Two upcoming QLS guest webinars - Friday, 17 and Tuesday, 21 April

[qls at ictp.it]

Dear All,

On Friday, 17  April at 14h00 Iacopo Mastromatteo (Ecole Polytechnique, Palaiseau & Capital Fund Management, Paris)
will give a webinar titled "What really is a financial instrument? Insights from cross-impact"

Abstract:

Cross-impact, namely the fact that on average buy (sell) trades on a
financial instrument induce positive (negative) price changes in other
correlated assets, can be measured from abundant, although noisy, market
  data. In this paper we propose a principled approach that allows to
perform model selection for cross-impact models, showing that symmetries
  and consistency requirements are particularly effective in reducing the
  universe of possible models to a much smaller set of viable candidates,
  thus mitigating the effect of noise on the properties of the inferred
model. We review the empirical performance of a large number of
cross-impact models, comparing their strengths and weaknesses on a
number of asset classes (futures, stocks, calendar spreads). Besides
showing which models perform better, we argue that in presence of
comparable statistical performance, which is often the case in a noisy
world, it is relevant to favor models that provide ex-ante theoretical
guarantees on their behavior in limit cases. From this perspective, we
advocate that the empirical validation of universal properties
(symmetries, invariances) should be regarded as holding a much deeper
epistemological value than any measure of statistical performance on
specific model instances.

Here is the Zoom meeting ID to attend the online seminar:
Meeting ID: 475-819-702
Join Zoom Meeting
https://zoom.us/j/475819702

Indico webpage:http://indico.ictp.it/event/9350/

************************************

On Tuesday, 21  April at 15h00 Dylan H. Morris (Department of Ecology & Evolutionary Biology, Princeton)
will give a webinar titled "Optimal, near-optimal, and robust epidemic control"

Abstract:
The COVID-19  pandemic  has  highlighted  the  need  for  controlmeasures  that  reduce  the epidemic peak ("flattening the curve").
Here we derive the optimal time-limited intervention for reducing peak epidemic prevalence in the standard Susceptible-Infectious-Recovered (SIR) model. We show that alternative,  more practical interventions can perform nearly as well as the provably optimal strategy.  However, none of these strategies are robust to implementation errors:  mistiming the start of the intervention by even a single week can be enormously costly,  for realistic epidemic parameters.  Sustained control measures,  though less effcient than optimal and near-optimal time-limited interventions, can be used in combination with time-limited strategies to mitigate the
catastrophic risks of mistiming.
  

Here is the Zoom meeting ID to attend the online seminar:
Meeting ID: 475-819-702
Join Zoom Meeting
https://zoom.us/j/475819702

Indico webpage:http://indico.ictp.it/event/9349/ <http://indico.ictp.it/event/9350/>




Kind regards,

Erica