Conservatorio di Santa Chiara, San Miniato, Italy
The School aims to improve the knowledge of mathematical methods among graduate students in economics and social sciences, with a focus on those techniques which albeit widespread in use are not properly covered in typical graduate programs. The School is an interdisciplinary venue intended to foster the interaction of people coming from the too often separated communities of mathematical and social scientists. It is organized by the Mathematics Research Center “Ennio De Giorgi” and supported by the International Doctoral Program in Economics of the Scuola Superiore Sant'Anna.
Participation is subject to selection. Only 20-25 positions available. Financial support for board and accommodation will be provided.
On-line applications should be made at http://crm.sns.it/event/276/financial.html
All applications must include a CV that shall be sent by e-mail to firstname.lastname@example.org. Applications without a CV will not be considered.
Deadline for application: 2 August 2013.
Decision on applications will be communicated: 9 August 2013.
Topics: Information theory, chaos and ergodicity with application to data analysis
Lecturers: Stefano Marmi (Scuola Normale Superiore), Fabrizio Lillo (Scuola Normale Superiore)
Scientific Committee: Giulio Bottazzi (Scuola Superiore Sant'Anna), Giorgio Fagiolo (Scuola Superiore Sant'Anna), Davide Fiaschi (Università di Pisa), Stefano Marmi (Scuola Normale Superiore)
Syllabus of the course
• Information theory and Shannon entropy
• Symbolization of time-series and of dynamical systems
• Invariant measures arising from time series and entropy computation
• Entropic measures in data analysis
• Transfer entropy, redundancy and n-gram entropy in symbolic series
• Kullback-Leibler distance for multivariate series
• Maximum entropy principle for ensembles and networks
• Applications in Economics and Finance
Topics considered prerequisite for the course:
Basic notions of probability, statistics and dynamical systems. A working knowledge of some high-level programming language (e.g. mathematica, matlab, octave, R, etc.) will be useful for some assignments.
Course timetable and teaching load
From Monday to Thursday
9:00-12:00 main lecture
14:00-15.30 exercises with the teacher
15.30-17:00 individual exercises
9:00-12:00 main lecture
14:00-16:00 final exam