The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process

This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of modern numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package.

The course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models including: point processes, Hawkes processes,stochastic differential equations driven by Brownian motion with or without jumps, fractional Brownian motion and Lévy processes.

Who can benefit?

Stochastic differential equations, with or without jumps, are nowadays used as statistical models in many contexts, including but not limited to, finance, insurance, phylogenetics, genomics, political analysis, economics, migration flow analysis, social network analysis, and more. They are continuous-time models fitted on discrete sampled data. Point processes, like Compound Poisson and Hawkes processes are used in Limit Order Book (LOB) analysis in trading and finance, as well as in the analysis of rainfalls in meteorology or in earthquakes analysis in seismology. Jump and Lèvy processes extends many of the above models to a variety of statistical distributions that are able to capture stylised facts about real time series. Last, but not least, fractional processes are typical tools of climate change studies. Although the course could not cover all of the above applications, the participants can benefit from understanding the simulation and estimation techniques for these classes of stochastic process and apply to their own research field with the help of the faculties of this summer school.

Where & When?

25-28 June 2019, Brixen-Bressanone, Italy

Summary

Course Structure

The course consists of

  • Morning lectures: 16 x 45 minutes: Tuesday to Friday 9:00-12:30h
  • Practical computer tutorials in the afternoons: Tue, Wed, Fri 14:30-17:00h
  • A hike in the mountains and networking opportunity: Thu 14:30-22:00h

Computer Tutorials (Lab)

You will work on the labs at your own pace in small groups with expert guidance (all lecturers from the morning sessions plus teaching assistants).

Participants are required to bring their own laptop with the most recent release versions of R and Yuima installed: we will inform all the participants about detailed installation setup before the course start. Please make sure that your computer’s hardware is sufficiently powered and that you have administrator rights to install further R packages and tools if needed.

Course Materials

The course materials for the labs and lectures will be available for download during and after the course directly from this page.

Programme

Tuesday, June 25

9:00-9:45Refresh on probability & stochastic processesLec01
9:45 – 10:30Fourier transform and fast Fourier transform methodsLec02
10:30-11:00Coffee break
11:00-11:45Basics on time series analysisLec03
11:45-12:30Monte Carlo analysisLec04
12:30-14:30Lunch break
13:30–14:30Installation help desk
14:30-15:30R programming + time series import and Date/timestamps manipulation in RLab01
15:30-16:00
Coffee break
16:00-17:00Overview of Yuima and Yuima GUILab02
18:30-20:30Welcome dinner buffet

Wednesday, June 26

09:00–09:45Refresh on diffusion processesLec05
09:45–10:30Simulation of diffusion processesLec06
10:30–11:00Coffee break
11:00–11:45QLA – Quasi-likelihood analysis
Lec07
11:45–12:30Bayesian analysisLec08
12:30–14:30Lunch break
14:30–15:30Simulation for diffusion processes
Lab03
15:30–16:00Coffee break
16:00–17:00Estimation for diffusion processes
Lab04

Thursday, June 27

08:30–09:15Lévy processesLec09
09:15–10:00Simulation of Lévy processes
Lec10
10:00–10:30Coffee break
10:30–11:15Estimation for Lévy processesLec11
11:15–12:00Model selection and regularization methodsLec12
12:00–13:30Lunch break
14:50–22:30Social programme: excursion to the mountains, dinner

Friday, June 28

09:00–09:45Point processes: theory and simulation
Lec13
09:45–10:30Hawkes Processes and LOB (Limit Order Book) modelsLec14
10:30–11:00Coffee break
11:00–11:45Variance-covariance estimation
Lec15
11:45–12:30Asymptotic expansion methodsLec16
12:30–14:30Lunch break
14:30–15:30Simulation and estimation of compound Poisson and Hawkes processes
Lab05
15:30–16:00Coffee break
16:00–17:00Simulation and estimation of Lévy driven SDELab06

Lecturers and Teaching Assistants

Nakahiro Yoshida (University of Tokyo, JP), Stefano Iacus (University of Milan, IT), Hiroki Masuda (Kyushu University, JP), Lorenzo Mercuri (University of Milan, IT), Yuta Koike (University of Tokyo, JP), Emanuele Guidotti (University of Neuchâtel, CH – AlgoFinance Sagl, CH).

Registration

Course fees

Categorybefore taxesVAT 22% included
JUN (Junior researchers)
Graduate students and postdocs
850 € + VAT1037 €
ACA (Academic/non-profit)
Researchers from academic and other non-profit institutions
1150 € + VAT1403 €
COM (Commercial)
Researchers from the commercial sector
2000 € + VAT2440 €

The course fees include: participation in the lectures, the computer tutorials, a copy of the Yuima book, and all other course events: coffee breaks, buffet lunch (Tuesday to Friday), Thursday’s social programme and dinner, welcome dinner buffer (Monday).

Places are awarded on a first-come, first-served basis. We expect the course to sold out soon. We aim to finalize registration by 20 May 2019.

In order to register, each participant needs to fill in the form below and complete the payment. Please include your contact email and name. Cumulative on-line payments can be placed in case of more than one participant belonging to the same category. If you need an invoice, please contact us at [email protected].

Before paying:

  • If you are unsure about the VAT, please check the section “Should I pay VAT?” below or ask us at [email protected].
  • If you are unsure about which category you belong to, if you need to pay by money transfer, if you need an invoice for your institution, or for any other need, please contact us at [email protected].

Registration, on-site logistics and other local assistance will be handled by VOICES from the Blogs, a Spinoff Company of the University of Milan.

NOTE: If you pay through PayPal from your personal bank account you must pay the 22% additional VAT. If your institution is European and pays directly through PayPal or money transfer the registration is VAT exempt. For other information about VAT please go the “Should I pay the VAT” section.

Italian participants payed by Italian institutions (PA) or private companies, should ask for the “fattura elettronica” unless they pay on a personal basis.

Cancellation and Refund policy:

If you are uncertain about the payment, please contact us at [email protected] and we will guide you through registration.

Cancellation of registration must be submitted in writing or via email and is valid only with acknowledgement of receipt by VOICES.
Cancellation fees are dependent on the notice given:

  • If cancellation occurs less than 14 days prior to the start of the event, the cancellation fee is 100% of the registration fee.
  • If cancellation occurs between 14 days and 1 month prior to the start of the event, the cancellation fee is 50% of the registration fee.
  • Earlier than 1 month, a cancellation fee of EUR 70 will be charged.
  • If payment has been made by the payment deadline of the event and a visa is not awarded in time to travel to the event, the full registration fee will be reimbursed. Evidence about the visa application will be requested

All applicable refunds will be issued following the close of the event. A refund will be returned via bank transfer.

If the YUIMA course is cancelled, VOICES is not responsible for any airfare, hotel, or other costs incurred by participants.

Speakers and programme agenda are subject to change.

Registration Fees
Participant Name and Last Name
Contact email

Should I pay VAT?

Due to Italian regulation (DPR 663/72 art.7) and EU fiscal regulations, the total cost for the participant attending this course has to include VAT (IVA in italian) of 22%. This rule applies to all “entities”: profit and non-profit companies and/or institutions and citizens even when special fiscal treatments exist in the original country of the “entity” unless your company or institution is registered into the VIES system.

Please notice: if you pay on behalf of your organization as a private citizen, i.e. from your personal bank account, then you have to add VAT anyway even if your organization is registered into the VIES system (as VAT is calculated for the actual “payer/buyer”). In this case it is better to ask us before paying.

To know about your VIES status, please follow the steps below:

VIES Verification

To check your VIES status, follow these steps:

  1. Ask your administration for the VAT number
  2. Go to this web page http://ec.europa.eu/taxation_customs/vies/?locale=en
  3. Select your country from the top-down menu
  4. Put the VAT number (without the country code) and press the button “verify”
  5. Email the output of the above screen along with your complete data to [email protected] and ask us to invoice your company/institution

Venue

We will welcome you on Tuesday around 8:30h for the registration at the main site (1) where we will distribute the course material.

On the same day there will be a Welcome dinner buffet from 18:30 to 20:30. The main idea of this welcome meeting is to have the opportunity to chat each other in an informal environment. Please note: there will be food and drinks to satisfy your hunger and thirst, and later we can move on into the town in smaller groups to enjoy the many beergardens and restaurants.

Conference sites

The following map is a very reduced one. You can have a big one in PNG format, or you can browse an interactive one from the web page of the Tourist Office in Bressanone-Brixen.

Conference sites (small map)

(1) Casa della Gioventù – main course site:

Casa della Gioventù is the place where both morning lectures and laboratory will take place, and it is also the place of the Welcome Buffet.

It is a building of the University of Padova, located in Via Rio Bianco 6, 5 minutes from the town center.

(2) Hotel Albero Verde (Grüner Baum):

It is a hotel were many of the participants usually stay.

(3) The railway station:

Where many of you will arrive.

Travel & Accommodation

How to get to Bressanone – Brixen

Bressanone(or Brixen) is in the bilingual province of Bolzano (Bozen) at 500 meters of altitude, in the Italian Alps, close to the Dolomites.

View Larger Map

By Train

Bressanone is on the international line between Munich (Germany) and Verona (Italy). Every train on this line stops in Bressanone. Moreover, there are many commuter connections from Innsbruck (Austria) and from Bolzano (Italy) to Bressanone.

The train from Verona P.ta Nuova to Bressanone takes about 2 hours, with frequent connections throughout the day. The train from Munich takes about 3.5 hours, with connections every 2 hours.

By Airplane

Several airports have good train connections to Bressanone:

  • Bolzano, Italy (BZO) 50 km(30 minutes by train)
  • Innsbruck, Austria (INN) 80 km(1 hours by train)
  • Verona, Italy (Valerio Catullo, VRN) 200 km
  • Munich, Germany (Franz-Josef Strauss, MUC) 260 km
  • Venezia, Italy (Marco Polo, VCE) 320 km
  • Milano-Linate, Italy (LIN) 330 km
  • Milano-Malpensa, Italy (MXP) 350 km

The closest large airport is Verona (Valerio Catullo) international airport. From Verona airport to the railway station Verona P.ta Nuova there are shuttle busses every 20 minutes from 6:30am to 11:35pm. From Verona to Bressanone it takes about 2 hours by train, and you have several trains per day.

About Munich: please do not confuse Munich’s main airport (Franz-Josef Strauss) with Ryanair’s “Munich West” (Memmingen) – it is far out in the Allgäu, and it is not much fun coming from there by public transport; with a rental car, it may however be an option.

Hotel information

You need to make your reservation directly.

Hotel Gruener Baum (Albero Verde)

Please make your reservations yourself and ask for further information by sending an email to the following address: [email protected] or check their web site for the telephone number.

Hotel Goldene Krone

Please make your reservations yourself and ask for further information by sending an email to the following address: [email protected] or check their web site for the telephone number.

Hotel Elephant

Please make your reservations yourself and ask for further information by sending an email to the following address: [email protected] or check their web site for the telephone number.

Other accommodation

There also exist two youth hostel-like accommodations. These locations have low fares, and they can be considered as equivalent both for quality and location (Brixen is a small town). Please ask directly them if you need rooms (with or without bath, etc).