics is driven by a general linearly controlled one-dimensional diffusion, that is reflected at zero. Moreover, we assume that the dividend payments are subject to surplus-dependent taxes/transaction costs. We show that depending on the properties of the surplus-dependent taxes/transaction costs we can have different kinds of optimal strategies for the dividend payments. Either it is optimal to follow a classical barrier strategy, or not paying dividend at all is the best thing to do. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* 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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French-Italian Statistics Workshop
by Matteo IACOPINI 02 Oct '17

02 Oct '17

Dear all, it is our pleasure to announce the French-Italian workshop "New Challenges in Statistics for Social Sciences", which will take place on 16-17 October 2017 at Ca' Foscari University of Venice, Department of Economics (Meeting Room 1, Campus Economico, Fondamenta San Giobbe 873). This workshop aims at presenting recent developments in both theoretical and applied statistics for social sciences, with particular attention to economics and finance. The workshop will feature six presentations by international speakers and two tutorial classes will be offered: - Bayesian inference for Poisson processes, by prof. Fabrizio Ruggeri (CNR IMATI of Milan) - Introduction to Approximate Bayesian Computation by prof. Christian Robert (Université Paris Dauphine and University of Warwick). The sponsors of the event are: - Université Franco-Italienne (UFI) - GRETA research group - Dipartimento di Economia dell'Università Ca’ Foscari di Venezia All interested researchers, as well as PhD students, are invited to participate. The participation is free, but for organization reasons, people interested in attending the Workshop are kindly requested to contact the local organizers within October 7 via the following account: Matteo Iacopini: matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it> For further information please visit: http://sites.google.com/site/ifstatseminar/ <http://sites.google.com/site/ifstatseminar/> We apologize for cross-posting and look forward to seeing you in Venice! Best regards, Monica Billio, Roberto Casarin and Matteo Iacopini

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Fwd: 3-year post-doctoral fellowship in probability at Durham
by Pietro Caputo 02 Oct '17

02 Oct '17

---------- Forwarded message ---------- From: Andrew Wade <andrew.wade(a)durham.ac.uk> Date: Mon, Oct 2, 2017 at 11:05 AM Subject: 3-year post-doctoral fellowship in probability at Durham To: Dear colleagues, Apologies if you receive more than one copy of this message. Please allow us to draw your attention to the fact that Durham University is advertising for a 3-year post-doctoral fellowship (Willmore Fellowship) in probability or a closely related area of analysis (closing date 25 October 2017): https://recruitment.durham.ac.uk/pls/corehrrecruit/erq_ jobspec_details_form.jobspec?p_id=008217 Please pass this on to anyone who you think might be interested. Many thanks, Sunil Chhita Nicholas Georgiou Ostap Hryniv Mikhail Menshikov Andrew Wade

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