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Seminario Prof. Giulia Iori alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 05 Apr '17

05 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 11 Aprile, ore 9,30 ------------------------------------------------------------ ----------------- Aula Fermi Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa Prof. Giulia Iori (City University, London) Information aggregation in Decentralized Markets: An Experimental Study *Abstract:* The aim of the paper is to explore the effects of market opacity and trade frictions, on market efficiency and social welfare, in exchanges organized by decentralized trade. Networks are a natural tool to represent the trading relationships among market participants in decentralized markets. By constraining exchanges on exogenously predetermined networks, and without altering the price formation mechanism, which is based on the networked limit order book technology, we can span from highly decentralized to fully connected double auction markets. Via laboratory experiments with human subjects we investigate how the density of the trading network affects the market overreaction to the release of public information, the way asymmetric private information is aggregated into prices, the manner in which the price negotiated on a particular trade reflects the relative degree of connectedness of the buyer and seller, and the extent to which location advantages create heterogeneities in gains from trading among traders. Tutti gli interessati sono invitati a partecipare. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 05 Apr '17

05 Apr '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>). Registration fees are: Early registrationLate registration (within August 31st)(from September 1st on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 04 Apr '17

04 Apr '17

The call for a 16 month postdoc (assegno di ricerca) is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Italian: **Esecuzione ottimale e dinamica di alta frequenza in mercati foreign exchange* *English: Optimal execution and high frequency dynamics in foreign exchange markets* and the research will likely be conducted in collaboration with the FX desk of HSBC (London) The details of the call are at Italian http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma- di-ricerca-%E2%80%9Caccordo-di-ricerca-hsbc-sns-analisi- delle-microstrutture-dei-0 English http://en.sns.it/bando/research-contract-part-research-project-%E2%80% 9Chsbc-sns-research-agreement-microstructure-financi <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Chsb…> The deadline is April 14. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Mini course in Verona - Luciano Campi: Optimal stopping with applications to finance.
by Luca di persio 04 Apr '17

04 Apr '17

*Mini course announcement* Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on *Optimal stopping with applications to finance*, according with the following time table: 10th of April (2017) : 1730-1930 - Room M 11th of April (2017) : 1430 -1730 - Room M 12th of April (2017) : 1430-1730 - Room M all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course*Optimal stopping problems are very common in economics and finance (as well as in other fields such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) or to exercise a given option. The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and finance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite. The list of topics will be: 1. Optimal stopping problem (OSP): motivation and examples. 2. Solution to OSP via Snell envelop and backward induction. 3. Zero-sum stopping games (aka Dynkin games). 4. Applications to finance and economics. *References*: • Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier. • Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhäuser Basel. • Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics, 184-194. • Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhäuser Boston. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminario Prof. Fonden Sapienza Roma
by Alessandro Degregorio 03 Apr '17

03 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 4 Aprile, ore 14,30 ------------------------------------------------------------ ----------------- Aula 1B1 Dipartimento di Scienze di Base e Applicate per l'Ingegneria (SBAI) "Sapienza" Università di Roma Prof. Mohammud Fonden (University of Glasgow) *Titolo:* Some properties of space-time fractional stochastic partial differential equations *Abstract:* The main point of this talk is to show how the presence of the non-locality affects the behaviour of solutions to the stochastic heat equation. We will look at equations with fractional Laplacian as well as equations with time fractional derivatives. The properties discussed are closely related to the concept of ‘intermittency’ which roughly speaking, means that the solution develop high peaks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Due assegni di ricerca biennali nell'area 01
by Federico Polito 03 Apr '17

03 Apr '17

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per due assegni di ricerca biennali nell'area 01. La ricerca si propone lo studio di nuove problematiche attuali della Matematica, con particolare riferimento a quelle elencate nel progetto scientifico del Dipartimento di Matematica dell'Università di Torino: http://www.dipmatematica.unito.it/do/home.pl/View?doc=dip_prog_scien.html I settori scientifico-disciplinari interessati sono tutti quelli dell'Area 01. Le tematiche di ricerca attive per il SSD MAT/06 sono reperibili al seguente link: http://www.dipmatematica.unito.it/do/gruppi.pl/Show?_id=2oge&tab=2 Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/ dove è anche possibile scaricare il testo completo del bando. La presentazione della domanda di partecipazione dovrà essere perfezionata e conclusa entro le ore 12 (ora di Roma) del 26 Aprile 2017. Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Avviso seminario di Matematica, Pisa, Dr. Kohei Suzuki (05.04.17)
by Carina Geldhauser 31 Mar '17

31 Mar '17

SEMINARIO DI MATEMATICA *mercoledì 5 aprile 2017* ore 14:00 *Scuola Normale Superiore* Pisa Aula Mancini Kohei Suzuki (Bonn University) Terrà un seminario dal titolo: *“**Convergence of Brownian Motions on Metric Measure Spaces Under Riemannian Curvature-Dimension Conditions**”* *Abstract:* *The goal of this talk is to characterize the weak convergence of Brownian motions in terms of a geometric convergence of the underlying spaces. As main results, we show that the pointed measured Gromov convergence of the underlying spaces implies (or under some condition, is equivalent to) the weak convergence of Brownian motions under Riemannian Curvature-Dimension conditions.* *This talk is based on my recent preprint available at https://arxiv.org/pdf/1703.07234.pdf <https://arxiv.org/pdf/1703.07234.pdf>* Tutti gli interessati sono invitati a partecipare.

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Workshop announcement: Mathematics for Big Data
by Alessandra Micheletti 31 Mar '17

31 Mar '17

*Dates: **May 31- June 1, 2017* *Place: **University of Novi Sad, Serbia* The availability of huge amounts of data is often considered as the fourth industrial revolution we are living right now. The increase in data accumulation allows us to tackle a wide range of social, economic, industrial and scientific challenges. But extracting meaningful knowledge from the available data is not a trivial task and represents a severe challenge for data analysts. Mathematics plays an important role in the existing algorithms for data processing through techniques of statistical learning, signal analysis, distributed optimization, compress sensing etc. The amounts of data that are available and that are going to be available in near future call for significant efforts in mathematics. These efforts are needed to make the data useful. The main challenges we plan to consider within this SIG are, roughly speaking, in the area of mathematical optimization and statistics. The Special Interest Group Mathematics for Big Data <https://sites.google.com/view/mathbigdata/home>, organized under ECMI <https://ecmiindmath.org/> umbrella, aims to bring together major stakeholders in this exciting area. The principal objectives of the workshop are § to gather experts from academia working on Big Data issues § to promote scientific cooperation on up-to-date open challenges in the area § to promote cooperation between academia and industry in the area § to promote joint applications to EU funded programs The workshop will have the usual format of ECMI Special Group workshops. Several distinguished experts will deliver plenary lectures on the state-of-the art topics, followed by a limited number of contributed lectures. Posters sections are also possible. A panel discussion with the representatives of industry will also be organized. A collection of survey papers will be published in Springer book edition "Mathematics in Industry". The plenary speakers confirmed so far: · Hanno Gottschalk, University of Wuppertal · Stefano Iacus, University of Milano · Aleksandra Pizurica, University of Ghent · Joao Xavier, Instituto Superior Tecnico, Lisbon · Branka Vucetic, University of Sydney · Milos Bozic, VAST, USA There is no registration fee for the workshop but the registration is obligatory. If you wish to present a contributed lecture or a poster please send the title and a short abstract together with the registration. Due to the limited number of contributed lectures, the organizers might transfer a contributed presentation to a poster presentation. The workshop is organized by Department of Mathematics and Informatics, Faculty of Science, University of Novi Sad and University of Milano, with support from ECMI, Ministry of Education, Science and Technological Development of Serbia and Secretary for High Education and Science of Vojvodina. *For more details visit* *https://www.dmi.uns.ac.rs/mathbd/index.html* <https://www.dmi.uns.ac.rs/mathbd/index.html> -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics ADAMSS Centre Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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Quantitative Finance at Work
by Davide Erminio Pirino 31 Mar '17

31 Mar '17

Dear all, on April 28, 2017, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the first edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://economicstorvergat.wixsite.com/qfinatwork>. ( https://economicstorvergat.wixsite.com/qfinatwork) Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. The list of the speakers and some information are attached. You may download the flyer of the event here <https://media.wix.com/ugd/3e1e75_71d989d53179437d885d6a0402ab9f7e.pdf>. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi Speakers Matteo Bissiri Cassa Depositi e Prestiti Damiano Brigo Imperial College London Attilio Meucci Advanced Risk and Portfolio Management® Marcello Minenna Consob Massimo Morini Banca IMI Federico Mosca Arca SGR Pietro Rossi Prometeia Marcello Terraneo UniCredit Group Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Date April 28, 2017, 9:30 AM-5:00 PM *Web*: https://economicstorvergat.wixsite.com/qfinatwork

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Seminario ASTON
by Matteo Ruggiero 31 Mar '17

31 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 7 Aprile 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: John ASTON (University of Cambridge) FUNCTIONS, MANIFOLDS AND STATISTICAL LINGUISTICS Functional Data Analysis concerns the statistical study of curves and surfaces. An extension, Functional Object Data Analysis, looks at the statistical analysis of curves and surfaces which live in restricted spaces, such as on manifolds. One particular example of these are the covariance functions associated with the underlying curves. These positive definite operators can often be of interest in their own right, yet standard functional data models are not appropriate due to the positive definite space they are constrained to lie in. Statistical models for both traditional functional data and separable positive definite models will be discussed, particularly in regards to the modelling of phonetic data. Acoustic phonetic data from different dialects or languages can be associated with both mean and covariance functions, and models used to try to interpolate and extrapolate sounds from one language to another. We will demonstrate that by considering the spaces where these sounds lie, it is possible to turn a speaker from one language to another, and literally listen to our statistical analysis. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://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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