PROGRAM

March 17th , 2010

19:00 - Welcome reception at European Center for Living Tecnology, Ca' Minich, San Marco 2940.

March 18th , 2010

Session : EC and design of experiments

09:15 - 10:15 Lecture: Norman Packard, Predictive evolutionary design of experiments with application to cell-free protein synthesis optimization.

10:15 - 10:30 Coffee break

10:30 - 11:00 Irene Poli: Evolutionary model-based experimental design.

11:00 - 11:30 Chris Sharpe: Optimised U type design on flexible regions. An implementation for high dimensions.

11:30 - 12:00 Phil Brown: A fast Bayesian stochastic Lasso for high dimensional modelling.

12:00 - 12:30 Claudio Pizzi and Francesca Parpinel: Splines in evolutionary design of experiments.

12:30 - 13:00 Debora Slanzi: Bayesian networks in evolutionary experimental designs.

13:00 - 15:00 Lunch

Session: EC and multivariate analysis

15:00 - 15:30 Pietro Coretto: Robust model based clustering.

15:30 - 16:00 Marta Di Lascio, Simone Giannerini: A copula-based clustering algorithm with applications in bioinformatics.

16:00 - 16:30 Paolo Foschi, Erricos Kontoghiorghes: Krylov methods for the estimation of the general linear models.

16:30 - 17:00 Roberto Baragona: Clusters of vector time series based on statistical modeling and multiobjective optimization.

17:00 - 17:30 Francesca Di Iorio, Stefano Fachin: Testing for cointegration with breaks in dependent panels.

20:00             Conference dinner

March 19th , 2010

Session : EC and Time Series

09:15 - 10:15 Lecture: Howell Tong, The threshold model in time series: thirty years on.

10:15 - 10:30 Coffee break

10:30 - 11:00 Marcella Niglio, Cosimo Vitale: TARMA models with exogenous threshold: global stationarity and empirical applications.

11:00 - 11:30 Paolo Foschi, Simone Giannerini, Alessandra Luati: Infomation reduction techniques for turning point prediction.

11:30 - 12:00 Antonietta di Salvatore, Victor Bystrov: Structural breaks in dynamic factor models.

12:00 - 12:30 Alessandra Luati, Tommaso Proietti: Hyper-spherical and elliptical stochastic cycles.

12:30 - 13:00 Domenico Cucina: Multivariate threshold models

13:00 - 13:30 Francesco Battaglia, Mattheos Protopapas: Multi-regime models for both conditional mean and conditional variance.

13:30 - 15:15 Lunch

Session: EC and finance

15:15 - 16:15 Lecture: Manfred Gilli, Enrico Schumann: Heuristic optimization in financial modelling.

16:15 - 16:30 Coffee break

16:30 - 17:00 Björn Fastrich, Sandra Paterlini, Peter Winker: Cardinality versus q-norm constraints for index tracking.

17:00 - 17:30 Sandra Paterlini, Thiemo Krink, Tommaso Minerva, Massimo Di Tria: Multimodal optimization for financial portfolio selection with evolutionary algorithms.

17:30 - 18:00 Davide Ferrari, Sandra Paterlini: Efficient and robust density estimation by HCT-entropy minimization with financial application.

18:00 - 18:30 Giuseppina Albano, Francesco Giordano, Cira Perna: Continuous time processes for the analysis of volatility.

18:30 - 19:00 Francesco Giordano, Michele La Rocca , Cira Perna: N-N sieve bootstrap for financial time series modelling.

http://ser.sta.uniroma1.it/ecs2010/