BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//VPSMS - ECPv4.6.9//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:VPSMS
X-ORIGINAL-URL:http://vpsms2018.org
X-WR-CALDESC:Events for VPSMS
BEGIN:VEVENT
DTSTART;TZID=Europe/Rome:20180321T150000
DTEND;TZID=Europe/Rome:20180330T173000
DTSTAMP:20180225T134256
CREATED:20180220T100341Z
LAST-MODIFIED:20180220T103255Z
UID:1750-1521644400-1522431000@vpsms2018.org
SUMMARY:Minicourse: Neural Networks for Time Series Analysis
DESCRIPTION:About\nThe event will take place in the building: Ca’ Vignal 2. \n\n\n\nOleksandr Honchar \n[HPA – University of Verona]\n\nLecture 1: Introduction to machine learning and time series analysis\nLecture 2: Data preparation and feedforward neural networks\nLecture 3: Convolutional and recurrent neural networks\nLecture 4: Building a trading strategy and further applications \n21/3 – 15:30-17:30 – Meeting Room – 2nd floor\n23/3 – 15:30-17:30 – Meeting Room – 2nd floor\n28/3 – 15:30-17:30 – Meeting Room – 2nd floor\n30/3 – 15:30-17:30 – Meeting Room – 2nd floor \n \n\nAbstract\nIn this mini-course we will study artificial neural networks as a tool for time series classification and forecasting. We will review theoretical concepts of feedforward\, convolutional and recurrent neural networks\, their modern architectures and implement them in Python. The emphasis of the mini-course is on practical applications\, so we will use before mentioned algorithms to forecast stock prices movements and build a real asset trading strategy and backtest it. After attending this course\, students will understand basic pipeline of machine learning based time series analysis: data preprocessing\, fitting the model\, evaluation of results and will be able to use their own models for building algorithmic trading strategies. \n\n\nAccommodation\nWe have selected a short list of accommodation facilities in Verona. You can find it here \n\nVenue\n\nOther information for visit Verona\nGoogle street view\n\n \n \n \n
URL:http://vpsms2018.org/event/minicourse-neural-networks-for-time-series-analysis/
CATEGORIES:Minicourse
ATTACH;FMTTYPE=image/jpeg:http://vpsms2018.org/wp-content/uploads/2018/02/autistic-neural-network-3-1.jpg
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BEGIN:VEVENT
DTSTART;VALUE=DATE:20180404
DTEND;VALUE=DATE:20180407
DTSTAMP:20180225T134256
CREATED:20180122T083553Z
LAST-MODIFIED:20180216T094938Z
UID:1671-1522800000-1523059199@vpsms2018.org
SUMMARY:Minicourse "Continuous-state branching processes"
DESCRIPTION:About\nThe event will take place in the building: Ca’ Vignal 2. \n\n\n\nZenghu Li\n[Beijing Normal University\, Beijing]\n\n4th of April – 16.30-19.30 – Room D\n5th of April – 15.30-18.30 – Room M\n6th of April – 14.30-17.30 – Room M\n\n\n\nAbstract\nContinuous-state branching processes (CB-processes) and continuous-state branching processes with immigration (CBI-processes) constitute important classes of Markov processes taking values in the positive real line. They were introduced as probabilistic models describing the evolution of large populations with small individuals. The study of CB-processes was initiated by Feller (1951)\, who noticed that a branching diffusion process may arise in a limit theorem of Galton–Watson discrete branching processes. A characterization of CB-processes by random time changes of Levy processes was given by Lamperti (1967). The convergence of rescaled discrete branching processes with immigration to CBI-processes has also been studied by a number of authors. From a mathematical point of view\, the continuous-state processes are usually easier to deal with because both their time and state spaces are smooth\, and the distributions that appear are infinitely divisible. \nA continuous CBI-process with subcritical branching mechanism was used by Cox\, Ingersoll and Rose (1985) to describe the evolution of interest rates and it has been known in mathematical finance as the Cox–Ingersoll–Ross model (CIR-model). Compared with other financial models introduced before\, the CIR-model is more appealing as it is positive and mean-reverting. A natural generalization of the CBI-process is the affine Markov process\, which has also been used a lot in mathematical finance. \nThe approach of stochastic equations has been proved useful in the recent developments in the theory and applications of CB- and CBI-processes. A flow of CB-processes was constructed in Bertoin and Le Gall (2006) by weak solutions to a jump-type stochastic equation. The strong existence and uniqueness for a stochastic equation of general CBI-processes were established in Dawson and Li (2006). The results of Bertoin and Le Gall (2006) were extended to flows of CBI-processes in Dawson and Li (2012) using strong solutions to stochastic equations driven by time-space noises. For the stable branching CBI-process\, a strong stochastic differential equation was established in Fu and Li (2010). \nThe purpose of this course is to provide an introduction to CB- and CBI-processes including a quick development of their stochastic equations. The proofs given here are more elementary than those appearing in the literature before. We hope the treatments are understandable to the audience with reasonable background in probability theory and stochastic processes. Main contents: Construction of CB-processes; Some basic properties; Positive integral functionals; Construction of CBI-processes; Martingale problems for CBI-processes; Stochastic equations for CBI-processes; Local and global maximal jumps; Reconstructions from excursions. \n\nAccommodation\nWe have selected a short list of accommodation facilities in Verona. You can find it here \n\nVenue\n\nOther information for visit Verona\nGoogle street view\n\n \n \n \n
URL:http://vpsms2018.org/event/minicourse-continuous-state-branching-processes/
CATEGORIES:Minicourse
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END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20180411
DTEND;VALUE=DATE:20180413
DTSTAMP:20180225T134256
CREATED:20180122T092637Z
LAST-MODIFIED:20180122T104409Z
UID:1679-1523404800-1523577599@vpsms2018.org
SUMMARY:Minicourse "An introduction to stochastic control and portfolio optimization"
DESCRIPTION:About\nThe event will take place in the building: Ca’ Vignal 2. \n\n\n\nLuciano Campi\n[London School of Economics\, London]\n11th of April – 1530-1830 – Meeting room 2nd floor \n12th of April – 1530-1830 – Meeting room 2nd floor \n13th of April – 1530-1830 – Meeting room 2nd floor \n\nAbstract\nWe will give a short introduction to stochastic control in continuous time with some applications to optimal investment problems. In particular\, after giving some examples of control problem which are relevant in finance and economics\, we will turn to the dynamic programming principle (DPP)\, which is the main tool to obtain the Hamilton-Jacobi-Bellman (HJB) partial differential equation describing the local behaviour of the value function. Under some regularity conditions\, solving the HJB PDE gives a method to find (at least theoretically) the solution of stochastic control problems where the state variable has Markovian dynamics. We will apply this approach to solve some problems of optimal investment\, e.g. the classic Merton problem of optimal investment and consumption and some of its variants. \n\n\nAccommodation\nWe have selected a short list of accommodation facilities in Verona. You can find it here \n\nVenue\n\nOther information for visit Verona\nGoogle street view\n\n \n \n \n
URL:http://vpsms2018.org/event/minicourse-an-introduction-to-stochastic-control-and-portfolio-optimization/
CATEGORIES:Minicourse
ATTACH;FMTTYPE=image/jpeg:http://vpsms2018.org/wp-content/uploads/2018/01/matematica-programmazione.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20180508
DTEND;VALUE=DATE:20180519
DTSTAMP:20180225T134256
CREATED:20180122T093334Z
LAST-MODIFIED:20180222T081935Z
UID:1690-1525737600-1526687999@vpsms2018.org
SUMMARY:Minicourse "Statistical dynamics and kinetics of interacting particle systems"
DESCRIPTION:About\nThe event will take place in the building: Ca’ Vignal 2. \n\n\n\nYuri Kondratiev\n[Bielefeld University\, Dept. of Mathematics\, Bielefeld]\n8th of May – 12.30-14.30 – Room M \n9th of May – 14.30-18.30– Room M \n11th of May – 8.30-11.30– Room M \n15th of May – 9.30-11.30– Room G \n16th of May – 14.30-18.30 – Room M \n18th of May – 8.30-11.30 – Room M \n\nAbstract\nMathematical models of interacting particle; systems in the continuum; Birth-and-death; statistical dynamics; Mesoscopic limits and kinetic equations; Fractional statistical dynamics; Fractional kinetics \n\n\nAccommodation\nWe have selected a short list of accommodation facilities in Verona. You can find it here \n\nVenue\n\nOther information for visit Verona\nGoogle street view\n\n \n \n \n
URL:http://vpsms2018.org/event/minicourse-statistical-dynamics-and-kinetics-of-interacting-particle-systems/
CATEGORIES:Minicourse
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END:VCALENDAR