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WU Wien, Institute for Statistics and Mathematics
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Wed., 3.5.2023, 18:00-19:15 CEST, online and seminar room D4.0.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4
Johanna G. Nešlehová (McGill University; WU Vienna)
"Limiting Behaviour of Maxima under Dependence"
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Fri., 5.5.2023, online and seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4
8:30-10:00 CEST
Alejandra Avalos Pacheco (TU Wien; Harvard University)
"Integrative Large-Scale Bayesian Learning: From Factor Analysis to Graphical Models"
11:00-12:30 CEST
Lucas Kook (University of Copenhagen)
"Invariance and Causality in Transformation Models: Causal Feature Selection and Robust Prediction"
15:00-16:30 CEST
Dmytro Marushkevych (University of Copenhagen)
"Parametric Statistical Inference for High-Dimensional Diffusions"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/summer-term-2023/
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International Seminar on SDEs and Related Topics
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Fri., 5.5.2023, 13:30 CEST, online talk
Máté Gerencsér (TU Wien)
"Integration along stochastic processes"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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SIAG Financial Mathematics and Engineering virtual seminars series
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Fri., 5.5.2023, 20:00-21:00 CEST (Remark: 1PM-2PM (EST!!) according to the seminar's website), online talk
tba
"tba"
For further details see
http://wiki.siam.org/siag-fm/index.php/Current_events
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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PhD Seminar of QUARIMAFI
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Mon., 24.04.2023, 13:15 CEST, Seminarraum 19 or online via Zoom
University of Vienna, 1090 Wien, Kolingasse 14-16
Sam Cohen (University of Oxford)
"Estimation of Hawkes processes and models of limit order books"
Abstract: Self exciting point processes are the workhorse model for ultra-high frequency financial data. However, these models are not Markov (except under restrictive assumptions), so computing a likelihood comes at superlinear (typically quadratic) cost. When you have a serious amount of data, this makes exact calibration of these models impractical. In this talk we will consider a class of estimation methods for linear Hawkes models (with general excitation kernels and time dependence) which can be calibrated using a stochastic gradient method, for large data sets. We will see that this provides novel insights into the interactions of orders of different types in equity markets, at a high-frequency scale.
Zoom details: https://univienna.zoom.us/j/67590403281?pwd=NU53YUh6SlBXdUFYbm1NRnQzTkN4Zz09
meeting ID: 67590403281, password: 942912
For further information, contact QUARIMAFI: https://quarimafi.univie.ac.at/
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World Online Seminars on Machine Learning in Finance
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Tue., 25.04.2023, 19:00 CEST, online talk
Des Higham (University of Edinburgh)
"Deep Learning: What Could Go Wrong?"
For further (including abstract & log-in link) see
https://sites.google.com/view/mlfinance/
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Women in Data Science and Mathematics - Seminar Launch Event
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Wed., 26.04.2023, 14:30 CEST (13:30 BST), online talk
Prof. Dr. Gitta Kutyniok (LMU Munich)
"The Modern Mathematics of Artificial Intelligence: From Reliable AI to Quantum Computing"
For further details (including abstract & log-in link) see
https://windsmath-seminar.github.io/
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One World Actuarial Research Seminar
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Wed., 26.04.2023, 17:00 CEST, online talk
María del Carmen Boado-Penas (Heriot-Watt University)
"Automatic balancing mechanisms for public pension schemes: Past, present and future"
For further details see
https://owars.info/
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Bachelier Finance Society One World Seminars
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Thu., 27.04.2023, 19:00 CEST, online talk
Kostas Kardaras (LSE)
"Portfolio choice under taxation and expected market time constraint"
For further details see
https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o…
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WU Wien, Institute for Statistics and Mathematics
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Fri., 28.04.2023, 10:30-12:00 CEST, seminar room D4.0.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4
Mathias Drton (Technical University of Munich)
"Consistent Tests of Independence via Rank Statistics"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/summer-term-2023/
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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WU Wien, Institute for Statistics and Mathematics
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Fr., 21.04.2023, 10:30-12:00 CEST, seminar room D4.4.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Sam Cohen (University of Oxford)
"Approximating PDEs With Wide Neural Networks"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/https://campus.wu.ac.at/de/?q=D4.4.127
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International Seminar on SDEs and Related Topics
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Fri., 21.4.2023, 13:30 CEST, online talk
René Schilling (TU Dresden)
"On Liouville's Theorem for Nonlocal Operators"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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One World Probability Seminar
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Wed., 12.4.2023, 17:00-19:00 CEST, online talks
Fabio Toninelli (TU Wien)
"Out-of-equilibrium phenomena, stochastic PDEs and Gaussian limits"
Giuseppe Cannizzaro (University of Warwick)
"Weak coupling scaling of critical SPDEs"
For further details see
https://www.owprobability.org/one-world-probability-seminar
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SIAG Financial Mathematics and Engineering virtual seminars series
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Thu., 13.4.2023, 20:00-21:00 CEST (Remark: 1PM-2PM (EST!!) according to the seminar's website), online talk
tba
"tba"
For further details see
http://wiki.siam.org/siag-fm/index.php/Current_events
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International Seminar on SDEs and Related Topics
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Fri., 14.4.2023, 13:30 CEST, online talk
Konstantinos Dareiotis (University of Leeds)
"Regularisation of differential equations by multiplicative fractional noises"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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