No Free Lunch Seminars
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Christian Brownlees, “Community Detection in Partial Correlation Networks”, March 1, 2016
Friday March 11 2016 10:30 Scuola Normale Superiore Aula Bianchi Christian Brownlees Universitat Pompeu Fabra, Barcelona Abstract In this work we propose a community detection algorithm for partial correlation networks. We assume…
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Maria Rita Iacò, “Copulas in uniform distribution, optimal transport and finance”, January 22, 2016
Tuesday January 26 2016 13:00 Scuola Normale Superiore Aula Bianchi Maria Rita Iacò Technische Universität Graz Abstract The aim of this talk is to give an overview of some results obtained in the…
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Nicola Fusari, “Pricing Short-Term Market Risk: Evidence from Weekly Options”, December 16, 2015
Thursday December 17 2015 13:00 Scuola Normale Superiore Aula Bianchi Nicola Fusari Johns Hopkins Carey Business School Abstract We study short-term market risks implied by weekly S&P 500 index options. The…
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Domenico Di Gangi, “Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction”, November 4, 2015
Wednesday November 11 2015 13:00 Scuola Normale Superiore Aula Bianchi Domenico Di Gangi Department of Physics, University of Pisa, Abstract Assessing systemic risk in financial markets is of great importance but…
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Frederic Abergel, “Limit order books driven by Hawkes processes”, September 1, 2015
Tuesday September 8 2015 11:30 Scuola Normale Superiore Aula Bianchi Frederic Abergel CMAP, Ecole Centrale-Supelec, Paris Abstract Hawkes processes offer an interesting toolbox to model the interplay between different agents on financial markets. This…
Conferences and Workshops
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Frontiers in High-Frequency Financial Econometrics 2018, March 23, 2018
https://www.hffe2018sns.com/
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XVII Workshop on Quantitative Finance, June 22, 2015
The quantitative finance group of the Scuola Normale Superiore will host the XVII Workshop on Quantitative Finance. The workshop will take place on January, 28-29, 2016 in Pisa at Scuola…
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Symposium on return predictability in stock and real estate markets, June 6, 2014
Program:
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Quantitative Approaches to Risk Assessment and Investment Transparency, December 12, 2011
Monday December 12 2011 10.45 - 17.00 Sala Stemmi Scuola Normale Superiore - Pisa 10:45 Registration 11:00 Opening address Book Presentation: A Quantitative Framework to Assess the Risk- Reward Profile of…
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L’instabilità dei mercati finanziari: il flash crash un anno dopo., May 11, 2011
Wednesday May 11 2011 13:00 Scuola Normale Superiore Aula Bianchi Stefano Marmi Scuola Normale Superiore, Pisa 6 maggio 2010: l'effetto farfalla si abbatte sul ping pong del trading ad alta…
Mini Courses
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Andrea Pallavicini, “Credit Risk Modelling Before and After the Crisis”, March 28, 2014
Friday March 28 2014 10.00 - 12.00 Aula Bianchi 14.00 - 16.00 Aula Mancini Scuola Normale Superiore Andrea Pallavicini Banca IMI, Milano and Imperial College, London Credit Risk Modelling Before and…
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Paolo Guasoni, “Frictions and Fees in Portfolio Choice”, May 13, 2013
Monday May 13 2013, 16.00 - 18.00 Aula 2 Tuesday May 14 2013, 11.00 - 13.00 Aula 2 Wednesday May 15 2013, 14.00 - 16.00 Aula Bianchi Thursday May 16 2013, 11.00 - 13.00 Aula 2 Scuola Normale Superiore Paolo Guasoni Boston University and Dublin…
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Jean-Philippe Bouchaud, “Instabilities in Financial Markets”, May 9, 2013
Thursday May 9 2013, 16.00 - 18.00 Aula Mancini Friday May 10 2013, 14.00 - 16.00 Aula Mancini Monday May 13 2013, 9.00 - 11.00 Aula Bianchi Scuola Normale Superiore Jean-Philippe Bouchaud Capital Fund Management and Ecole Polytechnique Instabilities in Financial…
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Rama Cont, “Functional Ito calculus and Functional Kolmogorov equations”, April 8, 2013
Monday April 8 2013, 10.00 - 13.00 Aula Tonelli Monday April 15 2013, 10.00 - 13.00 Aula Tonelli Monday April 22 2013, 10.00 - 13.00 Aula Tonelli Tuesday April 23 2013, 9.00…
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Rosario Nunzio Mantegna, “Econophysics Investigation of Financial Markets: Correlation, Heterogeneity and Agent Based Models”, October 4, 2011
Tuesday October 4 2011 15.00 - 17.00 Aula Bianchi Wednesday October 5 2011 11.00 - 13.00 Aula Bianchi Thursday October 6 2011 11.00 - 13.00 Aula Mancini Scuola Normale Superiore Rosario Nunzio Mantegna…
PhD/Master Theses
No scheduled events.